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: | 811-03363 | |
Exact name of registrant as specified in charter: | Delaware Group® Limited-Term | |
Government Funds | ||
Address of principal executive offices: | 2005 Market Street | |
Philadelphia, PA 19103 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
2005 Market Street | ||
Philadelphia, PA 19103 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | December 31 | |
Date of reporting period: | June 30, 2017 |
Item 1. Reports to Stockholders
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Fixed income mutual fund
Delaware Limited-Term Diversified Income Fund
June 30, 2017
Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and its summary prospectus, which may be obtained by visiting delawarefunds.com/literature or calling 800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail.
Visit delawarefunds.com/edelivery.
Table of Contents
Experience Delaware FundsSM by Macquarie
Macquarie Investment Management (MIM) is a global asset manager with offices throughout the United States, Europe, Asia, and Australia. We are active managers who prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for our clients. Delaware Funds by Macquarie is one of the longest-standing mutual fund families, with more than 75 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds by Macquarie or obtain a prospectus for Delaware Limited-Term Diversified Income Fund at delawarefunds.com/literature.
Manage your account online
• | Check your account balance and transactions |
• | View statements and tax forms |
• | Make purchases and redemptions |
Visit delawarefunds.com/account-access.
Macquarie Investment Management (MIM) is the marketing name for the registered investment advisers including Macquarie Investment Management Business Trust (MIMBT) (formerly, Delaware Management Business Trust), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Bank International Limited, Macquarie Investment Management Europe Limited, Macquarie Investment Management Limited, and Macquarie Capital Investment Management, Inc.
The Funds are distributed by Delaware Distributors, L.P., an affiliate of Macquarie Investment Management Business Trust and Macquarie Group Limited. Macquarie Investment Management (MIM), a member of Macquarie Group, refers to the companies comprising the asset management division of Macquarie Group Limited and its subsidiaries and affiliates worldwide.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Fund is governed by US laws and regulations.
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Unless otherwise noted, views expressed herein are current as of June 30, 2017, and subject to change for events occurring after such date.
The Fund is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
© 2017 Macquarie Management Holdings, Inc. (formerly, Delaware Management Holdings, Inc.)
Table of Contents
For the six-month period from January 1, 2017 to June 30, 2017 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 Jan. 1, 2017 to June 30, 2017.
Actual expenses
The first section of the table shown, “Actual Fund 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 this 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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. 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. In addition, if these transactional costs were included, your costs would have been higher. The Fund’s expenses shown in the table reflect fee waivers in effect. The expenses shown in the table assume reinvestment of all dividends and distributions.
1
Table of Contents
Disclosure of Fund expenses
For the six-month period from January 1, 2017 to June 30, 2017 (Unaudited) |
Delaware Limited-Term Diversified Income Fund
Expense analysis of an investment of $1,000
Beginning | Ending | Expenses | ||||||||||||||||||
Account Value | Account Value | Annualized | Paid During Period | |||||||||||||||||
1/1/17 | 6/30/17 | Expense Ratio | 1/1/17 to 6/30/17* | |||||||||||||||||
Actual Fund return† | ||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,014.70 | 0.74 | % | $3.70 | |||||||||||||
Class C | 1,000.00 | 1,011.70 | 1.59 | % | 7.93 | |||||||||||||||
Class R | 1,000.00 | 1,013.00 | 1.09 | % | 5.44 | |||||||||||||||
Institutional Class | 1,000.00 | 1,016.70 | 0.59 | % | 2.95 | |||||||||||||||
Class R6** | 1,000.00 | 1,003.50 | 0.52 | % | 0.86 | |||||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,021.12 | 0.74 | % | $3.71 | |||||||||||||
Class C | 1,000.00 | 1,016.91 | 1.59 | % | 7.95 | |||||||||||||||
Class R | 1,000.00 | 1,019.39 | 1.09 | % | 5.46 | |||||||||||||||
Institutional Class | 1,000.00 | 1,021.87 | 0.59 | % | 2.96 | |||||||||||||||
Class R6** | 1,000.00 | 1,022.22 | 0.52 | % | 2.61 |
* | “Expenses Paid During Period” are equal to the Fund’s 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. |
** | The Class R6 shares commenced operations on May 1, 2017. The ending account value for “Actual Fund return” uses the performance since inception and is not annualized and the expenses paid during the period for “Actual Fund return” are equal to the Class R6 shares annualized expense ratio, multiplied by the average account value over the period, multiplied by 60/365 (to reflect the actual days since inception). |
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Table of Contents
Security type / sector allocation | ||||
Delaware Limited-Term Diversified Income Fund | As of June 30, 2017 (Unaudited) |
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Security type / sector | Percentage of net assets | |||
Agency Asset-Backed Securities | 0.02% | |||
Agency Collateralized Mortgage Obligations | 10.13% | |||
Agency Commercial Mortgage-Backed Securities | 0.28% | |||
Agency Mortgage-Backed Securities | 8.44% | |||
Collateralized Debt Obligations | 2.12% | |||
Convertible Bond | 0.17% | |||
Corporate Bonds | 44.46% | |||
Banking | 18.35% | |||
Basic Industry | 2.28% | |||
Brokerage | 0.31% | |||
Capital Goods | 1.58% | |||
Communications | 3.59% | |||
Consumer Cyclical | 2.07% | |||
Consumer Non-Cyclical | 2.73% | |||
Electric | 5.30% | |||
Energy | 3.37% | |||
Finance Companies | 1.07% | |||
Healthcare | 0.20% | |||
Insurance | 1.64% | |||
Natural Gas | 0.35% | |||
Real Estate | 0.25% | |||
Services | 0.19% | |||
Technology | 0.25% | |||
Transportation | 0.93% | |||
Loan Agreements | 5.48% | |||
Municipal Bonds | 0.34% | |||
Non-Agency Asset-Backed Securities | 27.74% | |||
Non-Agency Collateralized Mortgage Obligations | 0.13% | |||
Non-Agency Commercial Mortgage-Backed Securities | 0.08% | |||
Regional Bond | 0.07% | |||
Sovereign Bonds | 0.76% | |||
US Treasury Obligations | 1.15% | |||
Preferred Stock | 0.47% | |||
Short-Term Investments | 1.50% | |||
Total Value of Securities | 103.34% | |||
Liabilities Net of Receivables and Other Assets | (3.34%) | |||
Total Net Assets | 100.00% |
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Table of Contents
Delaware Limited-Term Diversified Income Fund | June 30, 2017 (Unaudited) |
Principal amount° | Value (US $) | |||||||
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Agency Asset-Backed Securities – 0.02% | ||||||||
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Fannie Mae Grantor Trust | 165,355 | $ | 182,748 | |||||
Fannie Mae REMIC Trust | 135 | 135 | ||||||
Freddie Mac Structured Pass Through Securities | 4,315 | 4,565 | ||||||
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Total Agency Asset-Backed Securities (cost $168,676) | 187,448 | |||||||
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Agency Collateralized Mortgage Obligations – 10.13% | ||||||||
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Fannie Mae Grantor Trust | 27,513 | 31,906 | ||||||
Series 2002-T1 A2 7.00% 11/25/31 | 60,472 | 71,429 | ||||||
Fannie Mae Interest Strip | 1,324,153 | 331,487 | ||||||
Series 419 C3 3.00% 11/25/43 S | 72,951 | 11,996 | ||||||
Fannie Mae REMIC Trust | 74,022 | 83,912 | ||||||
Fannie Mae REMICs | 813 | 943 | ||||||
Series 2003-52 NA 4.00% 6/25/23 | 80,739 | 83,447 | ||||||
Series 2003-78 B 5.00% 8/25/23 | 33,207 | 35,099 | ||||||
Series 2003-120 BL 3.50% 12/25/18 | 88,997 | 90,296 | ||||||
Series 2004-36 FA 1.616% 5/25/34 ● | 270,586 | 272,003 | ||||||
Series 2004-49 EB 5.00% 7/25/24 | 25,260 | 27,204 | ||||||
Series 2005-66 FD 1.516% 7/25/35 ● | 1,216,197 | 1,214,686 | ||||||
Series 2005-110 MB 5.50% 9/25/35 | 7,094 | 7,437 | ||||||
Series 2006-105 FB 1.636% 11/25/36 ● | 77,572 | 77,763 | ||||||
Series 2010-41 PN 4.50% 4/25/40 | 86,000 | 92,282 | ||||||
Series 2011-88 AB 2.50% 9/25/26 | 47,041 | 47,247 | ||||||
Series 2011-105 FP 1.616% 6/25/41 ● | 2,019,826 | 2,013,558 | ||||||
Series 2011-113 MC 4.00% 12/25/40 | 136,540 | 140,627 | ||||||
Series 2012-51 SA 5.284% 5/25/42 S● | 62,542 | 15,383 | ||||||
Series 2012-67 GB 3.00% 7/25/42 | 390,000 | 379,971 | ||||||
Series 2012-93 LY 2.50% 9/25/42 | 433,000 | 394,093 | ||||||
