NPORT-EX 2 AIV0820DEL033124.htm
Schedule of investments
Delaware Ivy VIP Limited-Term Bond 
March 31, 2024 (Unaudited)
    Principal
amount° 		Value (US $)
Agency Collateralized Mortgage Obligations — 1.11%
Freddie Mac REMICs Series 4505 PE 2.50% 5/15/44      179,927 $    168,788
GNMA Series 2012-39 PA 2.00% 3/16/42      221,904      201,116
Verus Securitization Trust Series 2023-6 A1 144A 6.665% 9/25/68 #, φ    1,744,005   1,758,788
Total Agency Collateralized Mortgage Obligations
(cost $2,147,370) 		  2,128,692
 
Agency Commercial Mortgage-Backed Securities — 3.90%
FREMF Mortgage Trust      
Series 2015-KF12 B 144A 12.534% (SOFR + 7.21%, Floor 7.10%) 9/25/22 #, •      592,529      586,412
Series 2017-K729 B 144A 3.684% 11/25/49 #, •    1,900,000    1,867,039
Series 2017-KF33 B 144A 7.984% (SOFR + 2.66%, Floor 2.55%) 6/25/27 #, •      414,873      387,954
Series 2017-KF40 B 144A 8.134% (SOFR + 2.81%, Floor 2.70%) 11/25/27 #, •      484,433      451,824
Series 2018-K732 B 144A 4.056% 5/25/25 #, •      225,000      219,975
Series 2018-KF47 B 144A 7.434% (SOFR + 2.11%, Floor 2.00%) 5/25/25 #, •      423,985      415,457
Series 2019-KF60 B 144A 7.784% (SOFR + 2.46%, Floor 2.35%) 2/25/26 #, •      940,432      909,961
Series 2019-KF61 B 144A 7.634% (SOFR + 2.31%, Floor 2.20%) 4/25/29 #, •      370,284      333,254
Series 2019-KF68 B 144A 7.634% (SOFR + 2.31%, Floor 2.20%) 7/25/26 #, •      568,342      543,462
Series 2019-KF69 B 144A 7.734% (SOFR + 2.41%, Floor 2.30%) 8/25/29 #, •      404,542      372,456
Series 2019-KF70 B 144A 7.734% (SOFR + 2.41%, Floor 2.30%) 9/25/29 #, •      314,502      293,747
Series 2019-KF73 B 144A 7.884% (SOFR + 2.56%, Floor 2.45%) 11/25/29 #, •      718,215      670,173
Series 2020-KF74 B 144A 7.584% (SOFR + 2.26%, Floor 2.15%) 1/25/27 #, •      167,034      160,089
    Principal
amount° 		Value (US $)
Agency Commercial Mortgage-Backed Securities (continued)
FREMF Mortgage Trust      
Series 2020-KF75 B 144A 7.684% (SOFR + 2.36%, Floor 2.25%) 12/25/29 #, •      332,223 $    304,260
Total Agency Commercial Mortgage-Backed Securities
(cost $7,843,602) 		  7,516,063
 
Agency Mortgage-Backed Securities — 3.01%
Fannie Mae S.F. 30 yr      
5.50% 12/1/52     1,445,727    1,441,172
6.00% 6/1/53       911,746      919,985
Freddie Mac S.F. 20 yr      
4.50% 8/1/30       160,484      158,002
5.50% 7/1/43       684,061      687,687
Freddie Mac S.F. 30 yr      
4.50% 10/1/52     1,005,303      957,279
5.00% 6/1/53       692,244      675,351
GNMA II S.F. 30 yr
5.00% 9/20/52 		     963,049     947,052
Total Agency Mortgage-Backed Securities
(cost $5,716,569) 		  5,786,528
 
