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: | 811-03363 |
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: | David F. Connor, Esq. |
2005 Market Street | |
Philadelphia, PA 19103 | |
Registrants telephone number, including area code: | (800) 523-1918 |
Date of fiscal year end: | December 31 |
Date of reporting period: | September 30, 2015 |
Item 1. Schedule of Investments.
Schedule of investments | |
Delaware Limited-Term Diversified Income Fund | September 30, 2015 (Unaudited) |
Principal amount° | Value (U.S. $) | ||||
Agency Asset-Backed Securities 0.02% | |||||
Fannie Mae Grantor Trust | |||||
Series 2003-T4 2A5 5.15% 9/26/33 Φ | 202,528 | $ | 221,699 | ||
Fannie Mae REMIC Trust | |||||
Series 2001-W2 AS5 6.473% 10/25/31 Φ | 2,257 | 2,339 | |||
Freddie Mac Structured Pass Through Securities | |||||
Series T-30 A5 7.446% 12/25/30 ⧫Φ | 5,199 | 5,488 | |||
SLM Student Loan Trust | |||||
Series 2004-4 A4 0.425% 1/25/19 ● | 2,714 | 2,682 | |||
Total Agency Asset-Backed Securities (cost $211,340) | 232,208 | ||||
Agency Collateralized Mortgage Obligations 1.88% | |||||
Fannie Mae Grantor Trust | |||||
Series 2001-T5 A2 6.989% 6/19/41 ● | 33,329 | 37,836 | |||
Series 2002-T1 A2 7.00% 11/25/31 | 79,931 | 95,911 | |||
Fannie Mae REMIC Trust | |||||
Series 2002-W1 2A 6.391% 2/25/42 ● | 95,461 | 111,964 | |||
Fannie Mae REMICs | |||||
Series 2002-90 A1 6.50% 6/25/42 | 1,019 | 1,169 | |||
Series 2003-52 NA 4.00% 6/25/23 | 136,515 | 143,685 | |||
Series 2003-120 BL 3.50% 12/25/18 | 357,926 | 368,262 | |||
Series 2004-36 FA 0.594% 5/25/34 ● | 378,977 | 381,298 | |||
Series 2004-49 EB 5.00% 7/25/24 | 40,603 | 43,923 | |||
Series 2005-66 FD 0.494% 7/25/35 ● | 1,680,605 | 1,681,467 | |||
Series 2005-110 MB 5.50% 9/25/35 | 14,695 | 15,792 | |||
Series 2006-105 FB 0.614% 11/25/36 ● | 103,018 | 103,823 | |||
Series 2010-29 PA 4.50% 10/25/38 | 81,849 | 84,001 | |||
Series 2010-75 NA 4.00% 9/25/28 | 280,190 | 286,230 | |||
Series 2011-88 AB 2.50% 9/25/26 | 179,312 | 181,994 | |||
Series 2011-105 FP 0.594% 6/25/41 ● | 2,989,491 | 2,994,600 | |||
Series 2011-113 MC 4.00% 12/25/40 | 290,647 | 306,037 | |||
Freddie Mac REMICs | |||||
Series 2901 CA 4.50% 11/15/19 | 126,765 | 130,919 | |||
Series 2931 GC 5.00% 1/15/34 | 46,379 | 47,066 | |||
Series 3016 FL 0.597% 8/15/35 ● | 73,541 | 73,684 | |||
Series 3027 DE 5.00% 9/15/25 | 41,811 | 45,478 | |||
Series 3067 FA 0.557% 11/15/35 ● | 3,543,073 | 3,555,694 | |||
Series 3232 KF 0.657% 10/15/36 ● | 103,199 | 103,791 | |||
Series 3241 FM 0.587% 11/15/36 ● | 36,075 | 36,267 | |||
Series 3297 BF 0.447% 4/15/37 ● | 1,140,110 | 1,139,389 | |||
Series 3316 FB 0.507% 8/15/35 ● | 175,901 | 176,229 | |||
Series 3416 GK 4.00% 7/15/22 | 101 | 101 | |||
Series 3737 NA 3.50% 6/15/25 | 177,691 | 187,111 | |||
Series 3780 LF 0.607% 3/15/29 ● | 485,245 | 485,903 |
NQ-022 [9/15] 11/15 (15501) 1
Schedule of
investments
Delaware
Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (U.S. $) | ||||
Agency Collateralized Mortgage Obligations (continued) | |||||
Freddie Mac REMICs | |||||
Series 3800 AF 0.707% 2/15/41 ● | 2,334,499 | $ | 2,354,933 | ||
Series 3803 TF 0.607% 11/15/28 ● | 430,081 | 431,683 | |||
Series 4163 CW 3.50% 4/15/40 | 3,908,940 | 4,099,427 | |||
Freddie Mac Structured Pass Through Securities | |||||
Series T-42 A5 7.50% 2/25/42 ⧫ | 41,958 | 50,078 | |||
Series T-54 2A 6.50% 2/25/43 ⧫ | 959 | 1,142 | |||
Series T-58 2A 6.50% 9/25/43 ⧫ | 668,597 | 773,248 | |||
Series T-60 1A4C 4.634% 3/25/44 ⧫● | 30,743 | 30,692 | |||
Total Agency Collateralized Mortgage Obligations (cost $20,381,854) | 20,560,827 | ||||
Agency Mortgage-Backed Securities 4.66% | |||||
Fannie Mae | |||||
6.50% 8/1/17 | 14,608 | 14,987 | |||
10.00% 10/1/30 | 94,148 | 104,118 | |||
10.50% 6/1/30 | 25,628 | 26,164 | |||
Fannie Mae ARM | |||||
2.089% 3/1/38 ● | 7,596 | 8,016 | |||
2.227% 11/1/39 ● | 340,311 | 361,952 | |||
2.254% 9/1/38 ● | 2,027,470 | 2,178,082 | |||
2.269% 4/1/36 ● | 41,560 | 44,093 | |||
2.294% 8/1/34 ● | 148,755 | 157,048 | |||
2.299% 12/1/33 ● | 124,311 | 131,844 | |||
2.35% 11/1/35 ● | 467,266 | 496,567 | |||
2.352% 4/1/36 ● | 5,415 | 5,772 | |||
2.41% 4/1/36 ● | 579,205 | 617,434 | |||
2.444% 8/1/36 ● | 51,289 | 54,522 | |||
2.457% 11/1/35 ● | 38,457 | 40,911 | |||
2.461% 6/1/36 ● | 173,866 | 185,228 | |||
2.518% 7/1/36 ● | 111,792 | 119,121 | |||
2.527% 6/1/34 ● | 77,031 | 82,011 | |||
2.527% 7/1/36 ● | 136,738 | 145,642 | |||
2.576% 8/1/35 ● | 35,318 | 37,311 | |||
3.452% 1/1/41 ● | 241,968 | 253,905 | |||
4.536% 11/1/39 ● | 2,046,121 | 2,189,489 | |||
Fannie Mae FHAVA | |||||
7.50% 3/1/25 | 277 | 279 | |||
10.00% 1/1/19 | 25,634 | 26,119 | |||
Fannie Mae S.F. 15 yr | |||||
3.00% 1/1/29 | 132,481 | 138,252 | |||
4.00% 4/1/24 | 102,331 | 108,690 | |||
4.00% 5/1/27 | 1,183,018 | 1,259,215 | |||
4.50% 9/1/20 | 916,060 | 951,206 |
2 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Agency Mortgage-Backed Securities (continued) | ||||||
Fannie Mae S.F. 15 yr | ||||||
5.00% 9/1/18 | 82,626 | $ | 85,848 | |||
5.00% 10/1/18 | 1,229 | 1,284 | ||||
5.00% 2/1/19 | 2,308 | 2,413 | ||||
5.00% 9/1/25 | 7,650,903 | 8,251,613 | ||||
5.50% 1/1/23 | 9,054 | 9,974 | ||||
5.50% 4/1/23 | 28,816 | 31,223 | ||||
6.00% 3/1/18 | 314,888 | 323,441 | ||||
6.00% 8/1/22 | 22,469 | 24,615 | ||||
Fannie Mae S.F. 20 yr | ||||||
5.50% 12/1/29 | 100,536 | 112,163 | ||||
6.00% 9/1/29 | 408,365 | 460,247 | ||||
6.50% 2/1/22 | 62,443 | 71,334 | ||||
Fannie Mae S.F. 30 yr | ||||||
4.50% 4/1/41 | 973,922 | 1,058,579 | ||||
4.50% 11/1/41 | 440,662 | 479,288 | ||||
4.50% 11/1/43 | 933,129 | 1,012,510 | ||||
5.00% 4/1/33 | 248,056 | 273,145 | ||||
5.00% 3/1/34 | 3,782 | 4,183 | ||||
5.50% 12/1/32 | 30,428 | 34,256 | ||||
5.50% 6/1/33 | 95,097 | 106,961 | ||||
5.50% 5/1/34 | 1,129,007 | 1,271,341 | ||||
5.50% 3/1/35 | 138,375 | 154,757 | ||||
5.50% 9/1/35 | 427,981 | 481,603 | ||||
5.50% 12/1/35 | 146,301 | 164,634 | ||||
5.50% 1/1/36 | 476,076 | 536,442 | ||||
5.50% 4/1/36 | 1,153,611 | 1,296,849 | ||||
5.50% 5/1/36 | 80,920 | 91,179 | ||||
5.50% 7/1/36 | 45,541 | 51,284 | ||||
5.50% 9/1/36 | 46,412 | 52,023 | ||||
5.50% 11/1/36 | 995,080 | 1,116,832 | ||||
5.50% 2/1/37 | 370,259 | 414,649 | ||||
5.50% 4/1/37 | 373,236 | 417,878 | ||||
5.50% 6/1/37 | 470,886 | 525,656 | ||||
5.50% 8/1/37 | 358,986 | 403,880 | ||||
5.50% 1/1/38 | 1,784,859 | 1,994,914 | ||||
5.50% 2/1/38 | 52,372 | 58,946 | ||||
5.50% 4/1/38 | 557,583 | 621,913 | ||||
5.50% 6/1/38 | 1,017,185 | 1,139,100 | ||||
5.50% 11/1/39 | 631,820 | 704,715 | ||||