Series 2012-98 MI 3.00% 8/25/31 S | 25,732,441 | 2,803,243 | ||||||
Series 2012-99 AI 3.50% 5/25/39 S | 1,718,291 | 201,690 | ||||||
Series 2012-102 IB 3.50% 9/25/27 S | 8,643,481 | 959,255 | ||||||
Series 2012-118 AI 3.50% 11/25/37 S | 499,838 | 62,280 | ||||||
Series 2012-120 WI 3.00% 11/25/27 S | 140,584 | 13,514 | ||||||
Series 2012-122 SD 4.884% 11/25/42 S● | 3,102,915 | 615,741 | ||||||
Series 2012-125 MI 3.50% 11/25/42 S | 1,476,307 | 292,840 | ||||||
Series 2012-128 NP 2.50% 11/25/42 | 474,981 | 454,228 | ||||||
Series 2012-137 WI 3.50% 12/25/32 S | 65,486 | 10,392 |
4
Table of Contents
Principal amount° | Value (US $) | |||||||
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Agency Collateralized Mortgage Obligations (continued) | ||||||||
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Fannie Mae REMICs | 1,355,624 | $ | 330,423 | |||||
Series 2012-148 HE 2.50% 1/25/43 | 1,000,000 | 899,666 | ||||||
Series 2012-150 KC 2.50% 1/25/43 | 713,853 | 709,370 | ||||||
Series 2013-2 DA 2.00% 11/25/42 | 28,129 | 24,581 | ||||||
Series 2013-7 EI 3.00% 10/25/40 S | 1,595,550 | 202,156 | ||||||
Series 2013-7 GP 2.50% 2/25/43 | 65,000 | 59,194 | ||||||
Series 2013-20 IH 3.00% 3/25/33 S | 395,238 | 54,753 | ||||||
Series 2013-26 ID 3.00% 4/25/33 S | 688,062 | 95,534 | ||||||
Series 2013-28 YB 3.00% 4/25/43 | 1,550,000 | 1,508,494 | ||||||
Series 2013-38 AI 3.00% 4/25/33 S | 579,363 | 79,678 | ||||||
Series 2013-51 PI 3.00% 11/25/32 S | 615,491 | 72,081 | ||||||
Series 2013-52 ZA 3.00% 6/25/43 | 211,140 | 214,641 | ||||||
Series 2013-55 AI 3.00% 6/25/33 S | 16,117,779 | 2,266,811 | ||||||
Series 2013-59 PY 2.50% 6/25/43 | 547,142 | 507,634 | ||||||
Series 2013-67 KZ 2.50% 4/25/43 | 773,539 | 679,165 | ||||||
Series 2013-69 IJ 3.00% 7/25/33 S | 60,002 | 8,320 | ||||||
Series 2013-71 ZA 3.50% 7/25/43 | 284,060 | 291,955 | ||||||
Series 2013-75 JI 3.00% 9/25/32 S | 784,663 | 101,006 | ||||||
Series 2013-129 KI 3.00% 8/25/28 S | 1,917,687 | 154,966 | ||||||
Series 2014-5 JL 4.00% 2/25/44 | 78,000 | 85,678 | ||||||
Series 2014-21 ID 3.50% 6/25/33 S | 392,937 | 51,861 | ||||||
Series 2014-25 DI 3.50% 8/25/32 S | 312,786 | 35,840 | ||||||
Series 2014-63 KI 3.50% 11/25/33 S | 383,383 | 46,256 | ||||||
Series 2014-64 IT 3.50% 6/25/41 S | 49,120 | 5,047 | ||||||
Series 2014-68 BS 4.934% 11/25/44 S● | 155,774 | 32,888 | ||||||
Series 2014-85 IB 3.00% 12/25/44 S | 967,803 | 183,410 | ||||||
Series 2014-90 SA 4.934% 1/25/45 S● | 323,539 | 63,275 | ||||||
Series 2015-11 BI 3.00% 1/25/33 S | 561,718 | 59,196 | ||||||
Series 2015-31 ZD 3.00% 5/25/45 | 448,170 | 394,957 | ||||||
Series 2015-34 OK 0.00% 3/25/44 W | 1,185,000 | 1,027,822 | ||||||
Series 2015-40 GZ 3.50% 5/25/45 | 107,553 | 106,327 | ||||||
Series 2015-43 PZ 3.50% 6/25/45 | 43,021 | 44,579 | ||||||
Series 2015-44 AI 3.50% 1/25/34 S | 806,276 | 122,756 | ||||||
Series 2015-45 AI 3.00% 1/25/33 S | 74,488 | 7,992 | ||||||
Series 2015-45 EI 3.00% 12/25/40 S | 1,448,576 | 161,569 | ||||||
Series 2015-66 ID 3.50% 5/25/42 S | 275,070 | 44,765 | ||||||
Series 2015-82 AI 3.50% 6/25/34 S | 4,652,016 | 846,658 | ||||||
Series 2015-85 BI 4.50% 9/25/43 S | 685,463 | 126,916 | ||||||
Series 2015-87 TI 3.50% 11/25/35 S | 277,934 | 42,321 | ||||||
Series 2015-89 EZ 3.00% 12/25/45 | 642,782 | 633,426 | ||||||
Series 2015-95 SH 4.784% 1/25/46 S● | 139,360 | 31,097 | ||||||
Series 2016-2 HI 3.00% 12/25/41 S | 1,273,119 | 168,514 |
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Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
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Agency Collateralized Mortgage Obligations (continued) | ||||||||
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Fannie Mae REMICs | 1,237,772 | $ | 203,466 | |||||
Series 2016-33 DI 3.50% 6/25/36 S | 251,729 | 38,159 | ||||||
Series 2016-40 ZC 3.00% 7/25/46 | 37,095 | 34,735 | ||||||
Series 2016-54 PI 3.00% 2/25/44 S | 1,372,432 | 167,777 | ||||||
Series 2016-55 SK 4.784% 8/25/46 S● | 114,464 | 26,279 | ||||||
Series 2016-74 IH 3.50% 11/25/45 S | 123,791 | 22,248 | ||||||
Series 2016-74 GS 4.784% 10/25/46 S● | 856,504 | 214,316 | ||||||
Series 2016-79 AZ 3.00% 11/25/46 | 1,020,176 | 953,267 | ||||||
Series 2016-79 JS 4.834% 11/25/46 S● | 97,671 | 21,316 | ||||||
Series 2016-80 JZ 3.00% 11/25/46 | 141,881 | 132,287 | ||||||
Series 2016-83 PI 3.50% 7/25/45 S | 94,155 | 15,515 | ||||||
Series 2016-90 CI 3.00% 2/25/45 S | 770,685 | 112,733 | ||||||
Series 2016-95 IO 3.00% 12/25/46 S | 3,021,962 | 581,257 | ||||||
Series 2016-95 LZ 2.50% 12/25/46 | 208,354 | 171,714 | ||||||
Series 2016-99 DI 3.50% 1/25/46 S | 97,470 | 16,190 | ||||||
Series 2016-99 TI 3.50% 3/25/36 S | 657,528 | 92,334 | ||||||
Series 2016-101 ZP 3.50% 1/25/47 | 92,604 | 89,522 | ||||||
Series 2016-105 SA 4.784% 1/25/47 S● | 166,047 | 36,836 | ||||||
Series 2017-6 NI 3.50% 3/25/46 S | 937,781 | 167,081 | ||||||
Series 2017-14 AI 3.00% 9/25/42 S | 97,573 | 14,964 | ||||||
Series 2017-16 SM 4.834% 3/25/47 S● | 909,199 | 195,550 | ||||||
Series 2017-16 UW 3.00% 7/25/45 | 1,225,000 | 1,218,201 | ||||||
Series 2017-16 WI 3.00% 1/25/45 S | 96,583 | 12,503 | ||||||
Series 2017-16 YW 3.00% 3/25/47 | 875,000 | 837,812 | ||||||
Series 2017-17 CM 3.00% 11/25/41 | 228,150 | 228,261 | ||||||
Series 2017-19 MD 3.00% 1/25/47 | 99,000 | 99,934 | ||||||
Series 2017-24 AI 3.00% 8/25/46 S | 1,063,899 | 156,690 | ||||||
Series 2017-25 GS 5.484% 4/25/47 S● | 265,799 | 43,268 | ||||||
Series 2017-27 EM 3.00% 4/25/47 | 113,000 | 106,705 | ||||||
Series 2017-28 Z 3.50% 4/25/47 | 106,930 | 108,679 | ||||||
Series 2017-40 GZ 3.50% 5/25/47 | 36,210 | 37,227 | ||||||
Series 2017-40 IG 3.50% 3/25/43 S | 381,883 | 50,770 | ||||||
Series 2017-46 BI 3.00% 4/25/47 S | 401,214 | 53,851 | ||||||
Series 2017-46 JI 3.50% 1/25/43 S | 148,231 | 18,139 | ||||||
Freddie Mac REMICs | 25,158 | 27,883 | ||||||
Series 2621 QH 5.00% 5/15/33 | 1,702 | 1,875 | ||||||
Series 2708 ZD 5.50% 11/15/33 | 227,380 | 255,490 | ||||||
Series 2901 CA 4.50% 11/15/19 | 22,969 | 23,067 | ||||||
Series 3016 FL 1.549% 8/15/35 ● | 27,853 | 27,900 | ||||||
Series 3027 DE 5.00% 9/15/25 | 26,586 | 28,722 | ||||||
Series 3067 FA 1.509% 11/15/35 ● | 2,402,600 | 2,399,782 |
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Table of Contents
Principal amount° | Value (US $) | |||||||
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Agency Collateralized Mortgage Obligations (continued) | ||||||||
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Freddie Mac REMICs | 59,016 | $ | 59,299 | |||||
Series 3241 FM 1.539% 11/15/36 ● | 22,407 | 22,463 | ||||||
Series 3297 BF 1.399% 4/15/37 ● | 808,949 | 806,170 | ||||||
Series 3316 FB 1.459% 8/15/35 ● | 108,178 | 108,046 | ||||||
Series 3578 EO 0.00% 5/15/37 W | 303,432 | 281,644 | ||||||
Series 3737 NA 3.50% 6/15/25 | 97,407 | 100,323 | ||||||
Series 3780 LF 1.559% 3/15/29 ● | 93,663 | 93,704 | ||||||
Series 3800 AF 1.659% 2/15/41 ● | 1,477,073 | 1,485,744 | ||||||
Series 3803 TF 1.559% 11/15/28 ● | 97,675 | 97,799 | ||||||
Series 3852 TP 5.50% 5/15/41 ● | 91,770 | 99,903 | ||||||
Series 3939 EI 3.00% 3/15/26 S | 1,519,897 | 97,188 | ||||||
Series 4050 EI 4.00% 2/15/39 S | 113,809 | 11,918 | ||||||
Series 4076 QB 1.75% 11/15/41 | 518,526 | 506,807 | ||||||
Series 4100 EI 3.00% 8/15/27 S | 10,799,376 | 1,045,658 | ||||||
Series 4105 YC 3.00% 8/15/42 | 197,000 | 196,104 | ||||||
Series 4109 AI 3.00% 7/15/31 S | 6,201,974 | 689,220 | ||||||
Series 4142 HA 2.50% 12/15/32 | 400,598 | 403,889 | ||||||
Series 4150 PQ 2.50% 1/15/43 | 61,985 | 56,411 | ||||||
Series 4152 BW 2.50% 1/15/43 | 195,361 | 179,724 | ||||||
Series 4152 GW 2.50% 1/15/43 | 36,000 | 33,314 | ||||||
Series 4161 IM 3.50% 2/15/43 S | 454,953 | 96,360 | ||||||
Series 4171 Z 3.00% 2/15/43 | 466,753 | 430,959 | ||||||
Series 4185 LI 3.00% 3/15/33 S | 460,731 | 63,935 | ||||||
Series 4197 LZ 4.00% 4/15/43 | 295,258 | 318,555 | ||||||
Series 4206 DZ 3.00% 5/15/33 | 337,887 | 333,331 | ||||||
Series 4210 Z 3.00% 5/15/43 | 481,421 | 440,994 | ||||||
Series 4223 HI 3.00% 4/15/30 S | 2,949,343 | 236,051 | ||||||
Series 4342 CI 3.00% 11/15/33 S | 1,178,695 | 141,845 | ||||||
Series 4366 DI 3.50% 5/15/33 S | 1,616,318 | 229,015 | ||||||
Series 4408 BC 3.00% 11/15/44 | 270,000 | 262,445 | ||||||
Series 4408 ZG 2.00% 9/15/41 | 402,679 | 361,438 | ||||||
Series 4419 DC 3.00% 12/15/44 | 152,000 | 149,663 | ||||||
Series 4433 DI 3.00% 8/15/32 S | 6,123,598 | 632,711 | ||||||
Series 4452 PZ 3.50% 3/15/45 | 4,554,781 | 4,537,609 | ||||||
Series 4453 DI 3.50% 11/15/33 S | 6,077,398 | 778,596 | ||||||
Series 4457 KZ 3.00% 4/15/45 | 3,390,163 | 3,241,860 | ||||||
Series 4464 DA 2.50% 1/15/43 | 937,071 | 881,984 | ||||||
Series 4476 GI 3.00% 6/15/41 S | 1,406,449 | 159,813 | ||||||
Series 4493 HI 3.00% 6/15/41 S | 200,935 | 23,383 | ||||||
Series 4518 CI 3.50% 6/15/42 S | 644,886 | 78,808 | ||||||
Series 4527 CI 3.50% 2/15/44 S | 166,334 | 28,461 | ||||||
Series 4531 PZ 3.50% 11/15/45 | 1,280,958 | 1,360,461 |
