NPORT-EX 2 AIV0980_Del_9.30.2023.htm
Schedule of investments
Delaware Ivy VIP Balanced 
September 30, 2023 (Unaudited)
    Principal
amount° 		Value (US $)
Agency Collateralized Mortgage Obligations — 0.67%
Fannie Mae REMICs      
Series 2016-36 VB 3.50% 6/25/29     294,568 $    279,720
Series 2016-71 NB 3.00% 10/25/46     407,017      357,004
Freddie Mac REMICs
Series 4616 HW 3.00% 6/15/45 		    244,341      221,969
Freddie Mac Structured Agency Credit Risk REMIC Trust
Series 2021-HQA2 M2 144A 7.365% (SOFR + 2.05%) 12/25/33 #, • 		    500,000      485,625
Vendee Mortgage Trust
Series 1997-1 3A 8.293% 12/15/26 		      8,897       8,941
Total Agency Collateralized Mortgage Obligations
(cost $1,468,814) 		  1,353,259
 
Agency Mortgage-Backed Securities — 9.91%
Fannie Mae S.F. 15 yr      
2.00% 3/1/37     342,000      295,124
2.50% 8/1/36     336,231      296,317
5.50% 10/1/38     229,000      226,578
Fannie Mae S.F. 20 yr      
2.00% 5/1/41     222,277      179,058
4.00% 9/1/42     327,102      295,442
Fannie Mae S.F. 30 yr      
2.00% 3/1/51   1,247,840      953,685
2.50% 8/1/50     185,340      149,630
2.50% 1/1/52     477,559      379,705
2.50% 2/1/52     104,851       83,515
2.50% 4/1/52     228,672      182,472
3.00% 12/1/51     578,842      482,977
3.50% 1/1/48      65,670       57,622
3.50% 7/1/50   1,043,773      917,962
3.50% 8/1/50      56,630       49,579
3.50% 8/1/51     430,508      371,498
3.50% 1/1/52     192,917      166,487
4.00% 5/1/51      24,775       22,392
4.00% 6/1/52     376,548      335,564
4.50% 5/1/49     183,205      170,585
4.50% 1/1/50     210,673      199,016
4.50% 10/1/52     702,115      644,941
4.50% 2/1/53   1,099,264    1,009,796
5.00% 6/1/52     333,086      314,591
5.00% 9/1/52     636,424      600,986
5.50% 10/1/52     509,233      493,796
5.50% 11/1/52     278,812      270,253
5.50% 3/1/53     643,780      622,384
    Principal
amount° 		Value (US $)
Agency Mortgage-Backed Securities (continued)
Fannie Mae S.F. 30 yr      
6.00% 12/1/52     356,586 $    352,117
6.00% 6/1/53     336,434      332,134
6.00% 7/1/53     162,258      161,934
6.50% 10/1/28      19,049       19,223
6.50% 2/1/29       9,743        9,804
6.50% 2/1/32      70,910       72,968
7.00% 7/1/31      17,240       17,680
7.00% 9/1/31      30,382       30,730
7.00% 2/1/32      30,521       30,849
7.00% 3/1/32      11,121       11,419
7.00% 7/1/32      19,865       20,003
7.50% 4/1/31       8,852        8,856
Freddie Mac S.F. 20 yr      
2.00% 3/1/41     814,572      657,765
2.50% 2/1/42     336,393      276,989
3.00% 3/1/37     276,523      246,696
Freddie Mac S.F. 30 yr      
2.00% 3/1/52     223,176      169,971
2.50% 12/1/51     173,232      138,940
2.50% 1/1/52   1,399,100    1,118,089
3.00% 8/1/51      34,049       28,342
3.00% 1/1/52   2,179,347    1,805,563
3.50% 6/1/47     615,511      538,940
3.50% 4/1/52     520,280      449,801
4.00% 8/1/52     742,628      663,308
4.00% 9/1/52     414,551      369,821
4.50% 9/1/52     654,031      601,009
4.50% 10/1/52     400,322      367,713
5.00% 7/1/52     362,740      342,598
5.50% 9/1/52     312,232      302,650
5.50% 11/1/52     212,888      206,482
5.50% 3/1/53     300,886      292,180
5.50% 9/1/53     279,580      270,946
GNMA II S.F. 30 yr      
3.00% 12/20/51     165,819      140,782
5.00% 9/20/52     220,720     209,450
Total Agency Mortgage-Backed Securities
(cost $21,913,318) 		 20,037,707
 
