-----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, JzSk60FwihLX6lnWZYC1uALJ4GYsnBeIUHat8vF8DWCCKETcOk/wEvUqyagtTvOh +6IXkvmDknsShtUrzbLr1A== 0001206774-06-001252.txt : 20060531 0001206774-06-001252.hdr.sgml : 20060531 20060530174110 ACCESSION NUMBER: 0001206774-06-001252 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060331 FILED AS OF DATE: 20060531 DATE AS OF CHANGE: 20060530 EFFECTIVENESS DATE: 20060531 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: 06875179 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 0000357059 S000002397 DELAWARE LIMITED-TERM GOVERNMENT FUND C000006359 DELAWARE LIMITED-TERM GOVERNMENT FUND CLASS A DTRIX C000006360 DELAWARE LIMITED-TERM GOVERNMENT FUND CLASS B DTIBX C000006361 DELAWARE LIMITED-TERM GOVERNMENT FUND CLASS C DTICX C000006362 DELAWARE LIMITED-TERM GOVERNMENT FUND CLASS R DLTRX C000006363 DELAWARE LIMITED-TERM GOVERNMENT FUND INSTITUTIONAL CLASS DTINX N-Q 1 d19383.txt 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 Fund Address of principal executive offices: 2005 Market Street Philadelphia, PA 19103 Name and address of agent for service: David F. Connor, 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, 2006
Item 1. Schedule of Investments (Unaudited) Delaware Limited-Term Government Fund March 31, 2006
Principal Market Amount Value Agency Asset-Backed Securities- 0.89% Fannie Mae Grantor Trust Series 2003-T4 2A5 4.907% 9/26/33 $ 522,455 $ 517,326 oSeries 2004-T4 A3 4.42% 8/25/24 1,783,324 1,774,675 --------- Total Agency Asset-Backed Securities (cost $2,301,108) 2,292,001 --------- Agency Collateralized Mortgage Obligations- 17.50% oE.F. Hutton Trust III Series 1 A 5.71% 10/25/17 176,314 176,333 Fannie Mae Series 1993-18 PK 6.50% 2/25/08 389,488 391,319 Series 1993-71 PL 6.50% 5/25/08 369,430 369,848 Series 1996-46 ZA 7.50% 11/25/26 571,391 603,995 Series 2001-50 BA 7.00% 10/25/41 598,038 611,889 Series 2003-122 AJ 4.50% 2/25/28 443,242 429,248 Fannie Mae Grantor Trust Series 2001-T8 A2 9.50% 7/25/41 1,665,633 1,790,986 Series 2001-T10 A1 7.00% 12/25/41 659,558 677,003 Series 2002-T1 A2 7.00% 11/25/31 378,842 387,924 Series 2003-T1 A 3.807% 11/25/12 1,137,436 1,084,414 Fannie Mae Whole Loan Series 2002-W1 2A 7.50% 2/25/42 397,178 410,330 Series 2003-W3 2A3 4.16% 6/25/42 169,599 168,590 Series 2003-W14 1A5 4.71% 9/25/43 1,065 1,061 Series 2004-W9 2A1 6.50% 2/25/44 450,580 458,758 Federal Home Loan Bank System Series 6T-9009 1 3.84% 11/25/09 1,816,797 1,737,312 Freddie Mac Series 1490 CA 6.50% 4/15/08 131,071 131,354 Series 2480 EH 6.00% 11/15/31 479,820 479,919 Series 2552 KB 4.25% 6/15/27 1,091,673 1,079,170 Series 2662 MA 4.50% 10/15/31 778,291 758,861 Series 2915 KP 5.00% 11/15/29 640,000 621,689 Series 3063 PC 5.00% 2/15/29 1,035,000 1,007,625 Freddie Mac Stated Final Series 5 GC 2.95% 12/15/09 3,013,125 2,915,976 Freddie Mac Structured Pass Through Securities Series T-42 A5 7.50% 2/25/42 140,566 145,596 Series T-56 A3B 4.406% 8/25/39 2,602,961 2,582,559 Series T-58 2A 6.50% 9/25/43 2,457,461 2,491,524 oSeries T-60 