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Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
Freddie Mac REMICs | 533,984 | $ | 99,840 | |||||
Series 4574 AI 3.00% 4/15/31 S | 2,666,378 | 335,245 | ||||||
Series 4581 LI 3.00% 5/15/36 S | 83,948 | 11,440 | ||||||
Series 4614 HB 2.50% 9/15/46 | 62,000 | 56,627 | ||||||
Series 4618 SA 4.841% 9/15/46 S● | 412,080 | 98,874 | ||||||
Series 4623 IY 4.00% 10/15/46 S | 197,902 | 43,902 | ||||||
Series 4623 LZ 2.50% 10/15/46 | 51,856 | 45,468 | ||||||
Series 4623 MW 2.50% 10/15/46 | 60,000 | 55,364 | ||||||
Series 4623 WI 4.00% 8/15/44 S | 1,225,003 | 222,909 | ||||||
Series 4623 YT 2.50% 3/15/46 | 1,442,246 | 1,318,487 | ||||||
Series 4625 PZ 3.00% 6/15/46 | 29,585 | 28,098 | ||||||
Series 4636 ET 3.00% 3/15/41 | 1,000,000 | 991,525 | ||||||
Series 4643 QI 3.50% 9/15/45 S | 2,068,845 | 343,967 | ||||||
Series 4648 SA 4.841% 1/15/47 S● | 1,156,694 | 256,166 | ||||||
Series 4650 JE 3.00% 7/15/46 | 110,000 | 106,483 | ||||||
Series 4650 JG 3.00% 11/15/46 | 1,997,000 | 1,886,154 | ||||||
Series 4653 VB 3.00% 4/15/40 | 865,000 | 866,572 | ||||||
Series 4654 G 3.00% 2/15/43 | 74,840 | 75,005 | ||||||
Series 4655 TI 3.00% 8/15/36 S | 98,073 | 8,887 | ||||||
Series 4656 HI 3.50% 5/15/42 S | 736,434 | 97,175 | ||||||
Series 4657 PS 4.841% 2/15/47 S● | 4,594,916 | 1,004,523 | ||||||
Series 4660 GI 3.00% 8/15/43 S | 684,930 | 107,887 | ||||||
Series 4663 AI 3.00% 3/15/42 S | 128,905 | 18,009 | ||||||
Series 4675 KS 4.841% 4/15/47 S● | 145,424 | 33,222 | ||||||
Freddie Mac Strips | 1,242,813 | 259,884 | ||||||
Series 290 IO 3.50% 11/15/32 S | 61,415 | 9,792 | ||||||
Series 303 151 4.322% 12/15/42 S● | 437,062 | 104,952 | ||||||
Series 303 185 3.495% 1/15/43 S● | 1,190,046 | 239,637 | ||||||
Series 319 S2 4.841% 11/15/43 S● | 8,072,514 | 1,768,438 | ||||||
Series 326 S2 4.791% 3/15/44 S● | 581,495 | 116,497 | ||||||
Freddie Mac Structured Pass Through Certificates | 32,414 | 37,778 | ||||||
Series T-54 2A 6.50% 2/25/43 ◆ | 788 | 929 | ||||||
Series T-58 2A 6.50% 9/25/43 ◆ | 550,041 | 637,159 | ||||||
GNMA | 118,439 | 112,650 | ||||||
Series 2012-108 PB 2.75% 9/16/42 | 39,000 | 37,611 | ||||||
Series 2013-26 KD 2.50% 2/16/43 | 870,000 | 814,590 | ||||||
Series 2013-79 KE 3.00% 5/20/43 | 1,250,000 | 1,252,236 | ||||||
Series 2013-113 LY 3.00% 5/20/43 | 17,000 | 17,030 | ||||||
Series 2014-12 ZA 3.00% 1/20/44 | 204,942 | 197,695 |
8
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
GNMA | 174,825 | $ | 171,619 | |||||
Series 2015-36 PI 3.50% 8/16/41 S | 461,302 | 63,085 | ||||||
Series 2015-74 CI 3.00% 10/16/39 S | 182,475 | 24,776 | ||||||
Series 2015-76 MZ 3.00% 5/20/45 | 1,093,104 | 1,104,472 | ||||||
Series 2015-82 GI 3.50% 12/20/38 S | 1,049,535 | 107,138 | ||||||
Series 2015-142 AI 4.00% 2/20/44 S | 63,316 | 8,106 | ||||||
Series 2015-155 QZ 3.50% 10/20/45 | 1,562,408 | 1,601,541 | ||||||
Series 2015-185 PZ 3.00% 12/20/45 | 1,100,360 | 1,048,427 | ||||||
Series 2016-5 GL 3.00% 7/20/45 | 5,000 | 5,001 | ||||||
Series 2016-49 PZ 3.00% 11/16/45 | 227,826 | 217,960 | ||||||
Series 2016-54 MZ 3.00% 4/20/46 | 750,791 | 687,834 | ||||||
Series 2016-74 PL 3.00% 5/20/46 | 610,000 | 607,982 | ||||||
Series 2016-80 JZ 3.00% 6/20/46 | 669,770 | 624,120 | ||||||
Series 2016-81 IM 4.00% 10/20/44 S | 266,159 | 46,623 | ||||||
Series 2016-89 QS 4.838% 7/20/46 S● | 3,909,535 | 959,597 | ||||||
Series 2016-118 DI 3.50% 3/20/43 S | 318,037 | 48,063 | ||||||
Series 2016-126 NS 4.888% 9/20/46 S● | 138,482 | 32,371 | ||||||
Series 2016-134 MW 3.00% 10/20/46 | 10,000 | 10,170 | ||||||
Series 2016-135 Z 3.00% 10/20/46 | 49,989 | 46,820 | ||||||
Series 2016-146 KS 4.888% 10/20/46 S● | 94,333 | 22,659 | ||||||
Series 2016-147 ST 4.838% 10/20/46 S● | 131,371 | 30,782 | ||||||
Series 2016-149 GI 4.00% 11/20/46 S | 579,986 | 124,883 | ||||||
Series 2016-167 QM 3.00% 4/20/46 | 402,000 | 399,416 | ||||||
Series 2016-170 MZ 3.00% 12/20/46 | 741,019 | 689,065 | ||||||
Series 2016-171 IP 3.00% 3/20/46 S | 679,828 | 101,022 | ||||||
Series 2017-2 Z 2.65% 1/20/46 | 1,370,028 | 1,343,535 | ||||||
Series 2017-4 WI 4.00% 2/20/44 S | 96,361 | 18,966 | ||||||
Series 2017-10 IB 4.00% 1/20/47 S | 163,707 | 38,484 | ||||||
Series 2017-10 KZ 3.00% 1/20/47 | 15,188 | 14,164 | ||||||
Series 2017-14 EZ 3.00% 1/20/47 | 266,304 | 246,268 | ||||||
Series 2017-17 BV 3.00% 4/20/40 | 434,000 | 433,529 | ||||||
Series 2017-17 BZ 3.00% 2/20/47 | 1,757,465 | 1,816,986 | ||||||
Series 2017-18 QS 4.928% 2/16/47 S● | 157,563 | 35,877 | ||||||
Series 2017-25 CZ 3.50% 2/20/47 | 48,562 | 49,114 | ||||||
Series 2017-25 WZ 3.00% 2/20/47 | 308,061 | 284,577 | ||||||
Series 2017-33 PZ 3.00% 2/20/47 | 1,353,450 | 1,308,548 | ||||||
Series 2017-34 DY 3.50% 3/20/47 | 230,000 | 231,096 | ||||||
Series 2017-56 GZ 3.50% 4/20/47 | 256,490 | 250,281 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations (cost $81,183,767) | 82,201,104 | |||||||
|
|
9
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Agency Commercial Mortgage-Backed Securities – 0.28% | ||||||||
| ||||||||
FREMF Mortgage Trust | 95,000 | $ | 103,342 | |||||
Series 2012-K708 B 144A 3.883% 2/25/45 #● | 675,000 | 690,329 | ||||||
Series 2013-K712 B 144A 3.48% 5/25/45 #● | 345,000 | 353,032 | ||||||
NCUA Guaranteed Notes Trust | 1,153,513 | 1,151,359 | ||||||
|
| |||||||
Total Agency Commercial Mortgage-Backed Securities (cost $2,308,993) | 2,298,062 | |||||||
|
| |||||||
| ||||||||
Agency Mortgage-Backed Securities – 8.44% | ||||||||
| ||||||||
Fannie Mae ARM | 79,693 | 84,540 | ||||||
2.833% 9/1/38 ● | 1,169,818 | 1,254,845 | ||||||
3.002% 8/1/34 ● | 100,437 | 105,317 | ||||||
3.03% 8/1/36 ● | 29,290 | 31,134 | ||||||
3.091% 3/1/38 ● | 4,779 | 5,008 | ||||||
3.103% 8/1/35 ● | 21,783 | 23,002 | ||||||
3.104% 11/1/35 ● | 303,392 | 320,961 | ||||||
3.113% 7/1/36 ● | 104,446 | 110,713 | ||||||
3.145% 6/1/36 ● | 104,091 | 109,069 | ||||||
3.149% 7/1/36 ● | 41,602 | 43,873 | ||||||
3.205% 11/1/39 ● | 197,690 | 208,840 | ||||||
3.458% 4/1/36 ● | 28,413 | 30,021 | ||||||
3.484% 1/1/41 ● | 166,313 | 172,792 | ||||||
3.493% 6/1/34 ● | 45,285 | 48,247 | ||||||
3.548% 4/1/36 ● | 328,295 | 348,496 | ||||||
4.554% 11/1/39 ● | 594,991 | 631,135 | ||||||
Fannie Mae S.F. 30 yr | 105,836 | 114,385 | ||||||
5.00% 11/1/33 | 87,200 | 95,647 | ||||||
5.00% 3/1/34 | 36,255 | 39,675 | ||||||
5.00% 4/1/35 | 3,721 | 4,084 | ||||||
5.00% 5/1/35 | 9,140 | 10,033 | ||||||
5.00% 6/1/35 | 100,837 | 110,378 | ||||||
5.00% 7/1/35 | 1,067 | 1,170 | ||||||
5.00% 8/1/35 | 6,643 | 7,292 | ||||||
5.00% 9/1/35 | 168 | 184 | ||||||
5.00% 10/1/35 | 15,802 | 17,346 | ||||||
5.00% 12/1/35 | 13,782 | 15,308 | ||||||
5.00% 2/1/36 | 49,438 | 54,270 | ||||||
5.00% 3/1/36 | 28,845 | 31,661 | ||||||
5.00% 10/1/36 | 16,567 | 18,187 | ||||||
5.00% 11/1/36 | 23,826 | 26,156 | ||||||
5.00% 12/1/36 | 52,971 | 58,156 |
10
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | 70,223 | $ | 77,096 | |||||
5.00% 6/1/39 | 10,406 | 11,426 | ||||||
5.00% 1/1/40 | 71,613 | 79,557 | ||||||
5.50% 11/1/32 | 15,706 | 17,553 | ||||||
5.50% 4/1/33 | 13,498 | 15,105 | ||||||
5.50% 6/1/33 | 85,930 | 96,457 | ||||||
5.50% 7/1/33 | 3,926 | 4,392 | ||||||
5.50% 1/1/34 | 10,283 | 11,601 | ||||||
5.50% 4/1/34 | 136,197 | 152,556 | ||||||
5.50% 7/1/34 | 30,459 | 34,122 | ||||||
5.50% 9/1/34 | 338,635 | 379,030 | ||||||
5.50% 11/1/34 | 35,066 | 39,280 | ||||||
5.50% 2/1/35 | 17,925 | 20,076 | ||||||
5.50% 5/1/35 | 5,543 | 6,209 | ||||||
5.50% 11/1/35 | 6,249 | 7,005 | ||||||
5.50% 8/1/37 | 520,431 | 583,115 | ||||||
5.50% 1/1/38 | 1,224,608 | 1,373,326 | ||||||
5.50% 12/1/38 | 6,317 | 7,075 | ||||||
5.50% 9/1/41 | 430,698 | 487,595 | ||||||
5.50% 5/1/44 | 8,633,680 | 9,667,887 | ||||||
6.00% 11/1/23 | 8,512 | 9,572 | ||||||
6.00% 3/1/34 | 47,128 | 53,822 | ||||||
6.00% 8/1/34 | 19,320 | 22,089 | ||||||
6.00% 9/1/34 | 190 | 217 | ||||||
6.00% 11/1/34 | 3,074 | 3,489 | ||||||
6.00% 4/1/35 | 164,353 | 187,509 | ||||||
6.00% 7/1/35 | 46,937 | 53,608 | ||||||
6.00% 12/1/35 | 31,029 | 35,377 | ||||||
6.00% 4/1/36 | 9,262 | 10,416 | ||||||
6.00% 6/1/36 | 157,565 | 180,473 | ||||||
6.00% 9/1/36 | 187,516 | 215,175 | ||||||
6.00% 12/1/36 | 4,292 | 4,851 | ||||||
6.00% 3/1/37 | 4,061 | 4,608 | ||||||
6.00% 5/1/37 | 57,341 | 65,388 | ||||||
6.00% 7/1/37 | 2,162,880 | 2,466,884 | ||||||
6.00% 8/1/37 | 243,312 | 278,140 | ||||||
6.00% 9/1/37 | 1,248,728 | 1,417,392 | ||||||
6.00% 3/1/38 | 1,520,181 | 1,726,266 | ||||||
6.00% 5/1/38 | 145,285 | 164,924 | ||||||
6.00% 7/1/38 | 3,663 | 4,162 | ||||||
6.00% 9/1/38 | 6,652 | 7,537 | ||||||
6.00% 10/1/38 | 632,019 | 717,846 |
11
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | 118,242 | $ | 136,499 | |||||
6.00% 10/1/39 | 2,573,143 | 2,936,850 | ||||||
6.00% 3/1/40 | 21,518 | 24,460 | ||||||
6.00% 5/1/41 | 189,429 | 214,937 | ||||||
6.00% 7/1/41 | 3,536,616 | 4,010,366 | ||||||
6.50% 1/1/29 | 6,789 | 7,732 | ||||||
6.50% 5/1/40 | 180,601 | 202,501 | ||||||
7.50% 6/1/31 | 603 | 726 | ||||||
Fannie Mae S.F. 30 yr TBA | 26,691,000 | 28,590,628 | ||||||
