N-Q 1 dgltdtermgovfunds_nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

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
 
Registrant’s telephone number, including area code: (800) 523-1918
 
Date of fiscal year end: December 31
 
Date of reporting period: March 31, 2016


Item 1. Schedule of Investments.

Schedule of investments
Delaware Limited-Term Diversified Income Fund March 31, 2016 (Unaudited)

                   Principal amount°        Value (U.S. $)
Agency Asset-Backed Securities – 0.02%
Fannie Mae Grantor Trust
Series 2003-T4 2A5 5.045% 9/26/33 ϕ 190,652 $ 214,731
Fannie Mae REMIC Trust
Series 2001-W2 AS5 6.473% 10/25/31 ϕ 1,776 1,803
Freddie Mac Structured Pass Through Securities  
Series T-30 A5 7.338% 12/25/30 ⧫ϕ 4,865 5,176
SLM Student Loan Trust
Series 2004-4 A4 0.749% 1/25/19 ● 2,090 2,060
Total Agency Asset-Backed Securities (cost $198,100) 223,770
 
Agency Collateralized Mortgage Obligations – 6.46%
Fannie Mae Grantor Trust
Series 2001-T5 A2 2.506% 6/19/41 ● 31,551 35,858
Series 2002-T1 A2 7.00% 11/25/31 76,061 91,878
Fannie Mae REMIC Trust
Series 2002-W1 2A 6.286% 2/25/42 ● 89,458 105,422
Fannie Mae REMICs
Series 2002-90 A1 6.50% 6/25/42 965 1,134
Series 2003-52 NA 4.00% 6/25/23 118,454 124,127
Series 2003-120 BL 3.50% 12/25/18 261,525 268,933
Series 2004-36 FA 0.833% 5/25/34 ● 344,890 345,707
Series 2004-49 EB 5.00% 7/25/24 35,712 38,915
Series 2005-66 FD 0.733% 7/25/35 ● 1,525,662 1,521,282
Series 2005-110 MB 5.50% 9/25/35 12,110 12,932
Series 2006-105 FB 0.853% 11/25/36 ● 85,049 85,695
Series 2010-29 PA 4.50% 10/25/38 50,920 51,751
Series 2010-75 NA 4.00% 9/25/28 173,300 175,302
Series 2011-88 AB 2.50% 9/25/26 133,907 135,644
Series 2011-105 FP 0.833% 6/25/41 ● 2,601,890 2,605,320
Series 2011-113 MC 4.00% 12/25/40 259,844 271,100
Series 2012-93 LY 2.50% 9/25/42 433,000 400,709
Series 2012-98 MI 3.00% 8/25/31 ∑ 33,884,205 3,442,974
Series 2012-122 SD 5.667% 11/25/42 ●∑ 3,852,489 888,981
Series 2012-128 NP 2.50% 11/25/42 474,986 451,408
Series 2013-28 YB 3.00% 4/25/43 1,550,000 1,517,336
Series 2013-55 AI 3.00% 6/25/33 ∑ 19,592,195 2,561,460
Series 2013-94 GQ 3.00% 9/25/43 1,619,672 1,576,272
Series 2013-129 KI 3.00% 8/25/28 ∑ 2,668,499 213,900
Series 2014-5 JL 4.00% 2/25/44 78,000 85,671
Series 2015-82 AI 3.50% 6/25/34 ∑ 5,495,131 788,250
Series 2016-17 GZ 3.00% 4/25/46 904,000 826,084
Freddie Mac REMICs
Series 2901 CA 4.50% 11/15/19 95,409 97,622

NQ-022 [3/16] 5/16 (16643)     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 2931 GC 5.00% 1/15/34 26,893 $ 27,222
Series 3016 FL 0.826% 8/15/35 ● 56,559 56,659
Series 3027 DE 5.00% 9/15/25 37,244 40,646
Series 3067 FA 0.786% 11/15/35 ● 3,226,626 3,238,587
Series 3232 KF 0.886% 10/15/36 ● 93,820 93,749
Series 3241 FM 0.816% 11/15/36 ● 32,195 32,359
Series 3297 BF 0.676% 4/15/37 ● 1,037,182 1,036,573
Series 3316 FB 0.736% 8/15/35 ● 153,005 153,248
Series 3737 NA 3.50% 6/15/25 152,779 160,149
Series 3780 LF 0.836% 3/15/29 ● 375,045 375,462
Series 3800 AF 0.936% 2/15/41 ● 2,038,964 2,056,630
Series 3803 TF 0.836% 11/15/28 ● 333,540 334,469
Series 4076 QB 1.75% 11/15/41 756,318 731,650
Series 4109 AI 3.00% 7/15/31 Σ 7,810,112 806,153
Series 4150 PQ 2.50% 1/15/43 149,195 153,196
Series 4163 CW 3.50% 4/15/40 3,749,072 3,892,304
Series 4408 ZG 2.00% 9/15/41 392,745 341,060
Series 4453 DI 3.50% 11/15/33 Σ 7,434,140 797,549
Series 4457 KZ 3.00% 4/15/45 12,105,017 11,893,423
Series 4554 MP 3.00% 2/15/46 2,252,500 2,180,924
Freddie Mac Structured Pass Through Securities
Series T-42 A5 7.50% 2/25/42 ⧫ 38,838 46,569
Series T-54 2A 6.50% 2/25/43 ⧫ 911 1,095
Series T-58 2A 6.50% 9/25/43 ⧫ 643,511 759,840
GNMA
Series 2013-79 KE 3.00% 5/20/43 4,250,000 4,307,949
Series 2015-76 MZ 3.00% 5/20/45 6,708,382 6,361,395
Series 2015-106 QZ 2.50% 7/20/45 3,659,423 3,320,862
Series 2015-134 PZ 3.00% 9/20/45 2,206,814 2,141,919
Series 2015-185 PZ 3.00% 12/20/45 3,359,068 3,258,617
Total Agency Collateralized Mortgage Obligations (cost $66,814,394) 67,321,925
 
Agency Mortgage-Backed Securities – 8.75%
Fannie Mae
6.50% 8/1/17 9,005 9,156
10.00% 10/1/30 92,560 101,735
10.50% 6/1/30 25,316 25,803
Fannie Mae ARM
2.27% 4/1/36 ● 29,964 31,727
2.288% 8/1/34 ● 142,114 149,956
2.29% 3/1/38 ● 6,565 6,871
2.336% 9/1/38 ● 1,686,191 1,803,709