Collateralized Debt Obligations — 5.03%
Bethpage Park CLO Series 2021-1A A 144A 6.706% (TSFR03M + 1.39%, Floor 1.13%) 1/15/35 #, •      600,000      599,863
BlueMountain CLO XXX Series 2020-30A AR 144A 6.684% (TSFR03M + 1.37%, Floor 1.37%) 4/15/35 #, •    1,000,000      996,242
Galaxy XXI CLO Series 2015-21A AR 144A 6.599% (TSFR03M + 1.28%) 4/20/31 #, •    1,698,873    1,700,278
KKR CLO 41 Series 2022-41A A1 144A 6.647% (TSFR03M + 1.33%, Floor 1.33%) 4/15/35 #, •    2,000,000    1,991,682
Regatta XIX Funding Series 2022-1A A1 144A 6.638% (TSFR03M + 1.32%, Floor 1.32%) 4/20/35 #, •    2,000,000    1,999,404
Sound Point CLO XXV Series 2019-4A A1R 144A 6.605% (TSFR03M + 1.28%, Floor 1.28%) 4/25/33 #, •    2,000,000    1,990,200
NQ- IV082 [0324] 0524 (3566293)    1

 

Schedule of investments
Delaware Ivy VIP Limited-Term Bond   (Unaudited)
    Principal
amount° 		Value (US $)
Collateralized Debt Obligations (continued)
Venture 42 CLO Series 2021-42A A1A 144A 6.706% (TSFR03M + 1.39%, Floor 1.13%) 4/15/34 #, •      415,000 $    412,052
Total Collateralized Debt Obligations
(cost $9,699,125) 		  9,689,721
       
Corporate Bonds — 44.93%
Banking — 12.69%
Banco Santander      
5.538% 3/14/30 μ      200,000     200,052
5.588% 8/8/28       200,000     202,939
Bank of America      
4.00% 1/22/25     1,000,000     986,984
4.20% 8/26/24     2,380,000   2,366,001
5.819% 9/15/29 μ      170,000     174,370
Bank of Montreal 7.70% 5/26/84 μ      225,000     228,207
Bank of New York Mellon 5.802% 10/25/28 μ      573,000     588,630
Barclays 7.385% 11/2/28 μ      315,000     334,192
BPCE 144A 5.716% 1/18/30 #, μ      170,000     170,889
Citibank 5.488% 12/4/26       250,000     252,737
Citigroup      
2.014% 1/25/26 μ    1,275,000   1,236,451
3.07% 2/24/28 μ      215,000     202,284
Citizens Bank      
4.119% 5/23/25 μ      755,000     752,087
6.064% 10/24/25 μ      525,000     522,973
Credit Agricole 144A 5.301% 7/12/28 #      250,000     252,677
Deutsche Bank      
6.72% 1/18/29 μ      424,000     438,748
6.819% 11/20/29 μ      446,000     466,504
7.146% 7/13/27 μ      245,000     251,875
Fifth Third Bank 5.852% 10/27/25 μ      875,000     874,415
Goldman Sachs Group      
3.85% 7/8/24       955,000     950,389
4.25% 10/21/25       750,000     736,243
6.151% (SOFR + 0.79%) 12/9/26 •    1,300,000   1,302,985
Huntington National Bank      
4.008% 5/16/25 μ      840,000     836,872
5.65% 1/10/30       250,000     251,514
ING Groep 6.083% 9/11/27 μ      200,000     202,540
JPMorgan Chase & Co.      
3.875% 9/10/24       770,000     763,898
4.08% 4/26/26 μ    2,245,000    2,211,244
5.012% 1/23/30 μ      175,000     174,355
    Principalamount° Value (US $)
Corporate Bonds (continued)
Banking (continued)
KeyBank      
4.15% 8/8/25       835,000 $    811,932
5.85% 11/15/27       130,000      128,992
KeyCorp 3.878% 5/23/25 μ      730,000      726,740
Morgan Stanley      
5.173% 1/16/30 μ      145,000      145,169
6.138% 10/16/26 μ    1,595,000    1,613,778
6.296% 10/18/28 μ      425,000      439,848
PNC Financial Services Group      
5.30% 1/21/28 μ      235,000      235,327
5.671% 10/28/25 μ      670,000      669,968
Popular 7.25% 3/13/28       215,000      220,478
State Street 4.993% 3/18/27       220,000      220,491
US Bancorp      
2.375% 7/22/26       844,000      795,450
5.384% 1/23/30 μ       70,000       70,327
6.787% 10/26/27 μ      165,000      170,906
Wells Fargo Bank 5.254% 12/11/26       250,000     251,037
   24,433,498
Basic Industry — 1.01%
Graphic Packaging International 144A 0.821% 4/15/24 #    1,350,000    1,347,484
Newmont 144A 5.30% 3/15/26 #      595,000     596,756
    1,944,240
Brokerage — 0.48%
Jefferies Financial Group      
5.875% 7/21/28       695,000      707,890
6.05% 3/12/25       225,000     225,253
      933,143
Capital Goods — 5.52%
Boeing 2.196% 2/4/26     1,525,000    1,428,355
Carrier Global 5.80% 11/30/25       950,000      956,661
Lennox International 1.35% 8/1/25     1,255,000    1,187,683
Mauser Packaging Solutions Holding 144A 7.875% 8/15/26 #    1,560,000    1,590,422
Parker-Hannifin 3.65% 6/15/24     1,240,000    1,234,671
Republic Services 0.875% 11/15/25     1,800,000    1,679,047
Teledyne Technologies 0.95% 4/1/24     1,498,000    1,498,000
Waste Management 0.75% 11/15/25     1,120,000   1,045,701
   10,620,540
Communications — 4.76%
American Tower      
1.30% 9/15/25     1,135,000    1,070,023
5.20% 2/15/29       145,000      145,001
 