Freddie Mac ARM | 395,418 | 397,109 | ||||||
2.684% 10/1/36 ● | 6,211 | 6,556 | ||||||
2.93% 11/1/44 ● | 144,775 | 148,817 | ||||||
3.069% 6/1/37 ● | 366,682 | 382,866 | ||||||
3.135% 7/1/38 ● | 858,597 | 910,250 | ||||||
3.163% 2/1/37 ● | 3,891 | 4,106 | ||||||
3.275% 10/1/37 ● | 181,230 | 190,403 | ||||||
5.00% 8/1/38 ● | 16,047 | 16,833 | ||||||
Freddie Mac S.F. 30 yr | 207,813 | 223,298 | ||||||
5.00% 12/1/41 | 47,804 | 52,582 | ||||||
5.50% 1/1/38 | 8,664 | 9,710 | ||||||
6.00% 5/1/35 | 8,562 | 9,720 | ||||||
6.00% 2/1/36 | 205,973 | 233,837 | ||||||
6.00% 3/1/36 | 228,954 | 258,796 | ||||||
6.00% 8/1/38 | 1,808,324 | 2,055,965 | ||||||
6.00% 10/1/38 | 3,138 | 3,575 | ||||||
6.00% 5/1/39 | 48,037 | 54,593 | ||||||
6.00% 7/1/39 | 25,759 | 29,234 | ||||||
6.00% 11/1/39 | 30,220 | 34,231 | ||||||
6.00% 5/1/40 | 229,720 | 258,313 | ||||||
6.50% 12/1/31 | 18,651 | 21,021 | ||||||
7.50% 7/1/32 | 3,772 | 4,457 | ||||||
GNMA II S.F. 30 yr | 179,472 | 199,180 | ||||||
5.50% 4/20/40 | 156,368 | 170,624 | ||||||
6.00% 2/20/39 | 191,706 | 213,076 | ||||||
6.00% 10/20/39 | 278,381 | 309,396 | ||||||
6.00% 2/20/40 | 691,253 | 772,203 | ||||||
6.00% 4/20/46 | 228,253 | 254,630 |
12
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
GNMA II S.F. 30 yr | 261,123 | $ | 294,676 | |||||
|
| |||||||
Total Agency Mortgage-Backed Securities (cost $68,571,246) | 68,476,889 | |||||||
|
| |||||||
| ||||||||
Collateralized Debt Obligations – 2.12% | ||||||||
| ||||||||
AMMC CLO | 5,700,000 | 5,699,698 | ||||||
Dryden 36 Senior Loan Fund | 2,488,889 | 2,490,696 | ||||||
Harbourview CLO VII | 2,500,000 | 2,501,543 | ||||||
KKR CLO | 1,750,000 | 1,750,000 | ||||||
Neuberger Berman CLO XVII | 3,390,000 | 3,389,817 | ||||||
Tuolumne Grove CLO | 1,333,333 | 1,333,260 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (cost $17,162,222) | 17,165,014 | |||||||
|
| |||||||
| ||||||||
Convertible Bond – 0.17% | ||||||||
| ||||||||
Jefferies Group 3.875% exercise price $43.72, maturity date 11/1/29 | 1,355,000 | 1,365,163 | ||||||
|
| |||||||
Total Convertible Bond (cost $1,443,922) | 1,365,163 | |||||||
|
| |||||||
| ||||||||
Corporate Bonds – 44.46% | ||||||||
| ||||||||
Banking – 18.35% | ||||||||
Ally Financial 4.125% 3/30/20 | 500,000 | 515,000 | ||||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 3,900,000 | 3,931,079 | ||||||
Banco Nacional de Costa Rica 144A 5.875% 4/25/21 # | 450,000 | 473,085 | ||||||
Banco Santander 3.50% 4/11/22 | 1,600,000 | 1,639,173 | ||||||
Bank of America | 460,000 | 454,622 | ||||||
3.124% 1/20/23 ● | 2,050,000 | 2,074,475 | ||||||
3.705% 4/24/28 ● | 750,000 | 756,584 | ||||||
4.183% 11/25/27 | 710,000 | 723,600 | ||||||
5.75% 12/1/17 | 6,900,000 | 7,017,562 | ||||||
Bank of New York Mellon | 3,340,000 | 3,373,894 | ||||||
2.50% 4/15/21 | 2,280,000 | 2,299,100 | ||||||
Barclays | 780,000 | 791,874 | ||||||
8.25% 12/29/49 ● | 1,200,000 | 1,275,000 | ||||||
BBVA Bancomer 144A 7.25% 4/22/20 # | 500,000 | 549,375 |
13
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Banking (continued) | ||||||||
BGEO Group 144A 6.00% 7/26/23 # | 200,000 | $ | 203,800 | |||||
Branch Banking & Trust 2.85% 4/1/21 | 1,505,000 | 1,537,996 | ||||||
Citigroup 2.279% 5/17/24 ● | 555,000 | 554,956 | ||||||
Citizens Bank | 5,010,000 | 5,055,801 | ||||||
2.50% 3/14/19 | 2,890,000 | 2,912,418 | ||||||
Commonwealth Bank of Australia 2.40% 11/2/20 | 4,055,000 | 4,063,921 | ||||||
Compass Bank 2.75% 9/29/19 | 7,305,000 | 7,365,712 | ||||||
Cooperatieve Centrale Rabobank VA/NY 2.25% 1/14/19 | 5,690,000 | 5,727,821 | ||||||
Credit Suisse | 4,890,000 | 4,923,726 | ||||||
3.00% 10/29/21 | 475,000 | 484,289 | ||||||
Export Credit Bank of Turkey 144A 5.375% 2/8/21 # | 300,000 | 309,980 | ||||||
Export-Import Bank of India 3.125% 7/20/21 | 410,000 | 414,547 | ||||||
Fifth Third Bancorp | 85,000 | 84,651 | ||||||
2.875% 7/27/20 | 1,045,000 | 1,069,328 | ||||||
Fifth Third Bank | 200,000 | 199,509 | ||||||
2.30% 3/15/19 | 510,000 | 513,340 | ||||||
3.85% 3/15/26 | 515,000 | 525,347 | ||||||
Goldman Sachs Group | 1,830,000 | 1,839,741 | ||||||
6.00% 6/15/20 | 200,000 | 220,778 | ||||||
HBOS 144A 6.75% 5/21/18 # | 2,555,000 | 2,658,125 | ||||||
Huntington National Bank 2.375% 3/10/20 | 2,495,000 | 2,505,257 | ||||||
ING Groep 3.15% 3/29/22 | 895,000 | 912,946 | ||||||
JPMorgan Chase & Co. | 3,810,000 | 3,830,342 | ||||||
2.776% 4/25/23 ● | 515,000 | 516,213 | ||||||
4.25% 10/1/27 | 1,010,000 | 1,051,959 | ||||||
5.30% 12/29/49 ● | 1,000,000 | 1,043,750 | ||||||
KeyBank | 1,740,000 | 1,732,346 | ||||||
2.50% 11/22/21 | 1,890,000 | 1,897,008 | ||||||
3.18% 5/22/22 | 1,335,000 | 1,360,234 | ||||||
Manufacturers & Traders Trust 2.50% 5/18/22 | 555,000 | 554,155 | ||||||
Morgan Stanley | 885,000 | 891,719 | ||||||
3.95% 4/23/27 | 2,630,000 | 2,652,160 | ||||||
5.95% 12/28/17 | 6,900,000 | 7,041,733 |
14
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Banking (continued) | ||||||||
PNC Bank | 4,275,000 | $ | 4,300,334 | |||||
2.45% 11/5/20 | 810,000 | 817,202 | ||||||
PNC Financial Services Group | 595,000 | 592,844 | ||||||
5.00% 12/29/49 ● | 1,160,000 | 1,197,700 | ||||||
Popular 7.00% 7/1/19 | 1,000,000 | 1,055,000 | ||||||
Royal Bank of Canada 2.75% 2/1/22 | 1,685,000 | 1,714,513 | ||||||
Royal Bank of Scotland Group | 1,470,000 | 1,501,160 | ||||||
8.625% 12/29/49 ● | 910,000 | 994,175 | ||||||
Santander UK 144A 5.00% 11/7/23 # | 820,000 | 881,843 | ||||||
Santander UK Group Holdings | 3,030,000 | 3,080,162 | ||||||
3.571% 1/10/23 | 775,000 | 793,375 | ||||||
Skandinaviska Enskilda Banken 144A 2.375% 3/25/19 # | 4,580,000 | 4,611,492 | ||||||
State Street | 390,000 | 391,405 | ||||||
3.30% 12/16/24 | 940,000 | 967,698 | ||||||
SunTrust Banks | 3,705,000 | 3,741,465 | ||||||
2.70% 1/27/22 | 2,785,000 | 2,793,444 | ||||||
SVB Financial Group 3.50% 1/29/25 | 1,235,000 | 1,214,292 | ||||||
Swedbank 144A 2.375% 2/27/19 # | 2,000,000 | 2,016,972 | ||||||
Toronto-Dominion Bank 2.25% 11/5/19 | 3,580,000 | 3,607,942 | ||||||
Transnet SOC 144A 4.00% 7/26/22 # | 200,000 | 195,155 | ||||||
Turkiye Garanti Bankasi 144A 6.25% 4/20/21 # | 230,000 | 244,277 | ||||||
UBS Group Funding Jersey | 640,000 | 639,256 | ||||||
144A 3.00% 4/15/21 # | 2,700,000 | 2,743,602 | ||||||
US Bancorp 2.35% 1/29/21 | 1,000,000 | 1,005,366 | ||||||
USB Capital IX 3.50% 10/29/49 ● | 6,960,000 | 6,188,484 | ||||||
Wells Fargo | 3,910,000 | 3,964,470 | ||||||
5.625% 12/11/17 | 5,000,000 | 5,087,360 | ||||||
|
| |||||||
148,871,019 | ||||||||
|
| |||||||
Basic Industry – 2.28% | ||||||||
Allegheny Technologies 9.375% 6/1/19 | 250,000 | 272,187 | ||||||
Beacon Roofing Supply 6.375% 10/1/23 | 500,000 | 540,000 | ||||||
Dow Chemical 8.55% 5/15/19 | 1,760,000 | 1,972,200 | ||||||
Equate Petrochemical 144A 3.00% 3/3/22 # | 265,000 | 261,661 | ||||||
FMG Resources August 2006 144A 4.75% 5/15/22 # | 1,000,000 | 1,006,250 |
15
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Basic Industry (continued) | ||||||||
Freeport-McMoRan 6.50% 11/15/20 | 1,000,000 | $ | 1,031,250 | |||||
Georgia-Pacific | 1,000,000 | 1,009,495 | ||||||
144A 5.40% 11/1/20 # | 5,750,000 | 6,292,691 | ||||||
INVISTA Finance 144A 4.25% 10/15/19 # | 1,330,000 | 1,376,816 | ||||||
Joseph T Ryerson & Son 144A 11.00% 5/15/22 # | 500,000 | 566,875 | ||||||
MMC Finance DAC 4.375% 4/30/18 | 500,000 | 508,931 | ||||||
NCI Building Systems 144A 8.25% 1/15/23 # | 335,000 | 363,894 | ||||||
Phosagro OAO via Phosagro Bond Funding DAC 144A | 500,000 | 504,223 | ||||||
Sherwin-Williams | 1,315,000 | 1,315,563 | ||||||
3.45% 6/1/27 | 250,000 | 252,296 | ||||||
Suzano Trading 144A 5.875% 1/23/21 # | 200,000 | 213,000 | ||||||
Vale Overseas 5.875% 6/10/21 | 510,000 | 548,760 | ||||||
Vedanta Resources | 200,000 | 201,140 | ||||||
144A 8.25% 6/7/21 # | 200,000 | 218,554 | ||||||
|
| |||||||
18,455,786 | ||||||||
|
| |||||||
Brokerage – 0.31% | ||||||||
Jefferies Group 5.125% 1/20/23 | 2,285,000 | 2,490,979 | ||||||
|
| |||||||
2,490,979 | ||||||||
|
| |||||||
Capital Goods – 1.58% | ||||||||
Ardagh Packaging Finance 144A 7.25% 5/15/24 # | 1,000,000 | 1,097,500 | ||||||
Cemex Finance 144A 9.375% 10/12/22 # | 900,000 | 958,500 | ||||||
Cia Brasileira de Aluminio 144A 6.75% 4/5/21 # | 250,000 | 266,875 | ||||||
General Electric | 280,000 | 275,253 | ||||||
5.55% 5/4/20 | 2,175,000 | 2,390,656 | ||||||
6.00% 8/7/19 | 1,445,000 | 1,570,914 | ||||||
Rockwell Collins | 525,000 | 532,814 | ||||||
3.50% 3/15/27 | 385,000 | 391,227 | ||||||
Roper Technologies 2.80% 12/15/21 | 1,100,000 | 1,110,384 | ||||||
Siemens Financieringsmaatschappij 144A | 3,920,000 | 3,973,143 | ||||||
Union Andina de Cementos 144A 5.875% 10/30/21 # | 244,000 | 254,004 | ||||||
|
| |||||||
12,821,270 | ||||||||
|
| |||||||
Communications – 3.59% | ||||||||
21st Century Fox America 4.50% 2/15/21 | 1,340,000 | 1,437,021 | ||||||
Altice Luxembourg 144A 7.75% 5/15/22 # | 1,000,000 | 1,062,500 |
16
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Communications (continued) | ||||||||
