UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT
INVESTMENT COMPANIES
| Investment Company Act file number: | 811-05162 | |
| Exact name of registrant as specified in charter: | Delaware VIP® Trust | |
| Address of principal executive offices: | 2005 Market Street | |
| Philadelphia, PA 19103 | ||
| Name and address of agent for service: | David F. Connor, Esq. | |
| 2005 Market Street | ||
| Philadelphia, PA 19103 | ||
| Registrant’s telephone number, including area code: | (800) 523-1918 | |
| Date of fiscal year end: | December 31 | |
| Date of reporting period: | June 30, 2013 |
Item 1. Reports to Stockholders
| Delaware VIP® Trust |
| Delaware VIP Diversified Income Series |
| Semiannual report |
| June 30, 2013 |
 |
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security type/sector allocation | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 20 |
| > Statements of changes in net assets | 20 |
| > Financial highlights | 21 |
| > Notes to financial statements | 23 |
Investments in Delaware VIP® Diversified Income Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP Diversified Income Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP Diversified Income Series
Disclosure of Series
Expenses
For the Six-Month Period
from January 1, 2013 to June 30, 2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | |||||||||||||
| Beginning | Ending | Paid During | |||||||||||
| Account | Account | Annualized | Period | ||||||||||
| Value | Value | Expense | 1/1/13 to | ||||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | ||||||||||
| Actual Series Return† | |||||||||||||
| Standard Class | $1,000.00 | $ | 969.60 | 0.68% | $3.32 | ||||||||
| Service Class | 1,000.00 | 968.80 | 0.93% | 4.54 | |||||||||
| Hypothetical 5% Return (5% return before expenses) | |||||||||||||
| Standard Class | $1,000.00 | $ | 1,021.42 | 0.68% | $3.41 | ||||||||
| Service Class | 1,000.00 | 1,020.18 | 0.93% | 4.66 | |||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
Diversified Income Series-1
| |
Delaware VIP® Trust — Delaware
VIP Diversified Income Series
Security Type/Sector
Allocation
As of June 30, 2013
(Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||||
| Security Type/Sector | of Net Assets | |||
| Agency Asset-Backed Securities | 0.01 | % | ||
| Agency Collateralized Mortgage Obligations | 1.39 | % | ||
| Agency Mortgage-Backed Securities | 16.99 | % | ||
| Commercial Mortgage-Backed Securities | 4.02 | % | ||
| Convertible Bonds | 3.20 | % | ||
| Corporate Bonds | 47.08 | % | ||
| Automotive | 0.43 | % | ||
| Banking | 6.57 | % | ||
| Basic Industry | 3.89 | % | ||
| Brokerage | 0.41 | % | ||
| Capital Goods | 1.20 | % | ||
| Communications | 6.12 | % | ||
| Consumer Cyclical | 2.50 | % | ||
| Consumer Non-Cyclical | 3.61 | % | ||
| Electric | 4.12 | % | ||
| Energy | 4.52 | % | ||
| Finance Companies | 1.75 | % | ||
| Healthcare | 0.58 | % | ||
| Insurance | 2.32 | % | ||
| Natural Gas | 2.80 | % | ||
| Real Estate | 1.95 | % | ||
| Services | 1.11 | % | ||
| Technology | 2.33 | % | ||
| Transportation | 0.63 | % | ||
| Utilities | 0.24 | % | ||
| Municipal Bonds | 0.16 | % | ||
| Non-Agency Asset-Backed Securities | 1.26 | % | ||
| Non-Agency Collateralized Mortgage Obligations | 0.31 | % | ||
| Regional Bonds | 0.97 | % | ||
| Senior Secured Loans | 7.30 | % | ||
| Sovereign Bonds | 3.84 | % | ||
| Supranational Banks | 0.38 | % | ||
| U.S. Treasury Obligations | 4.48 | % | ||
| Common Stock | 0.00 | % | ||
| Convertible Preferred Stock | 0.72 | % | ||
| Preferred Stock | 0.59 | % | ||
| Short-Term Investments | 19.53 | % | ||
| Securities Lending Collateral | 0.09 | % | ||
| Total Value of Securities | 112.32 | % | ||
| Options Written | 0.00 | % | ||
| Obligation to Return Securities Lending Collateral | (0.15 | %) | ||
| Other Liabilities Net of Receivables and Other Assets | (12.17 | %) | ||
| Total Net Assets | 100.00 | % | ||
Diversified Income Series-2
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Delaware VIP® Trust —
Delaware VIP Diversified Income Series
Statement of Net
Assets
June 30, 2013
(Unaudited)
| Principal | Value | |||||||
| Amount° | (U.S. $) | |||||||
| AGENCY ASSET-BACKED | ||||||||
| SECURITIES–0.01% | ||||||||
| •Fannie Mae Grantor Trust | ||||||||
| Series 2003-T4 2A5 | ||||||||
| 5.407% 9/26/33 | USD | 275,098 | $ | 282,188 | ||||
| •Fannie Mae Whole Loan | ||||||||
| Series 2002-W11 AV1 | ||||||||
| 0.533% 11/25/32 | 2,910 | 2,758 | ||||||
| Total Agency Asset-Backed Securities | ||||||||
| (cost $276,804) | 284,946 | |||||||
| AGENCY COLLATERALIZED | ||||||||
| MORTGAGE OBLIGATIONS–1.39% | ||||||||
| Fannie Mae Grantor Trust | ||||||||
| • | Series 1999-T2 A1 7.50% 1/19/39 | 749 | 843 | |||||
| Series 2002-T4 A3 7.50% 12/25/41 | 13,876 | 15,865 | ||||||
| Series 2004-T1 1A2 6.50% 1/25/44 | 11,652 | 13,429 | ||||||
| Fannie Mae REMICs | ||||||||
| Series 1996-46 ZA 7.50% 11/25/26 | 54,350 | 62,348 | ||||||
| Series 2001-50 BA 7.00% 10/25/41 | 76,684 | 88,287 | ||||||
| Series 2002-90 A1 6.50% 6/25/42 | 10,310 | 11,937 | ||||||
| Series 2002-90 A2 6.50% 11/25/42 | 31,392 | 35,846 | ||||||
| Series 2003-26 AT 5.00% 11/25/32 | 1,372,874 | 1,424,564 | ||||||
| Series 2003-38 MP 5.50% 5/25/23 | 825,731 | 907,407 | ||||||
| Series 2003-122 AJ 4.50% 2/25/28 | 3,479 | 3,483 | ||||||
| Series 2005-110 MB 5.50% 9/25/35 | 213,229 | 232,545 | ||||||
| Series 2009-94 AC 5.00% 11/25/39 | 1,400,000 | 1,528,485 | ||||||
| Series 2010-41 PN 4.50% 4/25/40 | 1,675,000 | 1,816,375 | ||||||
| Series 2010-96 DC 4.00% 9/25/25 | 3,245,000 | 3,462,902 | ||||||
| Series 2010-116 Z 4.00% 10/25/40 | 83,706 | 85,842 | ||||||
| • | Series 2012-122 SD 5.907% 11/25/42 | 2,587,230 | 662,551 | |||||
| • | Series 2012-124 SD 5.957% 11/25/42 | 3,464,999 | 852,454 | |||||
| Series 2013-26 ID 3.00% 4/25/33 | 3,557,374 | 541,087 | ||||||
| Series 2013-31 MI 3.00% 4/25/33 | 1,102,430 | 165,394 | ||||||
| Series 2013-38 AI 3.00% 4/25/33 | 3,556,230 | 536,729 | ||||||
| Series 2013-44 DI 3.00% 5/25/33 | 10,581,983 | 1,618,144 | ||||||
| Fannie Mae Whole Loan | ||||||||
| • | Series 2002-W6 2A1 6.547% 6/25/42 | 27,965 | 31,663 | |||||
| Series 2004-W11 1A2 6.50% 5/25/44 | 45,297 | 50,704 | ||||||
| Freddie Mac REMICs | ||||||||
| Series 1730 Z 7.00% 5/15/24 | 45,555 | 51,944 | ||||||
| Series 2326 ZQ 6.50% 6/15/31 | 46,912 | 52,402 | ||||||
| Series 2557 WE 5.00% 1/15/18 | 940,801 | 1,002,633 | ||||||
| Series 2622 PE 4.50% 5/15/18 | 1,514,124 | 1,601,637 | ||||||
| Series 2687 PG 5.50% 3/15/32 | 49,415 | 49,584 | ||||||
| Series 2762 LG 5.00% 9/15/32 | 1,104,096 | 1,120,184 | ||||||
| Series 2809 DC 4.50% 6/15/19 | 492,387 | 521,166 | ||||||
| Series 3123 HT 5.00% 3/15/26 | 92,177 | 101,438 | ||||||
| Series 3131 MC 5.50% 4/15/33 | 169,408 | 170,487 | ||||||
| Series 3416 GK 4.00% 7/15/22 | 8,654 | 8,883 | ||||||
| Series 3656 PM 5.00% 4/15/40 | 2,540,000 | 2,779,009 | ||||||
| Series 4065 DE 3.00% 6/15/32 | 350,000 | 356,084 | ||||||
| • | Series 4148 SA 5.908% 12/15/42 | 4,110,988 | 1,063,499 | |||||
| Series 4185 LI 3.00% 3/15/33 | 2,614,065 | 390,792 | ||||||
| Series 4191 CI 3.00% 4/15/33 | 1,077,366 | 177,948 | ||||||
| wFreddie Mac Structured Pass Through Securities | ||||||||
| Series T-54 2A 6.50% 2/25/43 | 16,991 | 20,613 | ||||||
| Series T-58 2A 6.50% 9/25/43 | 6,812 | 7,641 | ||||||
| GNMA Series 2010-113 KE 4.50% 9/20/40 | 4,115,000 | 4,491,280 | ||||||
| Total Agency Collateralized Mortgage | ||||||||
| Obligations (cost $27,444,000) | 28,116,108 | |||||||
| AGENCY MORTGAGE-BACKED | ||||||||
| SECURITIES–16.99% | ||||||||
| Fannie Mae 6.50% 8/1/17 | 10,125 | 11,216 | ||||||
| •Fannie Mae ARM | ||||||||
| 2.402% 10/1/33 | 15,627 | 16,157 | ||||||
| 2.636% 6/1/37 | 4,956 | 5,300 | ||||||
| 2.81% 11/1/35 | 210,973 | 223,454 | ||||||
| 5.157% 8/1/35 | 25,409 | 27,275 | ||||||
| 5.818% 8/1/37 | 171,421 | 184,857 | ||||||
| Fannie Mae Relocation 15 yr 4.00% 9/1/20 | 116,324 | 120,335 | ||||||
| Fannie Mae Relocation 30 yr | ||||||||
| 5.00% 11/1/33 | 5,256 | 5,601 | ||||||
| 5.00% 11/1/34 | 6,563 | 6,993 | ||||||
| 5.00% 4/1/35 | 23,474 | 24,995 | ||||||
| 5.00% 10/1/35 | 39,890 | 42,475 | ||||||
| 5.00% 1/1/36 | 49,688 | 52,908 | ||||||
| 5.00% 2/1/36 | 21,556 | 22,961 | ||||||
| Fannie Mae S.F. 15 yr | ||||||||
| 2.50% 2/1/28 | 3,980,553 | 4,010,528 | ||||||
| 2.50% 5/1/28 | 543,778 | 547,790 | ||||||
| 3.00% 11/1/27 | 398,245 | 410,569 | ||||||
| 3.50% 7/1/26 | 1,317,686 | 1,378,685 | ||||||
| 3.50% 10/1/26 | 1,226,122 | 1,278,272 | ||||||
| 4.00% 11/1/25 | 3,843,991 | 4,106,808 | ||||||
| 5.00% 5/1/21 | 191,642 | 204,604 | ||||||
| 6.00% 12/1/22 | 597,429 | 642,816 | ||||||
| Fannie Mae S.F. 15 yr TBA | ||||||||
| 2.50% 7/1/28 | 76,301,000 | 76,742,111 | ||||||
| 3.00% 7/1/27 | 44,461,000 | 45,732,309 | ||||||
| 3.50% 7/1/26 | 6,187,000 | 6,444,147 | ||||||
| Fannie Mae S.F. 20 yr | ||||||||
| 3.50% 4/1/33 | 205,021 | 211,212 | ||||||
| 5.00% 11/1/23 | 112,058 | 121,507 | ||||||
| 5.50% 8/1/28 | 669,356 | 725,843 | ||||||
| Fannie Mae S.F. 30 yr | ||||||||
| 3.50% 7/1/42 | 181,206 | 184,196 | ||||||
| 3.50% 3/1/43 | 448,974 | 456,614 | ||||||
| 4.00% 11/1/40 | 533,357 | 555,912 | ||||||
| 4.00% 1/1/41 | 2,526,771 | 2,633,623 | ||||||
| 4.00% 2/1/41 | 3,468,690 | 3,626,704 | ||||||
| 4.00% 3/1/41 | 4,091,997 | 4,283,048 | ||||||
| 4.00% 9/1/41 | 367,647 | 383,539 | ||||||
| 4.00% 10/1/41 | 1,794,016 | 1,869,882 | ||||||
| 4.00% 12/1/41 | 5,961,572 | 6,213,677 | ||||||
| 4.00% 3/1/42 | 5,169,823 | 5,401,588 | ||||||
| 4.00% 1/1/43 | 8,340,817 | 8,700,198 | ||||||
Diversified Income Series-3
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | |||||||
| Amount° | (U.S. $) | |||||||
| AGENCY MORTGAGE-BACKED | ||||||||
| SECURITIES (continued) | ||||||||
| Fannie Mae S.F. 30 yr (continued) | ||||||||
| 4.50% 7/1/36 | USD | 406,484 | $ | 430,081 | ||||
| 4.50% 8/1/40 | 2,481,573 | 2,624,724 | ||||||
| 4.50% 11/1/40 | 2,236,829 | 2,369,941 | ||||||
| 4.50% 2/1/41 | 626,349 | 664,121 | ||||||
| 4.50% 3/1/41 | 2,757,011 | 2,923,271 | ||||||
| 4.50% 5/1/41 | 454,607 | 482,502 | ||||||
| 4.50% 8/1/41 | 261,996 | 277,795 | ||||||
| 4.50% 10/1/41 | 1,521,080 | 1,612,808 | ||||||
| 5.00% 5/1/34 | 4,651 | 5,022 | ||||||
| 5.00% 2/1/35 | 360,140 | 389,606 | ||||||
| 6.50% 2/1/36 | 502,932 | 565,472 | ||||||
| 6.50% 3/1/36 | 485,456 | 545,773 | ||||||
| 7.50% 3/1/32 | 534 | 637 | ||||||
| 7.50% 4/1/32 | 1,875 | 2,192 | ||||||
| Fannie Mae S.F. 30 yr TBA | ||||||||
| 3.00% 7/1/43 | 92,734,000 | 90,604,011 | ||||||
| 3.50% 7/1/42 | 29,956,000 | 30,410,019 | ||||||
| 4.50% 7/1/40 | 13,318,000 | 14,092,109 | ||||||
| Freddie Mac 4.50% 1/1/41 | 2,364,997 | 2,440,764 | ||||||
| •Freddie Mac ARM | ||||||||
| 2.342% 12/1/33 | 38,302 | 40,631 | ||||||
| 2.615% 7/1/36 | 125,076 | 133,762 | ||||||
| 2.653% 8/1/37 | 3,710 | 3,966 | ||||||
| 2.738% 6/1/37 | 386,540 | 411,005 | ||||||
| 2.771% 2/1/37 | 260,781 | 279,233 | ||||||
| 2.883% 4/1/34 | 1,952 | 2,068 | ||||||
| 5.873% 10/1/37 | 2,853 | 3,083 | ||||||
| 6.186% 10/1/37 | 41,853 | 45,374 | ||||||
| Freddie Mac Relocation 30 yr 5.00% 9/1/33 | 11,113 | 11,786 | ||||||
| Freddie Mac S.F. 15 yr | ||||||||
| 4.50% 5/1/20 | 389,908 | 410,172 | ||||||
| 5.00% 6/1/18 | 139,384 | 147,236 | ||||||
| Freddie Mac S.F. 30 yr | ||||||||
| 3.00% 11/1/42 | 1,291,365 | 1,262,282 | ||||||
| 4.00% 10/1/40 | 1,421,182 | 1,478,738 | ||||||
| 4.00% 11/1/40 | 920,454 | 957,732 | ||||||
| 4.00% 12/1/40 | 261,210 | 271,789 | ||||||
| 4.00% 2/1/42 | 600,292 | 624,603 | ||||||
| 4.50% 10/1/39 | 1,833,578 | 1,930,539 | ||||||
| 4.50% 11/1/39 | 3,197,626 | 3,366,717 | ||||||
| 5.00% 3/1/34 | 19,620 | 21,815 | ||||||
| 5.00% 2/1/36 | 7,485 | 8,005 | ||||||
| 6.00% 2/1/36 | 741,168 | 804,959 | ||||||
| 6.00% 8/1/38 | 1,467,987 | 1,606,658 | ||||||
| 6.00% 10/1/38 | 2,163,455 | 2,366,453 | ||||||
| 6.50% 8/1/38 | 232,338 | 257,566 | ||||||
| GNMA I S.F. 30 yr 7.00% 12/15/34 | 230,444 | 266,416 | ||||||
| Total Agency Mortgage-Backed Securities | ||||||||
| (cost $351,869,877) | 344,764,145 | |||||||
| COMMERCIAL MORTGAGE-BACKED | ||||||||
| SECURITIES–4.02% | ||||||||
| BAML Commercial Mortgage Securities | ||||||||
| • | Series 2006-2 A4 5.919% 5/10/45 | 1,765,000 | 1,948,982 | |||||
| Series 2006-4 A4 5.634% 7/10/46 | 3,895,000 | 4,274,065 | ||||||
| •Bear Stearns Commercial Mortgage Securities | ||||||||
| Series 2005-PW10 A4 5.405% 12/11/40 | 1,684,000 | 1,803,924 | ||||||
| Series 2005-T20 A4A 5.30% 10/12/42 | 870,000 | 938,034 | ||||||
| Series 2006-PW12 A4 5.902% 9/11/38 | 1,230,000 | 1,357,758 | ||||||
| Citigroup Commercial Mortgage Trust | ||||||||
| Series 2012-GC8 A4 3.024% 9/10/45 | 3,240,000 | 3,060,614 | ||||||
| tCommercial Mortgage Pass Through Certificates | ||||||||
| • | Series 2005-C6 A5A 5.116% 6/10/44 | 1,295,000 | 1,388,184 | |||||
| Series 2013-CR8 A5 3.612% 6/10/46 | 2,830,000 | 2,767,983 | ||||||
| •Credit Suisse Mortgage Capital Certificates | ||||||||
| Series 2006-C1 AAB 5.569% 2/15/39 | 53,758 | 55,069 | ||||||
| #DBUBS Mortgage Trust | ||||||||
| Series 2011-LC1A A3 144A | ||||||||
| 5.002% 11/10/46 | 3,770,000 | 4,152,749 | ||||||
| #•FREMF Mortgage Trust | ||||||||
| Series 2012-K21 B 144A | ||||||||
| 4.072% 7/25/45 | 2,290,000 | 2,120,538 | ||||||
| Goldman Sachs Mortgage Securities II | ||||||||
| • | Series 2004-GG2 A6 5.396% 8/10/38 | 2,310,000 | 2,375,676 | |||||
| Series 2005-GG4 A4A 4.751% 7/10/39 | 5,935,000 | 6,233,845 | ||||||
| • | Series 2006-GG6 A4 5.553% 4/10/38 | 1,815,000 | 1,976,936 | |||||
| # | Series 2010-C1 A2 144A 4.592% 8/10/43 | 3,090,000 | 3,319,015 | |||||
| #• | Series 2010-C1 C 144A 5.635% 8/10/43 | 1,010,000 | 1,071,265 | |||||
| # | Series 2012-ALOHA 144A 4.049% 4/10/34 | 1,620,000 | 1,614,704 | |||||
| •Greenwich Capital Commercial Funding | ||||||||
| Series 2005-GG5 A5 5.224% 4/10/37 | 7,280,000 | 7,799,843 | ||||||
| JPMorgan Chase Commercial Mortgage Securities | ||||||||
| • | Series 2005-LDP3 A4A 4.936% 8/15/42 | 880,000 | 934,457 | |||||
| • | Series 2005-LDP5 A4 5.367% 12/15/44 | 2,685,000 | 2,897,494 | |||||
| Series 2011-C5 A3 4.171% 8/15/46 | 3,070,000 | 3,204,119 | ||||||
| Lehman Brothers-UBS Commercial | ||||||||
| Mortgage Trust | ||||||||
| Series 2004-C1 A4 4.568% 1/15/31 | 947,934 | 963,586 | ||||||
| • | Series 2005-C3 4.895% 7/15/40 | 700,000 | 725,177 | |||||
| Merrill Lynch Mortgage Trust | ||||||||
| Series 2005-CIP1 A2 4.96% 7/12/38 | 363,682 | 367,185 | ||||||
| • | Series 2005-CKI1 A6 5.458% 11/12/37 | 862,891 | 926,054 | |||||
| •Morgan Stanley Capital I Trust | ||||||||
| Series 2005-HQ7 5.378% 11/14/42 | 3,465,000 | 3,408,964 | ||||||
| Series 2007-T27 A4 5.816% 6/11/42 | 3,890,000 | 4,398,050 | ||||||
| NCUA Guaranteed Notes | ||||||||
| Series 2010-C1 A2 | ||||||||
| 2.90% 10/29/20 | 1,420,000 | 1,482,129 | ||||||
| #OBP Depositor Trust | ||||||||
| Series 2010-OBP A 144A | ||||||||
| 4.646% 7/15/45 | 1,185,000 | 1,284,969 | ||||||
Diversified Income Series-4
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | |||||||
| Amount° | (U.S. $) | |||||||
| COMMERCIAL MORTGAGE-BACKED | ||||||||
| SECURITIES (continued) | ||||||||
| #Timberstar Trust | ||||||||
| Series 2006-1A A 144A | ||||||||
| 5.668% 10/15/36 | USD | 2,010,000 | $ | 2,249,218 | ||||
| #VNO Mortgage Trust | ||||||||
| Series 2012-6AVE 144A | ||||||||
| 2.996% 11/15/30 | 5,735,000 | 5,346,219 | ||||||
| WF-RBS Commercial Mortgage Trust | ||||||||
| Series 2012-C9 A3 2.87% 11/15/45 | 1,470,000 | 1,363,275 | ||||||
| Series 2013-C11 A5 3.071% 3/15/45 | 1,250,000 | 1,173,184 | ||||||
| Series 2013-C14 A5 3.337% 6/15/46 | 2,820,000 | 2,688,506 | ||||||
| Total Commercial Mortgage-Backed | ||||||||
| Securities (cost $80,721,626) | 81,671,770 | |||||||
| CONVERTIBLE BONDS–3.20% | ||||||||
| Advanced Micro Devices 6.00% | ||||||||
| exercise price $28.08, | ||||||||
| expiration date 4/30/15 | 1,419,000 | 1,454,475 | ||||||
| #Alaska Communications System Group | ||||||||
| 144A 6.25% exercise price $10.28, | ||||||||
| expiration date 4/27/18 | 1,285,000 | 1,023,984 | ||||||
| Alere 3.00% exercise price $43.98, | ||||||||
| expiration date 5/15/16 | 1,514,000 | 1,499,806 | ||||||
| Ares Capital 5.75% exercise price $19.13, | ||||||||
| expiration date 2/1/16 | 1,475,000 | 1,616,969 | ||||||
| ϕArvinMeritor 4.00% exercise price $26.73, | ||||||||
| expiration date 2/12/27 | 2,672,000 | 2,374,740 | ||||||
| BGC Partners 4.50% exercise price $9.84, | ||||||||
| expiration date 7/13/16 | 1,436,000 | 1,462,925 | ||||||
| #Blucora 144A 4.25% exercise price $21.66, | ||||||||
| expiration date 3/29/19 | 829,000 | 930,034 | ||||||
| Chesapeake Energy | ||||||||
| 2.25% exercise price $85.61, | ||||||||
| expiration date 12/14/38 | 509,000 | 448,556 | ||||||
| * | 2.50% exercise price $50.90, | |||||||
| expiration date 5/15/37 | 534,000 | 505,631 | ||||||
| #Ciena 144A 3.75% exercise price $20.17, | ||||||||
| expiration date 10/15/18 | 1,368,000 | 1,718,550 | ||||||
| #Clearwire Communications 144A 8.25% | ||||||||
| exercise price $7.08, | ||||||||
| expiration date 11/30/40 | 1,387,000 | 1,537,836 | ||||||
| Dendreon 2.875% exercise price $51.24, | ||||||||
| expiration date 1/13/16 | 1,529,000 | 1,154,395 | ||||||
| Equinix 4.75% exercise price $84.32, | ||||||||
| expiration date 6/13/16 | 291,000 | 661,479 | ||||||
| #Gaylord Entertainment 144A 3.75% | ||||||||
| exercise price $21.96, | ||||||||
| expiration date 9/29/14 | 794,000 | 1,419,275 | ||||||
| ϕGeneral Cable 4.50% exercise price $36.55, | ||||||||
| expiration date 11/15/29 | 1,980,000 | 2,190,375 | ||||||
| Gilead Sciences 1.625% exercise price $22.71, | ||||||||
| expiration date 5/1/16 | 651,000 | 1,474,518 | ||||||
| Helix Energy Solutions Group 3.25% | ||||||||
| exercise price $25.02, | ||||||||
| expiration date 3/12/32 | 1,713,000 | 2,143,391 | ||||||
| *ϕHologic 2.00% exercise price $31.17, | ||||||||
| expiration date 2/27/42 | 1,600,000 | 1,587,000 | ||||||
| Iconix Brand Group 2.50% exercise price $30.75, | ||||||||
| expiration date 5/31/16 | 782,000 | 885,615 | ||||||
| #Illumina 144A 0.25% exercise price $83.55, | ||||||||
| expiration date 3/11/16 | 761,000 | 824,734 | ||||||
| Intel 144A 3.25% exercise price $21.94, | ||||||||
| expiration date 8/1/39 | 1,033,000 | 1,318,371 | ||||||
| International Game Technology 3.25% | ||||||||
| exercise price $19.90, | ||||||||
| expiration date 5/1/14 | 359,000 | 383,233 | ||||||
| Jefferies Group 3.875% exercise price $45.72, | ||||||||
| expiration date 10/31/29 | 1,599,000 | 1,709,931 | ||||||
| L-3 Communications Holdings 3.00% | ||||||||
| exercise price $90.24, | ||||||||
| expiration date 8/1/35 | 958,000 | 978,956 | ||||||
| Leap Wireless International 4.50% | ||||||||
| exercise price $93.21, | ||||||||
| expiration date 7/10/14 | 1,902,000 | 1,917,454 | ||||||
| #Lexington Realty Trust 144A 6.00% | ||||||||
| exercise price $6.93, | ||||||||
| expiration date 1/11/30 | 766,000 | 1,289,274 | ||||||
| #Liberty Interactive 144A 0.75% | ||||||||
| exercise price $1,000.00, | ||||||||
| expiration date 3/30/43 | 1,189,000 | 1,310,873 | ||||||
| Linear Technology 3.00% exercise price $41.46 | ||||||||
| expiration date 4/30/27 | 1,646,000 | 1,722,128 | ||||||
| Live Nation Entertainment 2.875% | ||||||||
| exercise price $27.14, | ||||||||
| expiration date 7/14/27 | 1,658,000 | 1,681,834 | ||||||
| MGM Resorts International 4.25% | ||||||||
| exercise price $18.58, | ||||||||
| expiration date 4/10/15 | 1,710,000 | 1,918,406 | ||||||
| Mirant (Escrow) 2.50% exercise price $67.95, | ||||||||
| expiration date 6/15/21 | 110,000 | 0 | ||||||
| Mylan 3.75% exercise price $13.32, | ||||||||
| expiration date 9/15/15 | 475,000 | 1,128,125 | ||||||
| Nuance Communications 2.75% | ||||||||
| exercise price $32.30, | ||||||||
| expiration date 11/1/31 | 2,111,000 | 2,184,885 | ||||||
| NuVasive 2.75% exercise price $42.13, | ||||||||
| expiration date 6/30/17 | 3,371,000 | 3,341,504 | ||||||
| #*Opko Health 144A 3.00% exercise price $7.07, | ||||||||
| expiration date 1/28/33 | 373,000 | 402,840 | ||||||
| #Owens-Brockway Glass Container 144A 3.00% | ||||||||
| exercise price $47.47, | ||||||||
| expiration date 5/28/15 | 1,675,000 | 1,704,313 | ||||||
| *Peabody Energy 4.75% exercise price $57.95, | ||||||||
| expiration date 12/15/41 | 902,000 | 630,836 | ||||||
| PHH 4.00% exercise price $25.80, | ||||||||
| expiration date 8/27/14 | 2,344,000 | 2,490,500 | ||||||
| Rovi 2.625% exercise price $47.36, | ||||||||
| expiration date 2/10/40 | 768,000 | 783,360 | ||||||
| SanDisk 1.50% exercise price $52.37, | ||||||||
| expiration date 8/11/17 | 1,349,000 | 1,805,131 | ||||||
Diversified Income Series-5
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | |||||||
| Amount° | (U.S. $) | |||||||
| CONVERTIBLE BONDS (continued) | ||||||||
| SBA Communications 4.00% exercise price $30.38, | ||||||||
| expiration date 9/29/14 | USD | 485,000 | $ | 1,191,281 | ||||
| Steel Dynamics 5.125% exercise price $17.21, | ||||||||
| expiration date 6/15/14 | 500,000 | 535,938 | ||||||
| Tibco Software 2.25% exercise price $50.57, | ||||||||
| expiration date 4/30/32 | 2,751,000 | 2,687,383 | ||||||
| Titan Machinery 3.75% exercise price $43.17, | ||||||||
| expiration date 4/30/19 | 1,365,000 | 1,283,100 | ||||||
| •Vector Group 2.50% exercise price $18.50, | ||||||||
| expiration date 1/14/19 | 440,000 | 516,256 | ||||||
| VeriSign 3.25% exercise price $34.37, | ||||||||
| expiration date 8/15/37 | 1,230,000 | 1,736,606 | ||||||
| #WellPoint 144A 2.75% exercise price $75.38, | ||||||||
| expiration date 10/15/42 | 1,080,000 | 1,350,000 | ||||||
| Total Convertible Bonds | ||||||||
| (cost $60,926,604) | 64,916,806 | |||||||
| CORPORATE BONDS–47.08% | ||||||||
| Automotive–0.43% | ||||||||
| American Axle & Manufacturing | ||||||||
| 6.25% 3/15/21 | 1,085,000 | 1,108,056 | ||||||
| Chrysler Group 8.25% 6/15/21 | 1,050,000 | 1,164,188 | ||||||
| Ford Motor 7.45% 7/16/31 | 2,320,000 | 2,789,139 | ||||||
| Ford Motor Credit 12.00% 5/15/15 | 1,345,000 | 1,596,081 | ||||||
| #LKQ 144A 4.75% 5/15/23 | 95,000 | 90,963 | ||||||
| Meritor 6.75% 6/15/21 | 485,000 | 465,600 | ||||||
| Tomkins 9.00% 10/1/18 | 410,000 | 448,950 | ||||||
| #TRW Automotive 144A 4.50% 3/1/21 | 1,000,000 | 1,002,500 | ||||||
| 8,665,477 | ||||||||
| Banking–6.57% | ||||||||
| AgriBank 9.125% 7/15/19 | 2,335,000 | 3,030,809 | ||||||
| #Banco BTG Pactual 144A 4.00% 1/16/20 | 2,150,000 | 1,854,375 | ||||||
| #Banco Santander 144A 4.125% 11/9/22 | 3,170,000 | 2,979,800 | ||||||
| Bancolombia | ||||||||
| * | 5.125% 9/11/22 | 1,188,000 | 1,137,510 | |||||
| 5.95% 6/3/21 | 710,000 | 757,925 | ||||||
| #Bank Nederlandse Gemeenten 144A | ||||||||
| 2.50% 1/23/23 | 4,926,000 | 4,630,775 | ||||||
| Bank of America | ||||||||
| 2.00% 1/11/18 | 5,335,000 | 5,173,093 | ||||||
| 3.875% 3/22/17 | 1,785,000 | 1,871,108 | ||||||
| • | 5.20% 12/29/49 | 2,780,000 | 2,627,100 | |||||
| •Bank of New York Mellon 4.50% 12/31/49 | 1,805,000 | 1,701,213 | ||||||
| *Barclays Bank 7.625% 11/21/22 | 2,135,000 | 2,100,306 | ||||||
| BB&T 5.25% 11/1/19 | 10,782,000 | 12,000,916 | ||||||
| #BBVA Banco Continental 144A 3.25% 4/8/18 | 2,295,000 | 2,237,625 | ||||||
| BBVA US Senior 4.664% 10/9/15 | 1,560,000 | 1,607,853 | ||||||
| •Bear Stearns 3.40% 4/24/14 | AUD | 3,300,000 | 3,014,313 | |||||
| City National 5.25% 9/15/20 | USD | 2,635,000 | 2,860,029 | |||||
| •Deutsche Bank 4.296% 5/24/28 | 400,000 | 370,063 | ||||||
| •Fifth Third Bancorp 5.10% 12/31/49 | 2,805,000 | 2,657,738 | ||||||
| •Fifth Third Capital Trust IV 6.50% 4/15/37 | 3,570,000 | 3,570,000 | ||||||
| Goldman Sachs Group 3.375% 2/1/18 | CAD | 1,332,000 | 1,251,113 | |||||
| #•HBOS Capital Funding 144A 6.071% 6/29/49 | USD | 2,220,000 | 1,942,500 | |||||
| #HSBC Bank 144A 4.75% 1/19/21 | 3,270,000 | 3,572,181 | ||||||
| HSBC Holdings 4.00% 3/30/22 | 1,025,000 | 1,051,348 | ||||||
| JPMorgan Chase | ||||||||
| * | 1.625% 5/15/18 | 2,140,000 | 2,053,948 | |||||
| 2.92% 9/19/17 | CAD | 2,080,000 | 1,958,814 | |||||
| 3.375% 5/1/23 | USD | 1,225,000 | 1,143,016 | |||||
| 4.25% 11/2/18 | NZD | 2,465,000 | 1,843,135 | |||||
| *• | 5.15% 12/29/49 | USD | 850,000 | 813,875 | ||||
| KeyBank 6.95% 2/1/28 | 4,255,000 | 5,189,368 | ||||||
| Morgan Stanley | ||||||||
| 2.125% 4/25/18 | 3,525,000 | 3,377,352 | ||||||
| 4.10% 5/22/23 | 5,095,000 | 4,716,727 | ||||||
| 7.375% 2/22/18 | AUD | 1,241,000 | 1,208,401 | |||||
| 7.60% 8/8/17 | NZD | 1,818,000 | 1,492,975 | |||||
| •National City Bank 0.644% 6/7/17 | USD | 1,905,000 | 1,885,634 | |||||
| PNC Bank 6.875% 4/1/18 | 5,710,000 | 6,855,449 | ||||||
| •PNC Financial Services Group | ||||||||
| 4.49% 5/29/49 | 2,440,000 | 2,438,780 | ||||||
| 4.85% 5/29/49 | 1,970,000 | 1,841,950 | ||||||
| #•PNC Preferred Funding Trust II 144A | ||||||||
| 1.496% 3/31/49 | 2,500,000 | 2,112,500 | ||||||
| Regions Financial 2.00% 5/15/18 | 1,685,000 | 1,594,672 | ||||||
| *Royal Bank of Scotland Group 6.10% 6/10/23 | 1,800,000 | 1,710,794 | ||||||
| #Sberbank 144A 6.125% 2/7/22 | 2,125,000 | 2,223,175 | ||||||
| #Standard Chartered 144A 3.95% 1/11/23 | 3,635,000 | 3,388,024 | ||||||
| State Street 3.10% 5/15/23 | 2,850,000 | 2,675,101 | ||||||
| •SunTrust Bank 0.564% 8/24/15 | 1,965,000 | 1,950,223 | ||||||
| SVB Financial Group 5.375% 9/15/20 | 865,000 | 949,594 | ||||||
| #Turkiye Halk Bankasi 144A 3.875% 2/5/20 | 1,570,000 | 1,420,850 | ||||||
| U.S. Bank 4.95% 10/30/14 | 1,755,000 | 1,852,771 | ||||||
| •USB Capital IX 3.50% 10/29/49 | 7,105,000 | 6,199,113 | ||||||
| •Wachovia 0.647% 10/15/16 | 1,755,000 | 1,724,821 | ||||||
| Zions Bancorporation | ||||||||
| 4.50% 3/27/17 | 1,895,000 | 2,005,772 | ||||||
| 4.50% 6/13/23 | 2,180,000 | 2,150,180 | ||||||
| 7.75% 9/23/14 | 550,000 | 592,810 | ||||||
| 133,369,517 | ||||||||
| Basic Industry–3.89% | ||||||||
| *AK Steel 7.625% 5/15/20 | 695,000 | 597,700 | ||||||
| ArcelorMittal 10.35% 6/1/19 | 2,685,000 | 3,188,438 | ||||||
| #Axiall 144A 4.875% 5/15/23 | 450,000 | 429,188 | ||||||
| #Barrick Gold 144A 4.10% 5/1/23 | 4,130,000 | 3,457,132 | ||||||
| Barrick North America Finance | ||||||||
| 4.40% 5/30/21 | 1,145,000 | 1,025,364 | ||||||
| #Cemex Espana Luxembourg 144A | ||||||||
| 9.25% 5/12/20 | 2,284,000 | 2,421,040 | ||||||
| CF Industries | ||||||||
| 4.95% 6/1/43 | 1,700,000 | 1,620,392 | ||||||
| 6.875% 5/1/18 | 4,030,000 | 4,743,113 | ||||||
| 7.125% 5/1/20 | 1,165,000 | 1,395,701 | ||||||
| Dow Chemical 8.55% 5/15/19 | 9,021,000 | 11,523,507 | ||||||
| #*FMG Resources August 2006 144A | ||||||||
| 6.875% 4/1/22 | 610,000 | 593,988 | ||||||
| 7.00% 11/1/15 | 875,000 | 888,125 | ||||||
| #Freeport-McMoRan Copper & Gold 144A | ||||||||
| 3.875% 3/15/23 | 3,565,000 | 3,233,017 | ||||||
Diversified Income Series-6
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Basic Industry (continued) | |||||||
| Georgia-Pacific | |||||||
| # | 144A 3.734% 7/15/23 | USD | 1,440,000 | $ | 1,403,515 | ||
| 8.00% 1/15/24 | 5,225,000 | 6,743,970 | |||||
| #Gerdau Trade 144A 4.75% 4/15/23 | 2,240,000 | 2,021,600 | |||||
| #Glencore Funding 144A 2.50% 1/15/19 | 3,355,000 | 3,039,147 | |||||
| HD Supply | |||||||
| # | 144A 7.50% 7/15/20 | 578,000 | 586,670 | ||||
| 11.00% 4/15/20 | 600,000 | 702,000 | |||||
| Headwaters 7.625% 4/1/19 | 1,585,000 | 1,664,250 | |||||
| International Paper | |||||||
| 6.00% 11/15/41 | 3,500,000 | 3,736,275 | |||||
| 9.375% 5/15/19 | 505,000 | 660,843 | |||||
| LyondellBasell Industries 5.75% 4/15/24 | 1,810,000 | 1,994,450 | |||||
| Mohawk Industries 6.375% 1/15/16 | 621,000 | 687,849 | |||||
| *Norcraft Finance 10.50% 12/15/15 | 715,000 | 742,706 | |||||
| Nortek 8.50% 4/15/21 | 1,380,000 | 1,483,500 | |||||
| Novelis 8.75% 12/15/20 | 1,475,000 | 1,589,313 | |||||
| #*Phosagro 144A 4.204% 2/13/18 | 2,741,000 | 2,706,738 | |||||
| #PolyOne 144A 5.25% 3/15/23 | 760,000 | 752,400 | |||||
| #*Polyus Gold International 144A | |||||||
| 5.625% 4/29/20 | 555,000 | 539,738 | |||||
| Rio Tinto Finance USA 2.25% 12/14/18 | 1,650,000 | 1,605,448 | |||||
| Rock Tenn 4.00% 3/1/23 | 650,000 | 627,537 | |||||
| Rockwood Specialties Group | |||||||
| 4.625% 10/15/20 | 680,000 | 685,950 | |||||
| #Ryerson 144A | |||||||
| 9.00% 10/15/17 | 795,000 | 809,906 | |||||
| * | 11.25% 10/15/18 | 330,000 | 334,125 | ||||
| Southern Copper 5.25% 11/8/42 | 2,070,000 | 1,708,949 | |||||
| Teck Resources 3.75% 2/1/23 | 2,015,000 | 1,854,995 | |||||
| #TPC Group 144A 8.75% 12/15/20 | 615,000 | 631,913 | |||||
| #*Uralkali 144A 3.723% 4/30/18 | 2,060,000 | 1,982,332 | |||||
| #*US Coatings Acquisition 144A 7.375% 5/1/21 | 1,065,000 | 1,090,294 | |||||
| #Vedanta Resources 144A 6.00% 1/31/19 | 1,565,000 | 1,494,575 | |||||
| 78,997,693 | |||||||
| Brokerage–0.41% | |||||||
| Jefferies Group | |||||||
| 5.125% 1/20/23 | 1,515,000 | 1,506,127 | |||||
| 6.45% 6/8/27 | 878,000 | 869,220 | |||||
| 6.50% 1/20/43 | 570,000 | 547,471 | |||||
| Lazard Group 6.85% 6/15/17 | 4,829,000 | 5,406,162 | |||||
| 8,328,980 | |||||||
| Capital Goods–1.20% | |||||||
| #Ardagh Packaging Finance 144A | |||||||
| 7.00% 11/15/20 | 965,000 | 932,431 | |||||
| Ball 4.00% 11/15/23 | 1,225,000 | 1,137,719 | |||||
| Berry Plastics 9.75% 1/15/21 | 1,155,000 | 1,310,925 | |||||
| #Cemex Finance 144A 9.375% 10/12/22 | 680,000 | 744,600 | |||||
| #Cemex SAB 144A 9.50% 6/15/18 | 650,000 | 705,250 | |||||
| #Consolidated Container 144A | |||||||
| 10.125% 7/15/20 | 635,000 | 669,925 | |||||
| #Crown Americas 144A 4.50% 1/15/23 | 455,000 | 431,113 | |||||
| #Ingersoll-Rand Global Holding 144A | |||||||
| 4.25% 6/15/23 | 2,370,000 | 2,359,854 | |||||
| Kratos Defense & Security Solutions | |||||||
| 10.00% 6/1/17 | 565,000 | 607,375 | |||||
| #Milacron 144A 7.75% 2/15/21 | 760,000 | 761,900 | |||||
| Northrop Grumman 3.25% 8/1/23 | 3,130,000 | 2,968,223 | |||||
| #Plastipak Holdings 144A 10.625% 8/15/19 | 873,000 | 964,665 | |||||
| Reynolds Group Issuer 9.00% 4/15/19 | 3,065,000 | 3,179,938 | |||||
| #Sealed Air 144A 6.50% 12/1/20 | 920,000 | 975,200 | |||||
| #Silver II Borrower 144A 7.75% 12/15/20 | 300,000 | 303,000 | |||||
| #TransDigm 144A 7.50% 7/15/21 | 895,000 | 917,375 | |||||
| #URS 144A | |||||||
| 4.35% 4/1/17 | 465,000 | 474,124 | |||||
| 5.50% 4/1/22 | 1,340,000 | 1,385,100 | |||||
| #Votorantim Cimentos 144A 7.25% 4/5/41 | 3,225,000 | 3,144,375 | |||||
| #Voto-Votorantim Overseas Trading Operations | |||||||
| 144A 6.625% 9/25/19 | 315,000 | 337,050 | |||||
| 24,310,142 | |||||||
| Communications–6.12% | |||||||
| AMC Networks 4.75% 12/15/22 | 1,025,000 | 994,250 | |||||
| America Movil SAB | |||||||
| 3.125% 7/16/22 | 1,330,000 | 1,228,780 | |||||
| 5.00% 3/30/20 | 2,720,000 | 2,932,949 | |||||
| American Tower 5.90% 11/1/21 | 2,790,000 | 3,109,182 | |||||
| #American Tower Trust I 144A | |||||||
| 1.551% 3/15/18 | 955,000 | 941,735 | |||||
| 3.07% 3/15/23 | 2,385,000 | 2,292,590 | |||||
| Bell Canada 3.35% 3/22/23 | CAD | 3,533,000 | 3,149,677 | ||||
| CC Holdings GS V 3.849% 4/15/23 | USD | 1,690,000 | 1,596,788 | ||||
| CCO Holdings | |||||||
| 5.25% 9/30/22 | 1,125,000 | 1,074,375 | |||||
| 7.375% 6/1/20 | 220,000 | 240,350 | |||||
| CenturyLink 5.80% 3/15/22 | 3,230,000 | 3,205,775 | |||||
| Clear Channel Communications | |||||||
| 9.00% 3/1/21 | 635,000 | 606,425 | |||||
| Clear Channel Worldwide Holdings | |||||||
| 7.625% 3/15/20 | 1,260,000 | 1,309,800 | |||||
| #Clearwire Communications 144A | |||||||
| 12.00% 12/1/15 | 974,000 | 1,037,310 | |||||
| #Columbus International 144A | |||||||
| 11.50% 11/20/14 | 1,925,000 | 2,083,813 | |||||
| #Cox Communications 144A | |||||||
| 3.25% 12/15/22 | 4,835,000 | 4,558,008 | |||||
| #Crown Castle Towers 144A | |||||||
| 4.883% 8/15/20 | 9,485,000 | 10,214,994 | |||||
| CSC Holdings 6.75% 11/15/21 | 455,000 | 492,538 | |||||
| #Digicel 144A 6.00% 4/15/21 | 1,145,000 | 1,084,888 | |||||
| #Digicel Group 144A | |||||||
| 8.25% 9/1/17 | 185,000 | 193,325 | |||||
| 8.25% 9/30/20 | 915,000 | 951,600 | |||||
| 10.50% 4/15/18 | 755,000 | 804,075 | |||||
| DISH DBS | |||||||
| 5.875% 7/15/22 | 600,000 | 612,000 | |||||
| 7.875% 9/1/19 | 462,000 | 519,750 | |||||
| Equinix | |||||||
| 4.875% 4/1/20 | 567,000 | 558,495 | |||||
| 5.375% 4/1/23 | 383,000 | 377,255 | |||||
| Hughes Satellite Systems | |||||||
| 7.625% 6/15/21 | 485,000 | 517,738 | |||||
| #Intelsat Jackson Holdings 144A | |||||||
| 5.50% 8/1/23 | 1,085,000 | 1,025,325 | |||||
Diversified Income Series-7
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Communications (continued) | |||||||
| #Intelsat Luxembourg 144A | |||||||
| 7.75% 6/1/21 | USD | 1,045,000 | $ | 1,059,369 | |||
| 8.125% 6/1/23 | 880,000 | 911,900 | |||||
| Interpublic Group | |||||||
| 3.75% 2/15/23 | 1,885,000 | 1,754,025 | |||||
| 4.00% 3/15/22 | 3,160,000 | 3,035,398 | |||||
| Lamar Media 5.00% 5/1/23 | 1,085,000 | 1,047,025 | |||||
| Level 3 Communications 11.875% 2/1/19 | 610,000 | 693,875 | |||||
| Level 3 Financing 10.00% 2/1/18 | 930,000 | 1,004,400 | |||||
| #*Lynx II 144A 6.375% 4/15/23 | 230,000 | 232,875 | |||||
| #MDC Partners 144A 6.75% 4/1/20 | 1,030,000 | 1,032,575 | |||||
| MetroPCS Wireless | |||||||
| # | 144A 6.25% 4/1/21 | 100,000 | 102,125 | ||||
| 6.625% 11/15/20 | 655,000 | 682,019 | |||||
| #Millicom International Cellular 144A | |||||||
| 4.75% 5/22/20 | 1,360,000 | 1,295,754 | |||||
| #Myriad International Holding 144A | |||||||
| 6.375% 7/28/17 | 2,395,000 | 2,640,488 | |||||
| #Nara Cable Funding 144A 8.875% 12/1/18 | 1,770,000 | 1,849,650 | |||||
| #*Oi 144A 5.75% 2/10/22 | 1,286,000 | 1,200,803 | |||||
| #Qtel International Finance 144A | |||||||
| 3.25% 2/21/23 | 1,575,000 | 1,437,188 | |||||
| Qwest 6.75% 12/1/21 | 1,725,000 | 1,923,444 | |||||
| #SBA Tower Trust 144A 2.24% 4/15/18 | 1,800,000 | 1,774,167 | |||||
| #SES 144A 3.60% 4/4/23 | 4,420,000 | 4,308,948 | |||||
| #Sinclair Television Group 144A | |||||||
| 5.375% 4/1/21 | 1,170,000 | 1,129,050 | |||||
| 6.125% 10/1/22 | 465,000 | 467,325 | |||||
| #Sirius XM Radio 144A 4.625% 5/15/23 | 1,605,000 | 1,488,638 | |||||
| #Softbank 144A 4.50% 4/15/20 | 800,000 | 771,200 | |||||
| Sprint Capital | |||||||
| 6.90% 5/1/19 | 670,000 | 700,150 | |||||
| 8.75% 3/15/32 | 685,000 | 756,925 | |||||
| Sprint Nextel | |||||||
| 6.00% 12/1/16 | 565,000 | 597,488 | |||||
| 8.375% 8/15/17 | 600,000 | 676,500 | |||||
| 9.125% 3/1/17 | 445,000 | 513,975 | |||||
| #*TBG Global PTE 144A 4.625% 4/3/18 | 1,430,000 | 1,369,225 | |||||
| #Telefonica Chile 144A 3.875% 10/12/22 | 3,100,000 | 2,846,420 | |||||
| Telefonica Emisiones | |||||||
| 3.192% 4/27/18 | 4,685,000 | 4,542,932 | |||||
| 4.57% 4/27/23 | 700,000 | 671,413 | |||||
| 5.289% 12/9/22 | GBP | 550,000 | 823,247 | ||||
| #Telemar Norte Leste 144A 5.50% 10/23/20 | USD | 2,245,000 | 2,099,075 | ||||
| #Telesat Canada 144A 6.00% 5/15/17 | 760,000 | 778,050 | |||||
| Time Warner Cable | |||||||
| 5.85% 5/1/17 | 580,000 | 639,601 | |||||
| 8.25% 4/1/19 | 3,485,000 | 4,200,850 | |||||
| #Univision Communications 144A | |||||||
| * | 5.125% 5/15/23 | 1,830,000 | 1,738,500 | ||||
| 6.75% 9/15/22 | 370,000 | 390,350 | |||||
| #UPC Holding 144A 9.875% 4/15/18 | 590,000 | 643,100 | |||||
| #UPCB Finance III 144A 6.625% 7/1/20 | 1,870,000 | 1,944,800 | |||||
| #VimpelCom 144A 7.748% 2/2/21 | 2,158,000 | 2,306,363 | |||||
| Virgin Media Finance 8.375% 10/15/19 | 568,000 | 619,120 | |||||
| Virgin Media Secured Finance | |||||||
| 6.50% 1/15/18 | 7,925,000 | 8,182,563 | |||||
| #Vivendi 144A | |||||||
| 3.45% 1/12/18 | 1,700,000 | 1,724,133 | |||||
| 6.625% 4/4/18 | 2,050,000 | 2,372,768 | |||||
| Vodafone Group 2.95% 2/19/23 | 2,530,000 | 2,343,701 | |||||
| #Wind Acquisition Finance 144A | |||||||
| 6.50% 4/30/20 | 200,000 | 199,500 | |||||
| 11.75% 7/15/17 | 680,000 | 710,600 | |||||
| Windstream 7.50% 4/1/23 | 305,000 | 311,100 | |||||
| 124,258,480 | |||||||
| Consumer Cyclical–2.50% | |||||||
| ADT 4.125% 6/15/23 | 1,605,000 | 1,514,796 | |||||
| Amazon.com 2.50% 11/29/22 | 4,650,000 | 4,229,784 | |||||
| CKE Restaurants 11.375% 7/15/18 | 112,000 | 116,061 | |||||
| #Daimler Finance North America 144A | |||||||
| 2.25% 7/31/19 | 2,595,000 | 2,524,592 | |||||
| Dave & Buster’s 11.00% 6/1/18 | 350,000 | 389,375 | |||||
| Delphi 6.125% 5/15/21 | 1,865,000 | 2,042,175 | |||||
| Ebay 4.00% 7/15/42 | 2,605,000 | 2,218,059 | |||||
| Ford Motor Credit | |||||||
| 5.00% 5/15/18 | 2,715,000 | 2,902,129 | |||||
| 5.875% 8/2/21 | 2,710,000 | 2,959,366 | |||||
| Hanesbrands 6.375% 12/15/20 | 1,070,000 | 1,146,238 | |||||
| Historic TW 6.875% 6/15/18 | 5,675,000 | 6,830,702 | |||||
| Host Hotels & Resorts | |||||||
| 3.75% 10/15/23 | 1,030,000 | 946,633 | |||||
| 4.75% 3/1/23 | 2,060,000 | 2,059,363 | |||||
| 5.25% 3/15/22 | 1,220,000 | 1,266,048 | |||||
| * | 5.875% 6/15/19 | 905,000 | 973,413 | ||||
| #Hyundai Capital America 144A | |||||||
| 2.125% 10/2/17 | 1,545,000 | 1,495,180 | |||||
| Levi Strauss | |||||||
| 6.875% 5/1/22 | 890,000 | 970,100 | |||||
| 7.625% 5/15/20 | 320,000 | 347,200 | |||||
| *Quiksilver 6.875% 4/15/15 | 1,420,000 | 1,398,700 | |||||
| #QVC 144A 4.375% 3/15/23 | 4,470,000 | 4,177,555 | |||||
| Rite Aid 9.25% 3/15/20 | 895,000 | 992,331 | |||||
| #SACI Falabella 144A 3.75% 4/30/23 | 1,585,000 | 1,458,200 | |||||
| Sally Holdings 5.75% 6/1/22 | 905,000 | 923,100 | |||||
| #Tenedora Nemak 144A 5.50% 2/28/23 | 1,765,000 | 1,676,750 | |||||
| Western Union | |||||||
| 2.875% 12/10/17 | 900,000 | 903,249 | |||||
| 3.65% 8/22/18 | 1,510,000 | 1,551,451 | |||||
| Wyndham Worldwide | |||||||
| 4.25% 3/1/22 | 1,045,000 | 1,019,551 | |||||
| 5.625% 3/1/21 | 1,610,000 | 1,727,978 | |||||
| 50,760,079 | |||||||
| Consumer Non-Cyclical–3.61% | |||||||
| #Anadolu Efes Biracilik VE Malt Sanayii 144A | |||||||
| 3.375% 11/1/22 | 1,225,000 | 1,059,625 | |||||
| #BFF International 144A 7.25% 1/28/20 | 900,000 | 995,400 | |||||
| Boston Scientific 6.00% 1/15/20 | 1,555,000 | 1,762,479 | |||||
| #*Brasil Foods 144A 5.875% 6/6/22 | 2,000,000 | 2,057,600 | |||||
| CareFusion | |||||||
| # | 144A 3.30% 3/1/23 | 2,025,000 | 1,927,407 | ||||
| 6.375% 8/1/19 | 8,080,000 | 9,337,967 | |||||
| Celgene 3.95% 10/15/20 | 2,215,000 | 2,298,253 | |||||
Diversified Income Series-8
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Consumer Non-Cyclical (continued) | |||||||
| Constellation Brands | |||||||
| 3.75% 5/1/21 | USD | 165,000 | $ | 154,894 | |||
| 4.25% 5/1/23 | 620,000 | 586,675 | |||||
| 6.00% 5/1/22 | 1,135,000 | 1,222,963 | |||||
| #Cosan Luxembourg 144A 5.00% 3/14/23 | 1,585,000 | 1,509,713 | |||||
| Covidien International Finance 2.95% 6/15/23 | 1,950,000 | 1,847,319 | |||||
| Del Monte 7.625% 2/15/19 | 1,635,000 | 1,688,138 | |||||
| Energizer Holdings 4.70% 5/24/22 | 4,055,000 | 4,136,595 | |||||
| #*ESAL Gmbh 144A 6.25% 2/5/23 | 2,855,000 | 2,620,890 | |||||
| Fomento Economico Mexicano SAB de CV | |||||||
| 4.375% 5/10/43 | 1,640,000 | 1,435,838 | |||||
| #Hawk Acquisition Sub 144A 4.25% 10/15/20 | 510,000 | 488,963 | |||||
| #Heineken 144A 3.40% 4/1/22 | 1,310,000 | 1,290,133 | |||||
| Jarden | |||||||
| 6.125% 11/15/22 | 680,000 | 716,550 | |||||
| 7.50% 1/15/20 | 365,000 | 392,375 | |||||
| #Korea Expressway 144A 1.875% 10/22/17 | 2,035,000 | 1,919,711 | |||||
| Laboratory Corporation of America | |||||||
| 2.20% 8/23/17 | 2,075,000 | 2,062,145 | |||||
| Molson Coors Brewing 5.00% 5/1/42 | 640,000 | 617,052 | |||||
| #Mylan 144A 3.125% 1/15/23 | 1,245,000 | 1,140,431 | |||||
| NBTY 9.00% 10/1/18 | 1,635,000 | 1,786,238 | |||||
| Newell Rubbermaid 2.05% 12/1/17 | 1,270,000 | 1,245,860 | |||||
| #Pernod-Ricard 144A 5.75% 4/7/21 | 6,040,000 | 6,720,442 | |||||
| Quest Diagnostics 4.70% 4/1/21 | 2,680,000 | 2,790,454 | |||||
| Scotts Miracle-Gro 6.625% 12/15/20 | 540,000 | 575,100 | |||||
| Smithfield Foods 6.625% 8/15/22 | 945,000 | 1,018,238 | |||||
| #Spectrum Brands Escrow 144A | |||||||
| 6.375% 11/15/20 | 980,000 | 1,029,000 | |||||
| St. Jude Medical 3.25% 4/15/23 | 1,535,000 | 1,450,431 | |||||
| #Want Want China Finance 144A | |||||||
| 1.875% 5/14/18 | 1,270,000 | 1,191,755 | |||||
| Yale University 2.90% 10/15/14 | 1,760,000 | 1,813,566 | |||||
| Zimmer Holdings | |||||||
| 3.375% 11/30/21 | 2,700,000 | 2,644,056 | |||||
| 4.625% 11/30/19 | 3,610,000 | 3,950,120 | |||||
| #Zoetis 144A 3.25% 2/1/23 | 4,050,000 | 3,855,786 | |||||
| 73,340,162 | |||||||
| Electric–4.12% | |||||||
| Ameren Illinois 9.75% 11/15/18 | 5,810,000 | 7,806,118 | |||||
| #American Transmission Systems 144A | |||||||
| 5.25% 1/15/22 | 4,370,000 | 4,734,213 | |||||
| #APT Pipelines 144A 3.875% 10/11/22 | 965,000 | 891,722 | |||||
| CenterPoint Energy 5.95% 2/1/17 | 2,590,000 | 2,947,487 | |||||
| CMS Energy 6.25% 2/1/20 | 1,695,000 | 1,971,760 | |||||
| ComEd Financing III 6.35% 3/15/33 | 2,015,000 | 2,092,914 | |||||
| Duquense Light Holdings 5.50% 8/15/15 | 1,076,000 | 1,166,093 | |||||
| #•Electricite de France 144A 5.25% 12/29/49 | 2,830,000 | 2,710,475 | |||||
| Exelon Generation 4.25% 6/15/22 | 4,850,000 | 4,859,496 | |||||
| •FPL Group Capital | |||||||
| 6.35% 10/1/66 | 5,200,000 | 5,385,926 | |||||
| 6.65% 6/15/67 | 195,000 | 203,463 | |||||
| Great Plains Energy 5.292% 6/15/22 | 3,250,000 | 3,524,222 | |||||
| Indiana Michigan Power 3.20% 3/15/23 | 1,455,000 | 1,382,032 | |||||
| •Integrys Energy Group 6.11% 12/1/66 | 3,215,000 | 3,362,253 | |||||
| Ipalco Enterprises 5.00% 5/1/18 | 1,370,000 | 1,417,950 | |||||
| LG&E & KU Energy | |||||||
| 3.75% 11/15/20 | 2,635,000 | 2,694,016 | |||||
| 4.375% 10/1/21 | 3,430,000 | 3,579,853 | |||||
| #Narragansett Electric 144A 4.17% 12/10/42 | 1,415,000 | 1,283,065 | |||||
| •National Rural Utilities Cooperative Finance | |||||||
| 4.75% 4/30/43 | 2,790,000 | 2,720,250 | |||||
| NextEra Energy Capital Holdings | |||||||
| 3.625% 6/15/23 | 1,210,000 | 1,167,877 | |||||
| NV Energy 6.25% 11/15/20 | 2,815,000 | 3,312,197 | |||||
| Pennsylvania Electric 5.20% 4/1/20 | 3,195,000 | 3,517,963 | |||||
| •PPL Capital Funding 6.70% 3/30/67 | 1,330,000 | 1,374,354 | |||||
| Public Service Company of Oklahoma | |||||||
| 5.15% 12/1/19 | 3,595,000 | 4,079,063 | |||||
| Puget Energy 6.00% 9/1/21 | 1,065,000 | 1,146,414 | |||||
| •Puget Sound Energy 6.974% 6/1/67 | 4,314,000 | 4,547,918 | |||||
| #Saudi Electricity Global 144A | |||||||
| 3.473% 4/8/23 | 980,000 | 943,250 | |||||
| * | 5.06% 4/8/43 | 1,565,000 | 1,428,063 | ||||
| SCANA 4.125% 2/1/22 | 2,260,000 | 2,228,109 | |||||
| •Wisconsin Energy 6.25% 5/15/67 | 4,880,000 | 5,177,241 | |||||
| 83,655,757 | |||||||
| Energy–4.52% | |||||||
| AmeriGas Partners | |||||||
| 6.50% 5/20/21 | 349,000 | 354,235 | |||||
| 6.75% 5/20/20 | 180,000 | 187,200 | |||||
| 7.00% 5/20/22 | 400,000 | 411,000 | |||||
| Antero Resources Finance 6.00% 12/1/20 | 295,000 | 292,050 | |||||
| Apache 2.625% 1/15/23 | 1,185,000 | 1,094,878 | |||||
| Bristow Group 6.25% 10/15/22 | 815,000 | 838,431 | |||||
| Chesapeake Energy | |||||||
| 5.375% 6/15/21 | 135,000 | 134,663 | |||||
| 5.75% 3/15/23 | 1,590,000 | 1,613,850 | |||||
| Chevron 2.427% 6/24/20 | 2,000,000 | 1,991,776 | |||||
| Comstock Resources 7.75% 4/1/19 | 440,000 | 451,000 | |||||
| #Continental Resources 144A 4.50% 4/15/23 | 785,000 | 764,394 | |||||
| Ecopetrol 7.625% 7/23/19 | 2,631,000 | 3,124,313 | |||||
| *Forest Oil 7.25% 6/15/19 | 907,000 | 857,115 | |||||
| #Gazprom Neft 144A 4.375% 9/19/22 | 3,005,000 | 2,767,154 | |||||
| Halcon Resources 8.875% 5/15/21 | 895,000 | 872,625 | |||||
| #Hercules Offshore 144A | |||||||
| 8.75% 7/15/21 | 300,000 | 300,000 | |||||
| 10.50% 10/15/17 | 1,345,000 | 1,442,513 | |||||
| #Hilcorp Energy I 144A 7.625% 4/15/21 | 640,000 | 681,600 | |||||
| #IPIC GMTN 144A 5.50% 3/1/22 | 1,888,000 | 2,024,880 | |||||
| #KazMunayGas National 144A | |||||||
| * | 5.75% 4/30/43 | 400,000 | 355,500 | ||||
| 9.125% 7/2/18 | 1,190,000 | 1,429,488 | |||||
| Key Energy Services 6.75% 3/1/21 | 920,000 | 887,800 | |||||
| Kodiak Oil & Gas 8.125% 12/1/19 | 910,000 | 991,900 | |||||
| Linn Energy | |||||||
| # | 144A 6.25% 11/1/19 | 250,000 | 239,375 | ||||
| 6.50% 5/15/19 | 210,000 | 206,325 | |||||
| 8.625% 4/15/20 | 615,000 | 648,825 | |||||
| Lukoil International Finance 6.125% 11/9/20 | 3,480,000 | 3,680,100 | |||||
| #Midstates Petroleum 144A 9.25% 6/1/21 | 855,000 | 804,769 | |||||
Diversified Income Series-9
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Energy (continued) | |||||||
| Newfield Exploration 5.625% 7/1/24 | USD | 1,905,000 | $ | 1,857,375 | |||
| Noble Holding International | |||||||
| 3.95% 3/15/22 | 2,930,000 | 2,872,071 | |||||
| 5.25% 3/15/42 | 620,000 | 557,268 | |||||
| #PDC Energy 144A 7.75% 10/15/22 | 400,000 | 415,000 | |||||
| Pemex Project Funding Master Trust | |||||||
| 6.625% 6/15/35 | 1,020,000 | 1,076,100 | |||||
| Petrobras Global Finance | |||||||
| • | 2.414% 1/15/19 | 460,000 | 451,950 | ||||
| 3.00% 1/15/19 | 2,670,000 | 2,486,800 | |||||
| Petrobras International Finance | |||||||
| 5.375% 1/27/21 | 3,242,000 | 3,273,428 | |||||
| Petrohawk Energy 7.25% 8/15/18 | 3,185,000 | 3,482,798 | |||||
| *Petroleos de Venezuela 9.00% 11/17/21 | 7,953,000 | 6,720,285 | |||||
| Petroleos Mexicanos | |||||||
| # | 144A 3.50% 1/30/23 | 2,390,000 | 2,210,750 | ||||
| 5.50% 6/27/44 | 1,420,000 | 1,281,550 | |||||
| Pride International 6.875% 8/15/20 | 8,765,000 | 10,417,404 | |||||
| Range Resources | |||||||
| 5.75% 6/1/21 | 390,000 | 403,650 | |||||
| 8.00% 5/15/19 | 1,167,000 | 1,248,690 | |||||