2    NQ- IV082 [0324] 0524 (3566293)

 

(Unaudited)
    Principalamount° Value (US $)
Corporate Bonds (continued)
Communications (continued)
AT&T      
1.70% 3/25/26     1,350,000 $  1,262,797
2.95% 7/15/26       270,000      257,395
Charter Communications Operating 6.15% 11/10/26     1,485,000   1,496,992
Crown Castle Towers 144A 3.663% 5/15/25 #      950,000      928,834
Rogers Communications 5.00% 2/15/29       475,000      471,900
T-Mobile USA 3.75% 4/15/27     1,800,000    1,734,006
Warnermedia Holdings      
3.638% 3/15/25       750,000      735,225
6.412% 3/15/26     1,070,000   1,070,022
    9,172,195
Consumer Cyclical — 0.71%
Ford Motor Credit      
3.375% 11/13/25       780,000      750,776
5.80% 3/5/27       200,000      200,825
5.80% 3/8/29       200,000      200,888
6.798% 11/7/28       200,000     208,873
    1,361,362
Consumer Non-Cyclical — 2.64%
AbbVie      
2.60% 11/21/24       985,000      967,447
4.80% 3/15/29       645,000      646,289
Amgen 5.15% 3/2/28       730,000      735,031
Cardinal Health 5.125% 2/15/29       235,000      235,561
McCormick & Co. 0.90% 2/15/26     1,025,000      947,552
Royalty Pharma 1.20% 9/2/25     1,647,000   1,550,740
    5,082,620
Electric — 3.11%
DTE Energy 5.10% 3/1/29       195,000      194,302
Duke Energy Carolinas 3.95% 11/15/28     1,150,000    1,112,444
Edison International 3.55% 11/15/24     1,565,000    1,544,172
Fells Point Funding Trust 144A 3.046% 1/31/27 #      795,000      746,115
National Rural Utilities
Cooperative Finance 		     
1.875% 2/7/25     1,350,000    1,311,125
4.80% 3/15/28       420,000      419,758
Pacific Gas & Electric 5.55% 5/15/29       120,000      121,087
PacifiCorp      
5.10% 2/15/29        50,000       50,398
5.45% 2/15/34        85,000       85,317
    Principalamount° Value (US $)
Corporate Bonds (continued)
Electric (continued)
Vistra Operations 144A 5.125% 5/13/25 #      411,000 $    407,755
    5,992,473
Energy — 2.85%
Enbridge 2.50% 2/14/25       820,000      798,883
Energy Transfer 5.55% 2/15/28     1,295,000    1,314,460
Galaxy Pipeline Assets Bidco 144A 1.75% 9/30/27 #      969,900      910,913
Kinder Morgan 5.00% 2/1/29        75,000       74,738
Occidental Petroleum 5.875% 9/1/25     1,690,000    1,696,583
Targa Resources Partners 5.00% 1/15/28       695,000     685,565
    5,481,142
Finance Companies — 1.08%
AerCap Ireland Capital DAC      
3.00% 10/29/28       355,000      321,399
5.10% 1/19/29     1,765,000   1,755,483
    2,076,882
Insurance — 4.34%
Aon North America 5.125% 3/1/27       170,000      171,078
Athene Global Funding 144A 0.914% 8/19/24 #    1,355,000    1,329,401
MassMutual Global Funding II 144A 0.60% 4/12/24 #    1,900,000    1,897,396
Met Tower Global Funding 144A 3.70% 6/13/25 #    1,280,000    1,256,623
New York Life Global Funding 144A 5.45% 9/18/26 #      665,000      670,664
Protective Life Global Funding 144A 1.618% 4/15/26 #    1,350,000    1,255,131
UnitedHealth Group      
4.25% 1/15/29     1,615,000    1,583,585
4.90% 4/15/31       200,000     200,182
    8,364,060
Real Estate Investment Trusts — 2.41%
SBA Tower Trust      
144A 1.884% 1/15/26 #    1,155,000    1,078,170
144A 2.836% 1/15/25 #    1,621,000    1,582,138
144A 3.869% 10/15/49 #, φ    2,000,000   1,976,207
    4,636,515
Technology — 2.85%
Baidu 1.72% 4/9/26       379,000      353,219
Oracle 5.80% 11/10/25     1,040,000    1,048,971
Roper Technologies 1.00% 9/15/25     1,400,000    1,316,865
Sensata Technologies 144A 5.00% 10/1/25 #    1,390,000    1,373,960
 