Corporate Bonds — 8.91%
Banking — 2.10%
Bank of America      
2.482% 9/21/36 μ     330,000      240,356
2.972% 2/4/33 μ     100,000       78,893
5.819% 9/15/29 μ      40,000       39,526
5.872% 9/15/34 μ      40,000       38,948
6.204% 11/10/28 μ     300,000      301,466
Bank of New York Mellon 4.70% 9/20/25 μ, ψ     190,000      183,361
Barclays 7.385% 11/2/28 μ     200,000      205,289
NQ- IV098 [0923] 1123 (3218110)    1
Schedule of investments
Delaware Ivy VIP Balanced   (Unaudited)
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Banking (continued)
Citigroup      
5.61% 9/29/26 μ      40,000 $     39,602
6.174% 5/25/34 μ      47,000       44,947
Citizens Bank 6.064% 10/24/25 μ     250,000      241,314
Credit Suisse 7.95% 1/9/25      260,000      264,696
Deutsche Bank 6.72% 1/18/29 μ     245,000      243,675
Fifth Third Bancorp 6.361% 10/27/28 μ      35,000       34,709
Fifth Third Bank 5.852% 10/27/25 μ     250,000      246,033
Goldman Sachs Group      
1.542% 9/10/27 μ      25,000       21,898
3.102% 2/24/33 μ      65,000       52,002
Huntington Bancshares 6.208% 8/21/29 μ      90,000       88,093
Huntington National Bank 4.552% 5/17/28 μ     250,000      233,920
JPMorgan Chase & Co.      
1.953% 2/4/32 μ      60,000       45,532
5.00% 8/1/24 μ, ψ     337,000      325,945
5.35% 6/1/34 μ      55,000       52,187
KeyBank 5.85% 11/15/27      280,000      266,442
KeyCorp 4.789% 6/1/33 μ      19,000       15,849
Morgan Stanley      
2.484% 9/16/36 μ     110,000       79,984
5.25% 4/21/34 μ      25,000       23,228
5.424% 7/21/34 μ     100,000       94,372
6.138% 10/16/26 μ     150,000      150,183
6.296% 10/18/28 μ      88,000       88,707
6.342% 10/18/33 μ      40,000       40,249
PNC Financial Services Group 5.671% 10/28/25 μ     145,000      143,929
Popular 7.25% 3/13/28       50,000       49,907
SVB Financial Group 4.57% 4/29/33 μ, ‡     182,000      115,116
Truist Financial 6.123% 10/28/33 μ      46,000       44,271
US Bancorp      
4.653% 2/1/29 μ      68,000       63,662
4.839% 2/1/34 μ      45,000      39,650
    4,237,941
Basic Industry — 0.14%
BHP Billiton Finance USA 5.25% 9/8/30       80,000       78,191
Celanese US Holdings 6.05% 3/15/25       71,000       70,763
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Basic Industry (continued)
Sherwin-Williams 3.30% 5/15/50      205,000 $    130,700
      279,654
Brokerage — 0.26%
Jefferies Financial Group 5.875% 7/21/28      211,000      206,619
National Securities Clearing 144A 1.50% 4/23/25 #     350,000     328,576
      535,195
Capital Goods — 0.06%
Standard Industries 144A 4.375% 7/15/30 #     139,000     115,265
      115,265
Communications — 0.90%
AT&T 3.50% 9/15/53      500,000      309,199
CCO Holdings 144A 4.25% 1/15/34 #     225,000      165,899
Charter Communications Operating 3.85% 4/1/61      315,000      176,252
Comcast      
3.45% 2/1/50      675,000      456,846
4.80% 5/15/33       35,000       32,849
Crown Castle      
1.05% 7/15/26       80,000       70,249
2.10% 4/1/31      230,000      175,646
Frontier Communications Holdings 144A 5.00% 5/1/28 #      80,000       68,406
T-Mobile USA      
3.875% 4/15/30      290,000      257,041
5.75% 1/15/34       35,000       34,156
Verizon Communications 2.875% 11/20/50       50,000       28,929
Warnermedia Holdings 5.141% 3/15/52       65,000      48,336
    1,823,808
Consumer Cyclical — 0.43%
Amazon.com 2.50% 6/3/50       80,000       46,918
Carnival 144A 4.00% 8/1/28 #      80,000       69,432
Home Depot 3.35% 4/15/50      700,000      477,703
Mercedes-Benz Finance North America 144A 5.10% 8/3/28 #     150,000      147,012
VICI Properties 4.95% 2/15/30      140,000     128,277
      869,342
Consumer Non-Cyclical — 0.80%
Amgen      
5.15% 3/2/28      295,000      290,239
 
2    NQ- IV098 [0923] 1123 (3218110)
(Unaudited)
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Consumer Non-Cyclical (continued)
Amgen      
5.25% 3/2/30       40,000 $     39,095
5.25% 3/2/33      266,000      254,403
5.65% 3/2/53       30,000       28,099
CVS Health 4.78% 3/25/38      125,000      107,706
Gilead Sciences 5.55% 10/15/53       60,000       57,731
HCA      
3.50% 7/15/51       53,000       33,143
5.20% 6/1/28       29,000       28,042
JBS USA LUX 3.00% 2/2/29       80,000       67,197
Merck & Co. 2.75% 12/10/51      250,000      151,193
Nestle Holdings 144A 4.00% 9/24/48 #     380,000      307,840
Pfizer Investment Enterprises      
4.75% 5/19/33       90,000       85,111
5.11% 5/19/43       60,000       55,137
5.30% 5/19/53       50,000       46,495
Royalty Pharma 3.55% 9/2/50       79,000       48,358
Zoetis 5.40% 11/14/25       25,000      24,899
    1,624,688
Electric — 0.88%
AEP Texas 5.40% 6/1/33       30,000       28,636
Appalachian Power 4.50% 8/1/32      280,000      250,848
Berkshire Hathaway Energy 2.85% 5/15/51      260,000      150,198
Commonwealth Edison 2.20% 3/1/30      350,000      285,702
Duke Energy Carolinas 4.95% 1/15/33      230,000      218,760
Entergy      
2.80% 6/15/30      235,000      195,176
3.75% 6/15/50      125,000       82,991
Exelon 5.30% 3/15/33       35,000       33,410
Florida Power & Light 3.15% 10/1/49      425,000      277,587
National Rural Utilities Cooperative Finance 5.80% 1/15/33       10,000        9,996
NextEra Energy Capital
Holdings 		     
3.00% 1/15/52       65,000       38,454
5.749% 9/1/25       25,000       24,938
Oglethorpe Power 5.05% 10/1/48      185,000      151,777
Vistra Operations 144A 6.95% 10/15/33 #      30,000      29,460
    1,777,933
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Energy — 0.90%
BP Capital Markets America      
2.721% 1/12/32       80,000 $     64,963
4.812% 2/13/33       40,000       37,461
Cheniere Energy Partners 4.50% 10/1/29       90,000       81,593
Diamondback Energy 4.25% 3/15/52      234,000      166,426
Enbridge 5.70% 3/8/33       25,000       23,965
Energy Transfer      
6.25% 4/15/49      110,000      101,100
6.50% 11/15/26 μ, ψ     120,000      110,562
Enterprise Products Operating      
3.30% 2/15/53      155,000      101,004
5.35% 1/31/33      255,000      249,504
Kinder Morgan 5.20% 6/1/33       60,000       55,533
Occidental Petroleum 6.125% 1/1/31       82,000       80,904
ONEOK      
5.65% 11/1/28       25,000       24,685
5.80% 11/1/30       35,000       34,284
6.05% 9/1/33       65,000       63,896
6.10% 11/15/32      180,000      177,855
6.625% 9/1/53       60,000       58,823
Targa Resources Partners 5.00% 1/15/28      410,000     390,357
    1,822,915
Finance Companies — 0.36%
AerCap Ireland Capital DAC 6.50% 7/15/25      400,000      400,594
Air Lease 2.875% 1/15/32      160,000      124,820
Aviation Capital Group      
144A  3.50% 11/1/27 #     190,000      167,931
144A  6.25% 4/15/28 #      26,000      25,450
      718,795
Insurance — 0.77%
American International Group 5.125% 3/27/33      135,000      125,730
Aon 5.00% 9/12/32      245,000      229,900
Athene Holding      
3.45% 5/15/52      150,000       89,362
3.95% 5/25/51       65,000       42,722
Berkshire Hathaway Finance 3.85% 3/15/52      210,000      156,780
Marsh & McLennan 5.70% 9/15/53       80,000       77,385
Northwestern Mutual Life Insurance 144A 3.85% 9/30/47 #     500,000      355,466
UnitedHealth Group      
4.20% 5/15/32      101,000       92,217
 
NQ- IV098 [0923] 1123 (3218110)    3
Schedule of investments
Delaware Ivy VIP Balanced   (Unaudited)
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Insurance (continued)
UnitedHealth Group      
4.50% 4/15/33      342,000 $    316,614
5.05% 4/15/53       83,000      74,327
    1,560,503
Natural Gas — 0.07%
Atmos Energy      
2.85% 2/15/52       55,000       33,030
5.75% 10/15/52      105,000     103,033
      136,063
Real Estate Investment Trusts — 0.24%
American Homes 4 Rent 3.625% 4/15/32       35,000       28,985
Extra Space Storage 2.35% 3/15/32      600,000     454,022
      483,007
Technology — 0.65%
Apple      
4.30% 5/10/33       50,000       47,229
4.85% 5/10/53       60,000       55,008
Autodesk      
2.40% 12/15/31       60,000       47,330
2.85% 1/15/30      500,000      424,141
CDW 3.276% 12/1/28       35,000       30,229
Entegris Escrow 144A 4.75% 4/15/29 #      55,000       49,495
Oracle      
3.60% 4/1/50      186,000      120,423
4.65% 5/6/30       25,000       23,392
TSMC Global 144A 1.75% 4/23/28 #     600,000     511,715
    1,308,962
Transportation — 0.35%
Burlington Northern Santa Fe 2.875% 6/15/52       50,000       30,831
Canadian Pacific Railway 2.875% 11/15/29      350,000      301,553
Delta Air Lines 144A 7.00% 5/1/25 #     320,000      323,585
ERAC USA Finance      
144A  4.90% 5/1/33 #      40,000       37,698
144A  5.40% 5/1/53 #      25,000      23,122
      716,789
Total Corporate Bonds
(cost $20,772,436) 		 18,010,860
    Principal
amount° 		Value (US $)
Non-Agency Collateralized Mortgage Obligations — 0.26%
Connecticut Avenue Securities Trust
Series 2022-R01 1M2 144A 7.215% (SOFR + 1.90%) 12/25/41 #, • 		    250,000 $    245,313
JPMorgan Mortgage Trust
Series 2020-7 A3 144A 3.00% 1/25/51 #, • 		    372,653     294,978
Total Non-Agency Collateralized Mortgage Obligations
(cost $572,346) 		    540,291
 
Non-Agency Commercial Mortgage-Backed Securities — 2.93%
BANK      
Series 2021-BN32 A5 2.643% 4/15/54     730,000      586,203
Series 2021-BN36 A5 2.47% 9/15/64     860,000      671,590
Series 2022-BNK39 B 3.348% 2/15/55 •     100,000       71,589
Series 2022-BNK39 C 3.379% 2/15/55 •      45,000       29,077
Series 2022-BNK40 A4 3.507% 3/15/64 •     850,000      709,079
Series 2022-BNK40 B 3.507% 3/15/64 •     100,000       73,311
BBCMS Mortgage Trust
Series 2020-C7 A5 2.037% 4/15/53 		    343,000      271,528
Benchmark Mortgage Trust      
Series 2021-B24 A5 2.584% 3/15/54     750,000      582,946
Series 2021-B25 A5 2.577% 4/15/54   1,000,000      761,489
Series 2022-B32 A5 3.002% 1/15/55 •   1,000,000      769,748
Series 2022-B32 B 3.202% 1/15/55 •     100,000       68,890
Series 2022-B32 C 3.572% 1/15/55 •     125,000       81,175
Series 2022-B33 A5 3.458% 3/15/55     900,000      758,785
Series 2022-B33 B 3.735% 3/15/55 •      50,000       36,120
Series 2022-B33 C 3.735% 3/15/55 •      50,000       32,912
BMO Mortgage Trust
Series 2022-C1 A5 3.374% 2/15/55 • 		    500,000     416,491
Total Non-Agency Commercial Mortgage-Backed Securities
(cost $7,295,892) 		  5,920,933
 