| #Regency Energy Partners 144A | |||||||
| 4.50% 11/1/23 | 1,455,000 | 1,320,413 | |||||
| Rosetta Resources 5.625% 5/1/21 | 1,590,000 | 1,554,225 | |||||
| #Rosneft 144A 4.199% 3/6/22 | 1,563,000 | 1,452,027 | |||||
| #Samson Investment 144A 10.00% 2/15/20 | 1,055,000 | 1,116,981 | |||||
| SandRidge Energy | |||||||
| 7.50% 3/15/21 | 360,000 | 345,600 | |||||
| 8.125% 10/15/22 | 1,100,000 | 1,094,500 | |||||
| #Sinopec Capital 2013 144A | |||||||
| 1.875% 4/24/18 | 2,210,000 | 2,127,728 | |||||
| 3.125% 4/24/23 | 610,000 | 551,688 | |||||
| Suburban Propane Partners 7.375% 8/1/21 | 464,000 | 484,880 | |||||
| Talisman Energy 5.50% 5/15/42 | 5,200,000 | 5,109,520 | |||||
| Weatherford International 9.625% 3/1/19 | 2,550,000 | 3,227,428 | |||||
| #Woodside Finance 144A | |||||||
| 8.125% 3/1/14 | 1,300,000 | 1,359,053 | |||||
| 8.75% 3/1/19 | 3,000,000 | 3,831,057 | |||||
| 91,777,978 | |||||||
| Finance Companies–1.75% | |||||||
| #CDP Financial 144A | |||||||
| 4.40% 11/25/19 | 4,590,000 | 5,057,340 | |||||
| 5.60% 11/25/39 | 3,200,000 | 3,679,574 | |||||
| E*TRADE Financial 6.375% 11/15/19 | 1,260,000 | 1,285,200 | |||||
| General Electric Capital | |||||||
| 2.10% 12/11/19 | 795,000 | 774,909 | |||||
| # | 144A 3.80% 6/18/19 | 1,555,000 | 1,620,874 | ||||
| 6.00% 8/7/19 | 7,985,000 | 9,282,091 | |||||
| • | 6.25% 12/15/49 | 2,100,000 | 2,240,656 | ||||
| • | 7.125% 12/15/49 | 1,400,000 | 1,584,668 | ||||
| #•ILFC E-Capital Trust I 144A 4.96% 12/21/65 | 545,000 | 468,700 | |||||
| #•ILFC E-Capital Trust II 144A 6.25% 12/21/65 | 760,000 | 695,400 | |||||
| International Lease Finance | |||||||
| 5.875% 4/1/19 | 815,000 | 827,225 | |||||
| 6.25% 5/15/19 | 1,898,000 | 1,959,685 | |||||
| 8.25% 12/15/20 | 795,000 | 895,369 | |||||
| 8.75% 3/15/17 | 950,000 | 1,062,813 | |||||
| #Nuveen Investments 144A 9.50% 10/15/20 | 1,995,000 | 1,995,000 | |||||
| #Temasek Financial I 144A 2.375% 1/23/23 | 2,365,000 | 2,106,773 | |||||
| 35,536,277 | |||||||
| Healthcare–0.58% | |||||||
| Accellent 8.375% 2/1/17 | 635,000 | 660,400 | |||||
| Air Medical Group Holdings 9.25% 11/1/18 | 864,000 | 935,280 | |||||
| #Alere 144A 7.25% 7/1/18 | 240,000 | 255,600 | |||||
| Biomet | |||||||
| 6.50% 8/1/20 | 720,000 | 745,650 | |||||
| 6.50% 10/1/20 | 215,000 | 215,538 | |||||
| Bio-Rad Laboratories 8.00% 9/15/16 | 515,000 | 541,504 | |||||
| Community Health Systems 8.00% 11/15/19 | 460,000 | 491,625 | |||||
| #Fresenius Medical Care US Finance II 144A | |||||||
| 5.875% 1/31/22 | 965,000 | 1,020,488 | |||||
| HCA 7.50% 2/15/22 | 1,245,000 | 1,381,950 | |||||
| HCA Holdings 7.75% 5/15/21 | 1,405,000 | 1,520,913 | |||||
| #Multiplan 144A 9.875% 9/1/18 | 1,390,000 | 1,518,575 | |||||
| #Mylan 144A 6.00% 11/15/18 | 630,000 | 690,634 | |||||
| Radnet Management 10.375% 4/1/18 | 570,000 | 612,750 | |||||
| Tenet Healthcare 8.00% 8/1/20 | 380,000 | 393,775 | |||||
| #Valeant Pharmaceuticals International 144A | |||||||
| 6.375% 10/15/20 | 635,000 | 631,031 | |||||
| #VPII Escrow 144A 6.75% 8/15/18 | 180,000 | 184,725 | |||||
| 11,800,438 | |||||||
| Insurance–2.32% | |||||||
| American International Group | |||||||
| 6.40% 12/15/20 | 1,015,000 | 1,178,861 | |||||
| 8.25% 8/15/18 | 2,815,000 | 3,498,535 | |||||
| •Chubb 6.375% 3/29/67 | 3,000,000 | 3,225,000 | |||||
| #Highmark 144A | |||||||
| 4.75% 5/15/21 | 1,235,000 | 1,164,866 | |||||
| 6.125% 5/15/41 | 515,000 | 454,794 | |||||
| *•ING Groep 5.775% 12/29/49 | 1,495,000 | 1,442,675 | |||||
| #ING US 144A | |||||||
| 2.90% 2/15/18 | 1,100,000 | 1,106,723 | |||||
| 5.50% 7/15/22 | 1,845,000 | 1,966,124 | |||||
| • | 5.65% 5/15/53 | 2,095,000 | 1,974,538 | ||||
| #Liberty Mutual Group 144A | |||||||
| 4.25% 6/15/23 | 1,740,000 | 1,684,598 | |||||
| 4.95% 5/1/22 | 2,210,000 | 2,273,020 | |||||
| 6.50% 5/1/42 | 2,290,000 | 2,458,395 | |||||
| • | 7.00% 3/15/37 | 790,000 | 801,850 | ||||
| MetLife | |||||||
| 6.40% 12/15/36 | 75,000 | 77,156 | |||||
| 6.817% 8/15/18 | 1,420,000 | 1,721,964 | |||||
| #MetLife Capital Trust X 144A 9.25% 4/8/38 | 3,120,000 | 4,134,000 | |||||
| #Metropolitan Life Global Funding I 144A | |||||||
| 3.00% 1/10/23 | 2,620,000 | 2,465,250 | |||||
| 3.875% 4/11/22 | 605,000 | 614,057 | |||||
| Prudential Financial | |||||||
| 3.88% 1/14/15 | 1,020,000 | 1,063,044 | |||||
| 4.50% 11/15/20 | 785,000 | 838,017 | |||||
| * | 4.50% 11/16/21 | 585,000 | 617,397 | ||||
| • | 5.625% 6/15/43 | 1,745,000 | 1,714,463 | ||||
| 6.00% 12/1/17 | 1,880,000 | 2,160,987 | |||||
| WellPoint 3.30% 1/15/23 | 4,215,000 | 4,020,579 | |||||
Diversified Income Series-10
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Insurance (continued) | |||||||
| •XL Group 6.50% 12/29/49 | USD | 1,895,000 | $ | 1,857,100 | |||
| #•ZFS Finance USA Trust II 144A | |||||||
| 6.45% 12/15/65 | 2,275,000 | 2,451,313 | |||||
| 46,965,306 | |||||||
| Natural Gas–2.80% | |||||||
| #CNOOC Finance 2012 144A 3.875% 5/2/22 | 1,200,000 | 1,160,808 | |||||
| El Paso Pipeline Partners Operating | |||||||
| 6.50% 4/1/20 | 2,820,000 | 3,278,022 | |||||
| •Enbridge Energy Partners 8.05% 10/1/37 | 4,085,000 | 4,649,751 | |||||
| Energy Transfer Partners 9.70% 3/15/19 | 2,159,000 | 2,805,109 | |||||
| Enterprise Products Operating | |||||||
| • | 7.034% 1/15/68 | 4,750,000 | 5,337,100 | ||||
| 9.75% 1/31/14 | 2,840,000 | 2,984,005 | |||||
| #GDF Suez 144A 2.875% 10/10/22 | 2,205,000 | 2,085,809 | |||||
| Kinder Morgan Energy Partners | |||||||
| * | 3.50% 9/1/23 | 3,555,000 | 3,338,589 | ||||
| 9.00% 2/1/19 | 3,840,000 | 4,911,076 | |||||
| NiSource Finance | |||||||
| 3.85% 2/15/23 | 950,000 | 923,644 | |||||
| 4.80% 2/15/44 | 2,150,000 | 1,954,243 | |||||
| 5.80% 2/1/42 | 2,255,000 | 2,330,687 | |||||
| #Pertamina Persero 144A | |||||||
| * | 4.30% 5/20/23 | 440,000 | 409,200 | ||||
| 4.875% 5/3/22 | 1,055,000 | 1,012,800 | |||||
| Plains All American Pipeline 8.75% 5/1/19 | 3,435,000 | 4,481,981 | |||||
| Spectra Energy Capital 3.30% 3/15/23 | 875,000 | 791,014 | |||||
| Statoil | |||||||
| 2.65% 1/15/24 | 1,110,000 | 1,031,749 | |||||
| 3.95% 5/15/43 | 1,290,000 | 1,171,645 | |||||
| Sunoco Logistics Partners Operations | |||||||
| 3.45% 1/15/23 | 2,945,000 | 2,741,397 | |||||
| •TransCanada Pipelines 6.35% 5/15/67 | 5,835,000 | 6,090,165 | |||||
| Williams Partners 7.25% 2/1/17 | 2,765,000 | 3,216,113 | |||||
| 56,704,907 | |||||||
| Real Estate–1.95% | |||||||
| Alexandria Real Estate Equities | |||||||
| 3.90% 6/15/23 | 500,000 | 478,330 | |||||
| 4.60% 4/1/22 | 2,980,000 | 3,042,315 | |||||
| Boston Properties 3.80% 2/1/24 | 1,910,000 | 1,879,940 | |||||
| BRE Properties 3.375% 1/15/23 | 2,220,000 | 2,071,788 | |||||
| #Corporate Office Properties 144A | |||||||
| 3.60% 5/15/23 | 1,715,000 | 1,586,130 | |||||
| DDR | |||||||
| 4.625% 7/15/22 | 800,000 | 809,922 | |||||
| 4.75% 4/15/18 | 2,200,000 | 2,366,448 | |||||
| 7.50% 4/1/17 | 1,060,000 | 1,230,228 | |||||
| 7.875% 9/1/20 | 2,175,000 | 2,656,730 | |||||
| 9.625% 3/15/16 | 865,000 | 1,030,669 | |||||
| Digital Realty Trust | |||||||
| 5.25% 3/15/21 | 2,985,000 | 3,118,609 | |||||
| 5.875% 2/1/20 | 2,105,000 | 2,300,022 | |||||
| Duke Realty 3.625% 4/15/23 | 1,700,000 | 1,576,383 | |||||
| #Lexington Realty Trust 144A 4.25% 6/15/23 | 1,950,000 | 1,872,848 | |||||
| National Retail Properties | |||||||
| 3.30% 4/15/23 | 1,725,000 | 1,562,141 | |||||
| 3.80% 10/15/22 | 445,000 | 424,702 | |||||
| #Qatari Diar Finance 144A 5.00% 7/21/20 | 1,601,000 | 1,773,108 | |||||
| Regency Centers | |||||||
| 4.80% 4/15/21 | 1,960,000 | 2,070,154 | |||||
| 5.875% 6/15/17 | 575,000 | 640,954 | |||||
| UDR 4.625% 1/10/22 | 2,620,000 | 2,715,135 | |||||
| #•USB Realty 144A 1.4241% 12/22/49 | 300,000 | 259,500 | |||||
| #WEA Finance 144A 4.625% 5/10/21 | 2,235,000 | 2,361,687 | |||||
| Weingarten Realty Investors 3.50% 4/15/23 | 1,865,000 | 1,725,108 | |||||
| 39,552,851 | |||||||
| Services–1.11% | |||||||
| #Algeco Scotsman Global Finance 144A | |||||||
| 8.50% 10/15/18 | 685,000 | 685,000 | |||||
| 10.75% 10/15/19 | 1,515,000 | 1,454,400 | |||||
| Ameristar Casinos 7.50% 4/15/21 | 1,175,000 | 1,227,875 | |||||
| #Avis Budget Car Rental 144A 5.50% 4/1/23 | 1,025,000 | 994,250 | |||||
| Caesars Entertainment Operating 8.50% 2/15/20 | 580,000 | 548,463 | |||||
| #DigitalGlobe 144A 5.25% 2/1/21 | 325,000 | 313,625 | |||||
| FTI Consulting 6.75% 10/1/20 | 670,000 | 708,525 | |||||
| Geo Group | |||||||
| # | 144A 5.125% 4/1/23 | 200,000 | 191,500 | ||||
| 6.625% 2/15/21 | 645,000 | 680,475 | |||||
| H&E Equipment Services 7.00% 9/1/22 | 1,110,000 | 1,162,725 | |||||
| Iron Mountain 7.75% 10/1/19 | 290,000 | 313,200 | |||||
| M/I Homes 8.625% 11/15/18 | 1,010,000 | 1,100,900 | |||||
| MGM Resorts International | |||||||
| 7.75% 3/15/22 | 315,000 | 343,744 | |||||
| 11.375% 3/1/18 | 2,180,000 | 2,735,900 | |||||
| PHH | |||||||
| 7.375% 9/1/19 | 690,000 | 734,850 | |||||
| 9.25% 3/1/16 | 1,630,000 | 1,821,525 | |||||
| Pinnacle Entertainment 8.75% 5/15/20 | 565,000 | 608,788 | |||||
| Ryland Group 8.40% 5/15/17 | 1,088,000 | 1,245,760 | |||||
| Standard Pacific 10.75% 9/15/16 | 1,090,000 | 1,299,825 | |||||
| United Rentals North America | |||||||
| 6.125% 6/15/23 | 395,000 | 395,000 | |||||
| 10.25% 11/15/19 | 975,000 | 1,096,875 | |||||
| West 7.875% 1/15/19 | 1,405,000 | 1,466,469 | |||||
| Wynn Las Vegas | |||||||
| # | 144A 4.25% 5/30/23 | 705,000 | 653,006 | ||||
| 7.75% 8/15/20 | 675,000 | 752,895 | |||||
| 22,535,575 | |||||||
| Technology–2.33% | |||||||
| Agilent Technologies 3.875% 7/15/23 | 2,240,000 | 2,167,733 | |||||
| Apple 2.40% 5/3/23 | 4,360,000 | 4,052,476 | |||||
| #Avaya 144A | |||||||
| 7.00% 4/1/19 | 650,000 | 589,875 | |||||
| 10.50% 3/1/21 | 400,000 | 305,000 | |||||
| Baidu 3.50% 11/28/22 | 3,345,000 | 3,005,543 | |||||
| EMC | |||||||
| 2.65% 6/1/20 | 1,845,000 | 1,821,615 | |||||
| 3.375% 6/1/23 | 3,380,000 | 3,324,440 | |||||
| Fidelity National Information Services | |||||||
| 3.50% 4/15/23 | 2,345,000 | 2,122,218 | |||||
| First Data | |||||||
| * | 11.25% 3/31/16 | 570,000 | 560,025 | ||||
| # | 144A 11.25% 1/15/21 | 745,000 | 746,863 | ||||
| GXS Worldwide 9.75% 6/15/15 | 2,105,000 | 2,147,100 | |||||
Diversified Income Series-11
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Technology (continued) | |||||||
| Infor US 9.375% 4/1/19 | USD | 245,000 | $ | 266,744 | |||
| Jabil Circuit 7.75% 7/15/16 | 330,000 | 375,375 | |||||
| Microsoft 2.125% 11/15/22 | 2,100,000 | 1,916,380 | |||||
| National Semiconductor 6.60% 6/15/17 | 4,745,000 | 5,580,305 | |||||
| NetApp | |||||||
| 2.00% 12/15/17 | 1,330,000 | 1,296,791 | |||||
| 3.25% 12/15/22 | 1,640,000 | 1,513,036 | |||||
| #NXP 144A | |||||||
| 3.75% 6/1/18 | 320,000 | 315,200 | |||||
| 5.75% 3/15/23 | 675,000 | 681,750 | |||||
| Oracle 5.75% 4/15/18 | 205,000 | 238,798 | |||||
| #Samsung Electronics 144A 1.75% 4/10/17 | 3,005,000 | 2,979,157 | |||||
| #Seagate HDD Cayman 144A 4.75% 6/1/23 | 1,065,000 | 998,438 | |||||
| Symantec 4.20% 9/15/20 | 2,290,000 | 2,351,010 | |||||
| #Tencent Holdings 144A 3.375% 3/5/18 | 2,405,000 | 2,401,912 | |||||
| Total System Services | |||||||
| 2.375% 6/1/18 | 465,000 | 451,030 | |||||
| 3.75% 6/1/23 | 2,620,000 | 2,437,624 | |||||
| #VeriSign 144A 4.625% 5/1/23 | 790,000 | 770,250 | |||||
| Xerox 6.35% 5/15/18 | 1,555,000 | 1,784,047 | |||||
| 47,200,735 | |||||||
| Transportation–0.63% | |||||||
| #Brambles USA 144A | |||||||
| 3.95% 4/1/15 | 965,000 | 1,008,146 | |||||
| 5.35% 4/1/20 | 910,000 | 999,229 | |||||
| #ERAC USA Finance 144A 5.25% 10/1/20 | 6,355,000 | 7,038,048 | |||||
| FedEx 4.10% 4/15/43 | 1,270,000 | 1,125,757 | |||||
| United Parcel Service 5.125% 4/1/19 | 2,205,000 | 2,538,628 | |||||
| 12,709,808 | |||||||
| Utilities–0.24% | |||||||
| AES | |||||||
| 4.875% 5/15/23 | 450,000 | 420,750 | |||||
| 7.375% 7/1/21 | 294,000 | 324,135 | |||||
| 8.00% 6/1/20 | 616,000 | 705,320 | |||||
| Elwood Energy 8.159% 7/5/26 | 646,804 | 677,528 | |||||
| *GenOn Energy 9.875% 10/15/20 | 850,000 | 939,250 | |||||
| Mirant Americas Generation 8.50% 10/1/21 | 931,000 | 1,005,480 | |||||
| NRG Energy 7.875% 5/15/21 | 805,000 | 863,363 | |||||
| 4,935,826 | |||||||
| Total Corporate Bonds (cost $945,425,038) | 955,405,988 | ||||||
| MUNICIPAL BONDS–0.16% | |||||||
| Golden State Tobacco Securitization | |||||||
| Settlement Revenue Asset-Backed | |||||||
| Senior Series A-1 | |||||||
| 5.125% 6/1/47 | 2,315,000 | 1,803,640 | |||||
| 5.75% 6/1/47 | 1,700,000 | 1,460,589 | |||||
| Oregon State Taxable Pension 5.892% 6/1/27 | 5,000 | 6,059 | |||||
| Total Municipal Bonds (cost $3,365,651) | 3,270,288 | ||||||
| NON-AGENCY ASSET-BACKED | |||||||
| SECURITIES–1.26% | |||||||
| •Ally Master Owner Trust | |||||||
| Series 2011-1 A1 1.063% 1/15/16 | 2,200,000 | 2,203,309 | |||||
| Series 2013-2 A 0.643% 4/15/18 | 2,300,000 | 2,288,387 | |||||
| #Avis Budget Rental Car Funding AESOP | |||||||
| Series 2011-2A A 144A 2.37% 11/20/14 | 1,550,000 | 1,575,442 | |||||
| #California Republic Auto Receivables Trust | |||||||
| Series 2013-1 A2 144A 1.41% 9/17/18 | 1,135,000 | 1,127,518 | |||||
| Capital One Multi-Asset Execution Trust | |||||||
| Series 2007-A7 A7 5.75% 7/15/20 | 2,485,000 | 2,892,610 | |||||
| CenterPoint Energy Transition Bond | |||||||
| Series 2012-1 A2 2.161% 10/15/21 | 1,355,000 | 1,351,309 | |||||
| Chase Funding Mortgage Loan Asset-Backed | |||||||
| Certificates Series 2002-3 1A6 | |||||||
| 4.707% 6/25/32 | 80,765 | 80,895 | |||||
| Citibank Credit Card Issuance Trust | |||||||
| Series 2007-A3 A3 6.15% 6/15/39 | 772,000 | 927,116 | |||||
| •Citicorp Residential Mortgage Securities | |||||||
| Series 2006-3 A4 5.703% 11/25/36 | 1,269,144 | 1,266,173 | |||||
| Series 2006-3 A5 5.948% 11/25/36 | 1,800,000 | 1,710,338 | |||||
| Discover Card Master Trust | |||||||
| Series 2012-A1 A1 0.81% 8/15/17 | 2,180,000 | 2,183,822 | |||||
| #Enterprise Fleet Financing | |||||||
| Series 2012-1 A2 144A 1.14% 11/20/17 | 708,934 | 709,662 | |||||
| #FRS I Series 2013-1A A1 144A | |||||||
| 1.80% 4/15/43 | 653,675 | 645,434 | |||||
| General Electric Capital Credit Card | |||||||
| Master Note Trust | |||||||
| Series 2012-2A 2.22% 1/15/22 | 1,060,000 | 1,054,606 | |||||
| Series 2012-6 A 1.36% 8/17/20 | 1,795,000 | 1,765,508 | |||||
| #Golden Credit Card Trust | |||||||
| Series 2012-5A A 144A 0.79% 9/15/17 | 985,000 | 984,859 | |||||
| #Great America Leasing Receivables | |||||||
| Series 2013-1 B 144A 1.44% 5/15/18 | 205,000 | 201,959 | |||||
| #•MASTR Specialized Loan Trust | |||||||
| Series 2005-2 A2 144A 5.006% 7/25/35 | 51,396 | 51,706 | |||||
| Mid-State Trust XI Series 11 A1 | |||||||
| 4.864% 7/15/38 | 12,620 | 13,485 | |||||
| •Residential Asset Securities | |||||||
| Series 2006-KS3 AI3 0.363% 4/25/36 | 13,689 | 13,535 | |||||
| #•Trafigura Securitisation Finance | |||||||
| Series 2012-1A A 144A 2.593% 10/15/15 | 1,510,000 | 1,528,993 | |||||
| #Trinity Rail Leasing Series 2012-1A A1 144A | |||||||
| 2.266% 1/15/43 | 1,062,250 | 1,075,362 | |||||
| Total Non-Agency Asset-Backed Securities | |||||||
| (cost $25,090,053) | 25,652,028 | ||||||
| NON-AGENCY COLLATERALIZED MORTGAGE | |||||||
| OBLIGATIONS–0.31% | |||||||
| •American Home Mortgage Investment Trust | |||||||
| Series 2005-2 5A1 5.064% 9/25/35 | 213,361 | 211,732 | |||||
| Bank of America Alternative Loan Trust | |||||||
| Series 2005-1 2A1 5.50% 2/25/20 | 214,000 | 219,663 | |||||
| Series 2005-3 2A1 5.50% 4/25/20 | 32,149 | 33,622 | |||||
| Series 2005-6 7A1 5.50% 7/25/20 | 202,826 | 210,853 | |||||
| •Chaseflex Trust Series 2006-1 A4 | |||||||
| 5.462% 6/25/36 | 1,490,000 | 1,275,217 | |||||
Diversified Income Series-12
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| NON-AGENCY COLLATERALIZED MORTGAGE | |||||||
| OBLIGATIONS (continued) | |||||||
| Citicorp Mortgage Securities | |||||||
| Series 2006-3 1A9 5.75% 6/25/36 | USD | 199,757 | $ | 199,566 | |||
| •Citigroup Mortgage Loan Trust | |||||||
| Series 2004-UST1 A6 3.994% 8/25/34 | 114,669 | 113,367 | |||||
| •tCountrywide Home Loan Mortgage | |||||||
| Pass Through Trust Series 2003-21 A1 | |||||||
| 2.82% 5/25/33 | 194 | 193 | |||||
| •GSR Mortgage Loan Trust | |||||||
| Series 2006-AR1 3A1 3.182% 1/25/36 | 270,781 | 231,112 | |||||
| •JPMorgan Mortgage Trust | |||||||
| Series 2005-A2 5A1 4.115% 4/25/35 | 392 | 392 | |||||
| Series 2006-A2 3A3 5.263% 4/25/36 | 394,451 | 343,012 | |||||
| •MASTR ARM Trust | |||||||
| Series 2003-6 1A2 2.825% 12/25/33 | 13,481 | 13,349 | |||||
| Series 2005-6 7A1 5.211% 6/25/35 | 259,192 | 250,792 | |||||
| tWashington Mutual Alternative Mortgage | |||||||
| Pass Through Certificates | |||||||
| Series 2005-1 5A2 6.00% 3/25/35 | 119,633 | 70,705 | |||||
| •tWashington Mutual Mortgage Pass Through | |||||||
| Certificates Series 2006-AR14 2A1 | |||||||
| 4.841% 11/25/36 | 1,405,309 | 1,191,071 | |||||
| Wells Fargo Mortgage-Backed Securities Trust | |||||||
| Series 2006-2 3A1 5.75% 3/25/36 | 741,408 | 722,908 | |||||
| Series 2006-3 A11 5.50% 3/25/36 | 665,546 | 687,653 | |||||
| • | Series 2006-AR5 2A1 2.639% 4/25/36 | 540,009 | 486,384 | ||||
| Total Non-Agency Collateralized Mortgage | |||||||
| Obligations (cost $5,758,508) | 6,261,591 | ||||||
| ΔREGIONAL BONDS–0.97% | |||||||
| Australia–0.97% | |||||||
| New South Wales Treasury | |||||||
| 3.75% 11/20/20 | AUD | 1,871,000 | 2,142,027 | ||||
| 6.00% 3/1/22 | AUD | 7,095,000 | 7,269,231 | ||||
| Queensland Treasury 4.25% 7/21/23 | AUD | 1,879,000 | 1,644,854 | ||||
| Victoria Treasury 6.00% 10/17/22 | AUD | 8,314,000 | 8,558,326 | ||||
| Total Regional Bonds (cost $22,923,130) | 19,614,438 | ||||||
| «SENIOR SECURED LOANS–7.30% | |||||||
| Air Medical Group Holdings Tranche B1 1st Lien | |||||||
| 6.50% 5/26/18 | 532,325 | 538,979 | |||||
| Albertsons | |||||||
| Tranche B 4.25% 3/21/16 | 590,520 | 590,705 | |||||
| Tranche B 1st Lien 4.75% 3/21/19 | 612,465 | 608,892 | |||||
| Alcatel-Lucent USA Tranche C 1st Lien | |||||||
| 7.25% 12/4/18 | 762,957 | 771,382 | |||||
| Allied Security Holdings Tranche 2L | |||||||
| 9.00% 1/21/18 | 665,000 | 673,313 | |||||
| American Builders & Contractors Supply | |||||||
| Tranche B 1st Lien 3.50% 4/5/20 | 605,000 | 601,759 | |||||
| ARAMARK Tranche D 4.00% 9/30/19 | 535,000 | 537,408 | |||||
| Arysta Lifescience | |||||||
| 1st Lien 4.50% 5/20/20 | 450,000 | 448,403 | |||||
| 2nd Lien 8.25% 11/22/20 | 610,000 | 607,514 | |||||
| ATI Holdings Tranche B 5.75% 1/31/20 | 681,575 | 685,409 | |||||
| Avaya | |||||||
| Tranche B-3 4.50% 10/27/17 | USD | 454,199 | 398,818 | ||||
| Tranche B5 8.00% 3/31/18 | 923,770 | 867,766 | |||||
| Avis Budget Car Rental Tranche B 1st Lien | |||||||
| 3.00% 3/15/19 | 339,150 | 338,408 | |||||
| Bausch & Lomb | |||||||
| Delayed Draw B-DD 3.25% 11/25/16 | 199,001 | 199,001 | |||||
| Tranche B 4.00% 5/17/19 | 1,821,635 | 1,826,416 | |||||
| Biomet Tranche B 3.75% 7/25/17 | 744,375 | 742,580 | |||||
| BJ’S Wholesale Club 2nd Lien | |||||||
| 9.75% 3/29/19 | 2,440,000 | 2,483,464 | |||||
| Blackboard Tranche B2 6.25% 10/4/18 | 1,849,481 | 1,867,205 | |||||
| Bombardier Recreational 1st Lien | |||||||
| 5.00% 1/17/19 | 1,154,057 | 1,154,418 | |||||
| Bresnan Broadband Holdings 4.50% 12/14/17 | 1,480,363 | 1,487,919 | |||||
| Brickman Group Holdings Tranche B3 1st Lien | |||||||
| 4.25% 9/28/18 | 651,000 | 651,271 | |||||
| Burlington Coat Factory Tranche B2 | |||||||
| 4.25% 2/23/17 | 1,762,443 | 1,767,940 | |||||
| Caesars Entertainment Tranche B6 | |||||||
| 5.25% 1/28/18 | 587,346 | 520,316 | |||||
| Calpine Construction Finance Tranche B | |||||||
| 3.00% 5/1/20 | 1,235,000 | 1,225,076 | |||||
| Carestream Health | |||||||
| Tranche B 5.00% 6/5/19 | 1,815,000 | 1,792,881 | |||||
| 2nd Lien 9.50% 12/5/19 | 755,000 | 741,159 | |||||
| Chrysler Group Tranche B 4.25% 5/24/17 | 155,000 | 155,844 | |||||
| Clear Channel Communication Tranche B | |||||||
| 3.65% 1/29/16 | 1,256,470 | 1,152,183 | |||||
| Community Health Systems 3.50% 1/25/17 | 2,040,000 | 2,045,100 | |||||
| Crown Castle Tranche B 3.25% 1/31/19 | 1,195,932 | 1,194,686 | |||||
| David’s Bridal Tranche B 5.00% 9/25/19 | 457,700 | 459,560 | |||||
| DaVita | |||||||
| Tranche B 4.50% 10/20/16 | 1,461,266 | 1,465,223 | |||||
| Tranche B2 4.00% 8/1/19 | 1,124,350 | 1,128,462 | |||||
| Delta Air Lines Tranche B 1st Lien | |||||||
| 4.25% 4/15/17 | 2,130,815 | 2,138,263 | |||||
| Deltek | |||||||
| 10.00% 8/28/17 | 75,000 | 75,281 | |||||
| 1st Lien 5.00% 10/10/18 | 458,850 | 458,850 | |||||
| Dupont Performance Coatings Tranche B | |||||||
| 4.75% 2/1/20 | 1,097,250 | 1,099,504 | |||||
| Dynegy Tranche B2 4.00% 4/16/20 | 289,231 | 288,146 | |||||
| Edward Cayman Island II 1st Lien | |||||||
| 4.75% 3/5/20 | 183,634 | 183,405 | |||||
| EGP Energy Tranche B3 2nd Lien | |||||||
| 3.50% 4/24/18 | 1,405,000 | 1,399,072 | |||||
| Emdeon 1st Lien 3.75% 11/2/18 | 1,639,113 | 1,635,425 | |||||
| Equipower Resources Holdings | |||||||
| Tranche B 5.50% 12/21/18 | 445,514 | 453,589 | |||||
| Tranche C 4.25% 12/21/19 | 760,000 | 756,200 | |||||
| 2nd Lien 10.00% 5/23/19 | 785,000 | 808,550 | |||||
| Essar Steel Algoma 8.75% 9/12/14 | 958,173 | 974,143 | |||||
| First Data 1st Lien 4.00% 4/5/17 | 3,439,831 | 3,377,054 | |||||
| Flying Fortress 1st Lien 3.50% 6/30/17 | 282,500 | 281,441 | |||||
Diversified Income Series-13
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| «SENIOR SECURED LOANS (continued) | |||||||
| Generac Power Systems Tranche B | |||||||
| 3.50% 5/10/20 | USD | 763,681 | $ | 759,147 | |||
| Getty Images Tranche B 4.75% 9/19/19 | 1,577,075 | 1,564,656 | |||||
| GIM Channelview Cogeneration | |||||||
| 4.25% 4/18/20 | 770,000 | 776,416 | |||||
| Gray Television 4.75% 10/11/19 | 2,699,369 | 2,721,302 | |||||
| Harrah’s Las Vegas Propco 3.50% 2/13/15 | 790,000 | 730,010 | |||||
| Harrahs Loan Operating Tranche B | |||||||
| 9.50% 10/31/16 | 2,724,538 | 2,713,563 | |||||
| HCA Tranche B4 2.75% 5/1/18 | 1,630,000 | 1,625,416 | |||||
| HD Supply Tranche B 4.50% 10/12/17 | 1,600,872 | 1,605,625 | |||||
| Hologic Tranche B 4.50% 4/29/19 | 1,478,825 | 1,485,641 | |||||
| Hostess Brands 1st Lien 6.75% 3/12/20 | 940,000 | 957,625 | |||||
| Houghton International | |||||||
| 1st Lien 5.25% 11/20/19 | 412,925 | 414,904 | |||||
| 2nd Lien 9.50% 11/20/20 | 570,000 | 578,194 | |||||
| Iasis Healthcare Tranche B 1st Lien | |||||||
| 4.50% 5/3/18 | 1,795,495 | 1,796,842 | |||||
| Immucor Tranche B2 5.00% 8/19/18 | 2,511,065 | 2,521,529 | |||||
| Ineos US Finance 4.00% 5/4/18 | 1,351,963 | 1,329,853 | |||||
| Infor US Tranche B2 5.25% 4/5/18 | 806,158 | 812,204 | |||||
| Intelsat Jackson Holdings Tranche B1 | |||||||
| 4.50% 4/2/18 | 2,719,409 | 2,728,759 | |||||
| JC Penney 1st Lien 6.00% 5/21/18 | 345,000 | 345,982 | |||||
| KIK Custom Products | |||||||
| 1st Lien 5.50% 5/17/19 | 1,995,000 | 1,975,882 | |||||
| 2nd Lien 9.50% 11/17/19 | 1,235,000 | 1,232,941 | |||||
| Landry’s Tranche B 4.75% 4/24/18 | 1,772,070 | 1,776,869 | |||||
| Level 3 Financing Tranche B 1st Lien | |||||||
| 4.75% 8/1/19 | 2,195,000 | 2,199,803 | |||||
| LTS Buyer | |||||||
| 1st Lien 4.50% 3/15/20 | 310,000 | 309,287 | |||||
| 2nd Lien 8.00% 3/15/21 | 940,000 | 940,392 | |||||
| MacDermid 2nd Lien 7.75% 12/6/20 | 305,000 | 309,575 | |||||
| MGM Resorts International Tranche B | |||||||
| 4.25% 12/13/19 | 1,184,050 | 1,176,206 | |||||
| Michael Stores Tranche B 1st Lien | |||||||
| 3.75% 1/16/20 | 730,000 | 728,707 | |||||
| Mission Broadcasting Tranche B 1st Lien | |||||||
| 3.50% 12/3/19 | 90,402 | 91,080 | |||||
| Multiplan Tranche B 4.00% 8/18/17 | 1,310,870 | 1,316,721 | |||||
| National Cinemedia Tranche B 2.75% 11/26/19 | 306,000 | 304,661 | |||||
| NEP Broadcasting 2nd Lien 9.50% 7/3/20 | 1,114,286 | 1,147,714 | |||||
| Nexstar Broadcasting Group Tranche B | |||||||
| 4.50% 7/19/19 | 213,836 | 216,241 | |||||
| Nuveen Investments 2nd Lien 6.50% 2/28/19 | 6,577,000 | 6,531,718 | |||||
| NXP BV Tranche C 4.75% 12/4/20 | 303,475 | 308,154 | |||||
| OSI Restaurants Tranche B 1st Lien | |||||||
| 3.50% 10/26/19 | 978,375 | 976,235 | |||||
| Otter Products Tranche B 5.25% 4/29/19 | 1,550,000 | 1,554,521 | |||||
| Panda Temple Power II Tranche B 1st Lien | |||||||
| 7.25% 3/28/19 | 1,832,000 | 1,868,640 | |||||
| Par Pharmaceutical Tranche B 1st Lien | |||||||
| 4.25% 9/28/19 | 661,675 | 658,662 | |||||
| Pharmaceutical Product Development | |||||||
| 4.25% 12/5/18 | 890,525 | 893,679 | |||||
| PQ Tranche B 4.50% 8/7/17 | 1,322,851 | 1,325,435 | |||||
| PVH Tranche B 3.25% 12/19/19 | 1,361,588 | 1,362,722 | |||||
| Ranpak 2nd Lien 8.50% 4/10/20 | 940,000 | 968,200 | |||||
| Remy International Tranche B 1st Lien | |||||||
| 4.25% 3/5/20 | 437,833 | 438,381 | |||||
| Reynolds Group Holdings 1st Lien | |||||||
| 4.75% 9/21/18 | 1,846,050 | 1,853,357 | |||||
| RGIS Services 4.25% 5/3/17 | 1,116,605 | 1,128,456 | |||||
| Rite Aid 2nd Lien 5.75% 8/3/20 | 1,680,000 | 1,712,550 | |||||
| Samson Investment 2nd Lien 6.00% 9/10/18 | 1,335,000 | 1,335,000 | |||||
| Scientific Games International 4.25% 5/22/20 | 2,335,000 | 2,310,398 | |||||
| Sensus USA 2nd Lien 8.50% 4/13/18 | 1,810,000 | 1,815,656 | |||||
| Seven Seas Cruises S RL 1st Lien | |||||||
| 4.75% 12/21/18 | 1,071,438 | 1,072,108 | |||||
| Smart & Final | |||||||
| 1st Lien 5.75% 11/8/19 | 1,222,856 | 1,237,632 | |||||
| 2nd Lien 10.50% 11/8/20 | 1,787,692 | 1,811,156 | |||||
| Sophia Tranche B 1st Lien 4.50% 1/29/18 | 438,801 | 440,447 | |||||
| Sprouts Farmers 4.50% 4/12/20 | 1,095,000 | 1,096,369 | |||||
| State Class Tankers II 1st Lien | |||||||
| 6.75% 6/10/20 | 1,225,000 | 1,221,938 | |||||
| Sungard Data Systems 1st Lien | |||||||
| 4.50% 12/4/19 | 218,900 | 219,858 | |||||
| SUPERVALU 5.00% 3/21/19 | 1,236,653 | 1,230,985 | |||||
| Surgery Center Holdings | |||||||
| 6.00% 3/18/19 | 776,100 | 780,446 | |||||
| 2nd Lien 9.75% 3/18/20 | 315,000 | 318,150 | |||||
| Surgical Care Affiliates Tranche B | |||||||
| 5.50% 5/26/18 | 240,000 | 240,150 | |||||
| Swift Transportation Tranche B2 1st Lien | |||||||
| 4.00% 12/21/17 | 381,439 | 384,598 | |||||
| Taminco Global Chemical Tranche B | |||||||
| 4.25% 2/15/19 | 788,434 | 791,883 | |||||
| Tempur-Pedic International Tranche B | |||||||
| 3.50% 3/18/20 | 624,712 | 620,964 | |||||
| Topaz Power Holdings 5.25% 2/4/20 | 938,550 | 943,389 | |||||
| TransDigm Tranche C 3.75% 2/28/20 | 1,125,000 | 1,114,687 | |||||
| Truven Health Analytics Tranche B | |||||||
| 4.50% 5/23/19 | 2,010,334 | 2,005,308 | |||||
| United Airlines Tranche B 1st Lien | |||||||
| 4.00% 3/12/19 | 725,000 | 726,631 | |||||
| Univision Communications | |||||||
| Tranche C1 1st Lien 4.75% 2/22/20 | 679,416 | 674,442 | |||||
| Tranche C2 4.50% 2/6/20 | 3,007,463 | 2,985,980 | |||||
| 1st Lien 4.00% 3/1/20 | 498,750 | 490,289 | |||||
| US Airways | |||||||
| Tranche B1 1st Lien 4.25% 5/21/19 | 765,000 | 756,394 | |||||
| Tranche B2 1st Lien 3.50% 11/21/16 | 237,000 | 237,222 | |||||
| US TelePacific 5.75% 2/10/17 | 964,980 | 964,498 | |||||
| USI Insurance Services Tranche B | |||||||
| 5.25% 12/14/19 | 1,940,250 | 1,946,616 | |||||
| Valeant Pharmaceuticals Tranche B | |||||||
| 4.50% 5/30/20 | 2,990,000 | 2,988,666 | |||||
| Vantage Drilling Tranche B 6.25% 10/17/17 | 1,053,938 | 1,060,261 | |||||
| Visant 5.25% 12/22/16 | 655,004 | 627,283 | |||||
Diversified Income Series-14
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Principal | Value | ||||||
| Amount° | (U.S. $) | ||||||
| «SENIOR SECURED LOANS (continued) | |||||||
| Warner Chilcott | |||||||
| Tranche B1 4.25% 3/15/18 | USD | 618,731 | $ | 620,201 | |||
| Tranche B2 4.25% 3/15/18 | 57,972 | 58,109 | |||||
| Tranche B3 4.25% 3/15/18 | 339,694 | 340,501 | |||||
| Wide Open West Finance 4.75% 3/27/19 | 3,007,463 | 3,019,682 | |||||
| Yankee Cable Acquisition 5.25% 2/13/20 | 711,523 | 717,744 | |||||
| Yankee Candle 5.25% 3/2/19 | 352,009 | 353,182 | |||||
| Zayo Group Tranche B 1st Lien | |||||||
| 4.50% 7/2/19 | 2,113,985 | 2,115,306 | |||||
| Total Senior Secured Loans | |||||||
| (cost $147,905,706) | 148,106,969 | ||||||
| ΔSOVEREIGN BONDS–3.84% | |||||||
| Australia–0.11% | |||||||
| Australia Government Bond | AUD | 1,263,000 | 2,124,171 | ||||
| 2,124,171 | |||||||
| Brazil–0.42% | |||||||
| Brazil Notas do Tesouro Nacional | |||||||
| Series B 6.00% 8/15/20 | BRL | 3,963 | 4,397,021 | ||||
| Series F 10.00% 1/1/17 | BRL | 9,551,000 | 4,176,382 | ||||
| 8,573,403 | |||||||
| Colombia–0.15% | |||||||
| Colombia Government International Bond | |||||||
| 4.375% 3/21/23 | COP | 6,487,000,000 | 2,987,480 | ||||
| 2,987,480 | |||||||
| Finland–0.16% | |||||||
| Finland Government Bond 4.00% 7/4/25 | EUR | 2,089,000 | 3,225,421 | ||||
| 3,225,421 | |||||||
| Indonesia–0.17% | |||||||
| #Indonesia Government International Bond 144A | |||||||
| 3.375% 4/15/23 | USD | 2,512,000 | 2,260,800 | ||||
| Indonesian Treasury Bond 5.625% 5/15/23 | IDR | 12,612,000,000 | 1,137,910 | ||||
| 3,398,710 | |||||||
| Ireland–0.15% | |||||||
| #VEB Finance 144A 6.025% 7/5/22 | USD | 2,850,000 | 2,949,750 | ||||
| 2,949,750 | |||||||
| Malaysia–0.06% | |||||||
| Malaysia Government Bond 4.262% 9/15/16 | MYR | 4,022,000 | 1,306,113 | ||||
| 1,306,113 | |||||||
| Mexico–0.39% | |||||||
| Mexican Bonos | |||||||
| 6.50% 6/10/21 | MXN | 16,082,600 | 1,314,745 | ||||
| 6.50% 6/9/22 | MXN | 17,093,000 | 1,392,980 | ||||
| 7.50% 6/3/27 | MXN | 6,742,000 | 583,977 | ||||
| 7.75% 5/29/31 | MXN | 26,135,000 | 2,238,860 | ||||
| 10.00% 11/20/36 | MXN | 23,914,000 | 2,462,090 | ||||
| 7,992,652 | |||||||
| Nigeria–0.05% | |||||||
| Nigeria Government Bond 15.10% 4/27/17 | NGN | 163,275,000 | 1,042,447 | ||||
| 1,042,447 | |||||||
| Panama–0.23% | |||||||
| Panama Government International Bonds | |||||||
| 6.70% 1/26/36 | USD | 728,000 | 849,940 | ||||
| 7.125% 1/29/26 | 1,340,000 | 1,648,200 | |||||
| 8.875% 9/30/27 | 1,551,000 | 2,152,013 | |||||
| 4,650,153 | |||||||
| Paraguay–0.06% | |||||||
| #Republic of Paraguay 144A 4.625% 1/25/23 | 1,250,000 | 1,218,750 | |||||
| 1,218,750 | |||||||
| Peru–0.16% | |||||||
| Peruvian Government International Bonds | |||||||
| 7.125% 3/30/19 | 2,695,000 | 3,274,425 | |||||
| 3,274,425 | |||||||
| Poland–0.73% | |||||||
| Poland Government Bond | |||||||
| 4.00% 10/25/23 | PLN | 11,021,000 | 3,224,029 | ||||
| 5.75% 10/25/21 | PLN | 34,646,000 | 11,550,230 | ||||
| 14,774,259 | |||||||
| Republic of Korea–0.12% | |||||||
| Korea Treasury Inflation-Linked Bond | |||||||
| 2.75% 6/10/20 | KRW | 2,486,096,324 | 2,425,920 | ||||
| 2,425,920 | |||||||
| South Africa–0.36% | |||||||
| South Africa Government Bond–CPI Linked | |||||||
| 2.75% 1/31/22 | ZAR | 7,613,968 | 843,538 | ||||
| South Africa Government Bond | |||||||
| 10.50% 12/21/26 | ZAR | 53,311,000 | 6,547,572 | ||||
| 7,391,110 | |||||||
| Sri Lanka–0.14% | |||||||
| #Sri Lanka Government International Bond 144A | |||||||
| 5.875% 7/25/22 | USD | 3,003,000 | 2,867,865 | ||||
| 2,867,865 | |||||||
| United Kingdom–0.23% | |||||||
| United Kingdom Gilt 4.00% 3/7/22 | GBP | 2,696,678 | 4,657,016 | ||||
| 4,657,016 | |||||||
| Uruguay–0.15% | |||||||
| Uruguay Government International Bond | |||||||
| 8.00% 11/18/22 | USD | 2,480,250 | 3,141,237 | ||||
| 3,141,237 | |||||||
| Total Sovereign Bonds (cost $83,497,706) | 78,000,882 | ||||||
| SUPRANATIONAL BANKS–0.38% | |||||||
| International Bank for | |||||||
| Reconstruction & Development | |||||||
| 3.375% 4/30/15 | NOK | 22,000,000 | 3,720,854 | ||||
| 3.625% 6/22/20 | NOK | 12,410,000 | 2,150,379 | ||||
| 6.00% 2/15/17 | AUD | 1,770,000 | 1,750,168 | ||||
| Total Supranational Banks (cost $7,487,464) | 7,621,401 | ||||||
| U.S. TREASURY OBLIGATIONS–4.48% | |||||||
| U.S. Treasury Bonds | |||||||
| ∞ | 2.75% 11/15/42 | USD | 46,095,000 | 39,753,342 | |||
| 2.875% 5/15/43 | 2,130,000 | 1,885,382 | |||||
| 3.125% 2/15/43 | 495,000 | 462,168 | |||||
| U.S. Treasury Notes | |||||||
| 1.00% 5/31/18 | 2,505,000 | 2,462,142 | |||||
| 1.375% 6/30/18 | 1,430,000 | 1,429,329 | |||||
| * | 1.75% 5/15/23 | 47,895,000 | 44,860,421 | ||||
| U.S. Treasury Obligations | |||||||
| (cost $96,514,013) | 90,852,784 | ||||||
Diversified Income Series-15
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| Number of | Value | ||||||
| Shares | (U.S. $) | ||||||
| COMMON STOCK–0.00% | |||||||
| =†Adelphia Recovery Trust Series Arahova | 1 | $ | 0 | ||||
| =†Calpine | 385,000 | 0 | |||||
| =†Century Communications | 2,500,000 | 0 | |||||
| Delta Air Lines | 67 | 1,254 | |||||
| NRG Energy | 39 | 1,041 | |||||
| Total Common Stock (cost $78,016) | 2,295 | ||||||
| CONVERTIBLE PREFERRED STOCK–0.72% | |||||||
| Apache 6.00% exercise price $108.96, | |||||||
| expiration date 8/1/23 | 25,100 | 1,198,274 | |||||
| ArcelorMittal 6.00% exercise price $20.61, | |||||||
| expiration date 12/21/15 | 23,675 | 449,825 | |||||
| Bank of America 7.25% exercise price $50.00, | |||||||
| expiration date 12/31/49 | 447 | 497,958 | |||||
| #Chesapeake Energy 144A 5.75% | |||||||
| exercise price $27.83, | |||||||
| expiration date 12/31/49 | 727 | 747,447 | |||||
| *Cliffs Natural Resources 7.00% | |||||||
| exercise price $35.53, | |||||||
| expiration date 2/1/16 | 38,375 | 680,773 | |||||
| Dominion Resources 6.00% exercise price | |||||||
| $65.27, expiration date 7/1/16 | 5,798 | 290,190 | |||||
| Dominion Resources 6.125% | |||||||
| exercise price $65.27, expiration date 4/1/16 | 5,798 | 291,060 | |||||
| *Goodyear Tire & Rubber 5.875% | |||||||
| exercise price $18.21, | |||||||
| expiration date 3/31/14 | 30,800 | 1,528,450 | |||||
| HealthSouth 6.50% exercise price $30.50, | |||||||
| expiration date 12/31/49 | 1,826 | 2,152,854 | |||||
| Huntington Bancshares 8.50% | |||||||
| exercise price $11.95, | |||||||
| expiration date 12/31/49 | 871 | 1,062,629 | |||||
| Intelsat 5.57% exercise price $22.05, | |||||||
| expiration date 5/1/16 | 21,731 | 1,195,205 | |||||
| MetLife 5.00% exercise price $44.28, | |||||||
| expiration date 9/4/13 | 31,250 | 1,712,188 | |||||
| SandRidge Energy 8.50% exercise price $8.01, | |||||||
| expiration date 12/31/49 | 13,438 | 1,266,397 | |||||
| Wells Fargo 7.50% exercise price $156.71, | |||||||
| expiration date 12/31/49 | 1,299 | 1,551,006 | |||||
| Total Convertible Preferred Stock | |||||||
| (cost $16,271,031) | 14,624,256 | ||||||
| PREFERRED STOCK–0.59% | |||||||
| Alabama Power 5.625% | 69,530 | 1,752,156 | |||||
| #Ally Financial 144A 7.00% | 2,000 | 1,901,063 | |||||
| *BB&T 5.85% | 48,325 | 1,211,025 | |||||
| *JPMorgan Chase 5.50% | 30,000 | 720,300 | |||||
| National Retail Properties 5.70% | 51,425 | 1,232,657 | |||||
| *Public Storage 5.20% | 48,200 | 1,120,650 | |||||
| US Bancorp | |||||||
| * | 5.15% | 44,000 | 1,031,800 | ||||
| • | 6.00% | 10,000 | 274,100 | ||||
| • | 6.50% | 35,600 | 1,000,360 | ||||
| *Wells Fargo 5.20% | 78,000 | 1,825,980 | |||||
| Total Preferred Stock (cost $9,761,056) | 12,070,091 | ||||||
| Principal | |||||||
| Amount° | |||||||
| SHORT-TERM INVESTMENTS–19.53% | |||||||
| ≠Discount Notes–11.08% | |||||||
| Fannie Mae 0.06% 9/16/13 | USD | 33,067,951 | 33,065,834 | ||||
| Federal Home Loan Bank | |||||||
| 0.045% 7/24/13 | 63,455,711 | 63,455,330 | |||||
| 0.05% 7/26/13 | 7,401,715 | 7,401,662 | |||||
| 0.055% 8/12/13 | 30,049,150 | 30,048,460 | |||||
| 0.06% 7/2/13 | 22,266,169 | 22,266,170 | |||||
| 0.06% 8/14/13 | 30,906,399 | 30,905,658 | |||||
| 0.06% 8/16/13 | 10,151,657 | 10,151,393 | |||||
| 0.06% 8/21/13 | 12,850,199 | 12,849,839 | |||||
| 0.08% 8/30/13 | 14,749,497 | 14,749,011 | |||||
| 224,893,357 | |||||||
| Repurchase Agreements–5.57% | |||||||
| Bank of America 0.05%, dated 6/28/13, to | |||||||
| be repurchased on 7/1/13, repurchase | |||||||
| price $40,534,972 (collateralized by U.S. | |||||||
| government obligations 0.375%-2.25% | |||||||
| 5/31/14-11/30/16; market value | |||||||
| $41,345,499) | 40,534,803 | 40,534,803 | |||||
| BNP Paribas 0.05%, dated 6/28/13, to be | |||||||
| repurchased on 7/1/13, repurchase | |||||||
| price $18,498,810 (collateralized by U.S. | |||||||
| government obligations 0.25%-0.375% | |||||||
| 6/30/14-2/15/16; market value | |||||||
| $18,869,205) | 18,498,733 | 18,498,733 | |||||
| BNP Paribas 0.005%, dated 6/28/13, to | |||||||
| be repurchased on 7/1/13, repurchase | |||||||
| price $54,046,427 (collateralized by | |||||||
| U.S. government obligations 0.25% | |||||||
| 3/31/14-8/31/14; market value | |||||||
| $55,127,344) | 54,046,404 | 54,046,404 | |||||
| 113,079,940 | |||||||
| ≠U.S. Treasury Obligations–2.88% | |||||||
| U.S. Treasury Bills | |||||||
| 0.03% 7/25/13 | 25,298,428 | 25,298,176 | |||||
| 0.05% 9/26/13 | 33,045,577 | 33,042,966 | |||||
| 58,341,142 | |||||||
| Total Short-Term Investments | |||||||
| (cost $396,303,651) | 396,314,439 | ||||||
| Total Value of Securities Before Securities | |||||||
| Lending Collateral–112.23% | |||||||
| (cost $2,281,619,934) | 2,277,551,225 | ||||||
| Number of | |||||||
| Shares | |||||||
| **SECURITIES LENDING COLLATERAL–0.09% | |||||||
| Investment Companies | |||||||
| Delaware Investments Collateral Fund No.1 | 1,812,252 | 1,812,252 | |||||
| @† | Mellon GSL Reinvestment Trust II | 1,266,248 | 0 | ||||
| Securities Lending Collateral | |||||||
| (cost $3,078,500) | 1,812,252 | ||||||
Diversified Income Series-16
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
| ©TOTAL VALUE OF SECURITIES–112.32% (COST $2,284,698,434) | $ | 2,279,363,477 | |||||
| Number of | Value | ||||||
| Contracts | (U.S. $) | ||||||
| OPTIONS WRITTEN–0.00% | |||||||
| Put Option–0.00% | |||||||
| U.S. Treasury 10 yr. Notes, strike price $124.00, expires 7/27/13 (AFI) | (258 | ) | $ | (72,563 | ) | ||
| Total Options Written (premium received ($160,520)) | (72,563 | ) | |||||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.15%) | (3,078,500 | ) | |||||
| z«OTHER LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(12.17%) | (246,886,992 | ) | |||||
| NET ASSETS APPLICABLE TO 196,973,359 SHARES OUTSTANDING–100.00% | $ | 2,029,325,422 | |||||
| NET
ASSET VALUE–DELAWARE VIP DIVERSIFIED INCOME
SERIES STANDARD CLASS ($504,961,694 / 48,824,357 Shares) |
$10.34 | ||||||
| NET ASSET VALUE–DELAWARE VIP
DIVERSIFIED INCOME SERIES SERVICE CLASS ($1,524,363,728 / 148,149,002 Shares) |
$10.29 | ||||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | |||||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 2,008,412,451 | |||||
| Undistributed net investment income | 24,208,862 | ||||||
| Accumulated net realized gain | 282,432 | ||||||
| Net unrealized depreciation of investments and derivatives | (3,578,323 | ) | |||||
| Total net assets | $ | 2,029,325,422 | |||||
| ° | Principal amount shown is stated in the currency in which each security is denominated. |
| • | Variable rate security. The rate shown is the rate as of June 30, 2013. Interest rates reset periodically. |
| @ | Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| t | 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. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2013, the aggregate value of Rule 144A securities was $346,952,347, which represented 17.10% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| * | Fully or partially on loan. |
| ϕ | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at June 30, 2013. |
| = | Security is being fair valued in accordance with the Series’ fair valuation policy. At June 30, 2013, the aggregate value of fair valued securities was $0, which represented 0.00% of the Series’ net assets. See Note 1 in “Notes to Financial Statements.” |
| Δ | Securities have been classified by country of origin. |
| « | Senior Secured Loans generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at June 30, 2013. |
| ∞ | Fully or partially pledged as collateral for futures contracts. |
| † | Non income producing security. |
| ≠ | The rate shown is the effective yield at the time of purchase. |
| ** | See Note 7 in “Notes to Financial Statements” for additional information on securities lending collateral. |
| © | Includes $2,989,673 of securities loaned. |
| z | Of this amount, $322,355,630 represents payable for securities purchased as of June 30, 2013. |
| « | Includes foreign currency valued at $20,353,230 with a cost of $20,318,339. |
Diversified Income Series-17
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
The following foreign currency exchange contracts, futures contracts and swap contracts were outstanding at June 30, 2013:1
Foreign Currency Exchange Contracts
| Unrealized | ||||||||||||||||
| Settlement | Appreciation | |||||||||||||||
| Counterparty | Contracts to Receive (Deliver) | In Exchange For | Date | (Depreciation) | ||||||||||||
| BAML | AUD | (10,696,107 | ) | USD | 9,980,756 | 7/19/13 | $ | 211,002 | ||||||||
| BAML | CAD | (116,487 | ) | USD | 114,214 | 7/19/13 | 3,484 | |||||||||
| BAML | COP | (2,741,208,982 | ) | USD | 1,406,830 | 7/19/13 | (16,391 | ) | ||||||||
| BAML | EUR | (13,919,565 | ) | USD | 18,474,117 | 7/19/13 | 353,465 | |||||||||
| BAML | JPY | (438,958,835 | ) | USD | 4,528,426 | 7/19/13 | 101,295 | |||||||||
| BAML | MXN | (93,269,562 | ) | USD | 7,166,976 | 7/19/13 | (16,378 | ) | ||||||||
| BAML | NZD | (2,796,913 | ) | USD | 2,197,129 | 7/19/13 | 32,882 | |||||||||
| BCLY | MXN | (29,989,224 | ) | USD | 2,320,635 | 7/19/13 | 10,952 | |||||||||
| BNP | AUD | (1,906,350 | ) | USD | 1,793,311 | 7/19/13 | 52,064 | |||||||||
| CITI | AUD | (6,409,679 | ) | USD | 6,020,932 | 7/19/13 | 166,374 | |||||||||
| CITI | JPY | 251,514,501 | USD | (2,595,904 | ) | 7/19/13 | (59,247 | ) | ||||||||
| CITI | PLN | (15,303,946 | ) | USD | 4,742,763 | 7/19/13 | 144,360 | |||||||||
| GSC | GBP | (1,687,771 | ) | USD | 2,627,539 | 7/19/13 | 60,986 | |||||||||
| GSC | PLN | (39,822,638 | ) | USD | 12,241,775 | 7/19/13 | 276,198 | |||||||||
| HSBC | BRL | (11,277,332 | ) | USD | 4,989,094 | 7/19/13 | (39,838 | ) | ||||||||
| HSBC | CAD | (475,241 | ) | USD | 465,996 | 7/19/13 | 14,240 | |||||||||
| HSBC | EUR | (4,869,303 | ) | USD | 6,444,078 | 7/19/13 | 105,163 | |||||||||
| HSBC | JPY | 622,068,364 | USD | (6,424,468 | ) | 7/19/13 | (150,581 | ) | ||||||||
| JPMC | BRL | (11,329,982 | ) | USD | 5,192,000 | 7/19/13 | 139,588 | |||||||||
| JPMC | EUR | 5,057,175 | USD | (6,736,804 | ) | 7/19/13 | (153,316 | ) | ||||||||
| JPMC | IDR | 24,068,176,083 | USD | (2,357,891 | ) | 7/19/13 | 35,880 | |||||||||
| JPMC | JPY | 270,105,829 | USD | (2,786,593 | ) | 7/19/13 | (62,433 | ) | ||||||||
| MNB | EUR | (3,290 | ) | USD | 4,283 | 7/1/13 | – | |||||||||
| MNB | GBP | 6,290 | USD | (9,566 | ) | 7/1/13 | – | |||||||||
| MSC | AUD | (15,558,568 | ) | USD | 14,505,887 | 7/19/13 | 294,794 | |||||||||
| MSC | GBP | (1,731,322 | ) | USD | 2,696,725 | 7/19/13 | 63,945 | |||||||||
| MSC | JPY | 741,624,763 | USD | (7,658,565 | ) | 7/19/13 | (178,888 | ) | ||||||||
| MSC | MXN | (51,786,896 | ) | USD | 4,005,391 | 7/19/13 | 16,913 | |||||||||
| MSC | PLN | (9,695,322 | ) | USD | 3,004,811 | 7/19/13 | 91,640 | |||||||||
| TD | CAD | (6,559,060 | ) | USD | 6,431,270 | 7/19/13 | 196,341 | |||||||||
| TD | GBP | (2,745,381 | ) | USD | 4,277,606 | 7/19/13 | 102,771 | |||||||||
| TD | JPY | (1,476,098,889 | ) | USD | 15,235,608 | 7/19/13 | 348,373 | |||||||||
| TD | ZAR | (57,514,593 | ) | USD | 5,677,633 | 7/19/13 | (122,317 | ) | ||||||||
| $ | 2,023,321 | |||||||||||||||
Futures Contracts
| Unrealized | ||||||||||||||||||||||
| Notional Cost | Notional | Expiration | Appreciation | |||||||||||||||||||
| Contracts to Buy (Sell) | (Proceeds) | Value | Date | (Depreciation) | ||||||||||||||||||
| (47) | Euro-O.A.T. | $ | (8,310,828 | ) | $ | (8,104,501 | ) | 9/11/13 | $ | 206,326 | ||||||||||||
| 37 | Long Gilt | 6,481,587 | 6,296,982 | 10/1/13 | (184,605 | ) | ||||||||||||||||
| (33) | S&P 500 Emini | (2,582,157 | ) | (2,638,845 | ) | 9/21/13 | (56,688 | ) | ||||||||||||||
| 384 | U.S. Treasury 5 yr Notes | 46,489,187 | 46,482,000 | 10/4/13 | (7,186 | ) | ||||||||||||||||
| 122 | U.S. Treasury 10 yr Notes | 15,429,062 | 15,440,625 | 10/1/13 | 11,563 | |||||||||||||||||
| $ | (30,590 | ) | ||||||||||||||||||||
Swap Contracts
CDS Contracts2
| Annual | Unrealized | |||||||||||||||||
| Protection | Termination | Appreciation | ||||||||||||||||
| Swap Counterparty | Notional Referenced Obligation | Value | Payments | Date | (Depreciation) | |||||||||||||
| Protection Purchased: | ||||||||||||||||||
| JPMC | CDX.NA.HY.19 5 yr CDS | USD | 500,000 | 5.00% | 12/20/17 | $ | (2,071 | ) | ||||||||||
| JPMC | CDX.NA.HY.20 5 yr CDS | USD | 4,525,000 | 5.00% | 6/20/18 | 68,129 | ||||||||||||
| JPMC | ITRAXX Europe Crossover S19 V1 | EUR | 23,290,000 | 5.00% | 6/20/18 | (305,539 | ) | |||||||||||
| JPMC | Federative Republic of Brazil | EUR | 4,146,000 | 1.00% | 9/20/18 | (57,009 | ) | |||||||||||
| (296,490 | ) | |||||||||||||||||
| Protection Sold / Moody’s Rating: | ||||||||||||||||||
| JPMC | CDX.NA.HY.19 5 yr CDS/Baa | USD | 500,000 | 5.00% | 12/20/17 | 2,071 | ||||||||||||
| 2,071 | ||||||||||||||||||
| Total | $ | (294,419 | ) | |||||||||||||||
Diversified Income Series-18
| |
Delaware VIP® Diversified
Income Series
Statement of Net Assets (continued)
The use of foreign currency exchange contracts, futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts and notional values presented above represent the Series’ total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Series’ net assets.