NQ- IV082 [0324] 0524 (3566293)    3

 

Schedule of investments
Delaware Ivy VIP Limited-Term Bond   (Unaudited)
    Principalamount° Value (US $)
Corporate Bonds (continued)
Technology (continued)
TSMC Global 144A 1.25% 4/23/26 #    1,500,000 $  1,389,251
    5,482,266
Transportation — 0.48%
ERAC USA Finance      
144A 4.60% 5/1/28 #      825,000      815,012
144A 5.00% 2/15/29 #      100,000     100,225
      915,237
Total Corporate Bonds
(cost $88,000,497) 		 86,496,173
 
Government Agency Obligation — 0.72%
Harvest Operations 144A 1.00% 4/26/24 #    1,400,000   1,395,562
Total Government Agency Obligation
(cost $1,400,000) 		  1,395,562
 
Non-Agency Asset-Backed Securities — 15.37%
Chase Issuance Trust Series 2024-A1I A 4.62% 1/16/29    1,500,000    1,491,561
CNH Equipment Trust Series 2024-A A2 5.19% 7/15/27    1,000,000      997,885
Enterprise Fleet Financing      
Series 2022-2 A2 144A 4.65% 5/21/29 #      419,219      415,780
Series 2023-3 A2 144A 6.40% 3/20/30 #    1,500,000    1,522,943
Ford Credit Auto Lease Trust Series 2024-A A3 5.06% 5/15/27      800,000      798,823
Ford Credit Auto Owner Trust      
Series 2022-A B 1.91% 7/15/27     1,350,000    1,271,154
Series 2023-C A3 5.53% 9/15/28     2,000,000    2,018,936
GM Financial Automobile Leasing
Trust 		     
Series 2022-1 B 2.23% 2/20/26     1,600,000    1,583,303
Series 2024-1 A3 5.09% 3/22/27     2,000,000    1,998,681
GMF Floorplan Owner Revolving
Trust 		     
Series 2023-1 A2 144A 6.469% (SOFR + 1.15%) 6/15/28 #, •    2,250,000    2,276,908
    Principalamount° Value (US $)
Non-Agency Asset-Backed Securities (continued)
GMF Floorplan Owner Revolving
Trust 		     
Series 2024-1A A1 144A 5.13% 3/15/29 #    1,000,000 $  1,003,973
GTE Auto Receivables Trust Series 2023-1 A2 144A 5.65% 8/17/26 #      914,464      913,224
Hyundai Auto Lease Securitization
Trust 		     
Series 2023-A A3 144A 5.05% 1/15/26 #    1,300,000    1,295,896
Series 2024-A A3 144A 5.02% 3/15/27 #    1,000,000      995,158
NextGear Floorplan Master Owner Trust Series 2024-1A A1 144A 6.219% (SOFR + 0.90%, Floor 0.90%) 3/15/29 #, •    1,300,000   1,301,769
Nissan Master Owner Trust Receivables Series 2024-B A 144A 5.05% 2/15/29 #    1,000,000    1,004,174
PFS Financing Series 2024-B A 144A 4.95% 2/15/29 #    2,000,000    1,992,689
Toyota Auto Receivables Owner Trust Series 2024-A A3 4.83% 10/16/28    1,000,000      996,074
Verizon Master Trust Series 2022-2 A 1.53% 7/20/28    1,500,000    1,452,967
Volkswagen Auto Lease Trust      
Series 2022-A A3 3.44% 7/21/25       947,623      942,056