2     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

                   Principal amount°        Value (U.S. $)
Agency Mortgage-Backed Securities (continued)
Fannie Mae ARM
2.406% 8/1/36 ● 41,363 $ 43,473
2.46% 4/1/36 ● 465,837 494,567
2.461% 6/1/36 ● 170,535 180,923
2.469% 12/1/33 ● 101,284 107,348
2.496% 11/1/35 ● 37,737 39,931
2.518% 7/1/36 ● 109,681 116,331
2.527% 6/1/34 ● 74,941 79,343
2.527% 7/1/36 ● 136,738 143,700
2.529% 11/1/35 ● 429,855 454,547
2.576% 8/1/35 ● 34,281 36,078
2.58% 11/1/39 ● 305,275 322,760
2.666% 4/1/36 ● 5,055 5,358
3.449% 1/1/41 ● 239,024 250,880
4.537% 11/1/39 ● 1,699,689 1,808,166
Fannie Mae FHAVA
10.00% 1/1/19 21,943 22,243
Fannie Mae S.F. 15 yr
5.00% 9/1/18 59,802 61,798
5.00% 2/1/19 1,830 1,914
5.50% 1/1/23 7,747 8,449
5.50% 4/1/23 24,468 26,375
6.00% 8/1/22 19,105 20,793
Fannie Mae S.F. 30 yr
4.50% 3/1/39 91,050 101,189
4.50% 8/1/41 346,604 384,215
4.50% 1/1/42 586,643 644,411
5.00% 4/1/33 231,023 256,860
5.00% 3/1/34 3,409 3,789
5.50% 12/1/32 26,704 30,219
5.50% 6/1/33 84,763 95,945
5.50% 10/1/33 194,669 220,343
5.50% 4/1/34 127,831 145,210
5.50% 5/1/34 1,007,599 1,140,373
5.50% 11/1/34 870,833 985,781
5.50% 12/1/34 92,400 104,622
5.50% 1/1/35 9,641 10,917
5.50% 3/1/35 126,744 143,263
5.50% 9/1/35 382,604 432,158
5.50% 12/1/35 132,345 149,545
5.50% 1/1/36 419,222 474,749
5.50% 4/1/36 1,010,770 1,141,390
5.50% 5/1/36 78,855 89,292

NQ-022 [3/16] 5/16 (16643)     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
5.50% 7/1/36 1,349,890 $ 1,528,610
5.50% 9/1/36 712,160 805,778
5.50% 11/1/36 861,440 971,195
5.50% 2/1/37 319,276 359,084
5.50% 4/1/37 319,999 359,682
5.50% 6/1/37 383,810 431,452
5.50% 8/1/37 902,140 1,020,890
5.50% 9/1/37 463,865 521,561
5.50% 1/1/38 3,201,215 3,616,671
5.50% 2/1/38 51,551 58,300
5.50% 6/1/38 945,111 1,061,980
5.50% 1/1/39 788,870 892,447
5.50% 3/1/40 2,970,622 3,364,730
5.50% 7/1/40 680,242 771,280
6.00% 8/1/34 1,376,397 1,590,983
6.00% 9/1/34 250 286
6.00% 11/1/34 1,211 1,380
6.00% 4/1/35 211,447 242,891
6.00% 4/1/36 9,601 10,940
6.00% 12/1/36 546,591 631,504
6.00% 2/1/37 121,948 139,275
6.00% 3/1/37 5,842 6,667
6.00% 9/1/37 1,777,160 2,027,863
6.00% 5/1/38 5,468,742 6,245,335
6.00% 1/1/39 245,559 279,810
6.00% 4/1/39 5,103 5,885
6.00% 5/1/39 1,098,692 1,266,784
6.00% 10/1/39 2,659,087 3,066,245
6.00% 7/1/41 10,878,619 12,411,782
6.50% 6/1/29 1,384 1,583
6.50% 1/1/34 1,632 1,979
6.50% 4/1/36 319 365
6.50% 6/1/36 5,483 6,271
6.50% 10/1/36 4,974 5,689
6.50% 8/1/37 564 645
7.00% 12/1/34 1,715 1,987
7.00% 12/1/35 1,444 1,647
7.00% 12/1/37 4,590 4,956
7.50% 6/1/31 754 944
7.50% 11/1/31 9,427 10,970
7.50% 4/1/32 477 563
7.50% 5/1/33 1,221 1,233

4     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

                   Principal amount°        Value (U.S. $)
Agency Mortgage-Backed Securities (continued)
Fannie Mae S.F. 30 yr
7.50% 6/1/34 585 $ 688
8.00% 11/1/21 154 167
8.00% 7/1/23 1,262 1,299
8.00% 5/1/24 33,850 34,774
9.00% 8/1/22 9,876 9,989
9.25% 6/1/16 203 203
10.00% 2/1/25 49,486 53,645
Fannie Mae S.F. 30 yr TBA
4.50% 6/1/46 19,760,000 21,451,177
Freddie Mac ARM
2.406% 10/1/36 ● 7,221 7,632
2.498% 7/1/36 ● 37,578 39,170
2.523% 1/1/44 ● 659,831 677,766
2.531% 4/1/33 ● 48,045 49,742
2.565% 2/1/37 ● 5,862 6,170
2.57% 4/1/34 ● 15,329 16,243
2.62% 6/1/37 ● 366,682 384,012
2.635% 7/1/38 ● 895,606 946,940
2.65% 10/1/37 ● 188,937 198,761
2.955% 11/1/44 ● 212,204 220,263
2.971% 2/1/35 ● 89,196 93,293
3.461% 5/1/42 ● 3,839,591 4,006,186
4.852% 8/1/38 ● 29,189 30,827
Freddie Mac S.F. 15 yr
5.00% 4/1/20 78,397 82,843
Freddie Mac S.F. 30 yr
4.50% 4/1/39 99,101 109,275
5.50% 1/1/36 235,413 264,418
5.50% 6/1/36 35,967 40,424
5.50% 11/1/36 222,446 249,065
5.50% 3/1/40 201,772 225,724
5.50% 6/1/41 86,748 97,800
6.00% 3/1/36 292,602 336,219
6.00% 1/1/38 68,315 77,632
6.00% 6/1/38 193,556 220,198
6.00% 8/1/38 2,639,308 3,044,912
7.00% 11/1/33 478 584
9.00% 9/1/30 58,625 62,189
11.00% 5/1/20 1,368 1,486
GNMA I S.F. 15 yr
6.00% 1/15/22 1,200,658 1,308,915

NQ-022 [3/16] 5/16 (16643)     5


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

                   Principal amount°        Value (U.S. $)
Agency Mortgage-Backed Securities (continued)
GNMA I S.F. 30 yr
7.50% 12/15/23 31,625 $ 36,115
7.50% 12/15/31 57,872 70,792
7.50% 1/15/32 1,313 1,646
Total Agency Mortgage-Backed Securities (cost $90,573,015) 91,097,511
 
Collateralized Debt Obligations – 1.10%
AMMC CLO
Series 2015-16A AX 144A 1.974% 4/14/27 #● 5,700,000 5,691,439
CIFC Funding
Series 2011-1AR A1R 144A 1.92% 1/19/23 #● 1,202,436 1,199,802
Harbourview CLO VII
Series 7A AX 144A 1.968% 11/18/26 #● 4,583,333 4,576,431
Total Collateralized Debt Obligations (cost $11,474,311) 11,467,672
 
Commercial Mortgage-Backed Securities – 0.94%
Bear Stearns Commercial Mortgage Securities Trust
Series 2007-PW16 A1A 5.721% 6/11/40 ● 1,730,014 1,795,949
CFCRE Commercial Mortgage Trust
Series 2011-C1 A2 144A 3.759% 4/15/44 # 5,285 5,281
Citigroup Commercial Mortgage Trust
Series 2007-C6 AM 5.705% 12/10/49 ● 535,000 540,433
DBUBS Mortgage Trust
Series 2011-LC1A A3 144A 5.002% 11/10/46 # 1,285,000 1,449,199
FREMF Mortgage Trust
Series 2011-K15 B 144A 4.949% 8/25/44 #● 95,000 103,307
Series 2012-K708 B 144A 3.751% 2/25/45 #● 870,000 895,325
Series 2013-K35 C 144A 3.942% 8/25/23 #● 150,000 134,877
Series 2013-K712 B 144A 3.369% 5/25/45 #● 980,000 984,321
JPMBB Commercial Mortgage Securities Trust
Series 2014-C18 A1 1.254% 2/15/47 418,571 416,223
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2006-LDP8 AM 5.44% 5/15/45 1,065,000 1,074,006
Morgan Stanley Capital I Trust
Series 2006-TOP23 A4 5.891% 8/12/41 ● 377,756 378,476
NCUA Guaranteed Notes Trust
Series 2010-C1 A2 2.90% 10/29/20 395,942 396,168
Series 2011-C1 0.963% 3/9/21 ● 1,591,094 1,584,148
Total Commercial Mortgage-Backed Securities (cost $9,929,694) 9,757,713