American Tower | 2,790,000 | $ | 2,723,060 | |||||
4.00% 6/1/25 | 470,000 | 487,671 | ||||||
4.40% 2/15/26 | 290,000 | 304,557 | ||||||
AT&T 2.80% 2/17/21 | 70,000 | 70,796 | ||||||
Cablevision 144A 6.50% 6/15/21 # | 195,000 | 207,187 | ||||||
CC Holdings GS V 3.849% 4/15/23 | 1,165,000 | 1,226,165 | ||||||
CCO Holdings 5.75% 9/1/23 | 500,000 | 522,500 | ||||||
CenturyLink 5.625% 4/1/20 | 750,000 | 796,170 | ||||||
Columbus Cable Barbados 144A 7.375% 3/30/21 # | 1,000,000 | 1,063,750 | ||||||
Crown Castle International 5.25% 1/15/23 | 805,000 | 895,198 | ||||||
Crown Castle Towers 144A 3.663% 5/15/25 # | 635,000 | 657,225 | ||||||
CSC Holdings 6.75% 11/15/21 | 750,000 | 832,500 | ||||||
Deutsche Telekom International Finance 144A | 1,645,000 | 1,677,135 | ||||||
Digicel Group 144A 7.125% 4/1/22 # | 500,000 | 438,150 | ||||||
Dish DBS 6.75% 6/1/21 | 500,000 | 556,250 | ||||||
GTH Finance 144A 6.25% 4/26/20 # | 500,000 | 529,977 | ||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 520,000 | 514,454 | ||||||
SBA Tower Trust 144A 2.24% 4/10/18 # | 1,995,000 | 1,994,428 | ||||||
Sirius XM Radio 144A 3.875% 8/1/22 # | 1,000,000 | 1,012,820 | ||||||
Sprint Communications | 450,000 | 495,000 | ||||||
144A 9.00% 11/15/18 # | 93,000 | 101,050 | ||||||
Time Warner Entertainment 8.375% 3/15/23 | 3,295,000 | 4,150,359 | ||||||
Verizon Communications 4.50% 9/15/20 | 3,165,000 | 3,383,233 | ||||||
VTR Finance 144A 6.875% 1/15/24 # | 1,000,000 | 1,062,500 | ||||||
WideOpenWest Finance 10.25% 7/15/19 | 422,000 | 435,188 | ||||||
Wind Acquisition Finance 144A 7.375% 4/23/21 # | 500,000 | 520,313 | ||||||
|
| |||||||
29,157,157 | ||||||||
|
| |||||||
Consumer Cyclical – 2.07% | ||||||||
Alibaba Group Holding 3.125% 11/28/21 | 200,000 | 204,345 | ||||||
Cencosud 144A 5.50% 1/20/21 # | 500,000 | 548,046 | ||||||
Daimler Finance North America 144A 2.70% 8/3/20 # | 4,480,000 | 4,542,850 | ||||||
Ford Motor Credit | 980,000 | 969,563 | ||||||
3.336% 3/18/21 | 1,575,000 | 1,606,662 | ||||||
General Motors Financial | 1,135,000 | 1,155,066 | ||||||
3.45% 1/14/22 | 1,100,000 | 1,119,341 | ||||||
3.45% 4/10/22 | 1,070,000 | 1,088,581 | ||||||
JD.com 3.125% 4/29/21 | 600,000 | 600,759 |
17
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Consumer Cyclical (continued) | ||||||||
MGM Resorts International 6.75% 10/1/20 | 375,000 | $ | 416,400 | |||||
NCL 144A 4.75% 12/15/21 # | 1,000,000 | 1,040,490 | ||||||
Prime Security Services Borrower 144A 9.25% 5/15/23 # | 750,000 | 816,870 | ||||||
Starbucks 2.10% 2/4/21 | 2,110,000 | 2,124,057 | ||||||
Wyndham Worldwide 4.15% 4/1/24 | 575,000 | 591,304 | ||||||
|
| |||||||
16,824,334 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 2.73% | ||||||||
Abbott Laboratories 2.80% 9/15/20 | 1,175,000 | 1,194,145 | ||||||
AbbVie 2.30% 5/14/21 | 3,805,000 | 3,798,691 | ||||||
Anheuser-Busch InBev Finance 2.65% 2/1/21 | 3,360,000 | 3,407,591 | ||||||
Becton Dickinson | 690,000 | 691,633 | ||||||
3.363% 6/6/24 | 685,000 | 687,356 | ||||||
Gilead Sciences 1.95% 3/1/22 | 2,300,000 | 2,255,306 | ||||||
Kernel Holding 144A 8.75% 1/31/22 # | 235,000 | 252,766 | ||||||
Marfrig Holdings Europe 144A 8.00% 6/8/23 # | 200,000 | 203,540 | ||||||
Pernod Ricard 144A 4.45% 1/15/22 # | 1,795,000 | 1,926,346 | ||||||
Reynolds American 4.00% 6/12/22 | 2,370,000 | 2,513,921 | ||||||
Roche Holdings 144A 1.75% 1/28/22 # | 1,015,000 | 989,806 | ||||||
Shire Acquisitions Investments Ireland | 1,090,000 | 1,078,254 | ||||||
2.875% 9/23/23 | 1,040,000 | 1,032,129 | ||||||
Thermo Fisher Scientific 3.00% 4/15/23 | 2,130,000 | 2,149,773 | ||||||
|
| |||||||
22,181,257 | ||||||||
|
| |||||||
Electric – 5.30% | ||||||||
AES Gener 144A 5.25% 8/15/21 # | 420,000 | 452,211 | ||||||
Ameren 2.70% 11/15/20 | 3,665,000 | 3,711,278 | ||||||
Arizona Public Service 2.20% 1/15/20 | 4,195,000 | 4,206,792 | ||||||
CMS Energy 6.25% 2/1/20 | 1,345,000 | 1,481,383 | ||||||
Dominion Energy 2.00% 8/15/21 | 410,000 | 402,477 | ||||||
DTE Energy | 1,725,000 | 1,733,858 | ||||||
3.30% 6/15/22 | 1,050,000 | 1,078,458 | ||||||
Duke Energy 1.80% 9/1/21 | 2,450,000 | 2,393,768 | ||||||
Dynegy 6.75% 11/1/19 | 1,000,000 | 1,036,250 | ||||||
Enel Finance International 144A 2.875% 5/25/22 # | 2,790,000 | 2,796,716 | ||||||
Entergy 4.00% 7/15/22 | 3,175,000 | 3,359,017 | ||||||
Exelon | 2,000,000 | 2,033,098 | ||||||
3.497% 6/1/22 | 905,000 | 929,126 | ||||||
Fortis 144A 2.10% 10/4/21 # | 2,895,000 | 2,838,061 | ||||||
Great Plains Energy 3.15% 4/1/22 | 5,010,000 | 5,067,860 |
18
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Electric (continued) | ||||||||
IPALCO Enterprises 3.45% 7/15/20 | 710,000 | $ | 722,425 | |||||
Majapahit Holding 144A 8.00% 8/7/19 # | 500,000 | 556,900 | ||||||
NV Energy 6.25% 11/15/20 | 2,460,000 | 2,769,357 | ||||||
Southern 2.35% 7/1/21 | 3,360,000 | 3,338,355 | ||||||
WEC Energy Group 2.45% 6/15/20 | 2,075,000 | 2,094,814 | ||||||
|
| |||||||
43,002,204 | ||||||||
|
| |||||||
Energy – 3.37% | ||||||||
Antero Resources 5.375% 11/1/21 | 500,000 | 506,875 | ||||||
BP Capital Markets 3.216% 11/28/23 | 1,150,000 | 1,168,721 | ||||||
Chevron 2.10% 5/16/21 | 2,495,000 | 2,488,608 | ||||||
Dominion Energy Gas Holdings 2.50% 12/15/19 | 2,020,000 | 2,034,760 | ||||||
Empresa Nacional del Petroleo 144A 4.75% 12/6/21 # | 200,000 | 213,723 | ||||||
Energy Transfer Equity 7.50% 10/15/20 | 500,000 | 561,250 | ||||||
Genesis Energy 5.75% 2/15/21 | 500,000 | 501,250 | ||||||
KazMunayGas National | 250,000 | 248,013 | ||||||
144A 6.375% 4/9/21 # | 250,000 | 272,169 | ||||||
Kinder Morgan Energy Partners 9.00% 2/1/19 | 850,000 | 938,011 | ||||||
Kunlun Energy 144A 2.875% 5/13/20 # | 400,000 | 403,232 | ||||||
Laredo Petroleum 5.625% 1/15/22 | 500,000 | 487,500 | ||||||
Murphy Oil USA 6.00% 8/15/23 | 500,000 | 530,000 | ||||||
Newfield Exploration 5.75% 1/30/22 | 500,000 | 528,750 | ||||||
Noble Holding International 5.75% 3/16/18 | 580,000 | 585,690 | ||||||
Oasis Petroleum 6.50% 11/1/21 | 500,000 | 487,500 | ||||||
Pertamina Persero 144A 5.25% 5/23/21 # | 325,000 | 352,693 | ||||||
Petrobras Global Finance 5.375% 1/27/21 | 500,000 | 509,600 | ||||||
Petroleos Mexicanos 3.50% 7/18/18 | 250,000 | 253,650 | ||||||
Plains All American Pipeline | 415,000 | 403,058 | ||||||
3.85% 10/15/23 | 1,280,000 | 1,290,076 | ||||||
Precision Drilling 6.50% 12/15/21 | 500,000 | 491,875 | ||||||
Sabine Pass Liquefaction | 1,965,000 | 2,186,652 | ||||||
5.625% 3/1/25 | 490,000 | 541,880 | ||||||
5.75% 5/15/24 | 960,000 | 1,070,534 | ||||||
Shell International Finance | 2,160,000 | 2,120,591 | ||||||
2.375% 8/21/22 | 565,000 | 562,081 | ||||||
Southwestern Energy 5.80% 1/23/20 | 500,000 | 513,500 | ||||||
Spectra Energy Capital 3.30% 3/15/23 | 600,000 | 602,915 | ||||||
Tesoro 144A 4.75% 12/15/23 # | 1,010,000 | 1,092,719 | ||||||
Woodside Finance 144A 8.75% 3/1/19 # | 2,235,000 | 2,469,192 |
19
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Energy (continued) | ||||||||
WPX Energy 7.50% 8/1/20 | 500,000 | $ | 527,500 | |||||
YPF 144A 24.167% 7/7/20 #• | 325,000 | 355,063 | ||||||
|
| |||||||
27,299,631 | ||||||||
|
| |||||||
Finance Companies – 1.07% | ||||||||
AerCap Ireland Capital | 790,000 | 811,535 | ||||||
3.95% 2/1/22 | 1,525,000 | 1,589,263 | ||||||
4.25% 7/1/20 | 500,000 | 523,683 | ||||||
4.625% 10/30/20 | 500,000 | 531,751 | ||||||
Air Lease 3.00% 9/15/23 | 1,030,000 | 1,025,367 | ||||||
Aviation Capital Group 144A 2.875% 1/20/22 # | 605,000 | 603,435 | ||||||
Corporacion Financiera de Desarrollo 144A | 500,000 | 510,000 | ||||||
GrupoSura Finance 144A 5.70% 5/18/21 # | 500,000 | 547,600 | ||||||
International Lease Finance 8.625% 1/15/22 | 1,080,000 | 1,331,036 | ||||||
Park Aerospace Holdings 144A 5.25% 8/15/22 # | 500,000 | 524,535 | ||||||
SMBC Aviation Capital Finance 144A 2.65% 7/15/21 # | 720,000 | 707,550 | ||||||
|
| |||||||
8,705,755 | ||||||||
|
| |||||||
Healthcare – 0.20% | ||||||||
HCA Healthcare 6.25% 2/15/21 | 1,000,000 | 1,095,000 | ||||||
Mallinckrodt International Finance 144A 4.875% 4/15/20 # | 500,000 | 489,375 | ||||||
|
| |||||||
1,584,375 | ||||||||
|
| |||||||
Insurance – 1.64% | ||||||||
ACE INA Holdings 2.30% 11/3/20 | 3,540,000 | 3,561,544 | ||||||
American International Group 2.30% 7/16/19 | 3,700,000 | 3,721,538 | ||||||
Hub Holdings 144A PIK 8.125% 7/15/19 #T | 500,000 | 501,875 | ||||||
Pricoa Global Funding I 144A 2.20% 5/16/19 # | 3,855,000 | 3,875,432 | ||||||
Principal Life Global Funding II 144A 3.00% 4/18/26 # | 815,000 | 804,265 | ||||||
TIAA Asset Management Finance 144A 4.125% 11/1/24 # | 460,000 | 476,705 | ||||||
Willis North America 3.60% 5/15/24 | 340,000 | 343,846 | ||||||
|
| |||||||
13,285,205 | ||||||||
|
| |||||||
Natural Gas – 0.35% | ||||||||
CenterPoint Energy Resources 4.50% 1/15/21 | 2,700,000 | 2,837,327 | ||||||
|
| |||||||
2,837,327 | ||||||||
|
| |||||||
Real Estate – 0.25% | ||||||||
Hospitality Properties Trust 4.50% 6/15/23 | 665,000 | 697,681 | ||||||
