-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, NbKHeNNt+R3pNrdd9NjMKOSVGITtHtowEvU4QTnQinN/Sy4pVbcr9vhxsu35WJU0 Yqr01v7tSBDN2WjHPDV/eQ== 0000950116-05-002013.txt : 20050611 0000950116-05-002013.hdr.sgml : 20050611 20050527133944 ACCESSION NUMBER: 0000950116-05-002013 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20050331 FILED AS OF DATE: 20050527 DATE AS OF CHANGE: 20050527 EFFECTIVENESS DATE: 20050527 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DELAWARE GROUP LIMITED TERM GOVERNMENT FUNDS CENTRAL INDEX KEY: 0000357059 IRS NUMBER: 236732199 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03363 FILM NUMBER: 05862947 BUSINESS ADDRESS: STREET 1: ONE COMMERCE SQ STREET 2: 2005 MARKET ST CITY: PHILADELPHIA STATE: PA ZIP: 19103 BUSINESS PHONE: 2152552127 MAIL ADDRESS: STREET 1: ONE COMMERCE SQ STREET 2: 2005 MARKET ST CITY: PHILADELPHIA STATE: PA ZIP: 19103 FORMER COMPANY: FORMER CONFORMED NAME: DELAWARE GROUP LIMITED TERM GOVERNMENT FUNDS INC DATE OF NAME CHANGE: 19950828 FORMER COMPANY: FORMER CONFORMED NAME: DELAWARE GROUP TREASURY RESERVES INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: DELAWARE TREASURY RESERVES DATE OF NAME CHANGE: 19880718 N-Q 1 n-q.txt N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number: 811-3363 Exact name of registrant as specified in charter: Delaware Group Limited-Term Government Funds Address of principal executive offices: 2005 Market Street Philadelphia, PA 19103 Name and address of agent for service: Richelle S. Maestro, Esq. 2005 Market Street Philadelphia, PA 19103 Registrant's telephone number, including area code: (800) 523-1918 Date of fiscal year end: December 31 Date of reporting period: March 31, 2005
ITEM 1. SCHEDULE OF INVESTMENTS. SCHEDULE OF INVESTMENTS (Unaudited) DELAWARE LIMITED - TERM GOVERNMENT FUND - --------------------------------------- March 31, 2005
PRINCIPAL MARKET AMOUNT VALUE AGENCY ASSET-BACKED SECURITIES- 3.53% Fannie Mae Grantor Trust Series 2004-T4 A3 4.42% 8/25/24 $2,135,000 $2,124,663 oSLMA Student Loan Trust Series 1997-2 A2 3.439% 1/25/10 135,658 135,809 Series 1997-4 A2 3.589% 10/25/10 198,704 200,663 Series 2004-1 A1 2.74% 1/26/15 4,540,787 4,543,531 Series 2004-5 A2 2.73% 4/25/14 2,860,000 2,862,377 Series 2004-6 A2 2.74% 1/25/13 560,000 560,580 ----------- TOTAL AGENCY ASSET-BACKED SECURITIES (COST $10,432,996) 10,427,623 =========== AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS- 19.04% oCollateralized Mortgage Obligation Trust Series 38 A 3.70% 12/25/17 570,503 570,697 Series 47 D 3.53% 9/1/18 349,977 350,202 oE.F. Hutton Trust III Series 1 Class A 3.84% 10/25/17 230,438 230,672 Fannie Mae Grantor Trust Series 2001-T8 A2 9.50% 7/25/41 2,382,332 2,610,606 Series 2001-T10 A1 7.00% 12/25/41 945,106 983,969 Series 2002-T1 A2 7.00% 11/25/31 525,522 554,590 Series 2003-T1 A 3.807% 11/25/12 1,248,602 1,227,107 Fannie Mae Series 1993-18 PK 6.50% 2/25/08 1,175,000 1,212,615 Series 1993-71 PL 6.50% 5/25/08 655,104 668,297 Series 1996-46 ZA 7.50% 11/25/26 801,546 848,106 Series 2001-50 BA 7.00% 10/25/41 869,238 905,925 Series 2005-1 KZ 5.00% 2/25/35 1,199,937 1,031,715 Fannie Mae Whole Loan Series 2002-W1 2A 7.50% 2/25/42 557,021 585,841 