1A4C 5.395% 3/25/44 3,000,000 2,967,269 GNMA Series 2002-28 B 5.779% 7/16/24 6,000,000 6,070,073 Series 2002-61 BA 4.648% 3/16/26 2,300,548 2,258,224 Series 2003-43 B 4.374% 4/16/33 5,000,000 4,758,041 Series 2003-72 C 4.86% 2/16/30 2,500,000 2,435,003 Series 2003-78 B 5.11% 10/16/27 5,000,000 4,896,403 --------- Total Agency Collateralized Mortgage Obligations (cost $45,921,998) 44,898,296 ---------- Agency Mortgage-Backed Securities- 40.17% Fannie Mae 4.50% 3/1/14 2,309,815 2,228,250 5.50% 5/15/09 to 1/1/13 2,153,484 2,147,912 6.00% 9/1/12 1,823,066 1,845,284 6.215% 6/1/08 1,230,203 1,242,505 6.50% 8/1/17 471,665 481,246 6.765% 1/1/07 2,115,391 2,118,035 7.00% 11/15/16 1,481,417 1,523,545 7.41% 4/1/10 4,808,460 5,170,596 9.00% 11/1/15 238,141 255,182 10.00% 10/1/30 176,226 196,767 10.50% 6/1/30 91,106 102,637 16.00% 11/15/12 282,903 351,010 oFannie Mae ARM 3.023% 6/1/34 1,099,910 1,080,441 3.788% 8/1/34 1,029,661 1,026,075 4.708% 12/1/33 1,464,079 1,502,146 4.956% 11/1/33 3,108,585 3,025,011 5.068% 8/1/35 858,954 841,425 5.95% 4/1/36 5,000,000 5,041,123 Fannie Mae Balloon 7 yr 4.00% 8/1/10 1,988,303 1,911,257 5.00% 8/1/11 2,706,489 2,676,887 Fannie Mae FHAVA
7.25% 4/1/09 8,470 8,615 7.50% 3/1/25 72,700 75,836 8.50% 8/1/09 10,481 10,792 10.00% 1/1/19 68,929 76,382 11.00% 8/1/10 to 12/1/15 555,737 603,956 Fannie Mae GPM 11.00% 11/1/10 20,057 21,549 Fannie Mae Relocation 15 yr 4.00% 9/1/20 1,147,791 1,072,467 Fannie Mae Relocation 30 yr 5.00% 9/1/33 739,359 711,402 Fannie Mae S.F. 15 yr 5.00% 7/1/19 642,514 627,254 6.00% 12/1/08 to 6/1/17 2,837,759 2,872,168 7.50% 4/1/11 17,668 18,253 8.00% 10/1/09 to 10/1/16 1,609,534 1,686,342 8.50% 3/1/08 15,547 15,562 Fannie Mae S.F. 20 yr 6.50% 2/1/22 613,901 630,016 Fannie Mae S.F. 30 yr 5.50% 3/1/29 to 4/1/29 2,137,870 2,095,780 7.00% 8/1/32 to 9/1/32 553,568 570,347 7.50% 12/1/10 to 11/1/31 332,499 345,415 8.00% 6/1/07 to 5/1/24 755,366 797,943 8.50% 11/1/07 to 8/1/17 439,620 458,494 9.00% 8/1/22 633,088 684,526 9.25% 7/1/09 to 3/1/20 77,607 83,255 10.00% 2/1/25 1,193,796 1,330,290 11.00% 7/1/12 to 8/1/20 316,760 351,461 11.50% 11/1/16 110,788 123,770 12.50% 2/1/11 3,019 3,222 13.00% 7/1/15 33,840 36,684 Fannie Mae S.F. 30 yr TBA 5.00% 4/1/36 570,000 542,747 5.50% 4/1/36 350,000 341,688 6.00% 4/1/36 5,510,000 5,509,999 6.50% 4/1/36 3,385,000 3,453,758 7.00% 4/1/36 830,000 854,900 Freddie Mac 6.00% 1/1/17 734,498 739,318 6.50% 6/17/14 to 3/1/16 2,661,295 2,704,723 9.00% 3/17/08 5,077 5,066 oFreddie Mac ARM 3.733% 4/1/34 575,539 574,999 3.905% 4/1/33 1,473,896 1,501,480 Freddie Mac Balloon 5 yr 4.00% 3/1/08 to 8/1/08 2,422,096 2,357,002 4.50% 1/1/10 189,420 185,276 Freddie Mac Balloon 7 yr 4.50% 3/1/10 to 12/1/11 5,098,162 4,988,327 5.00% 6/1/11 to 11/1/11 760,366 751,574 6.00% 4/1/09 65,599 65,660 Freddie Mac FHAVA 8.00% 3/1/08 21,201 21,446 8.50% 1/1/09 11,574 11,853 9.50% 2/1/10 60,595 61,769 11.00% 2/1/14 to 11/1/15 24,113 25,837 Freddie Mac Relocation 15 yr 3.50% 9/1/18 to 10/1/18 4,771,755 4,373,612 Freddie Mac Relocation 30 yr 5.00% 9/1/33 2,920,419 