6     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

                   Principal amount°        Value (U.S. $)
Convertible Bond – 0.13%
Jefferies Group 3.875% exercise price $44.35, expiration
date 11/1/29 1,355,000 $ 1,334,675
Total Convertible Bond (cost $1,443,922) 1,334,675
 
Corporate Bonds – 42.21%
Automotive – 0.26%
Ford Motor Credit 3.336% 3/18/21 1,575,000 1,622,590
Schaeffler Holding Finance 144A PIK 6.25% 11/15/19 #❆ 1,000,000 1,050,000
2,672,590
Banking – 12.96%
ANZ New Zealand International 144A 2.60% 9/23/19 # 3,900,000 3,942,155
Banco Continental Via Continental Senior Trustees
Cayman 144A 5.50% 11/18/20 # 500,000 543,600
Bancolombia 6.125% 7/26/20 500,000 529,850
Bank of America
2.625% 10/19/20 1,310,000 1,320,532
4.45% 3/3/26 4,250,000 4,387,058
Bank of New York Mellon
2.45% 11/27/20 3,340,000 3,408,921
2.50% 4/15/21 2,280,000 2,326,644
BBVA Bancomer 144A 7.25% 4/22/20 # 500,000 557,500
Branch Banking & Trust
3.625% 9/16/25 1,610,000 1,688,409
3.80% 10/30/26 845,000 898,516
Citizens Bank
2.45% 12/4/19 5,010,000 5,006,979
2.50% 3/14/19 2,890,000 2,917,189
Commonwealth Bank of Australia 2.40% 11/2/20 4,055,000 4,102,873
Compass Bank 2.75% 9/29/19 7,305,000 7,280,623
Cooperatieve Centrale Raiffeisen-Boerenleenbank
2.25% 1/14/19 5,690,000 5,779,447
Credit Suisse
2.30% 5/28/19 4,890,000 4,938,563
3.00% 10/29/21 475,000 484,885
Export Credit Bank of Turkey 144A 5.375% 2/8/21 # 300,000 306,015
Export-Import Bank of Korea 2.125% 2/11/21 300,000 301,313
Fifth Third Bancorp 2.875% 7/27/20 1,045,000 1,062,180
Fifth Third Bank
2.30% 3/15/19 510,000 514,822
3.85% 3/15/26 515,000 528,644
Goldman Sachs Group 6.25% 9/1/17 2,390,000 2,544,683
HBOS 144A 6.75% 5/21/18 # 2,555,000 2,769,191
Huntington Bancshares 3.15% 3/14/21 1,020,000 1,037,526

NQ-022 [3/16] 5/16 (16643)     7


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

                   Principal amount°        Value (U.S. $)
Corporate Bonds (continued)
Banking (continued)
JPMorgan Chase
2.55% 3/1/21 3,810,000 $ 3,846,385
4.25% 10/1/27 2,060,000 2,147,542
5.30% 12/29/49 ● 1,000,000 1,005,000
JPMorgan Chase Bank 0.962% 6/13/16 ● 1,750,000 1,750,196
KeyBank
2.35% 3/8/19 955,000 964,061
3.18% 5/22/22 1,335,000 1,352,614
Manufacturers & Traders Trust 2.25% 7/25/19 5,255,000 5,307,839
Morgan Stanley
2.45% 2/1/19 1,345,000 1,365,823
3.875% 1/27/26 4,880,000 5,101,259
3.95% 4/23/27 3,355,000 3,366,018
PNC Bank
2.30% 6/1/20 4,275,000 4,320,482
2.45% 11/5/20 810,000 824,312
2.60% 7/21/20 1,040,000 1,063,490
Popular 7.00% 7/1/19 1,000,000 976,250
Santander Holdings USA 4.625% 4/19/16 2,090,000 2,093,093
Santander UK Group Holdings
2.875% 10/16/20 2,530,000 2,522,220
3.125% 1/8/21 560,000 564,155
Skandinaviska Enskilda Banken 144A 2.375% 3/25/19 # 4,580,000 4,630,540
State Street 2.55% 8/18/20 1,075,000 1,107,834
SunTrust Banks
2.35% 11/1/18 3,850,000 3,879,025
2.50% 5/1/19 3,705,000 3,742,724
SVB Financial Group 3.50% 1/29/25 1,235,000 1,222,871
Swedbank
144A 2.375% 2/27/19 # 2,000,000 2,027,786
144A 2.65% 3/10/21 # 855,000 865,459
Toronto-Dominion Bank 2.25% 11/5/19 3,580,000 3,630,066
Turkiye Is Bankasi 144A 5.375% 10/6/21 # 230,000 230,041
UBS Group Funding Jersey 144A 3.00% 4/15/21 # 2,700,000 2,708,100
US Bancorp
2.35% 1/29/21 1,000,000 1,015,937
4.125% 5/24/21 200,000 219,872
USB Capital IX 3.50% 10/29/49 @● 6,960,000 5,159,100
Wells Fargo
2.15% 1/15/19 3,580,000 3,645,725
3.00% 1/22/21 3,000,000 3,111,945
134,945,882

8     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

             Principal amount°        Value (U.S. $)
Corporate Bonds (continued)
Basic Industry – 1.70%
ArcelorMittal 6.125% 6/1/18 350,000 $ 355,250
Ball 4.375% 12/15/20 500,000 521,250
Builders FirstSource 144A 7.625% 6/1/21 # 1,000,000 1,045,000
Corp Nacional del Cobre de Chile 144A 3.875% 11/3/21 # 500,000 512,799
Freeport-McMoRan 2.30% 11/14/17 500,000 463,750
Georgia-Pacific
     144A 2.539% 11/15/19 # 1,000,000 1,004,953
     144A 5.40% 11/1/20 # 5,750,000 6,429,978
Gerdau Holdings 144A 7.00% 1/20/20 # 400,000 387,000
HD Supply
     7.50% 7/15/20 500,000 533,125
     11.50% 7/15/20 500,000 557,187
International Paper 5.25% 4/1/16 550,000 550,000
INVISTA Finance 144A 4.25% 10/15/19 # 1,330,000 1,283,450
MMC Finance 4.375% 4/30/18 500,000 508,100
PPG Industries 2.30% 11/15/19 940,000 954,111
Southern Copper 5.375% 4/16/20 375,000 402,195
Suzano Trading 144A 5.875% 1/23/21 # 155,000 157,325
WestRock
     3.50% 3/1/20 1,010,000 1,024,986
     4.45% 3/1/19 945,000 988,773
  17,679,232
Brokerage – 0.25%
Jefferies Group 5.125% 1/20/23 2,285,000 2,296,610
Lazard Group 6.85% 6/15/17 316,000 333,100
2,629,710
Capital Goods – 0.80%
Beverage Packaging Holdings Luxembourg II 144A
     6.00% 6/15/17 # 1,000,000 995,625
Cemex 144A 5.875% 3/25/19 # 1,000,000 1,007,500
Fortune Brands Home & Security 3.00% 6/15/20 630,000 638,314
Ingersoll-Rand Global Holding 2.875% 1/15/19 4,630,000 4,737,740
Lockheed Martin 2.50% 11/23/20 980,000 1,004,854
8,384,033
Communications – 2.91%
American Tower 4.40% 2/15/26 1,200,000 1,271,416
AT&T
     2.80% 2/17/21 70,000 71,850
     3.60% 2/17/23 5,760,000 5,992,819
     4.125% 2/17/26 1,190,000 1,259,226
CC Holdings GS V 3.849% 4/15/23 1,165,000 1,202,902
Columbus International 144A 7.375% 3/30/21 # 500,000 534,375

