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, 2017 |
Item 1. Schedule of Investments.
Schedule of investments | |
Delaware Limited-Term Diversified Income Fund | September 30, 2017 (Unaudited) |
Principal amount° | Value (US $) | |||||
Agency Asset-Backed Securities – 0.02% | ||||||
Fannie Mae Grantor Trust | ||||||
Series 2003-T4 2A5 4.771% 9/26/33 ϕ | 162,750 | $ | 179,640 | |||
Fannie Mae REMIC Trust | ||||||
Series 2001-W2 AS5 6.473% 10/25/31 ϕ | 127 | 128 | ||||
Freddie Mac Structured Pass Through Securities | ||||||
Series T-30 A5 6.53% 12/25/30 ⧫ϕ | 4,228 | 4,546 | ||||
Total Agency Asset-Backed Securities (cost $165,994) | 184,314 | |||||
Agency Collateralized Mortgage Obligations – 10.93% | ||||||
Fannie Mae Grantor Trust | ||||||
Series 2001-T5 A2 6.985% 6/19/41 ● | 26,117 | 28,851 | ||||
Series 2002-T1 A2 7.00% 11/25/31 | 153,729 | 181,462 | ||||
Fannie Mae Interest Strip | ||||||
Series 413 167 4.50% 7/25/42 ∑● | 1,256,411 | 314,690 | ||||
Series 419 C3 3.00% 11/25/43 ∑ | 70,438 | 13,706 | ||||
Fannie Mae REMIC Trust | ||||||
Series 2002-W1 2A 7.50% 2/25/42 ● | 119,965 | 135,531 | ||||
Fannie Mae REMICs | ||||||
Series 2002-90 A1 6.50% 6/25/42 | 790 | 912 | ||||
Series 2003-52 NA 4.00% 6/25/23 | 74,226 | 76,527 | ||||
Series 2003-78 B 5.00% 8/25/23 | 30,846 | 32,862 | ||||
Series 2003-120 BL 3.50% 12/25/18 | 64,591 | 64,957 | ||||
Series 2004-36 FA 1.637% (LIBOR01M + 0.40%) | ||||||
5/25/34 ● | 258,237 | 259,590 | ||||
Series 2004-49 EB 5.00% 7/25/24 | 23,352 | 25,123 | ||||
Series 2005-66 FD 1.537% (LIBOR01M + 0.30%) | ||||||
7/25/35 ● | 1,161,283 | 1,159,680 | ||||
Series 2005-110 MB 5.50% 9/25/35 | 6,295 | 6,576 | ||||
Series 2006-105 FB 1.657% (LIBOR01M + 0.42%) | ||||||
11/25/36 ● | 76,759 | 76,931 | ||||
Series 2010-41 PN 4.50% 4/25/40 | 86,000 | 91,570 | ||||
Series 2011-88 AB 2.50% 9/25/26 | 33,951 | 34,050 | ||||
Series 2011-105 FP 1.637% (LIBOR01M + 0.40%) | ||||||
6/25/41 ● | 1,912,843 | 1,919,875 | ||||
Series 2011-113 MC 4.00% 12/25/40 | 116,891 | 119,773 | ||||
Series 2012-51 SA 5.263% (6.50% minus LIBOR01M, | ||||||
Cap 6.50%, Floor 0.00%) 5/25/42 ∑● | 60,192 | 14,848 | ||||
Series 2012-67 GB 3.00% 7/25/42 | 390,000 | 376,914 | ||||
Series 2012-93 LY 2.50% 9/25/42 | 433,000 | 392,029 | ||||
Series 2012-98 MI 3.00% 8/25/31 ∑ | 24,379,270 | 2,725,086 | ||||
Series 2012-99 AI 3.50% 5/25/39 ∑ | 1,592,291 | 196,860 | ||||
Series 2012-102 IB 3.50% 9/25/27 ∑ | 8,243,462 | 921,370 | ||||
Series 2012-118 AI 3.50% 11/25/37 ∑ | 464,042 | 60,748 | ||||
Series 2012-120 WI 3.00% 11/25/27 ∑ | 131,546 | 12,636 |
NQ-022 [9/17] 11/17 (298171) 1
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
Fannie Mae REMICs | ||||||
Series 2012-122 SD 4.863% (6.10% minus LIBOR01M, | ||||||
Cap 6.10%, Floor 0.00%) 11/25/42 ∑● | 2,949,075 | $ | 576,654 | |||
Series 2012-125 MI 3.50% 11/25/42 ∑ | 1,405,021 | 293,858 | ||||
Series 2012-128 NP 2.50% 11/25/42 | 474,980 | 452,714 | ||||
Series 2012-137 WI 3.50% 12/25/32 ∑ | 62,583 | 10,159 | ||||
Series 2012-139 NS 5.463% (6.70% minus LIBOR01M, | ||||||
Cap 6.70%, Floor 0.00%) 12/25/42 ∑● | 1,290,173 | 291,396 | ||||
Series 2012-148 HE 2.50% 1/25/43 | 1,000,000 | 896,494 | ||||
Series 2012-150 KC 2.50% 1/25/43 | 617,350 | 614,242 | ||||
Series 2013-2 DA 2.00% 11/25/42 | 27,196 | 23,867 | ||||
Series 2013-7 EI 3.00% 10/25/40 ∑ | 1,526,219 | 200,479 | ||||
Series 2013-7 GP 2.50% 2/25/43 | 65,000 | 58,903 | ||||
Series 2013-20 IH 3.00% 3/25/33 ∑ | 379,734 | 53,979 | ||||
Series 2013-26 HI 3.00% 4/25/32 ∑ | 207,534 | 15,548 | ||||
Series 2013-26 ID 3.00% 4/25/33 ∑ | 661,071 | 93,971 | ||||
Series 2013-28 YB 3.00% 4/25/43 | 1,550,000 | 1,499,422 | ||||
Series 2013-38 AI 3.00% 4/25/33 ∑ | 557,651 | 77,577 | ||||
Series 2013-51 PI 3.00% 11/25/32 ∑ | 715,054 | 84,537 | ||||
Series 2013-52 ZA 3.00% 6/25/43 | 212,728 | 198,542 | ||||
Series 2013-55 AI 3.00% 6/25/33 ∑ | 15,591,983 | 2,246,459 | ||||
Series 2013-59 PY 2.50% 6/25/43 | 547,142 | 505,954 | ||||
Series 2013-67 KZ 2.50% 4/25/43 | 778,384 | 680,024 | ||||
Series 2013-69 IJ 3.00% 7/25/33 ∑ | 57,189 | 8,074 | ||||
Series 2013-71 ZA 3.50% 7/25/43 | 286,553 | 292,242 | ||||
Series 2013-75 JI 3.00% 9/25/32 ∑ | 744,961 | 94,533 | ||||
Series 2013-92 SA 4.713% (5.95% minus LIBOR01M, | ||||||
Cap 5.95%, Floor 0.00%) 9/25/43 ∑● | 236,312 | 50,225 | ||||
Series 2013-129 KI 3.00% 8/25/28 ∑ | 1,804,636 | 143,335 | ||||
Series 2014-5 JL 4.00% 2/25/44 | 78,000 | 85,234 | ||||
Series 2014-21 ID 3.50% 6/25/33 ∑ | 374,905 | 50,018 | ||||
Series 2014-25 DI 3.50% 8/25/32 ∑ | 296,528 | 34,571 | ||||
Series 2014-46 IK 3.00% 9/25/40 ∑ | 303,492 | 32,789 | ||||
Series 2014-63 KI 3.50% 11/25/33 ∑ | 363,182 | 44,677 | ||||
Series 2014-64 IT 3.50% 6/25/41 ∑ | 47,277 | 5,077 | ||||
Series 2014-68 BS 4.913% (6.15% minus LIBOR01M, | ||||||
Cap 6.15%, Floor 0.00%) 11/25/44 ∑● | 150,748 | 29,436 | ||||
Series 2014-85 IB 3.00% 12/25/44 ∑ | 939,668 | 177,836 | ||||
Series 2014-90 SA 4.913% (6.15% minus LIBOR01M, | ||||||
Cap 6.15%, Floor 0.00%) 1/25/45 ∑● | 304,058 | 59,909 | ||||
Series 2014-94 AI 3.00% 10/25/32 ∑ | 504,360 | 43,142 | ||||
Series 2015-11 BI 3.00% 1/25/33 ∑ | 530,820 | 58,553 | ||||
Series 2015-31 ZD 3.00% 5/25/45 | 451,540 | 395,468 | ||||
Series 2015-34 OK 0.00% 3/25/44 Ω | 1,185,000 | 1,025,941 |
2 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
Fannie Mae REMICs | ||||||
Series 2015-40 GZ 3.50% 5/25/45 | 108,497 | $ | 106,804 | |||
Series 2015-43 PZ 3.50% 6/25/45 | 43,399 | 44,773 | ||||
Series 2015-44 AI 3.50% 1/25/34 ∑ | 771,307 | 115,393 | ||||
Series 2015-45 AI 3.00% 1/25/33 ∑ | 70,485 | 7,714 | ||||
Series 2015-45 EI 3.00% 12/25/40 ∑ | 1,371,945 | 151,540 | ||||
Series 2015-66 ID 3.50% 5/25/42 ∑ | 267,562 | 42,888 | ||||
Series 2015-82 AI 3.50% 6/25/34 ∑ | 4,468,545 | 815,392 | ||||
Series 2015-85 BI 4.50% 9/25/43 ∑ | 665,223 | 125,196 | ||||
Series 2015-87 TI 3.50% 11/25/35 ∑ | 265,866 | 42,781 | ||||
Series 2015-89 EZ 3.00% 12/25/45 | 647,615 | 638,839 | ||||
Series 2015-95 SH 4.763% (6.00% minus LIBOR01M, | ||||||
Cap 6.00%, Floor 0.00%) 1/25/46 ∑● | 133,719 | 29,929 | ||||
Series 2016-2 HI 3.00% 12/25/41 ∑ | 1,225,158 | 170,674 | ||||
Series 2016-17 BI 4.00% 2/25/43 ∑ | 1,193,772 | 203,298 | ||||
Series 2016-33 DI 3.50% 6/25/36 ∑ | 242,186 | 36,143 | ||||
Series 2016-33 EL 3.00% 6/25/46 | 1,119,000 | 1,065,139 | ||||
Series 2016-40 ZC 3.00% 7/25/46 | 37,374 | 34,799 | ||||
Series 2016-54 PI 3.00% 2/25/44 ∑ | 1,340,547 | 154,737 | ||||
Series 2016-55 SK 4.763% (6.00% minus LIBOR01M, | ||||||
Cap 6.00%, Floor 0.00%) 8/25/46 ∑● | 110,996 | 25,190 | ||||
Series 2016-61 ML 3.00% 9/25/46 | 55,000 | 53,165 | ||||
Series 2016-74 GS 4.763% (6.00% minus LIBOR01M, | ||||||
Cap 6.00%, Floor 0.00%) 10/25/46 ∑● | 833,121 | 200,512 | ||||
Series 2016-74 IH 3.50% 11/25/45 ∑ | 121,477 | 22,474 | ||||
Series 2016-79 JS 4.813% (6.05% minus LIBOR01M, | ||||||
Cap 6.05%, Floor 0.00%) 11/25/46 ∑● | 184,237 | 39,440 | ||||
Series 2016-80 JZ 3.00% 11/25/46 | 142,948 | 132,521 | ||||
Series 2016-83 PI 3.50% 7/25/45 ∑ | 91,520 | 15,473 | ||||
Series 2016-90 CI 3.00% 2/25/45 ∑ | 739,533 | 107,352 | ||||
Series 2016-95 IO 3.00% 12/25/46 ∑ | 2,965,492 | 520,825 | ||||
Series 2016-99 DI 3.50% 1/25/46 ∑ | 95,783 | 16,110 | ||||
Series 2016-99 TI 3.50% 3/25/36 ∑ | 621,638 | 87,741 | ||||
Series 2016-101 ZP 3.50% 1/25/47 | 93,417 | 89,468 | ||||
Series 2016-105 SA 4.763% (6.00% minus LIBOR01M, | ||||||
Cap 6.00%, Floor 0.00%) 1/25/47 ∑● | 159,013 | 35,481 | ||||
Series 2017-6 NI 3.50% 3/25/46 ∑ | 921,489 | 168,347 | ||||
Series 2017-14 AI 3.00% 9/25/42 ∑ | 95,759 | 14,942 | ||||
Series 2017-16 SM 4.813% (6.05% minus LIBOR01M, | ||||||
Cap 6.05%, Floor 0.00%) 3/25/47 ∑● | 881,635 | 191,327 | ||||
Series 2017-16 UW 3.00% 7/25/45 | 1,225,000 | 1,213,372 | ||||
Series 2017-16 WI 3.00% 1/25/45 ∑ | 94,633 | 12,990 | ||||
Series 2017-16 YW 3.00% 3/25/47 | 875,000 | 832,270 | ||||
Series 2017-17 CM 3.00% 11/25/41 | 228,150 | 227,406 |
NQ-022 [9/17] 11/17 (298171) 3
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
Fannie Mae REMICs | ||||||
Series 2017-17 LI 3.00% 4/25/37 ∑ | 149,016 | $ | 12,448 | |||
Series 2017-19 MD 3.00% 1/25/47 | 99,000 | 99,380 | ||||
Series 2017-24 AI 3.00% 8/25/46 ∑ | 1,041,104 | 160,864 | ||||
Series 2017-25 GS 5.463% (6.70% minus LIBOR01M, | ||||||
Cap 6.70%, Floor 0.00%) 4/25/47 ∑● | 247,226 | 39,927 | ||||
Series 2017-27 EM 3.00% 4/25/47 | 113,000 | 106,300 | ||||
Series 2017-28 Z 3.50% 4/25/47 | 107,869 | 108,919 | ||||
Series 2017-40 GZ 3.50% 5/25/47 | 36,528 | 37,395 | ||||
Series 2017-40 IG 3.50% 3/25/43 ∑ | 255,911 | 41,498 | ||||
Series 2017-45 IJ 3.00% 11/25/46 ∑ | 558,368 | 98,150 | ||||
Series 2017-46 BI 3.00% 4/25/47 ∑ | 378,105 | 52,335 | ||||
Series 2017-46 JI 3.50% 1/25/43 ∑ | 140,832 | 17,779 | ||||
Series 2017-55 HY 3.00% 7/25/47 | 395,000 | 369,633 | ||||
Series 2017-66 IQ 3.00% 9/25/43 ∑ | 99,747 | 14,514 | ||||
Series 2017-66 QY 3.00% 9/25/43 | 87,000 | 86,195 | ||||
Series 2017-69 SG 4.913% (6.15% minus LIBOR01M, | ||||||
Cap 6.15%, Floor 0.00%) 9/25/47 ∑● | 159,402 | 36,025 | ||||
Freddie Mac REMICs | ||||||
Series 1730 Z 7.00% 5/15/24 | 23,396 | 25,815 | ||||
Series 2621 QH 5.00% 5/15/33 | 1,650 | 1,812 | ||||
Series 2708 ZD 5.50% 11/15/33 | 215,147 | 241,763 | ||||
Series 2901 CA 4.50% 11/15/19 | 10,212 | 10,231 | ||||
Series 3016 FL 1.624% (LIBOR01M + 0.39%) 8/15/35 ● | 23,836 | 23,876 | ||||
Series 3027 DE 5.00% 9/15/25 | 24,891 | 26,872 | ||||
Series 3067 FA 1.584% (LIBOR01M + 0.35%) | ||||||
11/15/35 ● | 2,304,136 | 2,301,108 | ||||
Series 3232 KF 1.684% (LIBOR01M + 0.45%) | ||||||
10/15/36 ● | 54,388 | 54,648 | ||||
Series 3241 FM 1.614% (LIBOR01M + 0.38%) | ||||||
11/15/36 ● | 21,206 | 21,254 | ||||
Series 3297 BF 1.474% (LIBOR01M + 0.24%) 4/15/37 ● | 776,362 | 773,566 | ||||
Series 3316 FB 1.534% (LIBOR01M + 0.30%) 8/15/35 ● | 100,849 | 100,704 | ||||
Series 3351 ZC 5.50% 7/15/37 | 27,314 | 30,464 | ||||
Series 3578 EO 0.00% 5/15/37 Ω | 275,140 | 258,771 | ||||
Series 3737 NA 3.50% 6/15/25 | 88,360 | 90,785 | ||||
Series 3780 LF 1.634% (LIBOR01M + 0.40%) 3/15/29 ● | 59,682 | 59,700 | ||||
Series 3800 AF 1.734% (LIBOR01M + 0.50%) 2/15/41 ● | 1,399,162 | 1,407,485 | ||||
Series 3803 TF 1.634% (LIBOR01M + 0.40%) | ||||||
11/15/28 ● | 59,396 | 59,444 | ||||
Series 3852 TP 5.50% (27.50% minus LIBOR01M, Cap | ||||||
5.50%, Floor 0.00%) 5/15/41 ● | 87,662 | 96,918 | ||||
Series 3939 EI 3.00% 3/15/26 ∑ | 1,398,807 | 89,687 | ||||
Series 4050 EI 4.00% 2/15/39 ∑ | 103,613 | 11,092 |
4 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
Freddie Mac REMICs | ||||||
Series 4076 QB 1.75% 11/15/41 | 497,109 | $ | 485,689 | |||
Series 4092 AI 3.00% 9/15/31 ∑ | 373,941 | 34,664 | ||||
Series 4100 EI 3.00% 8/15/27 ∑ | 10,227,851 | 986,362 | ||||
Series 4105 YC 3.00% 8/15/42 | 197,000 | 194,442 | ||||
Series 4109 AI 3.00% 7/15/31 ∑ | 5,884,129 | 654,955 | ||||
Series 4142 HA 2.50% 12/15/32 | 389,454 | 392,326 | ||||
Series 4150 PQ 2.50% 1/15/43 | 45,849 | 43,296 | ||||
Series 4152 BW 2.50% 1/15/43 | 195,361 | 178,451 | ||||
Series 4152 GW 2.50% 1/15/43 | 36,000 | 33,157 | ||||
Series 4161 IM 3.50% 2/15/43 ∑ | 437,594 | 94,525 | ||||
Series 4171 Z 3.00% 2/15/43 | 470,263 | 436,162 | ||||
Series 4185 LI 3.00% 3/15/33 ∑ | 443,392 | 61,966 | ||||
Series 4197 LZ 4.00% 4/15/43 | 298,221 | 318,755 | ||||
Series 4206 DZ 3.00% 5/15/33 | 334,445 | 330,981 | ||||
Series 4210 Z 3.00% 5/15/43 | 485,041 | 454,913 | ||||
Series 4223 HI 3.00% 4/15/30 ∑ | 2,812,536 | 218,216 | ||||
Series 4342 CI 3.00% 11/15/33 ∑ | 1,127,556 | 136,066 | ||||
Series 4366 DI 3.50% 5/15/33 ∑ | 1,559,919 | 222,210 | ||||
Series 4408 BC 3.00% 11/15/44 | 270,000 | 261,497 | ||||
Series 4408 ZG 2.00% 9/15/41 | 404,696 | 362,405 | ||||
Series 4419 DC 3.00% 12/15/44 | 152,000 | 148,857 | ||||
Series 4433 DI 3.00% 8/15/32 ∑ | 5,862,713 | 624,389 | ||||
Series 4448 TS 1.86% 5/15/40 ∑● | 434,815 | 26,353 | ||||
Series 4452 PZ 3.50% 3/15/45 | 4,594,751 | 4,544,838 | ||||
Series 4453 DI 3.50% 11/15/33 ∑ | 5,778,177 | 754,793 | ||||
Series 4457 KZ 3.00% 4/15/45 | 3,415,653 | 3,263,077 | ||||
Series 4464 DA 2.50% 1/15/43 | 19,501 | 18,569 | ||||
Series 4476 GI 3.00% 6/15/41 ∑ | 1,374,035 | 164,552 | ||||
Series 4493 HI 3.00% 6/15/41 ∑ | 190,628 | 23,098 | ||||
Series 4518 CI 3.50% 6/15/42 ∑ | 612,886 | 74,490 | ||||
Series 4527 CI 3.50% 2/15/44 ∑ | 159,399 | 27,016 | ||||
Series 4531 PZ 3.50% 11/15/45 | 1,292,199 | 1,364,503 | ||||
Series 4567 LI 4.00% 8/15/45 ∑ | 517,272 | 96,526 | ||||
Series 4574 AI 3.00% 4/15/31 ∑ | 2,531,838 | 313,191 | ||||
Series 4581 LI 3.00% 5/15/36 ∑ | 80,063 | 10,919 | ||||
Series 4614 HB 2.50% 9/15/46 | 62,000 | 56,354 | ||||
Series 4615 GW 2.50% 4/15/41 | 18,000 | 17,154 | ||||
Series 4618 SA 4.766% (6.00% minus LIBOR01M, Cap | ||||||
6.00%, Floor 0.00%) 9/15/46 ∑● | 403,790 | 98,682 | ||||
Series 4623 IY 4.00% 10/15/46 ∑ | 194,735 | 43,434 | ||||
Series 4623 LZ 2.50% 10/15/46 | 52,181 | 45,769 | ||||
Series 4623 MW 2.50% 10/15/46 | 60,000 | 55,082 |
NQ-022 [9/17] 11/17 (298171) 5
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
Freddie Mac REMICs | ||||||
Series 4623 WI 4.00% 8/15/44 ∑ | 1,201,628 | $ | 218,640 | |||
Series 4623 YT 2.50% 3/15/46 | 1,442,246 | 1,322,839 | ||||
Series 4625 PZ 3.00% 6/15/46 | 29,808 | 28,315 | ||||
Series 4636 ET 3.00% 3/15/41 | 1,000,000 | 990,865 | ||||
Series 4643 QI 3.50% 9/15/45 ∑ | 2,040,534 | 345,218 | ||||
Series 4648 SA 4.766% (6.00% minus LIBOR01M, Cap | ||||||
6.00%, Floor 0.00%) 1/15/47 ∑● | 1,124,346 | 248,616 | ||||
Series 4650 JE 3.00% 7/15/46 | 110,000 | 106,404 | ||||
Series 4650 JG 3.00% 11/15/46 | 1,997,000 | 1,896,316 | ||||
Series 4653 VB 3.00% 4/15/40 | 865,000 | 868,074 | ||||
Series 4654 G 3.00% 2/15/43 | 74,840 | 74,741 | ||||
Series 4655 TI 3.00% 8/15/36 ∑ | 95,569 | 8,352 | ||||
Series 4656 HI 3.50% 5/15/42 ∑ | 709,870 | 95,936 | ||||
Series 4657 PS 4.766% (6.00% minus LIBOR01M, Cap | ||||||
6.00%, Floor 0.00%) 2/15/47 ∑● | 4,442,223 | 938,753 | ||||
Series 4660 GI 3.00% 8/15/43 ∑ | 668,544 | 106,749 | ||||
Series 4663 AI 3.00% 3/15/42 ∑ | 125,959 | 16,477 | ||||
Series 4675 KS 4.766% (6.00% minus LIBOR01M, Cap | ||||||
6.00%, Floor 0.00%) 4/15/47 ∑● | 143,017 | 34,024 | ||||
Series 4681 WI 1.569% 8/15/33 ∑● | 477,810 | 32,736 | ||||
Series 4695 OZ 3.00% 6/15/47 | 572,271 | 535,340 | ||||
Freddie Mac Strips | ||||||
Series 284 S6 4.866% (6.10% minus LIBOR01M, Cap | ||||||
6.10%, Floor 0.00%) 10/15/42 ∑● | 1,189,894 | 252,189 | ||||
Series 290 IO 3.50% 11/15/32 ∑ | 58,598 | 9,376 | ||||
Series 303 151 4.31% 12/15/42 ∑● | 417,930 | 103,174 | ||||
Series 303 185 3.492% 1/15/43 ∑● | 1,148,911 | 230,829 | ||||
Series 319 S2 4.766% (6.00% minus LIBOR01M, Cap | ||||||
6.00%, Floor 0.00%) 11/15/43 ∑● | 7,728,230 | 1,666,995 | ||||
Series 326 S2 4.716% (5.95% minus LIBOR01M, Cap | ||||||
5.95%, Floor 0.00%) 3/15/44 ∑● | 555,376 | 112,491 | ||||
Series 350 S5 1.664% 9/15/40 ∑● | 229,643 | 12,213 | ||||
Freddie Mac Structured Pass Through Certificates | ||||||
Series T-42 A5 7.50% 2/25/42 ⧫ | 31,653 | 36,800 | ||||
Series T-54 2A 6.50% 2/25/43 ⧫ | 775 | 911 | ||||
Series T-58 2A 6.50% 9/25/43 ⧫ | 542,176 | 626,553 | ||||
GNMA | ||||||
Series 2012-77 MU 2.50% 6/20/42 | 115,545 | 110,258 | ||||
Series 2012-108 PB 2.75% 9/16/42 | 39,000 | 37,458 | ||||
Series 2013-26 KD 2.50% 2/16/43 | 870,000 | 811,603 | ||||
Series 2013-79 KE 3.00% 5/20/43 | 1,250,000 | 1,240,431 | ||||
Series 2013-88 LZ 2.50% 6/16/43 | 457,023 | 410,523 | ||||
Series 2013-113 LY 3.00% 5/20/43 | 17,000 | 16,949 |
6 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
GNMA | ||||||
Series 2014-12 ZA 3.00% 1/20/44 | 206,483 | $ | 200,341 | |||
Series 2014-12 ZB 3.00% 1/16/44 | 54,690 | 52,679 | ||||
Series 2014-62 Z 3.00% 4/20/44 | 176,140 | 173,091 | ||||
Series 2015-36 PI 3.50% 8/16/41 ∑ | 440,265 | 60,088 | ||||
Series 2015-74 CI 3.00% 10/16/39 ∑ | 175,226 | 22,286 | ||||
Series 2015-76 MZ 3.00% 5/20/45 | 1,101,323 | 1,128,128 | ||||
Series 2015-82 GI 3.50% 12/20/38 ∑ | 974,185 | 89,446 | ||||
Series 2015-142 AI 4.00% 2/20/44 ∑ | 58,304 | 7,526 | ||||
Series 2015-155 QZ 3.50% 10/20/45 | 1,576,119 | 1,606,880 | ||||
Series 2015-185 PZ 3.00% 12/20/45 | 1,108,633 | 1,059,885 | ||||
Series 2016-5 GL 3.00% 7/20/45 | 5,000 | 4,991 | ||||
Series 2016-46 DZ 3.00% 4/20/46 | 112,683 | 104,755 | ||||
Series 2016-49 PZ 3.00% 11/16/45 | 229,539 | 218,106 | ||||
Series 2016-54 MZ 3.00% 4/20/46 | 756,437 | 697,874 | ||||
Series 2016-74 PL 3.00% 5/20/46 | 610,000 | 606,488 | ||||
Series 2016-80 JZ 3.00% 6/20/46 | 674,806 | 635,993 | ||||
Series 2016-81 IM 4.00% 10/20/44 ∑ | 259,039 | 46,056 | ||||
Series 2016-83 MB 3.00% 10/20/45 | 36,000 | 36,748 | ||||
Series 2016-89 QS 4.814% (6.05% minus LIBOR01M, | ||||||
Cap 6.05%, Floor 0.00%) 7/20/46 ∑● | 3,808,279 | 922,043 | ||||
Series 2016-103 DY 2.50% 8/20/46 | 559,000 | 498,795 | ||||
Series 2016-118 DI 3.50% 3/20/43 ∑ | 310,500 | 47,261 | ||||
Series 2016-126 NS 4.864% (6.10% minus LIBOR01M, | ||||||
Cap 6.10%, Floor 0.00%) 9/20/46 ∑● | 134,868 | 31,345 | ||||
Series 2016-134 MW 3.00% 10/20/46 | 10,000 | 10,195 | ||||
Series 2016-135 Z 3.00% 10/20/46 | 50,364 | 47,555 | ||||
Series 2016-146 KS 4.864% (6.10% minus LIBOR01M, | ||||||
Cap 6.10%, Floor 0.00%) 10/20/46 ∑● | 91,124 | 21,636 | ||||
Series 2016-147 ST 4.814% (6.05% minus LIBOR01M, | ||||||
Cap 6.05%, Floor 0.00%) 10/20/46 ∑● | 129,084 | 30,398 | ||||
Series 2016-149 GI 4.00% 11/20/46 ∑ | 570,636 | 125,017 | ||||
Series 2016-167 QM 3.00% 4/20/46 | 402,000 | 398,256 | ||||
Series 2016-170 MZ 3.00% 12/20/46 | 746,590 | 693,815 | ||||
Series 2016-171 IP 3.00% 3/20/46 ∑ | 667,097 | 103,572 | ||||
Series 2017-2 Z 2.65% 1/20/46 | 1,379,124 | 1,366,488 | ||||
Series 2017-4 WI 4.00% 2/20/44 ∑ | 91,864 | 18,311 | ||||
Series 2017-10 IB 4.00% 1/20/47 ∑ | 152,238 | 36,795 | ||||
Series 2017-10 KZ 3.00% 1/20/47 | 15,303 | 14,237 | ||||
Series 2017-14 EZ 3.00% 1/20/47 | 268,306 | 247,778 | ||||
Series 2017-17 BV 3.00% 4/20/40 | 434,000 | 434,695 | ||||
Series 2017-17 BZ 3.00% 2/20/47 | 1,770,679 | 1,860,130 | ||||
Series 2017-18 QS 4.866% (6.10% minus LIBOR01M, | ||||||
Cap 6.10%, Floor 0.00%) 2/16/47 ∑● | 153,479 | 33,275 |
NQ-022 [9/17] 11/17 (298171) 7
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Agency Collateralized Mortgage Obligations (continued) | ||||||
GNMA | ||||||
Series 2017-25 CZ 3.50% 2/20/47 | 48,989 | $ | 49,180 | |||
Series 2017-33 PZ 3.00% 2/20/47 | 1,363,627 | 1,334,963 | ||||
Series 2017-34 DY 3.50% 3/20/47 | 230,000 | 229,914 | ||||
Series 2017-36 ZC 3.00% 3/20/47 | 177,641 | 167,638 | ||||
Series 2017-52 LE 3.00% 1/16/47 | 474,000 | 452,873 | ||||
Series 2017-56 GZ 3.50% 4/20/47 | 258,741 | 250,898 | ||||
Series 2017-80 AS 4.964% (6.20% minus LIBOR01M, | ||||||
Cap 6.20%, Floor 0.00%) 5/20/47 ∑● | 227,146 | 50,338 | ||||
Series 2017-101 AI 4.00% 7/20/47 ∑ | 99,405 | 20,286 | ||||
Series 2017-101 HD 3.00% 1/20/47 | 89,000 | 86,160 | ||||
Series 2017-101 ND 3.00% 1/20/47 | 88,000 | 85,700 | ||||
Series 2017-101 TI 4.00% 3/20/44 ∑ | 143,943 | 22,838 | ||||
Series 2017-117 C 3.00% 8/20/47 | 131,000 | 125,235 | ||||
Series 2017-120 QS 4.964% (6.20% minus LIBOR01M, | ||||||
Cap 6.20%, Floor 0.00%) 8/20/47 ∑● | 114,696 | 24,212 | ||||
Series 2017-121 CW 3.00% 8/20/47 | 55,000 | 52,779 | ||||
Series 2017-134 ES 4.961% (6.20% minus LIBOR01M, | ||||||
Cap 6.20%, Floor 0.00%) 9/20/47 ∑● | 145,000 | 31,719 | ||||
Series 2017-137 CZ 3.00% 9/20/47 | 137,000 | 129,508 | ||||
Series 2017-144 MZ 2.50% 9/20/47 | 65,000 | 53,638 | ||||
Total Agency Collateralized Mortgage Obligations (cost $82,132,195) | 83,589,467 | |||||
Agency Commercial Mortgage-Backed Securities – 0.29% | ||||||
FREMF Mortgage Trust | ||||||
Series 2011-K15 B 144A 5.116% 8/25/44 #● | 95,000 | 102,099 | ||||
Series 2012-K708 B 144A 3.883% 2/25/45 #● | 675,000 | 686,886 | ||||
Series 2013-K712 B 144A 3.481% 5/25/45 #● | 345,000 | 350,960 | ||||
NCUA Guaranteed Notes Trust | ||||||
Series 2011-C1 2A 1.761% (LIBOR01M + 0.53%) | ||||||
3/9/21 ● | 1,095,991 | 1,093,745 | ||||
Total Agency Commercial Mortgage-Backed Securities (cost $2,251,421) | 2,233,690 | |||||
Agency Mortgage-Backed Securities – 8.83% | ||||||
Fannie Mae ARM | ||||||
2.835%(H15T1Y + 2.142%) 12/1/33 ● | 74,921 | 79,552 | ||||
3.092%(LIBOR12M + 1.481%) 3/1/38 ● | 4,728 | 4,923 | ||||
3.14%(LIBOR12M + 1.584%) 9/1/38 ● | 1,167,805 | 1,216,994 | ||||
3.205%(LIBOR12M + 1.705%) 11/1/39 ● | 195,948 | 207,058 | ||||
3.24%(LIBOR12M + 1.698%) 11/1/35 ● | 284,849 | 299,710 | ||||
3.309%(LIBOR12M + 1.519%) 8/1/34 ● | 84,979 | 88,805 | ||||
3.378%(LIBOR12M + 1.591%) 8/1/36 ● | 28,691 | 30,510 | ||||
3.458%(LIBOR12M + 1.708%) 4/1/36 ● | 28,128 | 29,702 |
8 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Agency Mortgage-Backed Securities (continued) | ||||||
Fannie Mae ARM | ||||||
3.477%(LIBOR12M + 1.77%) 1/1/41 ● | 122,211 | $ | 126,713 | |||
3.505%(LIBOR12M + 1.731%) 6/1/36 ● | 102,775 | 108,107 | ||||
3.526%(LIBOR12M + 1.776%) 4/1/36 ● | 268,794 | 282,839 | ||||
3.537%(LIBOR12M + 1.768%) 7/1/36 ● | 103,468 | 108,984 | ||||
3.58%(LIBOR12M + 1.83%) 8/1/35 ● | 21,401 | 22,583 | ||||
3.615%(LIBOR12M + 1.777%) 6/1/34 ● | 41,808 | 44,510 | ||||
3.649%(LIBOR12M + 1.899%) 7/1/36 ● | 41,233 | 43,577 | ||||
4.565%(LIBOR12M + 1.77%) 11/1/39 ● | 594,879 | 631,044 | ||||
Fannie Mae S.F. 30 yr | ||||||
4.50% 8/1/40 | 101,282 | 109,680 | ||||
5.00% 11/1/33 | 82,585 | 90,991 | ||||
5.00% 3/1/34 | 34,236 | 37,630 | ||||
5.00% 4/1/35 | 3,500 | 3,856 | ||||
5.00% 5/1/35 | 8,580 | 9,455 | ||||
5.00% 6/1/35 | 95,311 | 104,748 | ||||
5.00% 7/1/35 | 1,006 | 1,109 | ||||
5.00% 8/1/35 | 6,132 | 6,750 | ||||
5.00% 9/1/35 | 159 | 175 | ||||
5.00% 10/1/35 | 14,801 | 16,313 | ||||
5.00% 12/1/35 | 13,095 | 14,578 | ||||
5.00% 2/1/36 | 46,411 | 51,142 | ||||
5.00% 3/1/36 | 26,991 | 29,743 | ||||
5.00% 11/1/36 | 22,290 | 24,560 | ||||
5.00% 2/1/38 | 65,680 | 72,373 | ||||
5.00% 6/1/39 | 9,742 | 10,736 | ||||
5.00% 1/1/40 | 67,837 | 75,529 | ||||
5.50% 4/1/33 | 12,893 | 14,426 | ||||
5.50% 6/1/33 | 81,224 | 91,195 | ||||
5.50% 7/1/33 | 3,702 | 4,142 | ||||
5.50% 1/1/34 | 9,920 | 11,179 | ||||
5.50% 4/1/34 | 130,297 | 146,114 | ||||
5.50% 7/1/34 | 28,792 | 32,282 | ||||
5.50% 9/1/34 | 319,403 | 357,725 | ||||
5.50% 11/1/34 | 32,915 | 36,882 | ||||
5.50% 2/1/35 | 16,848 | 18,879 | ||||
5.50% 5/1/35 | 5,228 | 5,860 | ||||
5.50% 11/1/35 | 5,914 | 6,632 | ||||
5.50% 8/1/37 | 490,275 | 549,586 | ||||
5.50% 1/1/38 | 1,166,840 | 1,307,008 | ||||
5.50% 2/1/38 | 300,864 | 336,843 | ||||
5.50% 12/1/38 | 5,941 | 6,661 | ||||
5.50% 3/1/39 | 54,714 | 61,812 |
NQ-022 [9/17] 11/17 (298171) 9
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Agency Mortgage-Backed Securities (continued) | ||||||
Fannie Mae S.F. 30 yr | ||||||
5.50% 9/1/41 | 414,629 | $ | 468,877 | |||
5.50% 5/1/44 | 8,120,625 | 9,100,311 | ||||
6.00% 11/1/23 | 7,454 | 8,383 | ||||
6.00% 3/1/34 | 44,031 | 50,270 | ||||
6.00% 8/1/34 | 18,328 | 20,964 | ||||
6.00% 9/1/34 | 181 | 206 | ||||
6.00% 11/1/34 | 2,954 | 3,355 | ||||
6.00% 4/1/35 | 155,992 | 178,101 | ||||
6.00% 7/1/35 | 45,817 | 52,347 | ||||
6.00% 12/1/35 | 29,557 | 33,744 | ||||
6.00% 4/1/36 | 9,195 | 10,342 | ||||
6.00% 6/1/36 | 147,876 | 169,134 | ||||
6.00% 9/1/36 | 135,768 | 156,547 | ||||
6.00% 12/1/36 | 3,923 | 4,455 | ||||
6.00% 3/1/37 | 3,756 | 4,265 | ||||
6.00% 5/1/37 | 54,987 | 62,840 | ||||
6.00% 7/1/37 | 2,046,590 | 2,334,813 | ||||
6.00% 8/1/37 | 227,918 | 260,580 | ||||
6.00% 9/1/37 | 1,161,980 | 1,319,590 | ||||
6.00% 12/1/37 | 192,432 | 219,225 | ||||
6.00% 3/1/38 | 1,442,558 | 1,640,175 | ||||
6.00% 5/1/38 | 135,998 | 154,539 | ||||
6.00% 7/1/38 | 3,451 | 3,927 | ||||
6.00% 9/1/38 | 6,286 | 7,143 | ||||
6.00% 10/1/38 | 597,643 | 680,097 | ||||
6.00% 9/1/39 | 113,802 | 131,459 | ||||
6.00% 10/1/39 | 2,433,602 | 2,779,930 | ||||
6.00% 3/1/40 | 20,000 | 22,704 | ||||
6.00% 5/1/41 | 176,000 | 199,745 | ||||
6.00% 7/1/41 | 3,319,334 | 3,774,073 | ||||
6.50% 1/1/29 | 6,481 | 7,363 | ||||
6.50% 5/1/40 | 169,782 | 190,571 | ||||
7.50% 6/1/31 | 546 | 648 | ||||
Fannie Mae S.F. 30 yr TBA | ||||||
3.00% 11/1/47 | 3,839,000 | 3,843,499 | ||||
4.50% 11/1/47 | 18,083,000 | 19,382,363 | ||||
4.50% 12/1/47 | 5,801,000 | 6,209,795 | ||||
Freddie Mac ARM | ||||||
2.558%(LIBOR12M + 1.63%) 10/1/46 ● | 386,986 | 388,956 | ||||
2.922%(LIBOR12M + 1.612%) 11/1/44 ● | 132,291 | 135,710 | ||||
3.08%(H15T1Y + 2.14%) 10/1/36 ● | 5,786 | 6,099 | ||||
3.275%(LIBOR12M + 1.775%) 10/1/37 ● | 179,931 | 189,128 |
10 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Agency Mortgage-Backed Securities (continued) | ||||||
Freddie Mac ARM | ||||||
3.28%(LIBOR12M + 1.734%) 2/1/37 ● | 3,647 | $ | 3,824 | |||
3.37%(H15T1Y + 2.37%) 6/1/37 ● | 283,134 | 295,255 | ||||
3.635%(LIBOR12M + 1.885%) 7/1/38 ● | 858,512 | 905,283 | ||||
5.00%(LIBOR12M + 1.93%) 8/1/38 ● | 16,016 | 16,894 | ||||
Freddie Mac S.F. 30 yr | ||||||
4.50% 8/1/44 | 188,401 | 202,863 | ||||
5.00% 12/1/41 | 45,332 | 49,842 | ||||
5.50% 1/1/38 | 8,168 | 9,147 | ||||
6.00% 5/1/35 | 8,174 | 9,287 | ||||
6.00% 2/1/36 | 203,898 | 231,673 | ||||
6.00% 3/1/36 | 221,363 | 251,332 | ||||
6.00% 8/1/38 | 1,696,742 | 1,934,453 | ||||
6.00% 5/1/39 | 45,642 | 52,059 | ||||
6.00% 7/1/39 | 24,334 | 27,652 | ||||
6.00% 11/1/39 | 28,300 | 32,092 | ||||
6.00% 5/1/40 | 213,348 | 240,287 | ||||
6.50% 12/1/31 | 17,780 | 20,080 | ||||
7.50% 7/1/32 | 3,561 | 4,303 | ||||
GNMA II S.F. 30 yr | ||||||
5.50% 5/20/37 | 177,979 | 197,350 | ||||
5.50% 4/20/40 | 129,199 | 140,574 | ||||
6.00% 2/20/39 | 170,039 | 189,307 | ||||
6.00% 10/20/39 | 257,239 | 286,423 | ||||
6.00% 2/20/40 | 635,158 | 710,364 | ||||
6.00% 4/20/46 | 212,990 | 238,244 | ||||
6.50% 10/20/39 | 247,351 | 276,329 | ||||
Total Agency Mortgage-Backed Securities (cost $67,507,322) | 67,503,395 | |||||
Collateralized Debt Obligations – 3.22% | ||||||
AMMC CLO | ||||||
Series 2015-16A XR 144A 2.354% (LIBOR03M + 1.05%) | ||||||
4/14/29 #● | 5,700,000 | 5,699,687 | ||||
Cathedral Lake CLO | ||||||
Series 2015-2A AXR 144A 2.554% (LIBOR03M + 1.25%) | ||||||
7/16/29 #● | 2,375,000 | 2,377,028 | ||||
Dryden 36 Senior Loan Fund | ||||||
Series 2014-36A X 144A 2.404% (LIBOR03M + 1.10%) | ||||||
1/15/28 #● | 2,133,333 | 2,134,628 | ||||
Harbourview CLO VII | ||||||
Series 7A AXR 144A 2.317% (LIBOR03M + 1.00%) | ||||||
11/18/26 #● | 2,083,334 | 2,085,571 |
NQ-022 [9/17] 11/17 (298171) 11
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Collateralized Debt Obligations (continued) | ||||||
Hempstead II CLO | ||||||
Series 2017-2A X 144A 2.309% (LIBOR03M + 1.00%) | ||||||
8/10/29 #● | 4,250,000 | $ | 4,250,394 | |||
KKR CLO | ||||||
Series 18 X 144A 2.317% (LIBOR03M + 1.00%) | ||||||
7/18/30 #● | 1,750,000 | 1,749,118 | ||||
Neuberger Berman CLO XVII | ||||||
Series 2014-17A XR 144A 2.313% (LIBOR03M + 1.00%) | ||||||
4/22/29 #● | 3,390,000 | 3,389,810 | ||||
Telos CLO | ||||||
Series 2013-3A X 144A 2.271% (LIBOR03M + 1.00%) | ||||||
7/17/26 #● | 1,900,000 | 1,901,786 | ||||
Tuolumne Grove CLO | ||||||
Series 2014-1A AXR 144A 2.264% (LIBOR03M + 0.95%) | ||||||
4/25/26 #● | 1,000,000 | 999,944 | ||||
Total Collateralized Debt Obligations (cost $24,581,667) | 24,587,966 | |||||
Convertible Bond – 0.18% | ||||||
Jefferies Group 3.875% exercise price $43.53, maturity | ||||||
date 11/1/29 | 1,355,000 | 1,361,775 | ||||
Total Convertible Bond (cost $1,443,922) | 1,361,775 | |||||
Corporate Bonds – 40.80% | ||||||
Banking – 16.17% | ||||||
Ally Financial 4.125% 3/30/20 | 500,000 | 516,250 | ||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 3,900,000 | 3,943,761 | ||||
Banco de Bogota 144A 5.375% 2/19/23 # | 500,000 | 531,250 | ||||
Banco Nacional de Costa Rica 144A 5.875% 4/25/21 # | 450,000 | 469,566 | ||||
Banco Santander 3.50% 4/11/22 | 1,600,000 | 1,639,827 | ||||
Banistmo 144A 3.65% 9/19/22 # | 200,000 | 200,700 | ||||
Bank of America | ||||||
3.124% 1/20/23 µ | 2,050,000 | 2,083,432 | ||||
3.593% 7/21/28 µ | 435,000 | 438,996 | ||||
4.183% 11/25/27 | 1,040,000 | 1,079,542 | ||||
5.75% 12/1/17 | 6,900,000 | 6,947,740 | ||||
Bank of New York Mellon 2.50% 4/15/21 | 2,280,000 | 2,303,418 | ||||
Barclays | ||||||
3.20% 8/10/21 | 780,000 | 792,262 | ||||
8.25%µψ | 1,200,000 | 1,270,110 | ||||
BBVA Bancomer 144A 7.25% 4/22/20 # | 500,000 | 551,250 | ||||
BGEO Group 144A 6.00% 7/26/23 # | 200,000 | 206,480 | ||||
Branch Banking & Trust 2.85% 4/1/21 | 1,505,000 | 1,535,514 | ||||
Citigroup 2.414% (LIBOR03M + 1.10%) 5/17/24 ● | 555,000 | 556,666 |
12 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Banking (continued) | |||||
Citizens Bank | |||||
2.45% 12/4/19 | 5,010,000 | $ | 5,050,309 | ||
2.50% 3/14/19 | 2,890,000 | 2,913,752 | |||
Commonwealth Bank of Australia 2.40% 11/2/20 | 4,055,000 | 4,076,346 | |||
Compass Bank 2.75% 9/29/19 | 7,305,000 | 7,354,328 | |||
Credit Suisse | |||||
2.30% 5/28/19 | 4,890,000 | 4,923,779 | |||
3.00% 10/29/21 | 475,000 | 487,836 | |||
Export Credit Bank of Turkey 144A 5.375% 2/8/21 # | 300,000 | 311,443 | |||
Export-Import Bank of India 3.125% 7/20/21 | 410,000 | 415,282 | |||
Goldman Sachs Group | |||||
3.272% 9/29/25 µ | 2,130,000 | 2,134,426 | |||
3.691% 6/5/28 µ | 1,830,000 | 1,847,505 | |||
6.00% 6/15/20 | 200,000 | 219,665 | |||
HBOS 144A 6.75% 5/21/18 # | 2,555,000 | 2,631,368 | |||
Huntington National Bank 2.50% 8/7/22 | 480,000 | 477,706 | |||
JPMorgan Chase & Co. | |||||
2.55% 3/1/21 | 3,810,000 | 3,849,092 | |||
4.25% 10/1/27 | 1,010,000 | 1,069,376 | |||
5.30%µψ | 1,000,000 | 1,045,000 | |||
KeyBank | |||||
2.40% 6/9/22 | 920,000 | 916,969 | |||
2.50% 11/22/21 | 1,890,000 | 1,903,616 | |||
3.18% 5/22/22 | 1,335,000 | 1,360,345 | |||
Manufacturers & Traders Trust 2.50% 5/18/22 | 555,000 | 557,129 | |||
Morgan Stanley | |||||
3.625% 1/20/27 | 885,000 | 898,370 | |||
5.00% 11/24/25 | 1,850,000 | 2,030,238 | |||
5.95% 12/28/17 | 6,900,000 | 6,970,628 | |||
PNC Bank 2.30% 6/1/20 | 4,275,000 | 4,308,883 | |||
PNC Financial Services Group | |||||
3.15% 5/19/27 | 595,000 | 596,871 | |||
5.00%µψ | 1,160,000 | 1,218,000 | |||
Popular 7.00% 7/1/19 | 1,000,000 | 1,032,500 | |||
Regions Financial 2.75% 8/14/22 | 370,000 | 369,668 | |||
Royal Bank of Canada 2.75% 2/1/22 | 1,685,000 | 1,714,310 | |||
Royal Bank of Scotland Group | |||||
3.875% 9/12/23 | 1,470,000 | 1,505,677 | |||
8.625%µψ | 910,000 | 1,011,237 | |||
Santander UK 144A 5.00% 11/7/23 # | 820,000 | 888,014 | |||
Santander UK Group Holdings 3.571% 1/10/23 | 3,805,000 | 3,895,169 | |||
Skandinaviska Enskilda Banken 144A 2.375% 3/25/19 # | 4,580,000 | 4,615,353 |
NQ-022 [9/17] 11/17 (298171) 13
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Banking (continued) | |||||
State Street | |||||
2.653% 5/15/23 µ | 390,000 | $ | 392,304 | ||
3.30% 12/16/24 | 940,000 | 971,801 | |||
SunTrust Banks 2.70% 1/27/22 | 2,785,000 | 2,809,279 | |||
SVB Financial Group 3.50% 1/29/25 | 1,235,000 | 1,238,673 | |||
Swedbank 144A 2.375% 2/27/19 # | 2,000,000 | 2,014,310 | |||
Transnet SOC 144A 4.00% 7/26/22 # | 200,000 | 197,386 | |||
Turkiye Garanti Bankasi 144A 6.25% 4/20/21 # | 230,000 | 244,927 | |||
UBS Group Funding Jersey | |||||
144A 2.65% 2/1/22 # | 640,000 | 637,919 | |||
144A 3.00% 4/15/21 # | 2,700,000 | 2,738,839 | |||
US Bancorp 2.35% 1/29/21 | 1,000,000 | 1,008,340 | |||
USB Capital IX 3.50% (LIBOR03M + 1.02%)ψ● | 6,960,000 | 6,206,928 | |||
Wells Fargo | |||||
2.625% 7/22/22 | 485,000 | 486,124 | |||
5.625% 12/11/17 | 5,000,000 | 5,038,795 | |||
123,652,579 | |||||
Basic Industry – 2.35% | |||||
Allegheny Technologies 9.375% 6/1/19 | 250,000 | 274,375 | |||
Beacon Roofing Supply 6.375% 10/1/23 | 500,000 | 535,000 | |||
Cia Brasileira de Aluminio 144A 6.75% 4/5/21 # | 250,000 | 272,500 | |||
Dow Chemical 8.55% 5/15/19 | 1,760,000 | 1,944,334 | |||
Equate Petrochemical 144A 3.00% 3/3/22 # | 265,000 | 263,377 | |||
First Quantum Minerals 144A 7.00% 2/15/21 # | 250,000 | 258,437 | |||
FMG Resources August 2006 144A 4.75% 5/15/22 # | 1,000,000 | 1,016,250 | |||
Freeport-McMoRan 6.50% 11/15/20 | 1,000,000 | 1,024,250 | |||
Georgia-Pacific | |||||
144A 2.539% 11/15/19 # | 1,000,000 | 1,008,337 | |||
144A 5.40% 11/1/20 # | 5,750,000 | 6,306,214 | |||
INVISTA Finance 144A 4.25% 10/15/19 # | 1,330,000 | 1,376,550 | |||
Joseph T Ryerson & Son 144A 11.00% 5/15/22 # | 1,000,000 | 1,122,500 | |||
MMC Finance DAC 4.375% 4/30/18 | 500,000 | 505,670 | |||
NCI Building Systems 144A 8.25% 1/15/23 # | 335,000 | 360,963 | |||
Phosagro OAO via Phosagro Bond Funding DAC 144A | |||||
3.95% 11/3/21 # | 500,000 | 508,281 | |||
Suzano Trading 144A 5.875% 1/23/21 # | 100,000 | 108,375 | |||
Vale Overseas | |||||
4.375% 1/11/22 | 55,000 | 57,472 | |||
5.875% 6/10/21 | 400,000 | 441,500 | |||
Vedanta Resources 144A 6.375% 7/30/22 # | 200,000 | 208,500 | |||
WestRock 144A 3.00% 9/15/24 # | 375,000 | 374,902 | |||
17,967,787 |
14 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Brokerage – 0.33% | |||||
Jefferies Group 5.125% 1/20/23 | 2,285,000 | $ | 2,497,984 | ||
2,497,984 | |||||
Capital Goods – 1.60% | |||||
Allegion US Holding | |||||
3.20% 10/1/24 | 1,085,000 | 1,082,038 | |||
3.55% 10/1/27 | 739,000 | 735,556 | |||
Ardagh Packaging Finance 144A 7.25% 5/15/24 # | 1,000,000 | 1,100,620 | |||
General Electric | |||||
1.692% (LIBOR03M + 0.38%) 5/5/26 ● | 280,000 | 273,364 | |||
5.55% 5/4/20 | 2,175,000 | 2,377,725 | |||
6.00% 8/7/19 | 1,445,000 | 1,556,442 | |||
Rockwell Collins | |||||
3.20% 3/15/24 | 525,000 | 534,923 | |||
3.50% 3/15/27 | 385,000 | 393,137 | |||
SAN Miguel Industrias Pet 144A 4.50% 9/18/22 # | 225,000 | 227,925 | |||
Siemens Financieringsmaatschappij 144A | |||||
2.70% 3/16/22 # | 3,920,000 | 3,972,787 | |||
12,254,517 | |||||
Communications – 3.28% | |||||
Altice Luxembourg 144A 7.75% 5/15/22 # | 500,000 | 531,250 | |||
American Tower | |||||
4.00% 6/1/25 | 470,000 | 486,591 | |||
4.40% 2/15/26 | 290,000 | 307,100 | |||
AT&T | |||||
2.85% 2/14/23 | 3,445,000 | 3,432,270 | |||
4.25% 3/1/27 | 770,000 | 792,564 | |||
Cablevision 144A 6.50% 6/15/21 # | 195,000 | 208,599 | |||
CC Holdings GS V 3.849% 4/15/23 | 1,165,000 | 1,220,313 | |||
CCO Holdings 5.75% 9/1/23 | 500,000 | 520,000 | |||
CenturyLink 5.625% 4/1/20 | 750,000 | 785,400 | |||
Crown Castle International | |||||
3.65% 9/1/27 | 75,000 | 75,080 | |||
5.25% 1/15/23 | 735,000 | 814,338 | |||
Crown Castle Towers 144A 3.663% 5/15/25 # | 635,000 | 650,875 | |||
CSC Holdings 6.75% 11/15/21 | 750,000 | 830,625 | |||
Digicel Group 144A 7.125% 4/1/22 # | 500,000 | 455,625 | |||
Dish DBS 6.75% 6/1/21 | 500,000 | 551,250 | |||
GTH Finance 144A 6.25% 4/26/20 # | 500,000 | 530,825 | |||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 520,000 | 519,492 | |||
SBA Tower Trust 144A 2.24% 4/10/18 # | 1,995,000 | 1,994,605 | |||
Sirius XM Radio 144A 3.875% 8/1/22 # | 1,000,000 | 1,027,700 | |||
Sprint Communications 6.00% 11/15/22 | 750,000 | 809,775 |
NQ-022 [9/17] 11/17 (298171) 15
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Communications (continued) | |||||
Time Warner Entertainment 8.375% 3/15/23 | 3,295,000 | $ | 4,097,735 | ||
Verizon Communications 4.50% 9/15/20 | 3,165,000 | 3,398,645 | |||
VTR Finance 144A 6.875% 1/15/24 # | 1,000,000 | 1,060,000 | |||
25,100,657 | |||||
Consumer Cyclical – 1.61% | |||||
Atento Luxco 1 144A 6.125% 8/10/22 # | 180,000 | 188,596 | |||
Cencosud 144A 4.875% 1/20/23 # | 250,000 | 266,150 | |||
Ford Motor Credit | |||||
3.096% 5/4/23 | 980,000 | 972,272 | |||
3.336% 3/18/21 | 1,575,000 | 1,611,730 | |||
General Motors Financial | |||||
3.15% 1/15/20 | 1,135,000 | 1,155,280 | |||
3.45% 1/14/22 | 1,100,000 | 1,123,686 | |||
3.45% 4/10/22 | 1,070,000 | 1,088,379 | |||
JD.com 3.125% 4/29/21 | 600,000 | 599,921 | |||
MGM Resorts International 6.75% 10/1/20 | 375,000 | 414,375 | |||
NCL 144A 4.75% 12/15/21 # | 1,000,000 | 1,040,000 | |||
Prime Security Services Borrower 144A 9.25% 5/15/23 # | 750,000 | 829,545 | |||
Scientific Games International 10.00% 12/1/22 | 500,000 | 555,625 | |||
Starbucks 2.10% 2/4/21 | 2,110,000 | 2,119,336 | |||
Wyndham Worldwide 4.15% 4/1/24 | 310,000 | 314,636 | |||
12,279,531 | |||||
Consumer Non-Cyclical – 2.67% | |||||
Anheuser-Busch InBev Finance 2.65% 2/1/21 | 3,360,000 | 3,416,386 | |||
BAT Capital 144A 2.764% 8/15/22 # | 3,560,000 | 3,582,914 | |||
Becton Dickinson | |||||
2.894% 6/6/22 | 690,000 | 692,225 | |||
3.363% 6/6/24 | 685,000 | 692,123 | |||
CK Hutchison International 144A 2.875% 4/5/22 # | 275,000 | 276,694 | |||
Kernel Holding 144A 8.75% 1/31/22 # | 235,000 | 258,481 | |||
Marfrig Holdings Europe 144A 8.00% 6/8/23 # | 200,000 | 207,640 | |||
McCormick 2.70% 8/15/22 | 985,000 | 990,456 | |||
MHP 144A 8.25% 4/2/20 # | 500,000 | 541,613 | |||
Pernod Ricard 144A 4.45% 1/15/22 # | 1,795,000 | 1,929,213 | |||
Reynolds American 4.00% 6/12/22 | 2,370,000 | 2,505,653 | |||
Roche Holdings 144A 1.75% 1/28/22 # | 1,015,000 | 993,950 | |||
Shire Acquisitions Investments Ireland | |||||
2.40% 9/23/21 | 1,090,000 | 1,086,936 | |||
2.875% 9/23/23 | 1,040,000 | 1,035,895 | |||
Thermo Fisher Scientific 3.00% 4/15/23 | 2,130,000 | 2,167,149 | |||
20,377,328 |
16 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Electric – 5.27% | |||||
AEP Texas 144A 2.40% 10/1/22 # | 1,930,000 | $ | 1,921,192 | ||
AES Gener 144A 5.25% 8/15/21 # | 420,000 | 446,561 | |||
Ameren 2.70% 11/15/20 | 3,665,000 | 3,715,237 | |||
Arizona Public Service 2.20% 1/15/20 | 4,195,000 | 4,211,959 | |||
CMS Energy 6.25% 2/1/20 | 1,345,000 | 1,466,936 | |||
Dominion Energy 2.00% 8/15/21 | 410,000 | 403,483 | |||
DTE Energy | |||||
2.40% 12/1/19 | 1,725,000 | 1,735,185 | |||
3.30% 6/15/22 | 1,050,000 | 1,077,147 | |||
Duke Energy 1.80% 9/1/21 | 2,450,000 | 2,402,182 | |||
Dynegy 7.375% 11/1/22 | 1,000,000 | 1,047,500 | |||
Enel Finance International 144A 2.875% 5/25/22 # | 2,790,000 | 2,811,182 | |||
Entergy 4.00% 7/15/22 | 2,050,000 | 2,171,536 | |||
Entergy Louisiana 4.05% 9/1/23 | 1,125,000 | 1,200,509 | |||
Exelon | |||||
2.85% 6/15/20 | 2,000,000 | 2,040,692 | |||
3.497% 6/1/22 | 905,000 | 932,951 | |||
Fortis 2.10% 10/4/21 | 2,895,000 | 2,844,412 | |||
IPALCO Enterprises | |||||
3.45% 7/15/20 | 710,000 | 720,650 | |||
144A 3.70% 9/1/24 # | 430,000 | 431,390 | |||
Majapahit Holding 144A 8.00% 8/7/19 # | 500,000 | 551,900 | |||
NV Energy 6.25% 11/15/20 | 2,460,000 | 2,745,543 | |||
Southern 2.35% 7/1/21 | 3,360,000 | 3,343,484 | |||
WEC Energy Group 2.45% 6/15/20 | 2,075,000 | 2,090,981 | |||
40,312,612 | |||||
Energy – 2.64% | |||||
Antero Resources 5.375% 11/1/21 | 500,000 | 515,000 | |||
Dominion Energy Gas Holdings 2.50% 12/15/19 | 2,020,000 | 2,037,139 | |||
Energy Transfer Equity 7.50% 10/15/20 | 500,000 | 565,625 | |||
Genesis Energy 6.75% 8/1/22 | 1,000,000 | 1,027,500 | |||
KazMunayGas National | |||||
144A 3.875% 4/19/22 # | 250,000 | 252,776 | |||
144A 6.375% 4/9/21 # | 250,000 | 273,916 | |||
Kinder Morgan Energy Partners 9.00% 2/1/19 | 850,000 | 923,608 | |||
Kunlun Energy 144A 2.875% 5/13/20 # | 400,000 | 403,568 | |||
Laredo Petroleum 5.625% 1/15/22 | 500,000 | 506,250 | |||
Murphy Oil USA 6.00% 8/15/23 | 500,000 | 528,750 | |||
Newfield Exploration 5.75% 1/30/22 | 500,000 | 536,250 | |||
Noble Holding International 5.75% 3/16/18 | 580,000 | 586,525 | |||
Oasis Petroleum 6.50% 11/1/21 | 500,000 | 512,500 | |||
ONEOK 7.50% 9/1/23 | 1,655,000 | 1,984,825 |
NQ-022 [9/17] 11/17 (298171) 17
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Energy (continued) | |||||
Pertamina Persero 144A 4.30% 5/20/23 # | 310,000 | $ | 326,171 | ||
Petrobras Global Finance 144A 5.299% 1/27/25 # | 531,000 | 530,867 | |||
Plains All American Pipeline | |||||
2.85% 1/31/23 | 415,000 | 399,221 | |||
3.85% 10/15/23 | 1,280,000 | 1,286,112 | |||
Precision Drilling 6.50% 12/15/21 | 500,000 | 508,750 | |||
Sabine Pass Liquefaction | |||||
5.625% 3/1/25 | 1,405,000 | 1,551,714 | |||
5.75% 5/15/24 | 1,595,000 | 1,779,245 | |||
5.875% 6/30/26 | 50,000 | 56,009 | |||
Woodside Finance 144A 8.75% 3/1/19 # | 2,235,000 | 2,436,729 | |||
WPX Energy 7.50% 8/1/20 | 335,000 | 365,987 | |||
YPF 144A 24.104% (BADLARPP + 4.00%) 7/7/20 #● | 325,000 | 326,625 | |||
20,221,662 | |||||
Finance Companies – 1.21% | |||||
AerCap Ireland Capital | |||||
3.50% 5/26/22 | 790,000 | 809,557 | |||
3.65% 7/21/27 | 600,000 | 598,730 | |||
3.95% 2/1/22 | 1,525,000 | 1,588,458 | |||
4.25% 7/1/20 | 500,000 | 522,606 | |||
4.625% 10/30/20 | 500,000 | 532,374 | |||
Air Lease 3.00% 9/15/23 | 1,030,000 | 1,028,518 | |||
Aviation Capital Group 144A 2.875% 1/20/22 # | 605,000 | 605,546 | |||
BOC Aviation 144A 2.375% 9/15/21 # | 400,000 | 393,274 | |||
Corporacion Financiera de Desarrollo 144A | |||||
3.25% 7/15/19 # | 500,000 | 510,000 | |||
Development Bank of Japan 144A 2.625% 9/1/27 # | 790,000 | 780,695 | |||
GrupoSura Finance 144A 5.70% 5/18/21 # | 500,000 | 546,250 | |||
International Lease Finance 8.625% 1/15/22 | 1,080,000 | 1,324,478 | |||
9,240,486 | |||||
Healthcare – 0.31% | |||||
HCA Healthcare 6.25% 2/15/21 | 1,000,000 | 1,085,000 | |||
Mallinckrodt International Finance 144A 4.875% 4/15/20 # | 250,000 | 250,000 | |||
Tenet Healthcare 8.125% 4/1/22 | 1,000,000 | 1,020,000 | |||
2,355,000 | |||||
Insurance – 1.10% | |||||
Chubb INA Holdings 2.30% 11/3/20 | 3,540,000 | 3,566,778 | |||
Hub Holdings 144A PIK 8.125% 7/15/19 #❆ | 500,000 | 502,187 | |||
Nuveen Finance 144A 4.125% 11/1/24 # | 460,000 | 484,885 | |||
Pricoa Global Funding I 144A 2.20% 5/16/19 # | 3,855,000 | 3,872,375 | |||
8,426,225 |
18 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Natural Gas – 0.37% | |||||
CenterPoint Energy Resources 4.50% 1/15/21 | 2,700,000 | $ | 2,842,135 | ||
2,842,135 | |||||
Real Estate – 0.24% | |||||
Hazine Mustesarligi Varlik Kiralama 144A 4.251% 6/8/21 # | 500,000 | 508,827 | |||
Host Hotels & Resorts | |||||
3.75% 10/15/23 | 505,000 | 516,888 | |||
3.875% 4/1/24 | 785,000 | 803,112 | |||
1,828,827 | |||||
Services – 0.20% | |||||
GEO Group 5.875% 1/15/22 | 500,000 | 520,625 | |||
Iron Mountain 144A 4.375% 6/1/21 # | 1,000,000 | 1,036,790 | |||
1,557,415 | |||||
Technology – 0.41% | |||||
Apple 2.10% 9/12/22 | 1,085,000 | 1,076,759 | |||
Cisco Systems 1.85% 9/20/21 | 1,005,000 | 995,019 | |||
Dell International 144A 4.42% 6/15/21 # | 1,000,000 | 1,050,682 | |||
3,122,460 | |||||
Transportation – 1.04% | |||||
DAE Funding 144A 4.00% 8/1/20 # | 500,000 | 511,250 | |||
Penske Truck Leasing | |||||
144A 2.70% 3/14/23 # | 665,000 | 659,979 | |||
144A 4.20% 4/1/27 # | 2,635,000 | 2,767,719 | |||
Topaz Marine 144A 9.125% 7/26/22 # | 200,000 | 201,150 | |||
United Airlines 2015-1 Class AA Pass-Through Trust | |||||
3.45% 12/1/27 ⧫ | 342,594 | 351,861 | |||
United Continental Holdings 4.25% 10/1/22 | 1,000,000 | 1,008,750 | |||
United Parcel Service 5.125% 4/1/19 | 2,340,000 | 2,457,876 | |||
7,958,585 | |||||
Total Corporate Bonds (cost $311,359,565) | 311,995,790 | ||||
Loan Agreements – 4.74% | |||||
Alpha 3 Tranche B1 1st Lien 4.333% (LIBOR03M + 3.00%) | |||||
1/31/24 ● | 1,496,250 | 1,504,042 | |||
Blue Ribbon 1st Lien 5.235% (LIBOR03M + 4.00%) | |||||
11/13/21 ● | 529,387 | 524,314 | |||
Builders FirstSource 1st Lien 4.333% (LIBOR03M + | |||||
3.00%) 2/29/24 ● | 1,481,250 | 1,486,651 | |||
Change Healthcare Holdings Tranche B 1st Lien 3.985% | |||||
(LIBOR03M + 2.75%) 3/1/24 ● | 1,592,000 | 1,597,373 | |||
Chesapeake Energy 1st Lien 8.814% (LIBOR03M + 7.50%) | |||||
8/23/21 ● | 250,000 | 269,609 | |||
First Data 1st Lien 3.737% (LIBOR03M + 2.50%) 4/26/24 ● | 443,499 | 445,288 |
NQ-022 [9/17] 11/17 (298171) 19
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | ||||
Loan Agreements (continued) | |||||
First Eagle Holdings Tranche B 1st Lien 4.833% | |||||
(LIBOR03M + 3.50%) 12/1/22 ● | 1,484,972 | $ | 1,501,306 | ||
Gardner Denver Tranche B 1st Lien 4.083% (LIBOR03M + | |||||
2.75%) 7/30/24 ● | 928,264 | 930,057 | |||
JC Penney Tranche B 1st Lien 5.568% (LIBOR03M + | |||||
4.25%) 6/23/23 ● | 112,967 | 110,613 | |||
Mission Broadcasting 1st Lien 3.735% (LIBOR03M + | |||||
2.50%) 1/17/24 ● | 210,324 | 211,093 | |||
Mohegan Gaming & Entertainment Tranche B 1st Lien | |||||
5.235% (LIBOR03M + 4.00%) 10/13/23 ● | 583,590 | 589,572 | |||
MPH Acquisition Holdings Tranche B 1st Lien 4.333% | |||||
(LIBOR03M + 3.00%) 6/7/23 ● | 227,305 | 229,200 | |||
Nexstar Broadcasting Tranche B 1st Lien 3.735% | |||||
(LIBOR03M + 2.50%) 7/19/24 ● | 1,670,924 | 1,677,030 | |||
ON Semiconductor Tranche B 1st Lien 3.485% | |||||
(LIBOR03M + 2.25%) 3/31/23 ● | 1,557,192 | 1,564,573 | |||
PQ Tranche B 1st Lien 4.562% (LIBOR03M + 3.25%) | |||||
11/4/22 ● | 692,505 | 699,801 | |||
Republic of Angola 7.683% (LIBOR06M + 6.25%) | |||||
12/16/23 =● | 414,375 | 379,153 | |||
Rite Aid 2nd Lien 5.99% (LIBOR03M + 4.75%) 8/21/20 ● | 500,000 | 503,437 | |||
Russell Investments Tranche B 1st Lien 5.49% (LIBOR03M | |||||
+ 4.25%) 6/1/23 ● | 2,223,731 | 2,251,528 | |||
SFR Group Tranche B10 1st Lien 4.561% (LIBOR03M + | |||||
3.25%) 1/31/25 ● | 3,473,750 | 3,489,219 | |||
Sprint Communications Tranche B 1st Lien 3.75% | |||||
(LIBOR03M + 2.50%) 2/2/24 ● | 2,487,500 | 2,494,385 | |||
Staples 1st Lien 5.00% (LIBOR03M + 4.00%) 9/12/24 ● | 2,000,000 | 1,992,504 | |||
Stars Group Holdings Tranche B 1st Lien 4.833% | |||||
(LIBOR03M + 3.50%) 8/1/21 ● | 493,687 | 496,018 | |||
Summit Midstream Partners Holdings Tranche B 1st Lien | |||||
7.235% (LIBOR03M + 6.00%) 5/21/22 ● | 249,375 | 253,116 | |||
Team Health Holdings Tranche B 1st Lien 3.985% | |||||
(LIBOR03M + 2.75%) 2/6/24 ● | 1,592,000 | 1,570,110 | |||
Telenet Financing USD Tranche A1 1st Lien 3.984% | |||||
(LIBOR03M + 2.75%) 6/30/25 ● | 2,500,000 | 2,510,070 | |||
Uniti Group 1st Lien 4.235% (LIBOR03M + 3.00%) | |||||
10/24/22 ● | 1,623,193 | 1,503,472 | |||
Univision Communications Tranche C 1st Lien 3.985% | |||||
(LIBOR03M + 2.75%) 3/15/24 ● | 1,718,706 | 1,705,426 | |||
UPC Financing Partnership Tranche AP 1st Lien 3.984% | |||||
(LIBOR03M + 2.75%) 4/15/25 ● | 1,600,000 | 1,607,571 | |||
WideOpenWest Finance Tranche B 1st Lien 4.484% | |||||
(LIBOR03M + 3.25%) 8/19/23 ● | 1,731,250 | 1,732,178 |
20 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | ||||
Loan Agreements (continued) | |||||
Windstream Services Tranche B6 1st Lien 5.24% | |||||
(LIBOR03M + 4.00%) 3/30/21 ● | 497,114 | $ | 444,917 | ||
Total Loan Agreements (cost $35,826,275) | 36,273,626 | ||||
Municipal Bonds – 0.35% | |||||
Commonwealth of Massachusetts | |||||
Series C 5.00% 10/1/25 | 100,000 | 122,859 | |||
County of Baltimore, Maryland | |||||
5.00% 2/1/26 | 2,030,000 | 2,518,702 | |||
Total Municipal Bonds (cost $2,659,903) | 2,641,561 | ||||
Non-Agency Asset-Backed Securities – 27.12% | |||||
Ally Master Owner Trust | |||||
Series 2015-2 A1 1.804% (LIBOR01M + 0.57%) | |||||
1/15/21 ● | 7,500,000 | 7,534,911 | |||
American Express Credit Account Master Trust | |||||
Series 2013-1 A 1.654% (LIBOR01M + 0.42%) | |||||
2/16/21 ● | 7,135,000 | 7,157,597 | |||
Series 2013-2 A 1.654% (LIBOR01M + 0.42%) | |||||
5/17/21 ● | 2,474,000 | 2,483,648 | |||
Series 2014-1 A 1.604% (LIBOR01M + 0.37%) | |||||
12/15/21 ● | 2,100,000 | 2,109,194 | |||
Series 2017-2 A 1.686% (LIBOR01M + 0.45%) | |||||
9/16/24 ● | 270,000 | 272,085 | |||
Series 2017-5 A 1.614% (LIBOR01M + 0.38%) | |||||
2/18/25 ● | 575,000 | 577,806 | |||
ARI Fleet Lease Trust | |||||
Series 2015-A A2 144A 1.11% 11/15/18 # | 34,022 | 34,001 | |||
Series 2017-A A1 144A 1.25% 6/15/18 # | 663,524 | 663,051 | |||
Avis Budget Rental Car Funding AESOP | |||||
Series 2013-2A A 144A 2.97% 2/20/20 # | 6,500,000 | 6,560,180 | |||
Bank of America Credit Card Trust | |||||
Series 2014-A1 A 1.614% (LIBOR01M + 0.38%) | |||||
6/15/21 ● | 5,625,000 | 5,645,214 | |||
Series 2015-A1 A 1.564% (LIBOR01M + 0.33%) | |||||
6/15/20 ● | 2,023,000 | 2,024,778 | |||
Series 2017-A1 A1 1.95% 8/15/22 | 3,000,000 | 3,003,944 | |||
Barclays Dryrock Issuance Trust | |||||
Series 2017-1 A 1.557% (LIBOR01M + 0.33%) | |||||
3/15/23 ● | 1,410,000 | 1,413,216 | |||
BMW Vehicle Lease Trust | |||||
Series 2016-1 A3 1.34% 1/22/19 | 5,216,354 | 5,213,895 | |||
Series 2016-2 A3 1.43% 9/20/19 | 1,810,000 | 1,804,387 |
NQ-022 [9/17] 11/17 (298171) 21
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Non-Agency Asset-Backed Securities (continued) | ||||||
Cabela’s Credit Card Master Note Trust | ||||||
Series 2014-2 A 1.684% (LIBOR01M + 0.45%) | ||||||
7/15/22 ● | 3,000,000 | $ | 3,011,856 | |||
Series 2015-1A A1 2.26% 3/15/23 | 500,000 | 501,947 | ||||
Capital One Multi-Asset Execution Trust | ||||||
Series 2014-A3 A3 1.614% (LIBOR01M + 0.38%) | ||||||
1/18/22 ● | 2,000,000 | 2,008,439 | ||||
Series 2016-A1 A1 1.684% (LIBOR01M + 0.45%) | ||||||
2/15/22 ● | 7,660,000 | 7,700,505 | ||||
Chase Issuance Trust | ||||||
Series 2012-A10 A10 1.494% (LIBOR01M + 0.26%) | ||||||
12/16/19 ● | 2,750,000 | 2,750,920 | ||||
Series 2013-A3 A3 1.514% (LIBOR01M + 0.28%) | ||||||
4/15/20 ● | 3,670,000 | 3,674,757 | ||||
Series 2013-A6 A6 1.654% (LIBOR01M + 0.42%) | ||||||
7/15/20 ● | 4,000,000 | 4,011,917 | ||||
Series 2013-A9 A 1.654% (LIBOR01M + 0.42%) | ||||||
11/16/20 ● | 8,900,000 | 8,936,405 | ||||
Series 2014-A5 A5 1.604% (LIBOR01M + 0.37%) | ||||||
4/15/21 ● | 3,281,000 | 3,295,434 | ||||
Series 2016-A1 A 1.644% (LIBOR01M + 0.41%) | ||||||
5/17/21 ● | 3,026,000 | 3,041,709 | ||||
Series 2016-A3 A3 1.784% (LIBOR01M + 0.55%) | ||||||
6/15/23 ● | 5,965,000 | 6,035,277 | ||||
Series 2017-A1 A 1.534% (LIBOR01M + 0.30%) | ||||||
1/18/22 ● | 4,935,000 | 4,953,712 | ||||
Series 2017-A2 A 1.634% (LIBOR01M + 0.40%) | ||||||
3/15/24 ● | 1,300,000 | 1,304,413 | ||||
Citibank Credit Card Issuance Trust | ||||||
Series 2013-A4 A4 1.657% (LIBOR01M + 0.42%) | ||||||
7/24/20 ● | 800,000 | 802,369 | ||||
Series 2013-A7 A7 1.665% (LIBOR01M + 0.43%) | ||||||
9/10/20 ● | 8,100,000 | 8,130,778 | ||||
Series 2016-A3 A3 1.721% (LIBOR01M + 0.49%) | ||||||
12/7/23 ● | 2,770,000 | 2,793,986 | ||||
Series 2017-A1 A1 1.484% (LIBOR01M + 0.25%) | ||||||
1/19/21 ● | 2,650,000 | 2,655,396 | ||||
Series 2017-A5 A5 1.856% (LIBOR01M + 0.62%) | ||||||
4/22/26 ● | 360,000 | 363,757 | ||||
Series 2017-A7 A7 1.602% (LIBOR01M + 0.37%) | ||||||
8/8/24 ● | 8,400,000 | 8,430,242 | ||||
CNH Equipment Trust | ||||||
Series 2016-B A2B 1.634% (LIBOR01M + 0.40%) | ||||||
10/15/19 ● | 65,162 | 65,220 |
22 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Non-Agency Asset-Backed Securities (continued) | ||||||
Discover Card Execution Note Trust | ||||||
Series 2013-A6 A6 1.684% (LIBOR01M + 0.45%) | ||||||
4/15/21 ● | 2,405,000 | $ | 2,414,785 | |||
Series 2014-A1 A1 1.664% (LIBOR01M + 0.43%) | ||||||
7/15/21 ● | 8,365,000 | 8,405,778 | ||||
Series 2015-A1 A1 1.584% (LIBOR01M + 0.35%) | ||||||
8/17/20 ● | 325,000 | 325,320 | ||||
Series 2016-A4 A4 1.39% 3/15/22 | 2,000,000 | 1,984,323 | ||||
Series 2017-A1 A1 1.724% (LIBOR01M + 0.49%) | ||||||
7/15/24 ● | 12,040,000 | 12,167,116 | ||||
Series 2017-A3 A3 1.464% (LIBOR01M + 0.23%) | ||||||
10/17/22 ● | 3,025,000 | 3,030,961 | ||||
Series 2017-A5 A5 1.834% (LIBOR01M + 0.60%) | ||||||
12/15/26 ● | 4,045,000 | 4,085,341 | ||||
Ford Credit Auto Owner Trust | ||||||
Series 2016-B A2B 1.544% (LIBOR01M + 0.31%) | ||||||
3/15/19 ● | 190,821 | 190,896 | ||||
Series 2016-C A2B 1.374% (LIBOR01M + 0.14%) | ||||||
9/15/19 ● | 1,701,858 | 1,701,792 | ||||
Ford Credit Floorplan Master Owner Trust A | ||||||
Series 2014-2 A 1.734% (LIBOR01M + 0.50%) | ||||||
2/15/21 ● | 6,612,000 | 6,637,208 | ||||
Series 2015-1 A2 1.634% (LIBOR01M + 0.40%) | ||||||
1/15/20 ● | 1,200,000 | 1,201,128 | ||||
Series 2015-2 A2 1.804% (LIBOR01M + 0.57%) | ||||||
1/15/22 ● | 1,470,000 | 1,482,055 | ||||
Series 2017-1 A2 1.654% (LIBOR01M + 0.42%) | ||||||
5/15/22 ● | 400,000 | 401,615 | ||||
Golden Credit Card Trust | ||||||
Series 2014-2A A 144A 1.684% (LIBOR01M + 0.45%) | ||||||
3/15/21 #● | 535,000 | 537,182 | ||||
GreatAmerica Leasing Receivables Funding | ||||||
Series 2017-1 A2 144A 1.72% 4/22/19 # | 825,000 | 825,078 | ||||
Hertz Fleet Lease Funding | ||||||
Series 2014-1 A 144A 1.635% (LIBOR01M + 0.40%) | ||||||
4/10/28 #● | 91,581 | 91,578 | ||||
HOA Funding | ||||||
Series 2014-1A A2 144A 4.846% 8/20/44 # | 249,100 | 233,038 | ||||
Hyundai Auto Lease Securitization Trust | ||||||
Series 2016-C A3 144A 1.49% 2/18/20 # | 6,650,000 | 6,637,249 | ||||
Hyundai Auto Receivables Trust | ||||||
Series 2016-A A2B 1.604% (LIBOR01M + 0.37%) | ||||||
6/17/19 ● | 1,012,616 | 1,013,369 |
NQ-022 [9/17] 11/17 (298171) 23
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||
Non-Agency Asset-Backed Securities (continued) | ||||||
Mercedes-Benz Auto Lease Trust | ||||||
Series 2016-A A2B 1.794% (LIBOR01M + 0.56%) | ||||||
7/16/18 ● | 63,649 | $ | 63,665 | |||
Mercedes-Benz Master Owner Trust | ||||||
Series 2015-BA A 144A 1.614% (LIBOR01M + 0.38%) | ||||||
4/15/20 #● | 1,000,000 | 1,001,379 | ||||
Series 2016-AA A 144A 1.814% (LIBOR01M + 0.58%) | ||||||
5/15/20 #● | 1,970,000 | 1,975,392 | ||||
Navistar Financial Dealer Note Master Owner Trust II | ||||||
Series 2016-1 A 144A 2.587% (LIBOR01M + 1.35%) | ||||||
9/27/21 #● | 390,000 | 392,734 | ||||
Series 2017-1 A 144A 2.017% (LIBOR01M + 0.78%) | ||||||
6/27/22 #● | 1,000,000 | 1,000,533 | ||||
NextGear Floorplan Master Owner Trust | ||||||
Series 2014-1A A 144A 1.92% 10/15/19 # | 1,015,000 | 1,015,130 | ||||
Nissan Auto Lease Trust | ||||||
Series 2016-A A2B 1.614% (LIBOR01M + 0.38%) | ||||||
8/15/18 ● | 159,460 | 159,528 | ||||
Series 2016-B A2B 1.514% (LIBOR01M + 0.28%) | ||||||
12/17/18 ● | 1,182,693 | 1,183,421 | ||||
Series 2016-B A3 1.50% 7/15/19 | 755,000 | 753,931 | ||||
Nissan Auto Receivables Owner Trust | ||||||
Series 2015-C A2B 1.584% (LIBOR01M + 0.35%) | ||||||
11/15/18 ● | 17,776 | 17,778 | ||||
Series 2016-B A2B 1.534% (LIBOR01M + 0.30%) | ||||||
4/15/19 ● | 967,118 | 967,703 | ||||
PFS Financing | ||||||
Series 2015-AA A 144A 1.854% (LIBOR01M + 0.62%) | ||||||
4/15/20 #● | 2,000,000 | 2,003,940 | ||||
Series 2017-BA A1 144A 1.834% (LIBOR01M + 0.60%) | ||||||
7/15/22 #● | 1,390,000 | 1,388,033 | ||||
Synchrony Credit Card Master Note Trust | ||||||
Series 2015-2 A 1.60% 4/15/21 | 640,000 | 640,257 | ||||
Towd Point Mortgage Trust | ||||||
Series 2015-5 A1B 144A 2.75% 5/25/55 #● | 499,314 | 501,911 | ||||
Series 2015-6 A1B 144A 2.75% 4/25/55 #● | 553,545 | 556,423 | ||||
Toyota Auto Receivables Owner Trust | ||||||
Series 2016-B A2B 1.484% (LIBOR01M + 0.25%) | ||||||
10/15/18 ● | 102,801 | 102,817 | ||||
Series 2017-A A2B 1.304% (LIBOR01M + 0.07%) | ||||||
9/16/19 ● | 1,000,000 | 1,000,185 | ||||
Trafigura Securitisation Finance | ||||||
Series 2017-1A A1 144A 2.084% (LIBOR01M + 0.85%) | ||||||
12/15/20 #● | 3,410,000 | 3,432,731 |
24 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Non-Agency Asset-Backed Securities (continued) | ||||||
Volvo Financial Equipment | ||||||
Series 2017-1A A2 144A 1.55% 10/15/19 # | 515,000 | $ | 514,719 | |||
Wells Fargo Dealer Floorplan Master Note Trust | ||||||
Series 2014-2 A 1.686% (LIBOR01M + 0.45%) | ||||||
10/20/19 ● | 8,575,000 | 8,576,714 | ||||
Series 2015-1 A 1.736% (LIBOR01M + 0.50%) | ||||||
1/20/20 ● | 4,810,000 | 4,815,176 | ||||
Wheels SPV | ||||||
Series 2017-1A A2 144A 1.88% 4/20/26 # | 330,000 | 329,659 | ||||
World Financial Network Credit Card Master Trust | ||||||
Series 2015-A A 1.714% (LIBOR01M + 0.48%) | ||||||
2/15/22 ● | 685,000 | 686,185 | ||||
Total Non-Agency Asset-Backed Securities | ||||||
(cost $207,173,658) | 207,412,702 | |||||
Non-Agency Collateralized Mortgage Obligations – 0.13% | ||||||
Bank of America Alternative Loan Trust | ||||||
Series 2005-6 7A1 5.50% 7/25/20 | 19,479 | 18,658 | ||||
GSMPS Mortgage Loan Trust | ||||||
Series 1998-2 A 144A 7.75% 5/19/27 #● | 42,071 | 42,973 | ||||
JPMorgan Mortgage Trust | ||||||
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● | 455,000 | 455,020 | ||||
Sequoia Mortgage Trust | ||||||
Series 2014-2 A4 144A 3.50% 7/25/44 #● | 353,412 | 359,997 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
Series 2006-AR5 2A1 3.327% 4/25/36 ● | 106,093 | 100,159 | ||||
Total Non-Agency Collateralized Mortgage Obligations (cost $935,195) | 976,807 | |||||
Non-Agency Commercial Mortgage-Backed Security – 0.01% | ||||||
DB-UBS Mortgage Trust | ||||||
Series 2011-LC1A C 144A 5.685% 11/10/46 #● | 100,000 | 108,597 | ||||
Total Non-Agency Commercial Mortgage-Backed Security (cost $110,844) | 108,597 | |||||
Regional Bond – 0.07%Δ | ||||||
Argentina – 0.07% | ||||||
Provincia de Cordoba 144A 7.125% 6/10/21 # | 500,000 | 537,815 | ||||
Total Regional Bond (cost $526,250) | 537,815 | |||||
Sovereign Bonds – 0.74%Δ | ||||||
Argentina – 0.07% | ||||||
Argentine Republic Government International Bond | ||||||
5.625% 1/26/22 | 500,000 | 525,750 | ||||
525,750 |
NQ-022 [9/17] 11/17 (298171) 25
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | |||||||
Sovereign BondsΔ (continued) | ||||||||
Bahrain – 0.03% | ||||||||
Bahrain Government International Bond 144A | ||||||||
5.875% 1/26/21 # | 250,000 | $ | 261,213 | |||||
261,213 | ||||||||
Chile – 0.04% | ||||||||
Bonos de la Tesoreria de la Republica en pesos | ||||||||
4.50% 3/1/21 | CLP | 190,000,000 | 306,128 | |||||
306,128 | ||||||||
Costa Rica – 0.03% | ||||||||
Costa Rica Government International Bond 144A | ||||||||
4.25% 1/26/23 # | 250,000 | 249,375 | ||||||
249,375 | ||||||||
Croatia – 0.07% | ||||||||
Croatia Government International Bond 144A | ||||||||
5.50% 4/4/23 # | 500,000 | 555,885 | ||||||
555,885 | ||||||||
Dominican Republic – 0.04% | ||||||||
Dominican Republic International Bond 144A | ||||||||
7.50% 5/6/21 # | 300,000 | 334,500 | ||||||
334,500 | ||||||||
Egypt – 0.07% | ||||||||
Egypt Government International Bond 144A | ||||||||
6.125% 1/31/22 # | 500,000 | 518,391 | ||||||
518,391 | ||||||||
Hungary – 0.07% | ||||||||
Hungary Government International Bond 6.375% 3/29/21 | 500,000 | 564,350 | ||||||
564,350 | ||||||||
Indonesia – 0.07% | ||||||||
Perusahaan Penerbit SBSN Indonesia 144A | ||||||||
3.40% 3/29/22 # | 500,000 | 510,625 | ||||||
510,625 | ||||||||
Nigeria – 0.07% | ||||||||
Nigeria Government International Bond 5.625% 6/27/22 | 500,000 | 510,413 | ||||||
510,413 | ||||||||
Saudi Arabia – 0.07% | ||||||||
Kingdom of Saudi Arabia Sukuk 144A 2.894% 4/20/22 # | 500,000 | 503,000 | ||||||
503,000 | ||||||||
Sri Lanka – 0.07% | ||||||||
Sri Lanka Government International Bond | ||||||||
144A 5.125% 4/11/19 # | 250,000 | 256,293 | ||||||
144A 5.75% 1/18/22 # | 250,000 | 264,723 | ||||||
521,016 |
26 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Principal amount° | Value (US $) | |||||
Sovereign BondsΔ (continued) | ||||||
Ukraine – 0.04% | ||||||
Ukraine Government International Bond 144A | ||||||
7.75% 9/1/20 # | 250,000 | $ | 265,577 | |||
265,577 | ||||||
Total Sovereign Bonds (cost $5,509,500) | 5,626,223 | |||||
Supranational Bank – 0.07% | ||||||
Banque Ouest Africaine de Developpement 144A | ||||||
5.50% 5/6/21 # | 500,000 | 532,063 | ||||
Total Supranational Bank (cost $529,500) | 532,063 | |||||
US Treasury Obligations – 3.71% | ||||||
US Treasury Notes | ||||||
1.875% 7/31/22 | 18,535,000 | 18,490,835 | ||||
2.25% 8/15/27 | 9,950,000 | 9,879,067 | ||||
Total US Treasury Obligations (cost $28,585,395) | 28,369,902 | |||||
Number of | ||||||
Shares | ||||||
Preferred Stock – 0.50% | ||||||
Bank of America 8.125% µ | 1,000,000 | 1,032,500 | ||||
General Electric 5.00% µ | 1,111,000 | 1,176,493 | ||||
Morgan Stanley 5.55% µ | 1,180,000 | 1,230,887 | ||||
USB Realty144A 2.451% (LIBOR03M + 1.147%) #● | 400,000 | 351,500 | ||||
Total Preferred Stock (cost $3,713,522) | 3,791,380 | |||||
Principal amount° | ||||||
Short-Term Investments – 1.63% | ||||||
Discount Notes – 0.11%≠ | ||||||
Federal Farm Credit 0.783% 10/5/17 | 105,406 | 105,397 | ||||
Federal Home Loan Bank | ||||||
0.349% 10/2/17 | 307,019 | 307,013 | ||||
0.947% 10/19/17 | 214,095 | 213,996 | ||||
0.982% 11/13/17 | 210,811 | 210,568 | ||||
836,974 | ||||||
Repurchase Agreements – 1.52% | ||||||
Bank of America Merrill Lynch | ||||||
1.00%, dated 9/29/17, to be repurchased on 10/2/17, | ||||||
repurchase price $2,046,962 (collateralized by US | ||||||
government obligations 3.375% 11/15/19; market value | ||||||
$2,087,730) | 2,046,792 | 2,046,792 |
NQ-022 [9/17] 11/17 (298171) 27
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
Principal amount° | Value (US $) | ||||||
Short-Term Investments (continued) | |||||||
Repurchase Agreements (continued) | |||||||
Bank of Montreal | |||||||
0.92%, dated 9/29/17, to be repurchased on 10/2/17, | |||||||
repurchase price $5,117,372 (collateralized by US | |||||||
government obligations 0.125%–3.75% | |||||||
7/31/19–11/15/43; market value $5,219,319) | 5,116,979 | $ | 5,116,979 | ||||
BNP Paribas | |||||||
1.00%, dated 9/29/17, to be repurchased on 10/2/17, | |||||||
repurchase price $4,476,604 (collateralized by US | |||||||
government obligations 0.00%–3.375% | |||||||
1/4/18–5/15/45; market value $4,565,756) | 4,476,231 | 4,476,231 | |||||
11,640,002 | |||||||
Total Short-Term Investments (cost $12,476,955) | 12,476,976 | ||||||
Total Value of Securities – 103.34% | |||||||
(cost $787,489,083) | 790,204,049 | ||||||
Liabilities Net of Receivables and Other Assets – (3.34%)★ | (25,554,603 | ) | |||||
Net Assets Applicable to 90,018,938 Shares Outstanding – 100.00% | $ | 764,649,446 |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2017, the aggregate value of Rule 144A securities was $142,686,736, which represents 18.66% 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. |
❆ |
PIK. 100% of the income received was in the form of cash. |
★ | Of this amount, $653,000 represents cash collateral posted for futures contracts, $4,761,976 represents cash collateral posted for centrally cleared swap contracts, $121,000 represents cash collateral posted for TBA transactions, and $110,000 represents cash collateral received for TBA transactions. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 2 in “Notes.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in US dollars unless noted that the security is denominated in another currency. |
Δ | Securities have been classified by country of origin. |
µ | Fixed to variable rate investment. The interest rate shown reflects the fixed rate in effect at Sept. 30, 2017. Interest rate will reset at a future date. |
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. |
Ψ | No contractual maturity date. |
28 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
Ω | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
● | Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at Sept. 30, 2017. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
ϕ | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at Sept. 30, 2017. |
The following futures and swap contracts were outstanding at Sept. 30, 2017:
Futures Contracts
Notional | Value/ | ||||||||||||||
Cost | Notional | Expiration | Unrealized | ||||||||||||
Contracts to Buy (Sell) | (Proceeds) | Amount | Date | Appreciation | |||||||||||
(532) | US Treasury 10 yr Notes | $ | (67,495,144 | ) | $ | (66,666,250 | ) | 12/20/17 | $ | 828,894 | |||||
(13) | US Treasury Long Bonds | (2,021,565 | ) | (1,986,563 | ) | 12/20/17 | 35,002 | ||||||||
Total Futures Contracts | $ | (69,516,709 | ) | $ | 863,896 |
Swap Contracts
CDS Contracts1
Counterparty/ | Upfront | ||||||||||||||||
Reference Obligation/ | Annual | Payments | |||||||||||||||
Termination Date/ | Notional | Protection | Paid | Unrealized | |||||||||||||
Payment Frequency | Amount2 | Payments | (Received) | Value | Depreciation3 | ||||||||||||
Centrally Cleared/ | |||||||||||||||||
Protection Purchased: | |||||||||||||||||
CDX.NA.HY.284 | |||||||||||||||||
6/20/22- | |||||||||||||||||
Quarterly | 44,000,000 | 5.00 | % | $ | (3,051,035 | ) | $ | (3,376,772 | ) | $ | (325,737 | ) |
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 amounts 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.
NQ-022 [9/17] 11/17 (298171) 29
Schedule of investments
Delaware Limited-Term Diversified Income Fund (Unaudited)
2Notional amount shown is stated in US 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 $(69,824).
4Markit’s CDX.NA.HY Index, is composed of 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
BADLARPP – Argentina Term Deposit Rate
CDS – Credit Default Swap
CDX.NA.HY – Credit Default Swap Index North American High-Yield
CLO – Collateralized Loan Obligation
CLP – Chilean Peso
DAC – Designated Activity Company
DB – Deutsche Bank
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GSMPS – Goldman Sachs Reperforming Mortgage Securities
H15T1Y – US Treasury Yield Curve T Note Constant Maturity 1 Year
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
LIBOR012M – ICE LIBOR USD 12 Month
NCUA – National Credit Union Administration
PIK – Pay-in-kind
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
TBA – To be announced
USD – US Dollar
yr – Year
See accompanying notes.
30 NQ-022 [9/17] 11/17 (298171)
Notes | |
Delaware Limited-Term Diversified Income Fund | September 30, 2017 (Unaudited) |
1. Significant Accounting Policies
The following accounting policies are in accordance with US generally accepted accounting principles (US 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. US 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 US 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. Futures contracts are valued at the daily quoted settlement prices. 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. 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 foregoing valuation policies apply to restricted and unrestricted securities.
2. Investments
US 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.
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(Unaudited)
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.
32 NQ-022 [9/17] 11/17 (298171)
(Unaudited)
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Sept. 30, 2017:
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Assets: | ||||||||||||||
Agency, Asset- & Mortgage- | ||||||||||||||
Backed Securities | $ | — | $ | 386,596,938 | $ | — | $ | 386,596,938 | ||||||
Corporate Debt | — | 313,357,565 | — | 313,357,565 | ||||||||||
Foreign Debt | — | 6,696,101 | — | 6,696,101 | ||||||||||
Loan Agreements1 | — | 35,894,473 | 379,153 | 36,273,626 | ||||||||||
Municipal Bonds | — | 2,641,561 | — | 2,641,561 | ||||||||||
Preferred Stock | — | 3,791,380 | — | 3,791,380 | ||||||||||
Short-Term Investments | — | 12,476,976 | — | 12,476,976 | ||||||||||
US Treasury Obligations | — | 28,369,902 | — | 28,369,902 | ||||||||||
Total Value of Securities | $ | — | $ | 789,824,896 | $ | 379,153 | $ | 790,204,049 | ||||||
Derivatives: | ||||||||||||||
Futures Contracts | $ | 863,896 | $ | — | $ | — | $ | 863,896 | ||||||
Swap Contracts | — | (325,737 | ) | — | (325,737 | ) |
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 | |||||||
Loan Agreements | 98.95 | % | 1.05 | % | 100.00 | % |
During the period ended Sept. 30, 2017, 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 based on fair value 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 a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to the Fund’s net assets at the beginning, interim, or end of the period.
3. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to Sept. 30, 2017 that would require recognition or disclosure in the Fund’s “Schedule of investments.”
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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 K. 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. |
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | November 24, 2017 |
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. |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | November 24, 2017 |
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
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | November 24, 2017 |
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.
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | November 24, 2017 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | November 24, 2017 |