5.50% 3/1/40 | 27,123 | 30,537 | ||||
5.50% 9/1/41 | 461,648 | 516,872 | ||||
6.00% 9/1/34 | 285 | 323 |
NQ-022 [9/15] 11/15 (15501) 3
Schedule of
investments
Delaware
Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (U.S. $) | |||||
Agency Mortgage-Backed Securities (continued) | ||||||
Fannie Mae S.F. 30 yr | ||||||
6.00% 11/1/34 | 1,240 | $ | 1,398 | |||
6.00% 4/1/36 | 9,723 | 10,962 | ||||
6.00% 12/1/36 | 635,999 | 726,647 | ||||
6.00% 2/1/37 | 128,158 | 144,796 | ||||
6.00% 5/1/38 | 41,016 | 46,329 | ||||
6.00% 1/1/39 | 290,514 | 328,559 | ||||
6.50% 6/1/29 | 1,444 | 1,649 | ||||
6.50% 1/1/34 | 1,733 | 2,091 | ||||
6.50% 4/1/36 | 1,157 | 1,322 | ||||
6.50% 6/1/36 | 6,594 | 7,532 | ||||
6.50% 10/1/36 | 7,221 | 8,770 | ||||
6.50% 8/1/37 | 878 | 1,003 | ||||
7.00% 12/1/34 | 1,743 | 2,018 | ||||
7.00% 12/1/35 | 1,476 | 1,688 | ||||
7.00% 12/1/37 | 4,630 | 5,028 | ||||
7.50% 6/1/31 | 815 | 984 | ||||
7.50% 11/1/31 | 9,668 | 11,298 | ||||
7.50% 4/1/32 | 485 | 576 | ||||
7.50% 5/1/33 | 1,253 | 1,269 | ||||
7.50% 6/1/34 | 595 | 699 | ||||
8.00% 11/1/21 | 172 | 188 | ||||
8.00% 7/1/23 | 1,325 | 1,368 | ||||
8.00% 5/1/24 | 36,185 | 37,305 | ||||
9.00% 8/1/22 | 13,663 | 13,857 | ||||
9.25% 6/1/16 | 873 | 876 | ||||
9.25% 8/1/16 | 3,431 | 3,444 | ||||
10.00% 2/1/25 | 63,447 | 69,428 | ||||
Fannie Mae S.F. 30 yr TBA | ||||||
4.50% 11/1/45 | 684,000 | 740,825 | ||||
Freddie Mac | ||||||
6.50% 3/1/16 | 18,801 | 18,935 | ||||
Freddie Mac ARM | ||||||
2.275% 10/1/37 ● | 192,014 | 202,569 | ||||
2.312% 2/1/37 ● | 6,236 | 6,631 | ||||
2.352% 10/1/36 ● | 7,667 | 8,148 | ||||
2.46% 4/1/34 ● | 15,648 | 16,612 | ||||
2.463% 4/1/33 ● | 59,818 | 61,934 | ||||
2.477% 7/1/36 ● | 43,426 | 46,220 | ||||
2.489% 2/1/35 ● | 97,806 | 104,836 | ||||
2.515% 1/1/44 ● | 752,881 | 775,560 | ||||
2.62% 6/1/37 ● | 366,682 | 384,674 | ||||
2.635% 7/1/38 ● | 899,402 | 959,950 |
4 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Agency Mortgage-Backed Securities (continued) | ||||||
Freddie Mac ARM | ||||||
3.46% 5/1/42 ● | 4,310,028 | $ | 4,557,532 | |||
4.847% 8/1/38 ● | 29,603 | 31,677 | ||||
Freddie Mac S.F. 15 yr | ||||||
4.00% 5/1/25 | 83,439 | 89,328 | ||||
4.50% 6/1/26 | 248,758 | 265,365 | ||||
5.00% 6/1/18 | 547 | 569 | ||||
5.00% 4/1/20 | 96,514 | 101,929 | ||||
Freddie Mac S.F. 20 yr | ||||||
5.50% 7/1/28 | 170,038 | 188,185 | ||||
Freddie Mac S.F. 30 yr | ||||||
4.50% 10/1/39 | 437,354 | 474,177 | ||||
5.50% 6/1/36 | 40,042 | 44,316 | ||||
5.50% 3/1/40 | 232,722 | 257,721 | ||||
6.00% 3/1/36 | 351,936 | 398,814 | ||||
6.00% 1/1/38 | 81,856 | 92,305 | ||||
6.00% 6/1/38 | 227,163 | 255,615 | ||||
6.00% 8/1/38 | 3,003,416 | 3,424,386 | ||||
7.00% 11/1/33 | 519 | 621 | ||||
8.00% 5/1/31 | 64,263 | 73,613 | ||||
9.00% 9/1/30 | 64,623 | 69,429 | ||||
11.00% 5/1/20 | 1,537 | 1,711 | ||||
GNMA I S.F. 15 yr | ||||||
6.00% 1/15/22 | 1,412,130 | 1,551,095 | ||||
GNMA I S.F. 30 yr | ||||||
7.50% 12/15/23 | 37,118 | 42,869 | ||||
7.50% 12/15/31 | 63,877 | 79,958 | ||||
7.50% 1/15/32 | 1,418 | 1,782 | ||||
9.00% 8/15/16 | 114 | 115 | ||||
9.00% 9/15/16 | 556 | 562 | ||||
9.00% 2/15/17 | 366 | 367 | ||||
9.50% 12/15/16 | 332 | 339 | ||||
11.00% 1/15/16 | 162 | 163 | ||||
11.00% 2/15/16 | 210 | 211 | ||||
11.00% 9/15/16 | 51 | 51 | ||||
11.00% 12/15/17 | 3,258 | 3,278 | ||||
11.00% 4/15/19 | 2,956 | 2,974 | ||||
11.00% 5/15/19 | 1,544 | 1,554 | ||||
11.00% 6/15/19 | 7,158 | 7,231 | ||||
11.00% 8/15/19 | 3,742 | 3,826 | ||||
GNMA II GPM 30 yr | ||||||
9.75% 12/20/16 | 1,865 | 1,874 | ||||
9.75% 9/20/17 | 1,614 | 1,623 |
NQ-022 [9/15] 11/15 (15501) 5
Schedule of
investments
Delaware
Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (U.S. $) | ||||
Agency Mortgage-Backed Securities (continued) | |||||
GNMA II S.F. 30 yr | |||||
9.50% 11/20/20 | 810 | $ | 821 | ||
9.50% 9/20/21 | 5,912 | 6,620 | |||
9.50% 10/20/21 | 22,348 | 25,106 | |||
9.50% 11/20/21 | 8,234 | 9,059 | |||
10.50% 6/20/20 | 1,248 | 1,255 | |||
11.50% 1/20/18 | 3,432 | 3,488 | |||
11.50% 8/20/18 | 6,837 | 6,881 | |||
Total Agency Mortgage-Backed Securities (cost $50,328,091) | 50,965,755 | ||||
Collateralized Debt Obligations 1.14% | |||||
AMMC CLO | |||||
Series 2015-16A AX 144A 1.625% 4/14/27 #● | 5,700,000 | 5,691,450 | |||
CIFC Funding | |||||
Series 2011-1AR A1R 144A 1.587% 1/19/23 #● | 1,832,662 | 1,827,347 | |||
Harbourview CLO VII | |||||
Series 7A AX 144A 1.674% 11/18/26 #● | 5,000,000 | 4,992,500 | |||
Total Collateralized Debt Obligations (cost $12,520,162) | 12,511,297 | ||||
Commercial Mortgage-Backed Securities 0.94% | |||||
Banc of America Commercial Mortgage Trust | |||||
Series 2006-1 AM 5.421% 9/10/45 ● | 255,000 | 256,321 | |||
CD Commercial Mortgage Trust | |||||
Series 2005-CD1 AJ 5.289% 7/15/44 ● | 330,553 | 330,406 | |||
CFCRE Commercial Mortgage Trust | |||||
Series 2011-C1 144A 3.759% 4/15/44 # | 346,671 | 349,276 | |||
Citigroup Commercial Mortgage Trust | |||||
Series 2007-C6 AM 5.899% 12/10/49 ● | 535,000 | 560,924 | |||
DBUBS Mortgage Trust | |||||
Series 2011-LC1A A3 144A 5.002% 11/10/46 # | 1,285,000 | 1,450,527 | |||
FREMF Mortgage Trust | |||||
Series 2011-K15 B 144A 5.116% 8/25/44 #● | 95,000 | 105,227 | |||
Series 2012-K708 B 144A 3.886% 2/25/45 #● | 1,340,000 | 1,396,238 | |||
Series 2012-K711 B 144A 3.684% 8/25/45 #● | 100,000 | 104,320 | |||
Series 2013-K712 B 144A 3.484% 5/25/45 #● | 980,000 | 1,007,116 | |||
GS Mortgage Securities Trust | |||||
Series 2006-GG6 A4 5.553% 4/10/38 ● | 677,092 | 677,118 | |||
JPMBB Commercial Mortgage Securities Trust | |||||
Series 2014-C18 A1 1.254% 2/15/47 | 475,051 | 475,021 | |||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||
Series 2006-LDP8 AM 5.44% 5/15/45 | 1,065,000 | 1,094,119 | |||
Morgan Stanley Capital I Trust | |||||
Series 2005-HQ7 AJ 5.397% 11/14/42 ● | 500,000 | 499,617 | |||
Series 2006-TOP23 A4 6.017% 8/12/41 ● | 555,973 | 566,930 |
6 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | ||||
Commercial Mortgage-Backed Securities (continued) | |||||
NCUA Guaranteed Notes Trust | |||||
Series 2010-C1 A2 2.90% 10/29/20 | 1,424,184 | $ | 1,433,420 | ||
Total Commercial Mortgage-Backed Securities (cost $10,328,190) | 10,306,580 | ||||
Convertible Bond 0.13% | |||||
Jefferies Group 3.875% exercise price $44.69, expiration | |||||
date 10/31/29 | 1,355,000 | 1,382,100 | |||
Total Convertible Bond (cost $1,443,922) | 1,382,100 | ||||
Corporate Bonds 54.24% | |||||
Automotive 0.19% | |||||
International Automotive Components Group 144A | |||||
9.125% 6/1/18 # | 1,000,000 | 1,020,000 | |||