NQ-022 [3/16] 5/16 (16643)     9


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

            Principal amount°       Value (U.S. $)
Corporate Bonds (continued)
Communications (continued)
Crown Castle International
     3.40% 2/15/21 420,000 $ 426,727
     4.45% 2/15/26 385,000 401,086
Crown Castle Towers 144A 3.663% 5/15/25 # 635,000 644,931
Digicel Group 144A 8.25% 9/30/20 # 1,000,000 862,500
GTP Acquisition Partners I 144A 2.35% 6/15/20 # 520,000 512,340
Millicom International Cellular 144A 6.625% 10/15/21 # 500,000 505,625
Myriad International Holdings 144A 6.375% 7/28/17 # 300,000 313,787
Omnicom Group 3.60% 4/15/26 845,000 867,360
SBA Tower Trust 144A 2.24% 4/16/18 # 1,995,000 1,981,814
SES 144A 3.60% 4/4/23 # 436,000 428,102
SES GLOBAL Americas Holdings 144A 2.50% 3/25/19 # 1,695,000 1,673,962
Sky 144A 3.75% 9/16/24 # 2,045,000 2,114,260
Verizon Communications
     4.50% 9/15/20 3,165,000 3,497,781
     5.15% 9/15/23 4,530,000 5,236,807
VimpelCom Holdings 144A 6.255% 3/1/17 # 500,000 513,750
  30,313,420
Consumer Cyclical – 3.55%
CVS Health 2.80% 7/20/20 440,000 457,109
Daimler Finance North America 144A 2.70% 8/3/20 # 4,480,000 4,551,290
General Motors Financial
     3.15% 1/15/20 1,135,000 1,139,440
     3.45% 4/10/22 1,070,000 1,052,013
     4.375% 9/25/21 260,000 269,043
Home Depot 2.00% 4/1/21 3,960,000 4,002,467
Hyundai Capital America
     144A 2.55% 2/6/19 # 1,000,000 1,007,101
     144A 3.00% 3/18/21 # 545,000 552,084
Landry’s 144A 9.375% 5/1/20 # 1,000,000 1,055,000
Marriott International 3.375% 10/15/20 1,200,000 1,242,558
McDonald’s 2.75% 12/9/20 2,415,000 2,503,983
Newell Rubbermaid 3.85% 4/1/23 150,000 155,800
PulteGroup 4.25% 3/1/21 500,000 510,000
Starbucks 2.10% 2/4/21 2,110,000 2,149,288
Target 2.30% 6/26/19 3,500,000 3,625,608
Toyota Motor Credit
     2.00% 10/24/18 5,055,000 5,148,123
     2.125% 7/18/19 7,375,000 7,545,149
36,966,056

10     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

            Principal amount°       Value (U.S. $)
Corporate Bonds (continued)
Consumer Non-Cyclical – 3.63%
Anheuser-Busch InBev Finance
     2.65% 2/1/21 3,360,000 $ 3,454,994
     3.30% 2/1/23 2,735,000 2,845,915
     3.65% 2/1/26 80,000 84,231
Bayer U.S. Finance 144A 2.375% 10/8/19 # 6,000,000 6,187,458
Becton Dickinson 2.675% 12/15/19 4,270,000 4,378,441
Bunge Finance 3.50% 11/24/20 4,730,000 4,805,004
JBS Investments 144A 7.75% 10/28/20 # 300,000 298,500
Merck 1.85% 2/10/20 5,920,000 6,034,682
Perrigo Finance Unlimited 3.50% 12/15/21 885,000 903,218
Reynolds American 4.00% 6/12/22 3,470,000 3,776,057
St. Jude Medical 2.80% 9/15/20 1,175,000 1,202,771
Sysco 2.50% 7/15/21 1,660,000 1,681,321
Zimmer Biomet Holdings 2.70% 4/1/20 2,085,000 2,116,187
37,768,779
Electric – 5.72%
AES Gener 144A 5.25% 8/15/21 # 420,000 446,757
Ameren 2.70% 11/15/20 3,665,000 3,720,385
Arizona Public Service 2.20% 1/15/20 4,195,000 4,245,382
Berkshire Hathaway Energy 2.00% 11/15/18 5,510,000 5,573,652
CenterPoint Energy 5.95% 2/1/17 2,365,000 2,446,415
CMS Energy 6.25% 2/1/20 1,345,000 1,546,928
Commonwealth Edison 2.15% 1/15/19 1,550,000 1,569,049
DTE Energy
     2.40% 12/1/19 1,725,000 1,739,776
     144A 3.30% 6/15/22 # 1,050,000 1,091,207
Electricite de France 144A 5.25% 12/29/49 #● 280,000 257,250
Entergy 4.00% 7/15/22 3,175,000 3,371,425
Exelon 2.85% 6/15/20 2,000,000 2,042,962
IPALCO Enterprises 3.45% 7/15/20 710,000 716,213
Korea East-West Power 144A 2.625% 11/27/18 # 500,000 510,875
Majapahit Holding 144A 8.00% 8/7/19 # 500,000 571,900
National Rural Utilities Cooperative Finance 2.15% 2/1/19 6,030,000 6,132,377
NextEra Energy Capital Holdings 2.70% 9/15/19 2,980,000 3,014,833
NV Energy 6.25% 11/15/20 2,460,000 2,843,612
PPL Capital Funding 1.90% 6/1/18 3,810,000 3,817,330
Public Service Electric & Gas 1.90% 3/15/21 2,105,000 2,121,046
Southern 2.45% 9/1/18 5,905,000 6,002,929
WEC Energy Group 2.45% 6/15/20 2,075,000 2,112,462
Xcel Energy 2.40% 3/15/21 3,590,000 3,638,835
59,533,600