2,815,466 6.50% 10/1/30 2,960 3,020 Freddie Mac S.F. 15 yr 4.00% 2/1/14 4,736,681 4,477,642 4.50% 5/1/19 5,844,987 5,585,615 6.00% 10/1/10 25,490 25,825 6.50% 6/1/11 42,312 43,119 7.50% 4/1/11 92,585 95,709 8.00% 7/1/16 309,439 328,296 Freddie Mac S.F. 20 yr 5.50% 9/1/24 2,318,471 2,285,143 Freddie Mac S.F. 30 yr 7.00% 11/1/33 1,208,157 1,245,535 8.00% 10/1/07 to 5/1/31 1,026,510 1,067,395 8.25% 3/1/09 73,677 74,391 8.50% 12/1/08 to 11/1/10 100,217 102,071 8.75% 5/1/10 69,023 71,697 9.00% 6/1/09 to 9/1/30 457,068 498,613 9.50% 6/1/16 11,200 11,595 9.75% 12/1/08 14,317 14,863 11.00% 11/1/19 to 5/1/20 41,534 45,820 11.50% 6/1/15 to 3/1/16 562,037 627,042 Freddie Mac S.F. 30 yr TBA 5.00% 4/1/36 265,000 252,164
GNMA I S.F. 15 yr 6.00% 2/15/09 to 6/15/09 231,490 233,238 7.50% 7/15/10 to 9/15/10 347,093 353,805 9.00% 11/15/06 1,488 1,492 GNMA I S.F. 30 yr 6.00% 4/15/33 691,926 700,792 7.00% 5/15/28 516,678 539,283 7.50% 12/15/23 to 12/15/31 651,442 684,317 8.00% 6/15/30 18,524 19,815 9.00% 10/15/09 to 2/15/17 176,612 185,569 9.50% 6/15/16 to 11/15/17 30,765 33,654 11.00% 12/15/09 to 5/15/20 324,861 357,996 GNMA I Buydown 30 yr 10.50% 11/15/15 96,498 106,298 GNMA I GPM 11.00% 7/15/10 21,647 23,196 11.50% 4/15/10 15,589 16,855 12.25% 1/15/14 17,114 18,783 GNMA I Mobile Home 6.50% 9/15/10 25,117 25,619 GNMA II GPM 9.75% 12/20/16 to 9/20/17 22,250 24,212 GNMA II S.F. 15 yr 7.50% 3/20/09 13,420 13,752 GNMA II S.F. 30 yr 9.50% 11/20/20 to 11/20/21 231,315 254,254 10.50% 6/20/20 2,505 2,783 11.00% 9/20/15 to 10/20/15 135,520 149,239 11.50% 12/20/17 to 10/20/18 78,949 89,026 12.00% 4/20/14 to 5/20/16 285,127 317,240 12.50% 10/20/13 to 1/20/14 82,750 91,491 ------ Total Agency Mortgage-Backed Securities (cost $105,249,389) 103,063,879 ----------- Agency Obligations- 5.42% Federal Home Loan Bank 3.50% 9/15/06 670,000 665,337 3.625% 2/16/07 1,500,000 1,481,162 4.875% 11/15/06 115,000 114,828 Freddie Mac 4.625% 12/19/08 1,010,000 999,139 4.875% 2/17/09 1,645,000 1,637,226 5.00% 2/8/08 3,200,000 3,190,675 ^Freddie Mac Principal Strip 3.57% 10/15/08 6,630,000 5,834,208 --------- Total Agency Obligations (cost $14,128,863) 13,922,575 ---------- Commercial Mortgage-Backed Securities- 1.98% oBank of America Commercial Mortgage Securities Series 2005-2 A5 4.857% 7/10/43 215,000 204,103 oCitigroup/Deutsche Bank Commercial Mortgage Trust Series 2005-CD1 AJ 5.40% 7/15/44 235,000 228,379 #CS First Boston Mortgage Securities Series 2001-SPGA A2 144A 6.515% 8/13/18 1,225,000 1,286,996 Greenwich Capital Commercial Funding Series 2005-GG3 A2 4.305% 8/10/42 135,000 130,286 LB-UBS Commercial Mortgage Trust Series 2005-C5 A2 4.885% 9/15/30 1,030,000 1,010,635 Series 2006-C1 A2 5.084% 2/15/31 300,000 296,203 Merrill Lynch Mortgage Trust Series 2005-CIP1 A2 4.96% 7/12/38 270,000 265,092 oSeries 2005-CIP1 B 5.274% 7/12/38 340,000 328,051 Morgan Stanley Capital I Series 1998-XL1 A2 6.45% 6/3/30 101,910 101,867 Series 2005-HQ6 A2A 4.882% 8/13/42 475,000 465,621 #Tower 144A Series 2006-1 B 5.588% 2/15/36 255,000 252,840 Series 2006-1 