Schaeffler Holding Finance 144A PIK 6.25% 11/15/19 #❆ | 1,000,000 | 1,063,750 | |||
2,083,750 | |||||
Banking 9.84% | |||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 3,900,000 | 3,948,173 | |||
Banco Continental Via Continental Senior Trustees | |||||
Cayman 144A 5.50% 11/18/20 # | 500,000 | 539,500 | |||
Bank Nederlandse Gemeenten 144A 1.75% 10/6/15 # | 2,000 | 2,000 | |||
Bank of America | |||||
2.25% 4/21/20 | 3,850,000 | 3,797,209 | |||
3.95% 4/21/25 | 1,055,000 | 1,028,357 | |||
Bank of Montreal 2.375% 1/25/19 | 4,580,000 | 4,651,627 | |||
Barclays 2.75% 11/8/19 | 5,000,000 | 5,038,130 | |||
BBVA Bancomer 144A 7.25% 4/22/20 # | 500,000 | 544,500 | |||
BBVA International Preferred SAU 5.919% 4/29/49 ● | 500,000 | 508,125 | |||
Branch Banking & Trust 3.80% 10/30/26 | 1,610,000 | 1,635,631 | |||
Capital One 2.35% 8/17/18 | 755,000 | 757,611 | |||
Citizens Bank 2.45% 12/4/19 | 4,385,000 | 4,380,711 | |||
Compass Bank 2.75% 9/29/19 | 7,305,000 | 7,284,590 | |||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | |||||
2.25% 1/14/19 | 5,690,000 | 5,748,487 | |||
Credit Suisse | |||||
2.30% 5/28/19 | 4,890,000 | 4,911,526 | |||
3.00% 10/29/21 | 475,000 | 476,373 | |||
Fifth Third Bancorp 2.875% 7/27/20 | 475,000 | 479,440 | |||
HBOS 144A 6.75% 5/21/18 # | 2,555,000 | 2,822,473 | |||
HSBC USA 2.75% 8/7/20 | 785,000 | 788,378 | |||
ING Groep 6.00% 12/29/49 ● | 950,000 | 936,937 | |||
JPMorgan Chase | |||||
4.125% 12/15/26 | 285,000 | 284,504 | |||
7.90% 4/29/49 ● | 1,000,000 | 1,040,000 |
NQ-022 [9/15] 11/15 (15501) 7
Schedule of
investments
Delaware
Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Banking (continued) | |||||
JPMorgan Chase Bank 0.666% 6/13/16 ● | 1,750,000 | $ | 1,746,551 | ||
KeyBank 3.18% 5/22/22 | 1,335,000 | 1,353,531 | |||
Manufacturers & Traders Trust 2.25% 7/25/19 | 5,255,000 | 5,282,063 | |||
Morgan Stanley | |||||
4.00% 7/23/25 | 975,000 | 997,651 | |||
4.35% 9/8/26 | 1,590,000 | 1,601,637 | |||
MUFG Americas Holdings | |||||
2.25% 2/10/20 | 800,000 | 798,152 | |||
3.00% 2/10/25 | 1,795,000 | 1,719,168 | |||
PNC Bank | |||||
2.30% 6/1/20 | 4,275,000 | 4,250,320 | |||
2.60% 7/21/20 | 1,040,000 | 1,051,849 | |||
Popular 7.00% 7/1/19 | 1,000,000 | 953,750 | |||
Santander Holdings USA 4.625% 4/19/16 | 2,090,000 | 2,129,952 | |||
Skandinaviska Enskilda Banken 144A 2.375% 3/25/19 # | 4,580,000 | 4,660,608 | |||
State Street 2.55% 8/18/20 | 1,075,000 | 1,089,949 | |||
SunTrust Banks | |||||
2.35% 11/1/18 | 3,850,000 | 3,895,719 | |||
2.50% 5/1/19 | 3,705,000 | 3,749,134 | |||
SVB Financial Group 3.50% 1/29/25 | 1,235,000 | 1,206,862 | |||
Swedbank 144A 2.375% 2/27/19 # | 2,000,000 | 2,030,318 | |||
Toronto-Dominion Bank 2.25% 11/5/19 | 3,580,000 | 3,604,845 | |||
Trade & Development Bank of Mongolia 144A | |||||
9.375% 5/19/20 # | 400,000 | 391,994 | |||
Turkiye Is Bankasi 144A 3.75% 10/10/18 # | 500,000 | 483,366 | |||
US Bancorp 4.125% 5/24/21 | 200,000 | 217,376 | |||
USB Capital IX 3.50% 10/29/49 ● | 6,960,000 | 5,672,400 | |||
Wells Fargo | |||||
2.15% 1/15/19 | 3,580,000 | 3,609,911 | |||
3.00% 1/22/21 | 3,000,000 | 3,076,248 | |||
Yapi ve Kredi Bankasi 144A 5.25% 12/3/18 # | 500,000 | 503,300 | |||
107,680,936 | |||||
Basic Industry 3.35% | |||||
ArcelorMittal 5.125% 6/1/20 | 200,000 | 181,520 | |||
AVINTIV Specialty Materials 6.875% 6/1/19 | 1,000,000 | 1,064,350 | |||
Builders FirstSource 144A 7.625% 6/1/21 # | 1,000,000 | 1,045,000 | |||
CF Industries 6.875% 5/1/18 | 7,410,000 | 8,266,396 | |||
Ecolab 2.25% 1/12/20 | 4,310,000 | 4,321,309 | |||
Freeport-McMoran Oil & Gas 6.50% 11/15/20 | 459,000 | 415,110 | |||
Georgia-Pacific | |||||
144A 2.539% 11/15/19 # | 1,000,000 | 1,005,964 | |||
144A 5.40% 11/1/20 # | 5,750,000 | 6,450,431 |
8 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Basic Industry (continued) | |||||
Gerdau Holdings 144A 7.00% 1/20/20 # | 500,000 | $ | 468,750 | ||
HD Supply 11.50% 7/15/20 | 2,000,000 | 2,270,000 | |||
Headwaters 7.25% 1/15/19 | 750,000 | 776,250 | |||
International Paper 5.25% 4/1/16 | 550,000 | 559,809 | |||
INVISTA Finance 144A 4.25% 10/15/19 # | 1,330,000 | 1,290,100 | |||
Joseph T Ryerson & Son 9.00% 10/15/17 | 500,000 | 447,500 | |||
Kissner Milling 144A 7.25% 6/1/19 # | 500,000 | 472,500 | |||
LyondellBasell Industries 5.75% 4/15/24 | 610,000 | 683,054 | |||
Methanex 4.25% 12/1/24 | 1,475,000 | 1,422,834 | |||
MMC Finance 4.375% 4/30/18 | 500,000 | 498,750 | |||
Phosagro 144A 4.204% 2/13/18 # | 500,000 | 495,813 | |||
PPG Industries 2.30% 11/15/19 | 940,000 | 948,608 | |||
Rock-Tenn | |||||
3.50% 3/1/20 | 1,010,000 | 1,046,618 | |||
4.45% 3/1/19 | 945,000 | 1,007,225 | |||
Rockwood Specialties Group 4.625% 10/15/20 | 835,000 | 864,512 | |||
TPC Group 144A 8.75% 12/15/20 # | 750,000 | 645,000 | |||
36,647,403 | |||||
Brokerage 0.25% | |||||
Jefferies Group 5.125% 1/20/23 | 2,415,000 | 2,423,414 | |||
Lazard Group 6.85% 6/15/17 | 316,000 | 341,592 | |||
2,765,006 | |||||
Capital Goods 0.88% | |||||
Accudyne Industries Borrower 144A 7.75% 12/15/20 # | 750,000 | 654,375 | |||
Beverage Packaging Holdings Luxembourg II 144A | |||||
6.00% 6/15/17 # | 2,000,000 | 1,965,000 | |||
Cemex 144A 5.875% 3/25/19 # | 500,000 | 488,750 | |||
Crane 2.75% 12/15/18 | 205,000 | 206,990 | |||
Fortune Brands Home & Security 3.00% 6/15/20 | 630,000 | 635,402 | |||
Ingersoll-Rand Global Holding 2.875% 1/15/19 | 4,630,000 | 4,711,081 | |||
Ingersoll-Rand Luxembourg Finance 2.625% 5/1/20 | 145,000 | 145,144 | |||
TransDigm 7.50% 7/15/21 | 750,000 | 785,625 | |||
9,592,367 | |||||
Communications 3.20% | |||||
AT&T | |||||
2.45% 6/30/20 | 1,420,000 | 1,399,667 | |||
3.40% 5/15/25 | 1,165,000 | 1,114,236 | |||
CBS 4.00% 1/15/26 | 1,835,000 | 1,809,004 | |||
CC Holdings GS V 3.849% 4/15/23 | 1,165,000 | 1,162,789 | |||
Columbus International 144A 7.375% 3/30/21 # | 500,000 | 519,375 | |||
Crown Castle Towers 144A 3.663% 5/15/25 # | 635,000 | 618,973 | |||
Digicel Group 144A 8.25% 9/30/20 # | 2,000,000 | 1,860,000 |
NQ-022 [9/15] 11/15 (15501) 9
Schedule of investments
Delaware Limited-Term Diversified Income Fund
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Corporate Bonds (continued) | ||||||
Communications (continued) | ||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 520,000 | $ | 519,163 | |||
Interpublic Group 2.25% 11/15/17 | 1,600,000 | 1,604,750 | ||||
Millicom International Cellular 144A 6.625% 10/15/21 # | 500,000 | 497,000 | ||||
MTS International Funding 144A 8.625% 6/22/20 # | 300,000 | 325,950 | ||||