Series 2024-A A3 5.21% 6/21/27     1,000,000    1,001,467
Volkswagen Auto Loan Enhanced Trust Series 2023-2 A2B 5.949% (SOFR + 0.63%) 3/22/27 •    2,300,000   2,304,863
Total Non-Agency Asset-Backed Securities
(cost $29,651,967) 		 29,580,284
 
Non-Agency Collateralized Mortgage Obligations — 1.83%
COLT Mortgage Loan Trust Series 2023-3 A1 144A 7.18% 9/25/68 #, ~    1,743,290    1,776,013
OBX Trust Series 2023-NQM8 A1 144A 7.045% 9/25/63 #, ~    1,716,279   1,737,219
Total Non-Agency Collateralized Mortgage Obligations
(cost $3,459,538) 		  3,513,232
 
US Treasury Obligations — 22.48%
US Treasury Floating Rate Note
5.545% (USBMMY3M + 0.25%) 1/31/26 • 		   6,100,000    6,106,874
 
4    NQ- IV082 [0324] 0524 (3566293)

 

(Unaudited)
    Principalamount° Value (US $)
US Treasury Obligations (continued)
US Treasury Notes      
4.25% 3/15/27   24,615,000 $ 24,503,465
4.25% 2/28/29   12,645,000   12,663,770
4.75% 10/15/26        5,000       5,015
Total US Treasury Obligations
(cost $43,271,750) 		 43,279,124
Total Value of Securities—98.38%
(cost $191,190,418) 		    189,385,379
Receivables and Other Assets Net of Liabilities—1.62%★       3,115,550
Net Assets Applicable to 40,527,573 Shares Outstanding—100.00%     $192,500,929
° 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 March 31, 2024, the aggregate value of Rule 144A securities was $58,271,903, which represents 30.27% of the Portfolio’s net assets.
φ Step coupon bond. Stated rate in effect at March 31, 2024 through maturity date.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2024. 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 March 31, 2024. Rate will reset at a future date.
~ Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at March 31, 2024.
★ Includes $84,755 cash collateral held at broker for futures contracts as of March 31, 2024.
 
The following futures contracts were outstanding at March 31, 2024:
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
67 US Treasury 2 yr Notes   $13,700,453   $13,711,604   6/28/24   $(11,151)   $(13,609)
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the schedule of investments. The notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio’s net assets.
Summary of abbreviations: 
CLO – Collateralized Loan Obligation
DAC – Designated Activity Company
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
Summary of abbreviations:  (continued)
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
TSFR03M – 3 Month Term Secured Overnight Financing Rate
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
yr – Year
 
NQ- IV082 [0324] 0524 (3566293)    5