Summary of Abbreviations:
AFI – Advantage Futures
ARM –
Adjustable Rate Mortgage
AUD – Australian Dollar
BAML – Bank of America
Merrill Lynch
BCLY – Barclays Bank
BNP – Banque Paribas
BRL – Brazilian
Real
CAD – Canadian Dollar
CDS – Credit Default Swap
CITI –
Citigroup Global Markets
COP – Colombian Peso
EUR – European Monetary
Unit
GBP – British Pound Sterling
GNMA – Government National Mortgage Association
GSC – Goldman Sachs
Capital
HSBC – Hong Kong Shanghai Bank
HY – High Yield
IDR –
Indonesian Rupiah
JPMC – JPMorgan Chase Bank
JPY – Japanese Yen
KRW
– South Korean Won
MASTR – Mortgage Asset Securitization Transactions, Inc.
MNB – Mellon National Bank
MSC – Morgan Stanley Capital
MXN –
Mexican Peso
MYR – Malaysian Ringgit
NCUA – National Credit Union
Administration
NGN – Nigerian Naira
NOK – Norwegian Krone
NZD – New
Zealand Dollar
O.A.T. – Obligations Assimilables du Tresor
PLN – Polish
Zloty
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single
Family
TBA – To be announced
TD – Toronto Dominion Bank
USD – United
States Dollar
yr – Year
ZAR – South African Rand
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-19
| |
Delaware VIP® Trust —
Delaware VIP Diversified
Income Series
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Interest | $ | 38,271,365 | |
| Dividends | 940,099 | ||
| Securities lending income | 23,709 | ||
| 39,235,173 | |||
| EXPENSES: | |||
| Management fees | 6,025,077 | ||
| Distribution expenses – Service Class | 2,297,646 | ||
| Accounting and administration expenses | 398,350 | ||
| Reports and statements to shareholders | 139,035 | ||
| Dividend disbursing and transfer agent fees and expenses | 86,824 | ||
| Custodian fees | 86,238 | ||
| Legal fees | 79,488 | ||
| Trustees’ fees | 49,963 | ||
| Audit and tax | 29,852 | ||
| Pricing fees | 19,663 | ||
| Insurance fees | 18,863 | ||
| Consulting fees | 8,950 | ||
| Registration fees | 8,821 | ||
| Dues and services | 5,743 | ||
| Trustees’ expenses | 3,858 | ||
| 9,258,371 | |||
| Less waived distribution expenses – Service Class | (382,941 | ) | |
| Total operating expenses | 8,875,430 | ||
| NET INVESTMENT INCOME | 30,359,743 | ||
| NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
| Net realized gain (loss) on: | |||
| Investments | 6,133,455 | ||
| Foreign currencies | (5,472,549 | ) | |
| Foreign currency exchange contracts | (185,959 | ) | |
| Futures contracts | 1,614,272 | ||
| Options written | (286,126 | ) | |
| Swap contracts | (1,314,054 | ) | |
| Net realized gain | 489,039 | ||
| Net change in unrealized appreciation (depreciation) of: | |||
| Investments | (100,449,456 | ) | |
| Futures contracts | 951,571 | ||
| Options written | 87,957 | ||
| Swap contracts | (341,553 | ) | |
| Foreign currencies | 197,267 | ||
| Foreign currency exchange contracts | 2,468,477 | ||
| Net change in unrealized appreciation (depreciation) | (97,085,737 | ) | |
| NET REALIZED AND UNREALIZED LOSS | (96,596,698 | ) | |
| NET DECREASE IN NET ASSETS RESULTING | |||
| FROM OPERATIONS | $ | (66,236,955 | ) |
Delaware VIP Trust —
Delaware VIP Diversified Income
Series
Statements of Changes in Net Assets
| Six Months | |||||||
| Ended | Year | ||||||
| 6/30/13 | Ended | ||||||
| (Unaudited) | 12/31/12 | ||||||
| INCREASE (DECREASE) IN NET ASSETS | |||||||
| FROM OPERATIONS: | |||||||
| Net investment income | $ | 30,359,743 | $ | 64,026,836 | |||
| Net realized gain | 489,039 | 16,063,015 | |||||
| Net change in unrealized | |||||||
| appreciation (depreciation) | (97,085,737 | ) | 52,831,657 | ||||
| Net increase (decrease) in net assets | |||||||
| resulting from operations | (66,236,955 | ) | 132,921,508 | ||||
| DIVIDENDS AND DISTRIBUTIONS TO | |||||||
| SHAREHOLDERS FROM: | |||||||
| Net investment income: | |||||||
| Standard Class | (12,459,646 | ) | (16,819,225 | ) | |||
| Service Class | (32,822,947 | ) | (42,559,575 | ) | |||
| Net realized gain: | |||||||
| Standard Class | (7,236,179 | ) | (16,444,423 | ) | |||
| Service Class | (21,271,523 | ) | (44,995,213 | ) | |||
| (73,790,295 | ) | (120,818,436 | ) | ||||
| CAPITAL SHARE TRANSACTIONS: | |||||||
| Proceeds from shares sold: | |||||||
| Standard Class | 16,965,329 | 29,574,716 | |||||
| Service Class | 91,095,619 | 216,676,722 | |||||
| Net asset value of shares issued upon | |||||||
| reinvestment of dividends and distributions: | |||||||
| Standard Class | 13,613,535 | 21,971,163 | |||||
| Service Class | 54,094,470 | 87,554,788 | |||||
| 175,768,953 | 355,777,389 | ||||||
| Cost of shares redeemed: | |||||||
| Standard Class | (22,023,922 | ) | (40,281,662 | ) | |||
| Service Class | (36,237,397 | ) | (93,058,916 | ) | |||
| (58,261,319 | ) | (133,340,578 | ) | ||||
| Increase in net assets derived from capital | |||||||
| share transactions | 117,507,634 | 222,436,811 | |||||
| NET INCREASE (DECREASE) IN NET ASSETS | (22,519,616 | ) | 234,539,883 | ||||
| NET ASSETS: | |||||||
| Beginning of period | 2,051,845,038 | 1,817,305,155 | |||||
| End of period (including undistributed | |||||||
| net investment income of $24,208,862 | |||||||
| and $39,131,712, respectively) | $ | 2,029,325,422 | $ | 2,051,845,038 | |||
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-20
| |
Delaware VIP® Trust —
Delaware VIP Diversified Income Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Diversified Income Series Standard Class | |||||||||||||||||
| Six Months | |||||||||||||||||
| Ended | |||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||
| Net asset value, beginning of period | $11.070 | $11.020 | $11.280 | $10.980 | $9.250 | $10.220 | |||||||||||
| Income (loss) from investment operations: | |||||||||||||||||
| Net investment income2 | 0.170 | 0.376 | 0.426 | 0.521 | 0.628 | 0.500 | |||||||||||
| Net realized and unrealized gain (loss) | (0.489 | ) | 0.384 | 0.256 | 0.345 | 1.721 | (0.926 | ) | |||||||||
| Total from investment operations | (0.319 | ) | 0.760 | 0.682 | 0.866 | 2.349 | (0.426 | ) | |||||||||
| Less dividends and distributions from: | |||||||||||||||||
| Net investment income | (0.260 | ) | (0.359 | ) | (0.475 | ) | (0.539 | ) | (0.619 | ) | (0.405 | ) | |||||
| Net realized gain | (0.151 | ) | (0.351 | ) | (0.467 | ) | (0.027 | ) | – | (0.139 | ) | ||||||
| Total dividends and distributions | (0.411 | ) | (0.710 | ) | (0.942 | ) | (0.566 | ) | (0.619 | ) | (0.544 | ) | |||||
| Net asset value, end of period | $10.340 | $11.070 | $11.020 | $11.280 | $10.980 | $9.250 | |||||||||||
| Total return3 | (3.04% | ) | 7.20% | 6.39% | 8.06% | 26.96% | (4.54% | ) | |||||||||
| Ratios and supplemental data: | |||||||||||||||||
| Net assets, end of period (000 omitted) | $504,961 | $531,992 | $517,362 | $659,032 | $652,804 | $542,074 | |||||||||||
| Ratio of expenses to average net assets | 0.68% | 0.68% | 0.68% | 0.70% | 0.73% | 0.73% | |||||||||||
| Ratio of net investment income
to average net assets |
3.14% | 3.43% | 3.87% | 4.68% | 6.33% | 5.16% | |||||||||||
| Portfolio turnover | 150% | 216% | 233% | 237% | 202% | 244% | |||||||||||
| 1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2The average shares outstanding method has been applied for per share information. |
| 3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
Diversified Income Series-21
| |
Delaware VIP® Diversified
Income Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Diversified Income Series Service Class | |||||||||||||||||
| Six Months | |||||||||||||||||
| Ended | |||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||
| Net asset value, beginning of period | $11.000 | $10.960 | $11.220 | $10.920 | $9.200 | $10.180 | |||||||||||
| Income (loss) from investment operations: | |||||||||||||||||
| Net investment income2 | 0.156 | 0.347 | 0.396 | 0.491 | 0.603 | 0.476 | |||||||||||
| Net realized and unrealized gain (loss) | (0.482 | ) | 0.376 | 0.258 | 0.351 | 1.712 | (0.937 | ) | |||||||||
| Total from investment operations | (0.326 | ) | 0.723 | 0.654 | 0.842 | 2.315 | (0.461 | ) | |||||||||
| Less dividends and distributions from: | |||||||||||||||||
| Net investment income | (0.233 | ) | (0.332 | ) | (0.447 | ) | (0.515 | ) | (0.595 | ) | (0.380 | ) | |||||
| Net realized gain | (0.151 | ) | (0.351 | ) | (0.467 | ) | (0.027 | ) | – | (0.139 | ) | ||||||
| Total dividends and distributions | (0.384 | ) | (0.683 | ) | (0.914 | ) | (0.542 | ) | (0.595 | ) | (0.519 | ) | |||||
| Net asset value, end of period | $10.290 | $11.000 | $10.960 | $11.220 | $10.920 | $9.200 | |||||||||||
| Total return3 | (3.12% | ) | 6.87% | 6.15% | 7.87% | 26.66% | (4.90% | ) | |||||||||
| Ratios and supplemental data: | |||||||||||||||||
| Net assets, end of period (000 omitted) | $1,524,364 | $1,519,853 | $1,299,943 | $1,100,754 | $791,973 | $431,062 | |||||||||||
| Ratio of expenses to average net assets | 0.93% | 0.93% | 0.93% | 0.95% | 0.98% | 0.98% | |||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
0.98% | 0.98% | 0.98% | 1.00% | 1.03% | 1.03% | |||||||||||
| Ratio of net investment income
to average net assets |
2.89% | 3.18% | 3.62% | 4.43% | 6.08% | 4.91% | |||||||||||
| Ratio of net investment income to
average net assets prior to fees waived |
2.84% | 3.13% | 3.57% | 4.38% | 6.03% | 4.86% | |||||||||||
| Portfolio turnover | 150% | 216% | 233% | 237% | 202% | 244% | |||||||||||
| 1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
Diversified Income Series-22
| |
Delaware VIP® Trust —
Delaware VIP Diversified Income Series
Notes to Financial
Statements
June 30, 2013
(Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Diversified Income Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek maximum long-term total return consistent with reasonable risk.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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, credit default swap (CDS) contracts and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. 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. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices of the contracts, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series' tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
To Be Announced Trades (TBA)—The Series may contract to purchase securities for a fixed price at a transaction date beyond the customary settlement period (e.g., “when issued,” “delayed delivery,” “forward commitment,” or “TBA transactions”) consistent with the Series’ ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Series to purchase securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Series on such purchases until the securities are delivered; however, the market value may change prior to delivery.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in the foreign exchange rates from that which is due to changes in market prices of debt securities. The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Diversified Income Series-23
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Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
1. Significant Accounting
Policies (continued)
Other—Expenses directly
attributable to the Series are charged directly to the Series. Other expenses
common to various funds within the Delaware Investments® Family of
Funds are generally allocated among such funds on the basis of average net
assets. Management fees and some other expenses are paid monthly. Security
transactions are recorded on the date the securities are purchased or sold
(trade date) for financial reporting purposes. Costs used in calculating
realized gains and losses on the sale of investment securities are those of the
specific securities sold. Dividend income is recorded on the ex-dividend date
and interest income is recorded on the accrual basis. Withholding taxes and
reclaims have been provided for in accordance with the Series’ understanding of
the applicable country’s tax rules and rates. Discounts and premiums on debt
securities are amortized to interest income over the lives of the respective
securities using the effective interest method. Realized gains (losses) on
paydowns of mortgage- and asset-backed securities are classified as interest
income. The Series declares and pays dividends from net investment income and
distributions from net realized gain on investments, if any, following the close
of the fiscal year. The Series may distribute more frequently, if necessary for
tax purposes. Dividends and distributions, if any, are recorded on the
ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the
terms of its investment management agreement, the Series pays Delaware
Management Company (DMC), a series of Delaware Management Business Trust and the
investment manager, an annual fee which is calculated daily at the rate of 0.65%
on the first $500 million of average daily net assets of the Series, 0.60% on
the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on the average
daily net assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $49,777 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $992,945 | $20,911 | $318,156 | $26,259 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $40,387 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
Diversified Income Series-24
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Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
3.
Investments
For the six months ended
June 30, 2013, the Series made purchases and sales of investment securities
other than short-term investments as follows:
| Purchases other than U.S. government securities | $ | 2,436,075,275 | |
| Purchases of U.S. government securities | 293,812,286 | ||
| Sales other than U.S. government securities | 2,365,769,235 | ||
| Sales of U.S. government securities | 275,465,097 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Depreciation | ||||
| $2,287,078,659 | $50,702,073 | $(58,417,255) | $(7,715,182) |
U.S. GAAP defines fair value as the price that the Series 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 developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Agency, Asset-Backed & Mortgage-Backed Securities1 | $ | – | $ | 485,623,070 | $ | 1,127,518 | $ | 486,750,588 | |||||||
| Corporate Debt | – | 1,168,429,763 | – | 1,168,429,763 | |||||||||||
| Foreign Debt | – | 105,236,721 | – | 105,236,721 | |||||||||||
| Municipal Bonds | – | 3,270,288 | – | 3,270,288 | |||||||||||
| Common Stock | 2,295 | – | – | 2,295 | |||||||||||
| Convertible Preferred Stock2 | 7,981,325 | 6,642,931 | – | 14,624,256 | |||||||||||
| Preferred Stock3 | 10,169,028 | 1,901,063 | – | 12,070,091 | |||||||||||
| Short-Term Investments | – | 396,314,439 | – | 396,314,439 | |||||||||||
| U.S. Treasury Obligations | – | 90,852,784 | – | 90,852,784 | |||||||||||
| Securities Lending Collateral | – | 1,812,252 | – | 1,812,252 | |||||||||||
| Total | $ | 18,152,648 | $ | 2,260,083,311 | $ | 1,127,518 | $ | 2,279,363,477 | |||||||
| Foreign Currency Exchange Contracts | $ | – | $ | 2,023,321 | $ | – | $ | 2,023,321 | |||||||
| Futures Contracts | (30,590 | ) | – | – | (30,590 | ) | |||||||||
| Swap Contracts | – | (294,419 | ) | – | (294,419 | ) | |||||||||
| Options Written | – | (72,563 | ) | – | (72,563 | ) | |||||||||
| 1Security type is valued across multiple levels. The amount attributed to Level 3 securities represents less than 1% of the total market value of this security type. |
| 2Security type is valued across multiple levels. The amount attributed to Level 1 securities and Level 2 securities represents 55% and 45%, respectively, of the total market value of this security type. |
| 3Security type is valued across multiple levels. The amount attributed to Level 1 securities and Level 2 securities represents 84% and 16%, respectively, of the total market value of this security type. |
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
Diversified Income Series-25
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Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
3. Investments
(continued)
During the six months
ended June 30, 2013, there were no transfers between Level 1 investments, Level
2 investments or Level 3 investments that had a significant impact to the
Series. The Series’ policy is to recognize transfers between levels at the
beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | |||||
| Ended | Ended | |||||
| 6/30/13 | 12/31/12 | |||||
| Shares sold: | ||||||
| Standard Class | 1,542,230 | 2,693,865 | ||||
| Service Class | 8,379,351 | 19,756,660 | ||||
| Shares issued upon reinvestment of dividends and distributions: | ||||||
| Standard Class | 1,259,346 | 2,076,670 | ||||
| Service Class | 5,027,367 | 8,314,794 | ||||
| 16,208,294 | 32,841,989 | |||||
| Shares redeemed: | ||||||
| Standard Class | (2,023,617 | ) | (3,675,672 | ) | ||
| Service Class | (3,368,745 | ) | (8,613,580 | ) | ||
| (5,392,362 | ) | (12,289,252 | ) | |||
| Net increase | 10,815,932 | 20,552,737 | ||||
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Derivatives
U.S. GAAP requires
disclosures that enable investors to understand: 1) how and why an entity uses
derivatives; 2) how they are accounted for; and 3) how they affect an entity’s
results of operations and financial position.
Foreign Currency Exchange
Contracts
The Series may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Series may enter
into these contracts to fix the U.S. dollar value of a security that it has
agreed to buy or sell for the period between the date the trade was entered into
and the date the security is delivered and paid for. The Series may also use
these contracts to hedge the U.S. dollar value of securities it already owns
that are denominated in foreign currencies. The change in value is recorded as
an unrealized gain or loss. When the contract is closed, a realized gain or loss
is recorded equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
Futures
Contracts
A futures contract is an
agreement in which the writer (or seller) of the contract agrees to deliver to
the buyer an amount of cash or securities equal to a specific dollar amount
times the difference between the value of a specific security or index at the
close of the last trading day of the contract and the price at which the
agreement is made. The Series may use futures in the normal course of pursuing
its investment objective. The Series may invest in futures contracts to hedge
its existing portfolio securities against fluctuations in fair value caused by
changes in prevailing market interest rates. Upon entering into a futures
contract, the Series deposits cash or pledges U.S. government securities to a
broker, equal to the minimum “initial margin” requirements of the exchange on
which the contract is traded. Subsequent payments are received from the broker
or paid to the broker each day, based on the daily fluctuation in the market
value of the contract. These receipts or payments are known as “variation
margin” and are recorded daily by the Series as unrealized gains or losses until
the contracts are closed. When the contracts are closed, the Series records
Diversified Income Series-26
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Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
6. Derivatives (continued)
a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. Risks of entering into futures contracts
include potential imperfect correlation between the futures contracts and the
underlying securities and the possibility of an illiquid secondary market for
these instruments. When investing in futures, there is reduced counterparty
credit risk to the Series because futures are exchange-traded and the exchange’s
clearinghouse, as counterparty to all exchange-traded futures, guarantees
against default.
Options
Contracts
During the six months ended
June 30, 2013, the Series entered into options contracts in the normal course of
pursuing its investment objective. The Series may buy or write options contracts
for any number of reasons, including without limitation: to manage the Series’
exposure to changes in securities prices and foreign currencies; as an efficient
means of adjusting the Series’ overall exposure to certain markets; to protect
the value of portfolio securities; and as a cash management tool. The Series may
buy or write call or put options on securities, futures, swaps, “swaptions”,
financial indices, and foreign currencies. When the Series buys an option, a
premium is paid and an asset is recorded and adjusted on a daily basis to
reflect the current market value of the options purchased. When the Series
writes an option, a premium is received and a liability is recorded and adjusted
on a daily basis to reflect the current market value of the options written.
Premiums received from writing options that expire unexercised are treated by
the Series on the expiration date as realized gains. The difference between the
premium received and the amount paid on effecting a closing purchase
transaction, including brokerage commissions, is treated as realized gain or
loss. If a call option is exercised, the premium is added to the proceeds from
the sale of the underlying security in determining whether the Series has a
realized gain or loss. If a put option is exercised, the premium reduces the
cost basis of the securities purchased by the Series. The Series, as writer of
an option, bears the market risk of an unfavorable change in the price of the
security underlying the written option. When writing options, the Series is
subject to minimal counterparty risk because the counterparty is only obligated
to pay premiums and does not bear the market risk of an unfavorable market
change. Transactions in options written during the six months ended June 30,
2013 for the Series were as follows:
| Number of | |||||||||||
| Contracts | Premiums | ||||||||||
| Options outstanding at December 31, 2012 | – | $ | – | ||||||||
| Options written | 1,322 | 523,099 | |||||||||
| Options terminated in closing purchase transactions | (1,064 | ) | (362,579 | ) | |||||||
| Options outstanding at June 30, 2013 | 258 | $ | 160,520 | ||||||||
Swap
Contracts
The Series may enter into
interest rate swap contracts and CDS contracts in the normal course of pursuing
its investment objective. The Series may use interest rate swaps to adjust the
Series’ sensitivity to interest rates or to hedge against changes in interest
rates. The Series may enter into CDS contracts in order to hedge against a
credit event, to enhance total return or to gain exposure to certain securities
or markets.
Interest Rate Swaps. An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by the Series from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Series receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Series' sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation/depreciation on swap contracts. Upon periodic payment/receipt or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. The Series’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by (1) having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty for trades entered prior to June 10, 2013, and (2) trading these instruments through a central counterparty for trades entered on or after June 10, 2013.
Credit Default Swaps. A 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). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Series in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended June 30, 2013, the Series entered into CDS contracts as a purchaser and seller of protection. 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. For trades prior to June 10, 2013, the Fund had posted $230,000 in cash collateral for certain open derivatives. The Fund received $360,000 in cash collateral and $989,000 in securities collateral for open swap contracts. Initial margin and variation margin is posted to central counterparties for CDS basket trades submitted on or after June 10, 2013, as determined by the applicable central counterparty.
As disclosed in the footnotes to the Statement of Net Assets, at June 30, 2013, the notional value of the protection sold was $500,000, which reflects the maximum potential amount the Series would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement has been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At June 30, 2013, the net unrealized appreciation of the protection sold was $2,071.
Diversified Income Series-27
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Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
6. Derivatives
(continued)
CDS contracts may involve
greater risks than if the Series had invested in the reference obligation
directly. CDS contracts are subject to general market risk, liquidity risk,
counterparty risk and credit risk. The Series’ maximum risk of loss from
counterparty credit risk, either as the seller of protection or the buyer of
protection, is the fair value of the contract. This risk is mitigated by (1)
having a netting arrangement between the Series and the counterparty and by the
posting of collateral by the counterparty to the Series to cover the Series’
exposure to the counterparty for trades entered prior to June 10, 2013, and (2)
trading these instruments through a central counterparty for trades entered on
or after June 10, 2013.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event the Series terminated its position in the agreement. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the Statement of Net Assets.
Fair values of derivative instruments as of June 30, 2013 were as follows:
| Asset Derivatives | Liability Derivatives | ||||||||||||
| Statement of | Statement of | ||||||||||||
| Net Assets Location | Fair Value | Net Assets Location | Fair Value | ||||||||||
| Forward currency exchange contracts (Foreign currency exchange contracts) | Other liabilities net of receivables and other assets | $ | 2,822,710 | Other Liabilities net of receivables and other assets | $ | (799,389 | ) | ||||||
| Interest rate contracts (Futures contracts) | Other liabilities net of receivables and other assets | 217,889 | Other Liabilities net of receivables and other assets | (248,479 | ) | ||||||||
| Equity Contracts (Written Options) | Written options, at value | – | Written options, at value | (72,563 | ) | ||||||||
| Credit contracts (Swap contracts) | Other liabilities net of receivables and other assets | 70,200 | Other liabilities net of receivables and other assets | (364,619 | ) | ||||||||
| Total | $ | 3,110,799 | $ | (1,485,050 | ) | ||||||||
The effect of derivative instruments on the statement of operations for the six months ended June 30, 2013 was as follows:
| Change in Unrealized | ||||||||||||||
| Location of Gain or | Realized Gain or | Appreciation or Depreciation | ||||||||||||
| Loss on Derivatives | Loss on Derivatives | on Derivatives Recognized | ||||||||||||
| Recognized in Income | Recognized in Income | in Income | ||||||||||||
| Forward currency exchange contracts (Foreign currency exchange contracts) | Net realized loss on foreign currency exchange contracts and net change in unrealized appreciation (depreciation) of foreign currency exchange contracts | $ | (185,959 | ) | $ | 2,468,477 | ||||||||
| Interest rate contracts (Futures contracts) | Net realized gain on futures contracts and net change in unrealized appreciation (depreciation) of futures contracts | 1,614,272 | 951,571 | |||||||||||
| Equity contracts (Options Written) | Net realized loss on options written and net change in unrealized appreciation (depreciation) of options written | (286,126 | ) | 87,957 | ||||||||||
| Credit contracts (Swap contracts) | Net realized loss on swap contracts and net change in unrealized appreciation (depreciation) of swap contracts | (1,314,054 | ) | (341,553 | ) | |||||||||
| Total | $ | (171,867 | ) | $ | 3,166,452 | |||||||||
Diversified Income Series-28
| |
Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
6. Derivatives
(continued)
Derivatives
Generally. The table below summarizes
the average balance of derivative holdings by the Series during the six months
ended June 30, 2013.
| Long | Short | |||||
| Derivative | Derivative | |||||
| Volume | Volume | |||||
| Forward foreign currency exchange contracts (Average cost) | USD | 106,838,195 | USD | 154,769,713 | ||
| Futures contracts (Average notional value) | 79,140,348 | 122,879,614 | ||||
| Options contracts (Average notional value) | 11,200 | 33,557 | ||||
| Swap contracts (Average notional value)* | 4,791,363 | 278,226 | ||||
| COP | 15,968,677,419 | — | ||||
| EUR | 6,428,831 | — | ||||
*Long represents buying protection and short represents selling protection.
In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the statement of assets and liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Series adopted the disclosure provisions on offsetting during the current reporting period.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Series and a counterparty that governs over-the-counter (“OTC”) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts | ||||||||||||||||||||||||
| Not Offset in the | ||||||||||||||||||||||||
| Statement of | ||||||||||||||||||||||||
| Net Assets | ||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | |||||||||||||||||||||||
| Assets Presented in | Available for Offset | |||||||||||||||||||||||
| the Statement of | in the Statement of | Financial | Cash Collateral | Net | ||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Amount1 | ||||||||||||||||||||
| Repurchase Agreements | $ | 113,079,940 | $ | – | $ | (113,079,940 | ) | $ | – | $ | – | |||||||||||||
| Foreign
Currency Exchange Contracts |
2,822,710 | (688,092 | ) | (789,034 | ) | (337,184 | ) | 1,008,400 | ||||||||||||||||
| Futures Contracts
- Variation Margin |
6,792 | – | – | – | 6,792 | |||||||||||||||||||
| Credit Default Swaps | 70,200 | (70,200 | ) | – | – | – | ||||||||||||||||||
| Securities on Loan | 2,989,673 | – | – | (2,989,673 | ) | – | ||||||||||||||||||
| Total | $ | 118,969,315 | $ | (758,292 | ) | $ | (113,868,974 | ) | $ | (3,326,857 | ) | $ | 1,015,192 | |||||||||||
Diversified Income Series-29
| |
Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
6. Derivatives
(continued)
Offsetting of
Financial Liabilities and Derivative Liabilities
| Gross Amounts | |||||||||||||||||||||||||
| Not Offset in the | |||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||||||
| Liabilities Presented | Available for Offset | ||||||||||||||||||||||||
| the Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Amount2 | |||||||||||||||||||||
| Foreign Currency Exchange Contracts |
$ | (799,389 | ) | $ | 688,092 | $ | – | $ | 71,016 | $ | (40,281 | ) | |||||||||||||
| Credit Default Swaps | (364,619 | ) | 70,200 | – | 180,000 | (114,419 | ) | ||||||||||||||||||
| Securities Lending Collateral |
(3,078,500 | ) | – | 1,812,252 | – | (1,266,248 | ) | ||||||||||||||||||
| Total | $ | (4,242,508 | ) | $ | 758,292 | $ | 1,812,252 | $ | 251,016 | $ | (1,420,948 | ) | |||||||||||||
| 1Net amount represents the net amount receivable from the counterparty in the event of default. |
| 2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities
Lending
The Series, along with other
funds in the Delaware Investments® Family of Funds, may lend its
securities pursuant to a security lending agreement (Lending Agreement) with The
Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the
borrower must post collateral equal to the required percentage of the market
value of the loaned security, including any accrued interest. The required
percentage is: (i) 102% with respect to U.S. securities and foreign securities
that are denominated and payable in U.S. dollars; and (ii) 105% with respect to
foreign securities. With respect to each loan, if on any business day the
aggregate market value of securities collateral plus cash collateral held is
less than the aggregate market value of the securities which are the subject of
such loan, the borrower will be notified to provide additional collateral by the
end of the following business day which, together with the collateral already
held, will be not less than the applicable initial collateral requirements for
such security loan. If the aggregate market value of securities collateral and
cash collateral held with respect to a security loan exceeds the applicable
initial collateral requirement, upon request of the borrower BNY Mellon must
return enough collateral to the borrower by the end of the following business
day to reduce the value of the remaining collateral to the applicable initial
collateral requirement for such security loan. As a result of the foregoing, the
value of the collateral held with respect to a loaned security may be
temporarily more or less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. In October 2008, BNY Mellon transferred certain distressed securities from the Series' previous collateral investment pool into the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of securities on loan was $2,989,673, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $1,812,252. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
Some countries in which the
Series may invest require governmental approval for the repatriation of
investment income, capital or the proceeds of sales of securities by foreign
investors. In addition, if there is deterioration in a country’s balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
Diversified Income Series-30
| |
Delaware VIP® Diversified
Income Series
Notes to Financial Statements (continued)
8. Credit and Market Risk
(continued)
The Series invests in
fixed income securities whose value is derived from underlying mortgages or
consumer loans. The value of these securities is sensitive to changes in
economic conditions, including delinquencies and/or defaults, and may be
adversely affected by shifts in the market’s perception of the issuers and
changes in interest rates. Investors receive principal and interest payments as
the underlying mortgages or consumer loans are paid back. Some of these
securities are collateralized mortgage obligations (CMOs). CMOs are debt
securities issued by U.S. government agencies or by financial institutions and
other mortgage lenders, which are collateralized by a pool of mortgages held
under an indenture. Prepayment of mortgages may shorten the stated maturity of
the obligations and can result in a loss of premium, if any has been paid.
Certain of these securities may be stripped (securities which provide only the
principal or interest feature of the underlying security). The yield to maturity
on an interest-only CMO is extremely sensitive not only to changes in prevailing
interest rates, but also to the rate of principal payments (including
prepayments) on the related underlying mortgage assets. A rapid rate of
principal payments may have a material adverse affect on the Series’ yield to
maturity. If the underlying mortgage assets experience greater than anticipated
prepayments of principal, the Series may fail to fully recoup its initial
investment in these securities even if the securities are rated in the highest
rating categories.
The Series invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s and Baa3 by Moody’s Investor Services, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series invests in certain obligations held by the Series that may have liquidity protection to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies or letter of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 15% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the Statement of Net Assets.
9. Contractual
Obligations
The Series enters into contracts
in the normal course of business that contain a variety of indemnifications. The
Series’ maximum exposure under these arrangements is unknown. However, the
Series has not had prior claims or losses pursuant to these contracts.
Management has reviewed the Series’ existing contracts and expects the risk of
loss to be remote.
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial
statements.
|
The Series files its complete
schedule of portfolio holdings with the Securities and Exchange Commission
(Commission) for the first and third quarters of each fiscal year on Form
N-Q. The Series’ Forms N-Q, as well as a description of the policies and
procedures that the Series uses to determine how to vote proxies (if any)
relating to portfolio securities are available without charge (i) upon
request, by calling 800 523-1918; and (ii) on the Commission’s website at
sec.gov. In addition, a description of the policies and procedures that
the Series uses to determine how to vote proxies (if any) relating to
portfolio securities is available without charge on the Delaware
Investments® Funds’ website at delawareinvestments.com. The
Series’ Forms N-Q may be reviewed and copied at the Commission’s Public
Reference Room in Washington, DC; information on the operation of the
Public Reference Room may be obtained by calling 800
SEC-0330. |
| SA-VIPDIVINC [6/13] DG3 19050 (8/13) (11062) | Diversified Income Series-31 |
| Delaware VIP® Trust |
| Delaware VIP Emerging Markets Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security Type/country and sector allocations | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 6 |
| > Statements of changes in net assets | 6 |
| > Financial highlights | 7 |
| > Notes to financial statements | 9 |
Investments in Delaware VIP® Emerging Markets Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP Emerging Markets Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust — Delaware VIP
Emerging Markets Series
Disclosure of Series Expenses
For the Six-Month Period from January 1, 2013 to June 30, 2013
(Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual
Expenses
The first section of the table
shown, “Actual Series Return,” provides information about actual account values
and actual expenses. You may use the information in this section of the table,
together with the amount you invested, to estimate the expenses that you paid
over the period. Simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number in the first section under the heading entitled “Expenses Paid During
Period” to estimate the expenses you paid on your account during the
period.
Hypothetical Example for
Comparison Purposes
The second section of
the table shown, “Hypothetical 5% Return,” provides information about
hypothetical account values and hypothetical expenses based on the Series’
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Series’ actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expenses you paid for the period. You may use this information to
compare the ongoing costs of investing in the Series and other funds. To do so,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | |||||||||||||
| Beginning | Ending | Paid During | |||||||||||
| Account | Account | Annualized | Period | ||||||||||
| Value | Value | Expense | 1/1/13 to | ||||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | ||||||||||
| Actual Series Return† | |||||||||||||
| Standard Class | $ | 1,000.00 | $ | 956.70 | 1.41% | $6.84 | |||||||
| Service Class | 1,000.00 | 955.90 | 1.66% | 8.05 | |||||||||
| Hypothetical 5% Return (5% return before expenses) | |||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,017.80 | 1.41% | $7.05 | |||||||
| Service Class | 1,000.00 | 1,016.56 | 1.66% | 8.30 | |||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
Emerging Markets Series-1
| |
Delaware VIP® Trust — Delaware VIP
Emerging Markets Series
Security Type/Country and Sector
Allocations
As of June 30, 2013
(Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||
| Security Type/Country | of Net Assets | |
| Common Stock by Country | 93.31 | % |
| Argentina | 1.59 | % |
| Bahamas | 0.13 | % |
| Brazil | 13.68 | % |
| China | 17.87 | % |
| India | 4.92 | % |
| Indonesia | 0.59 | % |
| Israel | 2.31 | % |
| Malaysia | 2.26 | % |
| Mexico | 8.29 | % |
| Peru | 0.36 | % |
| Poland | 0.82 | % |
| Republic of Korea | 13.47 | % |
| Russia | 7.98 | % |
| South Africa | 4.03 | % |
| Taiwan | 6.23 | % |
| Thailand | 1.46 | % |
| Turkey | 1.01 | % |
| United Kingdom | 0.31 | % |
| United States | 6.00 | % |
| Preferred Stock by Country | 5.13 | % |
| Brazil | 1.76 | % |
| Republic of Korea | 1.70 | % |
| Russia | 1.67 | % |
| Participation Notes | 0.00 | % |
| Right | 0.00 | % |
| Short-Term Investments | 0.84 | % |
| Securities Lending Collateral | 1.22 | % |
| Total Value of Securities | 100.50 | % |
| Obligation to Return Securities Lending Collateral | (1.29 | %) |
| Receivables and Other Assets Net of Other Liabilities | 0.79 | % |
| Total Net Assets | 100.00 | % |
| Common Stock, Preferred Stock | ||
| and Participation Notes by Sector | ||
| Consumer Discretionary | 4.67 | % |
| Consumer Staples | 9.51 | % |
| Energy | 18.13 | % |
| Financials | 16.58 | % |
| Healthcare | 2.31 | % |
| Industrials | 2.93 | % |
| Information Technology | 20.36 | % |
| Materials | 8.62 | % |
| Telecommunication Services | 13.36 | % |
| Utilities | 1.97 | % |
| Total | 98.44 | % |
Emerging Markets Series-2
| |
Delaware VIP® Trust — Delaware VIP
Emerging Markets Series
Statement of Net Assets
June 30, 2013 (Unaudited)
| Number of | Value | |||
| Shares | (U.S. $) | |||
| ΔCOMMON STOCK–93.31% | ||||
| Argentina–1.59% | ||||
| Arcos Dorados Holdings Class A | 48,584 | $ | 567,461 | |
| †@Cresud ADR | 322,769 | 2,398,174 | ||
| †@=#Grupo Clarin Class B GDR 144A | 209,100 | 737,600 | ||
| @IRSA Inversiones y Representaciones ADR | 363,112 | 2,697,922 | ||
| †Pampa Energia ADR | 44,500 | 143,735 | ||
| YPF ADR | 106,800 | 1,576,368 | ||
| 8,121,260 | ||||
| Bahamas–0.13% | ||||
| #@Aluminum Bahrain 144A GDR | 91,200 | 635,016 | ||
| 635,016 | ||||
| Brazil–13.68% | ||||
| AES Tiete | 319,936 | 2,828,742 | ||
| All America Latina Logistica | 578,435 | 2,457,344 | ||
| B2W Cia Global Do Varejo | 513,600 | 1,521,352 | ||
| Banco Santander Brasil ADR | 476,000 | 2,960,720 | ||
| †BB Seguridade Participacoes | 240,600 | 1,892,238 | ||
| Brasil Foods ADR | 341,500 | 7,413,965 | ||
| Braskem ADR | 78,499 | 1,168,065 | ||
| Centrais Eletricas Brasileiras | 711,800 | 1,480,059 | ||
| *Cia Brasileira de Distribuicao Grupo Pao | ||||
| de Acucar ADR | 71,690 | 3,259,027 | ||
| †Cia Siderurgica Nacional ADR | 611,900 | 1,694,963 | ||
| Cyrela Brazil Realty | ||||
| Empreendimentos e Participacoes | 266,900 | 1,833,555 | ||
| †Fibria Celulose ADR | 523,900 | 5,810,051 | ||
| @Gerdau | 389,400 | 1,989,317 | ||
| Gerdau ADR | 444,900 | 2,540,379 | ||
| Hypermarcas | 57,400 | 373,492 | ||
| Itau Unibanco Holding ADR | 550,000 | 7,106,000 | ||
| Petroleo Brasileiro SA ADR | 488,906 | 6,561,119 | ||
| Petroleo Brasileiro SP ADR | 403,795 | 5,919,635 | ||
| Tim Participacoes ADR | 584,800 | 10,877,280 | ||
| 69,687,303 | ||||
| China–17.87% | ||||
| †Baidu ADR | 150,000 | 14,179,500 | ||
| Bank of China | 13,346,000 | 5,489,101 | ||
| †Bitauto Holdings ADR | 37,400 | 410,278 | ||
| China Construction Bank | 7,118,000 | 5,038,366 | ||
| China Mengniu Dairy | 724,000 | 2,590,365 | ||
| China Mobile ADR | 154,500 | 7,998,465 | ||
| China Petroleum & Chemical ADR | 32,488 | 2,972,652 | ||
| China Telecom | 2,736,000 | 1,305,200 | ||
| China Unicom Hong Kong ADR | 505,492 | 6,642,165 | ||
| †FIH Mobile | 2,262,000 | 1,236,568 | ||
| First Pacific | 2,831,285 | 3,033,500 | ||
| Fosun International | 131,708 | 96,624 | ||
| †Hollysys Automation Technologies | 129,100 | 1,602,131 | ||
| Industrial & Commercial Bank of China | 7,785,500 | 4,908,568 | ||
| Kunlun Energy | 2,622,900 | 4,653,284 | ||
| PetroChina ADR | 44,500 | 4,924,815 | ||
| †Shanda Games ADR | 1,118,325 | 4,417,384 | ||
| †SINA | 89,000 | 4,959,970 | ||
| †Sohu.com | 153,500 | 9,458,670 | ||
| †Tianjin Development Holdings | 35,950 | 19,421 | ||
| †@Tom Group | 23,322,004 | 2,766,388 | ||
| @Travelsky Technology | 3,700,441 | 2,347,351 | ||
| 91,050,766 | ||||
| India–4.92% | ||||
| †Cairn India | 473,000 | 2,304,100 | ||
| †Indiabulls Infrastructure and Power | 131,652 | 7,649 | ||
| †Indiabulls Real Estate GDR | 44,628 | 47,306 | ||
| Reliance Industries | 700,000 | 10,142,610 | ||
| Reliance Industries GDR | 430,000 | 12,379,700 | ||
| †*Sify Technologies ADR | 91,200 | 159,600 | ||
| 25,040,965 | ||||
| Indonesia–0.59% | ||||
| Tambang Batubara Bukit Asam Persero | 2,241,097 | 3,003,183 | ||
| 3,003,183 | ||||
| Israel–2.31% | ||||
| Teva Pharmaceutical Industries ADR | 300,000 | 11,760,000 | ||
| 11,760,000 | ||||
| Malaysia–2.26% | ||||
| Hong Leong Bank | 1,549,790 | 6,818,193 | ||
| †UEM Land Holdings | 4,748,132 | 4,688,771 | ||
| 11,506,964 | ||||
| Mexico–8.29% | ||||
| America Movil Class L ADR | 210,742 | 4,583,639 | ||
| Cemex ADR | 962,313 | 10,181,272 | ||
| †Empresas ICA | 1,105,736 | 2,090,464 | ||
| Fomento Economico Mexicano ADR | 98,307 | 10,144,299 | ||
| Grupo Financiero Banorte | 754,700 | 4,507,549 | ||
| Grupo Televisa ADR | 432,500 | 10,743,300 | ||
| 42,250,523 | ||||
| Peru–0.36% | ||||
| Cia de Minas Buenaventura ADR | 125,440 | 1,851,494 | ||
| 1,851,494 | ||||
| Poland–0.82% | ||||
| Jastrzebska Spolka Weglowa | 26,987 | 520,731 | ||
| †Polski Koncern Naftowy Orlen | 261,369 | 3,664,695 | ||
| 4,185,426 | ||||
| Republic of Korea–13.47% | ||||
| CJ | 45,695 | 4,539,901 | ||
| KB Financial Group ADR | 165,996 | 4,918,461 | ||
| KCC | 3,272 | 939,440 | ||
| †Korea Electric Power | 113,650 | 2,636,314 | ||
| Korea Electric Power ADR | 177,900 | 2,012,049 | ||
| KT | 99,830 | 3,128,426 | ||
| †*LG Display ADR | 188,309 | 2,235,228 | ||
| LG Electronics | 62,908 | 4,019,856 | ||
| Lotte Chilsung Beverage | 8 | 9,664 | ||
| Lotte Confectionery | 2,904 | 4,085,021 | ||
| Samsung Electronics | 14,009 | 16,456,649 | ||
| Samsung Life Insurance | 71,180 | 6,729,202 | ||
| †SK Communications | 95,525 | 492,509 | ||
| SK Telecom | 16,491 | 3,031,434 | ||
| SK Telecom ADR | 660,000 | 13,417,800 | ||
| 68,651,954 | ||||
| Russia–7.98% | ||||
| †@Chelyabinsk Zink Plant GDR | 69,200 | 242,207 | ||
| †Enel OGK-5 GDR | 15,101 | 29,498 | ||
| †#=Etalon Group GDR 144A | 354,800 | 1,216,964 | ||
| Gazprom ADR | 783,900 | 5,158,062 | ||
| LUKOIL ADR | 23,433 | 1,350,912 | ||
| LUKOIL ADR (London International Exchange) | 133,500 | 7,662,900 | ||
| †MegaFon GDR | 234,178 | 7,318,063 | ||
Emerging Markets Series-3
| |
Delaware VIP® Emerging Markets Series
Statement of Net Assets (continued)
| Number of | Value | ||||
| Shares | (U.S. $) | ||||
| ΔCOMMON STOCK (continued) | |||||
| Russia (continued) | |||||
| Mobile Telesystems ADR | 154,402 | $ | 2,924,374 | ||
| =Sberbank | 3,308,402 | 9,432,727 | |||
| Surgutneftegas ADR | 294,652 | 2,310,072 | |||
| †TGK-5 GDR | 6,229 | 2,186 | |||
| *VTB Bank GDR | 861,186 | 2,445,768 | |||
| VTB Bank OJSC | 411,634,850 | 588,945 | |||
| 40,682,678 | |||||
| South Africa–4.03% | |||||
| †*ArcelorMittal South Africa | 374,610 | 1,212,698 | |||
| Impala Platinum Holdings | 135,751 | 1,277,172 | |||
| Sasol | 76,270 | 3,329,647 | |||
| Sasol ADR | 65,127 | 2,820,650 | |||
| Standard Bank Group | 287,970 | 3,247,637 | |||
| Sun International | 168,124 | 1,626,134 | |||
| Tongaat Hulett | 180,473 | 2,291,286 | |||
| *Vodacom Group | 444,868 | 4,726,357 | |||
| 20,531,581 | |||||
| Taiwan–6.23% | |||||
| Formosa Chemicals & Fibre | 2,066,989 | 5,069,192 | |||
| Hon Hai Precision Industry | 777,048 | 1,918,637 | |||
| MediaTek | 255,678 | 2,973,099 | |||
| President Chain Store | 890,000 | 5,835,335 | |||
| Taiwan Semiconductor Manufacturing | 2,375,864 | 8,799,496 | |||
| United Microelectronics | 6,688,461 | 3,235,992 | |||
| United Microelectronics ADR | 889,700 | 2,073,001 | |||
| Walsin Lihwa | 6,477,100 | 1,839,177 | |||
| 31,743,929 | |||||
| Thailand–1.46% | |||||
| Bangkok Bank | 638,091 | 4,282,766 | |||
| PTT Exploration & Production | 617,051 | 3,155,940 | |||
| 7,438,706 | |||||
| Turkey–1.01% | |||||
| †Turkcell lletisim Hizmetleri | 368,462 | 2,139,555 | |||
| *Turkiye Sise ve Cam Fabrikalari | 2,162,412 | 3,027,018 | |||
| 5,166,573 | |||||
| United Kingdom–0.31% | |||||
| Anglo American ADR | 92,815 | 891,089 | |||
| @Griffin Mining | 1,642,873 | 699,621 | |||
| 1,590,710 | |||||
| United States–6.00% | |||||
| Avon Products | 548,400 | 11,532,852 | |||
| †SunEdison | 177,900 | 1,453,443 | |||
| †Yahoo | 700,000 | 17,577,000 | |||
| 30,563,295 | |||||
| Total Common Stock | |||||
| (cost $511,022,626) | 475,462,326 | ||||
| PREFERRED STOCK–5.13% | |||||
| Brazil–1.76% | |||||
| *Braskem Class A | 288,768 | 2,127,424 | |||
| Centrais Elecricas Brasileiras Class B | 233,700 | 913,226 | |||
| Vale Class A 1.98% | 489,400 | 5,932,454 | |||
| 8,973,104 | |||||
| Republic of Korea–1.70% | |||||
| CJ 3.73% | 28,030 | 925,010 | |||
| Samsung Electronics 2.25% | 9,995 | 7,734,226 | |||
| 8,659,236 | |||||
| Russia–1.67% | |||||
| =AK Transneft 0.94% | 3,887 | 8,491,729 | |||
| 8,491,729 | |||||
| Total Preferred Stock | |||||
| (cost $20,729,630) | 26,124,069 | ||||
| PARTICIPATION NOTES–0.00% | |||||
| #†=Lehman Indian Oil CW 12 LEPO 144A | 100,339 | 0 | |||
| #†=Lehman Oil & Natural Gas CW 12 LEPO 144A | 146,971 | 0 | |||
| Total Participation Notes | |||||
| (cost $4,952,197) | 0 | ||||
| RIGHT–0.00% | |||||
| †First Pacific Company | 353,911 | 9,582 | |||
| Total Right (cost $0) | 9,582 | ||||
| Principal | |||||
| Amount | |||||
| (U.S. $) | |||||
| SHORT-TERM INVESTMENTS–0.84% | |||||
| Repurchase Agreements–0.84% | |||||
| Bank of America 0.05%, dated 6/28/13, to be | |||||
| repurchased on 7/1/13, repurchase price | |||||
| $1,533,458 (collateralized by U.S. Government | |||||
| obligations 0.375%-2.25% 5/31/14-11/30/16; | |||||
| market value $1,564,121) | $ | 1,533,452 | 1,533,452 | ||
| BNP Paribas 0.05%, dated 6/28/13, to be | |||||
| repurchased on 7/1/13, repurchase price | |||||
| $699,819 (collateralized by U.S. Government | |||||
| obligations 0.25%-0.375% 6/30/14-2/15/16; | |||||
| market value $713,831) | 699,816 | 699,816 | |||
| BNP Paribas 0.005%, dated 6/28/13, to be | |||||
| repurchased on 7/1/13, repurchase price | |||||
| $2,044,603 (collateralized by U.S. Government | |||||
| obligations 0.25% 3/31/14-8/31/14; market | |||||
| value $2,085,495) | 2,044,602 | 2,044,602 | |||
| Total Short-Term Investments | |||||
| (cost $4,277,870) | 4,277,870 | ||||
| Total Value of Securities | |||||
| Before Securities Lending | |||||
| Collateral–99.28% (cost $540,982,323) | 505,873,847 | ||||
| Number of | |||||
| Shares | |||||
| **SECURITIES LENDING COLLATERAL–1.22% | |||||
| Investment Companies | |||||
| Delaware Investments Collateral Fund No. 1 | 6,209,461 | 6,209,461 | |||
| @†Mellon GSL Reinvestment Trust II | 356,141 | 0 | |||
| Total Securities Lending Collateral | |||||
| (cost $6,565,602) | 6,209,461 | ||||
Emerging Markets Series-4
| |
Delaware VIP® Emerging Markets Series
Statement of Net Assets (continued)
| ©TOTAL VALUE OF SECURITIES–100.50% (COST $547,547,925) | $512,083,308 | |||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(1.29%) | (6,565,602 | ) | ||
| «RECEIVABLES AND OTHER ASSETS NET OF OTHER LIABILITIES–0.79% | 4,006,366 | |||
| NET ASSETS APPLICABLE TO 27,354,195 SHARES OUTSTANDING–100.00% | $509,524,072 | |||
| NET ASSET VALUE–DELAWARE VIP EMERGING MARKETS
SERIES STANDARD CLASS ($141,338,045 / 7,577,124 Shares) |
$18.65 | |||
| NET ASSET
VALUE–DELAWARE VIP EMERGING MARKETS
SERIES SERVICE CLASS ($368,186,027 / 19,777,071 Shares) |
$18.62 | |||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | ||||
| Shares of beneficial interest (unlimited authorization–no par) | $547,008,095 | |||
| Undistributed net investment income | 1,932,045 | |||
| Accumulated net realized loss on investments | (3,607,687 | ) | ||
| Net unrealized depreciation of investments and foreign currencies | (35,808,381 | ) | ||
| Total net assets | $509,524,072 | |||
| Δ |
Securities have been classified by country of origin. Classification by type of business has been presented on page 2 in “Security Type/Country and Sector Allocations.” |
| @ |
Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $14,513,596, which represented 2.85% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| # |
Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2013, the aggregate value of Rule 144A securities was $2,589,580, which represented 0.51% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| † |
Non income producing security. |
| * |
Fully or partially on loan. |
| = |
Security is being fair valued in accordance with the Series’ fair valuation policy. At June 30, 2013, the aggregate value of fair valued securities was $19,879,020, which represented 3.90% of the Series’ net assets. See Note 1 in “Notes to Financial Statements.” |
| ** |
See Note 7 in “Notes to Financial Statements” for additional information on securities lending collateral. |
| © |
Includes $6,033,371 of securities loaned. |
| « |
Includes foreign currency valued at $68,166 with a cost of $71,287. |
Summary of
Abbreviations:
ADR – American Depositary
Receipt
GDR – Global Depositary Receipt
LEPO – Low Exercise Price
Option
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-5
| |
Delaware VIP® Trust —
Delaware VIP Emerging Markets Series
Statement of Operations
Six Months
Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Dividends | $ | 6,859,512 | |
| Securities lending income | 64,885 | ||
| Interest | 292 | ||
| Foreign tax withheld | (725,002 | ) | |
| 6,199,687 | |||
| EXPENSES: | |||
| Management fees | 3,295,795 | ||
| Distribution expenses – Service Class | 577,430 | ||
| Custodian fees | 211,750 | ||
| Accounting and administration expenses | 102,440 | ||
| Reports and statements to shareholders | 31,164 | ||
| Audit and tax | 25,730 | ||
| Dividend disbursing and transfer agent fees and expenses | 22,417 | ||
| Legal fees | 21,475 | ||
| Trustees’ fees | 13,120 | ||
| Insurance fees | 4,585 | ||
| Dues and services | 2,477 | ||
| Consulting fees | 2,208 | ||
| Pricing fees | 1,660 | ||
| Trustees’ expenses | 1,000 | ||
| Registration fees | 321 | ||
| 4,313,572 | |||
| Less waived distribution expenses – Service Class | (96,238 | ) | |
| Total operating expenses | 4,217,334 | ||
| NET INVESTMENT INCOME | 1,982,353 | ||
| NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
| Net realized gain (loss) on: | |||
| Investments | 13,389,419 | ||
| Foreign currencies | (36,246 | ) | |
| Foreign currency exchange contracts | (103,526 | ) | |
| Net realized gain | 13,249,647 | ||
| Net change in unrealized appreciation (depreciation) of: | |||
| Investments | (38,090,170 | ) | |
| Foreign currencies | (174,628 | ) | |
| Foreign currency exchange contracts | – | ||
| Net change in unrealized appreciation (depreciation) | (38,264,798 | ) | |
| NET REALIZED AND UNREALIZED LOSS | (25,015,151 | ) | |
| NET DECREASE IN NET ASSETS RESULTING | |||
| FROM OPERATIONS | $ | (23,032,798 | ) |
Delaware VIP Trust —
Delaware VIP Emerging Markets Series
Statements of Changes in Net Assets
| Six Months | |||||||
| Ended | Year | ||||||
| 6/30/13 | Ended | ||||||
| (Unaudited) | 12/31/12 | ||||||
| INCREASE (DECREASE) IN NET ASSETS | |||||||
| FROM OPERATIONS: | |||||||
| Net investment income | $ | 1,982,353 | $ | 4,993,202 | |||
| Net realized gain (loss) | 13,249,647 | (9,379,404 | ) | ||||
| Net change in unrealized appreciation | |||||||
| (depreciation) | (38,264,798 | ) | 66,404,111 | ||||
| Net increase (decrease) in net assets resulting | |||||||
| from operations | (23,032,798 | ) | 62,017,909 | ||||
| DIVIDENDS AND DISTRIBUTIONS TO | |||||||
| SHAREHOLDERS FROM: | |||||||
| Net investment income: | |||||||
| Standard Class | (2,500,835 | ) | (2,117,098 | ) | |||
| Service Class | (5,775,615 | ) | (2,851,016 | ) | |||
| (8,276,450 | ) | (4,968,114 | ) | ||||
| CAPITAL SHARE TRANSACTIONS: | |||||||
| Proceeds from shares sold: | |||||||
| Standard Class | 14,109,039 | 65,343,824 | |||||
| Service Class | 17,830,629 | 52,502,069 | |||||
| Net asset value of shares issued upon | |||||||
| reinvestment of dividends and distributions: | |||||||
| Standard Class | 2,500,835 | 2,043,219 | |||||
| Service Class | 5,775,615 | 2,851,016 | |||||
| 40,216,118 | 122,740,128 | ||||||
| Cost of shares redeemed: | |||||||
| Standard Class | (7,409,278 | ) | (97,242,192 | ) | |||
| Service Class | (22,288,745 | ) | (57,766,770 | ) | |||
| (29,698,023 | ) | (155,008,962 | ) | ||||
| Increase (decrease) in net assets derived | |||||||
| from capital share transactions | 10,518,095 | (32,268,834 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS | (20,791,153 | ) | 24,780,961 | ||||
| NET ASSETS: | |||||||
| Beginning of period | 530,315,225 | 505,534,264 | |||||
| End of period (including undistributed | |||||||
| net investment income of $1,932,045 | |||||||
| and $8,226,142, respectively) | $ | 509,524,072 | $ | 530,315,225 | |||
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-6
| |
Delaware VIP® Trust — Delaware VIP
Emerging Markets Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Emerging Markets Series Standard Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $19.840 | $17.510 | $22.190 | $18.870 | $11.290 | $27.840 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income2 | 0.092 | 0.205 | 0.228 | 0.352 | 0.152 | 0.282 | ||||||||||||
| Net realized and unrealized gain (loss) | (0.935 | ) | 2.316 | (4.526 | ) | 3.115 | 8.173 | (12.865 | ) | |||||||||
| Total from investment operations | (0.843 | ) | 2.521 | (4.298 | ) | 3.467 | 8.325 | (12.583 | ) | |||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.347 | ) | (0.191 | ) | (0.382 | ) | (0.147 | ) | (0.181 | ) | (0.355 | ) | ||||||
| Net realized gain | – | – | – | – | (0.564 | ) | (3.612 | ) | ||||||||||
| Total dividends and distributions | (0.347 | ) | (0.191 | ) | (0.382 | ) | (0.147 | ) | (0.745 | ) | (3.967 | ) | ||||||
| Net asset value, end of period | $18.650 | $19.840 | $17.510 | $22.190 | $18.870 | $11.290 | ||||||||||||
| Total return3 | (4.33% | ) | 14.44% | (19.78% | ) | 18.49% | 78.11% | (51.56% | ) | |||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $141,338 | $140,966 | $160,142 | $266,238 | $245,149 | $159,025 | ||||||||||||
| Ratio of expenses to average net assets | 1.41% | 1.40% | 1.39% | 1.40% | 1.39% | 1.41% | ||||||||||||
| Ratio of
expenses to average net assets prior to fees waived |
1.41% | 1.40% | 1.39% | 1.40% | 1.41% | 1.41% | ||||||||||||
| Ratio of net investment income to
average net assets |
0.93% | 1.11% | 1.11% | 1.84% | 1.07% | 1.48% | ||||||||||||
| Ratio of net
investment income to average net assets prior to fees waived |
0.93% | 1.11% | 1.11% | 1.84% | 1.05% | 1.48% | ||||||||||||
| Portfolio turnover | 9% | 22% | 16% | 21% | 28% | 42% | ||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-7
| |
Delaware VIP® Emerging Markets Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Emerging Markets Series Service Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $19.780 | $17.450 | $22.130 | $18.830 | $11.250 | $ 27.750 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income2 | 0.067 | 0.158 | 0.174 | 0.304 | 0.117 | 0.235 | ||||||||||||
| Net realized and unrealized gain (loss) | (0.926 | ) | 2.312 | (4.520 | ) | 3.108 | 8.160 | (12.829 | ) | |||||||||
| Total from investment operations | (0.859 | ) | 2.470 | (4.346 | ) | 3.412 | 8.277 | (12.594 | ) | |||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.301 | ) | (0.140 | ) | (0.334 | ) | (0.112 | ) | (0.133 | ) | (0.294 | ) | ||||||
| Net realized gain | – | – | – | – | (0.564 | ) | (3.612 | ) | ||||||||||
| Total dividends and distributions | (0.301 | ) | (0.140 | ) | (0.334 | ) | (0.112 | ) | (0.697 | ) | (3.906 | ) | ||||||
| Net asset value, end of period | $18.620 | $19.780 | $17.450 | $22.130 | $18.830 | $11.250 | ||||||||||||
| Total return3 | (4.41% | ) | 14.19% | (20.00% | ) | 18.21% | 77.67% | (51.68% | ) | |||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $368,186 | $389,349 | $345,392 | $360,118 | $266,768 | $166,008 | ||||||||||||
| Ratio of expenses to average net assets | 1.66% | 1.65% | 1.64% | 1.65% | 1.64% | 1.66% | ||||||||||||
| Ratio of
expenses to average net assets prior to fees waived |
1.71% | 1.70% | 1.69% | 1.70% | 1.71% | 1.71% | ||||||||||||
| Ratio of net investment income to
average net assets |
0.68% | 0.86% | 0.86% | 1.59% | 0.82% | 1.23% | ||||||||||||
| Ratio of net
investment income to average net assets prior to fees waived |
0.63% | 0.81% | 0.81% | 1.54% | 0.75% | 1.18% | ||||||||||||
| Portfolio turnover | 9% | 22% | 16% | 21% | 28% | 42% | ||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-8
| |
Delaware VIP® Trust — Delaware VIP
Emerging Markets Series
Notes to Financial Statements
June 30, 2013 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Emerging Markets Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting
Policies
The following accounting policies
are in accordance with U.S. generally accepted accounting principles (U.S. GAAP)
and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars daily at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally does not bifurcate that portion of realized gains and losses on investments which are due to changes in foreign exchange rates from that which are due to changes in market prices. The changes are included with the net realized and unrealized gain or loss on investments. The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
Emerging Markets Series-9
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Delaware VIP® Emerging Markets Series
Notes to Financial Statements (continued)
1. Significant Accounting Policies
(continued)
The Series receives earnings
credits from its transfer agent when positive cash balances are maintained,
which are used to offset transfer agent fees. If the amount earned is greater
than one dollar, the expense paid under this arrangement is included in dividend
disbursing and transfer agent fees and expenses and appears on the Statement of
Operations with the corresponding expense offset shown as “expense paid
indirectly.” For the six months ended June 30, 2013, the Series earned less than
one dollar under this agreement.