Series 2003-W14 1A5 4.71% 9/25/43 4,787,465 4,798,799 Series 2004-W3 A2 3.75% 5/25/34 1,335,000 1,318,520 Series 2004-W9 2A1 6.50% 2/25/44 632,233 650,676 Freddie Mac Series 1490 CA 6.50% 4/15/08 148,248 151,066 Series 2480 EH 6.00% 11/15/31 1,491,418 1,507,978 Series 2575 PT 4.50% 6/15/24 2,783,665 2,760,837 Series 2902 LC 5.50% 12/15/17 930,000 946,827 Series 2920 NB 5.00% 3/15/07 1,274,674 1,276,783 Freddie Mac Stated Final Series 5 GC 2.95% 12/15/09 2,743,125 2,641,080 Freddie Mac Structured Pass Through Securities Series T-42 A5 7.50% 2/25/42 200,531 211,615 Series T-56 A2A 2.842% 7/25/36 3,036,353 3,012,420 Series T-58 2A 6.50% 9/25/43 3,378,112 3,502,893 Freddie Mac-GNMA Series 21 J 6.25% 8/25/22 29,939 29,907 GNMA Series 2002-28 B 5.779% 7/16/24 6,000,000 6,245,043 Series 2002-61 BA 4.648% 3/16/26 3,000,000 2,996,987 Series 2003-43 B 4.374% 4/16/33 5,000,000 4,866,283 Series 2003-72 C 4.86% 2/16/30 2,500,000 2,497,809 Series 2003-78 B 5.11% 10/16/27 5,000,000 5,034,454 ----------- TOTAL AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (COST $56,593,424) 56,230,319 =========== AGENCY MORTGAGE-BACKED SECURITIES- 38.93% Fannie Mae 4.50% 3/1/14 2,905,192 2,877,048 4.92% 5/1/13 3,865,000 3,873,455 5.50% 5/15/09 1,444,502 1,478,809 6.215% 6/1/08 1,252,576 1,303,853 6.50% 8/1/17 666,253 695,401 6.52% 2/1/08 2,733,262 2,849,426 6.75% 10/1/07 1,025,203 1,069,414 6.765% 1/1/07 2,516,173 2,594,803 7.00% 11/15/16 1,748,745 1,835,089 7.41% 4/1/10 4,862,913 5,387,195 8.00% 8/15/07 233,296 240,441 9.00% 11/1/15 268,956 288,119 10.00% 10/1/30 429,631 485,886 10.50% 6/1/30 91,590 104,097
oFannie Mae ARM 3.731% 8/1/34 1,540,379 1,536,560 3.822% 12/1/33 2,173,003 2,248,208 4.937% 11/1/33 3,719,311 3,683,903 Fannie Mae Balloon 7 yr 4.00% 8/1/10 2,611,980 2,561,373 4.50% 11/1/10 6,235,750 6,210,417 5.00% 8/1/11 3,596,622 3,625,845 Fannie Mae FHAVA 7.25% 4/1/09 18,066 18,778 7.50% 3/1/25 79,384 84,941 8.50% 8/1/09 17,742 18,629 10.00% 1/1/19 71,458 80,792 11.00% 8/1/10 to 12/1/15 872,654 966,683 Fannie Mae GPM 11.00% 11/1/10 27,002 29,466 Fannie Mae Relocation 30 yr 5.00% 9/1/33 980,415 969,998 Fannie Mae S.F. 15 yr 6.00% 12/1/08 to 6/1/17 3,964,492 4,082,582 6.50% 8/1/08 9,369 9,682 7.50% 4/1/11 27,405 28,827 8.00% 10/1/09 to 10/1/14 713,496 745,210 8.50% 3/1/08 53,101 53,898 Fannie Mae S.F. 15 yr TBA 5.00% 3/1/35 425,000 424,734 5.50% 4/1/20 1,290,000 1,314,591 Fannie Mae S.F. 20 yr 6.50% 2/1/22 824,807 860,119 Fannie Mae S.F. 30 yr 5.00% 3/1/34 to 3/1/35 2,155,167 2,111,386 5.50% 3/1/29 to 4/1/29 2,488,305 2,503,857 7.00% 8/1/32 to 9/1/32 860,416 907,739 7.50% 12/1/10 to 11/1/31 542,268 574,259 8.00% 6/1/07 to 5/1/24 1,169,306 1,263,251 8.50% 11/1/07 to 8/1/17 683,040 723,133 9.00% 8/1/22 776,647 847,759 9.25% 7/1/08 to 3/1/20 149,452 162,560 10.00% 2/1/25 1,596,552 1,808,344 11.00% 7/1/12 to 8/1/20 389,990 431,203 11.50% 11/1/16 181,620 205,855 12.50% 2/1/11 4,516 4,963 13.00% 7/1/15 49,206 54,988 Fannie Mae S.F. 30 yr TBA 5.00% 4/1/35 to 5/1/35 2,460,000 2,401,116 5.50% 5/1/33 2,975,000 2,979,648 6.00% 7/1/35 2,870,000 2,933,678 6.50% 6/1/30 5,400,000 5,604,187 Freddie Mac 6.50% 6/17/14 to 3/1/16 1,562,377 1,615,460 9.00% 3/17/08 20,755 21,560 oFreddie Mac