Myriad International Holdings 144A 6.375% 7/28/17 # | 500,000 | 529,935 | ||||
SBA Tower Trust 144A 2.24% 4/16/18 # | 1,995,000 | 1,985,012 | ||||
SES 144A 3.60% 4/4/23 # | 1,986,000 | 2,009,276 | ||||
SES GLOBAL Americas Holdings 144A 2.50% 3/25/19 # | 1,695,000 | 1,696,639 | ||||
Sky 144A 3.75% 9/16/24 # | 1,360,000 | 1,343,057 | ||||
Verizon Communications | ||||||
3.00% 11/1/21 | 1,470,000 | 1,467,985 | ||||
4.50% 9/15/20 | 3,165,000 | 3,432,414 | ||||
5.15% 9/15/23 | 4,530,000 | 5,012,481 | ||||
Viacom 2.50% 9/1/18 | 5,560,000 | 5,593,249 | ||||
VimpelCom Holdings 144A 6.255% 3/1/17 # | 500,000 | 513,313 | ||||
35,014,268 | ||||||
Consumer Cyclical 4.23% | ||||||
Alibaba Group Holding 144A 3.125% 11/28/21 # | 2,225,000 | 2,142,079 | ||||
AutoNation 3.35% 1/15/21 | 445,000 | 450,317 | ||||
AutoZone 2.50% 4/15/21 | 2,905,000 | 2,881,490 | ||||
Daimler Finance North America 144A 2.70% 8/3/20 # | 4,480,000 | 4,415,277 | ||||
Ford Motor Credit | ||||||
2.24% 6/15/18 | 1,500,000 | 1,496,603 | ||||
5.00% 5/15/18 | 5,055,000 | 5,379,733 | ||||
General Motors 3.50% 10/2/18 | 795,000 | 803,403 | ||||
General Motors Financial | ||||||
3.15% 1/15/20 | 1,135,000 | 1,126,424 | ||||
3.20% 7/13/20 | 1,750,000 | 1,728,323 | ||||
3.45% 4/10/22 | 1,070,000 | 1,030,700 | ||||
4.375% 9/25/21 | 990,000 | 1,012,093 | ||||
Hyundai Capital America | ||||||
144A 2.55% 2/6/19 # | 1,000,000 | 1,006,042 | ||||
144A 2.875% 8/9/18 # | 500,000 | 508,461 | ||||
Landrys 144A 9.375% 5/1/20 # | 1,000,000 | 1,072,500 | ||||
Marriott International 3.375% 10/15/20 | 1,200,000 | 1,245,298 | ||||
NPC International 10.50% 1/15/20 | 1,000,000 | 1,045,000 | ||||
PF Changs China Bistro 144A 10.25% 6/30/20 # | 500,000 | 488,750 | ||||
Starbucks 2.70% 6/15/22 | 730,000 | 739,389 | ||||
Target 2.30% 6/26/19 | 3,500,000 | 3,576,860 | ||||
Toyota Motor Credit | ||||||
2.00% 10/24/18 | 5,055,000 | 5,110,246 | ||||
2.125% 7/18/19 | 7,375,000 | 7,403,246 |
10 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Corporate Bonds (continued) | ||||||
Consumer Cyclical (continued) | ||||||
Volkswagen Group of America Finance 144A | ||||||
2.125% 5/23/19 # | 1,710,000 | $ | 1,596,978 | |||
46,259,212 | ||||||
Consumer Non-Cyclical 10.35% | ||||||
AbbVie 2.50% 5/14/20 | 6,000,000 | 5,973,312 | ||||
Actavis Funding 3.00% 3/12/20 | 4,425,000 | 4,439,939 | ||||
Amgen 2.20% 5/22/19 | 5,635,000 | 5,663,085 | ||||
Baxalta 144A 2.875% 6/23/20 # | 4,915,000 | 4,918,554 | ||||
Bayer U.S. Finance 144A 2.375% 10/8/19 # | 6,000,000 | 6,081,198 | ||||
Becton Dickinson | ||||||
2.675% 12/15/19 | 4,270,000 | 4,322,030 | ||||
6.375% 8/1/19 | 2,160,000 | 2,471,247 | ||||
Biogen 2.90% 9/15/20 | 1,040,000 | 1,051,729 | ||||
Boston Scientific 2.65% 10/1/18 | 2,390,000 | 2,420,893 | ||||
Celgene 2.30% 8/15/18 | 5,810,000 | 5,885,199 | ||||
Dr. Pepper Snapple Group 2.00% 1/15/20 | 6,060,000 | 5,969,052 | ||||
Express Scripts Holding 2.25% 6/15/19 | 5,500,000 | 5,487,553 | ||||
Gilead Sciences 2.35% 2/1/20 | 7,000,000 | 7,054,558 | ||||
Ingredion 1.80% 9/25/17 | 3,545,000 | 3,535,464 | ||||
JBS Investments 144A 7.75% 10/28/20 # | 1,500,000 | 1,545,000 | ||||
Kroger | ||||||
3.30% 1/15/21 | 2,490,000 | 2,558,119 | ||||
3.85% 8/1/23 | 250,000 | 258,599 | ||||
Mattel 1.70% 3/15/18 | 5,010,000 | 4,990,591 | ||||
McKesson 2.284% 3/15/19 | 6,685,000 | 6,704,554 | ||||
Merck 1.85% 2/10/20 | 5,920,000 | 5,936,919 | ||||
Pernod-Ricard 144A 5.75% 4/7/21 # | 1,060,000 | 1,193,806 | ||||
Perrigo 2.30% 11/8/18 | 1,425,000 | 1,410,600 | ||||
Perrigo Finance 3.50% 12/15/21 | 885,000 | 874,973 | ||||
Reynolds American | ||||||
3.25% 6/12/20 | 3,995,000 | 4,113,444 | ||||
4.00% 6/12/22 | 645,000 | 674,960 | ||||
Smucker (J.M.) 144A 2.50% 3/15/20 # | 2,515,000 | 2,525,299 | ||||
St Jude Medical | ||||||
2.80% 9/15/20 | 1,175,000 | 1,182,609 | ||||
3.875% 9/15/25 | 180,000 | 182,789 | ||||
Sysco 2.60% 10/1/20 | 1,855,000 | 1,857,862 | ||||
Thermo Fisher Scientific 2.40% 2/1/19 | 6,305,000 | 6,344,627 | ||||
Valeant Pharmaceuticals International 144A | ||||||
5.375% 3/15/20 # | 1,000,000 | 974,375 | ||||
Zimmer Holdings 2.70% 4/1/20 | 4,585,000 | 4,606,522 | ||||
113,209,461 |
NQ-022 [9/15] 11/15 (15501) 11
Schedule of investments
Delaware Limited-Term Diversified Income Fund
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Corporate Bonds (continued) | ||||||
Electric 5.85% | ||||||
AES Gener 144A 5.25% 8/15/21 # | 420,000 | $ | 440,847 | |||
Arizona Public Service 2.20% 1/15/20 | 4,195,000 | 4,193,356 | ||||
Berkshire Hathaway Energy 2.00% 11/15/18 | 5,510,000 | 5,526,508 | ||||
CenterPoint Energy 5.95% 2/1/17 | 2,365,000 | 2,502,823 | ||||
Commonwealth Edison 2.15% 1/15/19 | 1,550,000 | 1,563,315 | ||||
DPL 7.25% 10/15/21 | 1,500,000 | 1,500,000 | ||||
DTE Energy | ||||||
2.40% 12/1/19 | 1,725,000 | 1,737,379 | ||||
144A 3.30% 6/15/22 # | 1,050,000 | 1,076,020 | ||||
Dynegy 6.75% 11/1/19 | 1,500,000 | 1,511,250 | ||||
Electricite de France | ||||||
144A 2.15% 1/22/19 # | 5,410,000 | 5,470,262 | ||||
144A 5.25% 12/29/49 #● | 280,000 | 270,550 | ||||
Entergy 4.00% 7/15/22 | 3,175,000 | 3,283,518 | ||||
Exelon 2.85% 6/15/20 | 2,000,000 | 2,019,684 | ||||
IPALCO Enterprises 144A 3.45% 7/15/20 # | 710,000 | 690,475 | ||||
Israel Electric 144A 5.625% 6/21/18 # | 500,000 | 533,125 | ||||
Korea East-West Power 144A 2.625% 11/27/18 # | 500,000 | 509,185 | ||||
Majapahit Holding 144A 8.00% 8/7/19 # | 500,000 | 551,900 | ||||
National Rural Utilities Cooperative Finance 2.15% 2/1/19 | 6,030,000 | 6,068,707 | ||||
NextEra Energy Capital Holdings 2.70% 9/15/19 | 6,980,000 | 7,034,974 | ||||
NV Energy 6.25% 11/15/20 | 2,460,000 | 2,870,977 | ||||
PPL Capital Funding 1.90% 6/1/18 | 3,810,000 | 3,812,823 | ||||
Southern 2.45% 9/1/18 | 5,905,000 | 5,974,602 | ||||
State Grid Overseas Investment 2014 144A | ||||||
2.75% 5/7/19 # | 2,720,000 | 2,767,091 | ||||
WEC Energy Group 2.45% 6/15/20 | 2,075,000 | 2,098,460 | ||||
64,007,831 | ||||||
Energy 4.79% | ||||||
CenterPoint Energy Resources 4.50% 1/15/21 | 2,700,000 | 2,895,372 | ||||
Chesapeake Energy 3.539% 4/15/19 ● | 1,500,000 | 1,068,750 | ||||
CNOOC Finance 2015 Australia 2.625% 5/5/20 | 1,005,000 | 991,666 | ||||
Continental Resources 4.50% 4/15/23 | 2,165,000 | 1,882,935 | ||||
Dominion Gas Holdings 2.50% 12/15/19 | 2,020,000 | 2,042,618 | ||||
Enterprise Products Operating 3.70% 2/15/26 | 3,205,000 | 3,034,972 | ||||
EOG Resources 2.45% 4/1/20 | 2,580,000 | 2,605,919 | ||||
EP Energy 9.375% 5/1/20 | 500,000 | 432,500 | ||||
KazMunayGas National 144A 6.375% 4/9/21 # | 500,000 | 491,250 | ||||