C 5.707% 2/15/36 390,000 386,880 oWachovia Bank Commercial Mortgage Trust Series 2006-C23 AJ 5.515% 1/15/45 115,000 113,208 ------- Total Commercial Mortgage-Backed Securities (cost $5,150,464) 5,070,161 --------- Corporate Bonds- 1.17% Brokerage - 0.58% Merrill Lynch o4.79% 3/12/07 500,000 496,965 6.00% 2/17/09 500,000 509,254 oMorgan Stanley 4.93% 11/24/06 490,000 490,478 ------- 1,496,697 Consumer Non-Cyclical - 0.16% Kraft Foods 4.625% 11/1/06 400,000 398,623 ------- 398,623 Electric - 0.43% FPL Group Capital 4.086% 2/16/07 115,000 113,807 Southern Capital Funding 5.30% 2/1/07 1,000,000 996,046 ------- 1,109,853 Total Corporate Bonds (cost $3,094,013) 3,005,173 --------- Municipal Bonds- 0.40% oMassachusetts State Special Obligation Revenue Loan 3.768% 6/1/22 (FSA) 950,000 1,032,983 ---------
Total Municipal Bonds (cost $1,047,234) 1,032,983 --------- Non-Agency Asset Backed Securities- 7.54% oAmeriquest Mortgage Securities Series 2006-R1 A2C 5.008% 3/25/36 1,335,000 1,334,986 Chase Funding Mortgage Loan Asset-Backed Certificates Series 2003-3 1A4 3.303% 11/25/29 645,611 634,126 Countrywide Asset-Backed Certificates Series 2004-S1 A2 3.872% 3/25/20 775,000 760,396 oSeries 2005-12 2A2 4.898% 2/25/36 670,000 662,368 oSeries 2006-1 AF2 5.281% 7/25/36 260,000 258,590 oSeries 2006-3 2A2 4.998% 6/25/36 1,750,000 1,749,981 oSeries 2006-4 2A2 4.998% 7/25/36 1,855,000 1,855,000 Equity One ABS Series 2004-1 AF3 3.054% 4/25/34 732,291 727,649 General Motors Acceptance Corporation Mortgage Corporation Loan Trust Series 2003-HE2 A3 4.12% 10/25/26 265,000 262,066 Harley-Davidson Motorcycle Trust Series 2003-4 A1 1.47% 4/15/08 82,025 81,904 Renaissance Home Equity Loan Trust Series 2004-4 AF2 3.856% 2/25/35 870,000 863,021 Series 2005-4 A2 5.399% 12/1/35 405,000 402,654 Series 2005-4 A3 5.565% 2/25/36 255,000 253,194 oResidential Asset Mortgage Products Series 2004-RZ2 AI3 4.30% 1/25/31 755,000 745,144 oResidential Asset Securities Series 2006-KS3 AI3 4.992% 4/25/36 1,505,000 1,505,000 Residential Funding Mortgage Securities II Series 2003-HS2 AI3 3.17% 3/25/18 2,007,000 1,956,527 oSeries 2005-HI2 A1 4.958% 5/25/35 250,910 250,937 oSeries 2006-HSA2 AI2 5.50% 3/25/36 1,600,000 1,593,422 #Sierra Receivables Funding Company 144A Series 2003-1A A 3.09% 1/15/14 433,762 424,410 Series 2003-2A A1 3.03% 12/15/15 354,099 342,527 Structured Asset Securities Series 2005-4XS 1A2B 4.67% 3/25/35 1,685,000 1,660,207 Series 2005-NC1 A2 3.92% 2/25/35 1,023,166 1,013,763 --------- Total Non-Agency Asset Backed Securities (cost $19,422,778) 19,337,872 ---------- Non-Agency Collateralized Mortgage Obligations- 7.81% oAmerican Home Mortgage Investment Trust Series 2004-2 4A2 3.635% 2/25/44 120,945 120,736 Bank of America Alternative Loan Trust Series 2005-5 2CB1 6.00% 6/25/35 513,192 510,466 oBear Stearns Adjustable Rate Mortgage Trust Series 2005-7 1A2 4.75% 8/25/35 351,832 341,886 Bear Stearns Alternative A Trust Series 2006-3 A3 6.202% 5/25/36 1,050,000 1,056,237 Bear Stearns Asset Backed Securities Series 2005-AC8 A5 5.50% 