ARM 3.731% 4/1/34 868,941 881,161 3.744% 4/1/33 2,496,008 2,573,731 Freddie Mac Balloon 5 yr 4.00% 3/1/08 to 8/1/08 3,428,559 3,403,916 Freddie Mac Balloon 7 yr 4.50% 12/1/10 1,659,335 1,654,668 6.00% 4/1/09 94,833 96,582 Freddie Mac FHAVA 8.00% 3/1/08 56,343 58,068 8.50% 1/1/09 28,494 30,074 9.50% 2/1/10 81,190 84,818 11.00% 2/1/14 to 11/1/15 28,889 31,525 Freddie Mac Relocation 15 yr 3.50% 9/1/18 to 10/1/18 5,550,411 5,191,369 Freddie Mac Relocation 30 yr 5.00% 9/1/33 3,583,680 3,548,963 6.50% 10/1/30 6,003 6,266
Freddie Mac S.F. 15 yr 6.00% 10/1/10 38,096 39,286 6.50% 11/1/09 to 6/1/11 87,723 91,463 7.50% 4/1/11 131,429 137,959 8.00% 7/1/16 452,443 478,034 9.00% 10/1/06 5,254 5,342 Freddie Mac S.F. 20 yr 5.50% 9/1/24 2,793,582 2,823,264 Freddie Mac S.F. 30 yr 7.00% 11/1/33 1,881,285 1,982,992 8.00% 10/1/07 to 7/1/11 1,281,497 1,329,417 8.25% 3/1/09 227,654 234,057 8.50% 12/1/08 to 11/1/10 252,764 262,501 8.75% 5/1/10 92,772 97,903 9.00% 6/1/09 to 9/1/30 1,110,099 1,225,559 9.50% 6/1/16 16,465 17,427 9.75% 12/1/08 23,699 25,092 11.00% 11/1/19 to 6/1/20 43,388 48,227 11.50% 4/1/11 to 3/1/16 739,242 838,503 Freddie Mac Tiered Payment 9.50% 11/1/05 39,242 41,008 GNMA I Buydown 30 yr 10.50% 11/15/15 101,857 114,717 GNMA I GPM 11.00% 7/15/10 25,521 27,882 11.50% 4/15/10 18,490 20,362 12.00% 10/15/10 10,397 11,488 12.25% 1/15/14 19,761 22,108 GNMA I Mobile Home 6.50% 9/15/10 33,377 34,733 GNMA I S.F. 15 yr 6.00% 2/15/09 to 6/15/09 394,453 406,492 7.50% 7/15/10 to 9/15/10 420,984 436,222 9.00% 11/15/06 13,884 14,092 GNMA I S.F. 30 yr 6.00% 4/15/33 771,059 793,227 7.00% 5/15/28 810,918 859,066 7.50% 12/15/23 to 12/15/31 986,625 1,061,126 8.00% 6/15/30 31,030 33,464 9.00% 10/15/09 to 2/15/17 265,204 283,182 9.50% 6/15/16 to 11/15/17 92,346 102,181 11.00% 12/15/09 to 5/15/20 419,141 465,033 11.50% 7/15/15 12,094 13,564 GNMA II GPM 9.75% 12/20/16 to 9/20/17 23,354 25,895 GNMA II S.F. 15 yr 7.50% 3/20/09 28,779 29,957 GNMA II S.F. 30 yr 9.50% 11/20/20 to 11/20/21 316,311 351,479 10.50% 6/20/20 7,725 8,787 11.00% 9/20/15 to 10/20/15 156,741 173,625 11.50% 12/20/17 to 10/20/18 91,637 102,674 12.00% 4/20/14 to 5/20/16 342,048 383,758 12.50% 10/20/13 to 1/20/14 135,572 152,621 ----------- TOTAL AGENCY MORTGAGE-BACKED SECURITIES (COST $115,849,421) 114,960,128 =========== AGENCY OBLIGATIONS- 5.45% Fannie Mae 5.00% 4/15/15 2,670,000 2,695,968 Federal Home Loan Bank 3.50% 9/15/06 2,575,000 2,560,650 3.625% 2/16/07 1,500,000 1,491,135 4.875% 11/15/06 115,000 116,772 Federal Home Loan Bank System Series 6T-9009 1 3.84% 11/25/09 2,292,901 2,233,783 ^Financing Corporation Principal Strips PRN 2 5.019% 11/30/17 1,320,000 697,097 ^Freddie Mac Principal Strip 3.57% 10/15/08 6,630,000 5,693,805 ^Residual Funding Principal Strip 5.122% 10/15/19 1,240,000 598,822 ----------- TOTAL AGENCY OBLIGATIONS (COST $16,271,978) 16,088,032 =========== ASSET BACKED SECURITIES- 6.51% oAmerican Express Credit Account Master Trust Series 2003-3 A 2.92% 11/15/10 500,000 501,138 AmeriCredit Automobile Receivables Trust Series 2001-C A4 5.01% 7/14/08 441,175 444,545 Series 2001-D A4 4.41% 11/12/08 663,579 666,920 oBank One Issuance Trust Series 2003 A6 2.92% 2/15/11 1,025,000 1,027,204 oChase Credit Card Master Trust Series 2002-1 A 2.91% 6/15/09 750,000 751,233 CIT Equipment Collateral Series 2005-VT1 A4 4.36% 11/20/12 1,535,000 1,535,921 Countrywide Asset-Backed Certificates Series 2004-S1 A2 3.872% 3/25/20 775,000 765,009