NQ-022 [3/16] 5/16 (16643)     11


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

            Principal amount°       Value (U.S. $)
Corporate Bonds (continued)
Energy – 1.46%
CNOOC Finance 2015 Australia 2.625% 5/5/20 500,000 $ 501,391
Dominion Gas Holdings 2.50% 12/15/19 2,020,000 2,052,292
KazMunayGas National 144A 6.375% 4/9/21 # 500,000 515,530
Petrobras Global Finance 4.875% 3/17/20 475,000 396,483
Petroleos Mexicanos 3.50% 7/18/18 500,000 508,000
Petronas Global Sukuk 144A 2.707% 3/18/20 # 1,330,000 1,339,386
Regency Energy Partners 5.875% 3/1/22 1,040,000 1,011,589
Targa Resources Partners 5.00% 1/15/18 500,000 501,250
Williams Partners 7.25% 2/1/17 5,195,000 5,325,078
Woodside Finance 144A 8.75% 3/1/19 # 2,235,000 2,570,885
YPF 144A 8.875% 12/19/18 # 430,000 447,415
15,169,299
Finance Companies – 1.19%
AerCap Ireland Capital
     4.25% 7/1/20 500,000 505,625
     4.625% 10/30/20 500,000 514,375
Ally Financial 4.125% 3/30/20 500,000 497,500
Aviation Capital Group 144A 2.875% 9/17/18 # 1,610,000 1,618,581
Corporacion Financiera de Desarrollo 144A
     3.25% 7/15/19 # 500,000 510,000
General Electric Capital
     144A 3.80% 6/18/19 # 2,235,000 2,383,721
     5.55% 5/4/20 2,175,000 2,509,110
     6.00% 8/7/19 1,445,000 1,666,675
Legg Mason 2.70% 7/15/19 2,220,000 2,243,776
  12,449,363
Healthcare – 0.37%
CHS/Community Health Systems
     5.125% 8/15/18 500,000 506,250
     8.00% 11/15/19 125,000 122,344
HCA 6.50% 2/15/20 1,000,000 1,100,000
IASIS Healthcare 8.375% 5/15/19 250,000 247,813
Kinetic Concepts 10.50% 11/1/18 500,000 503,750
Mallinckrodt International Finance 144A 4.875% 4/15/20 # 500,000 471,000
Stryker 2.625% 3/15/21 875,000 893,279
3,844,436
Industrial – 0.05%
Hutchison Whampoa International 144A
     1.625% 10/31/17 # 500,000 500,399
500,399
Insurance – 2.29%
ACE INA Holdings 2.30% 11/3/20 3,540,000 3,601,242

12     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

            Principal amount°       Value (U.S. $)
Corporate Bonds (continued)
Insurance (continued)
American International Group 2.30% 7/16/19 3,700,000 $ 3,740,977
Metropolitan Life Global Funding I 144A 1.875% 6/22/18 # 5,265,000 5,301,702
Pricoa Global Funding I
     144A 1.60% 5/29/18 # 1,050,000 1,046,874
     144A 2.20% 5/16/19 # 3,855,000 3,873,030
Prudential Financial 5.625% 6/15/43 ● 1,200,000 1,223,700
TIAA Asset Management Finance
     144A 2.95% 11/1/19 # 975,000 990,330
     144A 4.125% 11/1/24 # 460,000 476,244
Trinity Acquisition 3.50% 9/15/21 600,000 611,130
UnitedHealth Group 2.70% 7/15/20 2,900,000 3,014,330
23,879,559
Media – 0.43%
Comcast 3.15% 3/1/26 2,050,000 2,137,043
CSC Holdings 7.625% 7/15/18 500,000 541,250
DISH DBS 7.875% 9/1/19 500,000 551,875
Numericable Group 144A 4.875% 5/15/19 # 750,000 750,000
WideOpenWest Finance 10.25% 7/15/19 500,000 502,500
4,482,668
Natural Gas – 0.81%
CenterPoint Energy Resources 4.50% 1/15/21 2,700,000 2,875,424
Sempra Energy 2.30% 4/1/17 5,490,000 5,526,388
8,401,812
Real Estate – 0.29%
IRSA Propiedades Comerciales 144A 8.75% 3/23/23 # 170,000 170,680
WEA Finance
     144A 2.70% 9/17/19 # 2,625,000 2,644,958
     144A 3.75% 9/17/24 # 200,000 203,919
3,019,557
REITs – 0.25%
Host Hotels & Resorts 3.75% 10/15/23 505,000 493,498
Iron Mountain 144A 6.00% 10/1/20 # 750,000 792,187
Kimco Realty 3.40% 11/1/22 195,000 197,950
Simon Property Group 2.50% 7/15/21 865,000 884,511
VEREIT Operating Partnership 3.00% 2/6/19 @ 250,000 246,845
2,614,991
Services – 0.31%
BlueLine Rental Finance 144A 7.00% 2/1/19 # 455,000 421,444
Hertz 6.75% 4/15/19 1,000,000 1,016,990
MGM Resorts International 7.625% 1/15/17 750,000 780,000
Pinnacle Entertainment 6.375% 8/1/21 1,000,000 1,061,250
3,279,684

NQ-022 [3/16] 5/16 (16643)     13


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

            Principal amount°       Value (U.S. $)
Corporate Bonds (continued)
Technology – 1.44%
Amphenol 3.125% 9/15/21 5,975,000 $ 6,096,119
Apple 3.25% 2/23/26 620,000 648,124
Baidu 2.75% 6/9/19 500,000 508,212
Cisco Systems 2.20% 2/28/21 4,125,000 4,209,991
National Semiconductor 6.60% 6/15/17 3,325,000 3,544,942
15,007,388
Telecommunications – 0.41%
CenturyLink 5.625% 4/1/20 750,000 762,570
Digicel 144A 6.00% 4/15/21 # 500,000 450,000
Frontier Communications 144A 8.875% 9/15/20 # 1,000,000 1,042,500
Sprint Communications
     6.00% 12/1/16 750,000 749,063
     144A 7.00% 3/1/20 # 450,000 452,250
T-Mobile USA 5.25% 9/1/18 750,000 770,625
4,227,008
Transportation – 1.13%
AP Moeller – Maersk 144A 2.55% 9/22/19 # 1,595,000 1,580,988
CSX 3.35% 11/1/25 1,060,000 1,093,721
DP World Sukuk 144A 6.25% 7/2/17 # 300,000 314,400
ERAC USA Finance 144A 2.80% 11/1/18 # 3,355,000 3,408,646
HPHT Finance 15 144A 2.875% 3/17/20 # 500,000 505,817
Ryder System 3.45% 11/15/21 1,895,000 1,934,425
United Airlines 2015-1 Class AA Pass-Through Trust
     3.45% 12/1/27 ⧫ 360,000 363,150
United Parcel Service 5.125% 4/1/19 2,340,000 2,600,512
11,801,659
Total Corporate Bonds (cost $435,924,768) 439,571,125
 
Municipal Bonds – 1.49%
Commonwealth of Massachusetts
     Series A 5.00% 3/1/26 1,685,000 2,168,612
County of Baltimore, Maryland
     5.00% 2/1/26 2,030,000 2,628,322
New York City, New York
     Series C 5.00% 8/1/26 1,075,000 1,359,112
     Series C 5.00% 8/1/27 1,525,000 1,912,182
North Carolina State
     Series A 5.00% 6/1/27 825,000 1,069,703
University of California
     0.934% 7/1/41 ● 6,385,000 6,383,212
Total Municipal Bonds (cost $15,443,753) 15,521,143