Kinder Morgan Energy Partners 6.50% 4/1/20 | 2,975,000 | 3,296,770 | ||||
Laredo Petroleum 7.375% 5/1/22 | 1,000,000 | 972,500 | ||||
Marathon Oil 3.85% 6/1/25 | 1,825,000 | 1,618,830 | ||||
Noble Holding International 4.00% 3/16/18 | 1,880,000 | 1,781,699 |
12 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Corporate Bonds (continued) | ||||||
Energy (continued) | ||||||
ONGC Videsh 2.50% 5/7/18 | 500,000 | $ | 498,600 | |||
Petroleos Mexicanos 3.50% 7/18/18 | 500,000 | 506,750 | ||||
Petronas Global Sukuk 144A 2.707% 3/18/20 # | 1,330,000 | 1,322,597 | ||||
Regency Energy Partners 5.875% 3/1/22 | 3,305,000 | 3,391,211 | ||||
Shell International Finance 2.00% 11/15/18 | 9,800,000 | 9,922,559 | ||||
Sunoco Logistics Partners Operations 3.45% 1/15/23 | 1,870,000 | 1,628,211 | ||||
Whiting Petroleum 5.00% 3/15/19 | 500,000 | 437,500 | ||||
Williams Partners 7.25% 2/1/17 | 7,945,000 | 8,456,467 | ||||
Woodside Finance 144A 8.75% 3/1/19 # | 2,235,000 | 2,643,138 | ||||
YPF 144A 8.875% 12/19/18 # | 500,000 | 485,000 | ||||
52,407,814 | ||||||
Finance Companies 1.25% | ||||||
Ally Financial 4.125% 3/30/20 | 500,000 | 495,625 | ||||
Aviation Capital Group 144A 2.875% 9/17/18 # | 1,610,000 | 1,610,547 | ||||
Corporacion Financiera de Desarrollo 144A | ||||||
3.25% 7/15/19 # | 500,000 | 501,625 | ||||
General Electric Capital | ||||||
144A 3.80% 6/18/19 # | 2,235,000 | 2,399,838 | ||||
5.55% 5/4/20 | 2,175,000 | 2,513,584 | ||||
6.00% 8/7/19 | 1,445,000 | 1,672,095 | ||||
7.125% 12/29/49 ● | 1,900,000 | 2,196,875 | ||||
Legg Mason 2.70% 7/15/19 | 2,220,000 | 2,235,338 | ||||
13,625,527 | ||||||
Healthcare 0.33% | ||||||
IASIS Healthcare 8.375% 5/15/19 | 1,000,000 | 1,031,250 | ||||
Immucor 11.125% 8/15/19 | 1,070,000 | 1,107,450 | ||||
Kinetic Concepts 10.50% 11/1/18 | 1,000,000 | 1,049,250 | ||||
Mallinckrodt International Finance 144A 4.875% 4/15/20 # | 500,000 | 479,375 | ||||
3,667,325 | ||||||
Insurance 2.26% | ||||||
American International Group 2.30% 7/16/19 | 3,700,000 | 3,724,646 | ||||
MetLife 1.756% 12/15/17 | 5,105,000 | 5,142,910 | ||||
Metropolitan Life Global Funding I 144A 1.875% 6/22/18 # | 5,265,000 | 5,302,482 | ||||
Pricoa Global Funding I | ||||||
144A 1.60% 5/29/18 # | 1,050,000 | 1,048,644 | ||||
144A 2.20% 5/16/19 # | 3,855,000 | 3,884,379 | ||||
Prudential Financial 5.625% 6/15/43 ● | 1,200,000 | 1,241,400 | ||||
TIAA Asset Management Finance | ||||||
144A 2.95% 11/1/19 # | 975,000 | 989,496 | ||||
144A 4.125% 11/1/24 # | 460,000 | 469,795 | ||||
UnitedHealth Group 2.70% 7/15/20 | 2,900,000 | 2,969,356 | ||||
24,773,108 |
NQ-022 [9/15] 11/15 (15501) 13
Schedule of investments
Delaware Limited-Term Diversified Income Fund
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Corporate Bonds (continued) | ||||||
Media 0.24% | ||||||
Univision Communications 144A 8.50% 5/15/21 # | 1,500,000 | $ | 1,565,625 | |||
WideOpenWest Finance 10.25% 7/15/19 | 1,000,000 | 1,011,250 | ||||
2,576,875 | ||||||
Natural Gas 0.51% | ||||||
Sempra Energy 2.30% 4/1/17 | 5,490,000 | 5,552,756 | ||||
5,552,756 | ||||||
Real Estate 0.26% | ||||||
WEA Finance | ||||||
144A 2.70% 9/17/19 # | 2,625,000 | 2,615,015 | ||||
144A 3.75% 9/17/24 # | 200,000 | 197,238 | ||||
2,812,253 | ||||||
REITs 0.07% | ||||||
Host Hotels & Resorts 3.75% 10/15/23 | 505,000 | 495,134 | ||||
Iron Mountain 144A 6.00% 10/1/20 # | 250,000 | 253,050 | ||||
748,184 | ||||||
Services 0.18% | ||||||
Algeco Scotsman Global Finance 144A 8.50% 10/15/18 # | 500,000 | 440,100 | ||||
BlueLine Rental Finance 144A 7.00% 2/1/19 # | 455,000 | 439,075 | ||||
Pinnacle Entertainment 6.375% 8/1/21 | 1,000,000 | 1,063,330 | ||||
1,942,505 | ||||||
Technology 4.11% | ||||||
Amphenol 3.125% 9/15/21 | 5,975,000 | 6,047,023 | ||||
Baidu 2.75% 6/9/19 | 2,500,000 | 2,485,553 | ||||
Cisco Systems 2.45% 6/15/20 | 5,150,000 | 5,232,173 | ||||
Hewlett Packard Enterprise | ||||||
144A 2.85% 10/5/18 # | 1,445,000 | 1,443,150 | ||||
144A 3.60% 10/15/20 # | 640,000 | 639,821 | ||||
Molex Electronic Technologies 144A 2.878% 4/15/20 # | 2,250,000 | 2,227,732 | ||||
Motorola Solutions 4.00% 9/1/24 | 995,000 | 899,521 | ||||
National Semiconductor 6.60% 6/15/17 | 3,325,000 | 3,624,130 | ||||
NetApp 3.375% 6/15/21 | 2,415,000 | 2,383,315 | ||||
Oracle | ||||||
2.25% 10/8/19 | 5,480,000 | 5,546,368 | ||||
2.50% 5/15/22 | 85,000 | 83,840 | ||||
2.95% 5/15/25 | 660,000 | 644,248 | ||||
QUALCOMM 3.00% 5/20/22 | 1,780,000 | 1,756,693 | ||||
Seagate HDD Cayman 4.75% 1/1/25 | 2,305,000 | 2,216,781 | ||||
Tencent Holdings 144A 3.375% 5/2/19 # | 1,760,000 | 1,790,876 | ||||
Xerox | ||||||
5.625% 12/15/19 | 3,300,000 | 3,656,628 | ||||
6.35% 5/15/18 | 3,890,000 | 4,296,731 | ||||
44,974,583 |
14 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Corporate Bonds (continued) | ||||||
Technology & Electronics 0.15% | ||||||
First Data 11.75% 8/15/21 | 1,500,000 | $ | 1,668,750 | |||
1,668,750 | ||||||
Telecommunications 0.28% | ||||||
Frontier Communications 144A 8.875% 9/15/20 # | 1,000,000 | 982,500 | ||||
Intelsat Luxembourg 6.75% 6/1/18 | 1,000,000 | 856,250 | ||||
Sprint Capital 6.90% 5/1/19 | 500,000 | 441,250 | ||||
Sprint Communications 6.00% 12/1/16 | 750,000 | 740,625 | ||||
3,020,625 | ||||||
Transportation 1.65% | ||||||
AP Moeller - Maersk 144A 2.55% 9/22/19 # | 1,595,000 | 1,606,792 | ||||
DP World Sukuk 144A 6.25% 7/2/17 # | 500,000 | 532,410 | ||||
ERAC USA Finance 144A 2.80% 11/1/18 # | 3,355,000 | 3,433,900 | ||||
HPHT Finance 15 144A 2.875% 3/17/20 # | 810,000 | 809,829 | ||||
Kansas City Southern de Mexico 3.00% 5/15/23 | 595,000 | 576,643 | ||||
Penske Truck Leasing 144A 2.50% 6/15/19 # | 5,200,000 | 5,179,528 | ||||
Union Pacific 2.25% 2/15/19 | 3,260,000 | 3,312,277 | ||||
United Parcel Service 5.125% 4/1/19 | 2,340,000 | 2,622,684 | ||||
18,074,063 | ||||||
Utilities 0.02% | ||||||
GenOn Energy 7.875% 6/15/17 | 250,000 | 235,625 | ||||
235,625 | ||||||
Total Corporate Bonds (cost $597,383,620) | 593,340,227 | |||||
Municipal Bond 0.58% | ||||||
University of California | ||||||
0.693% 7/1/41 ● | 6,385,000 | 6,383,404 | ||||
Total Municipal Bond (cost $6,385,000) | 6,383,404 | |||||
Non-Agency Asset-Backed Securities 33.22% | ||||||
Ally Master Owner Trust | ||||||
Series 2012-5 A 1.54% 9/15/19 | 3,855,000 | 3,862,502 | ||||
Series 2014-4 A2 1.43% 6/17/19 | 1,510,000 | 1,512,668 | ||||
American Express Credit Account Master Trust | ||||||
Series 2012-1 A 0.477% 1/15/20 ● | 3,900,000 | 3,901,650 | ||||
Series 2013-1 A 0.627% 2/16/21 ● | 5,185,000 | 5,193,949 | ||||