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the terms of
its investment management agreement, the Series pays Delaware Management Company
(DMC), a series of Delaware Management Business Trust and the investment
manager, an annual fee which is calculated daily at the rate of 1.25% on the
first $500 million of average daily net assets of the Series, 1.20% on the next
$500 million, 1.15% on the next $1.5 billion, and 1.10% on average daily net
assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $12,801 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees, and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | To DDLP | and Affiliates* | ||||
| $527,102 | $5,213 | $76,430 | $4,466 |
*DMC as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $10,698 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3. Investments
For the six months ended June 30, 2013, the Series made
purchases and sales of investment securities other than short-term investments
as follows:
| Purchases | $49,909,994 | |
| Sales | 52,365,702 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | |||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | |||||
| Investments | Appreciation | Depreciation | Depreciation | |||||
| $548,414,276 | $88,219,015 | $(124,549,983) | $(36,330,968) |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at December 31, 2012 will expire as follows: $2,210,358 expires in 2017.
Emerging Markets Series-10
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Delaware VIP® Emerging Markets Series
Notes to Financial Statements (continued)
3. Investments
(continued)
On December 22, 2010, the
Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which
changed various technical rules governing the tax treatment of regulated
investment companies. The changes were generally effective for taxable years
beginning after the date of enactment. Under the Act, the Series is permitted to
carry forward capital losses incurred in taxable years beginning after the date
of enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
Losses incurred that will be carried forward under the Act are as follows:
| Loss carryforward character | |||
| Short-term | Long-term | ||
| $1,133,538 | $12,427,577 | ||
U.S. GAAP defines fair value as the price that the Series 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 developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||
| Common Stock1 | $ | 462,267,390 | $ | 11,240,372 | $ | 1,954,564 | $ | 475,462,326 | ||||
| Preferred Stock2 | 17,632,339 | 8,491,730 | – | 26,124,069 | ||||||||
| Right | – | – | 9,582 | 9,582 | ||||||||
| Short-Term Investments | – | 4,277,870 | – | 4,277,870 | ||||||||
| Securities Lending Collateral | – | 6,209,461 | – | 6,209,461 | ||||||||
| Total | $ | 479,899,729 | $ | 30,219,433 | $ | 1,964,146 | $ | 512,083,308 | ||||
|
1Security type is valued across multiple levels. The amount attributed to Level 1 securities, Level 2 securities and Level 3 securities represents 97%, 2% and 1%, respectively, of the total market value of this security type. |
|
2Security type is valued across multiple levels. The amount attributed to Level 1 securities and Level 2 securities represents 67% and 33%, respectively, of the total market value of this security type. |
Certain securities have been fair valued in accordance with the Series’ fair valuation policy and presented as Level 2 investments as a result of utilizing the price of a similar asset with an observable input that had been using a quoted price in an active market.
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. This does not include transfers between Level 1 investments and Level 2 investments due to the Series utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded causing a change in classification between levels. The Series policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
Emerging Markets Series-11
| |
Delaware VIP® Emerging Markets Series
Notes to Financial Statements (continued)
4. Capital
Shares
Transactions in capital shares were
as follows:
| Six Months | Year | ||||
| Ended | Ended | ||||
| 6/30/13 | 12/31/12 | ||||
| Shares sold: | |||||
| Standard Class | 710,223 | 3,479,386 | |||
| Service Class | 903,276 | 2,878,459 | |||
| Shares issued upon reinvestment of dividends and distributions: | |||||
| Standard Class | 127,920 | 107,143 | |||
| Service Class | 295,882 | 149,738 | |||
| 2,037,301 | 6,614,726 | ||||
| Shares redeemed: | |||||
| Standard Class | (367,699 | ) | (5,626,864 | ) | |
| Service Class | (1,110,038 | ) | (3,130,761 | ) | |
| (1,477,737 | ) | (8,757,625 | ) | ||
| Net increase (decrease) | 559,564 | (2,142,899 | ) | ||
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to
understand: 1) how and why an entity uses derivatives; 2) how they are accounted
for; and 3) how they affect an entity’s results of operations and financial
position.
Foreign Currency Exchange
Contracts
The Series may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Series may enter
into these contracts to fix the U.S. dollar value of a security that it has
agreed to buy or sell for the period between the date the trade was entered into
and the date the security is delivered and paid for. The Series may also use
these contracts to hedge the U.S. dollar value of securities it already owns
that are denominated in foreign currencies. The change in value is recorded as
an unrealized gain or loss. When the contract is closed, a realized gain or loss
is recorded equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty. No foreign currency exchange contracts were outstanding at June 30, 2013.
See the Statement of Operations on page 6 for the realized and unrealized gain or loss on derivatives.
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2013.
| Long Derivative Volume | ||
| Foreign Currency | ||
| Exchange Contracts | ||
| (Average Cost) | $177,429 | |
| Short Derivative Volume | ||
| Foreign Currency | ||
| Exchange Contracts | ||
| (Average Cost) | $ 80,872 | |
Emerging Markets Series-12
| |
Delaware VIP® Emerging Markets Series
Notes to Financial Statements (continued)
6. Derivatives
(continued)
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | ||||||||||||||||||||||
| Offset in the | ||||||||||||||||||||||
| Statement of | ||||||||||||||||||||||
| Net Assets | ||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | |||||||||||||||||||||
| Assets Presented | Available for Offset | |||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | Net | ||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Amount1 | ||||||||||||||||||
| Repurchase Agreements | 4,277,870 | $– | $ | (4,277,870 | ) | $ | – | $– | ||||||||||||||
| Securities on Loan | 6,033,371 | – | – | (6,033,371 | ) | – | ||||||||||||||||
| Total | $ | 10,311,241 | $– | $ | (4,277,870 | ) | $ | (6,033,371 | ) | $– | ||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts Not | ||||||||||||||||||||||
| Offset in the | ||||||||||||||||||||||
| Statement of | ||||||||||||||||||||||
| Net Assets | ||||||||||||||||||||||
| Gross Amounts of | ||||||||||||||||||||||
| Liabilities | Gross Amounts | |||||||||||||||||||||
| Presented in the | Available for Offset | |||||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | Net | ||||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Amount2 | ||||||||||||||||||
| Securities Lending Collateral |
$ | (6,565,602 | ) | $– | $ | 6,209,461 | $– | $ | (356,141 | ) | ||||||||||||
| Total | $ | (6,565,602 | ) | $– | $ | 6,209,461 | $– | $ | (356,141 | ) | ||||||||||||
|
1Net amount represents the net amount receivable from the counterparty in the event of default. |
|
2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities
Lending
The Series, along with other funds
in the Delaware Investments® Family of Funds, may lend its securities
pursuant to a security lending agreement (Lending Agreement) with The Bank of
New York Mellon (BNY Mellon). At the time a security is loaned, the borrower
must post collateral equal to the required percentage of the market value of the
loaned security, including any accrued interest. The required percentage is: (i)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. dollars; and (ii) 105% with respect to foreign securities.
With respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. In October 2008, BNY Mellon transferred certain distressed securities from the Series’ previous collateral investment pool into the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent,
Emerging Markets Series-13
| |
Delaware VIP® Emerging Markets Series
Notes to Financial Statements (continued)
7. Securities Lending (continued)
replace the loaned securities. The Series
continues to record dividends or interest, as applicable, on the securities
loaned and is subject to changes in value of the securities loaned that may
occur during the term of the loan. The Series has the right under the Lending
Agreement to recover the securities from the borrower on demand. With respect to
security loans collateralized by non-cash collateral, the Series receives loan
premiums paid by the borrower. With respect to security loans collateralized by
cash collateral, the earnings from the collateral investments are shared among
the Series, the security lending agent and the borrower. The Series records
security lending income net of allocations to the security lending agent and the
borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of the securities on loan was $6,033,371, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $6,209,461. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
Some countries in which the Series
may invest require governmental approval for the repatriation of investment
income, capital or the proceeds of sales of securities by foreign investors. In
addition, if there is deterioration in a country’s balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual Rule 144A securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to June 30, 2013 that would
require recognition or disclosure in the Series’ financial
statements.
|
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for
the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies
and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without
charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description
of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio
securities is available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com.
The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC;
information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov. |
| SA-VIPEM [6/13] DG3 19051 (8/13) | (11062) | Emerging Markets Series-14 |
| Delaware VIP® Trust |
| Delaware VIP High Yield Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security type/sector allocation | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 7 |
| > Statements of changes in net assets | 7 |
| > Financial highlights | 8 |
| > Notes to financial statements | 10 |
Investments in Delaware VIP® High Yield Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP High Yield Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust — Delaware VIP High
Yield Series
Disclosure of Series Expenses
For the Six-Month Period from January 1, 2013 to June 30, 2013
(Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series Return,”
provides information about actual account values and actual expenses. You may
use the information in this section of the table, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the first section under
the heading entitled “Expenses Paid During Period” to estimate the expenses you
paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the table
shown, “Hypothetical 5% Return,” provides information about hypothetical account
values and hypothetical expenses based on the Series’ actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the
Series’ actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing
in the Series and other funds. To do so, compare the 5% hypothetical example
with the 5% hypothetical examples that appear in the shareholder reports of
other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | ||||||||||
| Beginning | Ending | Paid During | ||||||||
| Account | Account | Annualized | Period | |||||||
| Value | Value | Expense | 1/1/13 to | |||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | |||||||
| Actual Series Return† | ||||||||||
| Standard Class | $1,000.00 | $1,021.60 | 0.75% | $3.76 | ||||||
| Service Class | 1,000.00 | 1,020.90 | 1.00% | 5.01 | ||||||
| Hypothetical 5% Return (5% return before expenses) | ||||||||||
| Standard Class | $1,000.00 | $1,021.08 | 0.75% | $3.76 | ||||||
| Service Class | 1,000.00 | 1,019.84 | 1.00% | 5.01 | ||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
High Yield Series-1
| |
Delaware VIP® Trust — Delaware VIP High
Yield Series
Security Type/Sector Allocation
As of June 30, 2013 (Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||||
| Security Type/Sector | of Net Assets | |||
| Corporate Bonds | 89.97 | % | ||
| Automobiles | 3.16 | % | ||
| Banking | 2.13 | % | ||
| Basic Industry | 11.48 | % | ||
| Capital Goods | 4.94 | % | ||
| Consumer Cyclical | 5.54 | % | ||
| Consumer Non-Cyclical | 3.31 | % | ||
| Energy | 14.17 | % | ||
| Financials | 1.77 | % | ||
| Healthcare | 5.70 | % | ||
| Insurance | 3.96 | % | ||
| Media | 8.35 | % | ||
| Real Estate | 0.16 | % | ||
| Service | 10.63 | % | ||
| Technology & Electronics | 4.88 | % | ||
| Telecommunications | 7.72 | % | ||
| Utilities | 2.07 | % | ||
| Senior Secured Loans | 1.97 | % | ||
| Common Stock | 1.96 | % | ||
| Convertible Preferred Stock | 0.54 | % | ||
| Preferred Stock | 1.82 | % | ||
| Repurchase Agreements | 1.82 | % | ||
| Securities Lending Collateral | 0.14 | % | ||
| Total Value of Securities | 98.22 | % | ||
| Obligation to Return Securities Lending Collateral | (0.23 | %) | ||
| Receivables and Other Assets Net of other Liabilities | 2.01 | % | ||
| Total Net Assets | 100.00 | % | ||
High Yield Series-2
| |
Delaware VIP® Trust — Delaware VIP High
Yield Series
Statement of Net Assets
June 30, 2013 (Unaudited)
| Principal | ||||||
| Amount | Value | |||||
| (U.S. $) | (U.S. $) | |||||
| CORPORATE BONDS–89.97% | ||||||
| Automobiles–3.16% | ||||||
| American Axle & Manufacturing 7.75% 11/15/19 | $ | 1,128,000 | $ | 1,246,440 | ||
| ArvinMeritor 10.625% 3/15/18 | 400,000 | 435,000 | ||||
| Chrysler Group 8.25% 6/15/21 | 3,420,000 | 3,791,925 | ||||
| #International Automotive Components Group 144A | ||||||
| 9.125% 6/1/18 | 2,299,000 | 2,310,495 | ||||
| #Jaguar Land Rover 144A | ||||||
| 5.625% 2/1/23 | 150,000 | 146,250 | ||||
| 8.125% 5/15/21 | 1,330,000 | 1,469,650 | ||||
| #LKQ 144A 4.75% 5/15/23 | 2,090,000 | 2,001,175 | ||||
| Meritor 6.75% 6/15/21 | 980,000 | 940,800 | ||||
| 12,341,735 | ||||||
| Banking–2.13% | ||||||
| •Bank of America 5.20% 12/29/49 | 1,600,000 | 1,512,000 | ||||
| Barclays Bank 7.625% 11/21/22 | 2,015,000 | 1,982,256 | ||||
| •Fifth Third Bancorp 5.10% 12/31/49 | 960,000 | 909,600 | ||||
| #•HBOS Capital Funding 144A 6.071% 6/29/49 | 4,489,000 | 3,927,875 | ||||
| 8,331,731 | ||||||
| Basic Industry–11.48% | ||||||
| *AK Steel 7.625% 5/15/20 | 1,129,000 | 970,940 | ||||
| #APERAM 144A 7.75% 4/1/18 | 1,735,000 | 1,656,925 | ||||
| ArcelorMittal 6.125% 6/1/18 | 3,705,000 | 3,830,044 | ||||
| #Builders FirstSource 144A 7.625% 6/1/21 | 1,440,000 | 1,396,800 | ||||
| #Cemex Espana Luxembourg 144A 9.25% 5/12/20 | 1,720,000 | 1,823,200 | ||||
| #Essar Steel Algoma 144A 9.375% 3/15/15 | 1,095,000 | 1,045,725 | ||||
| #*FMG Resources August 2006 144A 6.875% 4/1/22 | 3,072,000 | 2,991,360 | ||||
| HD Supply 11.50% 7/15/20 | 1,370,000 | 1,592,625 | ||||
| Headwaters 7.625% 4/1/19 | 1,500,000 | 1,575,000 | ||||
| #Inmet Mining 144A 8.75% 6/1/20 | 1,932,000 | 1,985,130 | ||||
| #JMC Steel Group 144A 8.25% 3/15/18 | 2,690,000 | 2,642,925 | ||||
| #Kinove German Bondco 144A 9.625% 6/15/18 | 1,760,000 | 1,914,000 | ||||
| #Masonite International 144A 8.25% 4/15/21 | 2,379,000 | 2,575,268 | ||||
| #New Gold 144A 6.25% 11/15/22 | 2,030,000 | 1,953,875 | ||||
| Norcraft Finance 10.50% 12/15/15 | 1,185,000 | 1,230,919 | ||||
| Nortek 8.50% 4/15/21 | 2,335,000 | 2,510,125 | ||||
| #Perstorp Holding AB 144A 8.75% 5/15/17 | 1,985,000 | 1,994,925 | ||||
| Rockwood Specialties Group 4.625% 10/15/20 | 1,945,000 | 1,962,019 | ||||
| #Ryerson 144A | ||||||
| 9.00% 10/15/17 | 1,330,000 | 1,354,938 | ||||
| 11.25% 10/15/18 | 555,000 | 561,938 | ||||
| #Sappi Papier Holding 144A | ||||||
| 6.625% 4/15/21 | 200,000 | 195,000 | ||||
| 8.375% 6/15/19 | 1,985,000 | 2,101,619 | ||||
| #Taminco Global Chemical 144A 9.75% 3/31/20 | 1,834,000 | 2,051,788 | ||||
| #TPC Group 144A 8.75% 12/15/20 | 1,705,000 | 1,751,888 | ||||
| #*US Coatings Acquisition 144A 7.375% 5/1/21 | 1,215,000 | 1,243,856 | ||||
| 44,912,832 | ||||||
| Capital Goods–4.94% | ||||||
| #Ardagh Packaging Finance 144A 7.00% 11/15/20 | 2,120,000 | 2,048,450 | ||||
| #Boe Intermediate Holding PIK 144A 9.00% 11/1/17 | 735,000 | 709,275 | ||||
| #BOE Merger PIK 144A 9.50% 11/1/17 | 1,920,000 | 1,968,000 | ||||
| #Consolidated Container 144A 10.125% 7/15/20 | 1,889,000 | 1,992,895 | ||||
| #Crown Americas 144A 4.50% 1/15/23 | 190,000 | 180,025 | ||||
| Kratos Defense & Security Solutions 10.00% 6/1/17 | 1,967,000 | 2,114,525 | ||||
| #Milacron 144A 7.75% 2/15/21 | 1,930,000 | 1,934,825 | ||||
| Reynolds Group Issuer | ||||||
| 5.75% 10/15/20 | 895,000 | 903,950 | ||||
| 9.00% 4/15/19 | 200,000 | 207,500 | ||||
| 9.875% 8/15/19 | 3,035,000 | 3,262,625 | ||||
| #Sealed Air 144A | ||||||
| 8.125% 9/15/19 | 436,000 | 488,320 | ||||
| 8.375% 9/15/21 | 1,333,000 | 1,512,955 | ||||
| #Silver II Borrower 144A 7.75% 12/15/20 | 240,000 | 242,400 | ||||
| #TransDigm 144A 7.50% 7/15/21 | 1,715,000 | 1,757,875 | ||||
| 19,323,620 | ||||||
| Consumer Cyclical–5.54% | ||||||
| #BC Mountain 144A 7.00% 2/1/21 | 585,000 | 598,163 | ||||
| #BON-TON Department Stores 144A 8.00% 6/15/21 | 2,025,000 | 2,068,031 | ||||
| Burlington Coat Factory Warehouse 10.00% 2/15/19 | 1,117,000 | 1,239,870 | ||||
| #Burlington Holdings PIK 144A 9.00% 2/15/18 | 470,000 | 484,100 | ||||
| #CDR DB Sub 144A 7.75% 10/15/20 | 380,000 | 382,850 | ||||
| CKE Restaurants 11.375% 7/15/18 | 190,000 | 196,889 | ||||
| #Claire’s Stores 144A 7.75% 6/1/20 | 585,000 | 568,913 | ||||
| Dave & Buster’s 11.00% 6/1/18 | 2,497,000 | 2,777,913 | ||||
| Express 8.75% 3/1/18 | 1,359,000 | 1,460,925 | ||||
| #Landry’s 144A 9.375% 5/1/20 | 2,337,000 | 2,477,220 | ||||
| Pantry 8.375% 8/1/20 | 1,240,000 | 1,337,650 | ||||
| #Party City Holdings 144A 8.875% 8/1/20 | 2,105,000 | 2,268,138 | ||||
| Quiksilver 6.875% 4/15/15 | 425,000 | 418,625 | ||||
| #Rite Aid 144A 6.75% 6/15/21 | 1,685,000 | 1,663,938 | ||||
| #Tempur-Pedic International 144A 6.875% 12/15/20 | 1,495,000 | 1,584,700 | ||||
| #Wok Acquisition 144A 10.25% 6/30/20 | 1,936,000 | 2,139,280 | ||||
| 21,667,205 | ||||||
| Consumer Non-Cyclical–3.31% | ||||||
| Alphabet Holding PIK 7.75% 11/1/17 | 780,000 | 803,400 | ||||
| B&G Foods 4.625% 6/1/21 | 1,105,000 | 1,058,038 | ||||
| #Barry Callebaut Services NV 144A 5.50% 6/15/23 | 1,335,000 | 1,350,406 | ||||
| Constellation Brands | ||||||
| 3.75% 5/1/21 | 340,000 | 319,175 | ||||
| 4.25% 5/1/23 | 1,335,000 | 1,263,244 | ||||
| Del Monte 7.625% 2/15/19 | 1,160,000 | 1,197,700 | ||||
| #*ESAL 144A 6.25% 2/5/23 | 470,000 | 431,460 | ||||
| #HJ Heinz Finance 144A 7.125% 8/1/39 | 895,000 | 953,175 | ||||
| #JBS USA 144A 8.25% 2/1/20 | 1,599,000 | 1,682,948 | ||||
| Smithfield Foods 6.625% 8/15/22 | 640,000 | 689,600 | ||||
| #Spectrum Brands Escrow 144A | ||||||
| 6.375% 11/15/20 | 400,000 | 420,000 | ||||
| 6.625% 11/15/22 | 1,490,000 | 1,564,500 | ||||
| Visant 10.00% 10/1/17 | 1,319,000 | 1,223,373 | ||||
| 12,957,019 | ||||||
| Energy–14.17% | ||||||
| AmeriGas Finance | ||||||
| 6.50% 5/20/21 | 468,000 | 475,020 | ||||
| 7.00% 5/20/22 | 650,000 | 667,875 | ||||
| Antero Resources Finance 6.00% 12/1/20 | 2,145,000 | 2,123,550 | ||||
| Approach Resources 7.00% 6/15/21 | 830,000 | 840,375 | ||||
| #Athlon Holdings 144A 7.375% 4/15/21 | 400,000 | 396,000 | ||||
| Calumet Specialty Products Partners 9.375% 5/1/19 | 3,278,000 | 3,523,850 | ||||
| Chaparral Energy | ||||||
| 7.625% 11/15/22 | 955,000 | 978,875 | ||||
| 8.25% 9/1/21 | 1,253,000 | 1,325,048 | ||||
High Yield Series-3
| |
Delaware VIP® High Yield
Series
Statement of Net Assets (continued)
| Principal | ||||||
| Amount | Value | |||||
| (U.S. $) | (U.S. $) | |||||
| CORPORATE BONDS (continued) | ||||||
| Energy (continued) | ||||||
| #CHC Helicopter 144A 9.375% 6/1/21 | $ | 940,000 | $ | 935,300 | ||
| Chesapeake Energy | ||||||
| 5.375% 6/15/21 | 425,000 | 423,938 | ||||
| 5.75% 3/15/23 | 620,000 | 629,300 | ||||
| *6.125% 2/15/21 | 372,000 | 392,460 | ||||
| 6.625% 8/15/20 | 1,190,000 | 1,285,200 | ||||
| Comstock Resources 7.75% 4/1/19 | 1,904,000 | 1,951,600 | ||||
| Crosstex Energy | ||||||
| 7.125% 6/1/22 | 535,000 | 543,025 | ||||
| 8.875% 2/15/18 | 1,674,000 | 1,782,810 | ||||
| #Drill Rigs Holdings 144A 6.50% 10/1/17 | 2,120,000 | 2,125,300 | ||||
| #Exterran Partners 144A 6.00% 4/1/21 | 2,035,000 | 2,014,650 | ||||
| #Genesis Energy 144A 5.75% 2/15/21 | 2,300,000 | 2,254,000 | ||||
| Halcon Resources 8.875% 5/15/21 | 2,240,000 | 2,184,000 | ||||
| #Hercules Offshore 144A | ||||||
| 8.75% 7/15/21 | 575,000 | 575,000 | ||||
| 10.50% 10/15/17 | 2,927,000 | 3,139,208 | ||||
| #Hilcorp Energy I 144A 8.00% 2/15/20 | 2,170,000 | 2,343,600 | ||||
| Kodiak Oil & Gas | ||||||
| #144A 5.50% 1/15/21 | 1,200,000 | 1,171,500 | ||||
| 8.125% 12/1/19 | 844,000 | 919,960 | ||||
| Laredo Petroleum | ||||||
| 7.375% 5/1/22 | 495,000 | 522,225 | ||||
| 9.50% 2/15/19 | 535,000 | 591,175 | ||||
| Linn Energy 8.625% 4/15/20 | 1,456,000 | 1,536,080 | ||||
| #Midstates Petroleum Company 144A 9.25% 6/1/21 | 1,730,000 | 1,628,363 | ||||
| Northern Oil and Gas 8.00% 6/1/20 | 1,895,000 | 1,923,425 | ||||
| #Offshore Group Investment 144A 7.125% 4/1/23 | 925,000 | 913,438 | ||||
| #PDC Energy 144A 7.75% 10/15/22 | 1,975,000 | 2,049,063 | ||||
| Pioneer Drilling 9.875% 3/15/18 | 2,434,000 | 2,622,635 | ||||
| Range Resources 5.00% 8/15/22 | 1,937,000 | 1,903,103 | ||||
| Rosetta Resources 5.625% 5/1/21 | 1,290,000 | 1,260,975 | ||||
| #Samson Investment 144A 10.00% 2/15/20 | 1,564,000 | 1,655,885 | ||||
| SandRidge Energy | ||||||
| 7.50% 3/15/21 | 123,000 | 118,080 | ||||
| 8.125% 10/15/22 | 1,301,000 | 1,294,495 | ||||
| 8.75% 1/15/20 | 1,484,000 | 1,521,100 | ||||
| #Targa Resources Partners LP 144A 4.25% 11/15/23 | 965,000 | 866,088 | ||||
| 55,407,574 | ||||||
| Financials–1.77% | ||||||
| E Trade Financial 6.375% 11/15/19 | 2,085,000 | 2,126,700 | ||||
| #•ILFC E-Capital Trust II 144A 6.25% 12/21/65 | 2,124,000 | 1,943,460 | ||||
| International Lease Finance 4.625% 4/15/21 | 930,000 | 857,344 | ||||
| #Nuveen Investments 144A 9.50% 10/15/20 | 1,985,000 | 1,985,000 | ||||
| 6,912,504 | ||||||
| Healthcare–5.70% | ||||||
| Air Medical Group Holdings 9.25% 11/1/18 | 1,910,000 | 2,067,575 | ||||
| #Alere 144A | ||||||
| 6.50% 6/15/20 | 1,160,000 | 1,129,550 | ||||
| 7.25% 7/1/18 | 1,040,000 | 1,107,600 | ||||
| Biomet 6.50% 10/1/20 | 1,605,000 | 1,609,013 | ||||
| #CDRT Holding PIK 144A 9.25% 10/1/17 | 1,015,000 | 1,032,763 | ||||
| Community Health Systems | ||||||
| 7.125% 7/15/20 | 1,025,000 | 1,057,031 | ||||
| 8.00% 11/15/19 | 767,000 | 819,731 | ||||
| Immucor 11.125% 8/15/19 | 1,771,000 | 1,930,390 | ||||
| Kinetic Concepts 10.50% 11/1/18 | 1,624,000 | 1,753,920 | ||||
| Radnet Management 10.375% 4/1/18 | 1,021,000 | 1,097,575 | ||||
| #Service Corp International 144A 5.375% 1/15/22 | 1,095,000 | 1,095,000 | ||||
| #Sky Growth Acquisition 144A 7.375% 10/15/20 | 2,890,000 | 2,976,700 | ||||
| #STHI Holding 144A 8.00% 3/15/18 | 2,036,000 | 2,209,060 | ||||
| #Truven Health Analytics 144A 10.625% 6/1/20 | 795,000 | 878,475 | ||||
| #VPI Escrow 144A 6.375% 10/15/20 | 1,160,000 | 1,152,750 | ||||
| #VPII Escrow 144A 6.75% 8/15/18 | 350,000 | 359,188 | ||||
| 22,276,321 | ||||||
| Insurance–3.96% | ||||||
| •American International Group 8.175% 5/15/58 | 2,290,000 | 2,805,250 | ||||
| #Hub International 144A 8.125% 10/15/18 | 1,530,000 | 1,598,850 | ||||
| *•ING Groep 5.775% 12/29/49 | 3,610,000 | 3,483,650 | ||||
| #•Liberty Mutual Group 144A 7.00% 3/15/37 | 2,074,000 | 2,105,110 | ||||
| #Onex USI Acquisition 144A 7.75% 1/15/21 | 2,075,000 | 2,054,250 | ||||
| •XL Group 6.50% 12/29/49 | 3,493,000 | 3,423,140 | ||||
| 15,470,250 | ||||||
| Media–8.35% | ||||||
| AMC Networks 4.75% 12/15/22 | 1,050,000 | 1,018,500 | ||||
| CCO Holdings 5.25% 9/30/22 | 2,045,000 | 1,952,975 | ||||
| #Cequel Communications Escrow 1 144A | ||||||
| 6.375% 9/15/20 | 1,585,000 | 1,620,663 | ||||
| Clear Channel Communications 9.00% 3/1/21 | 4,214,000 | 4,024,370 | ||||
| Clear Channel Worldwide Holdings 7.625% 3/15/20 | 2,092,000 | 2,174,690 | ||||
| CSC Holdings 6.75% 11/15/21 | 1,380,000 | 1,493,850 | ||||
| DISH DBS 5.00% 3/15/23 | 2,885,000 | 2,791,238 | ||||
| #Griffey Intermediate 144A 7.00% 10/15/20 | 2,040,000 | 1,978,800 | ||||
| #Lynx II 144A 6.375% 4/15/23 | 1,490,000 | 1,508,625 | ||||
| #MDC Partners 144A 6.75% 4/1/20 | 1,310,000 | 1,313,275 | ||||
| #Nara Cable Funding 144A 8.875% 12/1/18 | 2,285,000 | 2,377,550 | ||||
| #Nexstar Broadcasting 144A 6.875% 11/15/20 | 1,390,000 | 1,438,650 | ||||
| #ONO Finance II 144A 10.875% 7/15/19 | 1,040,000 | 1,086,800 | ||||
| Satelites Mexicanos 9.50% 5/15/17 | 1,187,000 | 1,267,123 | ||||
| #Sirius XM Radio 144A 4.625% 5/15/23 | 770,000 | 714,175 | ||||
| #Univision Communications 144A | ||||||
| 6.75% 9/15/22 | 2,875,000 | 3,033,125 | ||||
| 8.50% 5/15/21 | 1,108,000 | 1,182,790 | ||||
| #UPCB Finance VI 144A 6.875% 1/15/22 | 1,599,000 | 1,662,960 | ||||
| 32,640,159 | ||||||
| Real Estate–0.16% | ||||||
| #*Brookfield Residential Properties 6.125% 7/1/22 | 655,000 | 645,994 | ||||
| 645,994 | ||||||
| Services–10.63% | ||||||
| #Algeco Scotsman Global Finance 144A | ||||||
| 8.50% 10/15/18 | 965,000 | 965,000 | ||||
| 10.75% 10/15/19 | 3,169,000 | 3,042,240 | ||||
| #Audatex North America 144A 6.00% 6/15/21 | 910,000 | 912,275 | ||||
| #Avis Budget Car Rental 144A 5.50% 4/1/23 | 1,820,000 | 1,765,400 | ||||
| #Beazer Homes USA 144A 7.25% 2/1/23 | 560,000 | 568,400 | ||||
| Caesars Entertainment Operating 8.50% 2/15/20 | 1,739,000 | 1,644,442 | ||||
| #Carlson Wagonlit 144A 6.875% 6/15/19 | 1,895,000 | 1,923,425 | ||||
| #DigitalGlobe 144A 5.25% 2/1/21 | 1,740,000 | 1,679,100 | ||||
| #Geo Group 144A 5.125% 4/1/23 | 1,720,000 | 1,646,900 | ||||
| H&E Equipment Services 7.00% 9/1/22 | 1,835,000 | 1,922,163 | ||||
| M/I Homes 8.625% 11/15/18 | 2,551,000 | 2,780,590 | ||||
| #Mattamy Group 144A 6.50% 11/15/20 | 2,085,000 | 2,053,725 | ||||
High Yield Series-4
| |
Delaware VIP® High Yield
Series
Statement of Net Assets (continued)
| Principal | ||||||
| Amount | Value | |||||
| (U.S. $) | (U.S. $) | |||||
| CORPORATE BONDS (continued) | ||||||
| Services (continued) | ||||||
| Meritage Homes 7.00% 4/1/22 | $ | 403,000 | $ | 445,315 | ||
| MGM Resorts International | ||||||
| 7.75% 3/15/22 | 967,000 | 1,055,239 | ||||
| 11.375% 3/1/18 | 2,862,000 | 3,591,810 | ||||
| PHH | ||||||
| 7.375% 9/1/19 | 1,090,000 | 1,160,850 | ||||
| 9.25% 3/1/16 | 1,029,000 | 1,149,908 | ||||
| Pinnacle Entertainment | ||||||
| 7.75% 4/1/22 | 804,000 | 844,200 | ||||
| 8.75% 5/15/20 | 119,000 | 128,223 | ||||
| Seven Seas Cruises 9.125% 5/15/19 | 1,652,000 | 1,759,380 | ||||
| Swift Services Holdings 10.00% 11/15/18 | 1,969,000 | 2,185,590 | ||||
| #Taylor Morrison Communities 144A | ||||||
| 7.75% 4/15/20 | 1,147,000 | 1,241,628 | ||||
| Toll Brothers Finance 4.375% 4/15/23 | 2,220,000 | 2,075,700 | ||||
| United Rentals North America | ||||||
| 6.125% 6/15/23 | 385,000 | 385,000 | ||||
| 7.625% 4/15/22 | 545,000 | 592,688 | ||||
| 8.25% 2/1/21 | 1,584,000 | 1,742,400 | ||||
| #Watco 144A 6.375% 4/1/23 | 965,000 | 965,000 | ||||
| #Wynn Las Vegas 144A 4.25% 5/30/23 | 1,450,000 | 1,343,063 | ||||
| 41,569,654 | ||||||
| Technology & Electronics–4.88% | ||||||
| #Avaya 144A 10.50% 3/1/21 | 1,160,000 | 884,500 | ||||
| CDW 8.50% 4/1/19 | 1,195,000 | 1,290,600 | ||||
| First Data | ||||||
| #144A 8.25% 1/15/21 | 1,980,000 | 2,029,500 | ||||
| 11.25% 3/31/16 | 1,661,000 | 1,631,933 | ||||
| #144A 11.25% 1/15/21 | 1,355,000 | 1,358,388 | ||||
| #144A 11.75% 8/15/21 | 925,000 | 837,125 | ||||
| Infor US 9.375% 4/1/19 | 2,570,000 | 2,798,088 | ||||
| j2 Global 8.00% 8/1/20 | 3,000,000 | 3,150,000 | ||||
| MagnaChip Semiconductor 10.50% 4/15/18 | 796,000 | 863,660 | ||||
| #Seagate HDD Cayman 144A 4.75% 6/1/23 | 2,165,000 | 2,029,688 | ||||
| #Viasystems 144A 7.875% 5/1/19 | 2,104,000 | 2,230,240 | ||||
| 19,103,722 | ||||||
| Telecommunications–7.72% | ||||||
| #Clearwire Communications 144A 12.00% 12/1/15 | 1,970,000 | 2,098,050 | ||||
| #Columbus International 144A 11.50% 11/20/14 | 1,467,000 | 1,588,028 | ||||
| #Digicel Group 144A 8.25% 9/30/20 | 2,884,000 | 2,999,360 | ||||
| Equinix | ||||||
| 4.875% 4/1/20 | 678,000 | 667,830 | ||||
| 5.375% 4/1/23 | 1,367,000 | 1,346,495 | ||||
| Hughes Satellite Systems 7.625% 6/15/21 | 1,800,000 | 1,921,500 | ||||
| #Intelsat Luxembourg 144A | ||||||
| 7.75% 6/1/21 | 2,315,000 | 2,346,831 | ||||
| 8.125% 6/1/23 | 1,510,000 | 1,564,738 | ||||
| Level 3 Communications 11.875% 2/1/19 | 490,000 | 557,375 | ||||
| Level 3 Financing 7.00% 6/1/20 | 3,305,000 | 3,313,244 | ||||
| #MetroPCS Wireless 144A 6.25% 4/1/21 | 925,000 | 944,656 | ||||
| Sprint Capital | ||||||
| 6.90% 5/1/19 | 1,280,000 | 1,337,600 | ||||
| 8.75% 3/15/32 | 1,014,000 | 1,120,470 | ||||
| Sprint Nextel 9.125% 3/1/17 | 854,000 | 986,370 | ||||
| #Wind Acquisition Finance 144A | ||||||
| 7.25% 2/15/18 | 665,000 | 673,313 | ||||
| 7.25% 2/15/18 | 2,260,000 | 2,265,650 | ||||
| 11.75% 7/15/17 | 1,075,000 | 1,123,375 | ||||
| Windstream | ||||||
| 7.50% 6/1/22 | 605,000 | 620,125 | ||||
| 7.50% 4/1/23 | 540,000 | 550,800 | ||||
| Zayo Group 10.125% 7/1/20 | 1,924,000 | 2,145,260 | ||||
| 30,171,070 | ||||||
| Utilities–2.07% | ||||||
| AES | ||||||
| 4.875% 5/15/23 | 1,005,000 | 939,675 | ||||
| 7.375% 7/1/21 | 1,908,000 | 2,103,570 | ||||
| Elwood Energy 8.159% 7/5/26 | 1,003,858 | 1,051,541 | ||||
| GenOn Americas Generation 8.50% 10/1/21 | 1,572,000 | 1,697,760 | ||||
| GenOn Energy 9.875% 10/15/20 | 2,089,000 | 2,308,345 | ||||
| 8,100,891 | ||||||
| Total Corporate Bonds | ||||||
| (cost $342,741,084) | 351,832,281 | |||||
| «Senior Secured Loans–1.97% | ||||||
| Equipower Resources Holdings 10.00% 5/23/19 | 800,000 | 824,000 | ||||
| Hostess Brands 6.75% 3/12/20 | 1,560,000 | 1,589,250 | ||||
| JC Penney Term Loan 1ST Lien 6.00% 5/21/18 | 900,000 | 902,562 | ||||
| Panda Temple Power 7.25% 3/28/19 | 1,670,000 | 1,703,400 | ||||
| Rite Aid 5.75% 8/3/20 | 1,033,000 | 1,053,014 | ||||
| Smart & Final 10.50% 11/8/20 | 1,575,897 | 1,596,581 | ||||
| Total Senior Secured Loans | ||||||
| (cost $7,579,455) | 7,668,807 | |||||
| Number of | ||||||
| Shares | ||||||
| COMMON STOCK–1.96% | ||||||
| Alliance Healthcare Services | 19,551 | 305,778 | ||||
| =Calpine | 1,204,800 | 0 | ||||
| =Century Communications | 2,820,000 | 0 | ||||
| CenturyLink | 28,813 | 1,018,540 | ||||
| †DIRECTV Class A | 19,510 | 1,202,206 | ||||
| †Flextronics International | 55,400 | 428,796 | ||||
| *Intelsat ZAR | 31,458 | 629,160 | ||||
| L Brands | 21,433 | 1,055,575 | ||||
| NRG Energy | 40,303 | 1,076,090 | ||||
| †Quiksilver | 154,896 | 997,530 | ||||
| *†United Rentals | 19,386 | 967,555 | ||||
| Total Common Stock | ||||||
| (cost $7,132,105) | 7,681,230 | |||||
| CONVERTIBLE PREFERRED STOCK–0.54% | ||||||
| #Chesapeake Energy 144A 5.75% | ||||||
| exercise price $27.83, expiration date 12/31/49 | 1,030 | 1,058,969 | ||||
| Sandridge Energy 7.00% exercise price $7.76, | ||||||
| expiration date 12/31/49 | 12,300 | 1,057,031 | ||||
| Total Convertible Preferred Stock | ||||||
| (cost $2,141,418) | 2,116,000 | |||||
High Yield Series-5
| |
Delaware VIP® High Yield
Series
Statement of Net Assets (continued)
| Number of | Value | |||||||
| Shares | (U.S. $) | |||||||
| PREFERRED STOCK–1.82% | ||||||||
| #Ally Financial 144A 7.00% | 3,400 | $ | 3,231,806 | |||||
| •GMAC Capital Trust I 8.125% | 40,000 | 1,042,000 | ||||||
| Halcon Resources 5.75% | 800 | 824,000 | ||||||
| *Regions Financial 6.375% | 83,000 | 2,033,500 | ||||||
| Total Preferred Stock (cost $6,114,499) | 7,131,306 | |||||||
| Principal | ||||||||
| Amount | ||||||||
| (U.S. $) | ||||||||
| REPURCHASE AGREEMENTS–1.82% | ||||||||
| Bank of America 0.05%, dated 6/28/13, | ||||||||
| to be repurchased on 7/1/13, repurchase price | ||||||||
| $2,552,348 (collateralized by U.S. Government | ||||||||
| obligations 0.375%-2.25% 5/31/14-11/30/16; | ||||||||
| market value $2,603,384) | $ | 2,552,337 | 2,552,337 | |||||
| BNP Paribas 0.05%, dated 6/28/13, | ||||||||
| to be repurchased on 7/1/13, repurchase price | ||||||||
| $1,164,806 (collateralized by U.S. Government | ||||||||
| obligations 0.25%-0.375% 6/30/14-2/15/16; | ||||||||
| market value $1,188,129) | 1,164,802 | 1,164,802 | ||||||
| BNP Paribas 0.005%, dated 6/28/13, | ||||||||
| to be repurchased on 7/1/13, repurchase price | ||||||||
| $3,403,118 (collateralized by U.S. Government | ||||||||
| obligations 0.25% 3/31/14-8/31/14; | ||||||||
| market value $3,471,179) | 3,403,116 | 3,403,116 | ||||||
| Total Repurchase Agreements | ||||||||
| (cost $7,120,255) | 7,120,255 | |||||||
| Total Value of Securities Before Securities | ||||||||
| Lending Collateral–98.08% | ||||||||
| (cost $372,828,816) | 383,549,879 | |||||||
| Number of | ||||||||
| Shares | ||||||||
| **Securities Lending Collateral–0.14% | ||||||||
| Investment Companies | ||||||||
| Delaware Investments Collateral Fund No.1 | 548,814 | 548,814 | ||||||
| @†Mellon GSL Reinvestment Trust II | 335,669 | 0 | ||||||
| Total Securities Lending Collateral | ||||||||
| (cost $884,483) | 548,814 | |||||||
| ©TOTAL VALUE OF SECURITIES–98.22% (COST $373,713,299) | 384,098,693 | |||||||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.23%) | (884,483 | ) | ||||||
| RECEIVABLES AND OTHER ASSETS NET OF OTHER LIABILITIES–2.01% | 7,848,549 | |||||||
| NET ASSETS APPLICABLE TO 67,628,569 SHARES OUTSTANDING–100.00% | $ | 391,062,759 | ||||||
| NET ASSET VALUE–DELAWARE VIP HIGH YIELD SERIES | ||||||||
| STANDARD CLASS ($144,780,939 / 25,006,008 SHARES) | $5.79 | |||||||
| NET ASSET VALUE–DELAWARE VIP HIGH YIELD SERIES | ||||||||
| SERVICE CLASS ($246,281,820 / 42,622,561 SHARES) | $5.78 | |||||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | ||||||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 366,218,164 | ||||||
| Undistributed net investment income | 13,495,834 | |||||||
| Accumulated net realized gain on investments | 963,367 | |||||||
| Net unrealized appreciation of investments | 10,385,394 | |||||||
| Total net assets | $ | 391,062,759 | ||||||
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2013, the aggregate value of Rule 144A securities was $184,198,378 which represented 47.10% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| • | Variable rate security. The rate shown is the rate as of June 30, 2013. Interest rates reset periodically. |
| @ | Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $0.00, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| † | Non income producing security. |
| = | Security is being fair valued in accordance with the Series’ fair valuation policy. At June 30, 2013, the aggregate value of fair valued securities was $0.00, which represented 0.00% of the Series’ net assets. See Note 1 in “Notes to Financial Statements.” |
| « | Senior Secured Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior Secured Loans may be subject to restrictions on resale. Stated rate in effect at June 30, 2013. |
| * | Fully or partially on loan. |
| ** | See Note 7 in “Notes to Financial Statements” for additional information on securities lending collateral. |
| © | Includes $860,476 of securities loaned. |
PIK – Pay-in-kind
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-6
| |
Delaware VIP® Trust —
Delaware VIP
High Yield Series
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Interest | $ | 15,090,978 | |
| Dividends | 313,364 | ||
| Securities lending income | 3,496 | ||
| 15,407,838 | |||
| EXPENSES: | |||
| Management fees | 1,361,415 | ||
| Distribution expenses – Service Class | 400,950 | ||
| Accounting and administration expenses | 81,173 | ||
| Reports and statements to shareholders | 38,044 | ||
| Audit and tax | 21,714 | ||
| Dividend disbursing and transfer agent fees and expenses | 17,749 | ||
| Legal fees | 15,138 | ||
| Trustees’ fees | 10,258 | ||
| Custodian fees | 4,398 | ||
| Insurance fees | 3,850 | ||
| Pricing fees | 2,528 | ||
| Consulting fees | 1,771 | ||
| Dues and services | 1,607 | ||
| Trustees’ expenses | 794 | ||
| Registration fees | 321 | ||
| 1,961,710 | |||
| Less waived distribution expenses – Service Class | (66,825 | ) | |
| Total operating expenses | 1,894,885 | ||
| NET INVESTMENT INCOME | 13,512,953 | ||
| NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
| Net realized gain on investments | 10,439,604 | ||
| Net change in unrealized appreciation (depreciation) of investments | (14,840,096 | ) | |
| NET REALIZED AND UNREALIZED LOSS | (4,400,492 | ) | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 9,112,461 | |
Delaware VIP Trust —
Delaware VIP High
Yield Series
Statements of Changes in Net Assets
| Six Months | ||||||||
| Ended | Year | |||||||
| 6/30/13 | Ended | |||||||
| (Unaudited) | 12/31/12 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| FROM OPERATIONS: | ||||||||
| Net investment income | $ | 13,512,953 | $ | 29,804,456 | ||||
| Net realized gain (loss) | 10,439,604 | (1,922,481 | ) | |||||
| Net change in unrealized appreciation | ||||||||
| (depreciation) | (14,840,096 | ) | 37,329,071 | |||||
| Net increase in net assets resulting | ||||||||
| from operations | 9,112,461 | 65,211,046 | ||||||
| DIVIDENDS AND DISTRIBUTIONS TO | ||||||||
| SHAREHOLDERS FROM: | ||||||||
| Net investment income: | ||||||||
| Standard Class | (11,266,444 | ) | (11,175,102 | ) | ||||
| Service Class | (19,029,482 | ) | (23,351,271 | ) | ||||
| (30,295,926 | ) | (34,526,373 | ) | |||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from shares sold: | ||||||||
| Standard Class | 12,316,702 | 32,836,976 | ||||||
| Service Class | 4,259,317 | 23,258,208 | ||||||
| Net asset value of shares issued upon | ||||||||
| reinvestment of dividends and distributions: | ||||||||
| Standard Class | 11,266,444 | 11,175,102 | ||||||
| Service Class | 19,029,482 | 23,351,271 | ||||||
| 46,871,945 | 90,621,557 | |||||||
| Cost of shares redeemed: | ||||||||
| Standard Class | (18,071,505 | ) | (24,822,025 | ) | ||||
| Service Class | (38,068,015 | ) | (59,041,123 | ) | ||||
| (56,139,520 | ) | (83,863,148 | ) | |||||
| Increase (decrease) in net assets derived | ||||||||
| from capital share transactions | (9,267,575 | ) | 6,758,409 | |||||
| NET INCREASE (DECREASE) IN NET ASSETS | (30,451,040 | ) | 37,443,082 | |||||
| NET ASSETS: | ||||||||
| Beginning of period | 421,513,799 | 384,070,717 | ||||||
| End of period (including undistributed | ||||||||
| net investment income of $13,495,834 | ||||||||
| and $30,278,807, respectively) | $ | 391,062,759 | $ | 421,513,799 | ||||
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-7
| |
Delaware VIP® Trust — Delaware VIP High
Yield Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP High Yield Series Standard Class | ||||||||||||||||||||
| Six Months | ||||||||||||||||||||
| Ended | ||||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||||
| Net asset value, beginning of period | $6.110 | $5.680 | $6.040 | $5.670 | $4.140 | $5.950 | ||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income2 | 0.201 | 0.440 | 0.468 | 0.484 | 0.488 | 0.430 | ||||||||||||||
| Net realized and unrealized gain (loss) | (0.059 | ) | 0.519 | (0.309 | ) | 0.349 | 1.414 | (1.766 | ) | |||||||||||
| Total from investment operations | 0.142 | 0.959 | 0.159 | 0.833 | 1.902 | (1.336 | ) | |||||||||||||
| Less dividends and distributions from: | ||||||||||||||||||||
| Net investment income | (0.462 | ) | (0.529 | ) | (0.519 | ) | (0.463 | ) | (0.372 | ) | (0.474 | ) | ||||||||
| Total dividends and distributions | (0.462 | ) | (0.529 | ) | (0.519 | ) | (0.463 | ) | (0.372 | ) | (0.474 | ) | ||||||||
| Net asset value, end of period | $5.790 | $6.110 | $5.680 | $6.040 | $5.670 | $4.140 | ||||||||||||||
| Total return3 | 2.16% | 17.82% | 2.38% | 15.32% | 48.97% | (24.17% | ) | |||||||||||||
| Ratios and supplemental data: | ||||||||||||||||||||
| Net assets, end of period (000 omitted) | $144,781 | $147,293 | $117,636 | $127,294 | $154,761 | $93,011 | ||||||||||||||
| Ratio of expenses to average net assets | 0.75% | 0.74% | 0.74% | 0.76% | 0.76% | 0.74% | ||||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
0.75% | 0.74% | 0.74% | 0.76% | 0.77% | 0.77% | ||||||||||||||
| Ratio of net investment income to
average net assets |
6.61% | 7.52% | 8.02% | 8.42% | 10.01% | 8.35% | ||||||||||||||
| Ratio of net investment income to
average net assets prior to fees waived |
6.61% | 7.52% | 8.02% | 8.42% | 10.00% | 8.32% | ||||||||||||||
| Portfolio turnover | 45% | 76% | 78% | 115% | 123% | 109% | ||||||||||||||
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-8
| |
Delaware VIP® High Yield
Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP High Yield Series Service Class | ||||||||||||||||||||
| Six Months | ||||||||||||||||||||
| Ended | ||||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||||
| Net asset value, beginning of period | $6.090 | $5.670 | $6.020 | $5.660 | $4.130 | $5.930 | ||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income2 | 0.193 | 0.424 | 0.454 | 0.469 | 0.475 | 0.418 | ||||||||||||||
| Net realized and unrealized gain (loss) | (0.056 | ) | 0.510 | (0.299 | ) | 0.342 | 1.414 | (1.759 | ) | |||||||||||
| Total from investment operations | 0.137 | 0.934 | 0.155 | 0.811 | 1.889 | (1.341 | ) | |||||||||||||
| Less dividends and distributions from: | ||||||||||||||||||||
| Net investment income | (0.447 | ) | (0.514 | ) | (0.505 | ) | (0.451 | ) | (0.359 | ) | (0.459 | ) | ||||||||
| Total dividends and distributions | (0.447 | ) | (0.514 | ) | (0.505 | ) | (0.451 | ) | (0.359 | ) | (0.459 | ) | ||||||||
| Net asset value, end of period | $5.780 | $6.090 | $5.670 | $6.020 | $5.660 | $4.130 | ||||||||||||||
| Total return3 | 2.09% | 17.35% | 2.33% | 14.91% | 48.65% | (24.43% | ) | |||||||||||||
| Ratios and supplemental data: | ||||||||||||||||||||
| Net assets, end of period (000 omitted) | $246,282 | $274,221 | $266,435 | $343,403 | $286,395 | $178,579 | ||||||||||||||
| Ratio of expenses to average net assets | 1.00% | 0.99% | 0.99% | 1.01% | 1.01% | 0.99% | ||||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.05% | 1.04% | 1.04% | 1.06% | 1.07% | 1.07% | ||||||||||||||
| Ratio of net investment income to
average net assets |
6.36% | 7.27% | 7.77% | 8.17% | 9.76% | 8.10% | ||||||||||||||
| Ratio of net investment income to
average net assets prior to fees waived |
6.31% | 7.22% | 7.72% | 8.12% | 9.70% | 8.02% | ||||||||||||||
| Portfolio turnover | 45% | 76% | 78% | 115% | 123% | 109% | ||||||||||||||
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-9
| |
Delaware VIP® Trust — Delaware VIP High
Yield Series
Notes to Financial Statements
June 30, 2013 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP High Yield Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek total return and, as a secondary objective, high current income.
1. Significant Accounting
Policies
The following accounting policies
are in accordance with U.S. generally accepted accounting principles (U.S. GAAP)
and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are amortized to interest income over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
High Yield Series-10
| |
Delaware VIP® High Yield
Series
Notes to Financial Statements (continued)
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the terms of
its investment management agreement, the Series pays Delaware Management Company
(DMC), a series of Delaware Management Business Trust and the investment
manager, an annual fee which is calculated daily at the rate of 0.65% on the
first $500 million of average daily net assets of the Series, 0.60% on the next
$500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net
assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $10,143 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $214,262 | $4,071 | $52,157 | $4,388 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $8,267 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3. Investments
For the six months ended June 30, 2013,
the Series made purchases and sales of investment securities other than
short-term investments as follows:
| Purchases | $ | 183,443,385 |
| Sales | 208,878,715 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Appreciation | ||||
| $373,815,402 | $16,317,453 | $(6,034,162) | $10,283,291 |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at December 31, 2012 will expire as follows: $6,722,565 expires in 2017.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
High Yield Series-11
| |
Delaware VIP® High Yield
Series
Notes to Financial Statements (continued)
3. Investments
(continued)
Losses incurred that will be
carried forward under the Act are as follows:
| Loss carryforward character | ||||
| Short-term | Long-term | |||
| $ | – | $233,398 | ||
U.S. GAAP defines fair value as the price that the Series 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 developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – | inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – | inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
| Corporate Debt | $ | – | $ | 359,501,088 | $ | – | $ | 359,501,088 | ||||||
| Common Stock | 7,681,230 | – | – | 7,681,230 | ||||||||||
| Convertible Preferred Stock | – | 2,116,000 | – | 2,116,000 | ||||||||||
| Preferred Stock1 | 3,899,500 | 3,231,806 | – | 7,131,306 | ||||||||||
| Short-Term Investments | – | 7,120,255 | – | 7,120,255 | ||||||||||
| Securities Lending Collateral | – | 548,814 | – | 548,814 | ||||||||||
| Total | $ | 11,580,730 | $ | 372,517,963 | $ | – | $ | 384,098,693 | ||||||
1Security type is valued across multiple levels. The amount attributed to Level 1 securities and Level 2 securities represents 55% and 45%, respectively, of the total market value of this security type.
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
High Yield Series-12
| |
Delaware VIP® High Yield
Series
Notes to Financial Statements (continued)
4. Capital
Shares
Transactions in capital shares were
as follows:
| Six Months | Year | ||||||||
| Ended | Ended | ||||||||
| 6/30/13 | 12/31/12 | ||||||||
| Shares sold: | |||||||||
| Standard Class | 1,993,760 | 5,655,380 | |||||||
| Service Class | 698,287 | 4,017,646 | |||||||
| Shares issued upon reinvestment of dividends and distributions: | |||||||||
| Standard Class | 1,903,115 | 2,013,532 | |||||||
| Service Class | 3,219,878 | 4,207,436 | |||||||
| 7,815,040 | 15,893,994 | ||||||||
| Shares redeemed: | |||||||||
| Standard Class | (2,989,435 | ) | (4,272,005 | ) | |||||
| Service Class | (6,298,701 | ) | (10,253,635 | ) | |||||
| (9,288,136 | ) | (14,525,640 | ) | ||||||
| Net increase (decrease) | (1,473,096 | ) | 1,368,354 | ||||||
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6. Offsetting
In December 2011, the Financial Accounting Standards Board
(the “FASB”) issued guidance that will expand current disclosure requirements on
the offsetting of certain assets and liabilities. The new disclosures will be
required for investments and derivative financial instruments subject to master
netting or similar agreements which are eligible for offset in the statement of
assets and liabilities and will require an entity to disclose both gross and net
information about such investments and transactions in the financial statements.
In January 2013, the FASB issued guidance that clarifies which investments and
transactions are subject to the offsetting disclosure requirements. The scope of
the disclosure requirements for offsetting will be limited to derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions. The guidance is
effective for financial statements with fiscal years beginning on or after
January 1, 2013, and interim periods within those fiscal years. The Series
adopted the disclosure provisions on offsetting during the current reporting
period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | |||||||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||||||||
| Assets Presented | Available for Offset | ||||||||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Amount1 | |||||||||||||||||||||||
| Repurchase Agreements | $ | 7,120,255 | $ | – | $ | (7,120,255 | ) | $ | – | $ | – | ||||||||||||||||
| Securities on Loan | 860,476 | – | – | (860,476 | ) | – | |||||||||||||||||||||
| Total | $ | 7,980,731 | $ | – | $ | (7,120,255 | ) | $ | (860,476 | ) | $ | – | |||||||||||||||
High Yield Series-13
| |
Delaware VIP® High Yield
Series
Notes to Financial Statements (continued)
6. Offsetting
(continued)
Offsetting of Financial
Liabilities and Derivative Liabilities
| Gross Amounts Not | |||||||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||||
| Gross Amounts of | |||||||||||||||||||||||||||
| Liabilities | Gross Amounts | ||||||||||||||||||||||||||
| Presented in the | Available for Offset | ||||||||||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Amount2 | |||||||||||||||||||||||
| Securities Lending Collateral | $ | (884,483 | ) | $ | – | $ | 548,814 | $ | – | $ | (335,669 | ) | |||||||||||||||
| Total | $ | (884,483 | ) | $ | – | $ | 548,814 | $ | – | $ | (335,669 | ) | |||||||||||||||
7. Securities
Lending
The Series, along with other funds
in the Delaware Investments® Family of Funds, may lend its securities
pursuant to a security lending agreement (Lending Agreement) with The Bank of
New York Mellon (BNY Mellon). At the time a security is loaned, the borrower
must post collateral equal to the required percentage of the market value of the
loaned security, including any accrued interest. The required percentage is: (i)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. dollars; and (ii) 105% with respect to foreign securities.
With respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. In October 2008, BNY Mellon transferred certain distressed securities from the Series’ previous collateral investment pool into the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of securities on loan was $860,476, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $548,814. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral”.
8. Credit and Market
Risk
The Series invests in high yield
fixed income securities, which are securities rated lower than BBB- by Standard
& Poor’s and Baa3 by Moody’s Investor Services, or similarly rated by
another nationally recognized statistical rating organization. Investments in
these higher yielding securities are generally accompanied by a greater degree
of credit risk than higher rated securities. Additionally, lower rated
securities may be more susceptible to adverse economic and competitive industry
conditions than investment grade securities.