14     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

                  Principal amount°       Value (U.S. $)
Non-Agency Asset-Backed Securities – 35.24%  
Ally Master Owner Trust
Series 2012-5 A 1.54% 9/15/19 3,855,000 $ 3,854,063
Series 2014-4 A2 1.43% 6/17/19 1,510,000 1,509,506
American Express Credit Account Master Trust  
Series 2012-1 A 0.706% 1/15/20 ● 3,900,000 3,902,331
Series 2013-1 A 0.856% 2/16/21 ● 7,135,000 7,149,792
Series 2013-2 A 0.856% 5/17/21 ● 2,474,000 2,477,950
Series 2014-1 A 0.806% 12/15/21 ● 2,100,000 2,096,065
ARI Fleet Lease Trust
Series 2015-A A2 144A 1.11% 11/15/18 # 264,011 263,258
Avis Budget Rental Car Funding AESOP
Series 2011-3A A 144A 3.41% 11/20/17 # 820,000 826,179
Series 2013-2A A 144A 2.97% 2/20/20 # 6,500,000 6,609,850
Bank of America Credit Card Trust
Series 2007-A4 A4 0.476% 11/15/19 ● 10,495,000 10,456,639
Series 2014-A2 A 0.706% 9/16/19 ● 5,500,000 5,499,999
Series 2014-A3 A 0.726% 1/15/20 ● 7,765,000 7,767,316
Series 2015-A1 A 0.766% 6/15/20 ● 748,000 748,528
Barclays Dryrock Issuance Trust
Series 2014-2 A 0.776% 3/16/20 ● 2,500,000 2,498,232
Cabela’s Credit Card Master Note Trust
Series 2012-2A A1 144A 1.45% 6/15/20 # 565,000 565,832
Series 2014-2 A 0.886% 7/15/22 ● 6,000,000 5,902,252
Series 2015-1A A1 2.26% 3/15/23 500,000 505,447
California Republic Auto Receivables Trust
Series 2013-2 A2 1.23% 3/15/19 829,466 829,194
Capital One Multi-Asset Execution Trust
Series 2007-A1 A1 0.486% 11/15/19 ● 14,085,000 14,062,619
Series 2007-A2 A2 0.516% 12/16/19 ● 5,650,000 5,640,114
Series 2007-A5 A5 0.476% 7/15/20 ● 200,000 199,205
Series 2014-A3 A3 0.816% 1/18/22 ● 2,000,000 1,996,948
Series 2014-A5 A5 1.48% 7/15/20 2,000,000 2,010,723
Chase Issuance Trust
Series 2007-A12 A12 0.486% 8/15/19 ● 4,500,000 4,483,824
Series 2007-B1 B1 0.686% 4/15/19 ● 2,100,000 2,091,836
Series 2012-A10 A10 0.696% 12/16/19 ● 12,750,000 12,747,451
Series 2013-A3 A3 0.716% 4/15/20 ● 3,670,000 3,670,000
Series 2013-A6 A6 0.856% 7/15/20 ● 4,000,000 4,004,337
Series 2013-A9 A 0.856% 11/16/20 ● 8,900,000 8,919,023
Series 2014-A5 A5 0.806% 4/15/21 ● 8,400,000 8,392,127
Series 2014-A7 A7 1.38% 11/15/19 5,500,000 5,517,917
Series 2015-A6 A6 0.686% 5/15/19 ● 11,270,000 11,267,749

NQ-022 [3/16] 5/16 (16643)     15


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

                  Principal amount°       Value (U.S. $)
Non-Agency Asset-Backed Securities (continued)
Chesapeake Funding
Series 2012-2A A 144A 0.891% 5/7/24 #● 1,035,606 $ 1,035,505
Series 2014-1A A 144A 0.861% 3/7/26 #● 8,232,242 8,208,960
CIT Equipment Collateral
Series 2014-VT1 A2 144A 0.86% 5/22/17 # 332,365 331,839
Citibank Credit Card Issuance Trust
Series 2013-A4 A4 0.852% 7/24/20 ● 800,000 801,146
Series 2013-A7 A7 0.872% 9/10/20 ● 8,100,000 8,120,333
Series 2014-A9 A9 0.682% 11/23/18 ● 1,645,000 1,645,000
Dell Equipment Finance Trust
Series 2014-1 A3 144A 0.94% 6/22/20 # 404,371 404,226
Discover Card Execution Note Trust
Series 2012-A4 A4 0.806% 11/15/19 ● 500,000 500,802
Series 2013-A1 A1 0.736% 8/17/20 ● 3,300,000 3,299,169
Series 2013-A6 A6 0.886% 4/15/21 ● 2,405,000 2,408,679
Series 2014-A1 A1 0.866% 7/15/21 ● 8,365,000 8,371,695
Series 2015-A1 A1 0.786% 8/17/20 ● 7,350,000 7,346,346
Series 2015-A3 A 1.45% 3/15/21 890,000 892,097
Enterprise Fleet Financing
Series 2014-1 A2 144A 0.87% 9/20/19 # 983,229 980,263
FirstKey Lending Trust    
Series 2015-SFR1 A 144A 2.553% 3/9/47 # 489,478 484,754
Ford Credit Auto Lease Trust
Series 2015-A A3 1.13% 6/15/18 725,000 724,492
Ford Credit Auto Owner Trust
Series 2016-A A2B 0.836% 12/15/18 ● 1,600,000 1,601,420
Ford Credit Floorplan Master Owner Trust A
Series 2014-1 A1 1.20% 2/15/19 4,100,000 4,095,590
Series 2014-1 A2 0.836% 2/15/19 ● 6,524,000 6,512,296
Series 2014-2 A 0.936% 2/15/21 ● 6,612,000 6,545,631
Series 2014-4 A2 0.786% 8/15/19 ● 7,650,000 7,623,533
Series 2015-2 A2 1.006% 1/15/22 ● 10,000,000 9,875,213
GE Dealer Floorplan Master Note Trust
Series 2012-2 A 1.182% 4/22/19 ● 19,865,000 19,919,283
Series 2013-1 A 0.832% 4/20/18 ● 2,600,000 2,600,000
Series 2014-2 A 0.882% 10/20/19 ● 8,575,000 8,521,014
Series 2015-1 A 0.932% 1/20/20 ● 4,810,000 4,793,113
Golden Credit Card Trust
Series 2014-2A A 144A 0.886% 3/15/21 #● 535,000 528,750
Series 2015-1A A 144A 0.876% 2/15/20 #● 7,750,000 7,729,458
GreatAmerica Leasing Receivables
Series 2014-1 A3 144A 0.89% 7/15/17 # 1,857,156 1,851,645
Hertz Fleet Lease Funding
Series 2014-1 A 144A 0.842% 4/10/28 #● 4,527,852 4,517,349