Series 2013-2 A 0.627% 5/17/21 ● |
2,474,000 | 2,474,757 | ||||
Series 2014-1 A 0.577% 12/15/21 ● | 2,100,000 | 2,096,680 | ||||
ARI Fleet Lease Trust | ||||||
Series 2015-A A2 144A 1.11% 11/15/18 # | 285,000 | 284,468 | ||||
Avis Budget Rental Car Funding AESOP | ||||||
Series 2011-3A A 144A 3.41% 11/20/17 # | 820,000 | 838,426 |
NQ-022 [9/15] 11/15 (15501) 15
Schedule of investments
Delaware Limited-Term Diversified Income Fund
(Unaudited)
Principal amount° | Value (U.S. $) | ||||||
Non-Agency Asset-Backed Securities (continued) | |||||||
Avis Budget Rental Car Funding AESOP | |||||||
Series 2013-2A A 144A 2.97% 2/20/20 # | 6,500,000 | $ | 6,693,499 | ||||
Bank of America Credit Card Trust | |||||||
Series 2007-A4 A4 0.247% 11/15/19 ● | 10,495,000 | 10,445,327 | |||||
Series 2014-A2 A 0.477% 9/16/19 ● | 5,500,000 | 5,496,810 | |||||
Series 2014-A3 A 0.497% 1/15/20 ● | 7,765,000 | 7,760,520 | |||||
Barclays Dryrock Issuance Trust | |||||||
Series 2014-2 A 0.547% 3/16/20 ● | 2,500,000 | 2,496,300 | |||||
Cabelas Credit Card Master Note Trust | |||||||
Series 2012-2A A1 144A 1.45% 6/15/20 # | 1,065,000 | 1,069,572 | |||||
Series 2014-2 A 0.657% 7/15/22 ● | 6,000,000 | 5,955,390 | |||||
California Republic Auto Receivables Trust | |||||||
Series 2013-2 A2 1.23% 3/15/19 | 1,201,016 | 1,201,369 | |||||
Capital One Multi-Asset Execution Trust | |||||||
Series 2007-A1 A1 0.257% 11/15/19 ● | 14,085,000 | 14,034,393 | |||||
Series 2007-A2 A2 0.287% 12/16/19 ● | 5,000,000 | 4,984,725 | |||||
Chase Issuance Trust | |||||||
Series 2007-A12 A12 0.257% 8/15/19 ● | 4,000,000 | 3,977,464 | |||||
Series 2007-B1 B1 0.457% 4/15/19 ● | 2,000,000 | 1,990,144 | |||||
Series 2012-A10 A10 0.467% 12/16/19 ● | 12,750,000 | 12,707,428 | |||||
Series 2013-A3 A3 0.487% 4/15/20 ● | 3,670,000 | 3,662,168 | |||||
Series 2013-A6 A6 0.627% 7/15/20 ● | 4,000,000 | 4,005,732 | |||||
Series 2013-A9 A 0.627% 11/16/20 ● | 8,900,000 | 8,883,241 | |||||
Series 2014-A5 A5 0.577% 4/15/21 ● | 8,400,000 | 8,404,780 | |||||
Series 2015-A6 A6 0.457% 5/15/19 ● | 11,000,000 | 10,985,898 | |||||
Chesapeake Funding | |||||||
Series 2012-2A A 144A 0.649% 5/7/24 #● | 2,813,656 | 2,811,928 | |||||
Series 2014-1A A 144A 0.619% 3/7/26 #● | 10,030,538 | 9,999,905 | |||||
Citibank Credit Card Issuance Trust | |||||||
Series 2013-A4 A4 0.616% 7/24/20 ● | 800,000 | 798,869 | |||||
Series 2013-A7 A7 0.633% 9/10/20 ● | 8,100,000 | 8,108,108 | |||||
Conseco Financial | |||||||
Series 1997-6 A8 7.07% 1/15/29 | 23,372 | 23,572 | |||||
Dell Equipment Finance Trust | |||||||
Series 2014-1 A3 144A 0.94% 6/22/20 # | 770,000 | 769,791 | |||||
Discover Card Execution Note Trust | |||||||
Series 2013-A1 A1 0.507% 8/17/20 ● |
3,300,000 | 3,292,852 | |||||
Series 2013-A5 A5 1.04% 4/15/19 | 5,000,000 | 5,010,385 | |||||
Series 2013-A6 A6 0.657% 4/15/21 ● | 1,290,000 | 1,293,888 | |||||
Series 2014-A1 A1 0.637% 7/15/21 ● | 8,365,000 | 8,384,691 | |||||
Series 2014-A3 A3 1.22% 10/15/19 | 1,175,000 | 1,178,901 | |||||
Series 2015-A1 A1 0.557% 8/17/20 ● | 5,600,000 | 5,579,896 | |||||
Series 2015-A3 A 1.45% 3/15/21 | 890,000 | 889,882 |
16 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Non-Agency Asset-Backed Securities (continued) | ||||||
Enterprise Fleet Financing | ||||||
Series 2014-1 A2 144A 0.87% 9/20/19 # | 1,579,759 | $ | 1,578,061 | |||
FirstKey Lending Trust | ||||||
Series 2015-SFR1 A 144A 2.553% 3/9/47 # | 495,174 | 495,340 | ||||
Ford Credit Auto Lease Trust | ||||||
Series 2015-A A3 1.13% 6/15/18 | 725,000 | 724,625 | ||||
Ford Credit Floorplan Master Owner Trust A | ||||||
Series 2013-1 A1 0.85% 1/15/18 | 3,010,000 | 3,011,216 | ||||
Series 2013-1 A2 0.587% 1/15/18 ● | 8,500,000 | 8,498,232 | ||||
Series 2014-1 A2 0.607% 2/15/19 ● | 6,524,000 | 6,509,673 | ||||
Series 2015-2 A2 0.777% 1/15/22 ● | 10,000,000 | 9,918,970 | ||||
GE Dealer Floorplan Master Note Trust | ||||||
Series 2012-2 A 0.966% 4/22/19 ● | 19,865,000 | 19,865,000 | ||||
Series 2013-1 A 0.616% 4/20/18 ● | 2,600,000 | 2,597,413 | ||||
Series 2014-2 A 0.666% 10/20/19 ● | 8,575,000 | 8,530,710 | ||||
Series 2015-1 A 0.716% 1/20/20 ● | 4,810,000 | 4,785,758 | ||||
Golden Credit Card Trust | ||||||
Series 2013-2A A 144A 0.637% 9/15/18 #● | 6,500,000 | 6,503,373 | ||||
Series 2014-2A A 144A 0.657% 3/15/21 #● | 535,000 | 532,964 | ||||
Series 2015-1A A 144A 0.647% 2/15/20 #● | 7,750,000 | 7,724,061 | ||||
GreatAmerica Leasing Receivables | ||||||
Series 2014-1 A3 144A 0.89% 7/15/17 # | 2,985,000 | 2,986,146 | ||||
Hertz Fleet Lease Funding | ||||||
Series 2014-1 A 144A 0.603% 4/10/28 #● | 6,420,226 | 6,409,042 | ||||
HOA Funding | ||||||
Series 2014-1A A2 144A 4.846% 8/20/44 # | 259,700 | 258,281 | ||||
Honda Auto Receivables Owner Trust | ||||||
Series 2015-3 A3 1.27% 4/18/19 | 6,000,000 | 6,018,792 | ||||
Hyundai Auto Lease Securitization Trust | ||||||
Series 2014-A A4 144A 1.01% 9/15/17 # | 1,310,000 | 1,312,602 | ||||
Series 2015-A A3 144A 1.42% 9/17/18 # | 6,200,000 | 6,217,862 | ||||
Hyundai Auto Receivables Trust | ||||||
Series 2015-C A2B 0.574% 11/15/18 ● | 1,200,000 | 1,199,783 | ||||
Navistar Financial Dealer Note Master Owner Trust II | ||||||
Series 2014-1 A 144A 0.944% 10/25/19 #● | 9,000,000 | 8,957,142 | ||||
NextGear Floorplan Master Owner Trust | ||||||
Series 2014-1A A 144A 1.92% 10/15/19 # | 1,015,000 | 1,020,315 | ||||
Nissan Auto Lease Trust | ||||||
Series 2014-A A4 1.04% 10/15/19 | 1,360,000 | 1,360,258 | ||||
Series 2014-B A3 1.12% 9/15/17 | 6,500,000 | 6,511,979 | ||||
Nissan Auto Receivables Owner Trust | ||||||
Series 2013-C A3 0.67% 8/15/18 | 2,071,614 | 2,068,330 | ||||
Nissan Master Owner Trust Receivables | ||||||
Series 2013-A A 0.507% 2/15/18 ● | 12,420,000 | 12,414,250 |
NQ-022 [9/15] 11/15 (15501) 17
Schedule of investments
Delaware Limited-Term Diversified Income Fund
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Non-Agency Asset-Backed Securities (continued) | ||||||
Penarth Master Issuer | ||||||
Series 2015-1A A1 144A 0.613% 3/18/19 #● | 385,000 | $ | 383,904 | |||
Series 2015-2A A1 144A 0.613% 5/18/19 #● | 3,800,000 | 3,788,239 | ||||
PFS Financing | ||||||
Series 2013-AA A 144A 0.757% 2/15/18 #● | 9,300,000 | 9,294,411 | ||||
Series 2014-AA A 144A 0.807% 2/15/19 #● | 8,000,000 | 7,977,320 | ||||
Series 2015-AA A 144A 0.827% 4/15/20 #● | 2,000,000 | 1,988,734 | ||||
Porsche Innovative Lease Owner Trust | ||||||
Series 2015-1 A3 144A 1.19% 7/23/18 # | 755,000 | 754,434 | ||||
Synchrony Credit Card Master Note Trust | ||||||