Host Hotels & Resorts | 505,000 | 515,563 | ||||||
3.875% 4/1/24 | 785,000 | 799,465 | ||||||
|
| |||||||
2,012,709 | ||||||||
|
| |||||||
Services – 0.19% | ||||||||
GEO Group 5.875% 1/15/22 | 500,000 | 522,500 |
20
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Services (continued) | ||||||||
Iron Mountain 144A 4.375% 6/1/21 # | 1,000,000 | $ | 1,040,000 | |||||
|
| |||||||
1,562,500 | ||||||||
|
| |||||||
Technology – 0.25% | ||||||||
Cisco Systems 1.85% 9/20/21 | 1,005,000 | 993,110 | ||||||
Dell International 144A 4.42% 6/15/21 # | 1,000,000 | 1,055,058 | ||||||
|
| |||||||
2,048,168 | ||||||||
|
| |||||||
Transportation – 0.93% | ||||||||
Penske Truck Leasing 144A 4.20% 4/1/27 # | 2,635,000 | 2,727,697 | ||||||
Ryder System 3.45% 11/15/21 | 1,895,000 | 1,957,205 | ||||||
United Airlines 2015-1 Class AA Pass-Through Trust | 342,594 | 350,730 | ||||||
United Parcel Service 5.125% 4/1/19 | 2,340,000 | 2,474,412 | ||||||
|
| |||||||
7,510,044 | ||||||||
|
| |||||||
Total Corporate Bonds (cost $356,486,154) |
| 360,649,720 | ||||||
|
| |||||||
| ||||||||
Loan Agreements – 5.48%« | ||||||||
| ||||||||
Alpha 3 Tranche B1 1st Lien 4.296% 1/31/24 | 1,500,000 | 1,506,375 | ||||||
Amaya Holdings Tranche B 1st Lien 4.796% 8/1/21 | 494,949 | 496,462 | ||||||
Applied Systems 2nd Lien 7.796% 1/23/22 | 199,095 | 201,252 | ||||||
Blue Ribbon 1st Lien 5.227% 11/13/21 | 639,730 | 627,335 | ||||||
Builders FirstSource 1st Lien 4.069% 2/29/24 | 1,485,000 | 1,484,381 | ||||||
Change Healthcare Holdings Tranche B 1st Lien | 1,596,000 | 1,598,244 | ||||||
Chesapeake Energy 1st Lien 8.686% 8/23/21 | 250,000 | 267,422 | ||||||
First Data 1st Lien 3.716% 4/26/24 | 971,580 | 972,430 | ||||||
First Eagle Holdings Tranche B 1st Lien 4.796% 12/1/22 | 1,488,693 | 1,504,511 | ||||||
Forterra Finance Tranche B 1st Lien 4.226% 10/25/23 | 344,632 | 326,194 | ||||||
Gardner Denver 1st Lien 4.546% 7/30/20 | 928,264 | 931,512 | ||||||
JBS USA Tranche B 1st Lien 5.75% 10/30/22 | 1,496,250 | 1,460,481 | ||||||
JC Penney Tranche B 1st Lien 5.45% 6/23/23 | 113,696 | 112,530 | ||||||
KIK Custom Products Tranche B 1st Lien 5.793% 8/26/22 | 1,158,268 | 1,167,534 | ||||||
Landry’s 1st Lien 3.968% 10/4/23 | 2,136,732 | 2,132,948 | ||||||
Mission Broadcasting Tranche B 1st Lien 4.238% 1/17/24 | 210,382 | 211,237 | ||||||
Mohegan Gaming & Entertainment Tranche B 1st Lien | 585,060 | 591,057 | ||||||
MPH Acquisition Holdings Tranche B 1st Lien | 227,305 | 227,561 | ||||||
Nexstar Broadcasting Tranche B 1st Lien 4.238% 1/17/24 | 2,134,545 | 2,143,218 | ||||||
ON Semiconductor 3.476% 3/31/23 | 1,751,290 | 1,756,216 | ||||||
PQ 1st Lien 5.476% 11/4/22 | 694,254 | 701,945 | ||||||
Republic of Angola 7.57% 12/16/23 | 414,375 | 372,938 | ||||||
Rite Aid 2nd Lien 5.98% 8/21/20 | 500,000 | 503,438 |
21
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Loan Agreements« (continued) |
| |||||||
| ||||||||
Russell Investments Tranche B 1st Lien 6.795% 6/1/23 | 2,229,361 | $ | 2,255,835 | |||||
Scientific Games International Tranche B3 1st Lien | 311,710 | 315,161 | ||||||
SFR Group Tranche B10 1st Lien 4.422% 1/31/25 | 3,482,500 | 3,479,390 | ||||||
Sprint Communications Tranche B 1st Lien 3.75% 2/2/24 | 2,493,750 | 2,496,421 | ||||||
Summit Midstream Partners Holdings Tranche B 1st Lien | 250,000 | 253,438 | ||||||
Team Health Holdings Tranche B 1st Lien 3.976% 2/6/24 | 1,596,000 | 1,589,417 | ||||||
Telenet Financing USD Tranche A1 1st Lien | 2,500,000 | 2,503,908 | ||||||
Uniti Group 1st Lien 6.25% 10/24/22 | 2,481,281 | 2,483,857 | ||||||
Univision Communications Tranche C 1st Lien | 2,473,353 | 2,432,389 | ||||||
UPC Financing Partnership Tranche AP 1st Lien | 1,600,000 | 1,603,800 | ||||||
WideOpenWest Finance Tranche B 1st Lien | 2,481,250 | 2,485,749 | ||||||
Windstream Services Tranche B6 1st Lien 5.21% 3/30/21 | 1,291,369 | 1,288,948 | ||||||
|
| |||||||
Total Loan Agreements (cost $44,102,240) |
| 44,485,534 | ||||||
|
| |||||||
| ||||||||
Municipal Bonds – 0.34% | ||||||||
| ||||||||
Commonwealth of Massachusetts | 200,000 | 246,972 | ||||||
County of Baltimore, Maryland | 2,030,000 | 2,537,419 | ||||||
|
| |||||||
Total Municipal Bonds (cost $2,801,465) |
| 2,784,391 | ||||||
|
| |||||||
| ||||||||
Non-Agency Asset-Backed Securities – 27.74% | ||||||||
| ||||||||
Ally Master Owner Trust | 3,855,000 | 3,855,763 | ||||||
American Express Credit Account Master Trust | 7,135,000 | 7,161,195 | ||||||
Series 2013-2 A 1.579% 5/17/21 ● | 2,474,000 | 2,484,081 | ||||||
Series 2014-1 A 1.529% 12/15/21 ● | 2,100,000 | 2,109,018 | ||||||
ARI Fleet Lease Trust | 66,679 | 66,622 | ||||||
Series 2017-A A1 144A 1.25% 6/15/18 # | 1,250,000 | 1,249,234 | ||||||
Avis Budget Rental Car Funding AESOP | 6,500,000 | 6,566,221 | ||||||
Bank of America Credit Card Trust | 5,625,000 | 5,648,637 | ||||||
Series 2014-A3 A 1.449% 1/15/20 ● | 1,265,000 | 1,265,420 | ||||||
Series 2015-A1 A 1.489% 6/15/20 ● | 2,023,000 | 2,026,225 |
22
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Bank of America Credit Card Trust | 3,000,000 | $ | 3,009,915 | |||||
Barclays Dryrock Issuance Trust | 1,290,000 | 1,291,788 | ||||||
BMW Vehicle Lease Trust | 5,837,000 | 5,833,829 | ||||||
Series 2016-2 A3 1.43% 9/20/19 | 1,810,000 | 1,805,024 | ||||||
Cabela’s Credit Card Master Note Trust | 6,000,000 | 6,020,401 | ||||||
Series 2015-1A A1 2.26% 3/15/23 | 500,000 | 502,725 | ||||||
Capital One Multi-Asset Execution Trust | 200,000 | 199,994 | ||||||
Series 2014-A3 A3 1.539% 1/18/22 ● | 2,000,000 | 2,008,567 | ||||||
Series 2016-A1 A1 1.609% 2/15/22 ● | 7,660,000 | 7,705,063 | ||||||
Chase Issuance Trust | 2,750,000 | 2,752,959 | ||||||
Series 2013-A3 A3 1.439% 4/15/20 ● | 3,670,000 | 3,675,269 | ||||||
Series 2013-A6 A6 1.579% 7/15/20 ● | 4,000,000 | 4,012,737 | ||||||
Series 2013-A9 A 1.579% 11/16/20 ● | 8,900,000 | 8,937,823 | ||||||
Series 2014-A5 A5 1.529% 4/15/21 ● | 3,281,000 | 3,293,176 | ||||||
Series 2016-A1 A 1.569% 5/17/21 ● | 3,026,000 | 3,042,270 | ||||||
Series 2016-A3 A3 1.709% 6/15/23 ● | 5,965,000 | 6,013,735 | ||||||
Series 2017-A1 A 1.459% 1/18/22 ● | 3,670,000 | 3,682,113 | ||||||
Series 2017-A2 A 1.559% 3/15/24 ● | 1,300,000 | 1,303,933 | ||||||
Citibank Credit Card Issuance Trust | 800,000 | 802,911 | ||||||
Series 2013-A7 A7 1.654% 9/10/20 ● | 8,100,000 | 8,130,303 | ||||||
Series 2016-A3 A3 1.713% 12/7/23 ● | 2,770,000 | 2,793,216 | ||||||
Series 2017-A1 A1 1.459% 1/19/21 ● | 2,650,000 | 2,655,554 | ||||||
Series 2017-A5 A5 1.836% 4/22/26 ● | 360,000 | 361,870 | ||||||
CNH Equipment Trust | 77,012 | 77,112 | ||||||
Discover Card Execution Note Trust | 3,300,000 | 3,303,910 | ||||||
Series 2013-A6 A6 1.609% 4/15/21 ● | 2,405,000 | 2,415,972 | ||||||
Series 2014-A1 A1 1.589% 7/15/21 ● | 8,365,000 | 8,403,280 | ||||||
Series 2015-A1 A1 1.509% 8/17/20 ● | 7,350,000 | 7,363,965 | ||||||
Series 2016-A4 A4 1.39% 3/15/22 | 2,000,000 | 1,983,251 | ||||||
Series 2017-A1 A1 1.649% 7/15/24 ● | 11,715,000 | 11,778,138 | ||||||
Series 2017-A3 A3 1.389% 10/17/22 ● | 3,025,000 | 3,031,636 | ||||||
Series 2017-A5 A5 1.816% 12/15/26 ● | 660,000 | 663,508 | ||||||
Ford Credit Auto Owner Trust | 329,745 | 329,958 |
23
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Ford Credit Auto Owner Trust | 2,251,025 | $ | 2,252,005 | |||||
Series 2017-1 A 144A 2.62% 8/15/28 # | 5,500,000 | 5,565,409 | ||||||
Ford Credit Floorplan Master Owner Trust A | 6,612,000 | 6,640,410 | ||||||
Series 2014-4 A2 1.509% 8/15/19 ● | 7,650,000 | 7,651,991 | ||||||
Series 2015-1 A2 1.559% 1/15/20 ● | 1,200,000 | 1,201,731 | ||||||
Series 2015-2 A2 1.729% 1/15/22 ● | 1,470,000 | 1,483,208 | ||||||
Series 2017-1 A2 1.579% 5/15/22 ● | 400,000 | 400,357 | ||||||
Golden Credit Card Trust | 535,000 | 536,415 | ||||||
GreatAmerica Leasing Receivables Funding | 825,000 | 824,537 | ||||||
Hertz Fleet Lease Funding | 841,834 | 841,640 | ||||||
HOA Funding | 250,425 | 236,847 | ||||||
Hyundai Auto Lease Securitization Trust | 6,650,000 | 6,636,072 | ||||||
Hyundai Auto Receivables Trust | 159,087 | 159,038 | ||||||
Series 2016-A A2B 1.529% 6/17/19 ● | 1,534,694 | 1,536,449 | ||||||
Mercedes-Benz Auto Lease Trust | 170,780 | 170,892 | ||||||
Mercedes-Benz Master Owner Trust | 1,000,000 | 1,001,735 | ||||||
Series 2016-AA A 144A 1.739% 5/15/20 #● | 1,970,000 | 1,977,280 | ||||||
Navistar Financial Dealer Note Master Owner Trust II | 390,000 | 392,081 | ||||||
Series 2017-1 A 144A 2.489% 6/27/22 #● | 1,000,000 | 999,805 | ||||||
NextGear Floorplan Master Owner Trust | 1,015,000 | 1,015,825 | ||||||
Nissan Auto Lease Trust | 301,258 | 301,520 | ||||||
Series 2016-B A2B 1.439% 12/17/18 ● | 1,498,824 | 1,499,984 | ||||||
Series 2016-B A3 1.50% 7/15/19 | 755,000 | 753,340 | ||||||
Nissan Auto Receivables Owner Trust | 101,614 | 101,650 | ||||||
Series 2016-B A2B 1.459% 4/15/19 ● | 1,469,050 | 1,470,208 | ||||||
PFS Financing | 2,000,000 | 1,999,595 | ||||||
Series 2017-AA A 144A 1.739% 3/15/21 #● | 2,245,000 | 2,249,134 | ||||||