High Yield Series-14
| |
Delaware VIP® High Yield
Series
Notes to Financial Statements (continued)
8. Credit and Market Risk
(continued)
The Series may invest up to
15% of its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A of the Securities Act of 1933, as amended, and other securities which
may not be readily marketable. The relative illiquidity of these securities may
impair the Series from disposing of them in a timely manner and at a fair price
when it is necessary or desirable to do so. While maintaining oversight, the
Series’ Board has delegated to DMC the day-to-day functions of determining
whether individual securities are liquid for purposes of the Series’ limitation
on investments in illiquid securities. Securities eligible for resale pursuant
to Rule 144A, which are determined to be liquid, are not subject to the Series’
15% limit on investments in illiquid securities. Rule 144A and illiquid
securities have been identified on the Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to June 30, 2013 that would
require recognition or disclosure in the Series’ financial
statements.
|
The
Series files its complete schedule of portfolio holdings with the
Securities and Exchange Commission (Commission) for the first and third
quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well
as a description of the policies and procedures that the Series uses to
determine how to vote proxies (if any) relating to portfolio securities
are available without charge (i) upon request, by calling 800 523-1918;
and (ii) on the Commission’s website at sec.gov. In addition, a
description of the policies and procedures that the Series uses to
determine how to vote proxies (if any) relating to portfolio securities is
available without charge on the Delaware Investments® Funds’
website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed
and copied at the Commission’s Public Reference Room in Washington, DC;
information on the operation of the Public Reference Room may be obtained
by calling 800 SEC-0330. Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov. |
| SA-VIPHY [6/13] DG3 19052 (8/13) | (11062) | High Yield Series-15 |
| Delaware VIP® Trust |
| Delaware VIP International Value Equity Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 | |
| > Security type/country and sector allocations | 2 | |
| > Statement of net assets | 3 | |
| > Statement of operations | 6 | |
| > Statements of changes in net assets | 6 | |
| > Financial highlights | 7 | |
| > Notes to financial statements | 9 |
Investments in Delaware VIP® International Value Equity Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP International Value Equity Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP International Value Equity Series
Disclosure of Series
Expenses
For the Six-Month Period
from January 1, 2013 to June 30, 2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Beginning Account Value 1/1/13 |
Ending Account Value 6/30/13 |
Annualized Expense Ratio |
Expenses Paid During Period 1/1/13 to 6/30/13* | |||||||||||||
| Actual Series Return† | ||||||||||||||||
| Standard Class | $1,000.00 | $1,040.50 | 1.04% | $5.26 | ||||||||||||
| Service Class | 1,000.00 | 1,039.20 | 1.29% | 6.52 | ||||||||||||
| Hypothetical 5% Return (5% return before expenses) | ||||||||||||||||
| Standard Class | $1,000.00 | $1,019.64 | 1.04% | $5.21 | ||||||||||||
| Service Class | 1,000.00 | 1,018.40 | 1.29% | 6.46 | ||||||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
International Value Equity Series-1
| |
Delaware VIP® Trust —
Delaware VIP International Value Equity Series
Security Type/Country and
Sector Allocations
As of June 30,
2012 (Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Security Type/Country | Percentage of Net Assets | ||||
| Common Stock | 96.64 | % | |||
| Canada | 6.83 | % | |||
| China/Hong Kong | 4.97 | % | |||
| Denmark | 2.10 | % | |||
| France | 20.94 | % | |||
| Germany | 6.67 | % | |||
| Israel | 3.11 | % | |||
| Italy | 2.57 | % | |||
| Japan | 18.67 | % | |||
| Netherlands | 1.99 | % | |||
| Norway | 1.50 | % | |||
| Republic of Korea | 1.04 | % | |||
| Russia | 1.81 | % | |||
| Sweden | 3.77 | % | |||
| Switzerland | 8.57 | % | |||
| United Kingdom | 10.03 | % | |||
| United States | 2.07 | % | |||
| Right | 0.02 | % | |||
| Short-Term Investments | 3.39 | % | |||
| Securities Lending Collateral | 5.40 | % | |||
| Total Value of Securities | 105.45 | % | |||
| Obligation to Return Securities Lending Collateral | (5.85 | %) | |||
| Receivables and Other Assets Net of Other Liabilities | 0.40 | % | |||
| Total Net Assets | 100.00 | % | |||
| Common Stock by Sector | Percentage of Net Assets | ||||
| Consumer Discretionary | 19.20 | % | |||
| Consumer Staples | 8.28 | % | |||
| Energy | 7.97 | % | |||
| Financials | 12.72 | % | |||
| Healthcare | 13.22 | % | |||
| Industrials | 12.97 | % | |||
| Information Technology | 7.50 | % | |||
| Materials | 8.77 | % | |||
| Telecommunication Services | 5.05 | % | |||
| Utilities | 0.96 | % | |||
| Total | 96.64 | % | |||
International Value Equity Series-2
| |
Delaware VIP® Trust —
Delaware VIP International Value Equity Series
Statement of Net
Assets
June 30, 2013
(Unaudited)
| Number of Shares |
Value (U.S. $) | |||||
| ΔCOMMON STOCK–96.64% | ||||||
| Canada–6.83% | ||||||
| AuRico Gold | 85,207 | $ | 373,583 | |||
| *†CGI Group Class A | 71,842 | 2,104,459 | ||||
| Yamana Gold | 91,264 | 870,586 | ||||
| 3,348,628 | ||||||
| China/Hong Kong–4.97% | ||||||
| CNOOC | 565,000 | 958,658 | ||||
| Techtronic Industries | 208,859 | 499,793 | ||||
| Yue Yuen Industrial Holdings | 376,500 | 975,709 | ||||
| 2,434,160 | ||||||
| Denmark–2.10% | ||||||
| Carlsberg Class B | 11,519 | 1,031,219 | ||||
| 1,031,219 | ||||||
| France–20.94% | ||||||
| *Alstom | 20,272 | 663,924 | ||||
| AXA | 69,322 | 1,362,119 | ||||
| *Kering | 3,580 | 727,672 | ||||
| Lafarge | 16,719 | 1,028,090 | ||||
| *Publicis Groupe | 15,137 | 1,077,800 | ||||
| Sanofi | 16,470 | 1,706,973 | ||||
| Teleperformance | 32,636 | 1,570,995 | ||||
| Total | 20,326 | 992,321 | ||||
| Vinci | 22,531 | 1,130,764 | ||||
| 10,260,658 | ||||||
| Germany–6.67% | ||||||
| Bayerische Motoren Werke | 9,436 | 825,161 | ||||
| Deutsche Post | 45,612 | 1,133,730 | ||||
| Stada Arzneimittel | 30,470 | 1,311,649 | ||||
| 3,270,540 | ||||||
| Israel–3.11% | ||||||
| Teva Pharmaceutical Industries ADR | 38,900 | 1,524,880 | ||||
| 1,524,880 | ||||||
| Italy–2.57% | ||||||
| Saipem | 28,404 | 461,799 | ||||
| †UniCredit | 170,534 | 798,699 | ||||
| 1,260,498 | ||||||
| Japan–18.67% | ||||||
| Don Quijote | 14,200 | 690,954 | ||||
| East Japan Railway | 15,856 | 1,232,854 | ||||
| ITOCHU | 105,435 | 1,217,457 | ||||
| KDDI | 22,900 | 1,191,650 | ||||
| Mitsubishi UFJ Financial Group | 280,535 | 1,731,418 | ||||
| Nitori Holdings | 11,929 | 962,404 | ||||
| Toyota Motor | 35,143 | 2,122,901 | ||||
| 9,149,638 | ||||||
| Netherlands–1.99% | ||||||
| Koninklijke Philips Electronics | 35,815 | 976,464 | ||||
| 976,464 | ||||||
| Norway–1.50% | ||||||
| Subsea 7 | 41,775 | 732,472 | ||||
| 732,472 | ||||||
| Republic of Korea–1.04% | ||||||
| Hyundai Home Shopping Network | 3,807 | 511,532 | ||||
| 511,532 | ||||||
| Russia–1.81% | ||||||
| Mobile Telesystems ADR | 46,700 | 884,498 | ||||
| 884,498 | ||||||
| Sweden–3.77% | ||||||
| Meda Class A | 34,468 | 390,581 | ||||
| Nordea Bank | 130,032 | 1,454,095 | ||||
| 1,844,676 | ||||||
| Switzerland–8.57% | ||||||
| †Aryzta | 33,734 | 1,896,332 | ||||
| Novartis | 21,757 | 1,545,516 | ||||
| Transocean | 15,800 | 757,610 | ||||
| 4,199,458 | ||||||
| United Kingdom–10.03% | ||||||
| National Grid | 41,604 | 472,035 | ||||
| Rexam | 121,320 | 881,062 | ||||
| Rio Tinto | 28,047 | 1,144,479 | ||||
| Standard Chartered | 40,742 | 884,234 | ||||
| TESCO | 224,326 | 1,130,662 | ||||
| Vodafone Group | 140,048 | 400,119 | ||||
| 4,912,591 | ||||||
| United States–2.07% | ||||||
| Carnival | 29,600 | 1,014,984 | ||||
| 1,014,984 | ||||||
| Total Common Stock (cost $42,509,584) |
47,356,896 | |||||
| RIGHT–0.02% | ||||||
| France–0.02% | ||||||
| Groupe Fnac | 3,580 | 9,334 | ||||
| Total
Right (cost $11,908) |
9,334 | |||||
| Principal Amount (U.S. $) |
||||||
| SHORT-TERM INVESTMENTS–3.39% | ||||||
| ≠Discount Notes–1.59% | ||||||
| Fannie Mae Discount Notes 0.06% 9/16/13 | $ | 111,204 | 111,197 | |||
| Federal Home Loan Bank | ||||||
| 0.045% 7/24/13 | 264,846 | 264,844 | ||||
| 0.05% 7/26/13 | 416 | 416 | ||||
| 0.055% 8/12/13 | 157,957 | 157,953 | ||||
| 0.06% 7/2/13 | 162,879 | 162,879 | ||||
| 0.06% 8/14/13 | 1,739 | 1,739 | ||||
| 0.06% 8/16/13 | 571 | 571 | ||||
| 0.06% 8/21/13 | 723 | 723 | ||||
| 0.08% 8/30/13 | 77,533 | 77,530 | ||||
| 777,852 | ||||||
| Repurchase Agreements–1.20% | ||||||
| Bank of America 0.05%, dated 6/28/13, to be repurchased on 7/1/13, repurchase price $211,655 (collateralized by U.S. Government obligations 0.375%-2.25% 5/31/14-11/30/16; market value $215,887) |
211,654 | 211,654 | ||||
International Value Equity Series-3
| |
Delaware VIP® International
Value Equity Series
Statement of Net Assets (continued)
| Principal Amount (U.S. $) |
Value (U.S. $) |
|||||||
| SHORT-TERM INVESTMENTS (continued) | ||||||||
| Repurchase Agreements (continued) | ||||||||
| BNP Paribas 0.05%, dated 6/28/13, to be repurchased on 7/1/13, repurchase price $96,592 (collateralized by U.S. Government obligations 0.25%-0.375% 6/30/14-2/15/16; market value $98,526) |
$ | 96,592 | $ | 96,592 | ||||
| BNP
Paribas 0.005%, dated 6/28/13, to be repurchased on 7/1/13, repurchase price $282,205 (collateralized by U.S. Government obligations 0.25% 3/31/14-8/31/14; market value $287,849) |
282,205 | 282,205 | ||||||
| 590,451 | ||||||||
| ≠U.S. Treasury Obligations–0.60% | ||||||||
| U.S. Treasury Bills | ||||||||
| 0.03% 7/25/13 | 133,523 | 133,522 | ||||||
| 0.045% 9/26/13 | 159,567 | 159,554 | ||||||
| 293,076 | ||||||||
| Total Short-Term Investments (cost $1,661,344) |
1,661,379 | |||||||
| Total Value of Securities Before Securities
Lending Collateral–100.05% (cost $44,182,836) |
49,027,609 | |||||||
| Number of Shares |
||||||||
| **SECURITIES LENDING COLLATERAL–5.40% | ||||||||
| Investment Companies | ||||||||
| Delaware Investments Collateral Fund No.1 | 2,647,092 | 2,647,092 | ||||||
| @† | Mellon GSL Reinvestment Trust II | 220,489 | 0 | |||||
| Total Securities Lending Collateral | ||||||||
| (cost $2,867,581) | 2,647,092 | |||||||
| ©TOTAL VALUE OF SECURITIES–105.45%(COST $47,050,417) | 51,674,701 | ||||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(5.85%) | (2,867,581 | ) | |||
| «RECEIVABLES AND OTHER ASSETS NET OF OTHER LIABILITIES–0.40% | 194,988 | ||||
| NET ASSETS APPLICABLE TO 4,743,600 SHARES OUTSTANDING–100.00% | $ | 49,002,108 | |||
| NET ASSET VALUE–DELAWARE VIP INTERNATIONAL VALUE
EQUITY SERIES STANDARD CLASS ($48,971,072 / 4,740,593 Shares) |
$10.33 | ||||
| NET
ASSET VALUE–DELAWARE VIP INTERNATIONAL VALUE EQUITY
SERIES SERVICE CLASS ($31,036 / 3,007 Shares) |
$10.32 | ||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | |||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 68,103,750 | |||
| Undistributed net investment income | 693,955 | ||||
| Accumulated net realized loss on investments | (24,418,164 | ) | |||
| Net unrealized appreciation of investments and derivatives | 4,622,567 | ||||
| Total net assets | $ | 49,002,108 | |||
| Δ | Securities have been classified by country of origin. Classification by type of business has been presented on page 2 in “Security Type/Country and Sector Allocations.” |
| † | Non income producing security. |
| * | Fully or partially on loan. |
| ≠ | The rate shown is the effective yield at the time of purchase. |
| ** | See Note 7 in “Notes to financial statements” for additional information on securities lending collateral and non-cash collateral. |
| @ | Illiquid security. At June 30, 2013, the aggregate amount of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| © | Includes $2,773,355 of securities loaned. |
| « | Includes foreign currency valued at $9,160 with a cost of $9,155. |
International Value Equity Series-4
| |
Delaware VIP® International
Value Equity Series
Statement of Net Assets (continued)
The following foreign currency exchange contracts were outstanding at June 30, 2013:1
Foreign Currency Exchange Contracts
| Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date |
Unrealized Appreciation (Depreciation) | ||||||||||
| MNB | GBP | (32,045) | USD | 49,038 | 7/1/13 | $ | 302 | |||||||
| MNB | HKD | (22,452) | USD | 2,894 | 7/1/13 | (1 | ) | |||||||
| $ | 301 | |||||||||||||
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts presented above represent the Series’ total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Series’ net assets.
____________________
1See Note 6 in “Notes to
Financial Statements.”
Summary of
Abbreviations:
ADR – American
Depositary Receipt
GBP – British Pound Sterling
HKD – Hong Kong
Dollar
MNB – Mellon National Bank
USD – United States Dollar
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-5
| |
Delaware VIP® Trust —
Delaware VIP International Value Equity
Series
Statement of Operations
Six
Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | ||||
| Dividends | $ | 1,097,127 | ||
| Securities lending income | 14,491 | |||
| Interest | 583 | |||
| Foreign tax withheld | (110,888 | ) | ||
| 1,001,313 | ||||
| EXPENSES: | ||||
| Management fees | 210,737 | |||
| Reports and statements to shareholders | 11,813 | |||
| Custodian fees | 11,285 | |||
| Accounting and administration expenses | 9,608 | |||
| Audit and tax | 5,992 | |||
| Dividend disbursing and transfer agent fees and expenses | 2,145 | |||
| Legal fees | 1,596 | |||
| Trustees’ fees | 1,406 | |||
| Pricing fees | 948 | |||
| Dues and services | 912 | |||
| Insurance fees | 452 | |||
| Registration fees | 322 | |||
| Consulting fees | 206 | |||
| Trustees’ expenses | 92 | |||
| Distribution expenses – Service Class | 48 | |||
| 257,562 | ||||
| Less waived distribution expenses – Service Class | (8 | ) | ||
| Total operating expenses | 257,554 | |||
| NET INVESTMENT INCOME | 743,759 | |||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON: | ||||
| Net realized gain (loss) on: | ||||
| Investments | 1,235,856 | |||
| Foreign currencies | (55,471 | ) | ||
| Foreign currency exchange contracts | 19,136 | |||
| Net realized gain | 1,199,521 | |||
| Net change in unrealized appreciation (depreciation) of: | ||||
| Investments | (42,559 | ) | ||
| Foreign currencies | (2,385 | ) | ||
| Foreign currency exchange contracts | 501 | |||
| Net change in unrealized appreciation (depreciation) | (44,443 | ) | ||
| NET REALIZED AND UNREALIZED GAIN | 1,155,078 | |||
| NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS |
$ | 1,898,837 | ||
Delaware VIP Trust
—
Delaware VIP International Value Equity
Series
Statements of Changes in Net Assets
| Six Months Ended 6/30/13 (Unaudited) |
Year Ended 12/31/12 | |||||||
| INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS: |
||||||||
| Net investment income | $ | 743,759 | $ | 845,542 | ||||
| Net realized gain (loss) | 1,199,521 | (282,185 | ) | |||||
| Net change in
unrealized appreciation (depreciation) |
(44,443 | ) | 5,818,237 | |||||
| Net increase in net assets resulting from operations |
1,898,837 | 6,381,594 | ||||||
| DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS FROM: |
||||||||
| Net investment income: | ||||||||
| Standard Class | (790,747 | ) | (1,122,653 | ) | ||||
| Service Class | (437 | ) | (524 | ) | ||||
| (791,184 | ) | (1,123,177 | ) | |||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from shares sold: | ||||||||
| Standard Class | 3,299,140 | 5,513,372 | ||||||
| Service Class | 1,240 | 11,928 | ||||||
| Net asset value
of shares issued upon reinvestment of dividends and distributions: |
||||||||
| Standard Class | 790,747 | 1,122,653 | ||||||
| Service Class | 437 | 524 | ||||||
| 4,091,564 | 6,648,477 | |||||||
| Cost of shares redeemed: | ||||||||
| Standard Class | (3,347,974 | ) | (7,805,700 | ) | ||||
| Service Class | (1,517 | ) | (1,987 | ) | ||||
| (3,349,491 | ) | (7,807,687 | ) | |||||
| Increase
(decrease) in net assets derived from capital share transactions |
742,073 | (1,159,210 | ) | |||||
| NET INCREASE IN NET ASSETS | 1,849,726 | 4,099,207 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period | 47,152,382 | 43,053,175 | ||||||
| End of period (including
undistributed net investment income of $693,955 and $741,380, respectively) |
$ | 49,002,108 | $ | 47,152,382 | ||||
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-6
| |
Delaware VIP® Trust —
Delaware VIP International Value Equity Series
Financial
Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP International Value Equity Series Standard Class | ||||||||||||||||||||
| Six Months | ||||||||||||||||||||
| Ended | ||||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||||
| Net asset value, beginning of period | $10.090 | $8.980 | $10.610 | $9.920 | $7.640 | $14.700 | ||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income2 | 0.158 | 0.177 | 0.243 | 0.155 | 0.216 | 0.306 | ||||||||||||||
| Net realized and unrealized gain (loss) | 0.252 | 1.171 | (1.745 | ) | 0.903 | 2.324 | (6.103 | ) | ||||||||||||
| Total from investment operations | 0.410 | 1.348 | (1.502 | ) | 1.058 | 2.540 | (5.797 | ) | ||||||||||||
| Less dividends and distributions from: | ||||||||||||||||||||
| Net investment income | (0.170 | ) | (0.238 | ) | (0.128 | ) | (0.368 | ) | (0.260 | ) | (0.271 | ) | ||||||||
| Net realized gain | – | – | – | – | – | (0.992 | ) | |||||||||||||
| Total dividends and distributions | (0.170 | ) | (0.238 | ) | (0.128 | ) | (0.368 | ) | (0.260 | ) | (1.263 | ) | ||||||||
| Net asset value, end of period | $10.330 | $10.090 | $8.980 | $10.610 | $9.920 | $7.640 | ||||||||||||||
| Total return3 | 4.05% | 15.20% | (14.43% | ) | 10.92% | 34.73% | (42.42% | ) | ||||||||||||
| Ratios and supplemental data: | ||||||||||||||||||||
| Net assets, end of period (000 omitted) | $48,971 | $47,122 | $43,036 | $56,941 | $105,999 | $73,712 | ||||||||||||||
| Ratio of expenses to average net assets | 1.04% | 1.07% | 1.05% | 1.07% | 1.00% | 1.04% | ||||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.04% | 1.07% | 1.08% | 1.07% | 1.03% | 1.05% | ||||||||||||||
| Ratio of net
investment income to average net assets |
3.00% | 1.88% | 2.32% | 1.60% | 2.60% | 2.79% | ||||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
3.00% | 1.88% | 2.29% | 1.60% | 2.57% | 2.78% | ||||||||||||||
| Portfolio turnover | 14% | 36% | 47% | 40% | 37% | 35% | ||||||||||||||
| 1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2The average shares outstanding method has been applied for per share information. |
| 3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-7
| |
Delaware VIP® International
Value Equity Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP International Value Equity Series Service Class | ||||||||||||||||||||||
| Six Months | ||||||||||||||||||||||
| Ended | ||||||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||||||
| Net asset value, beginning of period | $10.070 | $8.970 | $10.600 | $9.910 | $7.620 | $14.660 | ||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||||
| Net investment income2 | 0.145 | 0.154 | 0.214 | 0.131 | 0.196 | 0.279 | ||||||||||||||||
| Net realized and unrealized gain (loss) | 0.251 | 1.158 | (1.740 | ) | 0.907 | 2.327 | (6.096 | ) | ||||||||||||||
| Total from investment operations | 0.396 | 1.312 | (1.526 | ) | 1.038 | 2.523 | (5.817 | ) | ||||||||||||||
| Less dividends and distributions from: | ||||||||||||||||||||||
| Net investment income | (0.146 | ) | (0.212 | ) | (0.104 | ) | (0.348 | ) | (0.233 | ) | (0.231 | ) | ||||||||||
| Net realized gain | – | – | – | – | – | (0.992 | ) | |||||||||||||||
| Total dividends and distributions | (0.146 | ) | (0.212 | ) | (0.104 | ) | (0.348 | ) | (0.233 | ) | (1.223 | ) | ||||||||||
| Net asset value, end of period | $10.320 | $10.070 | $8.970 | $10.600 | $9.910 | $7.620 | ||||||||||||||||
| Total return3 | 3.92% | 14.79% | (14.62% | ) | 10.71% | 34.61% | (42.67% | ) | ||||||||||||||
| Ratios and supplemental data: | ||||||||||||||||||||||
| Net assets, end of period (000 omitted) | $31 | $30 | $17 | $12 | $10 | $18 | ||||||||||||||||
| Ratio of expenses to average net assets | 1.29% | 1.32% | 1.30% | 1.32% | 1.25% | 1.29% | ||||||||||||||||
| Ratio of
expenses to average net assets prior to fees waived |
1.34% | 1.37% | 1.38% | 1.37% | 1.33% | 1.35% | ||||||||||||||||
| Ratio of net investment income to average
net assets |
2.75% | 1.63% | 2.07% | 1.35% | 2.35% | 2.54% | ||||||||||||||||
| Ratio of net
investment income to average net assets prior to fees waived |
2.70% | 1.58% | 1.99% | 1.30% | 2.27% | 2.48% | ||||||||||||||||
| Portfolio turnover | 14% | 36% | 47% | 40% | 37% | 35% | ||||||||||||||||
| 1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2The average shares outstanding method has been applied for per share information. |
| 3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-8
| |
Delaware VIP® Trust —
Delaware VIP International Value Equity Series
Notes to Financial
Statements
June 30, 2013
(Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP International Value Equity Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term growth without undue risk to principal.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009–Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. The changes are included with the net realized and unrealized gain or loss on investments. The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
International Value Equity Series-9
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Delaware VIP® International
Value Equity Series
Notes to Financial Statements (continued)
1. Significant Accounting
Policies (continued)
The Series may
receive earnings credits from its custodian when positive cash balances are
maintained, which are used to offset custody fees. There were no earnings
credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the
terms of its investment management agreement, the Series pays Delaware
Management Company (DMC), a series of Delaware Management Business Trust and the
investment manager, an annual fee which is calculated daily at the rate of 0.85%
on the first $500 million of average daily net assets of the Series, 0.80% on
the next $500 million, 0.75% on the next $1.5 billion, and 0.70% on average
daily net assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $1,201 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Investment Management Fee Payable to DMC |
Dividend Disbursing, Transfer Agent and Fund Accounting Oversight Fees, and Other Expenses Payable to DSC |
Distribution Fee Payable to DDLP |
Other Expenses Payable to DMC and Affiliates* | |||||
| $35,052 | $509 | $7 | $920 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $964 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3.
Investments
For the six months ended
June 30, 2013, the Series made purchases and sales of investment securities
other than short-term investments as follows:
| Purchases | $6,544,957 | |
| Sales | 7,227,524 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Cost of Investments |
Aggregate Unrealized Appreciation |
Aggregate Unrealized Depreciation |
Net Unrealized Appreciation | |||||
| $47,712,693 | $8,926,096 | $(4,964,088) | $3,962,008 |
International Value Equity Series-10
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Delaware VIP® International
Value Equity Series
Notes to Financial Statements (continued)
3. Investments
(continued)
For federal income tax
purposes, capital loss carryforwards may be carried forward and applied against
future capital gains. Capital loss carryforwards remaining at December 31, 2012
will expire as follows: $11,132,929 expires in 2016 and $12,723,821 expires in
2017.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Losses incurred that will be carried forward under the Act are as follows:
| Loss carryforward character | ||||
| Short-term | Long-term | |||
| $1,084,708 | $– | |||
U.S GAAP defines fair value as the price that the Series 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 that 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 developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | ||||||||||
| Common Stock | $ | 47,356,896 | $ | – | $– | $ | 47,356,896 | ||||||
| Right | 9,334 | – | – | 9,334 | |||||||||
| Short-Term Investments | – | 1,661,379 | – | 1,661,379 | |||||||||
| Securities Lending Collateral | – | 2,647,092 | – | 2,647,092 | |||||||||
| Total | $ | 47,366,230 | $ | 4,308,471 | $– | $ | 51,674,701 | ||||||
| Foreign Currency Exchange Contracts | $ | – | $ | 301 | $– | $ | 301 | ||||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. This does not include transfers between Level 1 investments and Level 2 investments due to the Series utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded causing a change in classification between levels. The Series policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
International Value Equity Series-11
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Delaware VIP® International
Value Equity Series
Notes to Financial Statements (continued)
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | |||||
| Ended | Ended | |||||
| 6/30/13 | 12/31/12 | |||||
| Shares sold: | ||||||
| Standard Class | 310,284 | 589,386 | ||||
| Service Class | 117 | 1,266 | ||||
| Shares issued upon reinvestment of dividends and distributions: | ||||||
| Standard Class | 75,887 | 119,177 | ||||
| Service Class | 42 | 56 | ||||
| 386,330 | 709,885 | |||||
| Shares redeemed: | ||||||
| Standard Class | (315,352 | ) | (829,925 | ) | ||
| Service Class | (144 | ) | (210 | ) | ||
| (315,496 | ) | (830,135 | ) | |||
| Net increase (decrease) | 70,834 | (120,250 | ) | |||
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Derivatives
U.S. GAAP requires
disclosures that enable investors to understand: 1) how and why an entity uses
derivatives; 2) how they are accounted for; and 3) how they affect an entity’s
results of operations and financial position.
Foreign Currency Exchange
Contracts
The Series may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Series may enter
into these contracts to fix the U.S. dollar value of a security that it has
agreed to buy or sell for the period between the date the trade was entered into
and the date the security is delivered and paid for. The Series may also use
these contracts to hedge the U.S. dollar value of securities it already owns
that are denominated in foreign currencies. The change in value is recorded as
an unrealized gain or loss. When the contract is closed, a realized gain or loss
is recorded equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
See the Statement of Operations on page 6 for the realized and unrealized gain or loss on derivatives.
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2013.
| Long Derivative Volume | ||
| Foreign Currency | ||
| Exchange Contracts | ||
| (Average Cost) | $76,094 | |
| Short Derivative Volume | ||
| Foreign Currency | ||
| Exchange Contracts | ||
| (Average Cost) | 67,610 | |
International Value Equity Series-12
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Delaware VIP® International
Value Equity Series
Notes to Financial Statements (continued)
6. Derivatives
(continued)
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Series and a counterparty that governs over-the-counter (“OTC”) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts
Not Offset in the Statement of Net Assets |
||||||||||||||||||||||||||||
| Gross Amounts
of Assets Presented in the Statement of Net Assets |
Gross
Amounts Available for Offset in the Statement of Net Assets |
Financial Instruments |
Cash
Collateral Received |
Net Amount1 | ||||||||||||||||||||||||
| Repurchase
Agreements |
$ | 590,451 | $ | – | $ | (590,451 | ) | $ | – | $ | – | |||||||||||||||||
| Foreign Currency
Exchange Contracts |
302 | (1 | ) | – | – | 301 | ||||||||||||||||||||||
| Securities on Loan | 2,773,355 | – | – | (2,773,355 | ) | – | ||||||||||||||||||||||
| Total | $ | 3,364,108 | $ | (1 | ) | $ | (590,451 | ) | $ | (2,773,355 | ) | 301 | ||||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts
Not Offset in the Statement of Net Assets |
|||||||||||||||||||||||||||
| Gross Amounts
of Liabilities Presented in the Statement of Net Assets |
Gross
Amounts Available for Offset in the Statement of Net Assets |
Financial Instruments |
Cash
Collateral Pledged |
Net Amount2 | |||||||||||||||||||||||
| Foreign Currency
Exchange Contracts |
$ | (1 | ) | $ | 1 | $ | – | $ | – | $ | – | ||||||||||||||||
| Securities
Lending Collateral |
(2,867,581 | ) | – | 2,647,092 | – | (220,489 | ) | ||||||||||||||||||||
| Total | $ | (2,867,582 | ) | $ | 1 | $ | 2,647,092 | $ | – | $ | (220,489 | ) | |||||||||||||||
| 1Net amount represents the net amount receivable from the counterparty in the event of default. |
| 2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities
Lending
The Series, along with other
funds in the Delaware Investments® Family of Funds, may lend its
securities pursuant to a security lending agreement (Lending Agreement) with The
Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the
borrower must post collateral equal to the required percentage of the market
value of the loaned security, including any accrued interest. The required
percentage is: (i) 102% with respect to U.S. securities and foreign securities
that are denominated and payable in U.S. dollars; and (ii) 105% with respect to
foreign securities. With respect to each loan, if on any business day the
aggregate market value of securities collateral plus cash collateral held is
less than the aggregate market value of the securities which are the subject of
such loan, the borrower will be notified to provide additional collateral by the
end of the following business day which, together with the collateral already
held, will be not less than the
International Value Equity Series-13
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Delaware VIP® International
Value Equity Series
Notes to Financial Statements (continued)
7. Securities Lending
(continued)
applicable initial
collateral requirements for such security loan. If the aggregate market value of
securities collateral and cash collateral held with respect to a security loan
exceeds the applicable initial collateral requirement, upon request of the
borrower BNY Mellon must return enough collateral to the borrower by the end of
the following business day to reduce the value of the remaining collateral to
the applicable initial collateral requirement for such security loan. As a
result of the foregoing, the value of the collateral held with respect to a
loaned security may be temporarily more or less than the value of the security
on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. In October 2008, BNY Mellon transferred certain distressed securities from the Series’ previous collateral investment pool into the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of the securities on loan was $2,773,355, for which the Series received collateral, comprised of non-cash collateral valued at $219,278 and cash collateral of $2,867,582. At June 30, 2013, the value of invested collateral was $2,647,092. Investments purchased with cash collateral are presented on the Statement of Net Assets under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
Some countries in which the
Series may invest require governmental approval for the repatriation of
investment income, capital or the proceeds of sales of securities by foreign
investors. In addition, if there is deterioration in a country’s balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ limit on investments in illiquid securities. As of June 30, 2013, there were no Rule 144A securities. Illiquid securities have been identified on the Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
International Value Equity Series-14
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Delaware VIP® International
Value Equity Series
Notes to Financial Statements (continued)
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial statements.
|
The Series files its complete
schedule of portfolio holdings with the Securities and Exchange Commission
(Commission) for the first and third quarters of each fiscal year on Form
N-Q. The Series’ Forms N-Q, as well as a description of the policies and
procedures that the Series uses to determine how to vote proxies (if any)
relating to portfolio securities are available without charge (i) upon
request, by calling 800 523-1918; and (ii) on the Commission’s website at
sec.gov. In addition, a description of the policies and procedures that
the Series uses to determine how to vote proxies (if any) relating to
portfolio securities is available without charge on the Delaware
Investments® Funds’ website at delawareinvestments.com. The
Series’ Forms N-Q may be reviewed and copied at the Commission’s Public
Reference Room in Washington, DC; information on the operation of the
Public Reference Room may be obtained by calling 800 SEC-0330. |
|
SA-VIPIVE [6/13] DG3 19053 (8/13) (11062) |
International Value Equity Series-15 |
| Delaware VIP® Trust |
| Delaware VIP Limited-Term Diversified Income Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > | Disclosure of Series expenses | 1 |
| > | Security type/sector allocation | 2 |
| > | Statement of net assets | 3 |
| > | Statement of operations | 11 |
| > | Statements of changes in net assets | 11 |
| > | Financial highlights | 12 |
| > | Notes to financial statements | 14 |
Investments in Delaware VIP® Limited-Term Diversified Income Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP Limited-Term Diversified Income Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust — Delaware VIP
Limited-Term Diversified Income Series
Disclosure of Series
Expenses
For the Six-Month Period
from January 1, 2013 to June 30, 2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | ||||||||||||||||||||
| Beginning | Ending | Paid During | ||||||||||||||||||
| Account | Account | Annualized | Period | |||||||||||||||||
| Value | Value | Expense | 1/1/13 to | |||||||||||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | |||||||||||||||||
| Actual Series Return† | ||||||||||||||||||||
| Standard Class | $ | 1,000.00 | $ | 980.60 | 0.57 | % | $ | 2.80 | ||||||||||||
| Service Class | 1,000.00 | 980.20 | 0.82 | % | 4.03 | |||||||||||||||
| Hypothetical 5% Return (5% return before expenses) | ||||||||||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 | ||||||||||||
| Service Class | 1,000.00 | 1,020.73 | 0.82 | % | 4.11 | |||||||||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Limited-Term Diversified Income Series-1
| |
Delaware VIP® Trust — Delaware VIP
Limited-Term Diversified Income Series
Security Type/Sector
Allocation
As of June 30, 2013
(Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||
| Security Type/Sector Allocation | of Net Assets | |
| Agency Asset-Backed Securities | 0.00 | % |
| Agency Collateralized Mortgage Obligations | 1.16 | % |
| Agency Mortgage-Backed Securities | 17.78 | % |
| Commercial Mortgage-Backed Securities | 1.46 | % |
| Convertible Bond | 0.23 | % |
| Corporate Bonds | 44.42 | % |
| Banking | 6.75 | % |
| Basic Industry | 2.10 | % |
| Brokerage | 0.48 | % |
| Capital Goods | 1.69 | % |
| Communications | 3.43 | % |
| Consumer Cyclical | 5.54 | % |
| Consumer Non-Cyclical | 7.51 | % |
| Electric | 2.12 | % |
| Energy | 3.34 | % |
| Finance Companies | 1.85 | % |
| Insurance | 2.85 | % |
| Natural Gas | 1.93 | % |
| Real Estate | 0.69 | % |
| Technology | 3.62 | % |
| Transportation | 0.52 | % |
| Municipal Bond | 0.13 | % |
| Non-Agency Asset-Backed Securities | 27.38 | % |
| Non-Agency Collateralized Mortgage Obligations | 0.02 | % |
| U.S. Treasury Obligations | 3.07 | % |
| Sovereign Bond | 0.19 | % |
| Short-Term Investments | 17.30 | % |
| Securities Lending Collateral | 0.01 | % |
| Total Value of Securities | 113.15 | % |
| Obligation to Return Securities Lending Collateral | (0.01 | %) |
| Other Liabilities Net of Receivables and Other Assets | (13.14 | %) |
| Total Net Assets | 100.00 | % |
Limited-Term Diversified Income Series-2
| |
Delaware VIP® Trust — Delaware VIP
Limited-Term Diversified Income Series
Statement of Net
Assets
June 30, 2013
(Unaudited)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| AGENCY ASSET-BACKED SECURITIES–0.00% | |||||||
| •Fannie Mae Grantor Trust | |||||||
| Series 2003-T4 2A5 5.407% 9/26/33 | $ | 22,008 | $ | 22,575 | |||
| Total Agency Asset-Backed Securities | |||||||
| (cost $21,830) | 22,575 | ||||||
| AGENCY COLLATERALIZED | |||||||
| MORTGAGE OBLIGATIONS–1.16% | |||||||
| •Fannie Mae Grantor Trust | |||||||
| Series 2001-T5 A2 6.99% 2/19/30 | 20,775 | 24,603 | |||||
| Fannie Mae REMICs | |||||||
| Series 2002-90 A1 6.50% 6/25/42 | 644 | 746 | |||||
| Series 2003-32 PH 5.50% 3/25/32 | 49,894 | 50,485 | |||||
| Series 2003-52 NA 4.00% 6/25/23 | 125,651 | 133,904 | |||||
| Series 2003-120 BL 3.50% 12/25/18 | 338,471 | 351,619 | |||||
| Series 2004-49 EB 5.00% 7/25/24 | 26,450 | 29,102 | |||||
| • | Series 2005-66 FD 0.493% 7/25/35 | 444,795 | 445,049 | ||||
| Series 2005-110 MB 5.50% 9/25/35 | 9,447 | 10,303 | |||||
| Series 2011-88 AB 2.50% 9/25/26 | 238,730 | 245,071 | |||||
| Series 2011-113 MC 4.00% 12/25/40 | 318,623 | 330,290 | |||||
| Series 2326 ZQ 6.50% 6/15/31 | 33,971 | 37,946 | |||||
| Series 2931 GC 5.00% 1/15/34 | 99,251 | 103,085 | |||||
| • | Series 3016 FL 0.583% 8/15/35 | 191,666 | 192,122 | ||||
| Series 3027 DE 5.00% 9/15/25 | 28,780 | 31,511 | |||||
| • | Series 3067 FA 0.543% 11/15/35 | 2,171,151 | 2,178,748 | ||||
| Series 3173 PE 6.00% 4/15/35 | 7,771 | 7,989 | |||||
| • | Series 3232 KF 0.643% 10/15/36 | 107,165 | 107,899 | ||||
| • | Series 3297 BF 0.433% 4/15/37 | 745,008 | 745,410 | ||||
| Series 3416 GK 4.00% 7/15/22 | 28,126 | 28,869 | |||||
| Series 3737 NA 3.50% 6/15/25 | 165,979 | 174,396 | |||||
| • | Series 3780 LF 0.593% 3/15/29 | 487,810 | 488,467 | ||||
| • | Series 3800 AF 0.693% 2/15/41 | 5,118,623 | 5,163,191 | ||||
| • | Series 3803 TF 0.593% 11/15/28 | 462,390 | 464,757 | ||||
| Series 4163 CW 3.50% 4/15/40 | 2,621,246 | 2,727,858 | |||||
| •Freddie Mac Strip Series 19 F 1.06% 6/1/28 | 6,037 | 5,885 | |||||
| tFreddie Mac Structured Pass Through Securities | |||||||
| Series T-54 2A 6.50% 2/25/43 | 1,214 | 1,472 | |||||
| Series T-58 2A 6.50% 9/25/43 | 28,953 | 32,475 | |||||
| Total Agency Collateralized Mortgage | |||||||
| Obligations (cost $14,036,576) | 14,113,252 | ||||||
| AGENCY MORTGAGE-BACKED | |||||||
| SECURITIES–17.78% | |||||||
| Fannie Mae | |||||||
| 4.00% 9/1/20 | 2,386,110 | 2,517,847 | |||||
| 4.50% 5/1/41 | 666,185 | 683,650 | |||||
| 6.50% 8/1/17 | 4,640 | 5,141 | |||||
| 7.00% 11/15/16 | 2,078 | 2,113 | |||||
| Fannie Mae ARM | |||||||
| • | 1.621% 8/1/37 | 321,533 | 345,081 | ||||
| • | 2.041% 1/1/35 | 1,012,124 | 1,075,091 | ||||
| • | 2.295% 12/1/33 | 13,232 | 13,861 | ||||
| • | 2.402% 10/1/33 | 7,498 | 7,753 | ||||
| • | 2.418% 3/1/38 | 4,833 | 5,133 | ||||
| • | 2.428% 4/1/36 | 11,824 | 12,668 | ||||
| • | 2.546% 8/1/34 | 216,686 | 230,186 | ||||
| • | 2.547% 4/1/36 | 17,440 | 18,513 | ||||
| • | 2.624% 6/1/34 | 17,457 | 18,502 | ||||
| • | 2.667% 8/1/37 | 171,839 | 183,523 | ||||
| • | 2.744% 9/1/35 | 243,279 | 258,957 | ||||
| • | 2.785% 11/1/35 | 103,448 | 110,135 | ||||
| • | 2.81% 11/1/35 | 3,025 | 3,204 | ||||
| • | 3.465% 1/1/41 | 169,633 | 176,902 | ||||
| • | 4.984% 9/1/38 | 848,601 | 907,786 | ||||
| • | 5.157% 8/1/35 | 3,562 | 3,824 | ||||
| • | 5.289% 6/1/36 | 43,362 | 46,865 | ||||
| • | 5.598% 8/1/36 | 24,513 | 26,466 | ||||
| • | 5.818% 8/1/37 | 83,144 | 89,661 | ||||
| • | 6.058% 7/1/36 | 22,327 | 24,205 | ||||
| • | 6.085% 7/1/36 | 21,269 | 22,955 | ||||
| Fannie Mae Relocation 30 yr | |||||||
| Pool 763656 5.00% 1/1/34 | 3,252 | 3,465 | |||||
| Pool 763742 5.00% 1/1/34 | 21,806 | 23,233 | |||||
| Fannie Mae S.F. 15 yr | |||||||
| 2.50% 2/1/28 | 2,272,103 | 2,289,212 | |||||
| 3.00% 11/1/27 | 31,554 | 32,530 | |||||
| 4.00% 11/1/25 | 4,789,831 | 5,117,316 | |||||
| 4.00% 4/1/27 | 699,197 | 738,151 | |||||
| 4.50% 7/1/20 | 198,181 | 210,553 | |||||
| 4.50% 9/1/20 | 928,725 | 987,073 | |||||
| 5.00% 9/1/18 | 78,098 | 83,390 | |||||
| 5.00% 10/1/18 | 1,372 | 1,464 | |||||
| 5.00% 2/1/19 | 2,536 | 2,751 | |||||
| 5.00% 5/1/21 | 14,165 | 15,123 | |||||
| 5.00% 9/1/25 | 5,325,148 | 5,706,582 | |||||
| 5.50% 1/1/23 | 8,359 | 9,023 | |||||
| 5.50% 4/1/23 | 21,995 | 23,739 | |||||
| 6.00% 3/1/18 | 413,139 | 437,462 | |||||
| 6.00% 8/1/22 | 23,814 | 26,175 | |||||
| 7.00% 11/1/14 | 33 | 33 | |||||
| 7.50% 3/1/15 | 61 | 61 | |||||
| 8.00% 10/1/16 | 3,903 | 4,116 | |||||
| Fannie Mae S.F. 15 yr TBA | |||||||
| 2.50% 7/1/28 | 24,300,000 | 24,440,483 | |||||
| 3.00% 7/1/28 | 105,329,000 | 108,340,756 | |||||
| Fannie Mae S.F. 20 yr 4.00% 1/1/31 | 521,823 | 544,310 | |||||
| Fannie Mae S.F. 30 yr | |||||||
| 3.50% 8/1/42 | 2,722,392 | 2,769,937 | |||||
| 4.00% 11/1/40 | 307,358 | 320,356 | |||||
| 4.00% 9/1/41 | 211,632 | 220,780 | |||||
| 4.00% 12/1/41 | 491,335 | 512,112 | |||||
| 4.00% 1/1/43 | 4,530,713 | 4,726,135 | |||||
| 4.50% 7/1/36 | 234,609 | 248,229 | |||||
| 4.50% 4/1/40 | 305,371 | 323,543 | |||||
| 4.50% 8/1/40 | 1,424,688 | 1,506,872 | |||||
| 4.50% 11/1/40 | 776,332 | 822,530 | |||||
| 4.50% 2/1/41 | 362,447 | 384,305 | |||||
| 4.50% 3/1/41 | 1,577,948 | 1,673,105 | |||||
| 4.50% 5/1/41 | 260,988 | 277,003 | |||||
| 4.50% 8/1/41 | 1,307,500 | 1,386,348 | |||||
| 4.50% 10/1/41 | 873,951 | 926,654 | |||||
Limited-Term Diversified Income Series-3
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| AGENCY MORTGAGE-BACKED | |||||||
| SECURITIES (continued) | |||||||
| Fannie Mae S.F. 30 yr (continued) | |||||||
| 4.50% 11/1/41 | $ | 755,347 | $ | 800,898 | |||
| 5.00% 4/1/33 | 294,570 | 318,670 | |||||
| 5.00% 3/1/34 | 3,119 | 3,374 | |||||
| 6.00% 11/1/34 | 2,022 | 2,227 | |||||
| 6.00% 4/1/36 | 4,852 | 5,294 | |||||
| 6.00% 1/1/38 | 213,768 | 232,621 | |||||
| 6.50% 6/1/29 | 784 | 900 | |||||
| 6.50% 1/1/34 | 1,182 | 1,362 | |||||
| 6.50% 4/1/36 | 2,133 | 2,407 | |||||
| 6.50% 6/1/36 | 6,678 | 7,505 | |||||
| 6.50% 10/1/36 | 5,101 | 5,699 | |||||
| 6.50% 8/1/37 | 1,393 | 1,557 | |||||
| 6.50% 12/1/37 | 7,105 | 7,975 | |||||
| 7.00% 12/1/34 | 916 | 1,067 | |||||
| 7.00% 12/1/35 | 996 | 1,134 | |||||
| 7.00% 4/1/37 | 589,023 | 661,960 | |||||
| 7.00% 12/1/37 | 3,155 | 3,669 | |||||
| 7.50% 6/1/31 | 8,523 | 10,168 | |||||
| 7.50% 4/1/32 | 497 | 581 | |||||
| 7.50% 5/1/33 | 2,346 | 2,573 | |||||
| 7.50% 6/1/34 | 602 | 705 | |||||
| 9.00% 7/1/20 | 9,779 | 10,770 | |||||
| 10.00% 8/1/19 | 4,730 | 4,982 | |||||
| Fannie Mae S.F. 30 yr TBA | |||||||
| 3.50% 7/1/43 | 18,410,000 | 18,689,026 | |||||
| 4.50% 7/1/43 | 1,700,000 | 1,798,812 | |||||
| Freddie Mac ARM | |||||||
| • | 2.358% 4/1/33 | 6,849 | 6,913 | ||||
| • | 2.615% 7/1/36 | 74,731 | 79,921 | ||||
| • | 2.883% 4/1/34 | 3,003 | 3,181 | ||||
| • | 4.928% 7/1/38 | 1,122,188 | 1,196,202 | ||||
| • | 4.992% 8/1/38 | 17,735 | 18,850 | ||||
| • | 5.68% 6/1/37 | 227,979 | 246,402 | ||||
| • | 5.755% 10/1/36 | 5,795 | 6,147 | ||||
| • | 6.186% 10/1/37 | 125,560 | 136,123 | ||||
| Freddie Mac S.F. 15 yr | |||||||
| 4.00% 11/1/13 | 1,312 | 1,315 | |||||
| 4.00% 4/1/26 | 3,065,212 | 3,220,218 | |||||
| 5.00% 4/1/20 | 67,781 | 71,811 | |||||
| 5.00% 12/1/22 | 11,471 | 12,286 | |||||
| 5.50% 7/1/24 | 907,034 | 978,274 | |||||
| 8.00% 5/1/15 | 4,879 | 5,054 | |||||
| Freddie Mac S.F. 30 yr | |||||||
| 4.00% 11/1/40 | 56,795 | 59,095 | |||||
| 4.50% 10/1/39 | 1,084,691 | 1,142,049 | |||||
| 4.50% 11/1/39 | 1,835,410 | 1,932,467 | |||||
| 4.50% 3/1/42 | 2,650,384 | 2,793,272 | |||||
| 6.00% 2/1/36 | 1,419,862 | 1,542,068 | |||||
| 6.00% 8/1/38 | 2,611,384 | 2,858,064 | |||||
| 6.00% 10/1/38 | 3,848,544 | 4,209,654 | |||||
| 7.00% 11/1/33 | 7,660 | 8,881 | |||||
| 9.00% 4/1/17 | 620 | 676 | |||||
| GNMA I S.F. 15 yr 6.00% 1/15/22 | 1,020,962 | 1,112,847 | |||||
| GNMA I S.F. 30 yr | |||||||
| 7.00% 12/15/34 | 28,805 | 33,302 | |||||
| 7.50% 1/15/32 | 887 | 1,080 | |||||
| GNMA II S.F. 30 yr | |||||||
| 12.00% 6/20/14 | 242 | 245 | |||||
| 12.00% 2/20/16 | 156 | 157 | |||||
| Total Agency Mortgage-Backed Securities | |||||||
| (cost $218,622,893) | 216,177,422 | ||||||
| COMMERCIAL MORTGAGE-BACKED | |||||||
| SECURITIES–1.46% | |||||||
| •Bear Stearns Commercial Mortgage Securities | |||||||
| Series 2005-PWR7 A3 5.116% 2/11/41 | 600,000 | 633,501 | |||||
| Series 2005-T20 A4A 5.296% 10/12/42 | 455,000 | 490,581 | |||||
| t•Commercial Mortgage Pass Through Certificates | |||||||
| Series 2005-C6 A5A 5.116% 6/10/44 | 1,665,000 | 1,784,808 | |||||
| •Credit Suisse First Boston Mortgage Securities | |||||||
| Series 2004-C1 A4 4.75% 1/15/37 | 1,270,507 | 1,281,803 | |||||
| #DBUBS Mortgage Trust | |||||||
| Series 2011-LC1A A3 144A | |||||||
| 5.00% 11/10/46 | 725,000 | 798,606 | |||||
| Goldman Sachs Mortgage Securities II | |||||||
| • | Series 2004-GG2 A6 5.396% 8/10/38 | 1,470,000 | 1,511,794 | ||||
| Series 2005-GG4 A4A 4.75% 7/10/39 | 2,905,000 | 3,051,275 | |||||
| • | Series 2006-GG6 A4 5.553% 4/10/38 | 915,000 | 996,637 | ||||
| •JPMorgan Chase Commercial Mortgage Securities | |||||||
| Series 2005-LDP5 A4 5.367% 12/15/44 | 3,558,000 | 3,839,584 | |||||
| Morgan Stanley Capital I | |||||||
| Series 2005-HQ6 A4A 4.99% 8/13/42 | 1,205,000 | 1,279,471 | |||||
| • | Series 2007-T27 A4 5.816% 6/11/42 | 1,520,000 | 1,718,518 | ||||
| WF-RBS Commercial Mortgage Trust | |||||||
| Series 2013-C14 A5 3.34% 6/15/46 | 370,000 | 352,747 | |||||
| Total Commercial Mortgage-Backed Securities | |||||||
| (cost $16,691,536) | 17,739,325 | ||||||
| CONVERTIBLE BOND–0.23% | |||||||
| L-3 Communications Holdings 3.00% | |||||||
| exercise price $90.24, | |||||||
| expiration date 8/1/35 | 2,765,000 | 2,825,484 | |||||
| Total Convertible Bond | |||||||
| (cost $2,714,391) | 2,825,484 | ||||||
| CORPORATE BONDS–44.42% | |||||||
| Banking–6.75% | |||||||
| #Bank Nederlandse Gemeenten 144A | |||||||
| 1.38% 3/19/18 | 1,754,000 | 1,719,290 | |||||
| 2.50% 1/23/23 | 2,822,000 | 2,652,872 | |||||
| Bank of America 2.00% 1/11/18 | 7,620,000 | 7,388,748 | |||||
| Bank of New York Mellon 1.969% 6/20/17 | 1,830,000 | 1,842,640 | |||||
| BB&T 5.20% 12/23/15 | 1,670,000 | 1,825,071 | |||||
| BBVA U.S. Senior 4.66% 10/9/15 | 1,420,000 | 1,463,559 | |||||
| •Branch Banking & Trust 0.592% 9/13/16 | 4,500,000 | 4,455,724 | |||||
| Comerica 3.00% 9/16/15 | 2,185,000 | 2,284,000 | |||||
| #•Commonwealth Bank of Australia 144A | |||||||
| 0.553% 9/17/14 | 13,340,000 | 13,381,634 | |||||
Limited-Term Diversified Income Series-4
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Banking (continued) | |||||||
| JPMorgan Chase | |||||||
| 1.63% 5/15/18 | $ | 1,955,000 | $ | 1,876,387 | |||
| * | 3.38% 5/1/23 | 2,330,000 | 2,174,062 | ||||
| 3.45% 3/1/16 | 7,105,000 | 7,415,844 | |||||
| •JPMorgan Chase Bank 0.602% 6/13/16 | 605,000 | 594,781 | |||||
| KeyBank 5.45% 3/3/16 | 1,780,000 | 1,963,616 | |||||
| Morgan Stanley | |||||||
| 2.13% 4/25/18 | 4,510,000 | 4,321,094 | |||||
| 4.10% 5/22/23 | 2,275,000 | 2,106,095 | |||||
| #Nederlandse Waterschapsbank 144A | |||||||
| 0.75% 3/29/16 | 1,355,000 | 1,348,035 | |||||
| Oesterreichische Kontrollbank AG 1.13% 5/29/18 | 1,200,000 | 1,166,122 | |||||
| *•PNC Financial Services Group 4.49% 5/29/49 | 2,765,000 | 2,763,617 | |||||
| Regions Financial 2.00% 5/15/18 | 1,380,000 | 1,306,022 | |||||
| Santander Holdings USA | |||||||
| 3.00% 9/24/15 | 2,385,000 | 2,446,731 | |||||
| 4.63% 4/19/16 | 795,000 | 839,210 | |||||
| •SunTrust Bank 0.564% 8/24/15 | 585,000 | 580,601 | |||||
| SunTrust Banks 3.60% 4/15/16 | 1,505,000 | 1,594,234 | |||||
| •UBS 1.276% 1/28/14 | 1,276,000 | 1,282,885 | |||||
| US Bancorp | |||||||
| 3.15% 3/4/15 | 750,000 | 778,692 | |||||
| 4.20% 5/15/14 | 1,860,000 | 1,920,973 | |||||
| •USB Capital IX 3.50% 10/29/49 | 2,220,000 | 1,936,950 | |||||
| #•USB Realty 144A 1.424% 12/22/49 | 200,000 | 173,000 | |||||
| •Wachovia 0.647% 10/15/16 | 10,000 | 9,828 | |||||
| Wells Fargo 2.63% 12/15/16 | 1,450,000 | 1,503,683 | |||||
| •Wells Fargo Bank 0.484% 5/16/16 | 545,000 | 536,127 | |||||
| Zions Bancorp | |||||||
| 4.50% 3/27/17 | 1,695,000 | 1,794,081 | |||||
| 4.50% 6/13/23 | 2,195,000 | 2,164,975 | |||||
| 7.75% 9/23/14 | 475,000 | 511,973 | |||||
| 82,123,156 | |||||||
| Basic Industry–2.10% | |||||||
| #Anglo American Capital 144A 2.15% 9/27/13 | 1,095,000 | 1,098,240 | |||||
| #Barrick Gold 144A 4.10% 5/1/23 | 4,310,000 | 3,607,806 | |||||
| *BHP Billiton Finance USA 1.88% 11/21/16 | 6,860,000 | 6,965,150 | |||||
| CF Industries 6.88% 5/1/18 | 4,740,000 | 5,578,748 | |||||
| #Georgia-Pacific 144A 5.40% 11/1/20 | 2,365,000 | 2,641,249 | |||||
| #Glencore Funding 144A 2.50% 1/15/19 | 3,080,000 | 2,790,036 | |||||
| International Paper 9.38% 5/15/19 | 375,000 | 490,725 | |||||
| Lubrizol 5.50% 10/1/14 | 790,000 | 837,330 | |||||
| Rio Tinto Finance USA 2.25% 12/14/18 | 1,555,000 | 1,513,013 | |||||
| 25,522,297 | |||||||
| Brokerage–0.48% | |||||||
| Jefferies Group | |||||||
| 5.13% 1/20/23 | 3,115,000 | 3,096,755 | |||||
| 5.88% 6/8/14 | 820,000 | 854,850 | |||||
| Lazard Group | |||||||
| 6.85% 6/15/17 | 733,000 | 820,608 | |||||
| 7.13% 5/15/15 | 949,000 | 1,030,937 | |||||
| 5,803,150 | |||||||
| Capital Goods–1.69% | |||||||
| Caterpillar 1.50% 6/26/17 | 3,665,000 | 3,631,638 | |||||
| #Ingersoll-Rand Global Holding 144A | |||||||
| 2.88% 1/15/19 | 4,260,000 | 4,207,730 | |||||
| John Deere Capital 1.70% 1/15/20 | 2,255,000 | 2,135,961 | |||||
| United Technologies 1.80% 6/1/17 | 4,425,000 | 4,445,386 | |||||
| #URS 144A 4.35% 4/1/17 | 3,585,000 | 3,655,345 | |||||
| Waste Management 2.60% 9/1/16 | 2,365,000 | 2,444,310 | |||||
| 20,520,370 | |||||||
| Communications–3.43% | |||||||
| #American Tower Trust I 144A 1.55% 3/15/18 | 3,090,000 | 3,047,078 | |||||
| CC Holdings GS V 3.85% 4/15/23 | 4,695,000 | 4,436,047 | |||||
| #COX Communications 144A 5.88% 12/1/16 | 1,550,000 | 1,763,041 | |||||
| #Crown Castle Towers 144A 3.21% 8/15/15 | 795,000 | 818,879 | |||||
| DIRECTV Holdings | |||||||
| 2.40% 3/15/17 | 1,980,000 | 1,991,322 | |||||
| 3.50% 3/1/16 | 1,510,000 | 1,587,288 | |||||
| Discovery Communications 3.70% 6/1/15 | 2,650,000 | 2,782,140 | |||||
| eBay 1.35% 7/15/17 | 675,000 | 664,070 | |||||
| Interpublic Group 2.25% 11/15/17 | 1,155,000 | 1,123,579 | |||||
| Rogers Communications 7.50% 3/15/15 | 1,262,000 | 1,397,921 | |||||
| #SBA Tower Trust 144A 2.24% 4/15/18 | 1,660,000 | 1,636,177 | |||||
| #SES 144A 3.60% 4/4/23 | 3,175,000 | 3,095,228 | |||||
| Telecom Italia Capital 5.25% 11/15/13 | 300,000 | 303,788 | |||||
| Telefonica Emisiones 3.19% 4/27/18 | 3,865,000 | 3,747,798 | |||||
| Time Warner Cable | |||||||
| 5.85% 5/1/17 | 6,205,000 | 6,842,626 | |||||
| 7.50% 4/1/14 | 1,420,000 | 1,489,589 | |||||
| 8.25% 2/14/14 | 495,000 | 517,765 | |||||
| •Verizon Communications 0.886% 3/28/14 | 2,200,000 | 2,206,886 | |||||
| Virgin Media Secured Finance 6.50% 1/15/18 | 2,200,000 | 2,271,500 | |||||
| 41,722,722 | |||||||
| Consumer Cyclical–5.54% | |||||||
| ADT 2.25% 7/15/17 | 1,650,000 | 1,620,703 | |||||
| #American Honda Finance 144A 1.60% 2/16/18 | 4,665,000 | 4,591,620 | |||||
| Carnival 1.20% 2/5/16 | 5,925,000 | 5,886,091 | |||||
| #Daimler Finance North America 144A | |||||||
| 1.88% 1/11/18 | 5,550,000 | 5,421,706 | |||||
| Dollar General | |||||||
| 1.88% 4/15/18 | 960,000 | 927,284 | |||||
| 4.13% 7/15/17 | 465,000 | 490,930 | |||||
| Ford Motor Credit | |||||||
| 3.98% 6/15/16 | 1,200,000 | 1,258,031 | |||||
| 4.25% 2/3/17 | 4,285,000 | 4,480,795 | |||||
| Historic TW 6.88% 6/15/18 | 1,340,000 | 1,612,888 | |||||
| #Hyundai Capital America 144A | |||||||
| 2.13% 10/2/17 | 260,000 | 251,616 | |||||
| 4.00% 6/8/17 | 1,445,000 | 1,498,303 | |||||
| Lowe’s 1.63% 4/15/17 | 5,440,000 | 5,443,405 | |||||
| •Target 0.447% 7/18/14 | 8,700,000 | 8,714,712 | |||||
| Time Warner | |||||||
| 3.15% 7/15/15 | 2,200,000 | 2,299,183 | |||||
| 5.88% 11/15/16 | 2,145,000 | 2,450,463 | |||||
| Viacom 2.50% 12/15/16 | 4,960,000 | 5,121,180 | |||||
| Walgreen 1.80% 9/15/17 | 7,175,000 | 7,092,337 | |||||
| Wal-Mart Stores 1.50% 10/25/15 | 1,970,000 | 2,009,386 | |||||
| Western Union | |||||||
| 2.88% 12/10/17 | 1,595,000 | 1,600,758 | |||||
| 3.65% 8/22/18 | 610,000 | 626,745 | |||||
Limited-Term Diversified Income Series-5
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Consumer Cyclical (continued) | |||||||
| Wyndham Worldwide 2.95% 3/1/17 | $ | 3,880,000 | $ | 3,930,370 | |||
| 67,328,506 | |||||||
| Consumer Non-Cyclical–7.51% | |||||||
| #AbbVie 144A 1.75% 11/6/17 | 5,475,000 | 5,369,519 | |||||
| Allergan 1.35% 3/15/18 | 1,670,000 | 1,629,048 | |||||
| Anheuser-Busch 5.60% 3/1/17 | 1,990,000 | 2,254,622 | |||||
| Anheuser-Busch InBev Worldwide | |||||||
| 1.38% 7/15/17 | 5,450,000 | 5,369,133 | |||||
| Baxter International 1.85% 6/15/18 | 3,045,000 | 3,023,892 | |||||
| Cardinal Health 1.70% 3/15/18 | 2,740,000 | 2,661,422 | |||||
| CareFusion 6.38% 8/1/19 | 980,000 | 1,132,575 | |||||
| #CareFusion 144A 3.30% 3/1/23 | 1,875,000 | 1,784,636 | |||||
| ConAgra Foods 1.90% 1/25/18 | 6,655,000 | 6,549,505 | |||||
| CR Bard 1.38% 1/15/18 | 5,465,000 | 5,315,877 | |||||
| Express Scripts Holding 3.50% 11/15/16 | 3,660,000 | 3,888,318 | |||||
| #Heineken 144A 1.40% 10/1/17 | 7,635,000 | 7,425,770 | |||||
| #Imperial Tobacco Finance 144A 2.05% 2/11/18 | 4,600,000 | 4,526,662 | |||||
| Ingredion 1.80% 9/25/17 | 2,460,000 | 2,414,815 | |||||
| #Korea Expressway 144A 1.88% 10/22/17 | 1,855,000 | 1,749,909 | |||||
| Kraft Foods Group 2.25% 6/5/17 | 5,115,000 | 5,155,705 | |||||
| Mattel 1.70% 3/15/18 | 4,085,000 | 3,994,640 | |||||
| Molson Coors Brewing 2.00% 5/1/17 | 4,240,000 | 4,241,874 | |||||
| #Mylan 144A 2.60% 6/24/18 | 5,400,000 | 5,328,477 | |||||
| Newell Rubbermaid 2.05% 12/1/17 | 1,160,000 | 1,137,951 | |||||
| #Pernod-Ricard 144A | |||||||
| 2.95% 1/15/17 | 3,560,000 | 3,645,675 | |||||
| 5.75% 4/7/21 | 1,145,000 | 1,273,991 | |||||
| Quest Diagnostics | |||||||
| 3.20% 4/1/16 | 3,325,000 | 3,451,832 | |||||
| 5.45% 11/1/15 | 2,200,000 | 2,402,935 | |||||
| #SABMiller Holdings 144A 2.45% 1/15/17 | 4,980,000 | 5,063,295 | |||||
| Yale University 2.90% 10/15/14 | 552,000 | 568,800 | |||||
| 91,360,878 | |||||||
| Electric–2.12% | |||||||
| American Electric Power 1.65% 12/15/17 | 2,770,000 | 2,695,659 | |||||
| Appalachian Power 3.40% 5/24/15 | 1,445,000 | 1,508,784 | |||||
| CenterPoint Energy 5.95% 2/1/17 | 1,675,000 | 1,906,194 | |||||
| Duke Energy Carolinas 1.75% 12/15/16 | 4,890,000 | 4,960,793 | |||||
| #•Electricite de France 144A 5.25% 12/29/49 | 2,255,000 | 2,159,760 | |||||
| Jersey Central Power & Light 5.63% 5/1/16 | 1,825,000 | 2,026,219 | |||||
| Kansas City Power & Light 6.38% 3/1/18 | 3,715,000 | 4,284,792 | |||||
| NV Energy 6.25% 11/15/20 | 2,580,000 | 3,035,690 | |||||
| PPL Capital Funding 1.90% 6/1/18 | 3,320,000 | 3,265,057 | |||||
| 25,842,948 | |||||||
| Energy–3.34% | |||||||
| Apache 1.75% 4/15/17 | 3,490,000 | 3,497,912 | |||||
| #BG Energy Capital 144A 2.88% 10/15/16 | 3,535,000 | 3,702,955 | |||||
| Chevron 2.43% 6/24/20 | 1,880,000 | 1,872,269 | |||||
| CNOOC Finance 2013 3.00% 5/9/23 | 1,615,000 | 1,461,969 | |||||
| Noble Holding International 3.05% 3/1/16 | 6,710,000 | 6,886,439 | |||||
| Petrobras Global Finance BV 3.00% 1/15/19 | 1,450,000 | 1,350,510 | |||||
| Petrobras International Finance 3.50% 2/6/17 | 5,455,000 | 5,444,346 | |||||
| Petrohawk Energy 7.88% 6/1/15 | 5,135,000 | 5,246,686 | |||||
| #Schlumberger Investment 144A 1.95% 9/14/16 | 2,875,000 | 2,931,566 | |||||
| #Schlumberger Norge 144A 1.95% 9/14/16 | 3,675,000 | 3,747,306 | |||||
| Shell International Finance 3.10% 6/28/15 | 980,000 | 1,027,558 | |||||
| Transocean 2.50% 10/15/17 | 2,025,000 | 2,003,207 | |||||
| #Woodside Finance 144A | |||||||
| 4.50% 11/10/14 | 1,100,000 | 1,148,289 | |||||
| 8.13% 3/1/14 | 290,000 | 303,173 | |||||
| 40,624,185 | |||||||
| Finance Companies–1.85% | |||||||
| #CDP Financial 144A 3.00% 11/25/14 | 2,065,000 | 2,128,821 | |||||
| #ERAC USA Finance 144A | |||||||
| 1.40% 4/15/16 | 4,160,000 | 4,131,870 | |||||
| 2.25% 1/10/14 | 3,120,000 | 3,143,774 | |||||
| General Electric Capital | |||||||
| • | 0.533% 9/15/14 | 1,390,000 | 1,391,097 | ||||
| # | 144A 3.80% 6/18/19 | 1,355,000 | 1,412,402 | ||||
| 4.38% 9/16/20 | 2,560,000 | 2,714,260 | |||||
| *• | 5.25% 6/29/49 | 1,200,000 | 1,149,000 | ||||
| 6.00% 8/7/19 | 5,490,000 | 6,381,801 | |||||
| 22,453,025 | |||||||
| Insurance–2.85% | |||||||
| American International Group | |||||||
| 6.40% 12/15/20 | 1,940,000 | 2,253,192 | |||||
| 8.25% 8/15/18 | 2,935,000 | 3,647,674 | |||||
| •Chubb 6.375% 3/29/67 | 1,190,000 | 1,279,250 | |||||
| #ING US 144A 2.90% 2/15/18 | 4,720,000 | 4,748,849 | |||||
| MetLife | |||||||
| 1.76% 12/15/17 | 3,605,000 | 3,552,796 | |||||
| 6.75% 6/1/16 | 2,015,000 | 2,307,782 | |||||
| #Metropolitan Life Global Funding I 144A | |||||||
| 3.00% 1/10/23 | 1,655,000 | 1,557,247 | |||||
| 3.13% 1/11/16 | 2,965,000 | 3,099,641 | |||||
| #Pricoa Global Funding I 144A 1.60% 5/29/18 | 920,000 | 888,297 | |||||
| Principal Financial Group 1.85% 11/15/17 | 3,665,000 | 3,603,168 | |||||
| Prudential Financial 3.88% 1/14/15 | 30,000 | 31,266 | |||||