Series 2012-6 A 1.36% 8/17/20 | 870,000 | 870,412 | ||||
Series 2015-2 A 1.60% 4/15/21 | 1,250,000 | 1,254,477 | ||||
Trade MAPS 1 | ||||||
Series 2013-1A A 144A 0.903% 12/10/18 #● | 9,970,000 | 9,973,220 | ||||
Volkswagen Auto Lease Trust | ||||||
Series 2015-A A3 1.25% 12/20/17 | 790,000 | 787,339 | ||||
Volkswagen Credit Auto Master Trust | ||||||
Series 2014-1A A2 144A 1.40% 7/22/19 # | 2,210,000 | 2,201,688 | ||||
Wheels | ||||||
Series 2014-1A A2 144A 0.84% 3/20/23 # | 2,354,851 | 2,349,645 | ||||
World Financial Network Credit Card Master Trust | ||||||
Series 2015-A A 0.687% 2/15/22 ● | 685,000 | 683,532 | ||||
Total Non-Agency Asset-Backed Securities | ||||||
(cost $363,421,098) | 363,380,061 | |||||
Non-Agency Collateralized Mortgage Obligations 0.14% | ||||||
American Home Mortgage Investment Trust | ||||||
Series 2005-2 5A1 5.064% 9/25/35 ϕ | 44,403 | 45,166 | ||||
Bank of America Alternative Loan Trust | ||||||
Series 2005-3 2A1 5.50% 4/25/20 | 57,733 | 59,270 | ||||
Series 2005-6 7A1 5.50% 7/25/20 | 45,194 | 44,070 | ||||
Bank of America Mortgage Securities | ||||||
Series 2002-K 2A1 2.525% 10/20/32 @● | 3,254 | 3,256 | ||||
GSMPS Mortgage Loan Trust | ||||||
Series 1998-2 A 144A 7.248% 5/19/27 #● | 74,737 | 79,431 | ||||
JPMorgan Mortgage Trust | ||||||
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● | 455,000 | 458,678 | ||||
Sequoia Mortgage Trust | ||||||
Series 2014-2 A4 144A 3.50% 7/25/44 #● | 678,751 | 689,701 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
Series 2004-EE 3A1 2.662% 12/25/34 ● | 14,283 | 14,407 | ||||
Series 2006-AR5 2A1 2.713% 4/25/36 ● | 165,445 | 155,404 | ||||
Total Non-Agency Collateralized Mortgage Obligations (cost $1,475,896) | 1,549,383 |
18 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Regional Bond 0.03%Δ | ||||||
Argentina 0.03% | ||||||
Provincia de Buenos Aires 144A 9.95% 6/9/21 # | 330,000 | $ | 312,675 | |||
Total Regional Bond (cost $325,921) | 312,675 | |||||
Senior Secured Loans 0.49%« | ||||||
Avaya 1st Lien 4.694% 10/26/17 | 1,000,000 | 825,000 | ||||
BJs Wholesale Club 2nd Lien 8.50% 3/31/20 | 500,000 | 496,875 | ||||
Caesars Growth Properties Holdings Tranche B 1st Lien | ||||||
6.25% 5/8/21 | 494,988 | 435,589 | ||||
FMG Resources August 2006 Pty 1st Lien 3.75% 6/30/19 | 249,364 | 205,102 | ||||
iHeartCommunications Tranche D 1st Lien | ||||||
6.944% 1/30/19 | 1,000,000 | 832,500 | ||||
Marina District Finance Tranche B 1st Lien 6.50% 8/15/18 | 343,505 | 345,792 | ||||
Mauser Holding 2nd Lien 8.75% 7/31/22 @ | 1,000,000 | 982,500 | ||||
Republic of Angola (Unsecured) 6.25% 12/16/23 @ | 510,000 | 453,900 | ||||
Rite Aid 2nd Lien 5.75% 8/21/20 | 750,000 | 759,375 | ||||
Total Senior Secured Loans (cost $5,757,824) | 5,336,633 | |||||
Sovereign Bonds 0.33%Δ | ||||||
Colombia 0.05% | ||||||
Colombia Government International Bond 4.375% 7/12/21 | 500,000 | 510,500 | ||||
510,500 | ||||||
Dominican Republic 0.05% | ||||||
Dominican Republic International Bond 144A | ||||||
7.50% 5/6/21 # | 500,000 | 536,250 | ||||
536,250 | ||||||
Gabon 0.04% | ||||||
Gabonese Republic 144A 8.20% 12/12/17 # | 450,000 | 456,300 | ||||
456,300 | ||||||
Indonesia 0.05% | ||||||
Perusahaan Penerbit Indonesia III 144A 6.125% 3/15/19 # | 500,000 | 549,375 | ||||
549,375 |
NQ-022 [9/15] 11/15 (15501) 19
Schedule of investments
Delaware Limited-Term Diversified Income Fund
(Unaudited)
Principal amount° | Value (U.S. $) | |||||
Sovereign BondsΔ (continued) | ||||||
Serbia 0.05% | ||||||
Republic of Serbia 144A 4.875% 2/25/20 # | 500,000 | $ | 506,310 | |||
506,310 | ||||||
Slovenia 0.05% | ||||||
Slovenia Government International Bond 144A | ||||||
4.75% 5/10/18 # | 500,000 | 533,125 | ||||
533,125 | ||||||
Sri Lanka 0.04% | ||||||
Sri Lanka Government International Bond 144A | ||||||
5.125% 4/11/19 # | 500,000 | 494,397 | ||||
494,397 | ||||||
Total Sovereign Bonds (cost $3,695,560) | 3,586,257 | |||||
Supranational Banks 0.07% | ||||||
African Export-Import Bank 3.875% 6/4/18 | 500,000 | 498,865 | ||||
Banco Latinoamericano de Comercio Exterior 144A | ||||||
3.25% 5/7/20 # | 300,000 | 298,500 | ||||
Total Supranational Banks (cost $799,709) | 797,365 | |||||
U.S. Treasury Obligations 2.03% | ||||||
U.S. Treasury Notes | ||||||
1.375% 8/31/20 | 330,000 | 330,434 | ||||
1.375% 9/30/20 | 300,000 | 299,992 | ||||
1.625% 7/31/20 ∞ | 12,590,000 | 12,745,487 | ||||
2.00% 8/15/25 | 3,655,000 | 3,636,345 | ||||
2.125% 5/15/25 | 5,205,000 | 5,237,328 | ||||
Total U.S. Treasury Obligations (cost $22,038,999) | 22,249,586 | |||||
Number of | ||||||
Shares | ||||||
Preferred Stock 0.40% | ||||||
Bank of America 6.10% ● | 715,000 | 698,019 | ||||
Bank of America 8.125% ● | 1,000,000 | 1,046,250 | ||||
Morgan Stanley 5.55% ● | 1,180,000 | 1,163,775 | ||||
PNC Preferred Funding Trust II 1.56% #● | 1,200,000 | 1,111,500 | ||||
USB Realty 1.436% #● | 400,000 | 364,000 | ||||
Total Preferred Stock (cost $4,483,750) | 4,383,544 |
20 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Principal amount° | |||||
Short-Term Investments 0.82% | |||||
Discount Notes 0.82%≠ | |||||
Federal Home Loan Bank | |||||
0.07% 10/5/15 | 3,100,905 | 3,100,898 | |||
0.10% 10/23/15 | 3,312,453 | 3,312,414 | |||
0.105% 11/3/15 | 2,168,125 | 2,168,016 | |||
0.17% 1/21/16 | 333,843 | 333,718 | |||
Total Short-Term Investments (cost $8,914,714) | 8,915,046 | ||||
Total Value of Securities 101.12% | |||||
(cost $1,109,895,650) | 1,106,192,948 | ||||
Liabilities Net of Receivables and Other Assets (1.12%) | (12,246,175 | ) | |||
Net Assets Applicable to 128,809,120 Shares Outstanding 100.00% | $ | 1,093,946,773 |
# |
Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2015, the aggregate value of Rule 144A securities was $260,460,555, which represents 23.81% of the Funds net assets. |
@ |
Illiquid security. At Sept. 30, 2015, the aggregate value of illiquid securities was $7,112,056, which represents 0.65% of the Funds net assets. |
⧫ |
Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
❆ |
100% of the income received was in the form of cash. |
≠ |
The rate shown is the effective yield at the time of purchase. |
° |
Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
● |
Variable rate security. The rate shown is the rate as of Sept. 30, 2015. Interest rates reset periodically. |
∞ |
Fully or partially pledged as collateral for futures contracts. |
Δ |
Securities have been classified by country of origin. |
« |
Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at Sept. 30, 2015. |
ϕ |
Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at Sept. 30, 2015. |
NQ-022 [9/15] 11/15 (15501) 21
Schedule of
investments
Delaware
Limited-Term Diversified Income Fund (Unaudited)
The following futures and swap contracts were outstanding at Sept. 30, 2015:
Futures Contracts | |||||||||||
Contracts to Buy (Sell) | Notional Cost (Proceeds) |
Notional Value |
Expiration Date |
Unrealized Appreciation (Depreciation) | |||||||
603 U.S. Treasury 10 yr Notes | $ | 77,375,361 | $ | 77,626,828 | 12/22/15 | $ | 251,467 |
Swap Contracts
CDS
Contracts1
Counterparty | Swap Referenced Obligation |
Notional Value2 | Annual Protection Payments |
Termination Date |
Unrealized Appreciation (Depreciation) | ||||||
Protection Purchased: | |||||||||||
GSC | ICE - CDX.NA.HY.25 | 12,000,000 | 5.00% | 12/20/20 | $ | (10,023) |
The use of futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional values presented above represent the Funds total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Funds net assets.
1A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded as unrealized appreciation or depreciation daily. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
2Notional value shown is stated in U.S. Dollars unless noted that the swap is denominated in another currency.
22 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
Summary of
abbreviations:
ARM Adjustable Rate
Mortgage
CDX.NA.HY Credit Default Swap Index
North American High-Yield
CLO Collateralized Loan Obligation
DB
Deutsche Bank
FHAVA Federal Housing Administration & Veterans
Administration
GE General Electric
GNMA Government National Mortgage
Association
GPM Graduated Payment Mortgage
GS Goldman Sachs
GSC
Goldman Sachs Capital
GSMPS Goldman Sachs Reperforming Mortgage
Securities
HSBC Hong Kong Shanghai Bank
ICE IntercontinentalExchange,
Inc.
JPMBB JPMorgan Barclays
Bank
PIK Pay-in-kind
REIT Real Estate
Investment Trust
REMIC Real Estate Mortgage
Investment Conduit
S.F. Single Family
TBA To be announced
UBS
United Bank of Switzerland
yr Year
NQ-022 [9/15] 11/15 (15501) 23
Notes | |
Delaware Limited-Term Diversified Income Fund | September 30, 2015 (Unaudited) |
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Delaware Group® Limited-Term Government Funds Delaware Limited-Term Diversified Income Fund (Fund). This report covers the period of time since the Funds last fiscal year end.
Security Valuation Equity securities, except those traded on The Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, then the mean between the bid and ask prices will be used, which approximates fair value. Securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Debt securities and credit default swap (CDS) contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed; attributes of the collateral; yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Generally, 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 Funds Board of Trustees (Board). 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 suspension of trading in a security. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
24 NQ-022 [9/15] 11/15 (15501)
(Unaudited)
2. Investments
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established 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 entitys own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Funds investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 |
Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts) |
Level 2 |
Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) |
Level 3 |
Significant unobservable inputs, including the Funds own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
NQ-022 [9/15] 11/15 (15501) 25
(Unaudited)
The following table summarizes the valuation of the Funds investments by fair value hierarchy levels as of Sept. 30, 2015:
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Agency, Asset- & Mortgage- | ||||||||||||||
Backed Securities | $ | | $ | 459,506,111 | $ | | $ | 459,506,111 | ||||||
Corporate Debt | | 594,722,327 | | 594,722,327 | ||||||||||
Foreign Debt | | 4,696,297 | | 4,696,297 | ||||||||||
Senior Secured Loans1 | | 4,882,733 | 453,900 | 5,336,633 | ||||||||||
Municipal Bonds | | 6,383,404 | | 6,383,404 | ||||||||||
Preferred Stock | | 4,383,544 | | 4,383,544 | ||||||||||
Short-Term Investments | | 8,915,046 | | 8,915,046 | ||||||||||
U.S. Treasury Obligations | | 22,249,586 | | 22,249,586 | ||||||||||
Total Value of Securities | $ | | $ | 1,105,739,048 | $ | 453,900 | $ | 1,106,192,948 | ||||||
Futures Contracts | $ | 251,467 | $ | | $ | | $ | 251,467 | ||||||
Swap Contracts | | (10,023 | ) | | (10,023 | ) |
1Security type is valued across multiple levels. Level 2 investments represent investments with observable inputs, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 2 investments and Level 3 investments represent the following percentages of the total market value of this security type:
Level 2 | Level 3 | Total | |||
Senior Secured Loans | 91.49% | 8.51% | 100.00% |
During the period ended Sept. 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Funds policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Funds net assets at the end of the period.
3. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to Sept. 30, 2015 that would require recognition or disclosure in the Funds Schedule of investments.
26 NQ-022 [9/15] 11/15 (15501)
Item 2. Controls and Procedures.
The registrants principal executive officer and principal financial officer have evaluated the registrants 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 registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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, Shawn Lytle, 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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and | |||
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
/s/ SHAWN LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | November 25, 2015 |
CERTIFICATION
I, Richard Salus, 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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and | |||
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | November 25, 2015 |
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
/s/ SHAWN LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | November 25, 2015 |
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.
/s/ SHAWN LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | November 25, 2015 |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | November 25, 2015 |