Equity One ABS Series 2004-1 AF3 3.054% 4/25/34 1,510,000 1,485,068 oGMAC Mortgage Corp Loan Trust Series 2004-HE5 A2 3.685% 9/25/34 2,400,000 2,375,003 Harley-Davidson Motorcycle Trust Series 2003-4 A1 1.47% 4/15/08 644,742 640,317 oNovastar Home Equity Loan Series 2004-4 A2B 3.19% 3/25/35 1,225,000 1,229,634 Renaissance Home Equity Loan Trust Series 2004-4 AF2 3.856% 2/25/34 870,000 860,842 oResidential Asset Mortgage Products Series 2004-RZ2 AI3 4.30% 1/25/31 755,000 752,073 Residential Asset Securities Series 1999-KS1 AI8 6.32% 4/25/30 1,957,418 1,971,844 #Sierra Receivables Funding Company 144A Series 2003-1A 3.09% 1/15/14 666,170 650,085 Series 2003-2A A1 3.03% 12/15/15 577,187 567,392 Structured Asset Securities Capital I Series 2005-NC1 A2 3.92% 2/25/35 1,240,000 1,227,600 WFS Financial Owner Trust Series 2002-1 A4A 4.87% 9/20/09 1,747,178 1,760,804 ----------- TOTAL ASSET BACKED SECURITIES (COST $19,432,837) 19,212,632 =========== COMMERCIAL MORTGAGE-BACKED SECURITIES- 1.07% Bank of America Commercial Mortgage Series 2005-1 A3 4.877% 11/10/42 1,575,000 1,582,921 oMerrill Lynch Mortgage Trust Series 2005-MKB2 A4 5.204% 9/12/42 275,000 276,509 Morgan Stanley Capital I Series 1998-XL1 A2 6.45% 6/3/30 1,310,000 1,313,373 ----------- TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (COST $3,176,799) 3,172,803 =========== CORPORATE BONDS- 3.02% Banking - 0.22% First Bank National Association 7.30% 8/15/05 650,000 657,885 ----------- 657,885 ----------- Brokerage - 0.51% Merrill Lynch o4.056% 3/12/07 500,000 495,825 6.00% 2/17/09 500,000 523,459 oMorgan Stanley 3.02% 11/24/06 490,000 490,818 ----------- 1,510,102 ----------- Consumer Non-Cyclical - 0.41% Kraft Foods 4.625% 11/1/06 400,000 402,772 Universal 6.50% 2/15/06 790,000 805,428 ----------- 1,208,200 ----------- Electric - 0.39% FPL Group Capital 4.086% 2/16/07 115,000 114,769 Southern Capital Funding 5.30% 2/1/07 1,000,000 1,028,919 ----------- 1,143,688 ----------- Financial/Other - 1.49% #Berkshire Hathaway Finance 144A 4.125% 1/15/10 5,000 4,883 o#Premium Asset Trust Series 2005-2 144A 2.796% 2/2/07 4,400,000 4,400,000 4,404,883 ----------- TOTAL CORPORATE BONDS (COST $9,022,620) 8,924,758 =========== MUNICIPAL BONDS- 0.46% oArizona Educational Loan Marketing Corporation Series 2004-A A1 3.01% 12/1/13 527,333 527,828 oMassachusetts State Special Obligation Revenue Loan 3.70% 6/1/22 (FSA) 750,000 836,257 ----------- TOTAL MUNICIPAL BONDS (COST $1,359,072) 1,364,085 =========== NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS- 8.64% Bank of America Alternative Loan Trust Series 2004-11 1CB1 6.00% 12/25/34 2,142,529 2,181,885 oBank of America Mortgage Securities Series 2004-E 1A1 3.53% 6/25/34 1,055,757 1,044,549 oCountrywide Alternative Loan Trust Series 2004-J7 1A2 4.673% 8/25/34 710,000 709,360 oCountrywide Home Loan Mortgage Pass Through Trust Series 2001-HYB2 3A1 5.412% 9/19/31 368,617 369,212 Credit Suisse First Boston Mortgage Securities Series 