11/25/35 981,922 970,546 Countrywide Alternative Loan Trust oSeries 2004-J7 1A2 4.673% 8/25/34 594,593 589,024 Series 2006-2CB A3 5.50% 3/25/36 750,746 745,927 Credit Suisse First Boston Mortgage Securities Series 2003-29 5A1 7.00% 12/25/33 476,709 483,413 oSeries 2003-AR22 2A3 4.107% 9/25/33 258,226 256,912 Series 2004-1 3A1 7.00% 2/25/34 255,009 258,081 First Horizon Alternative Mortgage Securities Series 2004-FA1 1A1 6.25% 10/25/34 1,061,973 1,065,045 oGeneral Motors Acceptance Corporation Mortgage Loan Trust Series 2005-AR2 A4 5.195% 5/25/35 792,275 768,887 #GSMPS Mortgage Loan Trust 144A Series 1998-2 A 7.75% 5/19/27 414,961 431,742 Series 1999-3 A 8.00% 8/19/29 1,042,199 1,092,027 Series 2005-RP1 1A4 8.50% 1/25/35 1,195,571 1,293,130 GSR Mortgage Home Loan Trust Series 2004-2F 9A1 6.00% 9/25/19 829,896 831,256 oIndymac Index Mortgage Loan Trust Series 2006-AR2 1A1A 5.038% 4/25/46 1,240,067 1,240,067 Series 2006-AR7 5A1 6.166% 5/25/36 685,000 689,069 oJ.P. Morgan Mortgage Trust Series 2004-A5 4A2 4.849% 12/25/34 616,024 605,783 Lehman Mortgage Trust Series 2005-2 2A3 5.50% 12/25/35 898,188 893,990 #MASTR Reperforming Loan Trust Series 2005-1 1A5 144A 8.00% 8/25/34 766,571 804,518 #MASTR Specialized Loan Trust Series 2005-2 A2 144A 5.15% 7/25/35 874,035 856,828 Residential Asset Mortgage Products Series 2004-SL1 A3 7.00% 11/25/31 502,451 510,726 Series 2004-SL4 A3 6.50% 7/25/32 536,122 543,855 Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2005-1 5A2 6.00% 3/25/35 469,250 459,167 Series 2005-1 6A2 6.50% 3/25/35 104,330 104,857 oWashington Mutual Series 2003-AR4 A7 3.95% 5/25/33 1,129,445 1,099,043 oWells Fargo Mortgage Backed Securities Trust Series 2006-AR4 2A1 5.798% 4/25/36 1,425,000 1,413,528 --------- Total Non-Agency Collateralized Mortgage Obligations (cost $20,407,084) 20,036,746 ---------- U.S. Treasury Obligations- 17.29% U.S. Treasury Bond 6.25% 8/15/23 550,000 623,950 oo12.00% 8/15/13 1,930,000 2,237,217
U.S. Treasury Inflation Index Notes 0.875% 4/15/10 429,061 406,536 1.875% 7/15/15 1,019,240 980,541 2.00% 1/15/14 to 1/15/16 893,442 868,196 3.00% 7/15/12 6,698,417 6,982,315 3.875% 1/15/09 1,577,549 1,652,114 4.25% 1/15/10 3,157,978 3,393,964 U.S. Treasury Notes 3.625% 4/30/07 6,915,000 6,827,484 3.75% 3/31/07 1,335,000 1,320,921 4.375% 11/15/08 3,935,000 3,891,349 4.50% 2/28/11 to 2/15/16 7,875,000 7,759,321 ^U.S. Treasury Strip 4.254% 11/15/13 10,735,000 7,408,009 --------- Total U.S. Treasury Obligations (cost $45,805,014) 44,351,917 ---------- Repurchase Agreements- 6.28% With BNP Paribas 4.45% 4/3/06 (dated 3/31/06, to be repurchased at $8,045,983, collateralized by $8,287,000 U.S. Treasury Bills due 4/20/06, market value $8,268,866) 8,043,000 8,043,000 With Cantor Fitzgerald 4.48% 4/3/06 (dated 3/31/06, to be repurchased at $3,873,446, collateralized by $1,088,000 U.S. Treasury Bills due 6/22/06, market value $1,077,894, $1,256,000 U.S. Treasury Bills due 7/20/06, market value $1,239,090, $1,046,000 U.S. Treasury Bills due 8/17/06, market value $1,028,535 and $608,000 