4    NQ- IV098 [0923] 1123 (3218110)
(Unaudited)
    Principal
amount° 		Value (US $)
Sovereign Bonds — 0.37%Δ
United Kingdom — 0.37%
United Kingdom Gilt
4.50% 6/7/28  		GBP   620,000 $    756,826
      756,826
Total Sovereign Bonds
(cost $764,369) 		    756,826
 
US Treasury Obligations — 9.57%
US Treasury Bonds      
2.375% 2/15/42   1,160,000      802,190
3.625% 2/15/53   1,295,000    1,071,309
3.625% 5/15/53     170,000      140,795
3.875% 2/15/43   1,475,000    1,283,941
4.125% 8/15/53      40,000       36,319
4.375% 2/15/38     285,000      276,394
US Treasury Floating Rate Note
5.528% (USBMMY3M + 0.13%) 7/31/25 • 		  1,905,000   1,903,457
US Treasury Floating Rate Notes
5.572% (USBMMY3M + 0.17%) 4/30/25 • 		  1,680,000    1,680,845
US Treasury Notes      
2.75% 11/15/23   1,900,000    1,893,779
3.375% 5/15/33   1,980,000    1,795,922
3.50% 1/31/30   1,790,000    1,678,055
3.875% 7/31/30     190,000      183,053
3.875% 8/15/33   1,185,000    1,119,825
4.00% 6/30/28   1,250,000    1,216,773
4.125% 6/15/26     960,000      942,300
4.125% 8/31/30      50,000       48,539
4.375% 8/31/28   1,675,000    1,658,512
4.50% 11/30/24     340,000      336,633
4.50% 9/30/28   1,280,000   1,280,900
Total US Treasury Obligations
(cost $20,230,867) 		 19,349,541
    Number of
shares 		 
Common Stocks — 61.82%
Communications Services — 4.35%
Alphabet Class A †      29,652   3,880,261
Alphabet Class C †      19,605   2,584,919
Take-Two Interactive Software †      16,546   2,322,893
    8,788,073
Consumer Discretionary — 5.15%
Amazon.com †      40,482   5,146,072
Aptiv †      27,280   2,689,535
    Number of
shares 		Value (US $)
Common Stocks (continued)
Consumer Discretionary (continued)
AutoZone †       1,011 $  2,567,930
   10,403,537
Consumer Staples — 2.63%
Costco Wholesale       6,173    3,487,498
Procter & Gamble      12,526   1,827,042
    5,314,540
Energy — 1.81%
ConocoPhillips      20,238    2,424,512
Schlumberger      21,375   1,246,163
    3,670,675
Financials — 11.73%
Allstate       8,549      952,444
American Express      10,834    1,616,325
Aon Class A       7,701    2,496,818
Blackstone      20,112    2,154,800
Capital One Financial      12,275    1,191,289
Discover Financial Services      14,000    1,212,820
Fiserv †      19,867    2,244,176
Intercontinental Exchange      18,512    2,036,690
JPMorgan Chase & Co.      12,001    1,740,385
KKR & Co.      33,774    2,080,478
Mastercard Class A       6,026    2,385,754
Morgan Stanley      25,226    2,060,207
Progressive      11,119   1,548,877
   23,721,063
Healthcare — 7.87%
Abbott Laboratories      15,354    1,487,035
Biogen †       2,490      639,955
Danaher       8,065    2,000,926
HCA Healthcare      14,486    3,563,266
UnitedHealth Group      12,908    6,508,085
Vertex Pharmaceuticals †       4,919   1,710,533
   15,909,800
Industrials — 4.19%
Airbus ADR      97,920    3,276,403
Equifax       2,578      472,238
Howmet Aerospace      40,847    1,889,174
United Rentals       6,387   2,839,469
    8,477,284
Information Technology — 19.22%
Apple      28,504    4,880,170
Applied Materials      22,488    3,113,463
Intuit       5,171    2,642,071
KLA       2,673    1,225,998
Microchip Technology      32,130    2,507,746
Microsoft      34,781   10,982,101
NVIDIA       5,416    2,355,906
 
NQ- IV098 [0923] 1123 (3218110)    5
Schedule of investments
Delaware Ivy VIP Balanced   (Unaudited)
    Number of
shares 		Value (US $)
Common Stocks (continued)
Information Technology (continued)
Salesforce †      11,100 $  2,250,858
Seagate Technology Holdings      24,036    1,585,174
TE Connectivity      29,445    3,637,341
VeriSign †      11,512    2,331,525
Zebra Technologies Class A †       5,673   1,341,835
   38,854,188
Materials — 3.51%
Crown Holdings      14,801    1,309,593
Linde       8,898    3,313,170
Sherwin-Williams       9,718   2,478,576
    7,101,339
Utilities — 1.36%
NextEra Energy      47,876   2,742,816
    2,742,816
Total Common Stocks
(cost $122,226,578) 		124,983,315
 
Exchange-Traded Funds — 3.98%
iShares 0-5 Year Investment Grade Corporate Bond ETF      43,101    2,068,632
iShares Latin America 40 ETF      19,937      509,590
iShares MSCI China ETF      16,322      706,579
iShares MSCI Emerging Markets Asia ETF      13,048      821,633
Vanguard Russell 2000 ETF      55,094   3,935,915
Total Exchange-Traded Funds
(cost $8,581,482) 		  8,042,349
 
Short-Term Investments — 1.47%
Money Market Mutual Funds — 1.47%
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 5.24%)     742,145      742,145
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 5.23%)     742,145      742,145
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.37%)     742,145      742,145
    Number of
shares 		Value (US $)
Short-Term Investments (continued)
Money Market Mutual Funds (continued)
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.27%)     742,145 $    742,145
Total Short-Term Investments
(cost $2,968,580) 		  2,968,580
Total Value of Securities—99.89%
(cost $206,794,682) 		    201,963,661
Receivables and Other Assets Net of Liabilities—0.11%★         214,254
Net Assets Applicable to 41,408,781 Shares Outstanding—100.00%     $202,177,915
° Principal amount shown is stated in USD unless noted that the security is denominated in another currency.
# Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2023, the aggregate value of Rule 144A securities was $3,752,268, which represents 1.86% of the Portfolio's net assets.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2023. 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. SOFR01M, SOFR03M, 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.
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2023. Rate will reset at a future date.
ψ Perpetual security. Maturity date represents next call date.
‡ Non-income producing security. Security is currently in default.
Δ Securities have been classified by country of risk.
† Non-income producing security.
★ Includes $160,809 cash collateral held at broker for futures contracts as of September 30,2023.
 
6    NQ- IV098 [0923] 1123 (3218110)
(Unaudited)
The following foreign currency exchange contracts and futures contracts were outstanding at September 30, 2023:
Forward Foreign Currency Exchange Contracts        
Counterparty   Currency to
Receive (Deliver) 		  In Exchange For   Settlement
Date 		  Unrealized
Appreciation
JPMCB   GBP (700,000)   USD 861,182   11/17/23   $6,869
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost
(Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Appreciation 		  Value/
Unrealized
Depreciation 		  Variation
Margin
Due from
(Due to)
Brokers
98 US Treasury 5 yr Notes   $10,325,219   $10,418,479   12/29/23   $—   $(93,260)   $15,313
11 US Treasury 10 yr Notes   1,188,688   1,210,715   12/19/23   —   (22,027)   2,234
(13) US Treasury 10 yr Ultra Notes   (1,450,313)   (1,492,022)   12/19/23   41,709   —   (3,047)
3 US Treasury Ultra Bonds   356,063   382,368   12/19/23   —   (26,305)   1,125
Total Futures Contracts   $10,519,540       $41,709   $(141,592)   $15,625
The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the schedule of investments. 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 are reflected in the Portfolio's net assets.
Summary of abbreviations: 
ADR – American Depositary Receipt
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
GNMA – Government National Mortgage Association
JPMCB – JPMorgan Chase Bank
MSCI – Morgan Stanley Capital International
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
yr – Year
Summary of currencies: 
GBP – British Pound Sterling
USD – US Dollar
NQ- IV098 [0923] 1123 (3218110)    7