16     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

            Principal amount°       Value (U.S. $)
Non-Agency Asset-Backed Securities (continued)
HOA Funding
     Series 2014-1A A2 144A 4.846% 8/20/44 # 257,050 $ 229,590
Honda Auto Receivables Owner Trust
     Series 2015-3 A3 1.27% 4/18/19 6,000,000 6,015,939
Hyundai Auto Lease Securitization Trust
     Series 2014-A A4 144A 1.01% 9/15/17 # 1,310,000 1,308,953
     Series 2015-A A3 144A 1.42% 9/17/18 # 6,200,000 6,211,669
Hyundai Auto Receivables Trust
     Series 2015-C A2B 0.806% 11/15/18 ● 1,200,000 1,199,697
     Series 2016-A A2B 0.801% 6/17/19 ● 3,000,000 2,999,993
Mercedes-Benz Auto Lease Trust
     Series 2015-B A2B 0.956% 1/16/18 ● 7,000,000 7,004,337
     Series 2016-A A2B 0.998% 7/16/18 ● 505,000 505,033
Mercedes-Benz Master Owner Trust
     Series 2015-AA A 144A 0.756% 4/15/19 #● 4,000,000 3,994,510
     Series 2015-BA A 144A 0.816% 4/15/20 #● 1,000,000 996,252
Navistar Financial Dealer Note Master Owner Trust II
     Series 2014-1 A 144A 1.183% 10/25/19 #● 9,000,000 8,955,558
NextGear Floorplan Master Owner Trust
     Series 2014-1A A 144A 1.92% 10/15/19 # 1,015,000 1,005,182
Nissan Auto Lease Trust
     Series 2014-A A4 1.04% 10/15/19 1,360,000 1,359,775
     Series 2014-B A3 1.12% 9/15/17 10,025,000 10,024,125
     Series 2015-B A2B 0.966% 12/15/17 ● 725,000 725,588
Nissan Auto Receivables Owner Trust
     Series 2013-C A3 0.67% 8/15/18 1,282,057 1,280,192
     Series 2015-C A2B 0.786% 11/15/18 ● 500,000 500,403
Penarth Master Issuer
     Series 2015-1A A1 144A 0.84% 3/18/19 #● 385,000 383,768
     Series 2015-2A A1 144A 0.84% 5/18/19 #● 3,800,000 3,787,255
PFS Financing
     Series 2014-AA A 144A 1.036% 2/15/19 #● 8,000,000 7,970,348
     Series 2015-AA A 144A 1.056% 4/15/20 #● 2,000,000 1,974,419
Porsche Innovative Lease Owner Trust
     Series 2015-1 A3 144A 1.19% 7/23/18 # 755,000 754,753
Synchrony Credit Card Master Note Trust
     Series 2012-6 A 1.36% 8/17/20 870,000 869,321
     Series 2015-2 A 1.60% 4/15/21 1,250,000 1,251,778
Trade MAPS 1
     Series 2013-1A A 144A 1.142% 12/10/18 #● 9,970,000 9,905,759
Volkswagen Auto Lease Trust
     Series 2015-A A3 1.25% 12/20/17 790,000 785,315
Volkswagen Credit Auto Master Trust
     Series 2014-1A A2 144A 1.40% 7/22/19 # 2,210,000 2,184,937

NQ-022 [3/16] 5/16 (16643)     17


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

            Principal amount°       Value (U.S. $)
Non-Agency Asset-Backed Securities (continued)
Wheels
     Series 2014-1A A2 144A 0.84% 3/20/23 # 1,467,026 $ 1,462,300
World Financial Network Credit Card Master Trust
     Series 2015-A A 0.916% 2/15/22 ● 685,000 683,338
Total Non-Agency Asset-Backed Securities
(cost $367,278,286) 367,065,994
 
Non-Agency Collateralized Mortgage Obligations – 0.28%
American Home Mortgage Investment Trust
     Series 2005-2 5A1 5.064% 9/25/35 ϕ 37,347 37,273
Bank of America Alternative Loan Trust
     Series 2005-3 2A1 5.50% 4/25/20 48,871 48,783
     Series 2005-6 7A1 5.50% 7/25/20 37,701 36,822
Bank of America Mortgage Securities
     Series 2002-K 2A1 2.741% 10/20/32 @● 3,176 3,156
GSMPS Mortgage Loan Trust
     Series 1998-2 A 144A 7.75% 5/19/27 #● 67,022 69,814
JPMorgan Mortgage Trust
     Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● 455,000 455,734
Sequoia Mortgage Trust
     Series 2014-2 A4 144A 3.50% 7/25/44 #● 596,882 609,683
Towd Point Mortgage Trust
     Series 2015-5 A1B 144A 2.75% 5/25/55 #● 738,856 738,119
     Series 2015-6 A1B 144A 2.75% 4/25/55 #● 772,950 771,242
Wells Fargo Mortgage-Backed Securities Trust
     Series 2004-EE 3A1 2.722% 12/25/34 ● 12,816 12,837
     Series 2006-AR5 2A1 3.10% 4/25/36 ● 149,151 138,895
Total Non-Agency Collateralized Mortgage Obligations (cost $2,855,952) 2,922,358
 
Regional Bond – 0.02%Δ
Argentina – 0.02%
Provincia de Buenos Aires 144A 9.95% 6/9/21 # 180,000 189,450
Total Regional Bond (cost $177,775) 189,450
 
Senior Secured Loans – 0.97%«
Albertson’s Tranche B4 1st Lien 5.50% 8/25/21 498,652 499,743
Avago Technologies Cayman Finance Tranche B 1st Lien
     4.25% 2/1/23 500,000 498,160
BJ’s Wholesale Club 2nd Lien 8.50% 3/31/20 @ 200,000 184,700
Blue Ribbon 1st Lien 5.50% 11/13/21 1,000,000 997,500
Calpine Corp Tranche B3 1st Lien 4.00% 10/9/19 249,354 248,523
CCO Safari III Tranche H 1st Lien 3.25% 8/24/21 500,000 499,688
FCA US Tranche B 1st Lien 3.25% 12/31/18 292,204 292,131

18     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

            Principal amount°       Value (U.S. $)
Senior Secured Loans« (continued)
First Data Tranche C1 1st Lien 3.932% 3/24/18 807,283 $ 806,721
Gray Television Tranche C 1st Lien 4.25% 6/13/21 399,000 400,122
HCA Tranche B6 1st Lien 3.683% 3/18/23 1,000,000 1,005,536
Hilton Worldwide Finance Tranche B2 1st Lien
     3.50% 10/25/20 500,000 500,750
Ineos U.S. Finance Tranche B 3.75% 5/4/18 498,721 495,214
JC Penney 1st Lien 6.00% 5/22/18 496,395 497,264
Landry’s Tranche B 1st Lien 4.00% 4/24/18 949,876 947,738
Marina District Tranche B 1st Lien 6.50% 8/15/18 317,981 318,478
Microsemi Tranche B 1st Lien 5.25% 1/15/23 231,618 232,978
Mohegan Tribal Gaming Authority Tranche B
     5.50% 6/15/18 797,900 773,714
Republic of Angola (Unsecured) 7.045% 12/16/23 @ 510,000 425,850
Rite Aid 2nd Lien 5.75% 8/21/20 500,000 502,500
Total Senior Secured Loans (cost $10,199,726) 10,127,310
 
Sovereign Bonds – 0.38%Δ
Croatia – 0.05%
Croatia Government International Bond 144A
     6.375% 3/24/21 # 500,000 547,281
547,281
Dominican Republic – 0.05%
Dominican Republic International Bond 144A
     7.50% 5/6/21 # 500,000 546,250
546,250
Indonesia – 0.03%
Perusahaan Penerbit Indonesia III 144A 6.125% 3/15/19 # 300,000 330,000
330,000
Mexico – 0.05%
Nacional Financiera SNC 144A 3.375% 11/5/20 # 500,000 505,000
505,000
Mongolia – 0.05%
Mongolia Government International Bond 144A
     10.875% 4/6/21 # 500,000 501,937
501,937
Serbia – 0.05%
Republic of Serbia 144A 4.875% 2/25/20 # 500,000 508,829
508,829
Slovenia – 0.05%
Slovenia Government International Bond 144A
     4.75% 5/10/18 # 500,000 529,420
529,420

NQ-022 [3/16] 5/16 (16643)     19


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

                  Principal amount°       Value (U.S. $)
Sovereign – BondsΔ (continued)
Sri Lanka – 0.05%
Sri Lanka Government International Bond 144A    
5.125% 4/11/19 # 500,000 $ 491,311
491,311
Total Sovereign Bonds (cost $3,975,210)   3,960,028
 