2003-29 5A1 7.00% 12/25/33 1,084,334 1,120,413 Series 2004-1 3A1 7.00% 2/25/34 472,016 487,614 oDeutsche Mortgage Securities Series 2004-4 1A2 4.01% 4/25/34 785,000 784,062 First Horizon Alternative Mortgage Securities Series 2004-FA1 1A1 6.25% 10/25/34 1,616,678 1,657,766 #GSMPS Mortgage Loan Trust 144A Series 1998-2 A 7.75% 5/19/27 576,272 612,528 Series 1999-3 A 8.00% 8/19/29 1,407,794 1,507,300 Series 2005-RP1 A4 8.50% 1/25/35 1,602,660 1,744,968 GSR Mortgage Home Loan Trust Series 2004-2F 9A1 6.00% 9/25/19 1,342,002 1,369,247 oJ.P. Morgan Mortgage Trust Series 2004-A5 4A2 4.85% 12/25/34 883,906 883,777 MASTR Reperforming Loan Trust Series 2005-1 1A5 8.00% 3/25/35 1,045,000 1,115,538 oNomura Asset Acceptance Series 2004-AP2 A2 4.099% 7/25/34 920,000 917,493 Residential Asset Mortgage Products Series 2004-SL1 A3 7.00% 11/25/31 793,647 814,704 Series 2004-SL4 A3 6.50% 7/25/32 753,746 775,635
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2005-1 5A2 6.00% 3/25/35 568,958 574,292 Series 2005-1 6A2 6.50% 3/25/35 162,220 166,123 oWashington Mutual Series 2003-AR4 A7 3.95% 5/25/33 1,559,462 1,533,449 Series 2005-AR3 A1 4.66% 3/25/35 1,586,676 1,575,171 oWells Fargo Mortgage Backed Securities Trust Series 2004-DD 2A3 4.544% 1/25/35 835,000 831,706 Series 2004-I 1A1 3.391% 7/25/34 2,727,123 2,745,657 -------------- TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (COST $25,753,700) 25,522,449 ============== U.S. TREASURY OBLIGATIONS- 13.93% U.S. Treasury Bond 12.00% 8/15/13 1,930,000 2,409,335 U.S. Treasury Inflation Index Notes 0.875% 4/15/10 1,484,676 1,452,751 1.625% 1/15/15 2,306,882 2,273,540 2.00% 1/15/14 3,003,120 3,074,825 @2.00% 7/15/14 7,061,108 7,214,603 3.00% 7/15/12 1,564,311 1,722,153 3.375% 1/15/07 4,110,157 4,316,154 4.25% 1/15/10 3,037,485 3,458,663 U.S. Treasury Notes 3.375% 2/28/07 2,565,000 2,547,066 3.375% 2/15/08 3,000,000 2,955,939 4.00% 3/15/10 6,300,000 6,252,756 4.00% 2/15/15 3,585,000 3,445,522 -------------- TOTAL U.S. TREASURY OBLIGATIONS (COST $41,613,338) 41,123,307 ============== REPURCHASE AGREEMENTS- 4.80% With BNP Paribas 2.60% 4/1/05 (dated 3/31/05, to be repurchased at $7,470,540 collateralized by $284,000 U.S. Treasury Bills due 7/28/05, market value $281,221 and $7,424,000 U.S. Treasury Bills due 8/18/05, market value $7,339,481) 7,470,000 7,470,000 With UBS Warburg 2.50% 4/1/05 (dated 3/31/05, to be repurchased at $6,694,465, collateralized by $838,000 U.S. Treasury Notes 6.75% due 5/15/05, market value $863,497, $3,997,000 U.S. Treasury Notes 2.50% due 5/31/06 market value $3,997,039 and $1,998,000 U.S. Treasury Notes 2.375% due 8/15/06, market value $1,969,877) 6,694,000 6,694,000 -------------- TOTAL REPURCHASE AGREEMENTS (COST $14,164,000) 14,164,000 ============= TOTAL MARKET VALUE OF SECURITIES - 105.38% (cost $313,670,185) 311,190,136 LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS (SEE NOTES) - (5.38%) (15,892,998)++ -------------- NET ASSETS APPLICABLE TO 35,173,800 SHARES OUTSTANDING - 100.00% $ 295,297,138 ==============
^Zero coupon bond. The interest rate shown is the effective yield as of time of purchase. #Security exempt from registration under Rule 144A of the Securities Act of 1933. See Note 5 in "Notes." oVariable rate notes. The interest rate shown is the rate as of March 31, 2005. @Partially pledged as collateral for financial futures contracts. ++Of this amount, $25,651,467 represents payable for securities purchased as of March 31, 2005. SUMMARY OF ABBREVIATIONS: ARM - Adjustable Rate Mortgage FHAVA - Federal Housing Administration & Veterans Administration FSA - Insured by Financial Security Assurance GNMA - Government National Mortgage Association GPM - Graduate Payment Mortgage PRN - Principal Only Strip S.F. - Single Family SLMA - Student Loan Marketing Association TBA - To Be Announced yr - year The following futures contracts were outstanding at March 31, 2005: FUTURES CONTRACTS(1)
UNREALIZED CONTRACTS NOTIONAL NOTIONAL APPRECIATION TO BUY (SELL) COST (PROCEEDS) VALUE EXPIRATION DATE (DEPRECIATION) - ------------- --------------- ---------- --------------- ------------- 19 U.S. Treasury 10 Year Notes $2,077,004 $2,076,047 6/05 $ (957) (130) U.S. Treasury 2 Year Notes (26,986,483) (26,895,781) 6/05 90,702 (317) U.S. Treasury 5 Year Notes (34,087,142) (33,948,719) 6/05 138,423 54 U.S. Treasury Long Bond 6,085,985 6,014,250 6/05 (71,735) -------- $156,433 ========
(1) See Note 3 in "Notes." The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional amounts presented above represent the Fund's total exposure in such contracts, where only the net unrealized appreciation (depreciation) is reflected in the Fund's net assets. - -------------------------------------------------------------------------------- NOTES 1. SIGNIFICANT ACCOUNTING POLICIES The following accounting policies are in accordance with U.S. generally accepted accounting principles and are consistently followed by the Delaware Group Limited-Term Government Funds - Delaware Limited-Term Government Fund (the "Fund"). SECURITY VALUATION - Long-term debt securities are valued by an independent pricing service and such prices are believed to reflect the fair value of such securities. Short-term debt securities having less than 60 days to maturity are valued at amortized cost, which approximates market value. Other securities and assets for which market quotations are not readily available are fair as determined in good faith under the direction of the Fund's Broad of Trustees. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures, or with respect to foreign securities, aftermarket trading or significant events after local market trading (e.g., government actions or pronouncements, trading volume or volatility on markets, exchanges among dealers, or news events). FEDERAL INCOME TAXES - The Fund intends to continue to qualify for federal income tax purposes as a regulated investment company and make the requisite distributions to shareholders. Accordingly, no provision for federal income taxes has been made in the financial statements. CLASS ACCOUNTING - Investment income and common expenses are allocated to the classes of the Fund on the basis of "settled shares" of each class in relation to the net assets of the Fund. Realized and unrealized gain (loss) on investments is allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class. REPURCHASE AGREEMENTS - The Fund may invest in a pooled cash account along with other members of the Delaware Investments Family of Funds pursuant to an exemptive order issued by the Securities and Exchange Commission. The aggregate daily balance of the pooled cash account is invested in repurchase agreements secured by obligations of the U.S. government. The respective collateral is held by the Fund's custodian bank until the maturity of the respective repurchase agreements. Each repurchase agreement is 102% collateralized. However, in the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral may be subject to legal proceedings. USE OF ESTIMATES - The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. OTHER - Expenses common to all funds within the Delaware Investments Family of Funds are allocated amongst the funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date). Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Interest income is recorded on the accrual basis. Discounts and premiums are amortized to interest income over the lives of the respective securities. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. The Fund declares dividends daily from net investment income and pays such dividends monthly and declares and pays distributions from net realized gain on investments, if any, annually. 2. INVESTMENTS At March 31, 2005, the cost of investments for federal income tax purposes has been estimated since the final tax characteristics cannot be determined until fiscal year end. At March 31, 2005, the aggregate cost of investments and gross unrealized appreciation (depreciation) for the Fund for federal income tax purposes was as follows: Aggregate cost of investments $313,684,866 ------------ Aggregate unrealized appreciation 903,477 Aggregate unrealized depreciation (3,360,800) ------------ Net unrealized depreciation $ (2,457,323) ------------ For federal income tax purposes, at December 31, 2004, capital loss carryforwards of $26,969,464 may be carried forward and applied against future capital gains. Such capital loss carryforwards expire as follows: $9,442,127 expires in 2005, $5,505,504 expires in 2007, $5,888,621 expires in 2008 and $6,133,212 expires in 2012. 3. FUTURES CONTRACTS The Fund may invest in financial futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. (In some cases, due to the form of the futures agreement, initial margin is held in a segregated account with the Fund's custodian, rather than directly with the broker.) Subsequent payments are received from the broker or paid to the broker (or added to the segregated account) each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. 4. SWAP AGREEMENTS During the period ended March 31, 2005, the Series entered into total return swap agreements in accordance with its investment objectives. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Total return swaps involve commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent the total return of the security, instrument or basket of instruments underlying the transaction exceeds the offsetting interest obligation, the Fund will receive a payment from the counterparty. To the extent the total return of the security, instrument or basket of instruments underlying the transaction falls short of the offsetting interest obligation, the Fund will make a payment to the counterparty. The change in value of swap agreements outstanding, if any, is recorded as unrealized appreciation or depreciation daily. A realized gain or loss is recorded on maturity or termination of the swap agreement. At March 31, 2005 the Fund had no outstanding total return Swap Agreements. 5. CREDIT AND MARKET RISKS The Fund invests in fixed-income securities whose value is derived from an underlying pool of mortgages or consumer loans. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Prepayment of mortgages may shorten the stated maturity of the obligations and result in a loss of premium, if any has been paid. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities, which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund's yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories. The Fund invests in private-backed CMOs only if they are 100% collateralized at the time of issuance by securities or certificates issued or guaranteed by the U.S. government, its agencies or instrumentalities. The Fund may invest up to 10% of its total assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. At March 31, 2005, 144A securities represented approximately 3.21% of total assets. None of these securities has been determined to be illiquid securities under the Fund's Liquidity Procedures. While maintaining oversight, the Board of Trustees has delegated to the investment adviser the day-to-day functions of determining whether individual Rule 144A securities are liquid for purposes of the Fund's limitation on investments in illiquid assets. Illiquid securities, if any, have been denoted on the Schedule of Investments. ITEM 2. CONTROLS AND PROCEDURES. The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission. There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATION ------------- I, Jude T. Driscoll, certify that: 1. I have reviewed this report on Form N-Q of Delaware Group Limited-Term Government Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. JUDE T. DRISCOLL - ----------------------- By: Jude T. Driscoll Title: Chairman Date: May 27, 2005 ---------------- CERTIFICATION ------------- I, Michael P. Bishof, certify that: 1. I have reviewed this report on Form N-Q of Delaware Group Limited-Term Government Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. MICHAEL P. BISHOF - ------------------------------- By: Michael P. Bishof Title: Chief Financial Officer Date: May 26, 2005 ------------------------ SIGNATURES ---------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. DELAWARE GROUP LIMITED-TERM GOVERNMENT FUNDS JUDE T. DRISCOLL - ------------------------------- By: Jude T. Driscoll Title: Chairman Date: May 27, 2005 ------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. JUDE T. DRISCOLL - ------------------------------- By: Jude T. Driscoll Title: Chairman Date: May 27, 2005 ------------------------ MICHAEL P. BISHOF - ------------------------------- By: Michael P. Bishof Title: Chief Financial Officer Date: May 26, 2005 ------------------------ -----END PRIVACY-ENHANCED MESSAGE-----