| WellPoint 1.88% 1/15/18 | 5,925,000 | 5,807,691 | |||||
| #•ZFS Finance USA Trust II 144A 6.45% 12/15/65 | 1,775,000 | 1,912,563 | |||||
| 34,689,416 | |||||||
| Natural Gas–1.93% | |||||||
| Energy Transfer Partners 8.50% 4/15/14 | 93,000 | 98,406 | |||||
| Enterprise Products Operating | |||||||
| 3.20% 2/1/16 | 2,500,000 | 2,625,920 | |||||
| 9.75% 1/31/14 | 805,000 | 845,818 | |||||
| #GDF Suez 144A 1.63% 10/10/17 | 5,370,000 | 5,293,907 | |||||
| *Kinder Morgan Energy Partners 3.50% 9/1/23 | 5,015,000 | 4,709,712 | |||||
| Sempra Energy 2.30% 4/1/17 | 3,460,000 | 3,507,533 | |||||
| TransCanada Pipelines | |||||||
| 3.40% 6/1/15 | 1,480,000 | 1,551,755 | |||||
| • | 6.35% 5/15/67 | 415,000 | 433,148 | ||||
| Williams Partners 7.25% 2/1/17 | 3,821,000 | 4,444,400 | |||||
| 23,510,599 | |||||||
| Real Estate–0.69% | |||||||
| Health Care REIT 3.63% 3/15/16 | 2,490,000 | 2,612,603 | |||||
| Simon Property Group 2.80% 1/30/17 | 5,650,000 | 5,820,946 | |||||
| 8,433,549 | |||||||
Limited-Term Diversified Income Series-6
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| CORPORATE BONDS (continued) | |||||||
| Technology–3.62% | |||||||
| Agilent Technologies 3.88% 7/15/23 | $ | 2,110,000 | $ | 2,041,927 | |||
| Apple | |||||||
| * | 1.00% 5/3/18 | 6,440,000 | 6,191,571 | ||||
| 2.40% 5/3/23 | 1,820,000 | 1,691,630 | |||||
| Corning 1.45% 11/15/17 | 2,730,000 | 2,666,637 | |||||
| EMC 2.65% 6/1/20 | 4,910,000 | 4,847,766 | |||||
| Fidelity National Information Services | |||||||
| 3.50% 4/15/23 | 440,000 | 398,199 | |||||
| Hewlett-Packard | |||||||
| 3.00% 9/15/16 | 1,830,000 | 1,880,722 | |||||
| 3.30% 12/9/16 | 1,565,000 | 1,625,863 | |||||
| International Business Machines | |||||||
| 1.25% 2/6/17 | 6,800,000 | 6,731,878 | |||||
| 1.25% 2/8/18 | 1,240,000 | 1,208,549 | |||||
| Microsoft 2.13% 11/15/22 | 1,925,000 | 1,756,682 | |||||
| National Semiconductor 6.60% 6/15/17 | 925,000 | 1,087,836 | |||||
| NetApp | |||||||
| 2.00% 12/15/17 | 1,900,000 | 1,852,559 | |||||
| 3.25% 12/15/22 | 890,000 | 821,099 | |||||
| Oracle 5.75% 4/15/18 | 185,000 | 215,501 | |||||
| Total System Services | |||||||
| 2.38% 6/1/18 | 1,455,000 | 1,411,289 | |||||
| 3.75% 6/1/23 | 1,385,000 | 1,288,592 | |||||
| Xerox | |||||||
| • | 1.094% 5/16/14 | 1,410,000 | 1,409,303 | ||||
| 2.95% 3/15/17 | 2,235,000 | 2,255,468 | |||||
| 6.35% 5/15/18 | 2,250,000 | 2,581,418 | |||||
| 43,964,489 | |||||||
| Transportation–0.52% | |||||||
| Burlington Northern Santa Fe 7.00% 2/1/14 | 1,585,000 | 1,641,925 | |||||
| CSX 5.60% 5/1/17 | 950,000 | 1,071,737 | |||||
| #ERAC USA Finance 144A 2.75% 7/1/13 | 585,000 | 585,000 | |||||
| #Penske Truck Leasing 144A 3.75% 5/11/17 | 630,000 | 659,761 | |||||
| United Parcel Service 5.13% 4/1/19 | 2,050,000 | 2,360,175 | |||||
| 6,318,598 | |||||||
| Total Corporate Bonds | |||||||
| (cost $540,714,638) | 540,217,888 | ||||||
| MUNICIPAL BOND–0.13% | |||||||
| Railsplitter Tobacco Settlement Authority, | |||||||
| Illinois Revenue 5.00% 6/1/15 | 1,475,000 | 1,580,905 | |||||
| Total Municipal Bond | |||||||
| (cost $1,512,229) | 1,580,905 | ||||||
| NON-AGENCY ASSET-BACKED | |||||||
| SECURITIES–27.38% | |||||||
| •Ally Master Owner Trust | |||||||
| Series 2010-4 A 1.263% 8/15/17 | 8,465,000 | 8,532,178 | |||||
| Series 2011-1 A1 1.063% 1/15/16 | 1,320,000 | 1,321,985 | |||||
| Series 2012-3 A1 0.893% 6/15/17 | 6,500,000 | 6,515,411 | |||||
| Series 2013-2 A 0.643% 4/15/18 | 5,300,000 | 5,273,240 | |||||
| •American Express Credit Account Master Trust | |||||||
| Series 2011-1 A 0.363% 4/17/17 | 3,270,000 | 3,268,133 | |||||
| Series 2011-1 B 0.893% 4/17/17 | 3,100,000 | 3,107,384 | |||||
| •Ameriquest Mortgage Securities Series 2003-11 AF6 | |||||||
| 5.376% 12/25/33 | 25,024 | 25,520 | |||||
| #•ARI Fleet Lease Trust 144A | |||||||
| Series 2012-A A 0.743% 3/15/20 | 2,580,266 | 2,583,174 | |||||
| Series 2012-B A 0.493% 1/15/21 | 4,504,962 | 4,496,515 | |||||
| •Bank of America Credit Card Trust | |||||||
| Series 2007-A4 A4 0.233% 11/15/19 | 2,150,000 | 2,135,195 | |||||
| Series 2007-A6 A6 0.253% 9/15/16 | 2,115,000 | 2,110,905 | |||||
| Series 2008-C5 C5 4.943% 3/15/16 | 7,550,000 | 7,644,813 | |||||
| #•BMW Floorplan Master Owner Trust | |||||||
| Series 2012-1A A 144A 0.593% 9/15/17 | 7,500,000 | 7,471,237 | |||||
| BMW Vehicle Lease Trust | |||||||
| Series 2012-1 A3 0.75% 2/20/15 | 3,075,000 | 3,077,764 | |||||
| #•Cabela’s Master Credit Card Trust | |||||||
| Series 2010-2A A2 144A 0.893% 9/17/18 | 2,295,000 | 2,309,826 | |||||
| Series 2012-1A A2 144A 0.723% 2/18/20 | 2,450,000 | 2,448,706 | |||||
| Series 2012-2A A2 144A 0.673% 6/15/20 | 13,065,000 | 13,006,051 | |||||
| Capital One Multi-Asset Execution Trust | |||||||
| • | Series 2004-A1 A1 0.403% 12/15/16 | 1,355,000 | 1,354,505 | ||||
| • | Series 2006-A11 A11 0.283% 6/17/19 | 3,000,000 | 2,977,521 | ||||
| • | Series 2007-A1 A1 0.243% 11/15/19 | 310,000 | 306,623 | ||||
| • | Series 2007-A5 A5 0.233% 7/15/20 | 5,250,000 | 5,158,655 | ||||
| Series 2007-A7 A7 5.75% 7/15/20 | 665,000 | 774,079 | |||||
| • | Series 2013-A2 A2 0.373% 2/15/19 | 8,600,000 | 8,566,073 | ||||
| Chase Funding Mortgage Loan | |||||||
| Asset-Backed Certificates | |||||||
| Series 2002-3 1A6 4.71% 6/25/32 | 16,697 | 16,724 | |||||
| •Chase Issuance Trust | |||||||
| Series 2007-A8 A 0.213% 3/15/17 | 2,250,000 | 2,241,038 | |||||
| Series 2007-B1 B1 0.443% 4/15/19 | 6,000,000 | 5,864,208 | |||||
| Series 2012-A6 A 0.323% 8/15/17 | 6,000,000 | 5,983,752 | |||||
| Series 2012-A9 A9 0.343% 10/16/17 | 5,300,000 | 5,286,241 | |||||
| Series 2012-A10 A10 0.453% 12/16/19 | 3,215,000 | 3,197,205 | |||||
| Series 2013-A2 A2 0.293% 2/15/17 | 4,000,000 | 3,990,056 | |||||
| Series 2013-A3 A3 0.473% 4/15/20 | 7,450,000 | 7,409,241 | |||||
| #•Chesapeake Funding 144A | |||||||
| Series 2009-2A A 1.943% 9/15/21 | 2,894,774 | 2,900,463 | |||||
| Series 2012-1A A 0.943% 11/7/23 | 5,626,225 | 5,640,566 | |||||
| Series 2012-2A A 0.643% 5/7/24 | 4,030,000 | 4,021,803 | |||||
| •Citibank Credit Card Issuance Trust | |||||||
| Series 2013-A1 A1 0.293% 4/24/17 | 5,500,000 | 5,484,825 | |||||
| Series 2013-A2 A2 0.475% 5/26/20 | 4,880,000 | 4,851,940 | |||||
| #•Citibank Omni Master Trust | |||||||
| Series 2009-A14A A14 144A | |||||||
| 2.943% 8/15/18 | 10,075,000 | 10,346,652 | |||||
| Conseco Financial | |||||||
| Series GT 1997-6 A8 7.07% 1/15/29 | 157,864 | 166,077 | |||||
| •Discover Card Execution Note Trust | |||||||
| Series 2010-A2 A2 0.773% 3/15/18 | 450,000 | 452,815 | |||||
| Series 2011-A1 A1 0.543% 8/15/16 | 1,495,000 | 1,496,363 | |||||
| Series 2011-A3 A 0.403% 3/15/17 | 4,580,000 | 4,579,052 | |||||
| Series 2011-A4 A4 0.543% 5/15/19 | 1,000,000 | 998,709 | |||||
| Series 2012-A4 A4 0.563% 11/15/19 | 5,135,000 | 5,113,859 | |||||
| Series 2012-A5 A5 0.393% 1/16/18 | 4,350,000 | 4,341,022 | |||||
| Series 2013-A1 A1 0.493% 8/17/20 | 4,925,000 | 4,865,176 | |||||
| Series 2013-A3 A3 0.373% 10/15/18 | 8,580,000 | 8,543,741 | |||||
Limited-Term Diversified Income Series-7
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| NON-AGENCY ASSET-BACKED | |||||||
| SECURITIES (continued) | |||||||
| #Enterprise Fleet Financing 144A | |||||||
| Series 2011-3 A2 1.62% 5/20/17 | $ | 1,960,476 | $ | 1,970,455 | |||
| Series 2012-1 A2 1.14% 11/20/17 | 394,318 | 394,723 | |||||
| •Ford Credit Floorplan Master Owner Trust A | |||||||
| # | Series 2010-3 A2 144A 1.893% 2/15/17 | 7,375,000 | 7,524,078 | ||||
| Series 2011-1 A2 0.793% 2/15/16 | 5,410,000 | 5,424,104 | |||||
| Series 2013-1 A2 0.573% 1/15/18 | 4,750,000 | 4,747,563 | |||||
| Series 2013-3 A2 0.493% 6/15/17 | 2,000,000 | 1,996,358 | |||||
| GE Capital Credit Card Master Note Trust | |||||||
| • | Series 2011-1 A 0.743% 1/15/17 | 1,100,000 | 1,101,810 | ||||
| Series 2012-6 A 1.36% 8/17/20 | 1,005,000 | 988,488 | |||||
| •GE Dealer Floorplan Master Note Trust | |||||||
| Series 2012-2 A 0.942% 4/22/19 | 16,420,000 | 16,494,957 | |||||
| Series 2012-4 A 0.632% 10/20/17 | 4,955,000 | 4,919,398 | |||||
| Series 2013-1 A 0.592% 4/20/18 | 12,000,000 | 11,945,832 | |||||
| GE Equipment Transportation | |||||||
| Series 2013-1 A3 0.69% 11/25/16 | 3,280,000 | 3,264,791 | |||||
| #Golden Credit Card Trust 144A | |||||||
| • | Series 2012-3A A 0.643% 7/17/17 | 7,725,000 | 7,756,232 | ||||
| Series 2012-5A A 0.79% 9/15/17 | 565,000 | 564,919 | |||||
| • | Series 2013-1A A 0.443% 2/15/18 | 5,950,000 | 5,945,258 | ||||
| #•Gracechurch Card Funding | |||||||
| Series 2012-1A A1 144A 0.893% 2/15/17 | 8,640,000 | 8,703,668 | |||||
| #•MASTR Specialized Loan Trust | |||||||
| Series 2005-2 A2 144A 5.006% 7/25/35 | 5,100 | 5,131 | |||||
| MBNA Credit Card Master Note Trust | |||||||
| Series 2004-B1 B1 4.45% 8/15/16 | 2,525,000 | 2,590,286 | |||||
| Mercedes-Benz Auto Lease Trust | |||||||
| Series 2013-A A4 0.72% 12/17/18 | 1,205,000 | 1,198,969 | |||||
| #•Mercedes-Benz Master Owner Trust | |||||||
| Series 2012-BA A 144A 0.463% 11/15/16 | 3,450,000 | 3,436,469 | |||||
| #•Motor Series 2013-1A A1 144A 0.699% 2/15/21 | 5,200,000 | 5,205,200 | |||||
| #•Navistar Financial Dealer Note Master Trust | |||||||
| Series 2011-1 A 144A 1.343% 10/25/16 | 1,390,000 | 1,392,294 | |||||
| #Navistar Financial Owner Trust | |||||||
| Series 2012-A A2 144A 0.85% 3/18/15 | 1,257,645 | 1,258,168 | |||||
| •Nissan Master Owner Trust Receivables | |||||||
| Series 2012-A A 0.663% 5/15/17 | 9,717,000 | 9,702,298 | |||||
| Series 2013-A A 0.493% 2/15/18 | 3,995,000 | 3,973,830 | |||||
| #•Penarth Master Issuer 144A | |||||||
| Series 2011-2A A1 0.943% 11/18/15 | 3,100,000 | 3,107,756 | |||||
| Series 2012-1A A1 0.763% 3/18/14 | 7,100,000 | 7,126,220 | |||||
| #•PFS Financing 144A | |||||||
| Series 2012-AA A 1.393% 2/15/16 | 3,875,000 | 3,889,465 | |||||
| Series 2013-AA A 0.743% 2/15/18 | 4,865,000 | 4,845,384 | |||||
| •Residential Asset Securities | |||||||
| Series 2006-KS3 AI3 0.363% 4/25/36 | 35,201 | 34,805 | |||||
| #•Trafigura Securitisation Finance | |||||||
| Series 2012-1A A 144A 2.593% 10/15/15 | 1,977,000 | 2,001,867 | |||||
| #Trinity Rail Leasing | |||||||
| Series 2012-1A A1 144A 2.27% 1/15/43 | 1,610,048 | 1,629,921 | |||||
| #•Volkswagen Credit Auto Master Trust | |||||||
| Series 2011-1A Note 144A 0.872% 9/20/16 | 5,640,000 | 5,637,417 | |||||
| Total Non-Agency Asset-Backed | |||||||
| Securities (cost $334,655,920) | 333,035,135 | ||||||
| NON-AGENCY COLLATERALIZED | |||||||
| MORTGAGE OBLIGATIONS–0.02% | |||||||
| •American Home Mortgage Investment Trust | |||||||
| Series 2005-2 5A1 5.064% 9/25/35 | 41,031 | 40,718 | |||||
| Bank of America Alternative Loan Trust | |||||||
| Series 2005-3 2A1 5.50% 4/25/20 | 50,010 | 52,301 | |||||
| Series 2005-6 7A1 5.50% 7/25/20 | 38,179 | 39,690 | |||||
| t•Countrywide Home Loan Mortgage | |||||||
| Pass Through Trust | |||||||
| Series 2003-21 A1 2.816% 5/25/33 | 7,754 | 7,720 | |||||
| Series 2003-46 1A1 3.027% 1/19/34 | 7,664 | 7,620 | |||||
| #•GSMPS Mortgage Loan Trust | |||||||
| Series 1998-3 A 144A 7.75% 9/19/27 | 11,040 | 11,661 | |||||
| •MASTR ARM Trust | |||||||
| Series 2003-6 1A2 2.825% 12/25/33 | 7,704 | 7,628 | |||||
| Series 2005-6 7A1 5.211% 6/25/35 | 31,999 | 30,962 | |||||
| tWashington Mutual Mortgage Pass | |||||||
| Through Certificates | |||||||
| Series 2003-S10 A2 5.00% 10/25/18 | 19,144 | 19,730 | |||||
| Total Non-Agency Collateralized | |||||||
| Mortgage Obligations (cost $199,213) | 218,030 | ||||||
| U.S. TREASURY OBLIGATIONS–3.07% | |||||||
| U.S. Treasury Notes | |||||||
| 1.00% 5/31/18 | 400,000 | 393,156 | |||||
| 1.375% 6/30/18 | 230,000 | 229,892 | |||||
| 3.13% 8/31/13 | 36,520,000 | 36,705,518 | |||||
| Total U.S. Treasury Obligations | |||||||
| (cost $37,412,789) | 37,328,566 | ||||||
| ΔSOVEREIGN BOND–0.19% | |||||||
| Sweden–0.19% | |||||||
| #Kommuninvest I Sverige 144A 0.50% 6/15/16 | 2,315,000 | 2,287,817 | |||||
| Total Sovereign Bond | |||||||
| (cost $2,307,523) | 2,287,817 | ||||||
| SHORT-TERM INVESTMENTS–17.30% | |||||||
| ≠Discount Notes–10.60% | |||||||
| Fannie Mae Discount Note 0.06% 9/16/13 | 18,209,369 | 18,208,204 | |||||
| Federal Home Loan Bank | |||||||
| 0.045% 7/24/13 | 35,530,898 | 35,530,685 | |||||
| 0.05% 7/26/13 | 4,342,152 | 4,342,122 | |||||
| 0.055% 8/12/13 | 16,475,964 | 16,475,585 | |||||
| 0.06% 7/2/13 | 14,660,226 | 14,660,226 | |||||
| 0.06% 8/14/13 | 18,130,974 | 18,130,538 | |||||
| 0.06% 8/16/13 | 5,955,382 | 5,955,228 | |||||
| 0.06% 8/21/13 | 7,538,459 | 7,538,248 | |||||
| 0.08% 8/30/13 | 8,087,156 | 8,086,889 | |||||
| 128,927,725 | |||||||
Limited-Term Diversified Income Series-8
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
| Principal | |||||||
| Amount | Value | ||||||
| (U.S. $) | (U.S. $) | ||||||
| SHORT-TERM INVESTMENTS (continued) | |||||||
| Repurchase Agreements–4.13% | |||||||
| Bank of America 0.05%, dated 6/28/13, to be | |||||||
| repurchased on 7/1/13, repurchase price | |||||||
| $17,995,797 (collateralized by U.S. Government | |||||||
| obligations 0.375%-2.25% 5/31/14-11/30/16; | |||||||
| market value $18,355,637) | $ | 17,995,722 | $ | 17,995,722 | |||
| BNP Paribas 0.05%, dated 6/28/13, to be | |||||||
| repurchased on 7/1/13, repurchase price | |||||||
| $8,212,682 (collateralized by U.S. Government | |||||||
| obligations 0.25%-0.375% 6/30/14-2/15/16; | |||||||
| market value $8,377,122) | 8,212,648 | 8,212,648 | |||||
| BNP Paribas 0.005%, dated 6/28/13, to be | |||||||
| repurchased on 7/1/13, repurchase price | |||||||
| $23,994,306 (collateralized by U.S. Government | |||||||
| obligations 0.25% 3/31/14-8/31/14; market | |||||||
| value $24,474,187) | 23,994,296 | 23,994,296 | |||||
| 50,202,666 | |||||||
| ≠U.S. Treasury Obligations – 2.57% | |||||||
| U.S. Treasury Bills | |||||||
| 0.03% 7/25/13 | 13,846,665 | 13,846,526 | |||||
| 0.05% 9/26/13 | 17,364,370 | 17,362,998 | |||||
| 31,209,524 | |||||||
| Total Short-Term Investments | |||||||
| (cost $210,333,886) | 210,339,915 | ||||||
| Total Value of Securities Before Securities | |||||||
| Lending Collateral–113.14% | |||||||
| (cost $1,379,223,424) | 1,375,886,314 | ||||||
| Number of | |||||||
| Shares | |||||||
| **SECURITIES LENDING COLLATERAL–0.01% | |||||||
| Delaware Investments Collateral Fund No. 1 | 82,749 | 82,749 | |||||
| †@ | Mellon GSL Reinvestment Trust II | 47,849 | 0 | ||||
| Total Securities Lending Collateral | |||||||
| (cost $130,598) | 82,749 | ||||||
| ©TOTAL VALUE OF SECURITIES–113.15% (cost $1,379,354,022) | 1,375,969,063 | ||||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.01%) | (130,598 | ) | |||
| z«OTHER LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(13.14%) | (159,807,506 | ) | |||
| NET ASSETS APPLICABLE TO 124,323,439 SHARES OUTSTANDING–100.00% | $ | 1,216,030,959 | |||
| NET ASSET VALUE–DELAWARE VIP LIMITED-TERM DIVERSIFIED INCOME SERIES | |||||
| STANDARD CLASS ($46,000,499 / 4,672,806 Shares) | $9.84 | ||||
| NET ASSET VALUE–DELAWARE VIP LIMITED-TERM DIVERSIFIED INCOME SERIES | |||||
| SERVICE CLASS ($1,170,030,460 / 119,650,633 Shares) | $9.78 | ||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | |||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 1,232,130,379 | |||
| Undistributed net investment income | 349,321 | ||||
| Accumulated net realized loss on investments | (13,530,484 | ) | |||
| Unrealized depreciation of investments and derivatives | (2,918,257 | ) | |||
| Total net assets | $ | 1,216,030,959 | |||
| • | Variable rate security. The rate shown is the rate as of June 30, 2013. Interest rates reset periodically. |
| t | 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. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2013, the aggregate value of Rule 144A securities was $269,839,702, which represented 22.19% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| * | Fully or partially on loan. |
| Δ | Securities have been classified by country of origin. |
| ≠ | The rate shown is the effective yield at the time of purchase. |
| ** | See Note 7 in “Notes to Financial Statements” for additional information on securities lending collateral. |
| @ | Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| † | Non income producing security. |
| © | Includes $127,434 of securities loaned. |
| z | Of this amount, $174,757,691 represents payable for securities purchased as of June 30, 2013. |
| « | Includes foreign currency valued at $1,434,065 with a cost of $1,421,946. |
Limited-Term Diversified Income Series-9
| |
Delaware VIP® Limited-Term Diversified
Income Series
Statement of Net Assets (continued)
The following swap contracts were outstanding at June 30, 2013:1
Swap Contracts
CDS Contracts2
| Annual | Unrealized | ||||||||||||||
| Notional | Protection | Termination | Appreciation | ||||||||||||
| Counterparty | Swap Referenced Obligation | Value | Payments | Date | (Depreciation) | ||||||||||
| Protection Purchased: | |||||||||||||||
| BAML | CDX.NA.HY.20 | USD 13,000,000 | 5.00% | 6/20/18 | $ | 394,376 | |||||||||
| GSC | CDX.NA.HY.20 | 13,000,000 | 5.00% | 6/20/18 | 331,100 | ||||||||||
| JPMC | CDX.NA.HY.20 | 12,500,000 | 5.00% | 6/20/18 | (164,696 | ) | |||||||||
| MSC | CDX.NA.HY.20 | 10,250,000 | 5.00% | 6/20/18 | 196,506 | ||||||||||
| $ | 757,286 | ||||||||||||||
| 1 | See Note 6 in “Notes to Financial Statements.” |
| 2 | A 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 unrealized 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. |
Summary of
Abbreviations:
ARM – Adjustable Rate
Mortgage
BAML – Bank of America Merrill Lynch
CDS – Credit Default
Swap
GNMA – Government National Mortgage
Association
GSC – Goldman Sachs Capital
GSMPS – Goldman Sachs Reperforming
Mortgage Securities
JPMC – JPMorgan Chase Bank
MASTR – Mortgage Asset
Securitization Transactions, Inc.
MSC – Morgan Stanley Capital
REIT – Real
Estate Investment Trust
REMIC – Real Estate Mortgage Investment
Conduit
S.F. – Single Family
TBA – To be announced
yr – Year
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-10
| |
Delaware VIP® Trust
—
Delaware VIP Limited-Term Diversified
Income Series
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Interest | $ | 8,874,072 | |
| Dividends | 125,056 | ||
| Securities lending income | 55 | ||
| 8,999,183 | |||
| EXPENSES: | |||
| Management fees | 2,857,605 | ||
| Distribution expenses – Service Class | 1,705,782 | ||
| Accounting and administration expenses | 230,093 | ||
| Reports and statements to shareholders | 68,288 | ||
| Dividend disbursing and transfer agent fees and expenses | 50,155 | ||
| Legal fees | 41,362 | ||
| Trustees’ fees | 28,951 | ||
| Audit and tax | 25,992 | ||
| Custodian fees | 18,833 | ||
| Pricing fees | 11,032 | ||
| Insurance fees | 10,156 | ||
| Registration fees | 6,572 | ||
| Consulting fees | 5,083 | ||
| Dues and services | 3,511 | ||
| Trustees’ expenses | 2,211 | ||
| 5,065,626 | |||
| Less waived distribution expenses – Service Class | (284,297 | ) | |
| Total operating expenses | 4,781,329 | ||
| NET INVESTMENT INCOME | 4,217,854 | ||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON: | |||
| Net realized gain (loss) on: | |||
| Investments | 2,270,296 | ||
| Futures contracts | (5,217,074 | ) | |
| Foreign currencies | 78,209 | ||
| Foreign currency exchange contracts | (240,695 | ) | |
| Swap contracts | (6,605,346 | ) | |
| Net realized loss | (9,714,610 | ) | |
| Net change in unrealized appreciation (depreciation) of: | |||
| Investments | (23,100,062 | ) | |
| Futures contracts | 96,350 | ||
| Foreign currencies | (251,553 | ) | |
| Foreign currency exchange contracts | (62,157 | ) | |
| Swap contracts | 4,774,077 | ||
| Net change in unrealized appreciation (depreciation) | (18,543,345 | ) | |
| NET REALIZED AND UNREALIZED LOSS | (28,257,955 | ) | |
| NET DECREASE IN NET ASSETS RESULTING | |||
| FROM OPERATIONS | $ | (24,040,101 | ) |
Delaware VIP Trust
—
Delaware VIP Limited-Term Diversified
Income Series
Statements of Changes in Net Assets
| Six Months | ||||||||
| Ended | Year | |||||||
| 6/30/13 | Ended | |||||||
| (Unaudited) | 12/31/12 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| FROM OPERATIONS: | ||||||||
| Net investment income | $ | 4,217,854 | $ | 7,633,657 | ||||
| Net realized gain (loss) | (9,714,610 | ) | 10,955,752 | |||||
| Net change in unrealized | ||||||||
| appreciation (depreciation) | (18,543,345 | ) | 7,605,110 | |||||
| Net increase (decrease) in net assets resulting | ||||||||
| from operations | (24,040,101 | ) | 26,194,519 | |||||
| DIVIDENDS AND DISTRIBUTIONS TO | ||||||||
| SHAREHOLDERS FROM: | ||||||||
| Net investment income: | ||||||||
| Standard Class | (388,661 | ) | (812,024 | ) | ||||
| Service Class | (7,380,038 | ) | (15,128,129 | ) | ||||
| Net realized gain: | ||||||||
| Standard Class | (41,203 | ) | (365,451 | ) | ||||
| Service Class | (924,093 | ) | (7,897,175 | ) | ||||
| (8,733,995 | ) | (24,202,779 | ) | |||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from shares sold: | ||||||||
| Standard Class | 10,224,267 | 18,076,237 | ||||||
| Service Class | 116,002,787 | 226,323,904 | ||||||
| Net asset value of shares issued upon | ||||||||
| reinvestment of dividends and distributions: | ||||||||
| Standard Class | 435,460 | 1,172,488 | ||||||
| Service Class | 8,378,518 | 22,917,280 | ||||||
| 135,041,032 | 268,489,909 | |||||||
| Cost of shares redeemed: | ||||||||
| Standard Class | (14,525,916 | ) | (11,587,487 | ) | ||||
| Service Class | (49,990,254 | ) | (61,915,226 | ) | ||||
| (64,516,170 | ) | (73,502,713 | ) | |||||
| Increase in net assets derived from capital | ||||||||
| share transactions | 70,524,862 | 194,987,196 | ||||||
| NET INCREASE IN NET ASSETS | 37,750,766 | 196,978,936 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period | 1,178,280,193 | 981,301,257 | ||||||
| End of period (including undistributed | ||||||||
| net investment income of $349,321 and | ||||||||
| $3,900,166, respectively) | $ | 1,216,030,959 | $ | 1,178,280,193 | ||||
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-11
| |
Delaware VIP® Trust — Delaware VIP
Limited-Term Diversified Income Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Limited-Term Diversified Income Series Standard Class | |||||||||||||||||||
| Six Months | |||||||||||||||||||
| Ended | |||||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||||
| Net asset value, beginning of period | $10.120 | $10.090 | $10.150 | $10.010 | $9.190 | $9.670 | |||||||||||||
| Income (loss) from investment operations: | |||||||||||||||||||
| Net investment income2 | 0.047 | 0.095 | 0.119 | 0.193 | 0.358 | 0.418 | |||||||||||||
| Net realized and unrealized gain (loss) | (0.242 | ) | 0.183 | 0.171 | 0.248 | 0.809 | (0.451 | ) | |||||||||||
| Total from investment operations | (0.195 | ) | 0.278 | 0.290 | 0.441 | 1.167 | (0.033 | ) | |||||||||||
| Less dividends and distributions from: | |||||||||||||||||||
| Net investment income | (0.077 | ) | (0.171 | ) | (0.193 | ) | (0.240 | ) | (0.347 | ) | (0.447 | ) | |||||||
| Net realized gain | (0.008 | ) | (0.077 | ) | (0.157 | ) | (0.061 | ) | – | – | |||||||||
| Total dividends and distributions | (0.085 | ) | (0.248 | ) | (0.350 | ) | (0.301 | ) | (0.347 | ) | (0.447 | ) | |||||||
| Net asset value, end of period | $9.840 | $10.120 | $10.090 | $10.150 | $10.010 | $9.190 | |||||||||||||
| Total return3 | (1.94% | ) | 2.78% | 2.91% | 4.45% | 12.77% | (0.28% | ) | |||||||||||
| Ratios and supplemental data: | |||||||||||||||||||
| Net assets, end of period (000 omitted) | $46,001 | $51,194 | $43,427 | $39,362 | $30,513 | $25,357 | |||||||||||||
| Ratio of expenses to average net assets | 0.57% | 0.57% | 0.58% | 0.60% | 0.62% | 0.63% | |||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
0.57% | 0.57% | 0.58% | 0.60% | 0.62% | 0.67% | |||||||||||||
| Ratio of net
investment income to
average net assets |
0.95% | 0.93% | 1.17% | 1.90% | 3.69% | 4.46% | |||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
0.95% | 0.93% | 1.17% | 1.90% | 3.69% | 4.42% | |||||||||||||
| Portfolio turnover | 139% | 284% | 432% | 443% | 358% | 339% | |||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-12
| |
Delaware VIP® Limited-Term Diversified
Income Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Limited-Term Diversified Income Series Service Class | |||||||||||||||||||
| Six Months | |||||||||||||||||||
| Ended | |||||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||||
| Net asset value, beginning of period | $10.050 | $10.020 | $10.090 | $9.940 | $9.130 | $9.610 | |||||||||||||
| Income (loss) from investment operations: | |||||||||||||||||||
| Net investment income2 | 0.035 | 0.069 | 0.093 | 0.167 | 0.334 | 0.395 | |||||||||||||
| Net realized and unrealized gain (loss) | (0.233 | ) | 0.182 | 0.161 | 0.257 | 0.798 | (0.452 | ) | |||||||||||
| Total from investment operations | (0.198 | ) | 0.251 | 0.254 | 0.424 | 1.132 | (0.057 | ) | |||||||||||
| Less dividends and distributions from: | |||||||||||||||||||
| Net investment income | (0.064 | ) | (0.144 | ) | (0.167 | ) | (0.213 | ) | (0.322 | ) | (0.423 | ) | |||||||
| Net realized gain | (0.008 | ) | (0.077 | ) | (0.157 | ) | (0.061 | ) | – | – | |||||||||
| Total dividends and distributions | (0.072 | ) | (0.221 | ) | (0.324 | ) | (0.274 | ) | (0.322 | ) | (0.423 | ) | |||||||
| Net asset value, end of period | $9.780 | $10.050 | $10.020 | $10.090 | $9.940 | $9.130 | |||||||||||||
| Total return3 | (1.98% | ) | 2.53% | 2.56% | 4.31% | 12.57% | (0.64% | ) | |||||||||||
| Ratios and supplemental data: | |||||||||||||||||||
| Net assets, end of period (000 omitted) | $1,170,030 | $1,127,086 | $937,874 | $675,648 | $371,429 | $84,412 | |||||||||||||
| Ratio of expenses to average net assets | 0.82% | 0.82% | 0.83% | 0.85% | 0.87% | 0.88% | |||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
0.87% | 0.87% | 0.88% | 0.90% | 0.92% | 0.97% | |||||||||||||
| Ratio of net
investment income to
average net assets |
0.70% | 0.68% | 0.92% | 1.65% | 3.44% | 4.21% | |||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
0.65% | 0.63% | 0.87% | 1.60% | 3.39% | 4.12% | |||||||||||||
| Portfolio turnover | 139% | 284% | 432% | 443% | 358% | 339% | |||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-13
| |
Delaware VIP® Trust — Delaware VIP
Limited-Term Diversified Income Series
Notes to Financial
Statements
June 30, 2013
(Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Limited-Term Diversified Income Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek maximum total return, consistent with reasonable risk.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. Debt securities and credit default swap (CDS) contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. 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. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income and common expenses are allocated to the classes of the Series on the basis of “settled shares” of each class in relation to the net assets of the Series. Realized and unrealized gain (loss) on investments is allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
To Be Announced Trades (TBA)—The Series may contract to purchase securities for a fixed price at a transaction date beyond the customary settlement period (e.g., “when issued,” “delayed delivery,” “forward commitment,” or “TBA transactions”) consistent with the Series’ ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Series to purchase securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Series on such purchases until the securities are delivered; however, the market value may change prior to delivery.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in the foreign exchange rates from that which is due to changes in market prices of debt securities. The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Limited-Term Diversified Income Series-14
| |
Delaware VIP® Limited-Term Diversified
Income Series
Notes to Financial Statements (continued)
1. Significant Accounting Policies
(continued)
Use of
Estimates—The preparation of financial
statements in conformity with U.S. GAAP requires management to make estimates
and assumptions that affect the fair value of investments, the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are amortized to interest income over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. The Series declares dividends daily from net investment income and pays such dividends monthly and declares and pays distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the
terms of its investment management agreement, the Series pays Delaware
Management Company (DMC), a series of Delaware Management Business Trust and the
investment manager, an annual fee which is calculated daily at the rate of 0.50%
on the first $500 million of average daily net assets of the Series, 0.475% on
the next $500 million, 0.45% on the next $1.5 billion, and 0.425% on average
daily net assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $28,752 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $480,381 | $12,338 | $239,799 | $15,213 |
____________________
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $23,277 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
Limited-Term Diversified Income Series-15
| |
Delaware VIP® Limited-Term Diversified
Income Series
Notes to Financial Statements (continued)
3. Investments
For the six months ended December 30,
2013, the Series made purchases and sales of investment securities other than
short-term investments as follows:
| Purchases other than U.S. government securities | $ | 1,515,628,892 |
| Purchases of U.S. government securities | 88,500,984 | |
| Sales other than U.S. government securities | 1,463,180,729 | |
| Sales of U.S. government securities | 142,286,030 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Depreciation | ||||
| $1,380,265,589 | $12,252,922 | $(16,549,448) | $(4,296,526) |
U.S. GAAP defines fair value as the price that the Series 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 developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – | inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
| Agency, Asset-Backed and Mortgage-Backed Securities | $ | – | $ | 581,305,739 | $ | – | $ | 581,305,739 | ||||||||||||
| Corporate Debt | – | 543,043,372 | – | 543,043,372 | ||||||||||||||||
| Foreign Debt | – | 2,287,817 | – | 2,287,817 | ||||||||||||||||
| Municipal Bonds | – | 1,580,905 | – | 1,580,905 | ||||||||||||||||
| Short-Term Investments | – | 210,339,915 | – | 210,339,915 | ||||||||||||||||
| U.S. Treasury Obligations | – | 37,328,566 | – | 37,328,566 | ||||||||||||||||
| Securities Lending Collateral | – | 82,749 | – | 82,749 | ||||||||||||||||
| Total | $ | – | $ | 1,375,969,063 | $ | – | $ | 1,375,969,063 | ||||||||||||
| Swap Contracts | $ | – | $ | 757,286 | $ | – | $ | 757,286 | ||||||||||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
Limited-Term Diversified Income Series-16
| |
Delaware VIP® Limited-Term Diversified
Income Series
Notes to Financial Statements (continued)
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | |||||||||
| Ended | Ended | |||||||||
| 6/30/13 | 12/31/12 | |||||||||
| Shares sold: | ||||||||||
| Standard Class | 1,016,873 | 1,782,404 | ||||||||
| Service Class | 11,645,998 | 22,457,572 | ||||||||
| Shares issued upon reinvestment of dividends and distributions: | ||||||||||
| Standard Class | 43,420 | 115,711 | ||||||||
| Service Class | 840,981 | 2,276,542 | ||||||||
| 13,547,272 | 26,632,229 | |||||||||
| Shares redeemed: | ||||||||||
| Standard Class | (1,448,352 | ) | (1,141,836 | ) | ||||||
| Service Class | (5,010,538 | ) | (6,142,348 | ) | ||||||
| (6,458,890 | ) | (7,284,184 | ) | |||||||
| Net increase | 7,088,382 | 19,348,045 | ||||||||
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds (Participants), is a
participant in a $125,000,000 revolving line of credit to be used for temporary
or emergency purposes as an additional source of liquidity to fund redemptions
of investor shares. Under the agreement, the Participants are charged an annual
commitment fee, which is allocated across the Participants on the basis of each
Participant’s allocation of the entire facility. The Participants are permitted
to borrow up to a maximum of one third of their net assets under the agreement.
Each Participant is individually, and not jointly, liable for its particular
advances, if any, under the line of credit. The line of credit under the
agreement expires on Nov. 12, 2013. The Series had no amounts outstanding as of
June 30, 2013 or at any time during the period then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to
understand: 1) how and why an entity uses derivatives; 2) how they are accounted
for; and 3) how they affect an entity’s results of operations and financial
position.
Foreign Currency Exchange
Contracts
The Series may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Series may enter
into these contracts to fix the U.S. dollar value of a security that it has
agreed to buy or sell for the period between the date the trade was entered into
and the date the security is delivered and paid for. The Series may also use
these contracts to hedge the U.S. dollar value of securities it already owns
that are denominated in foreign currencies. The change in value is recorded as
an unrealized gain or loss. When the contract is closed, a realized gain or loss
is recorded equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty. No foreign currency contracts were outstanding at June 30, 2013.
Futures
Contracts
A futures contract is an
agreement in which the writer (or seller) of the contract agrees to deliver to
the buyer an amount of cash or securities equal to a specific dollar amount
times the difference between the value of a specific security or index at the
close of the last trading day of the contract and the price at which the
agreement is made. The Series may use futures in the normal course of pursuing
its investment objective. The Series may invest in financial futures contracts
to hedge its existing portfolio securities against fluctuations in fair value
caused by changes in prevailing market interest rates. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government securities
to a broker, equal to the minimum “initial margin” requirements of the exchange
on which the contract is traded. Subsequent payments are received from the
broker or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as “variation
margin” and are recorded daily by the Series as unrealized gains or losses until
the contracts are closed. When the contracts are closed, the Series records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Risks of
entering into futures contracts include potential imperfect correlation between
the financial futures contracts and the underlying securities and the
possibility of an illiquid secondary market for these instruments. When
investing in futures, there is reduced counterparty credit risk to the Series
because futures are exchange-traded and the exchange’s clearinghouse, as
counterparty to all exchange-traded futures, guarantees against default. No
futures contracts were outstanding at June 30, 2013.
Limited-Term Diversified Income Series-17
| |
Delaware VIP® Limited-Term Diversified
Income Series
Notes to Financial Statements (continued)
6. Derivatives (continued)
Swap
Contracts
The Series may enter into
CDS contracts in the normal course of pursuing its investment objective. The
Series may enter into CDS contracts in order to hedge against a credit event, to
enhance total return or to gain exposure to certain securities or
markets.
Credit Default Swaps. A 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). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Series in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended June 30, 2013, the Series entered into CDS contracts as a purchaser of protection. Periodic payments on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment, 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 for the six months ended June 30, 2013, the Series did not enter into any CDS contracts as a seller of protection. For trades prior to June 10, 2013, the Series had posted $1,020,000 in cash collateral for certain open derivatives. Initial margin and variation margin is posted to central counterparties for CDS basket trades submitted on or after June 10, 2013, as determined by the applicable central counterparty. The Series received securities collateral of $xx for certain open derivatives.
CDS contracts may involve greater risks than if the Series had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk and credit risk. The Series’ maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty for trades entered prior to June 10, 2013, and (2) trading these instruments through a central counterparty for trades entered on or after June 10, 2013.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event the Series terminated its position in the agreement. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the Statement of Net Assets.
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2013.
| Long | Short | |||||
| Derivative | Derivative | |||||
| Volume | Volume | |||||
| Forward foreign currency exchange contracts (Average cost) | USD | 1,269,054 | USD | 888,496 | ||
| Futures contracts (Average notional value) | 1,371,113 | 34,408,770 | ||||
| Swap contracts (Average notional value)* | 14,177,540 | – | ||||
| EUR | 1,999,879 | – | ||||
| *Long represents buying protection and short represents selling protection. |
In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the statement of assets and liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Series adopted the disclosure provisions on offsetting during the current reporting period.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Series and a counterparty that governs over-the-counter (“OTC”) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Limited-Term Diversified Income Series-18
| |
Delaware VIP® Limited-Term Diversified
Income Series
Notes to Financial Statements (continued)
6. Derivatives
(continued)
At June 30, 2013, the
Series had the following assets and liabilities subject to offsetting
provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts
Not Offset in the Statement of Net Assets |
||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | |||||||||||||||||||||||
| Assets Presented in | Available for Offset | |||||||||||||||||||||||
| the Statement of | in the Statement of | Financial | Cash Collateral | |||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Net Amount1 | ||||||||||||||||||||
| Repurchase Agreements | $50,202,666 | $– | $ | (50,202,666 | ) | $ | – | $ | – | |||||||||||||||
| Credit Default Swaps | 921,982 | – | – | (887,606 | ) | 34,376 | ||||||||||||||||||
| Securities on Loan | 127,434 | – | – | (127,434 | ) | – | ||||||||||||||||||
| Total | $51,252,082 | $– | $ | (50,202,666 | ) | $ | (1,015,040 | ) | $ | 34,376 | ||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
|
Gross Amounts Not Offset in the Statement of Net Assets |
|||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||||
| Liabilities Presented | Available for Offset | ||||||||||||||||||||||
| the Statement of | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Net Amount2 | |||||||||||||||||||
| Credit Default Swaps | $(164,696 | ) | $– | $ | – | $– | $(164,696 | ) | |||||||||||||||
| Securities
Lending Collateral |
(130,598 | ) | – | 82,749 | – | (47,849 | ) | ||||||||||||||||
| Total | $(295,294 | ) | $– | $ | 82,749 | $– | $(212,545 | ) | |||||||||||||||
| 1Net amount represents the net amount receivable from the counterparty in the event of default. |
| 2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities
Lending
The Series, along with other
funds in the Delaware Investments® Family of Funds, may lend its securities
pursuant to a security lending agreement (Lending Agreement) with The Bank of
New York Mellon (BNY Mellon). At the time a security is loaned, the borrower
must post collateral equal to the required percentage of the market value of the
loaned security, including any accrued interest. The required percentage is: (i)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. dollars; and (ii) 105% with respect to foreign securities.
With respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. In October 2008, BNY Mellon transferred certain distressed securities from the Series’ previous collateral investment pool into the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
Limited-Term Diversified Income Series-19
| |
Delaware VIP® Limited-Term Diversified
Income Series
Notes to Financial Statements (continued)
7. Securities Lending
(continued)
The Collective Trust used
for the investment of cash collateral received from borrowers of securities
seeks to maintain a net asset value per unit of $1.00, but there can be no
assurance that it will always be able to do so. The Series may incur investment
losses as a result of investing securities lending collateral in the Collective
Trust or another collateral investment pool. This could occur if an investment
in a collateral investment pool defaulted or if it were necessary to liquidate
assets in the collateral investment pool to meet returns on outstanding security
loans at a time when the collateral investment pool’s net asset value per unit
was less than $1.00. Under those circumstances, the Series may not receive an
amount from the collateral investment pool that is equal in amount to the
collateral the Series would be required to return to the borrower of the
securities and the Series would be required to make up for this
shortfall.
At June 30, 2013, the value of securities on loan was $127,434, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $82,749. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
The Series invests in fixed
income securities whose value is derived from an underlying pool of mortgages or
consumer loans. The value of these securities is sensitive to changes in
economic conditions, including delinquencies and/or defaults, and may be
adversely affected by shifts in the market’s perception of the issuers and
changes in interest rates. Investors receive principal and interest payments as
the underlying mortgages and consumer loans are paid back. Some of these
securities are collateralized mortgage obligations (CMOs). CMOs are debt
securities issued by U.S. government agencies or by financial institutions and
other mortgage lenders, which are collateralized by a pool of mortgages held
under an indenture. Prepayment of mortgages may shorten the stated maturity of
the obligations and can result in a loss of premium, if any has been paid.
Certain of these securities may be stripped (securities which provide only the
principal or interest feature of the underlying security). The yield to maturity
on an interest-only CMO is extremely sensitive not only to changes in prevailing
interest rates, but also to the rate of principal payments (including
prepayments) on the related underlying mortgage assets. A rapid rate of
principal payments may have a material adverse affect on the Series’ yield to
maturity. If the underlying mortgage assets experience greater than anticipated
prepayments of principal, the Series may fail to recoup its initial investment
in these securities even if the securities are rated in the highest rating
categories
The Series invests in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s and Baa3 by Moody’s Investor Services, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series invests in certain obligations held by the Series that may have liquidity protection to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies or letter of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 15% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the statement of net assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial
statements.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
| SA-VIPLTD [6/13] DG3 19054 (8/13) | (11062) | Limited-Term Diversified Income Series-20 |
| Delaware VIP® Trust |
| Delaware VIP REIT Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 | |
| > Security type/sector allocation and top 10 equity holdings | 2 | |
| > Statement of net assets | 3 | |
| > Statement of operations | 5 | |
| > Statements of changes in net assets | 5 | |
| > Financial highlights | 6 | |
| > Notes to financial statements | 8 |
Investments in Delaware VIP® REIT Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP REIT Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP REIT Series
Disclosure of Series Expenses
For the Six-Month Period from January 1, 2013 to June 30,
2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | ||||||||||||||||||||
| Beginning | Ending | Paid During | ||||||||||||||||||
| Account | Account | Annualized | Period | |||||||||||||||||
| Value | Value | Expense | 1/1/13 to | |||||||||||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | |||||||||||||||||
| Actual Series Return† | ||||||||||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,055.90 | 0.84 | % | $ | 4.28 | ||||||||||||
| Service Class | 1,000.00 | 1,054.50 | 1.09 | % | 5.55 | |||||||||||||||
| Hypothetical 5% Return (5% return before expenses) | ||||||||||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,020.63 | 0.84 | % | $ | 4.21 | ||||||||||||
| Service Class | 1,000.00 | 1,019.39 | 1.09 | % | 5.46 | |||||||||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
REIT Series-1
| |
Delaware VIP® Trust —
Delaware VIP REIT Series
Security Type/Sector Allocation and Top 10 Equity
Holdings
As of June 30, 2013
(Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | |||
| Security Type/Sector | of Net Assets | ||
| Common Stock | 99.87 | % | |
| Diversified REITs | 6.51 | % | |
| Healthcare REITs | 11.29 | % | |
| Hotel REITs | 5.91 | % | |
| Industrial REITs | 7.41 | % | |
| Mall REITs | 17.70 | % | |
| Manufactured Housing REIT | 1.00 | % | |
| Multifamily REITs | 17.43 | % | |
| Office REITs | 10.06 | % | |
| Office/Industrial REITs | 3.65 | % | |
| Self-Storage REITs | 6.14 | % | |
| Shopping Center REITs | 9.16 | % | |
| Single Tenant REIT | 1.55 | % | |
| Specialty REITs | 2.06 | % | |
| Short-Term Investments | 0.89 | % | |
| Securities Lending Collateral | 0.03 | % | |
| Total Value of Securities | 100.79 | % | |
| Obligation to Return Securities Lending Collateral | (0.24 | %) | |
| Other Liabilities Net of Receivables and Other Assets | (0.55 | %) | |
| Total Net Assets | 100.00 | % | |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Percentage | |||
| Top 10 Equity Holdings | of Net Assets | ||
| Simon Property Group | 12.03 | % | |
| Equity Residential | 5.21 | % | |
| Public Storage | 4.47 | % | |
| ProLogis | 4.23 | % | |
| Vornado Realty Trust | 4.13 | % | |
| AvalonBay Communities | 3.99 | % | |
| Boston Properties | 3.75 | % | |
| Ventas | 3.55 | % | |
| Host Hotels & Resorts | 2.92 | % | |
| Camden Property Trust | 2.73 | % | |
REIT Series-2
| |
Delaware VIP® Trust —
Delaware VIP REIT Series
Statement of Net Assets
June 30, 2013 (Unaudited)
| Number of | |||||
| Shares | Value | ||||
| COMMON STOCK–99.87% | |||||
| Diversified REITs–6.51% | |||||
| Lexington Realty Trust | 537,513 | $ | 6,278,152 | ||
| Vornado Realty Trust | 217,068 | 17,984,084 | |||
| Washington Real Estate Investment Trust | 152,950 | 4,115,885 | |||
| 28,378,121 | |||||
| Healthcare REITs–11.29% | |||||
| HCP | 175,610 | 7,979,718 | |||
| Health Care REIT | 113,420 | 7,602,543 | |||
| Healthcare Realty Trust | 273,275 | 6,968,513 | |||
| Healthcare Trust of America Class A | 215,150 | 2,416,135 | |||
| LTC Properties | 113,415 | 4,428,856 | |||
| Senior Housing Properties Trust | 167,250 | 4,336,793 | |||
| Ventas | 222,699 | 15,468,673 | |||
| 49,201,231 | |||||
| Hotel REITs–5.91% | |||||
| Host Hotels & Resorts | 754,308 | 12,725,176 | |||
| RLJ Lodging Trust | 198,200 | 4,457,518 | |||
| †Strategic Hotels & Resorts | 415,589 | 3,682,119 | |||
| Summit Hotel Properties | 228,675 | 2,160,979 | |||
| †Sunstone Hotel Investors | 225,817 | 2,727,869 | |||
| 25,753,661 | |||||
| Industrial REITs–7.41% | |||||
| DCT Industrial Trust | 635,658 | 4,544,955 | |||
| First Industrial Realty Trust | 343,365 | 5,208,847 | |||
| First Potomac Realty Trust | 315,505 | 4,120,495 | |||
| ProLogis | 488,602 | 18,430,067 | |||
| 32,304,364 | |||||
| Mall REITs–17.70% | |||||
| CBL & Associates Properties | 269,887 | 5,780,980 | |||
| General Growth Properties | 561,082 | 11,148,699 | |||
| Macerich | 127,135 | 7,751,421 | |||
| Simon Property Group | 331,978 | 52,425,966 | |||
| 77,107,066 | |||||
| Manufactured Housing REIT–1.00% | |||||
| Equity Lifestyle Properties | 55,239 | 4,341,233 | |||
| 4,341,233 | |||||
| Multifamily REITs–17.43% | |||||
| Apartment Investment & Management | 260,675 | 7,830,677 | |||
| AvalonBay Communities | 128,714 | 17,364,806 | |||
| BRE Properties | 81,554 | 4,079,331 | |||
| Camden Property Trust | 171,771 | 11,876,247 | |||
| Colonial Properties Trust | 183,175 | 4,418,181 | |||
| Equity Residential | 390,800 | 22,689,843 | |||
| Essex Property Trust | 48,395 | 7,690,933 | |||
| 75,950,018 | |||||
| Office REITs–10.06% | |||||
| Boston Properties | 155,015 | 16,349,432 | |||
| Brandywine Realty Trust | 181,525 | 2,454,218 | |||
| Corporate Office Properties Trust | 293,680 | 7,488,840 | |||
| Kilroy Realty | 128,515 | 6,812,580 | |||
| SL Green Realty | 121,563 | 10,720,641 | |||
| 43,825,711 | |||||
| Office/Industrial REITs–3.65% | |||||
| Duke Realty | 141,550 | 2,206,765 | |||
| DuPont Fabros Technology | 69,100 | 1,668,765 | |||
| Liberty Property Trust | 235,380 | 8,699,645 | |||
| PS Business Parks | 46,040 | 3,322,707 | |||
| 15,897,882 | |||||
| Self-Storage REITs–6.14% | |||||
| Extra Space Storage | 173,061 | 7,256,448 | |||
| Public Storage | 127,007 | 19,473,983 | |||
| 26,730,431 | |||||
| Shopping Center REITs–9.16% | |||||
| DDR | 470,121 | 7,827,515 | |||
| Federal Realty Investment Trust | 55,639 | 5,768,652 | |||
| Kimco Realty | 460,519 | 9,868,922 | |||
| Kite Realty Group Trust | 178,889 | 1,078,701 | |||
| Ramco-Gershenson Properties Trust | 230,525 | 3,580,053 | |||
| Regency Centers | 147,914 | 7,515,510 | |||
| Tanger Factory Outlet Centers | 126,975 | 4,248,584 | |||
| 39,887,937 | |||||
| Single Tenant REIT–1.55% | |||||
| *National Retail Properties | 196,472 | 6,758,637 | |||
| 6,758,637 | |||||
| Specialty REITs–2.06% | |||||
| American Tower | 81,250 | 5,945,063 | |||
| EPR Properties | 59,850 | 3,008,660 | |||
| 8,953,723 | |||||
| Total Common Stock (cost $395,008,225) | 435,090,015 | ||||
| Principal | |||||
| Amount | |||||
| SHORT-TERM INVESTMENTS–0.89% | |||||
| ≠Discount Notes–0.86% | |||||
| Fannie Mae 0.06% 9/16/13 | $359,580 | 359,557 | |||
| Federal Home Loan Bank | |||||
| 0.045% 7/24/13 | 525,545 | 525,542 | |||
| 0.05% 7/26/13 | 159,439 | 159,438 | |||
| 0.055% 8/12/13 | 276,067 | 276,061 | |||
| 0.06% 7/2/13 | 1,113,461 | 1,113,461 | |||
| 0.06% 8/14/13 | 665,749 | 665,733 | |||
| 0.06% 8/16/13 | 218,675 | 218,669 | |||
| 0.06% 8/21/13 | 276,804 | 276,796 | |||
| 0.08% 8/30/13 | 135,506 | 135,502 | |||
| 3,730,759 | |||||
| Repurchase Agreements–0.03% | |||||
| Bank of America 0.05%, dated 6/28/13, to be | |||||
| repurchased on 7/1/13, repurchase price $50,912 | |||||
| (collateralized by U.S. Government obligations | |||||
| 0.375%-2.25% 5/31/14-11/30/16; market | |||||
| value $51,931) | 50,912 | 50,912 | |||
| BNP Paribas 0.05%, dated 6/28/13, to be repurchased | |||||
| on 7/1/13, repurchase price $23,325 (collateralized | |||||
| by U.S. Government obligations 0.25%-0.375% | |||||
| 6/30/14-2/15/16; market value $23,700) | 23,235 | 23,235 | |||
| BNP Paribas 0.005%, dated 6/28/13, to be repurchased | |||||
| on 7/1/13, repurchase price $67,883 (collateralized | |||||
| by U.S. Government obligations 0.25% 3/31/14- | |||||
| 8/31/14; market value $69,241) | 67,883 | 67,883 | |||
| 142,030 | |||||
REIT Series-3
| |
Delaware VIP® REIT
Series
Statement of Net Assets (continued)
| Principal | ||||||
| Amount | Value | |||||
| SHORT-TERM INVESTMENTS (continued) | ||||||
| ≠U.S. Treasury Obligation–0.00% | ||||||
| U. S. Treasury Bill 0.045% 9/26/13 | $ | 16,971 | $ | 16,969 | ||
| 16,969 | ||||||
| Total Short-Term Investments | ||||||
| (cost $3,889,631) | 3,889,758 | |||||
| Total Value of Securities Before Securities Lending | ||||||
| Collateral–100.76%(cost $398,897,856) | 438,979,773 | |||||
| Number of | ||||||
| Shares | ||||||
| **SECURITIES LENDING COLLATERAL–0.03% | ||||||
| Investment Companies | ||||||
| Delaware Investments Collateral Fund No.1 | 105,173 | 105,173 | ||||
| @†Mellon GSL Reinvestment Trust II | 949,418 | 0 | ||||
| Total Securities Lending Collateral | ||||||
| (cost $1,054,591) | 105,173 | |||||
| ©TOTAL VALUE OF SECURITIES–100.79% (cost $399,952,447) | $ | 439,084,946 | |||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.24%) | (1,054,591 | ) | |||
| OTHER LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.55%) | (2,371,830 | ) | |||
| NET ASSETS APPLICABLE TO 34,723,685 SHARES OUTSTANDING–100.00% | $ | 435,658,525 | |||
| NET ASSET VALUE–DELAWARE VIP REIT SERIES | |||||
| STANDARD CLASS ($219,044,654 / 17,455,739 Shares) | $12.55 | ||||
| NET ASSET VALUE–DELAWARE VIP REIT SERIES | |||||
| SERVICE CLASS ($216,613,871 / 17,267,946 Shares) | $12.54 | ||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | |||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 462,584,496 | |||
| Undistributed net investment income | 4,619,177 | ||||
| Accumulated net realized loss on investments | (70,677,647 | ) | |||
| Net unrealized appreciation of investments | 39,132,499 | ||||
| Total net assets | $ | 435,658,525 | |||
|
† |
Non income producing security. |
| * |
Fully or partially on loan. |
|
** |
See Note 7 in “Notes to financial statements” for additional information on securities lending collateral. |
|
© |
Includes $1,022,196 of securities loaned. |
| ≠ |
The rate shown is the effective yield at the time of purchase. |
|
@ |
Illiquid security. At June 30, 2013, the aggregate amount of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
REIT Series-4
| |
Delaware VIP® Trust
—
Delaware VIP REIT Series
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | ||||
| Dividends | $ | 6,710,484 | ||
| Securities lending income | 4,370 | |||
| Interest | 4,105 | |||
| 6,718,959 | ||||
| EXPENSES: | ||||
| Management fees | 1,664,856 | |||
| Distribution expenses – Service Class | 330,299 | |||
| Accounting and administration expenses | 86,027 | |||
| Reports and statements to shareholders | 42,509 | |||
| Dividend disbursing and transfer agent fees and expenses | 18,796 | |||
| Legal fees | 15,410 | |||
| Audit and tax | 11,325 | |||
| Trustees’ fees | 10,939 | |||
| Custodian fees | 4,429 | |||
| Insurance fees | 3,710 | |||
| Consulting fees | 1,857 | |||
| Dues and services | 1,585 | |||
| Trustees’ expenses | 832 | |||
| Registration fees | 321 | |||
| Pricing fees | 264 | |||
| 2,193,159 | ||||
| Less waiver of distribution expenses – Service Class | (55,050 | ) | ||
| Total operating expenses | 2,138,109 | |||
| NET INVESTMENT INCOME | 4,580,850 | |||
| NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
| Net realized gain on investments | 19,168,930 | |||
| Net change in unrealized appreciation (depreciation) of investments | (560,976 | ) | ||
| NET REALIZED AND UNREALIZED GAIN | 18,607,954 | |||
| NET INCREASE IN NET ASSETS RESULTING | ||||
| FROM OPERATIONS | $ | 23,188,804 | ||
Delaware VIP Trust —
Delaware VIP
REIT Series
Statements of Changes in Net Assets
| Six Months | ||||||||
| Ended | Year | |||||||
| 6/30/13 | Ended | |||||||
| (Unaudited) | 12/31/12 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| FROM OPERATIONS: | ||||||||
| Net investment income | $ | 4,580,850 | $ | 6,125,111 | ||||
| Net realized gain | 19,168,930 | 51,815,756 | ||||||
| Net change in unrealized | ||||||||
| appreciation (depreciation) | (560,976 | ) | 2,377,039 | |||||
| Net increase in net assets resulting | ||||||||
| from operations | 23,188,804 | 60,317,906 | ||||||
| DIVIDENDS AND DISTRIBUTIONS TO | ||||||||
| SHAREHOLDERS FROM: | ||||||||
| Net investment income: | ||||||||
| Standard Class | (3,394,927 | ) | (3,110,535 | ) | ||||
| Service Class | (2,848,582 | ) | (2,486,567 | ) | ||||
| (6,243,509 | ) | (5,597,102 | ) | |||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from shares sold: | ||||||||
| Standard Class | 7,285,411 | 20,191,345 | ||||||
| Service Class | 9,339,891 | 31,452,330 | ||||||
| Net asset value of shares issued upon | ||||||||
| reinvestment of dividends and distributions: | ||||||||
| Standard Class | 3,394,927 | 3,110,535 | ||||||
| Service Class | 2,848,582 | 2,486,567 | ||||||
| 22,868,811 | 57,240,777 | |||||||
| Cost of shares redeemed: | ||||||||
| Standard Class | (10,700,244 | ) | (28,314,564 | ) | ||||
| Service Class | (13,096,352 | ) | (27,582,057 | ) | ||||
| (23,796,596 | ) | (55,896,621 | ) | |||||
| Increase (decrease) in net assets derived from | ||||||||
| capital share transactions | (927,785 | ) | 1,344,156 | |||||
| NET INCREASE IN NET ASSETS | 16,017,510 | 56,064,960 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period | 419,641,015 | 363,576,055 | ||||||
| End of period (including undistributed net | ||||||||
| investment income of $4,619,177 | ||||||||
| and $6,281,836, respectively) | $ | 435,658,525 | $ | 419,641,015 | ||||
See accompanying notes, which are an integral part of the financial statements.