Supranational Bank – 0.13%
International Bank for Reconstruction & Development
1.625% 3/9/21 1,365,000 1,374,891
Total Supranational Bank (cost $1,362,912) 1,374,891
 
U.S. Treasury Obligations – 0.07%
U.S. Treasury Notes
1.25% 3/31/21 435,000 435,518
2.25% 11/15/25 270,000 281,011
Total U.S. Treasury Obligations (cost $714,905) 716,529
 
Number of
Shares
Preferred Stock – 0.44%
Bank of America 8.125% ● 1,000,000 986,250
General Electric 5.00% ● 1,111,000 1,145,719
Morgan Stanley 5.55% ● 1,180,000 1,164,660
PNC Preferred Funding Trust II 1.856% #● 1,200,000 1,011,000
USB Realty 1.769% #@● 400,000 320,000
Total Preferred Stock (cost $4,877,272) 4,627,629
 
Principal amount°
Short-Term Investments – 3.17%
Discount Notes – 2.36%≠  
Federal Home Loan Bank  
0.32% 5/20/16 590,375 590,174
0.335% 5/2/16 5,896,474 5,895,206
0.34% 5/19/16 100,813 100,779
0.374% 5/18/16 10,643,244 10,639,774
0.38% 7/18/16 355,335 354,962
0.385% 6/8/16 687,174 686,784
0.387% 5/27/16 3,595,182 3,593,784
0.53% 8/15/16 2,704,580 2,700,596
24,562,059

20 NQ-022 [3/16] 5/16 (16643)


(Unaudited)

      Principal amount°       Value (U.S. $)
Short-Term Investments (continued)
Repurchase Agreements - 0.81%
     Bank of America Merrill Lynch
          0.23%, dated 3/31/16, to be repurchased on 4/1/16,
          repurchase price $1,800,405 (collateralized by U.S.
          government obligations 2.50% 7/15/16; market
          value $1,836,402) 1,800,393 $ 1,800,393
     Bank of Montreal
          0.29%, dated 3/31/16, to be repurchased on 4/1/16,
          repurchase price $3,000,680 (collateralized by U.S.
          government obligations 0.00%-8.75%
          5/26/16-11/30/22; market value $3,060,669) 3,000,655 3,000,655
     BNP Paribas
          0.30%, dated 3/31/16, to be repurchased on 4/1/16,
          repurchase price $3,623,982 (collateralized by U.S.
          government obligations 0.00%-4.75%
          5/15/16-8/15/44; market value $3,696,431) 3,623,952 3,623,952
    8,425,000
Total Short-Term Investments (cost $32,982,488) 32,987,059
 
Total Value of Securities – 101.80%
     (cost $1,056,226,483) 1,060,266,782
Liabilities Net of Receivables and Other Assets – (1.80%) (18,736,478 )
Net Assets Applicable to 122,337,453 Shares Outstanding – 100.00% $ 1,041,530,304

# Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2016, the aggregate value of Rule 144A securities was $202,479,944, which represents 19.44% of the Fund’s net assets.
@ Illiquid security. At March 31, 2016, the aggregate value of illiquid securities was $6,339,651, which represents 0.61% of the Fund’s 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 March 31, 2016. Interest rates reset periodically.
Δ Securities have been classified by country of origin.
Σ Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security.

NQ-022 [3/16] 5/16 (16643)     21


Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)

« 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 March 31, 2016.
ϕ Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at March 31, 2016.

The following futures and swap contracts were outstanding at March 31, 2016:

Futures Contracts

Notional Unrealized
Cost Notional   Expiration Appreciation
Contracts to Buy (Sell) (Proceeds)       Value       Date       (Depreciation)
(162)       U.S. Treasury 10 yr Notes $ (21,130,415 ) $ (21,123,281 ) 6/22/16 $ 7,134
(231) U.S. Treasury 2 yr Notes   (50,519,767 ) (50,531,250 ) 7/1/16       (11,483 )
$ (71,650,182 ) $ (4,349 )

Swap Contracts
CDS Contracts1

      Swap             Annual             Upfront       Unrealized
Referenced Protection Termination Payment Appreciation
Counterparty Obligation Notional Value2 Payments Date Received (Depreciation)3
Protection
Purchased:  
    JPM -      
ICE CDX.NA.HY.254 44,000,000 5.00% 12/20/20 $ 190,719 $ (1,067,950 )
JPM -
ICE CDX.NA.HY.264 20,000,000 5.00% 6/20/21 394,715 (143,385 )
$ (1,211,335 )

The use of futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional values presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s 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.

3Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in the amount of $(73,581).

22     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

4Markit’s CDX.NA.HY Index, is composed of one hundred (100) of the most liquid North American entities with high yield credit ratings that trade in the CDS market.

Summary of abbreviations:
ARM – Adjustable Rate Mortgage
CDS – Credit Default Swap
CDX.NA.HY – Credit Default Swap Index North American High-Yield
CLO – Collateralized Loan Obligation
DBUBS – Deutsche Bank United Bank of Switzerland
FHAVA – Federal Housing Administration & Veterans Administration
GNMA – Government National Mortgage Association
GSMPS – Goldman Sachs Reperforming Mortgage Securities
ICE – Intercontinental Exchange, Inc.
JPM – JPMorgan
JPMBB – JPMorgan Barclays Bank
NCUA – National Credit Union Administration
PIK – Pay-in-kind
REIT – Real Estate Investment Trust
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
TBA – To be announced
yr – Year

NQ-022 [3/16] 5/16 (16643)     23


Notes
Delaware Limited-Term Diversified Income Fund March 31, 2016 (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 Fund’s 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. Equity 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 Fund’s 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).

2. Investments

At March 31, 2016, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At March 31, 2016, the cost of investments and unrealized appreciation (depreciation) for the Fund were as follows:

24     NQ-022 [3/16] 5/16 (16643)


(Unaudited)

Cost of investments       $ 1,056,226,483
Aggregate unrealized appreciation of investments $ 10,385,355
Aggregate unrealized depreciation of investments (6,345,056 )
Net unrealized appreciation of investments $ 4,040,299

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 entity’s 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 Fund’s 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 Fund’s 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 [3/16] 5/16 (16643)     25


(Unaudited)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2016:

Securities         Level 1       Level 2       Level 3       Total
Agency, Asset- & Mortgage-
     Backed Securities1 $ — $ 549,030,859 $ 826,084 $ 549,856,943
Corporate Debt — 440,905,800 — 440,905,800
Foreign Debt — 5,524,369 — 5,524,369
Senior Secured Loans1 — 9,701,460 425,850 10,127,310
Municipal Bonds — 15,521,143 — 15,521,143
Preferred Stock — 4,627,629 — 4,627,629
Short-Term Investments — 32,987,059 — 32,987,059
U.S. Treasury Obligations — 716,529 — 716,529
Total Value of Securities $ — $ 1,059,014,848 $ 1,251,934 $ 1,060,266,782
Futures Contracts $ (4,349 ) $ — $ — $ (4,349 )
Swap Contracts — (1,211,335 ) — (1,211,335 )

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
Agency, Asset- & Mortgage-
      Backed Securities 99.85 % 0.15 % 100.00 %
Senior Secured Loans 95.80 % 4.20 % 100.00 %

During the period ended March 31, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Fund’s 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 Fund’s net assets at the end of the period.

3. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to March 31, 2016 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

26     NQ-022 [3/16] 5/16 (16643)


Item 2. Controls and Procedures.

The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.

There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: