NPORT-EX 2 AIV0900DEL09302022.htm
Consolidated schedule of investments
Delaware Ivy VIP Asset Strategy 
September 30, 2022 (Unaudited)
    Principal
amount° 		Value (US $)
Agency Collateralized Mortgage Obligations — 0.18%
Fannie Mae REMICs      
Series 2015-18 NS 3.036% (6.12% minus LIBOR01M, Cap 6.12%) 4/25/45 Σ, •    1,099,323 $     121,069
Series 2015-37 SB 2.536% (5.62% minus LIBOR01M, Cap 5.62%) 6/25/45 Σ, •    2,345,086       193,238
Series 2016-48 US 3.016% (6.10% minus LIBOR01M, Cap 6.10%) 8/25/46 Σ, •    2,779,458       219,574
Series 2017-33 AI 4.50% 5/25/47 Σ    1,131,556       177,931
Series 2019-13 IP 5.00% 3/25/49 Σ      752,341       151,252
Series 4740 SB 3.332% (6.15% minus LIBOR01M, Cap 6.15%) 11/15/47 Σ, •    1,092,211      116,306
Total Agency Collateralized Mortgage Obligations
(cost $1,607,073) 		     979,370
 
Agency Commercial Mortgage-Backed Securities — 0.87%
Fannie Mae Series 2017-M2 A2 2.851% 2/25/27 •    1,501,122     1,400,448
Freddie Mac Multifamily
Structured Pass Through Certificates 		     
Series K103 X1 0.758% 11/25/29 •    2,020,615        73,895
Series K115 X1 1.429% 6/25/30 •    1,793,472       140,500
FREMF Mortgage Trust      
Series 2016-K60 B 144A 3.661% 12/25/49 #, •    2,751,000     2,536,235
Series 2018-K73 B 144A 3.986% 2/25/51 #, •      600,000      552,616
Total Agency Commercial Mortgage-Backed Securities
(cost $5,429,408) 		   4,703,694
 
Agency Mortgage-Backed Securities — 7.19%
Fannie Mae S.F. 15 yr 2.50% 4/1/36    2,219,051     2,015,792
Fannie Mae S.F. 30 yr      
2.00% 12/1/50     3,173,401     2,585,132
2.00% 1/1/51     2,571,743     2,100,988
2.00% 10/1/51     3,452,254     2,805,899
2.50% 7/1/50     3,738,545     3,161,595
3.00% 8/1/50       768,418       674,745
3.00% 12/1/51     1,036,143       910,330
    Principal
amount° 		Value (US $)
Agency Mortgage-Backed Securities (continued)
Fannie Mae S.F. 30 yr      
3.50% 8/1/48     4,068,983 $   3,736,087
4.00% 3/1/47     1,915,610     1,818,513
5.00% 6/1/52       952,210       928,835
5.00% 9/1/52     2,004,415     1,954,686
Fannie Mae S.F. 30 yr TBA 5.50% 10/1/52 ω    3,104,000     3,085,085
Freddie Mac S.F. 30 yr      
2.50% 1/1/51     1,200,264     1,016,847
2.50% 1/1/52     1,562,373     1,316,345
3.50% 6/1/47     1,575,132     1,439,587
4.00% 8/1/52       972,600       905,022
4.50% 9/1/52     1,008,000       963,724
4.50% 9/1/52       584,000       557,919
5.00% 7/1/52     1,189,495     1,161,633
5.50% 9/1/52       385,000       389,452
5.50% 11/1/52       391,000       389,094
GNMA II S.F. 30 yr      
3.00% 12/20/51       535,615       474,367
3.50% 6/20/50     3,954,097     3,629,002
5.00% 9/20/52       733,000      719,225
Total Agency Mortgage-Backed Securities
(cost $43,824,378) 		  38,739,904
       
Corporate Bonds — 14.38%
Banking — 4.08%
Banco Santander      
1.722% 9/14/27 μ    1,000,000      828,469
1.849% 3/25/26     2,000,000    1,729,169
Bank of America      
2.551% 2/4/28 μ       95,000       82,743
2.972% 2/4/33 μ       45,000       35,235
4.375% 1/27/27 μ, ψ       45,000       36,225
4.948% 7/22/28 μ      380,000       365,511
6.125% 4/27/27 μ, ψ       85,000       80,538
Citigroup      
1.122% 1/28/27 μ    2,500,000    2,140,956
3.07% 2/24/28 μ      115,000      102,627
5.61% 9/29/26 μ      100,000       99,518
Credit Agricole      
144A 1.907% 6/16/26 #, μ    2,657,000    2,377,792
144A 8.125% 12/23/25 #, *, μ, ψ    2,000,000    1,932,550
Credit Suisse Group 144A 6.442% 8/11/28 #, μ      655,000      609,952
Deutsche Bank 2.129% 11/24/26 μ    2,000,000     1,700,115
Fifth Third Bancorp 4.337% 4/25/33 μ      725,000      643,695
NQ-IV090 [9/22] 11/22 (2605631)    1
Consolidated schedule of investments
Delaware Ivy VIP Asset Strategy   (Unaudited)
    Principalamount° Value (US $)
Corporate Bonds (continued)
Banking (continued)
Goldman Sachs Group      
1.542% 9/10/27 μ      570,000 $     482,138
3.102% 2/24/33 μ       45,000        35,796
3.615% 3/15/28 μ      170,000       154,882
Huntington National Bank 4.552% 5/17/28 μ      505,000       486,701
JPMorgan Chase & Co.      
1.953% 2/4/32 μ      165,000       122,285
4.851% 7/25/28 μ      490,000       470,994
4.912% 7/25/33 μ      315,000       290,898
KeyCorp 4.789% 6/1/33 μ      976,000       896,281
Morgan Stanley      
1.928% 4/28/32 μ      625,000       457,222
2.475% 1/21/28 μ       70,000        61,255
2.484% 9/16/36 μ    1,500,000     1,077,059
Nordea Bank 144A 3.75% 3/1/29 #, μ, ψ    1,000,000       662,659
PNC Financial Services Group      
6.00% 5/15/27 *, μ, ψ      105,000        97,650
6.20% 9/15/27 μ, ψ      160,000       151,600
State Street 2.203% 2/7/28 μ      140,000       122,898
SVB Financial Group 4.57% 4/29/33 *, μ      520,000       456,508
Toronto-Dominion Bank 4.108% 6/8/27 *      495,000       467,335
Truist Financial 4.916% 7/28/33 μ      450,000       407,297
UniCredit 144A 5.459% 6/30/35 #, μ    1,000,000       744,726
US Bancorp      
2.215% 1/27/28 μ      115,000       101,451
2.677% 1/27/33 μ      115,000        92,579
Wells Fargo & Co.      
4.611% 4/25/53 μ      520,000       423,246
4.808% 7/25/28 μ      995,000      949,985
    21,978,540
Basic Industry — 0.44%
Celanese US Holdings 6.05% 3/15/25       140,000       136,892
Newmont 2.60% 7/15/32 *       75,000        57,279
Sherwin-Williams 2.90% 3/15/52       710,000       427,807
Suzano Austria 2.50% 9/15/28       600,000       470,100
Teck Resources 3.90% 7/15/30 *    1,000,000       851,985
Westlake 3.125% 8/15/51       690,000      426,050
     2,370,113
Brokerage — 0.49%
Citadel Finance 144A 3.375% 3/9/26 #    2,500,000     2,207,947
    Principalamount° Value (US $)
Corporate Bonds (continued)
Brokerage (continued)
Jefferies Group 2.625% 10/15/31       630,000 $     457,995
     2,665,942
Capital Goods — 0.60%
Aeropuerto Internacional de Tocumen 144A 4.00% 8/11/41 #      500,000       371,057
Boeing      
4.875% 5/1/25     1,083,000     1,057,785
5.805% 5/1/50       429,000       373,758
Eaton 4.15% 3/15/33       300,000       271,481
Lockheed Martin      
3.90% 6/15/32       145,000       134,614
4.15% 6/15/53       125,000       104,927
Standard Industries 144A 4.375% 7/15/30 #    1,173,000      900,172
     3,213,794
Communications — 1.50%
AT&T      
2.25% 2/1/32     1,500,000     1,135,996
3.65% 6/1/51     2,653,000     1,799,535
Charter Communications Operating 3.85% 4/1/61       815,000       477,896
Comcast 1.50% 2/15/31     2,000,000     1,502,558
Empresa Nacional de Telecomunicaciones 144A 3.05% 9/14/32 #      500,000       368,505
Verizon Communications      
1.50% 9/18/30     3,000,000     2,259,731
2.875% 11/20/50       135,000        82,918
Warnermedia Holdings      
144A 3.755% 3/15/27 #      310,000       277,744
144A 4.054% 3/15/29 #       45,000        38,920
144A 4.279% 3/15/32 #, *       45,000        37,079
144A 5.141% 3/15/52 #      175,000      127,527
     8,108,409
Consumer Cyclical — 1.75%
7-Eleven 144A 1.30% 2/10/28 #    2,000,000     1,613,373
Alibaba Group Holding 2.125% 2/9/31       500,000       385,565
Amazon.com      
1.50% 6/3/30       654,000       516,664
2.50% 6/3/50       753,000       472,449
3.60% 4/13/32       170,000       154,746
Aptiv      
3.10% 12/1/51       595,000       334,374
3.25% 3/1/32        45,000        35,883
AutoNation 3.85% 3/1/32        90,000        71,243
Carnival 144A 4.00% 8/1/28 #      550,000       444,604
 
2    NQ-IV090 [9/22] 11/22 (2605631)
(Unaudited)
    Principalamount° Value (US $)
Corporate Bonds (continued)
Consumer Cyclical (continued)
Dollar General 3.50% 4/3/30     2,000,000 $   1,757,295
Expedia Group 3.80% 2/15/28     1,000,000       889,511
General Motors      
5.40% 10/15/29        50,000        46,167
5.60% 10/15/32        80,000        71,514
Home Depot 1.875% 9/15/31     1,000,000       775,981
MGM Resorts International 4.75% 10/15/28 *    1,127,000       945,793
Sands China 2.80% 3/8/27     1,000,000       796,035
VICI Properties 4.95% 2/15/30 *      160,000      144,934
     9,456,131
Consumer Non-Cyclical — 1.06%
AbbVie 3.20% 11/21/29     2,000,000     1,752,512
Anheuser-Busch InBev Worldwide 3.50% 6/1/30 *      430,000       384,522
Bristol-Myers Squibb 3.70% 3/15/52        70,000        53,837
CSL Finance      
144A 4.05% 4/27/29 #       85,000        78,396
144A 4.75% 4/27/52 #      105,000        90,711
CVS Health      
1.30% 8/21/27     2,000,000     1,668,749
2.70% 8/21/40       655,000       431,487
4.78% 3/25/38       215,000       188,908
HCA 144A 3.125% 3/15/27 #, *       70,000        62,068
JBS USA LUX 144A 3.00% 2/2/29 #      225,000       184,378
Nestle Holdings 144A 1.875% 9/14/31 #, *    1,000,000      790,752
     5,686,320
Consumer Staples — 0.12%
COTA Series D 144A 0.00% 10/2/23 #    3,642,397      637,419
       637,419
Electric — 0.84%
Comision Federal de Electricidad 144A 3.875% 7/26/33 #      500,000       349,748
Eversource Energy 2.90% 3/1/27       135,000       122,698
Fells Point Funding Trust 144A 3.046% 1/31/27 #      115,000       102,606
NextEra Energy Capital Holdings 3.00% 1/15/52       170,000       108,896
NRG Energy      
144A 2.00% 12/2/25 #    1,100,000       972,475
144A 2.45% 12/2/27 #      110,000        90,217
Pacific Gas and Electric 3.00% 6/15/28     1,154,000       952,711
Virginia Electric and Power 2.45% 12/15/50     2,500,000     1,469,819
    Principalamount° Value (US $)
Corporate Bonds (continued)
Electric (continued)
Vistra Operations 144A 5.125% 5/13/25 #      363,000 $     351,921
     4,521,091
Energy — 0.71%
BP Capital Markets America      
2.721% 1/12/32       215,000       174,858
2.939% 6/4/51       555,000       353,624
ConocoPhillips 3.80% 3/15/52       225,000       172,661
Continental Resources 144A 2.875% 4/1/32 #      180,000       132,057
Diamondback Energy 4.25% 3/15/52        45,000        32,964
Enterprise Products Operating 3.30% 2/15/53       670,000       437,680
Galaxy Pipeline Assets Bidco 144A 2.625% 3/31/36 #      500,000       388,065
Targa Resources Partners 5.00% 1/15/28       445,000       412,584
Valero Energy 3.65% 12/1/51       645,000       440,903
Williams 5.10% 9/15/45     1,500,000    1,274,427
     3,819,823
Finance Companies — 0.90%
AerCap Ireland Capital DAC 2.45% 10/29/26     2,500,000     2,112,111
Air Lease      
2.875% 1/15/32 *      440,000       332,257
4.125% 12/15/26 μ, ψ      605,000       416,674
Avolon Holdings Funding 144A 2.75% 2/21/28 #    2,500,000    1,966,814
     4,827,856
Insurance — 0.11%
AIA Group 144A 3.375% 4/7/30 #      540,000       480,405
Brown & Brown      
2.375% 3/15/31        29,000        21,698
4.95% 3/17/52 *      101,000       82,147
       584,250
Natural Gas — 0.04%
Southern Co. Gas Capital 5.15% 9/15/32       231,000      221,126
       221,126
Real Estate Investment Trusts — 0.01%
American Homes 4 Rent 3.625% 4/15/32        85,000       70,199
        70,199
Technology — 1.41%
Apple      
2.40% 8/20/50       878,000       547,557
2.65% 2/8/51     2,000,000     1,319,185
 
NQ-IV090 [9/22] 11/22 (2605631)    3
Consolidated schedule of investments
Delaware Ivy VIP Asset Strategy   (Unaudited)
    Principalamount° Value (US $)
Corporate Bonds (continued)
Technology (continued)
Autodesk 2.40% 12/15/31 *      165,000 $     128,618
Broadcom 144A 1.95% 2/15/28 #, *    1,500,000     1,231,470
CDW 3.276% 12/1/28       555,000       464,199
Entegris Escrow 144A 4.75% 4/15/29 #      150,000       132,461
Fidelity National Information Services 4.70% 7/15/27        80,000        77,125
Iron Mountain 144A 5.25% 7/15/30 #      290,000       240,601
Iron Mountain Information Management Services 144A 5.00% 7/15/32 #      895,000       694,062
KLA 4.95% 7/15/52       220,000       200,391
Leidos 3.625% 5/15/25       326,000       312,796
PayPal Holdings      
2.30% 6/1/30 *    2,000,000     1,629,114
3.90% 6/1/27 *       40,000        38,365
4.40% 6/1/32       120,000       111,958
Workday      
3.50% 4/1/27 *       20,000        18,529
3.70% 4/1/29        45,000        40,413
3.80% 4/1/32 *      465,000      404,152
     7,590,996
Transportation — 0.32%
Burlington Northern Santa Fe      
2.875% 6/15/52       135,000        88,525
4.45% 1/15/53       145,000       126,184
United Airlines Pass Through Trust 4.875% 7/15/27     1,592,000    1,486,883
     1,701,592
Total Corporate Bonds
(cost $97,188,846) 		  77,453,601
 
Non-Agency Commercial Mortgage-Backed Security — 0.01%
Merrill Lynch Mortgage Investors Trust Series 1998-C1 F 6.25% 11/15/26 •       36,886       36,964
Total Non-Agency Commercial Mortgage-Backed Security
(cost $37,107) 		      36,964
 
Sovereign Bonds — 0.14%Δ
Mexico — 0.07%
Mexico Government International Bond 5.00% 4/27/51       500,000      385,774
       385,774
    Principalamount° Value (US $)
Sovereign BondsΔ (continued)
Peru — 0.07%
Peruvian Government International Bond 3.00% 1/15/34       500,000 $     376,678
       376,678
Total Sovereign Bonds
(cost $1,078,498) 		     762,452
 
US Treasury Obligations — 15.50%
United States Treasury Floating Rate Note
3.222% (USBMMY3M -0.08%) 4/30/24 • 		  11,235,000    11,220,275
US Treasury Bonds      
2.25% 2/15/52    2,605,000     1,893,509
2.375% 2/15/42    5,290,000     4,055,942
2.875% 5/15/52      645,000       541,095
3.00% 2/15/49    3,420,000     2,920,426
4.375% 2/15/38    2,755,000     2,933,645
4.75% 2/15/37    1,055,000     1,170,494
US Treasury Floating Rate Note
3.405% (USBMMY3M + 0.04%) 7/31/24 • 		   1,990,000     1,987,740
US Treasury Notes      
0.125% 4/30/23   16,500,000    16,131,139
2.50% 5/31/24 *   14,125,000    13,718,079
2.75% 5/15/25   14,780,000    14,225,172
2.75% 8/15/32 *    2,695,000     2,464,662
2.875% 4/30/29    2,910,000     2,717,212
3.125% 8/31/27 *      655,000       628,391
3.125% 8/31/29    2,405,000     2,283,059
3.25% 6/30/27    4,170,000     4,019,652
3.25% 6/30/29       25,000        23,900
4.125% 9/30/27      605,000      607,032
Total US Treasury Obligations
(cost $87,127,669) 		  83,541,424
    Number of
shares 		 
Common Stocks — 53.52%
Communication Services — 3.90%
Alphabet Class A †       63,259    6,050,723
Deutsche Telekom       381,339    6,491,028
Frontier Communications Parent †       93,250    2,184,848
Tencent Holdings        92,500    3,124,309
T-Mobile US †       23,599    3,166,278
    21,017,186
Consumer Discretionary — 7.37%
Amazon.com †       55,196    6,237,148
 
4    NQ-IV090 [9/22] 11/22 (2605631)
(Unaudited)
    Number of
shares 		Value (US $)
Common Stocks (continued)
Consumer Discretionary (continued)
Aptiv †       49,901 $   3,902,757
Burlington Stores *, †       20,946     2,343,648
Darden Restaurants        56,748     7,168,407
Ferrari        18,026     3,338,161
H World Group ADR       100,673     3,376,572
JD.com ADR *       72,798     3,661,739
LVMH Moet Hennessy Louis Vuitton         4,037     2,380,114
Skechers USA Class A †      116,799     3,704,864
Subaru       235,931    3,565,471
    39,678,881
Consumer Staples — 3.90%
Casey's General Stores        21,767     4,408,253
China Mengniu Dairy †    1,312,313     5,187,712
COTA Series B †           26             0
Procter & Gamble        44,249     5,586,436
Reckitt Benckiser Group        87,850    5,822,831
    21,005,232
Energy — 3.57%
Canadian Natural Resources       163,642     7,620,808
ConocoPhillips        82,806     8,474,366
Schlumberger        46,955     1,685,684
TotalEnergies *       31,132    1,460,545
    19,241,403
Financials — 6.62%
AGNC Investment       421,952     3,552,836
BNP Paribas        89,062     3,761,913
First Republic Bank        37,903     4,948,237
ICICI Bank       305,614     3,208,720
Intercontinental Exchange        34,112     3,082,019
Morgan Stanley        51,445     4,064,669
ORIX       466,397     6,533,781
Prudential       343,080     3,357,942
State Bank of India       489,113    3,167,523
    35,677,640
Healthcare — 9.09%
Abbott Laboratories        38,416     3,717,132
AstraZeneca        39,051     4,292,856
Bayer       100,906     4,649,198
Eli Lilly & Co.        12,293     3,974,942
Genmab †       15,470     4,976,756
Regeneron Pharmaceuticals †        9,314     6,416,135
Thermo Fisher Scientific         6,678     3,387,015
UnitedHealth Group        14,770     7,459,441
Vertex Pharmaceuticals †       20,269     5,868,686
Zimmer Biomet Holdings        40,676    4,252,676
    48,994,837
    Number of
shares 		Value (US $)
Common Stocks (continued)
Industrials — 5.84%
Airbus        52,316 $   4,509,659
Ingersoll Rand        79,236     3,427,749
Larsen & Toubro       265,392     5,991,304
Raytheon Technologies        63,001     5,157,262
Schneider Electric        27,892     3,150,423
Thales        14,338     1,579,961
Union Pacific        23,434     4,565,412
Vinci        38,043    3,076,187
    31,457,957
Information Technology — 11.53%
Ambarella †       55,786     3,134,058
Apple        39,180     5,414,676
Autodesk †       18,694     3,492,039
Check Point Software Technologies †       46,507     5,209,714
Intuit        14,125     5,470,895
Mastercard Class A        21,638     6,152,549
Microchip Technology        42,898     2,618,065
Microsoft        60,557    14,103,725
NVIDIA        21,081     2,559,023
Seagate Technology Holdings        45,323     2,412,543
Taiwan Semiconductor Manufacturing       477,450     6,328,787
VeriSign †       29,999    5,210,826
    62,106,900
Materials — 0.46%
Barrick Gold       160,879    2,493,625
     2,493,625
Utilities — 1.24%
NTPC     1,574,508     3,075,113
RWE        97,845    3,596,392
     6,671,505
Total Common Stocks
(cost $312,374,818) 		 288,345,166
 
Exchange-Traded Fund — 0.86%
Vanguard Russell 2000 ETF*       69,377    4,622,590
Total Exchange-Traded Fund
(cost $5,450,805) 		   4,622,590
    Troy
Ounces 		 
Bullion — 5.14%
Gold       16,670   27,699,498
Total Bullion
(cost $20,288,795) 		  27,699,498
    
 
NQ-IV090 [9/22] 11/22 (2605631)    5
Consolidated schedule of investments
Delaware Ivy VIP Asset Strategy   (Unaudited)
    Number of
shares 		Value (US $)
Short-Term Investments — 2.84%
Money Market Mutual Funds — 2.84%
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%)    3,822,923 $   3,822,923
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%)    3,822,923     3,822,923
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%)    3,822,923     3,822,923
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%)    3,822,923    3,822,923
Total Short-Term Investments
(cost $15,291,692) 		  15,291,692
Total Value of Securities Before
Securities Lending Collateral—100.63%
(cost $589,699,089) 		 542,176,355
 
Securities Lending Collateral — 0.84%
Money Market Mutual Fund — 0.84%
Dreyfus Institutional Preference Government Money Market Fund - Institutional Shares (seven-day effective yield 2.98%)    4,503,984    4,503,984
Total Securities Lending Collateral
(cost $4,503,983) 		   4,503,984
Total Value of Securities—101.47%
(cost $594,203,072) 		    546,680,339■
Obligation to Return
Securities Lending
Collateral — (0.84%) 		      (4,503,983)
Liabilities Net of Receivables and Other Assets — (0.63%)       (3,392,130)
Net Assets Applicable to 70,485,016 Shares Outstanding—100.00%      $538,784,225
° Principal amount shown is stated in USD unless noted that the security is denominated in another currency.
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.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. 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, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.
# Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2022, the aggregate value of Rule 144A securities was $24,780,084, which represents 4.48% of the Portfolio's net assets.
ω Perpetual security with no stated maturity date.
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2022. Rate will reset at a future date.
ψ Perpetual security. Maturity date represents next call date.
* Fully or partially on loan.
Δ Securities have been classified by country of risk.
† Non-income producing security.
■ Includes $25,126,563 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $21,304,263.
★ Includes $0 cash collateral held at brokers for certain open derivatives, $2,023000 cash collateral pledged for TBA transactions, and $520,000 cash collateral due to brokers for certain open derivatives.
6    NQ-IV090 [9/22] 11/22 (2605631)
(Unaudited)
The following foreign currency exchange contracts were outstanding at September 30, 2022:
Foreign Currency Exchange Contracts        
Counterparty   Currency to
Receive (Deliver) 		  In Exchange For   Settlement
Date 		  Unrealized
Depreciation
BNYM   EUR (18,258)   USD 17,785   10/3/22   $(112)
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost
(Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Depreciation 		  Variation
Margin
Due from
(Due to)
Brokers
113 US Treasury 10 yr Notes   $12,663,062   $13,115,704   12/20/22   $(452,642)   $(44,141)
7 US Treasury Ultra Bonds   959,000   1,051,045   12/20/22   (92,045)   (11,375)
Total Futures Contracts   $14,166,749       $(544,687)   $(55,516)
The use of foreign currency exchange contracts and futures contracts involve elements of market risk and risks in excess of the amounts disclosed in these financial statements. The foreign currency exchange contracts and notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin is reflected in the Portfolio’s net assets.
Summary of abbreviations: 
ADR – American Depositary Receipt
BNYM – Bank of New York Mellon
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
LIBOR01M – ICE LIBOR USD 1 Month
S.F. – Single Family
TBA – To be announced
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
yr – Year
Summary of currencies: 
EUR – European Monetary Unit
USD – US Dollar
NQ-IV090 [9/22] 11/22 (2605631)    7