U.S. Treasury Notes 2.625% due 11/15/06, market value $605,965) 3,872,000 3,872,000 With UBS Warburg 4.48% 4/3/06 (dated 3/31/06, to be repurchased at $4,187,563, collateralized by $4,372,000 U.S. Treasury Bills due 9/28/06, market value $4,272,535) 4,186,000 4,186,000 --------- Total Repurchase Agreements (cost $16,101,000) 16,101,000 ---------- Total Market Value of Securities - 106.45% (cost $278,628,945) 273,112,603 Liabilities Net of Receivables and Other Assets (See Notes) - (6.45%)@ (16,545,519) ------------ Net Assets Applicable to 31,323,145 Shares Outstanding - 100.00% $256,567,084 ------------
@Of this amount, $21,535,534 represents payable for securities purchases as of March 31, 2006. ^Zero coupon security. The interest rate shown is the yield at the time of purchase. #Security exempt from registration under Rule 144A of the Securities Act of 1933. At March 31, 2006, the aggregate amount of Rule 144A securities equals $7,171,898, which represented 2.80% of the Fund's net assets. See Note 5 in "Notes." oVariable rate security. The interest rate shown is the rate as of March 31, 2006. ooFully or partially pledged as collateral for financial futures contracts. 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 - Graduated Payment Mortgage S.F. - Single Family TBA - To Be Announced yr - Year The following futures contracts and swap agreements were outstanding at March 31, 2006: Futures Contracts(1)
Unrealized Contracts Notional Notional Appreciation to Buy (Sell) Cost (Proceeds) Value Expiration Date (Depreciation) ------------- --------------- ----- --------------- -------------- (146) U.S. Treasury 2 year notes $(29,788,520) $(29,763,469) 6/30/06 $ 25,051 66 U.S. Treasury 5 year notes 6,931,460 6,892,875 6/30/06 (38,585) (152) U.S. Treasury 10 year notes (16,279,259) (16,171,375) 6/30/06 107,884 (6) U.S. Treasury long bond (675,055) (654,938) 6/30/06 20,117 ---------- $114,467 ==========
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 (as defined below) total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund's net assets. Swap Agreements(2)
Unrealized Notional Amount Expiration Date Description Depreciation - --------------- --------------- ----------- ------------ $8,050,000 5/1/06 Agreement with Goldman Sachs to receive $(105,923) the notional amount multiplied by the return on the Lehman Brothers Commercial MBS Index AAA and to pay the notional amount multiplied by the 1 month BBA LIBOR adjusted by a spread of plus 0.07%.
Because there is no organized market for these swap agreements, the value of open swaps may differ from that which would be realized in the event the Fund (as defined below) terminated its position in the agreement. Risks of entering into these agreements include the potential inability of the counterparty to meet the terms of the agreements. This type of risk is generally limited to the amount of favorable movements in the value of the underlying security, instrument, or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the related unrealized amounts shown above. (1)See Note 3 in "Notes." (2)See Note 4 in "Notes." - -------------------------------------------------------------------------------- Notes 1. Significant Accounting Policies The following accounting policies are in accordance with U.S. generally accepted accounting principles and are consistently followed by 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. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Swap agreements and other securities and assets for which market quotations are not readily available are valued at fair value 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 are 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(R) 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(R) 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) for financial reporting purposes. 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, 2006, 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, 2006, the cost of investments and unrealized appreciation (depreciation) for the Fund were as follows:
Cost of investments $ 278,732,713 ------------- Aggregate unrealized appreciation 184,811 Aggregate unrealized depreciation (5,804,921) ------------- Net unrealized depreciation $ (5,620,110) -------------
For federal income tax purposes, at December 31, 2005, capital loss carryforwards of $19,618,627 may be carried forward and applied against future capital gains. Such capital loss carryforwards expire as follows: $5,505,504 expires in 2007, $5,888,621 expires in 2008, $6,133,212 expires in 2012 and $2,091,290 expires in 2013. 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. The unrealized gain (loss) is included in liabilities net of receivables and other assets. 4. Swap Agreements During the period ended March 31, 2006, the Fund 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. 5. Credit and Market Risk 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. 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 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. While maintaining oversight, the Fund's Board of Trustees has delegated to Delaware Management Company the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund's limitation on investments in illiquid assets. At March 31, 2006, no securities have been determined to be illiquid under the Fund's Liquidity Procedures. Rule 144A securities have been identified 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 (the registrant's second fiscal half-year in the case of an annual report) 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: Chief Executive Officer Date: May 25, 2006 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 25, 2006 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: Chief Executive Officer Date: May 25, 2006 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: Chief Executive Officer Date: May 25, 2006 Michael P. Bishof - -------------------------------- By: Michael P. Bishof Title: Chief Financial Officer Date: May 25, 2006 -----END PRIVACY-ENHANCED MESSAGE-----