REIT Series-5
| |
Delaware VIP® Trust —
Delaware VIP REIT Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP REIT Series Standard Class | |||||||||||||||||||
| Six Months | |||||||||||||||||||
| Ended | |||||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||||
| Net asset value, beginning of period | $12.060 | $10.470 | $9.580 | $7.750 | $6.640 | $15.830 | |||||||||||||
| Income (loss) from investment operations: | |||||||||||||||||||
| Net investment income2 | 0.140 | 0.189 | 0.165 | 0.189 | 0.189 | 0.244 | |||||||||||||
| Net realized and unrealized gain (loss) | 0.545 | 1.576 | 0.883 | 1.880 | 1.211 | (3.678 | ) | ||||||||||||
| Total from investment operations | 0.685 | 1.765 | 1.048 | 2.069 | 1.400 | (3.434 | ) | ||||||||||||
| Less dividends and distributions from: | |||||||||||||||||||
| Net investment income | (0.195 | ) | (0.175 | ) | (0.158 | ) | (0.239 | ) | (0.290 | ) | (0.348 | ) | |||||||
| Net realized gain | – | – | – | – | – | (5.408 | ) | ||||||||||||
| Total dividends and distributions | (0.195 | ) | (0.175 | ) | (0.158 | ) | (0.239 | ) | (0.290 | ) | (5.756 | ) | |||||||
| Net asset value, end of period | $12.550 | $12.060 | $10.470 | $9.580 | $7.750 | $6.640 | |||||||||||||
| Total return3 | 5.59% | 16.94% | 10.96% | 26.98% | 23.31% | (35.06% | ) | ||||||||||||
| Ratios and supplemental data: | |||||||||||||||||||
| Net assets, end of period (000 omitted) | $219,045 | $210,618 | $187,545 | $187,293 | $148,975 | $136,561 | |||||||||||||
| Ratio of expenses to average net assets | 0.84% | 0.84% | 0.85% | 0.87% | 0.89% | 0.87% | |||||||||||||
| Ratio of net investment income to
average net assets |
2.19% | 1.64% | 1.64% | 2.19% | 3.13% | 2.37% | |||||||||||||
| Portfolio turnover | 39% | 91% | 108% | 181% | 183% | 106% | |||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
REIT Series-6
| |
Delaware VIP® REIT Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP REIT Series Service Class | |||||||||||||||||||
| Six Months | |||||||||||||||||||
| Ended | |||||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||||
| Net asset value, beginning of period | $12.040 | $10.460 | $9.580 | $7.760 | $6.620 | $15.790 | |||||||||||||
| Income (loss) from investment operations: | |||||||||||||||||||
| Net investment income2 | 0.124 | 0.160 | 0.140 | 0.167 | 0.174 | 0.218 | |||||||||||||
| Net realized and unrealized gain (loss) | 0.542 | 1.570 | 0.876 | 1.877 | 1.230 | (3.680 | ) | ||||||||||||
| Total from investment operations | 0.666 | 1.730 | 1.016 | 2.044 | 1.404 | (3.462 | ) | ||||||||||||
| Less dividends and distributions from: | |||||||||||||||||||
| Net investment income | (0.166 | ) | (0.150 | ) | (0.136 | ) | (0.224 | ) | (0.264 | ) | (0.300 | ) | |||||||
| Net realized gain | – | – | – | – | – | (5.408 | ) | ||||||||||||
| Total dividends and distributions | (0.166 | ) | (0.150 | ) | (0.136 | ) | (0.224 | ) | (0.264 | ) | (5.708 | ) | |||||||
| Net asset value, end of period | $12.540 | $12.040 | $10.460 | $9.580 | $7.760 | $6.620 | |||||||||||||
| Total return3 | 5.45% | 16.61% | 10.62% | 26.61% | 23.24% | (35.28% | ) | ||||||||||||
| Ratios and supplemental data: | |||||||||||||||||||
| Net assets, end of period (000 omitted) | $216,614 | $209,023 | $176,031 | $156,550 | $124,673 | $126,072 | |||||||||||||
| Ratio of expenses to average net assets | 1.09% | 1.09% | 1.10% | 1.12% | 1.14% | 1.12% | |||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.14% | 1.14% | 1.15% | 1.17% | 1.19% | 1.17% | |||||||||||||
| Ratio of net
investment income to average net assets |
1.94% | 1.39% | 1.39% | 1.94% | 2.88% | 2.12% | |||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
1.89% | 1.34% | 1.34% | 1.89% | 2.83% | 2.07% | |||||||||||||
| Portfolio turnover | 39% | 91% | 108% | 181% | 183% | 106% | |||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
REIT Series-7
| |
Delaware VIP® Trust —
Delaware VIP REIT Series
Notes to Financial Statements
June 30, 2013 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP REIT Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objectives of the Series are to seek maximum long-term total return, with capital appreciation as a secondary objective.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates during the six months ended June 30, 2013.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
REIT Series-8
| |
Delaware VIP® REIT
Series
Notes to Financial Statements
(continued)
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the
terms of its investment management agreement, the Series pays Delaware
Management Company (DMC), a series of Delaware Management Business Trust and the
investment manager, an annual fee which is calculated daily at the rate of 0.75%
on the first $500 million of average daily net assets of the Series, 0.70% on
the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average
daily net assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $10,750 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $269,879 | $4,444 | $44,751 | $3,039 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $8,641 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3. Investments
For the six months ended June 30,
2013, the Series made purchases and sales of investment securities other than
short-term investments as follows:
| Purchases | $ | 174,295,476 |
| Sales | 171,082,943 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Appreciation | ||||
| $414,552,783 | $42,327,239 | $(17,795,076) | $24,532,163 |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at December 31, 2012 will expire as follows: $71,778,575 expires in 2017.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
REIT Series-9
| |
Delaware VIP® REIT
Series
Notes to Financial Statements
(continued)
3. Investments
(continued)
U.S. GAAP defines fair
value as the price that the Series 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 developed based on the best information available under
the circumstances. The Series’ investment in its entirety is assigned a level
based upon the observability of the inputs which are significant to the overall
valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – | inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
| Common Stock | $ | 435,090,015 | $ | – | $ | – | $ | 435,090,015 | ||||||
| Short-Term Investments | – | 3,889,758 | – | 3,889,758 | ||||||||||
| Securities Lending Collateral | – | 105,173 | – | 105,173 | ||||||||||
| Total | $ | 435,090,015 | $ | 3,994,931 | $ | – | $ | 439,084,946 | ||||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or the end of period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | |||||||
| Ended | Ended | |||||||
| 6/30/13 | 12/31/12 | |||||||
| Shares sold: | ||||||||
| Standard Class | 563,736 | 1,744,415 | ||||||
| Service Class | 719,315 | 2,716,713 | ||||||
| Shares issued upon reinvestment of dividends and distributions: | ||||||||
| Standard Class | 255,642 | 270,716 | ||||||
| Service Class | 214,502 | 216,223 | ||||||
| 1,753,195 | 4,948,067 | |||||||
| Shares redeemed: | ||||||||
| Standard Class | (832,880 | ) | (2,464,733 | ) | ||||
| Service Class | (1,024,794 | ) | (2,408,176 | ) | ||||
| (1,857,674 | ) | (4,872,909 | ) | |||||
| Net increase (decrease) | (104,479 | ) | 75,158 | |||||
REIT Series-10
| |
Delaware VIP® REIT
Series
Notes to Financial Statements
(continued)
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Offsetting
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | |||||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||||||
| Assets Presented | Available for Offset | ||||||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Net Amount1 | |||||||||||||||||||||
| Repurchase Agreements | $ | 142,030 | $– | $ | (142,030 | ) | $ | – | $ – | ||||||||||||||||
| Securities on Loan | 1,022,196 | – | – | (1,022,196 | ) | – | |||||||||||||||||||
| Total | $ | 1,164,226 | $– | $ | (142,030 | ) | $ | (1,022,196 | ) | – | |||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts Not | |||||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||
| Gross Amounts of | |||||||||||||||||||||||||
| Liabilities | Gross Amounts | ||||||||||||||||||||||||
| Presented in the | Available for Offset | ||||||||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Net Amount2 | |||||||||||||||||||||
| Securities
Lending Collateral |
$ | (1,054,591 | ) | $ – | $ | 105,173 | $ – | $ | (949,418 | ) | |||||||||||||||
| Total | $ | (1,054,591 | ) | $ – | $ | 105,173 | $ – | $ | (949,418 | ) | |||||||||||||||
|
1Net amount represents the net amount receivable from the counterparty in the event of default. |
|
2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities Lending
The Series, along with other funds
in the Delaware Investments Family of Funds, may lend its securities pursuant to
a security lending agreement (Lending Agreement) with The Bank of New York
Mellon (BNY Mellon). At the time a security is loaned, the borrower must post
collateral equal to the required percentage of the market value of the loaned
security, including any accrued interest. The required percentage is: (i) 102%
with respect to U.S. securities and foreign securities that are denominated and
payable in U.S. dollars; and (ii) 105% with respect to foreign securities. With
respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
REIT Series-11
| |
Delaware VIP® REIT
Series
Notes to Financial Statements
(continued)
7. Securities Lending
(continued)
Cash collateral received
is generally invested in the Delaware Investments Collateral Fund No. 1
(Collective Trust) established by BNY Mellon for the purpose of investment on
behalf of funds managed by DMC that participate in BNY Mellon's securities
lending program. The Collective Trust may invest in U.S. government securities
and high quality corporate debt, asset-backed and other money market securities
and in repurchase agreements collateralized by such securities, provided that
the Collective Trust will generally have a dollar-weighted average portfolio
maturity of 60 days or less. In October 2008, BNY Mellon transferred certain
distressed securities from the Series' previous collateral investment pool into
the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government
securities and letters of credit (non-cash collateral) in connection with
securities loans. In the event of default or bankruptcy by the lending agent,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event the borrower fails to return loaned securities and the
collateral received is insufficient to cover the value of the loaned securities
and provided such collateral shortfall is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Series
or, at the discretion of the lending agent, replace the loaned securities. The
Series continues to record dividends or interest, as applicable, on the
securities loaned and is subject to changes in value of the securities loaned
that may occur during the term of the loan. The Series has the right under the
Lending Agreement to recover the securities from the borrower on demand. With
respect to security loans collateralized by non-cash collateral, the Series
receives loan premiums paid by the borrower. With respect to security loans
collateralized by cash collateral, the earnings from the collateral investments
are shared among the Series, the security lending agent and the borrower. The
Series records security lending income net of allocations to the security
lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of securities on loan was $1,022,196, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $105,173. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral”.
8. Credit and Market
Risk
The Series concentrates its
investments in the real estate industry and is subject to the risks associated
with that industry. If the Series holds real estate directly as a result of
defaults or receives rental income directly from real estate holdings, its tax
status as a regulated investment company may be jeopardized. The Series is also
affected by interest rate changes, particularly if the REITs it holds use
floating rate debt to finance their ongoing operations. Its investments may also
tend to fluctuate more in value than a portfolio that invests in a broader range
of industries.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2013, there were no Rule 144A securities. Illiquid securities have been identified on the Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial statements.
|
The Series files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (Commission) for the first and third quarters of each fiscal
year on Form N-Q. The Series’ Forms N-Q, as well as a description of the
policies and procedures that the Series uses to determine how to vote
proxies (if any) relating to portfolio securities are available without
charge (i) upon request, by calling 800 523-1918; and (ii) on the
Commission’s website at sec.gov. In addition, a description of the
policies and procedures that the Series uses to determine how to vote
proxies (if any) relating to portfolio securities is available without
charge on the Delaware Investments® Funds’ website at
delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied
at the Commission’s Public Reference Room in Washington, DC; information
on the operation of the Public Reference Room may be obtained by calling
800 SEC-0330. |
| SA-VIPREIT [6/13] DG3 19056 (8/13) (11062) | REIT Series-12 |
| Delaware VIP® Trust |
| Delaware VIP Small Cap Value Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security type/sector allocation and top 10 equity holdings | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 6 |
| > Statements of changes in net assets | 6 |
| > Financial highlights | 7 |
| > Notes to financial statements | 9 |
Investments in Delaware VIP® Small Cap Value Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current
as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP Small Cap Value Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Disclosure of Series
Expenses
For the Six-Month Period
from January 1, 2013 to June 30, 2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | ||||||||||||
| Beginning | Ending | Paid During | ||||||||||
| Account | Account | Annualized | Period | |||||||||
| Value | Value | Expense | 1/1/13 to | |||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | |||||||||
| Actual Series Return† | ||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,135.00 | 0.81% | $4.29 | ||||||
| Service Class | 1,000.00 | 1,133.40 | 1.06% | 5.61 | ||||||||
| Hypothetical 5% Return (5% return before expenses) | ||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,020.78 | 0.81% | $4.06 | ||||||
| Service Class | 1,000.00 | 1,019.54 | 1.06% | 5.31 | ||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
Small Cap Value Series-1
| |
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Security Type/Sector Allocation and Top
10 Equity Holdings
As of June 30,
2013 (Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||
| Security Type/Sector | of Net Assets | |
| Common Stock | 98.41 | % |
| Basic Industry | 10.15 | % |
| Business Services | 1.24 | % |
| Capital Spending | 9.73 | % |
| Consumer Cyclical | 3.11 | % |
| Consumer Services | 13.20 | % |
| Consumer Staples | 1.30 | % |
| Energy | 6.60 | % |
| Financial Services | 20.27 | % |
| Healthcare | 7.54 | % |
| Real Estate | 4.92 | % |
| Technology | 14.68 | % |
| Transportation | 3.10 | % |
| Utilities | 2.57 | % |
| Short-Term Investments | 1.26 | % |
| Securities Lending Collateral | 0.18 | % |
| Total Value of Securities | 99.85 | % |
| Obligation to Return Securities Lending Collateral | (0.26 | %) |
| Receivables and Other Assets Net of Other Liabilities | 0.41 | % |
| Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Percentage | ||
| Top 10 Equity Holdings | of Net Assets | |
| United Rentals | 2.98 | % |
| East West Bancorp | 2.29 | % |
| Platinum Underwriters Holdings | 2.28 | % |
| Whiting Petroleum | 2.15 | % |
| Synopsys | 1.96 | % |
| Helix Energy Solutions Group | 1.95 | % |
| Chicago Bridge & Iron | 1.91 | % |
| Fuller (H.B.) | 1.59 | % |
| Vishay Intertechnology | 1.57 | % |
| Bank of Hawaii | 1.47 | % |
Small Cap Value Series-2
| |
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Statement of Net
Assets
June 30, 2013
(Unaudited)
| Number of | Market | |||
| Shares | Value | |||
| COMMON STOCK–98.41% | ||||
| Basic Industry–10.15% | ||||
| Albemarle | 216,700 | $ | 13,498,243 | |
| †Berry Plastics Group | 423,800 | 9,353,266 | ||
| †Chemtura | 633,500 | 12,860,050 | ||
| Cytec Industries | 160,500 | 11,756,625 | ||
| Fuller (H.B.) | 400,500 | 15,142,905 | ||
| Glatfelter | 364,600 | 9,151,460 | ||
| Kaiser Aluminum | 173,200 | 10,728,008 | ||
| Olin | 285,900 | 6,838,728 | ||
| Valspar | 111,000 | 7,178,370 | ||
| 96,507,655 | ||||
| Business Services–1.24% | ||||
| Brink’s | 194,800 | 4,969,348 | ||
| United Stationers | 202,100 | 6,780,455 | ||
| 11,749,803 | ||||
| Capital Spending–9.73% | ||||
| *Actuant Class A | 295,300 | 9,736,041 | ||
| @Altra Holdings | 359,500 | 9,843,110 | ||
| Chicago Bridge & Iron | 304,000 | 18,136,640 | ||
| *†EnPro Industries | 120,200 | 6,101,352 | ||
| ITT | 263,700 | 7,755,417 | ||
| Regal Beloit | 195,600 | 12,682,704 | ||
| *†United Rentals | 567,600 | 28,328,916 | ||
| 92,584,180 | ||||
| Consumer Cyclical–3.11% | ||||
| Autoliv | 74,900 | 5,796,511 | ||
| *Dana Holdings | 510,500 | 9,832,230 | ||
| Knoll | 349,300 | 4,963,553 | ||
| †Meritage Homes | 208,000 | 9,018,880 | ||
| 29,611,174 | ||||
| Consumer Services–13.20% | ||||
| †Big Lots | 230,600 | 7,270,818 | ||
| *Brinker International | 215,000 | 8,477,450 | ||
| Cato Class A | 365,600 | 9,125,376 | ||
| CEC Entertainment | 149,200 | 6,123,168 | ||
| Cheesecake Factory | 241,900 | 10,133,191 | ||
| †Children's Place Retail Stores | 120,400 | 6,597,920 | ||
| *Finish Line Class A | 388,500 | 8,492,610 | ||
| †Genesco | 111,500 | 7,469,385 | ||
| *Guess | 130,100 | 4,037,003 | ||
| Hanesbrands | 260,400 | 13,389,768 | ||
| Men’s Wearhouse | 187,300 | 7,089,305 | ||
| *Meredith | 204,500 | 9,754,650 | ||
| Rent-A-Center | 190,400 | 7,149,520 | ||
| Stage Stores | 310,525 | 7,297,338 | ||
| Texas Roadhouse | 362,000 | 9,057,240 | ||
| *Wolverine World Wide | 74,150 | 4,049,332 | ||
| 125,514,074 | ||||
| Consumer Staples–1.30% | ||||
| Harris Teeter Supermarkets | 263,900 | 12,366,354 | ||
| 12,366,354 | ||||
| Energy–6.60% | ||||
| †Helix Energy Solutions Group | 803,200 | 18,505,728 | ||
| Patterson-UTI Energy | 601,200 | 11,636,226 | ||
| Southwest Gas | 253,800 | 11,875,302 | ||
| †Stone Energy | 13,379 | 294,739 | ||
| †Whiting Petroleum | 443,400 | 20,436,306 | ||
| 62,748,301 | ||||
| Financial Services–20.27% | ||||
| Bank of Hawaii | 277,800 | 13,978,896 | ||
| Berkley (W.R.) | 80,943 | 3,307,331 | ||
| Boston Private Financial Holdings | 659,600 | 7,018,144 | ||
| @Community Bank System | 410,900 | 12,676,265 | ||
| CVB Financial | 264,800 | 3,114,048 | ||
| East West Bancorp | 791,936 | 21,778,240 | ||
| First Financial Bancorp | 521,100 | 7,764,390 | ||
| First Midwest Bancorp | 431,200 | 5,916,064 | ||
| Hancock Holding | 429,200 | 12,906,044 | ||
| @Independent Bank | 348,500 | 12,023,250 | ||
| @Infinity Property & Casualty | 212,700 | 12,710,952 | ||
| @NBT Bancorp | 481,900 | 10,201,823 | ||
| Platinum Underwriters Holdings | 378,900 | 21,680,658 | ||
| S&T Bancorp | 228,500 | 4,478,600 | ||
| @Selective Insurance Group | 602,300 | 13,864,946 | ||
| StanCorp Financial Group | 100,000 | 4,941,000 | ||
| Validus Holdings | 203,621 | 7,354,791 | ||
| Webster Financial | 390,400 | 10,025,472 | ||
| @WesBanco | 267,500 | 7,070,025 | ||
| 192,810,939 | ||||
| Healthcare–7.54% | ||||
| Cooper | 64,000 | 7,619,200 | ||
| †Haemonetics | 204,000 | 8,435,400 | ||
| *Owens & Minor | 225,550 | 7,630,357 | ||
| Service Corp. International | 652,100 | 11,757,363 | ||
| STERIS | 209,700 | 8,991,936 | ||
| *Teleflex | 136,700 | 10,592,883 | ||
| Universal Health Services Class B | 132,000 | 8,838,720 | ||
| †VCA Antech | 299,400 | 7,811,346 | ||
| 71,677,205 | ||||
| Real Estate–4.92% | ||||
| †Alexander & Baldwin | 235,971 | 9,379,847 | ||
| Brandywine Realty Trust | 545,133 | 7,370,198 | ||
| *Education Realty Trust | 499,500 | 5,109,885 | ||
| Government Properties Income Trust | 103,800 | 2,617,836 | ||
| *Highwoods Properties | 229,500 | 8,172,495 | ||
| Lexington Realty Trust | 525,700 | 6,140,176 | ||
| Ramco-Gershenson Properties | 94,700 | 1,470,691 | ||
| Washington Real Estate Investment Trust | 241,100 | 6,488,001 | ||
| 46,749,129 | ||||
| Technology–14.68% | ||||
| @Black Box | 160,802 | 4,071,507 | ||
| †Brocade Communications Systems | 1,278,100 | 7,361,856 | ||
| *†Cirrus Logic | 512,200 | 8,891,792 | ||
| Compuware | 1,260,600 | 13,047,210 | ||
| *†Electronics for Imaging | 276,200 | 7,813,698 | ||
| †NetScout Systems | 305,900 | 7,139,706 | ||
| †ON Semiconductor | 1,365,700 | 11,034,856 | ||
| @†Premiere Global Services | 607,550 | 7,333,129 | ||
| †PTC | 536,800 | 13,167,704 | ||
| @*QAD Class A | 78,937 | 906,197 | ||
| †RF Micro Devices | 1,180,100 | 6,313,535 | ||
| †Synopsys | 520,100 | 18,593,575 | ||
| †Tech Data | 168,100 | 7,915,829 | ||
| *†Teradyne | 630,200 | 11,072,614 | ||
| *†Vishay Intertechnology | 1,076,000 | 14,945,640 | ||
| 139,608,848 | ||||
Small Cap Value Series-3
| |
Delaware VIP® Small Cap Value
Series
Statement of Net Assets (continued)
| Number of | Market | ||||
| Shares | Value | ||||
| COMMON STOCK (continued) | |||||
| Transportation–3.10% | |||||
| †Kirby | 85,300 | $ | 6,784,762 | ||
| Matson | 268,900 | 6,722,500 | |||
| †Saia | 211,750 | 6,346,148 | |||
| *Werner Enterprises | 399,200 | 9,648,664 | |||
| 29,502,074 | |||||
| Utilities–2.57% | |||||
| *Black Hills | 132,000 | 6,435,000 | |||
| El Paso Electric | 296,400 | 10,465,884 | |||
| NorthWestern | 189,800 | 7,573,020 | |||
| 24,473,904 | |||||
| Total Common Stock | |||||
| (cost $627,695,627) | 935,903,640 | ||||
| Principal | |||||
| Amount | |||||
| SHORT-TERM INVESTMENTS–1.26% | |||||
| ≠Discount Notes–1.13% | |||||
| Fannie Mae 0.06% 9/16/13 | $ | 2,371,947 | 2,371,791 | ||
| Federal Home Loan Bank | |||||
| 0.045% 7/24/13 | 1,672,201 | 1,672,191 | |||
| 0.05% 7/26/13 | 549,310 | 549,306 | |||
| 0.055% 8/12/13 | 413,000 | 412,990 | |||
| 0.06% 7/2/13 | 1,520,357 | 1,520,357 | |||
| 0.06% 8/14/13 | 2,293,683 | 2,293,628 | |||
| 0.06% 8/16/13 | 753,393 | 753,374 | |||
| 0.06% 8/21/13 | 953,663 | 953,636 | |||
| 0.08% 8/30/13 | 202,719 | 202,713 | |||
| 10,729,986 | |||||
| Repurchase Agreements–0.09% | |||||
| Bank of America 0.05%, dated 6/28/13, | |||||
| to be repurchased on 7/1/13, repurchase price | |||||
| $300,672 (collateralized by U.S. Government | |||||
| obligations 0.375%-2.25% 5/31/14-11/30/16; | |||||
| market value $306,684) | 300,671 | 300,671 | |||
| BNP Paribas 0.05%, dated 6/28/13, | |||||
| to be repurchased on 7/1/13, repurchase price | |||||
| $137,217 (collateralized by U.S. Government | |||||
| obligations 0.25%-0.375% 6/30/14-2/15/16; | |||||
| market value $139,964) | 137,216 | 137,216 | |||
| BNP Paribas 0.005%, dated 6/28/13, | |||||
| to be repurchased on 7/1/13, repurchase price | |||||
| $400,894 (collateralized by U.S. Government | |||||
| obligations 0.25% 3/31/14-8/31/14; | |||||
| market value $408,912) | 400,894 | 400,894 | |||
| 838,781 | |||||
| ≠U.S. Treasury Obligations–0.04% | |||||
| U.S. Treasury Bills | |||||
| 0.03% 7/25/13 | 186,166 | 186,164 | |||
| 0.045% 9/26/13 | 224,334 | 224,316 | |||
| 410,480 | |||||
| Total Short-Term Investments | |||||
| (cost $11,978,790) | 11,979,247 | ||||
| Total Value of Securities Before Securities | |||||
| Lending Collateral–99.67% | |||||
| (cost $639,674,417) | 947,882,887 | ||||
| Number of | |||||
| Shares | |||||
| **SECURITIES LENDING COLLATERAL–0.18% | |||||
| Investment Companies | |||||
| Delaware Investments Collateral Fund No.1 | 1,691,263 | 1,691,263 | |||
| @†Mellon GSL Reinvestment Trust II | 789,907 | 0 | |||
| Total Securities Lending Collateral | |||||
| (cost $2,481,170) | 1,691,263 | ||||
Small Cap Value Series-4
| |
Delaware VIP® Small Cap Value
Series
Statement of Net Assets (continued)
| ©TOTAL VALUE OF SECURITIES–99.85% (cost $642,155,587) | $949,574,150 | |||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.26%) | (2,481,170 | ) | ||
| RECEIVABLES AND OTHER ASSETS NET OF OTHER LIABILITIES–0.41% | 3,924,844 | |||
| NET ASSETS APPLICABLE TO 26,851,383 SHARES OUTSTANDING–100.00% | $951,017,824 | |||
| NET ASSET VALUE–DELAWARE VIP SMALL CAP
VALUE SERIES STANDARD CLASS ($305,447,769 / 8,611,670 Shares) |
$35.47 | |||
| NET
ASSET VALUE–DELAWARE VIP SMALL CAP VALUE
SERIES SERVICE CLASS ($645,570,055 / 18,239,713 Shares) |
$35.39 | |||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | ||||
| Shares of beneficial interest (unlimited authorization–no par) | $618,494,036 | |||
| Undistributed net investment income | 2,382,346 | |||
| Accumulated net realized gain on investments | 22,722,879 | |||
| Net unrealized appreciation of investments | 307,418,563 | |||
| Total net assets | $951,017,824 | |||
| * |
Fully or partially on loan. |
| † |
Non income producing security. |
| @ |
Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $90,701,204 which represented 9.54% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| ≠ |
The rate shown is the effective yield at the time of purchase. |
| ** |
See Note 7 in “Notes to Financial Statements” for additional information on securities lending collateral. |
| © |
Includes $2,434,486 of securities loaned. |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-5
| |
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Statement of Operations
Six
Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Dividends | $ | 6,540,091 | |
| Securities lending income | 13,809 | ||
| Interest | 7,842 | ||
| Foreign tax withheld | (4,601 | ) | |
| 6,557,141 | |||
| EXPENSES: | |||
| Management fees | 3,368,971 | ||
| Distribution expenses – Service Class | 946,591 | ||
| Accounting and administration expenses | 179,659 | ||
| Reports and statements to shareholders | 58,992 | ||
| Dividend disbursing and transfer agent fees and expenses | 39,278 | ||
| Legal fees | 32,738 | ||
| Trustees’ fees | 22,199 | ||
| Audit and tax | 15,048 | ||
| Custodian fees | 10,934 | ||
| Insurance fees | 7,751 | ||
| Consulting fees | 5,529 | ||
| Dues and services | 3,017 | ||
| Trustees’ expenses | 1,712 | ||
| Registration fees | 1,271 | ||
| Pricing fees | 487 | ||
| 4,694,177 | |||
| Less waiver of distribution expenses – Service Class | (157,765 | ) | |
| Less expense paid indirectly | (1 | ) | |
| Total operating expenses | 4,536,411 | ||
| NET INVESTMENT INCOME | 2,020,730 | ||
| NET REALIZED AND UNREALIZED GAIN: | |||
| Net realized gain on investments | 23,615,287 | ||
| Net change in unrealized appreciation (depreciation) of investments | 89,262,715 | ||
| NET REALIZED AND UNREALIZED GAIN | 112,878,002 | ||
| NET INCREASE IN NET ASSETS RESULTING | |||
| FROM OPERATIONS | $ | 114,898,732 | |
Delaware VIP Trust —
Delaware VIP Small Cap Value Series
Statements of Changes in Net Assets
| Six Months | |||||||
| Ended | Year | ||||||
| 6/30/13 | Ended | ||||||
| (Unaudited) | 12/31/12 | ||||||
| INCREASE IN NET ASSETS FROM OPERATIONS: | |||||||
| Net investment income | $ | 2,020,730 | $ | 5,618,434 | |||
| Net realized gain | 23,615,287 | 44,777,633 | |||||
| Net change in unrealized appreciation (depreciation) | 89,262,715 | 59,875,763 | |||||
| Net increase in net assets resulting | |||||||
| from operations | 114,898,732 | 110,271,830 | |||||
| DIVIDENDS AND DISTRIBUTIONS TO | |||||||
| SHAREHOLDERS FROM: | |||||||
| Net investment income: | |||||||
| Standard Class | (2,272,086 | ) | (1,464,270 | ) | |||
| Service Class | (3,415,698 | ) | (2,154,131 | ) | |||
| Net realized gain: | |||||||
| Standard Class | (14,406,343 | ) | (17,285,890 | ) | |||
| Service Class | (30,653,701 | ) | (42,748,361 | ) | |||
| (50,747,828 | ) | (63,652,652 | ) | ||||
| CAPITAL SHARE TRANSACTIONS: | |||||||
| Proceeds from shares sold: | |||||||
| Standard Class | 27,068,397 | 40,283,795 | |||||
| Service Class | 20,820,740 | 41,444,474 | |||||
| Net asset value of shares issued upon | |||||||
| reinvestment of dividends and distributions: | |||||||
| Standard Class | 16,678,429 | 18,750,160 | |||||
| Service Class | 34,069,399 | 44,902,492 | |||||
| 98,636,965 | 145,380,921 | ||||||
| Cost of shares redeemed: | |||||||
| Standard Class | (29,505,637 | ) | (45,924,429 | ) | |||
| Service Class | (46,557,612 | ) | (104,302,837 | ) | |||
| (76,063,249 | ) | (150,227,266 | ) | ||||
| Increase (decrease) in net assets derived from | |||||||
| capital share transactions | 22,573,716 | (4,846,345 | ) | ||||
| NET INCREASE IN NET ASSETS | 86,724,620 | 41,772,833 | |||||
| NET ASSETS: | |||||||
| Beginning of period | 864,293,204 | 822,520,371 | |||||
| End of period (including undistributed | |||||||
| net investment income of $2,382,346 | |||||||
| and $6,049,400, respectively) | $ | 951,017,824 | $ | 864,293,204 | |||
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-6
| |
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Small Cap Value Series Standard Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $33.140 | $31.390 | $31.960 | $24.310 | $18.630 | $28.650 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income2 | 0.107 | 0.265 | 0.181 | 0.149 | 0.160 | 0.190 | ||||||||||||
| Net realized and unrealized gain (loss) | 4.249 | 3.982 | (0.593 | ) | 7.673 | 5.712 | (8.248 | ) | ||||||||||
| Total from investment operations | 4.356 | 4.247 | (0.412 | ) | 7.822 | 5.872 | (8.058 | ) | ||||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.276 | ) | (0.195 | ) | (0.158 | ) | (0.172 | ) | (0.192 | ) | (0.201 | ) | ||||||
| Net realized gain | (1.750 | ) | (2.302 | ) | – | – | – | (1.761 | ) | |||||||||
| Total dividends and distributions | (2.026 | ) | (2.497 | ) | (0.158 | ) | (0.172 | ) | (0.192 | ) | (1.962 | ) | ||||||
| Net asset value, end of period | $35.470 | $33.140 | $31.390 | $31.960 | $24.310 | $18.630 | ||||||||||||
| Total return3 | 13.50% | 13.90% | (1.33% | ) | 32.27% | 31.83% | (29.88% | ) | ||||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $305,448 | $271,272 | $243,440 | $316,960 | $279,723 | $241,427 | ||||||||||||
| Ratio of expenses to
average net assets |
0.81% | 0.81% | 0.81% | 0.83% | 0.85% | 0.85% | ||||||||||||
| Ratio of net
investment income to average net assets |
0.61% | 0.82% | 0.57% | 0.56% | 0.82% | 0.78% | ||||||||||||
| Portfolio turnover | 10% | 14% | 17% | 10% | 19% | 29% | ||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-7
| |
Delaware VIP® Small Cap Value
Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Small Cap Value Series Service Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $33.040 | $31.300 | $31.890 | $24.280 | $18.590 | $28.570 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income2 | 0.063 | 0.184 | 0.101 | 0.082 | 0.111 | 0.129 | ||||||||||||
| Net realized and unrealized gain (loss) | 4.232 | 3.974 | (0.600 | ) | 7.651 | 5.709 | (8.226 | ) | ||||||||||
| Total from investment operations | 4.295 | 4.158 | (0.499 | ) | 7.733 | 5.820 | (8.097 | ) | ||||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.195 | ) | (0.116 | ) | (0.091 | ) | (0.123 | ) | (0.130 | ) | (0.122 | ) | ||||||
| Net realized gain | (1.750 | ) | (2.302 | ) | – | – | – | (1.761 | ) | |||||||||
| Total dividends and distributions | (1.945 | ) | (2.418 | ) | (0.091 | ) | (0.123 | ) | (0.130 | ) | (1.883 | ) | ||||||
| Net asset value, end of period | $35.390 | $33.040 | $31.300 | $31.890 | $24.280 | $18.590 | ||||||||||||
| Total return3 | 13.34% | 13.63% | (1.59% | ) | 31.92% | 31.56% | (30.07% | ) | ||||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $645,570 | $593,021 | $579,080 | $593,856 | $469,308 | $413,442 | ||||||||||||
| Ratio of expenses to average net assets | 1.06% | 1.06% | 1.06% | 1.08% | 1.10% | 1.10% | ||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.11% | 1.11% | 1.11% | 1.13% | 1.15% | 1.15% | ||||||||||||
| Ratio of net
investment income to average net assets |
0.36% | 0.57% | 0.32% | 0.31% | 0.57% | 0.53% | ||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
0.31% | 0.52% | 0.27% | 0.26% | 0.52% | 0.48% | ||||||||||||
| Portfolio turnover | 10% | 14% | 17% | 10% | 19% | 29% | ||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value Total investment return during all of the periods reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-8
| |
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Notes to Financial
Statements
June 30, 2013
(Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Small Cap Value Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek capital appreciation.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Distributions received from investments in real estate investment trusts are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates during the six months ended June 30, 2013.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
Small Cap Value Series-9
| |
Delaware VIP® Small Cap Value
Series
Notes to Financial Statements (continued)
1. Significant Accounting
Policies (continued)
The Series
receives earnings credits from its transfer agent when positive cash balances
are maintained, which are used to offset transfer agent fees. The expense paid
under this arrangement is included in dividend disbursing and transfer agent
fees and expenses on the Statement of Operations with the corresponding expense
offset shown as “expense paid indirectly.” For the six months ended June 30,
2013, the Series earned $1 under this agreement.
2. Investment Management,
Administration Agreements and Other Transactions with Affiliates
In accordance with the terms of its
investment management agreement, the Series pays Delaware Management Company
(DMC), a series of Delaware Management Business Trust and the investment
manager, an annual fee which is calculated daily at the rate of 0.75% on the
first $500 million of average daily net assets of the Series, 0.70% on the next
$500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net
assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $22,449 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $569,398 | $9,683 | $132,971 | $6,481 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $18,178 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3.
Investments
For the six months ended
June 30, 2013, the Series made purchases and sales of investment securities
other than short-term investments as follows:
| Purchases | $ 95,249,595 | |
| Sales | 106,105,857 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments for federal income tax purposes and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Appreciation | ||||
| $643,087,856 | $329,716,034 | $(23,229,740) | $306,486,294 |
Small Cap Value Series-10
| |
Delaware VIP® Small Cap Value
Series
Notes to Financial Statements (continued)
3. Investments
(continued)
U.S. GAAP defines fair
value as the price that the Series 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 developed based
on the best information available under the circumstances. The Series’
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three level
hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||
| Common Stock | $ | 935,903,640 | $ | – | $– | $ | 935,903,640 | |||||
| Short-Term Investments | – | 11,979,247 | – | 11,979,247 | ||||||||
| Securities Lending Collateral | – | 1,691,263 | – | 1,691,263 | ||||||||
| Total | $ | 935,903,640 | $ | 13,670,510 | $– | $ | 949,574,150 | |||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the period ended December 31, 2012, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | ||||
| Ended | Ended | ||||
| 6/30/13 | 12/31/12 | ||||
| Shares sold: | |||||
| Standard Class | 768,650 | 1,245,095 | |||
| Service Class | 582,003 | 1,284,159 | |||
| Shares issued upon reinvestment of dividends and distributions: | |||||
| Standard Class | 498,012 | 592,422 | |||
| Service Class | 1,019,127 | 1,420,516 | |||
| 2,867,792 | 4,542,192 | ||||
| Shares redeemed: | |||||
| Standard Class | (841,118 | ) | (1,407,657 | ) | |
| Service Class | (1,311,897 | ) | (3,255,880 | ) | |
| (2,153,015 | ) | (4,663,537 | ) | ||
| Net increase (decrease) | 714,777 | (121,345 | ) | ||
Small Cap Value Series-11
| |
Delaware VIP® Small Cap Value
Series
Notes to Financial Statements (continued)
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Offsetting
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | |||||||||||||||||||||
| Offset in the | |||||||||||||||||||||
| Statement of | |||||||||||||||||||||
| Net Assets | |||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||
| Assets Presented | Available for Offset | ||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Net Amount1 | |||||||||||||||||
| Repurchase Agreements | $ | 838,781 | $ – | $ | (838,781 | ) | $ | – | $ – | ||||||||||||
| Securities on Loan | 2,434,486 | – | – | (2,434,486 | ) | – | |||||||||||||||
| Total | $ | 3,273,267 | $ – | $ | (838,781 | ) | $ | (2,434,486 | ) | – | |||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts Not | |||||||||||||||||||
| Offset in the | |||||||||||||||||||
| Statement of | |||||||||||||||||||
| Net Assets | |||||||||||||||||||
| Gross Amounts of | |||||||||||||||||||
| Liabilities | Gross Amounts | ||||||||||||||||||
| Presented in the | Available for Offset | ||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | ||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Net Amount2 | |||||||||||||||
| Securities Lending Collateral |
$(2,481,170 | ) | $ – | $1,691,263 | $ – | $(789,907 | ) | ||||||||||||
| Total | $(2,481,170 | ) | $ – | $1,691,263 | $ – | $(789,907 | ) | ||||||||||||
|
1Net amount represents the net amount receivable from the counterparty in the event of default. |
|
2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities Lending
The Series, along with other funds
in the Delaware Investments® Family of Funds, may lend its securities
pursuant to a security lending agreement (Lending Agreement) with The Bank of
New York Mellon (BNY Mellon). At the time a security is loaned, the borrower
must post collateral equal to the required percentage of the market value of the
loaned security, including any accrued interest. The required percentage is: (i)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. dollars; and (ii) 105% with respect to foreign securities.
With respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
Small Cap Value Series-12
| |
Delaware VIP® Small Cap Value
Series
Notes to Financial Statements (continued)
7. Securities Lending
(continued)
Cash collateral received
is generally invested in the Delaware Investments Collateral Fund No. 1
(Collective Trust) established by BNY Mellon for the purpose of investment on
behalf of funds managed by DMC that participate in BNY Mellon’s securities
lending program. The Collective Trust may invest in U.S. government securities
and high quality corporate debt, asset-backed and other money market securities
and in repurchase agreements collateralized by such securities, provided that
the Collective Trust will generally have a dollar-weighted average portfolio
maturity of 60 days or less. In October 2008, BNY Mellon transferred certain
distressed securities from the Series’ previous collateral investment pool into
the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government
securities and letters of credit (non-cash collateral) in connection with
securities loans. In the event of default or bankruptcy by the lending agent,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event the borrower fails to return loaned securities and the
collateral received is insufficient to cover the value of the loaned securities
and provided such collateral shortfall is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Series
or, at the discretion of the lending agent, replace the loaned securities. The
Series continues to record dividends or interest, as applicable, on the
securities loaned and is subject to changes in value of the securities loaned
that may occur during the term of the loan. The Series has the right under the
Lending Agreement to recover the securities from the borrower on demand. With
respect to security loans collateralized by non-cash collateral, the Series
receives loan premiums paid by the borrower. With respect to security loans
collateralized by cash collateral, the earnings from the collateral investments
are shared among the Series, the security lending agent and the borrower. The
Series records security lending income net of allocations to the security
lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of the securities on loan was $2,434,486, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $1,691,263. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
The Series invests a significant
portion of its assets in small companies and may be subject to certain risks
associated with ownership of securities of such companies. Investments in
small-sized companies may be more volatile than investments in larger companies
for a number of reasons, which include limited financial resources or a
dependence on narrow product lines.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2013, there were no Rule 144A securities. Illiquid securities have been identified on the Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial statements.
|
The Series files
its complete schedule of portfolio holdings with the Securities and
Exchange Commission (Commission) for the first and third quarters of each
fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description
of the policies and procedures that the Series uses to determine how to
vote proxies (if any) relating to portfolio securities are available
without charge (i) upon request, by calling 800 523-1918; and (ii) on the
Commission’s website at sec.gov. In addition, a description of the
policies and procedures that the Series uses to determine how to vote
proxies (if any) relating to portfolio securities is available without
charge on the Delaware Investments® Funds’ website at
delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied
at the Commission’s Public Reference Room in Washington, DC; information
on the operation of the Public Reference Room may be obtained by calling
800 SEC-0330. Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov. |
| SA-VIPSCV [6/13] DG3 19057 (8/13) | (11062) | Small Cap Value Series-13 |
| Delaware VIP® Trust |
| Delaware VIP Smid Cap Growth Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security type/sector allocation and top 10 equity holdings | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 5 |
| > Statements of changes in net assets | 5 |
| > Financial highlights | 6 |
| > Notes to financial statements | 8 |
Investments in Delaware VIP® Smid Cap Growth Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP Smid Cap Growth Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP Smid Cap Growth Series
Disclosure of Series
Expenses
For the Six-Month Period
from January 1, 2013 to June 30, 2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | |||||||||||
| Beginning | Ending | Paid During | |||||||||
| Account | Account | Annualized | Period | ||||||||
| Value | Value | Expense | 1/1/13 to | ||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | ||||||||
| Actual Series Return† | |||||||||||
| Standard Class | $1,000.00 | $ | 1,149.70 | 0.83% | $4.42 | ||||||
| Service Class | 1,000.00 | 1,148.30 | 1.08% | 5.75 | |||||||
| Hypothetical 5% Return (5% return before expenses) | |||||||||||
| Standard Class | $1,000.00 | $ | 1,020.68 | 0.83% | $4.16 | ||||||
| Service Class | 1,000.00 | 1,019.68 | 1.08% | 5.41 | |||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
Smid Cap Growth Series-1
| |
Delaware VIP® Trust —
Delaware VIP Smid Cap Growth Series
Security Type/Sector Allocation and Top
10 Equity Holdings
As of June 30,
2013 (Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||||
| Security Type/Sector | of Net Assets | |||
| Common Stock | 98.05 | % | ||
| Consumer Discretionary | 20.01 | % | ||
| Energy | 6.26 | % | ||
| Financial Services | 20.16 | % | ||
| Healthcare | 11.67 | % | ||
| Producer Durables | 11.22 | % | ||
| Technology | 23.00 | % | ||
| Utilities | 5.73 | % | ||
| Short-Term Investments | 1.68 | % | ||
| Securities Lending Collateral | 4.43 | % | ||
| Total Value of Securities | 104.16 | % | ||
| Obligation to Return Securities Lending Collateral | (4.50 | %) | ||
| Receivables and Other Assets Net of Other Liabilities | 0.34 | % | ||
| Total Net Assets | 100.00 | % | ||
| Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security. | ||||
| Percentage | ||||
| Top 10 Equity Holdings | of Net Assets | |||
| Core Laboratories | 6.25 | % | ||
| Affiliated Managers Group | 5.89 | % | ||
| j2 Global | 5.73 | % | ||
| NeuStar Class A | 5.36 | % | ||
| DineEquity | 4.91 | % | ||
| SBA Communications Class A | 4.88 | % | ||
| Heartland Payment Systems | 4.87 | % | ||
| MSCI Class A | 4.79 | % | ||
| Graco | 4.66 | % | ||
| Techne | 4.32 | % | ||
Smid Cap Growth Series-2
| |
Delaware VIP® Trust —
Delaware VIP Smid Cap Growth Series
Statement of Net
Assets
June 30, 2013
(Unaudited)
| Number of | |||||
| Shares | Value | ||||
| COMMON STOCK–98.05% | |||||
| Consumer Discretionary–20.01% | |||||
| DineEquity | 382,409 | $ | 26,336,508 | ||
| DUNKIN’ Brands Group | 137,125 | 5,871,693 | |||
| Gentex | 663,250 | 15,287,913 | |||
| Interval Leisure Group | 539,650 | 10,749,828 | |||
| †K12 | 782,947 | 20,568,018 | |||
| †Sally Beauty Holdings | 697,513 | 21,692,654 | |||
| †Ulta Salon Cosmetics & Fragrance | 67,600 | 6,770,816 | |||
| 107,277,430 | |||||
| Energy–6.26% | |||||
| Core Laboratories | 221,022 | 33,520,197 | |||
| 33,520,197 | |||||
| Financial Services–20.16% | |||||
| †Affiliated Managers Group | 192,700 | 31,591,238 | |||
| CommonWealth REIT | 346,728 | 8,016,351 | |||
| Heartland Payment Systems | 701,374 | 26,126,182 | |||
| †IntercontinentalExchange | 93,925 | 16,696,108 | |||
| †MSCI Class A | 771,175 | 25,656,992 | |||
| 108,086,871 | |||||
| Healthcare–11.67% | |||||
| *†ABIOMED | 752,875 | 16,231,985 | |||
| *†athenahealth | 108,982 | 9,232,955 | |||
| Perrigo | 115,204 | 13,939,684 | |||
| Techne | 334,925 | 23,136,619 | |||
| 62,541,243 | |||||
| Producer Durables–11.22% | |||||
| Expeditors International of Washington | 538,398 | 20,464,508 | |||
| Graco | 395,309 | 24,987,482 | |||
| *Ritchie Brothers Auctioneers | 765,000 | 14,703,300 | |||
| 60,155,290 | |||||
| Technology–23.00% | |||||
| Blackbaud | 643,039 | 20,943,780 | |||
| †NeuStar Class A | 590,155 | 28,728,745 | |||
| NIC | 660,412 | 10,916,610 | |||
| †SBA Communications Class A | 353,225 | 26,181,037 | |||
| †VeriFone Systems | 841,100 | 14,138,891 | |||
| †VeriSign | 501,845 | 22,412,398 | |||
| 123,321,461 | |||||
| Utilities–5.73% | |||||
| *j2 Global | 722,864 | 30,728,949 | |||
| 30,728,949 | |||||
| Total Common Stock | |||||
| (cost $352,495,588) | 525,631,441 | ||||
| Principal | ||||||
| Amount | Value | |||||
| SHORT-TERM INVESTMENTS–1.68% | ||||||
| ≠Discount Notes–1.45% | ||||||
| Fannie Mae 0.06% 9/16/13 | $ | 1,819,287 | $ | 1,819,171 | ||
| Federal Home Loan Bank | ||||||
| 0.045% 7/24/13 | 962,578 | 962,572 | ||||
| 0.05% 7/26/13 | 554,445 | 554,441 | ||||
| 0.06% 7/2/13 | 414,407 | 414,406 | ||||
| 0.06% 8/14/13 | 2,315,126 | 2,315,070 | ||||
| 0.06% 8/16/13 | 760,437 | 760,417 | ||||
| 0.06% 8/21/13 | 962,578 | 962,551 | ||||
| 7,788,628 | ||||||
| Repurchase Agreements–0.15% | ||||||
| Bank of America 0.05%, dated 6/28/13, to be | ||||||
| repurchased on 7/1/13, repurchase price | ||||||
| $281,780 (collateralized by U.S. Government | ||||||
| obligations 0.375%-2.25% 5/31/14-11/30/16; | ||||||
| market value $287,414) | 281,779 | 281,779 | ||||
| BNP Paribas 0.05%, dated 6/28/13, to be | ||||||
| repurchased on 7/1/13, repurchase price | ||||||
| $128,595 (collateralized by U.S. Government | ||||||
| obligations 0.25%-0.375% 6/30/14-2/15/16; | ||||||
| market value $131,170) | 128,594 | 128,594 | ||||
| BNP Paribas 0.005%, dated 6/28/13, to be | ||||||
| repurchased on 7/1/13, repurchase price | ||||||
| $375,705 (collateralized by U.S. Government | ||||||
| obligations 0.25% 3/31/14-8/31/14; | ||||||
| market value $383,219) | 375,705 | 375,705 | ||||
| 786,078 | ||||||
| ≠U.S. Treasury Obligations–0.08% | ||||||
| U.S. Treasury Bills | ||||||
| 0.00% 7/25/13 | 182,902 | 182,900 | ||||
| 0.00% 9/26/13 | 215,861 | 215,844 | ||||
| 398,744 | ||||||
| Total Short-Term Investments | ||||||
| (cost $8,973,078) | 8,973,450 | |||||
| Total Value of Securities Before | ||||||
| Securities Lending Collateral–99.73% | ||||||
| (cost $361,468,666) | 534,604,891 | |||||
| Number of | ||||||
| Shares | ||||||
| **SECURITIES LENDING COLLATERAL–4.43% | ||||||
| Investment Companies | ||||||
| Delaware Investments Collateral Fund No.1 | 23,731,008 | 23,731,008 | ||||
| @†Mellon GSL Reinvestment Trust II | 372,851 | 0 | ||||
| Total Securities Lending Collateral | ||||||
| (cost $24,103,859) | 23,731,008 | |||||
Smid Cap Growth Series-3
| |
Delaware VIP® Smid Cap Growth
Series
Statement of Net Assets (continued)
| TOTAL VALUE OF SECURITIES–104.16% (cost $385,572,525) | $ | 558,335,899 | © | |
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(4.50%) | (24,103,859 | ) | ||
| RECEIVABLES AND OTHER ASSETS NET OF OTHER LIABILITIES–0.34% | 1,840,581 | |||
| NET ASSETS APPLICABLE TO 20,573,743 SHARES OUTSTANDING–100.00% | $ | 536,072,621 | ||
| NET ASSET VALUE–DELAWARE VIP SMID CAP GROWTH
SERIES STANDARD CLASS ($351,054,097 / 13,323,529 Shares) |
$26.35 | |||
| NET ASSET
VALUE–DELAWARE VIP SMID CAP GROWTH
SERIES SERVICE CLASS ($185,018,524 / 7,250,214 Shares) |
$25.52 | |||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | ||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 352,821,006 | ||
| Undistributed net investment income | 94,770 | |||
| Accumulated net realized gain on investments | 10,393,471 | |||
| Net unrealized appreciation of investments | 172,763,374 | |||
| Total net assets | $ | 536,072,621 |
| † | Non income producing security. |
| * | Fully or partially on loan. |
| ≠ | The rate shown is the effective yield at the time of purchase. |
| ** | See Note 7 in “Notes to Financial Statements” for additional information on securities lending collateral and non-cash collateral. |
| @ |
Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
| © |
Includes $48,471,013 of securities loaned. |
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-4
| |
Delaware VIP® Trust
—
Delaware VIP Smid Cap Growth
Series
Statement of Operations
Six
Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Dividends | $ | 2,431,406 | |
| Securities lending income | 131,120 | ||
| Interest | 7,305 | ||
| Foreign tax withheld | (50,133 | ) | |
| 2,519,698 | |||
| EXPENSES: | |||
| Management fees | 1,960,126 | ||
| Distribution expenses – Service Class | 276,085 | ||
| Accounting and administration expenses | 101,659 | ||
| Reports and statements to shareholders | 43,652 | ||
| Dividend disbursing and transfer agent fees and expenses | 22,264 | ||
| Legal fees | 17,344 | ||
| Audit and tax | 14,595 | ||
| Trustees’ fees | 12,670 | ||
| Custodian fees | 4,902 | ||
| Insurance fees | 4,883 | ||
| Consulting fees | 2,370 | ||
| Dues and services | 2,165 | ||
| Trustees’ expenses | 977 | ||
| Registration fees | 412 | ||
| Pricing fees | 170 | ||
| 2,464,274 | |||
| Less waived distribution expenses – Service Class | (46,014 | ) | |
| Total operating expenses | 2,418,260 | ||
| NET INVESTMENT INCOME | 101,438 | ||
| NET REALIZED AND UNREALIZED GAIN: | |||
| Net realized gain on investments | 10,670,118 | ||
| Net change in unrealized appreciation (depreciation) of investments | 61,333,655 | ||
| NET REALIZED AND UNREALIZED GAIN | 72,003,773 | ||
| NET INCREASE IN NET ASSETS RESULTING | |||
| FROM OPERATIONS | $ | 72,105,211 | |
Delaware VIP Trust
—
Delaware VIP Smid Cap Growth
Series
Statements of Changes in Net Assets
| Six Months | ||||||||
| Ended | Year | |||||||
| 6/30/13 | Ended | |||||||
| (Unaudited) | 12/31/12 | |||||||
| INCREASE IN NET ASSETS | ||||||||
| FROM OPERATIONS: | ||||||||
| Net investment income | $ | 101,438 | $ | 97,880 | ||||
| Net realized gain | 10,670,118 | 30,689,808 | ||||||
| Net change in unrealized | ||||||||
| appreciation (depreciation) | 61,333,655 | 19,553,609 | ||||||
| Net increase in net assets resulting | ||||||||
| from operations | 72,105,211 | 50,341,297 | ||||||
| DIVIDENDS AND DISTRIBUTIONS TO | ||||||||
| SHAREHOLDERS FROM: | ||||||||
| Net investment income: | ||||||||
| Standard Class | (89,253 | ) | (826,548 | ) | ||||
| Service Class | – | (15,963 | ) | |||||
| Net realized gain: | ||||||||
| Standard Class | (19,827,004 | ) | (18,679,721 | ) | ||||
| Service Class | (11,068,153 | ) | (10,822,680 | ) | ||||
| (30,984,410 | ) | (30,344,912 | ) | |||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from shares sold: | ||||||||
| Standard Class | 4,762,536 | 10,305,444 | ||||||
| Service Class | 7,564,711 | 58,026,324 | ||||||
| Net asset value of shares issued upon | ||||||||
| reinvestment of dividends and distributions: | ||||||||
| Standard Class | 19,916,257 | 19,506,269 | ||||||
| Service Class | 11,068,153 | 10,838,643 | ||||||
| 43,311,657 | 98,676,680 | |||||||
| Cost of shares redeemed: | ||||||||
| Standard Class | (18,608,040 | ) | (51,274,061 | ) | ||||
| Service Class | (21,701,665 | ) | (50,238,750 | ) | ||||
| (40,309,705 | ) | (101,512,811 | ) | |||||
| Increase (decrease) in net assets derived from | ||||||||
| capital share transactions | 3,001,952 | (2,836,131 | ) | |||||
| NET INCREASE IN NET ASSETS | 44,122,753 | 17,160,254 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period | 491,949,868 | 474,789,614 | ||||||
| End of period (including undistributed | ||||||||
| net investment income of $94,770 and | ||||||||
| $82,585, respectively) | $ | 536,072,621 | $ | 491,949,868 | ||||
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-5
| |
Delaware VIP® Trust —
Delaware VIP Smid Cap Growth Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Smid Cap Growth Series Standard Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $24.370 | $23.190 | $22.220 | $16.300 | $11.210 | $21.360 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income (loss)2 | 0.016 | 0.026 | 0.058 | 0.786 | (0.023 | ) | (0.047 | ) | ||||||||||
| Net realized and unrealized gain (loss) | 3.526 | 2.570 | 1.808 | 5.134 | 5.113 | (7.975 | ) | |||||||||||
| Total from investment operations | 3.542 | 2.596 | 1.866 | 5.920 | 5.090 | (8.022 | ) | |||||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.007 | ) | (0.060 | ) | (0.232 | ) | – | – | – | |||||||||
| Net realized gain | (1.555 | ) | (1.356 | ) | (0.664 | ) | – | – | (2.128 | ) | ||||||||
| Total dividends and distributions | (1.562 | ) | (1.416 | ) | (0.896 | ) | – | – | (2.128 | ) | ||||||||
| Net asset value, end of period | $26.350 | $24.370 | $23.190 | $22.220 | $16.300 | $11.210 | ||||||||||||
| Total return3 | 14.97% | 11.02% | 8.13% | 36.32% | 45.41% | (40.55% | ) | |||||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $351,054 | $318,002 | $323,798 | $324,450 | $20,208 | $15,173 | ||||||||||||
| Ratio of expenses to average net assets | 0.83% | 0.84% | 0.83% | 0.89% | 1.07% | 0.97% | ||||||||||||
| Ratio of net investment income
(loss) to average net assets |
0.13% | 0.11% | 0.24% | 3.87% | (0.18% | ) | (0.29% | ) | ||||||||||
| Portfolio turnover | 7% | 23% | 19% | 37% | 95% | 101% | ||||||||||||
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-6
| |
Delaware VIP® Smid Cap Growth
Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Smid Cap Growth Series Service Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $23.670 | $22.570 | $21.650 | $15.920 | $10.970 | $21.010 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income (loss)2 | (0.016 | ) | (0.034 | ) | (0.002 | ) | 0.715 | (0.056 | ) | (0.087 | ) | |||||||
| Net realized and unrealized gain (loss) | 3.421 | 2.492 | 1.770 | 5.015 | 5.006 | (7.825 | ) | |||||||||||
| Total from investment operations | 3.405 | 2.458 | 1.768 | 5.730 | 4.950 | (7.912 | ) | |||||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | – | (0.002 | ) | (0.184 | ) | – | – | – | ||||||||||
| Net realized gain | (1.555 | ) | (1.356 | ) | (0.664 | ) | – | – | (2.128 | ) | ||||||||
| Total dividends and distributions | (1.555 | ) | (1.358 | ) | (0.848 | ) | – | – | (2.128 | ) | ||||||||
| Net asset value, end of period | $25.520 | $23.670 | $22.570 | $21.650 | $15.920 | $10.970 | ||||||||||||
| Total return3 | 14.83% | 10.71% | 7.90% | 35.99% | 45.12% | (40.71% | ) | |||||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $185,019 | $173,948 | $150,991 | $116,699 | $7,953 | $6,102 | ||||||||||||
| Ratio of expenses to average net assets | 1.08% | 1.09% | 1.08% | 1.14% | 1.32% | 1.22% | ||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.13% | 1.14% | 1.13% | 1.19% | 1.37% | 1.27% | ||||||||||||
| Ratio of net
investment income (loss) to
average net assets |
(0.12% | ) | (0.14% | ) | (0.01% | ) | 3.62% | (0.43% | ) | (0.54% | ) | |||||||
| Ratio of net
investment income (loss) to
average net assets prior to fees waived |
(0.17% | ) | (0.19% | ) | (0.06% | ) | 3.57% | (0.48% | ) | (0.59% | ) | |||||||
| Portfolio turnover | 7% | 23% | 19% | 37% | 95% | 101% | ||||||||||||
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-7
| |
Delaware VIP® Trust —
Delaware VIP Smid Cap Growth Series
Notes to Financial
Statements
June 30, 2013
(Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Smid Cap Growth Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates for six months ended June 30, 2013.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
Smid Cap Growth Series-8
| |
Delaware VIP® Smid Cap Growth
Series
Notes to Financial Statements (continued)
1. Significant Accounting
Policies (continued)
The Series
receives earnings credits from its transfer agent when positive cash balances
are maintained, which are used to offset transfer agent fees. If the amount
earned is greater than one dollar, the expense paid under this arrangement is
included in dividend disbursing and transfer agent fees and expenses and appears
on the Statement of Operations with the corresponding expense offset shown as
“expense paid indirectly.” For the six months ended June 30, 2013, the Series
earned less than one dollar under this agreement.
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the
terms of its investment management agreement, the Series pays Delaware
Management Company (DMC), a series of Delaware Management Business Trust and the
investment manager, an annual fee which is calculated daily at the rate of 0.75%
on the first $500 million of average daily net assets of the Series, 0.70% on
the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average
daily net assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $12,703 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 or, if longer, until the Series is offered under new participation agreements or under new contracts with existing insurance companies (other than the update and modification of existing contracts in the normal course of business that may require registration or re-registration under state insurance laws as a new insurance contract, provided the new insurance contract effectively replaces the current insurance contract) in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $330,034 | $5,460 | $38,615 | $3,600 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $10,251 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3.