Synchrony Credit Card Master Note Trust | 235,000 | 234,978 |
24
Table of Contents
Principal amount° | Value (US $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
| ||||||||
Synchrony Credit Card Master Note Trust | 640,000 | $ | 640,117 | |||||
Towd Point Mortgage Trust | 540,070 | 544,229 | ||||||
Series 2015-6 A1B 144A 2.75% 4/25/55 #● | 585,982 | 590,496 | ||||||
Toyota Auto Receivables Owner Trust | 229,975 | 230,049 | ||||||
Series 2017-A A2B 1.229% 9/16/19 ● | 1,000,000 | 1,000,266 | ||||||
Trafigura Securitisation Finance | 3,410,000 | 3,410,000 | ||||||
Volkswagen Credit Auto Master Trust | 2,210,000 | 2,209,799 | ||||||
Volvo Financial Equipment | 515,000 | 514,793 | ||||||
Wells Fargo Dealer Floorplan Master Note Trust | 8,575,000 | 8,582,177 | ||||||
Series 2015-1 A 1.712% 1/20/20 ● | 4,810,000 | 4,818,618 | ||||||
World Financial Network Credit Card Master Trust | 685,000 | 686,737 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities (cost $224,717,464) | 224,979,738 | |||||||
|
| |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations – 0.13% | ||||||||
| ||||||||
American Home Mortgage Investment Trust | 21,665 | 21,386 | ||||||
Bank of America Alternative Loan Trust | 22,142 | 21,263 | ||||||
GSMPS Mortgage Loan Trust | 45,772 | 46,917 | ||||||
JPMorgan Mortgage Trust | 455,000 | 452,924 | ||||||
Sequoia Mortgage Trust | 381,947 | 387,900 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | 111,103 | 104,817 | ||||||
|
| |||||||
Total Non-Agency Collateralized Mortgage Obligations (cost $993,526) | 1,035,207 | |||||||
|
| |||||||
| ||||||||
Non-Agency Commercial Mortgage-Backed Securities – 0.08% | ||||||||
| ||||||||
Citigroup Commercial Mortgage Trust | 535,000 | 535,357 | ||||||
DB-UBS Mortgage Trust | 100,000 | 109,222 | ||||||
|
| |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $680,807) | 644,579 | |||||||
|
|
25
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||||||
| ||||||||||||
Regional Bond – 0.07%D | ||||||||||||
| ||||||||||||
Argentina – 0.07% | ||||||||||||
Provincia de Cordoba 144A 7.125% 6/10/21 # | 500,000 | $ | 526,685 | |||||||||
|
| |||||||||||
Total Regional Bond (cost $526,250) | 526,685 | |||||||||||
|
| |||||||||||
| ||||||||||||
Sovereign Bonds – 0.76%D | ||||||||||||
| ||||||||||||
Argentina – 0.06% | ||||||||||||
Argentine Republic Government International Bond | 500,000 | 513,250 | ||||||||||
|
| |||||||||||
513,250 | ||||||||||||
|
| |||||||||||
Bahrain – 0.04% | ||||||||||||
Bahrain Government International Bond 144A | 310,000 | 326,436 | ||||||||||
|
| |||||||||||
326,436 | ||||||||||||
|
| |||||||||||
Chile – 0.04% | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos | CLP | 190,000,000 | 299,516 | |||||||||
|
| |||||||||||
299,516 | ||||||||||||
|
| |||||||||||
Costa Rica – 0.03% | ||||||||||||
Costa Rica Government International Bond 144A | 250,000 | 244,687 | ||||||||||
|
| |||||||||||
244,687 | ||||||||||||
|
| |||||||||||
Croatia – 0.07% | ||||||||||||
Croatia Government International Bond 144A | 500,000 | 547,653 | ||||||||||
|
| |||||||||||
547,653 | ||||||||||||
|
| |||||||||||
Dominican Republic – 0.04% | ||||||||||||
Dominican Republic International Bond 144A | 300,000 | 332,250 | ||||||||||
|
| |||||||||||
332,250 | ||||||||||||
|
| |||||||||||
Ecuador – 0.03% | ||||||||||||
Ecuador Government International Bond 144A | 250,000 | 263,750 | ||||||||||
|
| |||||||||||
263,750 | ||||||||||||
|
| |||||||||||
Egypt – 0.06% | ||||||||||||
Egypt Government International Bond 144A | 500,000 | 511,605 | ||||||||||
|
| |||||||||||
511,605 | ||||||||||||
|
| |||||||||||
Hungary – 0.07% | ||||||||||||
Hungary Government International Bond | 500,000 | 562,990 | ||||||||||
|
| |||||||||||
562,990 | ||||||||||||
|
|
26
Table of Contents
Principal amount° | Value (US $) | |||||||||||
| ||||||||||||
Sovereign BondsD (continued) | ||||||||||||
| ||||||||||||
Indonesia – 0.06% | ||||||||||||
Perusahaan Penerbit SBSN Indonesia 144A | 500,000 | $ | 505,625 | |||||||||
|
| |||||||||||
505,625 | ||||||||||||
|
| |||||||||||
Nigeria – 0.06% | ||||||||||||
Nigeria Government International Bond 5.625% 6/27/22 | 500,000 | 495,813 | ||||||||||
|
| |||||||||||
495,813 | ||||||||||||
|
| |||||||||||
Saudi Arabia – 0.06% | ||||||||||||
Kingdom of Saudi Arabia Sukuk 144A 2.894% 4/20/22 # | 500,000 | 501,414 | ||||||||||
|
| |||||||||||
�� | 501,414 | |||||||||||
|
| |||||||||||
Serbia – 0.07% | ||||||||||||
Republic of Serbia 144A 4.875% 2/25/20 # | 500,000 | 521,754 | ||||||||||
|
| |||||||||||
521,754 | ||||||||||||
|
| |||||||||||
Sri Lanka – 0.07% | ||||||||||||
Sri Lanka Government International Bond | 250,000 | 256,432 | ||||||||||
144A 5.75% 1/18/22 # | 250,000 | 259,749 | ||||||||||
|
| |||||||||||
516,181 | ||||||||||||
|
| |||||||||||
Total Sovereign Bonds (cost $6,085,476) | 6,142,924 | |||||||||||
|
| |||||||||||
| ||||||||||||
US Treasury Obligations – 1.15% | ||||||||||||
| ||||||||||||
US Treasury Notes | 2,290,000 | 2,276,583 | ||||||||||
2.25% 2/15/27 | 6,095,000 | 6,068,810 | ||||||||||
2.375% 5/15/27 | 960,000 | 966,338 | ||||||||||
|
| |||||||||||
Total US Treasury Obligations (cost $9,324,096) | 9,311,731 | |||||||||||
|
| |||||||||||
| Number of Shares | | ||||||||||
| ||||||||||||
Preferred Stock – 0.47% | ||||||||||||
| ||||||||||||
Bank of America 8.125% ● | 1,000,000 | 1,041,100 | ||||||||||
General Electric 5.00% ● | 1,111,000 | 1,180,604 | ||||||||||
Morgan Stanley 5.55% ● | 1,180,000 | 1,234,280 | ||||||||||
USB Realty 2.305% #● | 400,000 | 351,000 | ||||||||||
|
| |||||||||||
Total Preferred Stock (cost $3,713,522) | 3,806,984 | |||||||||||
|
| |||||||||||
Principal amount | ° | |||||||||||
| ||||||||||||
Short-Term Investments – 1.50% | ||||||||||||
| ||||||||||||
Discount Note – 0.03%≠ | ||||||||||||
Federal Home Loan Bank 0.95% 7/10/17 | 271,712 | 271,659 | ||||||||||
|
| |||||||||||
271,659 | ||||||||||||
|
|
27
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
Principal amount° | Value (US $) | |||||||
| ||||||||
Short-Term Investments (continued) | ||||||||
| ||||||||
Repurchase Agreements – 1.29% | ||||||||
Bank of America Merrill Lynch | 2,903,668 | $ | 2,903,668 | |||||
Bank of Montreal | 4,839,447 | 4,839,447 | ||||||
BNP Paribas | 2,718,685 | 2,718,685 | ||||||
|
| |||||||
10,461,800 | ||||||||
|
| |||||||
US Treasury Obligation – 0.18%≠ | ||||||||
US Treasury Bill 0.70% 7/13/17 | 1,408,568 | 1,408,269 | ||||||
|
| |||||||
1,408,269 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $12,141,686) | 12,141,728 | |||||||
|
| |||||||
Total Value of Securities – 103.34% | $ | 838,202,901 | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2017, the aggregate value of Rule 144A securities was $149,479,573, which represents 18.43% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
◆ | 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. |
T | PIK. 100% of the income received was in the form of cash. |
≠ | The rate shown is the effective yield at the time of purchase. |
« | Loan agreements generally pay interest at rates which are periodically reset 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 US banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Loan agreements may be subject to restrictions on resale. Stated rate in effect at June 30, 2017. |
° | Principal amount shown is stated in US dollars unless noted that the security is denominated in another currency. |
D | Securities have been classified by country of origin. |
S | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
28
Table of Contents
W | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
● | Variable rate security. Each rate shown is as of June 30, 2017. Interest rates reset periodically. |
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at June 30, 2017. |
The following futures and swap contracts were outstanding at June 30, 2017:1
Futures Contracts
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
(59) | US Treasury 5 yr Notes | $ | (6,967,825 | ) | $ | (6,952,320 | ) | 10/2/17 | $ | 15,505 | ||||||||
(669) | US Treasury 10 yr Notes | (84,343,084 | ) | (83,980,406 | ) | 9/21/17 | 362,678 | |||||||||||
|
|
|
| |||||||||||||||
$ | (91,310,909 | ) | $ | 378,183 | ||||||||||||||
|
|
|
|
Swap Contracts
CDS Contracts2
Counterparty | Swap Referenced Obligation | Notional Value3 | Annual Protection Payments | Termination Date | Upfront Payment (Received) | Unrealized Appreciation (Depreciation)4 | ||||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||
JPMC - | ||||||||||||||||||||||||
ICE | CDX.NA.HY.275 | 24,750,000 | 5.00 | % | 12/20/21 | $ | (1,775,859 | ) | $ | (77,732 | ) | |||||||||||||
JPMC - | ||||||||||||||||||||||||
ICE | CDX.NA.HY.285 | 44,000,000 | 5.00 | % | 6/20/22 | (3,213,946 | ) | 184,657 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 106,925 | |||||||||||||||||||||||
|
|
The use of futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional values presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 6 in “Notes to financial statements.”