Investments
For the six months ended
June 30, 2013, the Series made purchases and sales of investment securities
other than short-term investments as follows:
| Purchases | $ | 36,953,755 |
| Sales | 61,173,953 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Appreciation | ||||
| $385,654,119 | $181,477,315 | $(8,795,535) | $172,681,780 |
Smid Cap Growth Series-9
| |
Delaware VIP® Smid Cap Growth
Series
Notes to Financial Statements (continued)
3. Investments
(continued)
U.S. GAAP defines fair
value as the price that the Series 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 developed based
on the best information available under the circumstances. The Series’
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three level
hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
| Common Stock | $ | 525,631,441 | $ | – | $ | – | $ | 525,631,441 | ||||||
| Short-Term Investments | – | 8,973,450 | – | 8,973,450 | ||||||||||
| Securities Lending Collateral | – | 23,731,008 | – | 23,731,008 | ||||||||||
| Total | $ | 525,631,441 | $ | 32,704,458 | $ | – | $ | 558,335,899 | ||||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | ||||
| Ended | Ended | ||||
| 6/30/13 | 12/31/12 | ||||
| Shares sold: | |||||
| Standard Class | 183,030 | 403,735 | |||
| Service Class | 296,086 | 2,340,736 | |||
| Shares issued upon reinvestment of dividends and distributions: | |||||
| Standard Class | 807,307 | 777,762 | |||
| Service Class | 463,103 | 444,207 | |||
| 1,749,526 | 3,966,440 | ||||
| Shares redeemed: | |||||
| Standard Class | (713,693 | ) | (2,095,474 | ) | |
| Service Class | (856,421 | ) | (2,128,083 | ) | |
| (1,570,114 | ) | (4,223,557 | ) | ||
| Net increase (decrease) | 179,412 | (257,117 | ) | ||
Smid Cap Growth Series-10
| |
Delaware VIP® Smid Cap Growth
Series
Notes to Financial Statements (continued)
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Offsetting
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | |||||||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||||||||
| Assets Presented | Available for Offset | ||||||||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Amount1 | |||||||||||||||||||||||
| Repurchase Agreements | $ | 786,078 | $ | – | $ | (786,078 | ) | $ | – | $ | – | ||||||||||||||||
| Securities on Loan | 48,471,013 | – | (24,740,005 | ) | (23,731,008 | ) | – | ||||||||||||||||||||
| Total | $ | 49,257,091 | $ | – | $ | (25,526,083 | ) | $ | (23,731,008 | ) | $ | – | |||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts Not | |||||||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||||||
| Gross Amounts of | |||||||||||||||||||||||||||
| Liabilities | Gross Amounts | ||||||||||||||||||||||||||
| Presented in the | Available for Offset | ||||||||||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Amount2 | |||||||||||||||||||||||
| Securities
Lending Collateral |
$ | (24,103,859 | ) | $ | – | $ | 23,731,008 | $ | – | $ | (372,851 | ) | |||||||||||||||
| Total | $ | (24,103,859 | ) | $ | – | $ | 23,731,008 | $ | – | $ | (372,851 | ) | |||||||||||||||
Smid Cap Growth Series-11
| |
Delaware VIP® Smid Cap Growth
Series
Notes to Financial Statements (continued)
7. Securities
Lending
The Series, along with other
funds in the Delaware Investments® Family of Funds, may lend its
securities pursuant to a security lending agreement (Lending Agreement) with The
Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the
borrower must post collateral equal to the required percentage of the market
value of the loaned security, including any accrued interest. The required
percentage is: (i) 102% with respect to U.S. securities and foreign securities
that are denominated and payable in U.S. dollars; and (ii) 105% with respect to
foreign securities. With respect to each loan, if on any business day the
aggregate market value of securities collateral plus cash collateral held is
less than the aggregate market value of the securities which are the subject of
such loan, the borrower will be notified to provide additional collateral by the
end of the following business day which, together with the collateral already
held, will be not less than the applicable initial collateral requirements for
such security loan. If the aggregate market value of securities collateral and
cash collateral held with respect to a security loan exceeds the applicable
initial collateral requirement, upon request of the borrower BNY Mellon must
return enough collateral to the borrower by the end of the following business
day to reduce the value of the remaining collateral to the applicable initial
collateral requirement for such security loan. As a result of the foregoing, the
value of the collateral held with respect to a loaned security may be
temporarily more or less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. In October 2008, BNY Mellon transferred certain distressed securities from the Series’ previous collateral investment pool into the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of the securities on loan was $48,471,013, for which the Series received collateral, comprised of non-cash collateral valued at $26,960,107 and cash collateral of $24,103,859. At June 30, 2013, the value of invested collateral was $23,731,008. Investments purchased with cash collateral are presented on the Statement of Net Assets under the caption “Securities Lending Collateral”.
8. Credit and Market
Risk
The Series invests a significant
portion of its assets in small- and mid-sized companies and may be subject to
certain risks associated with ownership of securities of such companies.
Investments in small- or mid-sized companies may be more volatile than
investments in larger companies for a number of reasons, which include more
limited financial resources or a dependence on narrow product lines.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2013, there were no Rule 144A securities. Illiquid securities have been identified on the Statement of Net Assets.
9. Series Closed to New
Investors
As of February 24, 2012,
the Series is no longer offered (1) under existing participation agreements for
use with new insurance products; or (2) under new participation agreements to
insurance companies that seek to include the Series in their products, except
for certain insurance companies that have initiated negotiations to add the
Series to a new product prior to February 9, 2012. Contract holders of existing
insurance companies that offer the Series will be able to continue to make
purchases of shares, including purchases through reinvestment of dividends or
capital gains distributions, and exchanges, regardless of whether they own, or
have owned in the past, shares of the Series. The Series reserves the right to
modify this policy at any time.
10. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
Smid Cap Growth Series-12
| |
Delaware VIP® Smid Cap Growth
Series
Notes to Financial Statements (continued)
11. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial
statements.
|
The Series files its complete
schedule of portfolio holdings with the Securities and Exchange Commission
(Commission) for the first and third quarters of each fiscal year on Form
N-Q. The Series’ Forms N-Q, as well as a description of the policies and
procedures that the Series uses to determine how to vote proxies (if any)
relating to portfolio securities are available without charge (i) upon
request, by calling 800 523-1918; and (ii) on the Commission’s website at
sec.gov. In addition, a description of the policies and procedures that
the Series uses to determine how to vote proxies (if any) relating to
portfolio securities is available without charge on the Delaware
Investments® Funds’ website at delawareinvestments.com. The
Series’ Forms N-Q may be reviewed and copied at the Commission’s Public
Reference Room in Washington, DC; information on the operation of the
Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted
proxies relating to portfolio securities during the most recently
disclosed 12-month period ended June 30 is available without charge (i)
through the Delaware Investments Funds’ website at
delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
| SA-VIPSCG [6/13] DG3 19058 (8/13) | (11062) | Smid Cap Growth Series-13 |
| Delaware VIP® Trust |
| Delaware VIP U.S. Growth Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security type/sector allocation and top 10 equity holdings | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 5 |
| > Statements of changes in net assets | 5 |
| > Financial highlights | 6 |
| > Notes to financial statements | 8 |
Investments in Delaware VIP® U.S. Growth Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP U.S. Growth Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP U.S. Growth Series
Disclosure of Series
Expenses
For the Six-Month Period
from January 1, 2013 to June 30, 2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | |||||||||||||
| Beginning | Ending | Paid During | |||||||||||
| Account | Account | Annualized | Period | ||||||||||
| Value | Value | Expense | 1/1/13 to | ||||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | ||||||||||
| Actual Series Return† | |||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,103.50 | 0.73% | $ | 3.81 | ||||||
| Service Class | 1,000.00 | 1,101.50 | 0.98% | 5.11 | |||||||||
| Hypothetical 5% Return (5% return before expenses) | |||||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,021.17 | 0.73% | $ | 3.66 | ||||||
| Service Class | 1,000.00 | 1,019.93 | 0.98% | 4.91 | |||||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
U.S. Growth Series-1
| |
Delaware VIP® Trust —
Delaware VIP U.S. Growth Series
Security Type/Sector Allocation and Top 10
Equity Holdings
As of June 30, 2013
(Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||
| Security Type/Sector | of Net Assets | |
| ²Common Stock | 98.77 | % |
| Consumer Discretionary | 17.95 | % |
| Consumer Staples | 4.19 | % |
| Energy | 10.31 | % |
| Financial Services | 21.12 | % |
| Healthcare | 12.33 | % |
| Materials & Processing | 2.25 | % |
| Technology | 30.62 | % |
| Warrant | 0.21 | % |
| Short-Term Investments | 1.36 | % |
| Securities Lending Collateral | 0.07 | % |
| Total Value of Securities | 100.41 | % |
| Obligation to Return Securities Lending Collateral | (0.12 | %) |
| Other Liabilities Net of Receivables and Other Assets | (0.29 | %) |
| Total Net Assets | 100.00 | % |
²Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Percentage | ||
| Top 10 Equity Holdings | of Net Assets | |
| Visa Class A | 6.31 | % |
| EOG Resources | 5.46 | % |
| MasterCard Class A | 5.24 | % |
| Crown Castle International | 5.14 | % |
| Adobe Systems | 4.93 | % |
| Kinder Morgan | 4.85 | % |
| QUALCOMM | 4.62 | % |
| Liberty Interactive Class A | 4.44 | % |
| Celgene | 4.25 | % |
| priceline.com | 4.21 | % |
U.S. Growth Series-2
| |
Delaware VIP® Trust —
Delaware VIP U.S. Growth Series
Statement of Net Assets
June 30, 2013 (Unaudited)
| Number of | ||||||
| Shares | Value | |||||
| ²COMMON STOCK–98.77% | ||||||
| Consumer Discretionary–17.95% | ||||||
| †eBay | 235,550 | $ | 12,182,646 | |||
| L Brands | 216,150 | 10,645,387 | ||||
| †Liberty Interactive Class A | 807,050 | 18,570,220 | ||||
| NIKE Class B | 151,325 | 9,636,376 | ||||
| †priceline.com | 21,300 | 17,617,869 | ||||
| †Sally Beauty Holdings | 205,550 | 6,392,605 | ||||
| 75,045,103 | ||||||
| Consumer Staples–4.19% | ||||||
| Walgreen | 396,600 | 17,529,720 | ||||
| 17,529,720 | ||||||
| Energy–10.31% | ||||||
| EOG Resources | 173,300 | 22,820,144 | ||||
| Kinder Morgan | 531,280 | 20,268,332 | ||||
| 43,088,476 | ||||||
| Financial Services–21.12% | ||||||
| CME Group | 141,625 | 10,760,667 | ||||
| †IntercontinentalExchange | 81,350 | 14,460,776 | ||||
| MasterCard Class A | 38,125 | 21,902,812 | ||||
| Progressive | 582,550 | 14,808,421 | ||||
| Visa Class A | 144,300 | 26,370,825 | ||||
| 88,303,501 | ||||||
| Healthcare–12.33% | ||||||
| Allergan | 178,775 | 15,060,006 | ||||
| †Celgene | 152,125 | 17,784,934 | ||||
| Novo Nordisk ADR | 67,150 | 10,406,235 | ||||
| Perrigo | 68,450 | 8,282,450 | ||||
| 51,533,625 | ||||||
| Materials & Processing–2.25% | ||||||
| Syngenta ADR | 121,150 | 9,432,739 | ||||
| 9,432,739 | ||||||
| Technology–30.62% | ||||||
| †Adobe Systems | 452,225 | 20,603,371 | ||||
| Apple | 32,700 | 12,951,816 | ||||
| †Crown Castle International | 296,975 | 21,498,020 | ||||
| †Google Class A | 19,450 | 17,123,196 | ||||
| Intuit | 245,425 | 14,978,288 | ||||
| QUALCOMM | 316,450 | 19,328,766 | ||||
| †Teradata | 196,750 | 9,882,753 | ||||
| *†VeriFone Systems | 158,950 | 2,671,950 | ||||
| *†VeriSign | 200,600 | 8,958,796 | ||||
| 127,996,956 | ||||||
| Total Common Stock | ||||||
| (cost $308,792,520) | 412,930,120 | |||||
| Warrant–0.21% | ||||||
| †Kinder Morgan CW 17 strike price $40.00, | ||||||
| expiration date 5/25/17 | 173,122 | 886,385 | ||||
| Total Warrant (cost $330,204) | 886,385 | |||||
| Principal | ||||||
| Amount | ||||||
| SHORT-TERM INVESTMENTS–1.36% | ||||||
| ≠Discount Notes–1.30% | ||||||
| Fannie Mae 0.06% 9/16/13 | $ | 525,776 | 525,742 | |||
| Federal Home Loan Bank | ||||||
| 0.045% 7/24/13 | 564,322 | 564,318 | ||||
| 0.05% 7/26/13 | 184,179 | 184,178 | ||||
| 0.055% 8/12/13 | 132,860 | 132,857 | ||||
| 0.06% 7/2/13 | 2,626,289 | 2,626,289 | ||||
| 0.06% 8/14/13 | 769,052 | 769,034 | ||||
| 0.06% 8/16/13 | 252,606 | 252,600 | ||||
| 0.06% 8/21/13 | 319,755 | 319,746 | ||||
| 0.08% 8/30/13 | 65,214 | 65,212 | ||||
| 5,439,976 | ||||||
| ≠U.S. Treasury Obligations–0.06% | ||||||
| U.S. Treasury Bills | ||||||
| 0.03% 7/25/13 | 135,084 | 135,083 | ||||
| 0.045% 9/26/13 | 90,056 | 90,049 | ||||
| 225,132 | ||||||
| Total Short-Term Investments (cost $5,664,964) | 5,665,108 | |||||
| Total Value of Securities Before | ||||||
| Securities Lending Collateral–100.34% | ||||||
| (cost $314,787,688) | 419,481,613 | |||||
| Number of | ||||||
| Shares | ||||||
| **SECURITIES LENDING COLLATERAL–0.07% | ||||||
| Investment Companies | ||||||
| Delaware Investments Collateral Fund No.1 | 316,044 | 316,044 | ||||
| @†Mellon GSL Reinvestment Trust II | 198,039 | 0 | ||||
| Total Securities Lending Collateral (cost $514,083) | 316,044 | |||||
U.S. Growth Series-3
| |
Delaware VIP® U.S. Growth
Series
Statement of Net Assets (continued)
| TOTAL VALUE OF SECURITIES–100.41% (cost $315,301,771) | $ | 419,797,657 | © | ||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.12%) | (514,083 | ) | |||
| OTHER LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.29%) | (1,213,242 | ) | |||
| NET ASSETS APPLICABLE TO 39,237,684 SHARES OUTSTANDING–100.00% | $ | 418,070,332 | |||
| NET ASSET VALUE–DELAWARE VIP U.S. GROWTH SERIES
STANDARD CLASS ($116,213,262 / 10,796,901 Shares) |
$10.76 | ||||
| NET ASSET VALUE–DELAWARE VIP U.S. GROWTH
SERIES SERVICE CLASS ($301,857,070 / 28,440,783 Shares) |
$10.61 | ||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | |||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 309,486,191 | |||
| Undistributed net investment income | 215,502 | ||||
| Accumulated net realized gain on investments | 3,872,753 | ||||
| Net unrealized appreciation of investments | 104,495,886 | ||||
| Total net assets | $ | 418,070,332 | |||
| ² |
Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
| † |
Non income producing security. |
| * |
Fully or partially on loan. |
|
≠ |
The rate shown is the effective yield at the time of purchase. |
| ** |
See Note 7 in “Notes to financial statements” for additional information on securities lending collateral. |
|
@ |
Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to Financial Statements.” |
|
© |
Includes $498,903 of securities loaned. |
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-4
| |
Delaware VIP® Trust
—
Delaware VIP U.S. Growth Series
Statement of Operations
Six Months Ended June 30, 2013
(Unaudited)
| INVESTMENT INCOME: | ||||
| Dividends | $ | 2,185,063 | ||
| Interest | 2,898 | |||
| Securities lending income | 103 | |||
| Foreign tax withheld | (69,231 | ) | ||
| 2,118,833 | ||||
| EXPENSES: | ||||
| Management fees | 1,348,692 | |||
| Distribution expenses – Service Class | 449,372 | |||
| Accounting and administration expenses | 80,414 | |||
| Reports and statements to shareholders | 27,125 | |||
| Dividend disbursing and transfer agent fees and expenses | 17,547 | |||
| Legal fees | 14,703 | |||
| Audit and tax | 12,555 | |||
| Trustees’ fees | 9,987 | |||
| Insurance fees | 3,445 | |||
| Custodian fees | 3,388 | |||
| Consulting fees | 1,699 | |||
| Dues and services | 1,494 | |||
| Trustees’ expenses | 773 | |||
| Registration fees | 321 | |||
| Pricing fees | 190 | |||
| 1,971,705 | ||||
| Less waiver of distribution expenses – Service Class | (74,895 | ) | ||
| Total operating expenses | 1,896,810 | |||
| NET INVESTMENT INCOME | 222,023 | |||
| NET REALIZED AND UNREALIZED GAIN: | ||||
| Net realized gain on investments | 8,357,319 | |||
| Net change in unrealized appreciation (depreciation) of investments | 31,159,329 | |||
| NET REALIZED AND UNREALIZED GAIN | 39,516,648 | |||
| NET INCREASE IN NET ASSETS RESULTING | ||||
| FROM OPERATIONS | $ | 39,738,671 | ||
Delaware VIP Trust —
Delaware VIP
U.S. Growth Series
Statements of Changes in Net Assets
| Six Months | ||||||||
| Ended | Year | |||||||
| 6/30/13 | Ended | |||||||
| (Unaudited) | 12/31/12 | |||||||
| INCREASE IN NET ASSETS FROM OPERATIONS: | ||||||||
| Net investment income | $ | 222,023 | $ | 784,440 | ||||
| Net realized gain | 8,357,319 | 28,592,524 | ||||||
| Net change in unrealized appreciation | ||||||||
| (depreciation) | 31,159,329 | 21,728,815 | ||||||
| Net increase in net assets resulting | ||||||||
| from operations | 39,738,671 | 51,105,779 | ||||||
| DIVIDENDS AND DISTRIBUTIONS TO | ||||||||
| SHAREHOLDERS FROM: | ||||||||
| Net investment income: | ||||||||
| Standard Class | (404,179 | ) | – | |||||
| Service Class | (386,177 | ) | – | |||||
| Net realized gain: | ||||||||
| Standard Class | (4,435,329 | ) | – | |||||
| Service Class | (11,502,548 | ) | – | |||||
| (16,728,233 | ) | – | ||||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from shares sold: | ||||||||
| Standard Class | 4,418,791 | 7,676,222 | ||||||
| Service Class | 5,686,089 | 75,539,546 | ||||||
| Net asset value of shares issued upon | ||||||||
| reinvestment of dividends and distributions: | ||||||||
| Standard Class | 725,712 | – | ||||||
| Service Class | 11,888,724 | – | ||||||
| 22,719,316 | 83,215,768 | |||||||
| Cost of shares redeemed: | ||||||||
| Standard Class | (1,145,109 | ) | (3,443,680 | ) | ||||
| Service Class | (14,556,160 | ) | (66,766,421 | ) | ||||
| (15,701,269 | ) | (70,210,101 | ) | |||||
| Increase in net assets derived from capital | ||||||||
| share transactions | 7,018,047 | 13,005,667 | ||||||
| NET INCREASE IN NET ASSETS | 30,028,485 | 64,111,446 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period | 388,041,847 | 323,930,401 | ||||||
| End of period (including undistributed | ||||||||
| net investment income of $215,502 | ||||||||
| and $783,835, respectively) | $ | 418,070,332 | $ | 388,041,847 | ||||
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-5
| |
Delaware VIP® Trust —
Delaware VIP U.S. Growth Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP U.S. Growth Series Standard Class | |||||||||||||||||||
| Six Months | |||||||||||||||||||
| Ended | |||||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||||
| Net asset value, beginning of period | $10.170 | $8.750 | $8.150 | $7.160 | $5.010 | $8.960 | |||||||||||||
| Income (loss) from investment operations: | |||||||||||||||||||
| Net investment income2 | 0.001 | 0.039 | 0.012 | 0.023 | 0.007 | 0.016 | |||||||||||||
| Net realized and unrealized gain (loss) | 1.044 | 1.381 | 0.610 | 0.972 | 2.157 | (3.768 | ) | ||||||||||||
| Total from investment operations | 1.045 | 1.420 | 0.622 | 0.995 | 2.164 | (3.752 | ) | ||||||||||||
| Less dividends and distributions from: | |||||||||||||||||||
| Net investment income | (0.038 | ) | – | (0.022 | ) | (0.005 | ) | (0.014 | ) | (0.003 | ) | ||||||||
| Net realized gain | (0.417 | ) | – | – | – | – | (0.195 | ) | |||||||||||
| Total dividends and distributions | (0.455 | ) | – | (0.022 | ) | (0.005 | ) | (0.014 | ) | (0.198 | ) | ||||||||
| Net asset value, end of period | $10.760 | $10.170 | $8.750 | $8.150 | $7.160 | $5.010 | |||||||||||||
| Total return3 | 10.35% | 16.23% | 7.63% | 13.90% | 43.30% | (42.66% | ) | ||||||||||||
| Ratios and supplemental data: | |||||||||||||||||||
| Net assets, end of period (000 omitted) | $116,213 | $106,069 | $87,389 | $159,857 | $151,611 | $127,338 | |||||||||||||
| Ratio of expenses to average net assets | 0.73% | 0.74% | 0.74% | 0.75% | 0.75% | 0.76% | |||||||||||||
| Ratio of net investment income
to average net assets |
0.29% | 0.40% | 0.13% | 0.31% | 0.12% | 0.22% | |||||||||||||
| Portfolio turnover | 11% | 35% | 43% | 26% | 43% | 28% | |||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-6
| |
Delaware VIP® U.S. Growth
Series
Financial Highlights
(continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP U.S. Growth Series Service Class | |||||||||||||||||||
| Six Months | |||||||||||||||||||
| Ended | |||||||||||||||||||
| 6/30/131 | Year Ended | ||||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | ||||||||||||||
| Net asset value, beginning of period | $10.030 | $8.650 | $8.050 | $7.090 | $4.960 | $8.900 | |||||||||||||
| Income (loss) from investment operations: | |||||||||||||||||||
| Net investment income (loss)2 | 0.000 | 0.014 | (0.010 | ) | 0.005 | (0.008 | ) | (0.002 | ) | ||||||||||
| Net realized and unrealized gain (loss) | 1.011 | 1.366 | 0.614 | 0.955 | 2.138 | (3.743 | ) | ||||||||||||
| Total from investment operations | 1.011 | 1.380 | 0.604 | 0.960 | 2.130 | (3.745 | ) | ||||||||||||
| Less dividends and distributions from: | |||||||||||||||||||
| Net investment income | (0.014 | ) | – | (0.004 | ) | – | – | – | |||||||||||
| Net realized gain | (0.417 | ) | – | – | – | – | (0.195 | ) | |||||||||||
| Total dividends and distributions | (0.431 | ) | – | (0.004 | ) | – | – | (0.195 | ) | ||||||||||
| Net asset value, end of period | $10.610 | $10.030 | $8.650 | $8.050 | $7.090 | $4.960 | |||||||||||||
| Total return3 | 10.15% | 15.95% | 7.50% | 13.54% | 42.94% | (42.86% | ) | ||||||||||||
| Ratios and supplemental data: | |||||||||||||||||||
| Net assets, end of period (000 omitted) | $301,857 | $281,973 | $236,541 | $127,526 | $64,683 | $23,038 | |||||||||||||
| Ratio of expenses to average net assets | 0.98% | 0.99% | 0.99% | 1.00% | 1.00% | 1.01% | |||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.03% | 1.04% | 1.04% | 1.05% | 1.05% | 1.06% | |||||||||||||
| Ratio of net
investment income (loss) to average net assets |
0.04% | 0.15% | (0.12% | ) | 0.06% | (0.13% | ) | (0.03% | ) | ||||||||||
| Ratio of net investment income
(loss) to average net assets prior to fees waived |
(0.01% | ) | 0.10% | (0.17% | ) | 0.01% | (0.18% | ) | (0.08% | ) | |||||||||
| Portfolio turnover | 11% | 35% | 43% | 26% | 43% | 28% | |||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-7
| |
Delaware VIP® Trust —
Delaware VIP U.S. Growth Series
Notes to Financial
Statements
June 30, 2013
(Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP U.S. Growth Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates for the six months ended June 30, 2013.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
U.S. Growth Series-8
| |
Delaware VIP® U.S. Growth
Series
Notes to Financial Statements (continued)
2. Investment Management,
Administration Agreements and Other Transactions with
Affiliates
In accordance with the
terms of its investment management agreement, the Series pays Delaware
Management Company (DMC), a series of Delaware Management Business Trust and the
investment manager, an annual fee which is calculated daily at the rate of 0.65%
on the first $500 million of average daily net assets of the Series, 0.60% on
the next $500 million, 0.55% on the next $1.5 billion and 0.50% on average daily
net assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $10,048 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $224,511 | $4,266 | $62,428 | $2,825 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $8,094 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3.
Investments
For the six months ended
June 30, 2013, the Series made purchases and sales of investment securities
other than short-term investments as follows:
| Purchases | $ | 46,634,474 |
| Sales | 58,583,038 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Appreciation | ||||
| $317,813,681 | $108,309,118 | $(6,325,142) | $101,983,976 |
U.S. GAAP defines fair value as the price that the Series 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
U.S. Growth Series-9
| |
Delaware VIP® U.S. Growth
Series
Notes to Financial Statements (continued)
3. Investments
(continued)
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 developed based on the best information available under
the circumstances. The Series’ investment in its entirety is assigned a level
based upon the observability of the inputs which are significant to the overall
valuation. The three level hierarchy of inputs is summarized below.
| Level 1 – | inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series’ own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
| Common Stock | $ | 412,930,120 | $ | – | $ | – | $ | 412,930,120 | ||||||
| Warrant | 886,385 | – | – | 886,385 | ||||||||||
| Short-Term Investments | – | 5,665,108 | – | 5,665,108 | ||||||||||
| Securities Lending Collateral | – | 316,044 | – | 316,044 | ||||||||||
| Total | $ | 413,816,505 | $ | 5,981,152 | $ | – | $ | 419,797,657 | ||||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | ||||||
| Ended | Ended | ||||||
| 6/30/13 | 12/31/12 | ||||||
| Shares sold: | |||||||
| Standard Class | 404,835 | 793,506 | |||||
| Service Class | 529,638 | 7,956,850 | |||||
| Shares issued upon reinvestment of dividends and distributions: | |||||||
| Standard Class | 68,528 | – | |||||
| Service Class | 1,138,766 | – | |||||
| 2,141,767 | 8,750,356 | ||||||
| Shares redeemed: | |||||||
| Standard Class | (104,006 | ) | (350,651 | ) | |||
| Service Class | (1,350,926 | ) | (7,183,866 | ) | |||
| (1,454,932 | ) | (7,534,517 | ) | ||||
| Net increase | 686,835 | 1,215,839 | |||||
U.S. Growth Series-10
| |
Delaware VIP® U.S. Growth
Series
Notes to Financial Statements (continued)
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Offsetting
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | |||||||||||||||||||||||
| Offset in the | |||||||||||||||||||||||
| Statement of | |||||||||||||||||||||||
| Net Assets | |||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | ||||||||||||||||||||||
| Assets Presented | Available for Offset | ||||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Amount1 | |||||||||||||||||||
| Securities on Loan | $ | 498,903 | $– | $– | $ | (498,903 | ) | $– | |||||||||||||||
| Total | $ | 498,903 | $– | $– | $ | (498,903 | ) | $– | |||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts Not | |||||||||||||||||||||
| Offset in the | |||||||||||||||||||||
| Statement of | |||||||||||||||||||||
| Net Assets | |||||||||||||||||||||
| Gross Amounts of | |||||||||||||||||||||
| Liabilities | Gross Amounts | ||||||||||||||||||||
| Presented in the | Available for Offset | ||||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | Net | |||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Amount2 | |||||||||||||||||
| Securities
Lending Collateral |
$ | (514,083 | ) | $– | $316,044 | $– | $ | (198,039 | ) | ||||||||||||
| Total | $ | (514,083 | ) | $– | $316,044 | $– | $ | (198,039 | ) | ||||||||||||
|
1Net amount represents the net amount receivable from the counterparty in the event of default. |
|
2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities
Lending
The Series, along with other
funds in the Delaware Investments® Family of Funds, may lend its
securities pursuant to a security lending agreement (Lending Agreement) with The
Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the
borrower must post collateral equal to the required percentage of the market
value of the loaned security, including any accrued interest. The required
percentage is: (i) 102% with respect to U.S. securities and foreign securities
that are denominated and payable in U.S. dollars; and (ii) 105% with respect to
foreign securities. With respect to each loan, if on any business day the
aggregate market value of securities collateral plus cash collateral held is
less than the aggregate market value of the securities which are the subject of
such loan, the borrower will be notified to provide additional collateral by the
end of the following business day which, together with the collateral already
held, will be not less than the applicable initial collateral requirements for
such security loan. If the aggregate market value of securities collateral and
cash collateral held with respect to a security loan exceeds the applicable
initial collateral requirement, upon request of the borrower BNY Mellon must
return enough collateral to the borrower by the end of the following business
day to reduce the value of the remaining collateral to the applicable initial
collateral requirement for such security loan. As a result of the foregoing, the
value of the collateral held with respect to a loaned security may be
temporarily more or less than the value of the security on loan.
U.S. Growth Series-11
| |
Delaware VIP® U.S. Growth
Series
Notes to Financial Statements (continued)
7. Securities Lending
(continued)
Cash collateral received
is generally invested in the Delaware Investments Collateral Fund No. 1
(Collective Trust) established by BNY Mellon for the purpose of investment on
behalf of funds managed by DMC that participate in BNY Mellon’s securities
lending program. The Collective Trust may invest in U.S. government securities
and high quality corporate debt, asset-backed and other money market securities
and in repurchase agreements collateralized by such securities, provided that
the Collective Trust will generally have a dollar-weighted average portfolio
maturity of 60 days or less. In October 2008, BNY Mellon transferred certain
distressed securities from the Series’ previous collateral investment pool into
the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government
securities and letters of credit (non-cash collateral) in connection with
securities loans. In the event of default or bankruptcy by the lending agent,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event the borrower fails to return loaned securities and the
collateral received is insufficient to cover the value of the loaned securities
and provided such collateral shortfall is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Series
or, at the discretion of the lending agent, replace the loaned securities. The
Series continues to record dividends or interest, as applicable, on the
securities loaned and is subject to changes in value of the securities loaned
that may occur during the term of the loan. The Series has the right under the
Lending Agreement to recover the securities from the borrower on demand. With
respect to security loans collateralized by non-cash collateral, the Series
receives loan premiums paid by the borrower. With respect to security loans
collateralized by cash collateral, the earnings from the collateral investments
are shared among the Series, the security lending agent and the borrower. The
Series records security lending income net of allocations to the security
lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of the securities on loan was $498,903, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $316,044. These investments are presented on the schedule of investments under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
The Series may invest up to 15%
of its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A of the Securities Act of 1933, as amended, and other securities which
may not be readily marketable. The relative illiquidity of these securities may
impair the Series from disposing of them in a timely manner and at a fair price
when it is necessary or desirable to do so. While maintaining oversight, the
Series’ Board has delegated to DMC the day-to-day functions of determining
whether individual securities are liquid for purposes of the Series’ limitation
on investments in illiquid securities. Securities eligible for resale pursuant
to Rule 144A, which are determined to be liquid, are not subject to the Series’
15% limit on investments in illiquid securities. As of June 30, 2013, there were
no Rule 144A securities. Illiquid securities have been identified on the
Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial
statements.
|
The Series files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (Commission) for the first and third quarters of each fiscal
year on Form N-Q. The Series’ Forms N-Q, as well as a description of the
policies and procedures that the Series uses to determine how to vote
proxies (if any) relating to portfolio securities are available without
charge (i) upon request, by calling 800 523-1918; and (ii) on the
Commission’s website at sec.gov. In addition, a description of the
policies and procedures that the Series uses to determine how to vote
proxies (if any) relating to portfolio securities is available without
charge on the Delaware Investments® Funds’ website at
delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied
at the Commission’s Public Reference Room in Washington, DC; information
on the operation of the Public Reference Room may be obtained by calling
800 SEC-0330. |
| SA-VIPUSG [6/13] DG3 19059 (8/13) (11062) | U.S. Growth Series-12 |
| Delaware VIP® Trust |
| Delaware VIP Value Series |
| Semiannual report |
| June 30, 2013 |
|
|
Table of contents
| > Disclosure of Series expenses | 1 |
| > Security type/sector allocation and top 10 equity holdings | 2 |
| > Statement of net assets | 3 |
| > Statement of operations | 5 |
| > Statements of changes in net assets | 5 |
| > Financial highlights | 6 |
| > Notes to financial statements | 8 |
Investments in Delaware VIP® Value Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current
as of June 30, 2013, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in the Delaware VIP Value Series only if preceded or accompanied by the Series’ current prospectus, and if available, the summary prospectus.
© 2013 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
| |
Delaware VIP® Trust —
Delaware VIP Value Series
Disclosure of Series Expenses
For the Six-Month Period from January 1, 2013 to June 30,
2013 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2013 to June 30, 2013.
Actual Expenses
The first section of the table shown, “Actual Series
Return,” provides information about actual account values and actual expenses.
You may use the information in this section of the table, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
section under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during the period.
Hypothetical Example for Comparison
Purposes
The second section of the
table shown, “Hypothetical 5% Return,” provides information about hypothetical
account values and hypothetical expenses based on the Series’ actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Series’ actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Series and other funds. To do so, compare the 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense Analysis of an Investment of $1,000
| Expenses | |||||||||||
| Beginning | Ending | Paid During | |||||||||
| Account | Account | Annualized | Period | ||||||||
| Value | Value | Expense | 1/1/13 to | ||||||||
| 1/1/13 | 6/30/13 | Ratio | 6/30/13* | ||||||||
| Actual Series Return† | |||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,167.30 | 0.72% | $3.87 | |||||
| Service Class | 1,000.00 | 1,166.20 | 0.97% | 5.21 | |||||||
| Hypothetical 5% Return (5% return before expenses) | |||||||||||
| Standard Class | $ | 1,000.00 | $ | 1,021.22 | 0.72% | $3.61 | |||||
| Service Class | 1,000.00 | 1,019.98 | 0.97% | 4.86 | |||||||
*“Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
Value Series-1
| |
Delaware VIP® Trust —
Delaware VIP Value Series
Security Type/Sector Allocation and Top 10 Equity
Holdings
As of June 30, 2013
(Unaudited)
Sector designations may be different than the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
| Percentage | ||
| Sector | of Net Assets | |
| Common Stock | 96.33 | % |
| Consumer Discretionary | 6.15 | % |
| Consumer Staples | 11.86 | % |
| Energy | 15.51 | % |
| Financials | 11.50 | % |
| Healthcare | 17.87 | % |
| Industrials | 9.12 | % |
| Information Technology | 13.00 | % |
| Materials | 3.05 | % |
| Telecommunications | 5.54 | % |
| Utilities | 2.73 | % |
| Short-Term Investments | 3.57 | % |
| Securities Lending Collateral | 0.00 | % |
| Total Value of Securities | 99.90 | % |
| Obligation to Return Securities Lending Collateral | (0.03 | %) |
| Receivables and Other Assets Net of Other Liabilities | 0.13 | % |
| Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Percentage | |
| Top 10 Equity Holdings | of Net Assets |
| Cisco Systems | 3.37% |
| Marathon Oil | 3.33% |
| Xerox | 3.31% |
| Occidental Petroleum | 3.26% |
| Johnson & Johnson | 3.24% |
| Intel | 3.21% |
| Halliburton | 3.19% |
| Johnson Controls | 3.16% |
| Kraft Foods Group | 3.12% |
| Motorola Solutions | 3.11% |
Value Series-2
| |
Delaware VIP® Trust —
Delaware VIP Value Series
Statement of Net Assets
June 30, 2013 (Unaudited)
| Number of | ||||
| Shares | Value | |||
| COMMON STOCK–96.33% | ||||
| Consumer Discretionary–6.15% | ||||
| Johnson Controls | 575,900 | $ | 20,611,461 | |
| Lowe’s | 476,400 | 19,484,760 | ||
| 40,096,221 | ||||
| Consumer Staples–11.86% | ||||
| Archer-Daniels-Midland | 568,700 | 19,284,617 | ||
| CVS Caremark | 328,500 | 18,783,630 | ||
| Kraft Foods Group | 364,633 | 20,372,046 | ||
| Mondelez International Class A | 664,900 | 18,969,597 | ||
| 77,409,890 | ||||
| Energy–15.51% | ||||
| Chevron | 152,900 | 18,094,186 | ||
| ConocoPhillips | 318,600 | 19,275,300 | ||
| Halliburton | 498,600 | 20,801,592 | ||
| Marathon Oil | 628,500 | 21,733,530 | ||
| Occidental Petroleum | 238,500 | 21,281,355 | ||
| 101,185,963 | ||||
| Financials–11.50% | ||||
| Allstate | 390,700 | 18,800,484 | ||
| Bank of New York Mellon | 675,500 | 18,947,775 | ||
| Marsh & McLennan | 481,200 | 19,209,504 | ||
| Travelers | 225,900 | 18,053,928 | ||
| 75,011,691 | ||||
| Healthcare–17.87% | ||||
| Baxter International | 252,600 | 17,497,602 | ||
| Cardinal Health | 395,000 | 18,644,000 | ||
| Johnson & Johnson | 246,500 | 21,164,490 | ||
| Merck | 416,400 | 19,341,780 | ||
| Pfizer | 702,141 | 19,666,969 | ||
| Quest Diagnostics | 334,500 | 20,280,735 | ||
| 116,595,576 | ||||
| Industrials–9.12% | ||||
| Northrop Grumman | 237,900 | 19,698,120 | ||
| Raytheon | 297,500 | 19,670,700 | ||
| Waste Management | 498,600 | 20,108,538 | ||
| 59,477,358 | ||||
| Information Technology–13.00% | ||||
| Cisco Systems | 903,800 | 21,971,378 | ||
| *Intel | 864,600 | 20,940,612 | ||
| Motorola Solutions | 351,871 | 20,313,513 | ||
| Xerox | 2,382,700 | 21,611,089 | ||
| 84,836,592 | ||||
| Materials–3.05% | ||||
| *duPont (E.I.) deNemours | 379,700 | 19,934,250 | ||
| 19,934,250 | ||||
| Telecommunications–5.54% | ||||
| AT&T | 485,824 | 17,198,170 | ||
| Verizon Communications | 376,800 | 18,968,112 | ||
| 36,166,282 | ||||
| Utilities–2.73% | ||||
| Edison International | 370,400 | 17,838,464 | ||
| 17,838,464 | ||||
| Total Common Stock | ||||
| (cost $434,978,236) | 628,552,287 | |||
| Principal | ||||||
| Amount | ||||||
| SHORT-TERM INVESTMENTS–3.57% | ||||||
| ≠Discount Notes–2.43% | ||||||
| Fannie Mae 0.06% 9/16/13 | $ | 2,502,704 | 2,502,544 | |||
| Federal Home Loan Bank | ||||||
| 0.045% 7/24/13 | 2,924,678 | 2,924,660 | ||||
| 0.05% 7/26/13 | 498,164 | 498,161 | ||||
| 0.055% 8/12/13 | 1,309,888 | 1,309,857 | ||||
| 0.06% 7/2/13 | 4,342,613 | 4,342,613 | ||||
| 0.06% 8/14/13 | 2,080,121 | 2,080,072 | ||||
| 0.06% 8/16/13 | 683,246 | 683,229 | ||||
| 0.06% 8/21/13 | 864,869 | 864,844 | ||||
| 0.08% 8/30/13 | 642,953 | 642,931 | ||||
| 15,848,911 | ||||||
| Repurchase Agreements–0.78% | ||||||
| Bank of America 0.05%, dated 6/28/13, to be | ||||||
| repurchased on 7/1/13, repurchase price | ||||||
| $1,809,154 (collateralized by U.S. Government | ||||||
| obligations 0.375%-2.25% 5/31/14-11/30/16; | ||||||
| market value $1,845,329) | 1,809,146 | 1,809,146 | ||||
| BNP Paribas 0.05%, dated 6/28/13, to be | ||||||
| repurchased on 7/1/13, repurchase price | ||||||
| $825,637 (collateralized by U.S. Government | ||||||
| obligations 0.25%-0.375% 6/30/14-2/15/16; | ||||||
| market value $842,169) | 825,634 | 825,634 | ||||
| BNP Paribas 0.005%, dated 6/28/13, to be | ||||||
| repurchased on 7/1/13, repurchase price | ||||||
| $2,412,196 (collateralized by U.S. Government | ||||||
| obligations 0.25% 3/31/14-8/31/14; market value | ||||||
| $2,460,439) | 2,412,195 | 2,412,195 | ||||
| 5,046,975 | ||||||
| ≠U.S. Treasury Obligations–0.36% | ||||||
| U.S. Treasury Bills | ||||||
| 0.03% 7/25/13 | 1,059,103 | 1,059,092 | ||||
| 0.045% 9/26/13 | 1,309,117 | 1,309,014 | ||||
| 2,368,106 | ||||||
| Total Short-Term Investments | ||||||
| (cost $23,263,378) | 23,263,992 | |||||
| Total Value of Securities Before | ||||||
| Securities Lending Collateral–99.90% | ||||||
| (cost $458,241,614) | 651,816,279 | |||||
| Number of | ||||||
| Shares | ||||||
| **SECURITIES LENDING COLLATERAL–0.00% | ||||||
| Investment Companies | ||||||
| @†Mellon GSL Reinvestment Trust II | 206,790 | 0 | ||||
| Total Securities Lending Collateral | ||||||
| (cost $206,790) | 0 | |||||
Value Series-3
| |
Delaware VIP® Value Series
Statement of Net Assets (continued)
| ©TOTAL VALUE OF SECURITIES–99.90% (cost $458,448,404) | $ | 651,816,279 | |||
| **OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL–(0.03%) | (206,790 | ) | |||
| RECEIVABLES AND OTHER ASSETS NET OF OTHER LIABILITIES–0.13% | 876,721 | ||||
| NET ASSETS APPLICABLE TO 28,653,238 SHARES OUTSTANDING–100.00% | $ | 652,486,210 | |||
| NET ASSET VALUE – DELAWARE VIP VALUE SERIES
STANDARD CLASS ($409,801,816 / 17,989,318 Shares) |
$22.78 | ||||
| NET ASSET
VALUE – DELAWARE VIP VALUE SERIES SERVICE CLASS ($242,684,394 / 10,663,920 Shares) |
$22.76 | ||||
| COMPONENTS OF NET ASSETS AT JUNE 30, 2013: | |||||
| Shares of beneficial interest (unlimited authorization–no par) | $ | 519,083,188 | |||
| Undistributed net investment income | 5,940,934 | ||||
| Accumulated net realized loss on investments | (65,905,787 | ) | |||
| Net unrealized appreciation of investments | 193,367,875 | ||||
| Total net assets | $ | 652,486,210 | |||
| * |
Fully or partially on loan. |
| ≠ |
The rate shown is the effective yield at the time of purchase. |
| † |
Non income producing security. |
| ** |
See Note 7 in “Notes to financial statements” for additional information on securities lending collateral. |
| @ |
Illiquid security. At June 30, 2013, the aggregate value of illiquid securities was $0, which represented 0.00% of the Series’ net assets. See Note 8 in “Notes to financial statements.” |
| © |
Includes $138,785 of securities loaned. |
See accompanying notes, which are an integral part of the financial statements.
Value Series-4
| |
Delaware VIP® Trust —
Delaware VIP Value Series
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
| INVESTMENT INCOME: | |||
| Dividends | $ | 8,475,501 | |
| Interest | 6,676 | ||
| Securities lending income | 2,531 | ||
| 8,484,708 | |||
| EXPENSES: | |||
| Management fees | 1,989,356 | ||
| Distribution expenses – Service Class | 351,297 | ||
| Accounting and administration expenses | 120,487 | ||
| Reports and statements to shareholders | 28,420 | ||
| Dividend disbursing and transfer agent fees and expenses | 26,281 | ||
| Legal fees | 21,559 | ||
| Trustees’ fees | 14,873 | ||
| Audit and tax | 14,388 | ||
| Custodian fees | 5,328 | ||
| Insurance fees | 4,753 | ||
| Consulting fees | 2,477 | ||
| Dues and services | 2,124 | ||
| Trustees’ expenses | 1,134 | ||
| Registration fees | 822 | ||
| Pricing fees | 210 | ||
| 2,583,509 | |||
| Less waiver of distribution expenses – Service Class | (58,550 | ) | |
| Total operating expenses | 2,524,959 | ||
| NET INVESTMENT INCOME | 5,959,749 | ||
| NET REALIZED AND UNREALIZED GAIN: | |||
| Net realized gain on investments | 16,552,707 | ||
| Net change in unrealized appreciation (depreciation) of investments | 71,054,020 | ||
| NET REALIZED AND UNREALIZED GAIN | 87,606,727 | ||
| NET INCREASE IN NET ASSETS RESULTING | |||
| FROM OPERATIONS | $ | 93,566,476 | |
Delaware VIP Trust —
Delaware VIP
Value Series
Statements of Changes in Net Assets
| Six Months | |||||||
| Ended | Year | ||||||
| 6/30/13 | Ended | ||||||
| (Unaudited) | 12/31/12 | ||||||
| INCREASE IN NET ASSETS | |||||||
| FROM OPERATIONS: | |||||||
| Net investment income | $ | 5,959,749 | $ | 11,136,078 | |||
| Net realized gain | 16,552,707 | 26,426,267 | |||||
| Net change in unrealized | |||||||
| appreciation (depreciation) | 71,054,020 | 33,763,095 | |||||
| Net increase in net assets resulting | |||||||
| from operations | 93,566,476 | 71,325,440 | |||||
| DIVIDENDS AND DISTRIBUTIONS TO | |||||||
| SHAREHOLDERS FROM: | |||||||
| Net investment income: | |||||||
| Standard Class | (7,249,699 | ) | (7,445,068 | ) | |||
| Service Class | (3,878,402 | ) | (3,898,561 | ) | |||
| (11,128,101 | ) | (11,343,629 | ) | ||||
| CAPITAL SHARE TRANSACTIONS: | |||||||
| Proceeds from shares sold: | |||||||
| Standard Class | 13,979,993 | 22,023,577 | |||||
| Service Class | 12,365,835 | 40,095,832 | |||||
| Net asset value of shares issued upon | |||||||
| reinvestment of dividends and distributions: | |||||||
| Standard Class | 5,448,002 | 5,555,698 | |||||
| Service Class | 3,878,402 | 3,898,561 | |||||
| 35,672,232 | 71,573,668 | ||||||
| Cost of shares redeemed: | |||||||
| Standard Class | (11,207,814 | ) | (25,119,551 | ) | |||
| Service Class | (15,664,390 | ) | (32,045,301 | ) | |||
| (26,872,204 | ) | (57,164,852 | ) | ||||
| Increase in net assets derived from capital | |||||||
| share transactions | 8,800,028 | 14,408,816 | |||||
| NET INCREASE IN NET ASSETS | 91,238,403 | 74,390,627 | |||||
| NET ASSETS: | |||||||
| Beginning of period | 561,247,807 | 486,857,180 | |||||
| End of period (including undistributed | |||||||
| net investment income of $5,940,934 | |||||||
| and $11,109,286, respectively) | $ | 652,486,210 | $ | 561,247,807 | |||
See accompanying notes, which are an integral part of the financial statements.
Value Series-5
| |
Delaware VIP® Trust —
Delaware VIP Value Series
Financial Highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Value Series Standard Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $19.880 | $17.730 | $16.490 | $14.600 | $12.830 | $21.440 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income2 | 0.220 | 0.418 | 0.382 | 0.323 | 0.351 | 0.438 | ||||||||||||
| Net realized and unrealized gain (loss) | 3.091 | 2.163 | 1.191 | 1.926 | 1.838 | (7.066 | ) | |||||||||||
| Total from investment operations | 3.311 | 2.581 | 1.573 | 2.249 | 2.189 | (6.628 | ) | |||||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.411 | ) | (0.431 | ) | (0.333 | ) | (0.359 | ) | (0.419 | ) | (0.512 | ) | ||||||
| Net realized gain | – | – | – | – | – | (1.470 | ) | |||||||||||
| Total dividends and distributions | (0.411 | ) | (0.431 | ) | (0.333 | ) | (0.359 | ) | (0.419 | ) | (1.982 | ) | ||||||
| Net asset value, end of period | $22.780 | $19.880 | $17.730 | $16.490 | $14.600 | $12.830 | ||||||||||||
| Total return3 | 16.73% | 14.73% | 9.54% | 15.62% | 17.96% | (33.42% | ) | |||||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $409,802 | $350,444 | $310,494 | $390,861 | $369,859 | $330,717 | ||||||||||||
| Ratio of expenses to average net assets | 0.72% | 0.73% | 0.73% | 0.75% | 0.74% | 0.71% | ||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
0.72% | 0.73% | 0.73% | 0.75% | 0.76% | 0.76% | ||||||||||||
| Ratio of net
investment income to average net assets |
2.01% | 2.21% | 2.23% | 2.18% | 2.75% | 2.69% | ||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
2.01% | 2.21% | 2.23% | 2.18% | 2.73% | 2.65% | ||||||||||||
| Portfolio turnover | 9% | 21% | 20% | 15% | 22% | 38% | ||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Value Series-6
| |
Delaware VIP® Value Series
Financial Highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
| Delaware VIP Value Series Service Class | ||||||||||||||||||
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| 6/30/131 | Year Ended | |||||||||||||||||
| (Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||
| Net asset value, beginning of period | $19.840 | $17.700 | $16.470 | $14.590 | $12.810 | $21.390 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||
| Net investment income2 | 0.192 | 0.370 | 0.338 | 0.286 | 0.319 | 0.397 | ||||||||||||
| Net realized and unrealized gain (loss) | 3.092 | 2.158 | 1.188 | 1.921 | 1.839 | (7.052 | ) | |||||||||||
| Total from investment operations | 3.284 | 2.528 | 1.526 | 2.207 | 2.158 | (6.655 | ) | |||||||||||
| Less dividends and distributions from: | ||||||||||||||||||
| Net investment income | (0.364 | ) | (0.388 | ) | (0.296 | ) | (0.327 | ) | (0.378 | ) | (0.455 | ) | ||||||
| Net realized gain | – | – | – | – | – | (1.470 | ) | |||||||||||
| Total dividends and distributions | (0.364 | ) | (0.388 | ) | (0.296 | ) | (0.327 | ) | (0.378 | ) | (1.925 | ) | ||||||
| Net asset value, end of period | $22.760 | $19.840 | $17.700 | $16.470 | $14.590 | $12.810 | ||||||||||||
| Total return3 | 16.62% | 14.44% | 9.26% | 15.32% | 17.65% | (33.57% | ) | |||||||||||
| Ratios and supplemental data: | ||||||||||||||||||
| Net assets, end of period (000 omitted) | $242,684 | $210,804 | $176,363 | $144,978 | $133,753 | $105,992 | ||||||||||||
| Ratio of expenses to average net assets | 0.97% | 0.98% | 0.98% | 1.00% | 0.99% | 0.96% | ||||||||||||
| Ratio of expenses to average net
assets prior to fees waived |
1.02% | 1.03% | 1.03% | 1.05% | 1.06% | 1.06% | ||||||||||||
| Ratio of net
investment income to average net assets |
1.76% | 1.96% | 1.98% | 1.93% | 2.50% | 2.44% | ||||||||||||
| Ratio of net investment income
to average net assets prior to fees waived |
1.71% | 1.91% | 1.93% | 1.88% | 2.43% | 2.35% | ||||||||||||
| Portfolio turnover | 9% | 21% | 20% | 15% | 22% | 38% | ||||||||||||
|
1Ratios have been annualized and total return and portfolio turnover have not been annualized. |
|
2The average shares outstanding method has been applied for per share information. |
|
3Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager and/or distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Value Series-7
| |
Delaware VIP® Trust —
Delaware VIP Value Series
Notes to Financial Statements
June 30, 2013 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Value Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting
Policies
The following accounting
policies are in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2009 – Dec. 31, 2012), and has concluded that no provision for federal income tax is required in the Series’ financial statements.
Class Accounting—Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 28, 2013.
Use of Estimates—The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates for the six months ended June 30, 2013.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the six months ended June 30, 2013.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which are used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses and appears on the Statement of Operations with the corresponding expense offset shown as “expense paid indirectly.” For the six months ended June 30, 2013, the Series earned less than one dollar under this agreement.
Value Series-8
| |
Delaware VIP® Value
Series
Notes to Financial Statements
(continued)
2. Investment Management,
Administration Agreements and Other Transactions with Affiliates
In accordance with the terms of its
investment management agreement, the Series pays Delaware Management Company
(DMC), a series of Delaware Management Business Trust and the investment
manager, an annual fee which is calculated daily at the rate of 0.65% on the
first $500 million of average daily net assets of the Series, 0.60% on the next
$500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net
assets in excess of $2.5 billion.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, the Series pays DSC fees based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2013, the Series was charged $15,055 for these services.
DSC is also the transfer agent and dividend disbursing agent of the Series. The Series pays DSC a monthly asset-based fee for these services. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees through April 30, 2014 in order to prevent distribution and service fees of the Service Class shares from exceeding 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
At June 30, 2013, the Series had liabilities payable to affiliates as follows:
| Dividend Disbursing, | Other | ||||||
| Investment | Transfer Agent and Fund | Expenses | |||||
| Management | Accounting Oversight | Distribution | Payable | ||||
| Fee Payable to | Fees and Other Expenses | Fee Payable | to DMC | ||||
| DMC | Payable to DSC | to DDLP | and Affiliates* | ||||
| $345,004 | $6,678 | $50,612 | $4,346 |
*DMC, as part of its administrative services, pays operating expenses on behalf of the Series and is reimbursed on a periodic basis. Expenses include items such as printing of shareholder reports, legal and tax services, custodian fees and trustees’ fees.
As provided in the investment management agreement, the Series bears the cost of certain legal and tax services, including internal legal and tax services provided to the Series by DMC and/or its affiliates’ employees. For the six months ended June 30, 2013, the Series was charged $12,091 for internal legal and tax services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
3. Investments
For the six months ended June 30,
2013, the Series made purchases and sales of investment securities other than
short-term investments as follows:
| Purchases | $51,533,438 | |
| Sales | 55,341,763 |
At June 30, 2013, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2013, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
| Aggregate | Aggregate | ||||||
| Cost of | Unrealized | Unrealized | Net Unrealized | ||||
| Investments | Appreciation | Depreciation | Appreciation | ||||
| $461,550,704 | $193,574,665 | $(3,309,090) | $190,265,575 |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at December 31, 2012 will expire as follows: $36,245,426 expires in 2016 and $42,934,805 expires in 2017.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Value Series-9
| |
Delaware VIP® Value
Series
Notes to Financial Statements
(continued)
3. Investments
(continued)
U.S. GAAP defines fair
value as the price that the Series 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 developed based
on the best information available under the circumstances. The Series’
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three level
hierarchy of inputs is summarized below.
| Level 1 – |
inputs are quoted prices in active markets for identical investments (e.g., 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) (e.g., 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 – |
inputs are significant unobservable inputs (including the Series' own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series 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.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | ||||||||
| Common Stock | $ | 628,552,287 | $ | – | $– | $628,552,287 | |||||
| Securities Lending Collateral | – | – | – | – | |||||||
| Short-Term Investments | – | 23,263,992 | – | 23,263,992 | |||||||
| Total | $ | 628,552,287 | $ | 23,263,992 | $– | $651,816,279 | |||||
The securities that have been deemed worthless on the statement of net assets are considered to be Level 3 securities in this table.
During the six months ended June 30, 2013, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim or end of period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital
Shares
Transactions in capital shares
were as follows:
| Six Months | Year | ||||
| Ended | Ended | ||||
| 6/30/13 | 12/31/12 | ||||
| Shares sold: | |||||
| Standard Class | 626,228 | 1,138,908 | |||
| Service Class | 569,994 | 2,155,629 | |||
| Shares issued upon reinvestment of dividends and distributions: | |||||
| Standard Class | 247,975 | 299,499 | |||
| Service Class | 176,612 | 210,165 | |||
| 1,620,809 | 3,804,201 | ||||
| Shares redeemed: | |||||
| Standard Class | (513,135 | ) | (1,322,667 | ) | |
| Service Class | (706,460 | ) | (1,705,740 | ) | |
| (1,219,595 | ) | (3,028,407 | ) | ||
| Net increase | 401,214 | 775,794 | |||
Value Series-10
| |
Delaware VIP® Value
Series
Notes to Financial Statements
(continued)
5. Line of
Credit
The Series, along with certain
other funds in the Delaware Investments® Family of Funds
(Participants), is a participant in a $125,000,000 revolving line of credit to
be used for temporary or emergency purposes as an additional source of liquidity
to fund redemptions of investor shares. Under the agreement, the Participants
are charged an annual commitment fee, which is allocated across the Participants
on the basis of each Participant’s allocation of the entire facility. The
Participants are permitted to borrow up to a maximum of one third of their net
assets under the agreement. Each Participant is individually, and not jointly,
liable for its particular advances, if any, under the line of credit. The line
of credit under the agreement expires on Nov. 12, 2013. The Series had no
amounts outstanding as of June 30, 2013 or at any time during the period then
ended.
6.
Offsetting
In December 2011, the
Financial Accounting Standards Board (the “FASB”) issued guidance that will
expand current disclosure requirements on the offsetting of certain assets and
liabilities. The new disclosures will be required for investments and derivative
financial instruments subject to master netting or similar agreements which are
eligible for offset in the statement of assets and liabilities and will require
an entity to disclose both gross and net information about such investments and
transactions in the financial statements. In January 2013, the FASB issued
guidance that clarifies which investments and transactions are subject to the
offsetting disclosure requirements. The scope of the disclosure requirements for
offsetting will be limited to derivative instruments, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions. The guidance is effective for financial statements with fiscal
years beginning on or after January 1, 2013, and interim periods within those
fiscal years. The Series adopted the disclosure provisions on offsetting during
the current reporting period.
At June 30, 2013, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Derivative Assets
| Gross Amounts Not | ||||||||||||||||||||||||
| Offset in the | ||||||||||||||||||||||||
| Statement of | ||||||||||||||||||||||||
| Net Assets | ||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts | |||||||||||||||||||||||
| Assets Presented | Available for Offset | |||||||||||||||||||||||
| in the Statement of | in the Statement of | Financial | Cash Collateral | |||||||||||||||||||||
| Net Assets | Net Assets | Instruments | Received | Net Amount1 | ||||||||||||||||||||
| Repurchase | ||||||||||||||||||||||||
| Agreements | $ | 5,046,975 | $– | $ | (5,046,975 | ) | $ | – | $– | |||||||||||||||
| Securities on | ||||||||||||||||||||||||
| Loan | 138,785 | – | – | (138,785 | ) | – | ||||||||||||||||||
| Total | $ | 5,185,760 | $– | $ | (5,046,975 | ) | $ | (138,785 | ) | $– | ||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts Not | ||||||||||||||||||||
| Offset in the | ||||||||||||||||||||
| Statement of | ||||||||||||||||||||
| Gross Amounts of | Net Assets | |||||||||||||||||||
| Liabilities | Gross Amounts | |||||||||||||||||||
| Presented in the | Available for Offset | |||||||||||||||||||
| Statement of | in the Statement of | Financial | Cash Collateral | |||||||||||||||||
| Net Assets | Net Assets | Instruments | Pledged | Net Amount2 | ||||||||||||||||
| Securities Lending Collateral |
$(206,790 | ) | $– | $– | $– | $(206,790 | ) | |||||||||||||
| Total | $(206,790 | ) | $– | $– | $– | $(206,790 | ) | |||||||||||||
|
1Net amount represents the net amount receivable from the counterparty in the event of default. |
|
2Net amount represents the net amount payable due to the counterparty in the event of default. |
7. Securities Lending
The Series, along with other funds
in the Delaware Investments® Family of Funds, may lend its securities
pursuant to a security lending agreement (Lending Agreement) with The Bank of
New York Mellon (BNY Mellon). At the time a security is loaned, the borrower
must post collateral equal to the required percentage of the market value of the
loaned security, including any accrued interest. The required percentage is: (i)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. dollars; and (ii) 105% with respect to foreign securities.
With respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
Value Series-11
| |
Delaware VIP® Value
Series
Notes to Financial Statements
(continued)
7. Securities Lending
(continued)
Cash collateral received
is generally invested in the Delaware Investments Collateral Fund No. 1
(Collective Trust) established by BNY Mellon for the purpose of investment on
behalf of funds managed by DMC that participate in BNY Mellon's securities
lending program. The Collective Trust may invest in U.S. government securities
and high quality corporate debt, asset-backed and other money market securities
and in repurchase agreements collateralized by such securities, provided that
the Collective Trust will generally have a dollar-weighted average portfolio
maturity of 60 days or less. In October 2008, BNY Mellon transferred certain
distressed securities from the Series' previous collateral investment pool into
the Mellon GSL Reinvestment Trust II. The Series can also accept U.S. government
securities and letters of credit (non-cash collateral) in connection with
securities loans. In the event of default or bankruptcy by the lending agent,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event the borrower fails to return loaned securities and the
collateral received is insufficient to cover the value of the loaned securities
and provided such collateral shortfall is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Series
or, at the discretion of the lending agent, replace the loaned securities. The
Series continues to record dividends or interest, as applicable, on the
securities loaned and is subject to changes in value of the securities loaned
that may occur during the term of the loan. The Series has the right under the
Lending Agreement to recover the securities from the borrower on demand. With
respect to security loans collateralized by non-cash collateral, the Series
receives loan premiums paid by the borrower. With respect to security loans
collateralized by cash collateral, the earnings from the collateral investments
are shared among the Series, the security lending agent and the borrower. The
Series records security lending income net of allocations to the security
lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2013, the value of the securities on loan was $138,785, for which cash collateral was received and invested in accordance with the Lending Agreement. At June 30, 2013, the value of invested collateral was $0. These investments are presented on the Statement of Net Assets under the caption “Securities Lending Collateral.”
8. Credit and Market
Risk
The Series may invest up to 10%
of its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A of the Securities Act of 1933, as amended, and other securities which
may not be readily marketable. The relative illiquidity of these securities may
impair the Series from disposing of them in a timely manner and at a fair price
when it is necessary or desirable to do so. While maintaining oversight, the
Series’ Board has delegated to DMC the day-to-day functions of determining
whether individual securities are liquid for purposes of the Series’ limitation
on investments in illiquid securities. Securities eligible for resale pursuant
to Rule 144A, which are determined to be liquid, are not subject to the Series’
10% limit on investments in illiquid securities. As of June 30, 2013, there were
no Rule 144A securities. Illiquid securities have been identified on the
Statement of Net Assets.
9. Contractual
Obligations
The Series enters into
contracts in the normal course of business that contain a variety of
indemnifications. The Series’ maximum exposure under these arrangements is
unknown. However, the Series has not had prior claims or losses pursuant to
these contracts. Management has reviewed the Series’ existing contracts and
expects the risk of loss to be remote.
10. Subsequent
Events
Management has determined that
no material events or transactions occurred subsequent to June 30, 2013 that
would require recognition or disclosure in the Series’ financial statements.
|
The Series files its complete
schedule of portfolio holdings with the Securities and Exchange Commission
(Commission) for the first and third quarters of each fiscal year on Form
N-Q. The Series’ Forms N-Q, as well as a description of the policies and
procedures that the Series uses to determine how to vote proxies (if any)
relating to portfolio securities are available without charge (i) upon
request, by calling 800 523-1918; and (ii) on the Commission’s website at
sec.gov. In addition, a description of the policies and procedures that
the Series uses to determine how to vote proxies (if any) relating to
portfolio securities is available without charge on the Delaware
Investments® Funds’ website at delawareinvestments.com. The
Series’ Forms N-Q may be reviewed and copied at the Commission’s Public
Reference Room in Washington, DC; information on the operation of the
Public Reference Room may be obtained by calling 800 SEC-0330. Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov. |
|
SA-VIPV [6/13] DG3 19060 (8/13) (11062) |
Value Series-12 |
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by the report to stockholders included herein (i.e., the registrant’s second fiscal quarter) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
| (a) | (1) Code of Ethics | |
| Not applicable. | ||
| (2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT. | ||
| (3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934. | ||
| Not applicable. | ||
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT. | |
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.
Name of Registrant: DELAWARE VIP® TRUST
| /s/ PATRICK P. COYNE | |
| By: | Patrick P. Coyne |
| Title: | Chief Executive Officer |
| Date: | September 3, 2013 |
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.
| /s/ PATRICK P. COYNE | |
| By: | Patrick P. Coyne |
| Title: | Chief Executive Officer |
| Date: | September 3, 2013 |
| /s/ RICHARD SALUS | |
| By: | Richard Salus |
| Title: | Chief Financial Officer |
| Date: | September 3, 2013 |