2A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded as unrealized appreciation or depreciation daily. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
3Notional value shown is stated in US Dollars unless noted that the swap is denominated in another currency.
29
Table of Contents
Schedule of investments
Delaware Limited-Term Diversified Income Fund |
4Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in the amount of $(107,637).
5Markit’s CDX.NA.HY Index, is composed of 100 of the most liquid North American entities with high yield credit ratings that trade in the CDS market.
Summary of abbreviations:
ARM – Adjustable Rate Mortgage
CDS – Credit Default Swap
CDX.NA.HY – Credit Default Swap Index North American High-Yield
CLO – Collateralized Loan Obligation
CLP – Chilean Peso
DAC – Designated Activity Company
DB – Deutsche Bank
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GSMPS – Goldman Sachs Reperforming Mortgage Securities
ICE – Intercontinental Exchange, Inc.
JPMC – JPMorgan Chase Bank
NCUA – National Credit Union Administration
PIK – Pay-in-kind
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.
30
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Statement of assets and liabilities
Delaware Limited-Term Diversified Income Fund | June 30, 2017 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 826,061,173 | ||
Short-term investments, at value2 | 12,141,728 | |||
Cash collateral due from broker on futures contracts | 912,000 | |||
Cash collateral due from broker on swap contracts | 6,939,958 | |||
Cash | 1,244,912 | |||
Receivable for securities sold | 33,256,289 | |||
Dividends and interest receivable | 4,501,513 | |||
Receivable for fund shares sold | 895,657 | |||
Variation margin receivable on futures contracts | 198,297 | |||
Unrealized appreciation on credit default swap contracts | 277,756 | |||
|
| |||
Total assets | 886,429,283 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 65,524,967 | |||
Upfront payments received on credit default swap contracts | 4,989,805 | |||
Payable for fund shares redeemed | 3,191,673 | |||
Unrealized depreciation on credit default swap contracts | 27,962 | |||
Income distribution payable | 398,998 | |||
Other accrued expenses | 314,358 | |||
Investment management fees payable | 279,429 | |||
Cash collateral due to broker on TBA transactions | 154,000 | |||
Distribution fees payable to affiliates | 137,755 | |||
Variation margin payable on credit default swap contracts | 142,869 | |||
Swap payments payable | 104,509 | |||
Audit fees payable | 25,566 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 13,987 | |||
Accounting and administration expenses payable to affiliates | 3,255 | |||
Trustees’ fees and expenses payable | 2,231 | |||
Legal fees payable to affiliates | 2,007 | |||
Reports and statements to shareholders payable to affiliates | 532 | |||
|
| |||
Total liabilities | 75,313,903 | |||
|
| |||
Total Net Assets | $ | 811,115,380 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 841,158,405 | ||
Distributions in excess of net investment income | (2,849,549 | ) | ||
Accumulated net realized loss on investments | (33,362,336 | ) | ||
Net unrealized appreciation of investments | 5,791,389 | |||
Net unrealized appreciation of future contracts | 378,183 | |||
Net unrealized depreciation of swap contracts | (712 | ) | ||
|
| |||
Total Net Assets | $ | 811,115,380 | ||
|
|
32
Table of Contents
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 407,133,559 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 47,893,071 | |||
Net asset value per share | $ | 8.50 | ||
Sales charge | 2.75 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 8.74 | ||
Class C: | ||||
Net assets | $ | 101,655,934 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 11,965,783 | |||
Net asset value per share | $ | 8.50 | ||
Class R: | ||||
Net assets | $ | 4,256,626 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 500,643 | |||
Net asset value per share | $ | 8.50 | ||
Institutional Class: | ||||
Net assets | $ | 298,067,257 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 35,069,479 | |||
Net asset value per share | $ | 8.50 | ||
Class R6: | ||||
Net assets | $ | 2,004 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 236 | |||
Net asset value per share | $ | 8.49 | ||
| ||||
1Investments, at cost | $ | 820,269,826 | ||
2Short-term investments, at cost | 12,141,686 |
See accompanying notes, which are an integral part of the financial statements.
33
Table of Contents
Delaware Limited-Term Diversified Income Fund | Six months ended June 30, 2017 (Unaudited) |
Investment Income: | ||||
Interest | $ | 12,402,496 | ||
Dividends | 1,000 | |||
|
| |||
12,403,496 | ||||
|
| |||
Expenses: | ||||
Management fees | 2,166,852 | |||
Distribution expenses – Class A | 519,901 | |||
Distribution expenses – Class C | 550,629 | |||
Distribution expenses – Class R | 11,449 | |||
Dividend disbursing and transfer agent fees and expenses | 486,324 | |||
Accounting and administration expenses | 136,409 | |||
Registration fees | 60,373 | |||
Reports and statements to shareholders | 49,431 | |||
Legal fees | 43,210 | |||
Audit and tax | 25,993 | |||
Trustees’ fees and expenses | 22,577 | |||
Custodian fees | 17,874 | |||
Other | 41,287 | |||
|
| |||
4,132,309 | ||||
Less waived distribution expenses – Class A | (207,960 | ) | ||
Less expenses waived | (430,925 | ) | ||
Less expense paid indirectly | (305 | ) | ||
|
| |||
Total operating expenses | 3,493,119 | |||
|
| |||
Net Investment Income | 8,910,377 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,227,113 | |||
Futures contracts | (118,806 | ) | ||
Swap contracts | (3,015,453 | ) | ||
|
| |||
Net realized gain | 92,854 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | 3,099,603 | |||
Futures contracts | 85,341 | |||
Swap contracts | 1,230,382 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | 4,415,326 | |||
|
| |||
Net Realized and Unrealized Gain | 4,508,180 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 13,418,557 | ||
|
|
See accompanying notes, which are an integral part of the financial statements.
34
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Statements of changes in net assets
Delaware Limited-Term Diversified Income Fund
Six months ended 6/30/17 | Year ended 12/31/16 | |||||||
Increase in Net Assets from Operations: | ||||||||
Net investment income | $ | 8,910,377 | $ | 13,106,646 | ||||
Net realized gain | 92,854 | 7,412,145 | ||||||
Net change in unrealized appreciation (depreciation) | 4,415,326 | 3,576,820 | ||||||
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| |||||
Net increase in net assets resulting from operations | 13,418,557 | 24,095,611 | ||||||
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| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Class A | (5,149,759 | ) | (7,258,655 | ) | ||||
Class C | (895,200 | ) | (1,080,963 | ) | ||||
Class R | (48,569 | ) | (77,048 | ) | ||||
Institutional Class | (4,692,642 | ) | (7,716,809 | ) | ||||
Class R6 | (9 | ) | — | |||||
Return of capital: | ||||||||
Class A | — | (608,436 | ) | |||||
Class C | — | (166,890 | ) | |||||
Class R | — | (6,925 | ) | |||||
Institutional Class | — | (524,864 | ) | |||||
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| |||||
(10,786,179 | ) | (17,440,590 | ) | |||||
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Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 6,269,854 | 93,552,583 | ||||||
Class C | 2,298,165 | 11,115,741 | ||||||
Class R | 659,393 | 1,684,314 | ||||||
Institutional Class | 43,253,334 | 137,699,714 | ||||||
Class R6 | 2,000 | — |
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Table of Contents
Six months ended 6/30/17 (Unaudited) | Year ended 12/31/16 | |||||||
Capital Share Transactions (continued): | ||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | $ | 5,044,160 | $ | 7,607,393 | ||||
Class C | 831,038 | 1,138,578 | ||||||
Class R | 48,479 | 83,230 | ||||||
Institutional Class | 3,765,891 | 6,090,455 | ||||||
Class R6 | 8 | — | ||||||
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| |||||
62,172,322 | 258,972,008 | |||||||
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| |||||
Cost of shares redeemed: | ||||||||
Class A | (43,192,296 | ) | (105,173,090 | ) | ||||
Class C | (21,809,506 | ) | (34,970,751 | ) | ||||
Class R | (1,449,073 | ) | (3,128,378 | ) | ||||
Institutional Class | (127,631,247 | ) | (233,738,073 | ) | ||||
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| |||||
(194,082,122 | ) | (377,010,292 | ) | |||||
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| |||||
Decrease in net assets derived from capital share transactions | (131,909,800 | ) | (118,038,284 | ) | ||||
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| |||||
Net Decrease in Net Assets | (129,277,422) | (111,383,263 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 940,392,802 | 1,051,776,065 | ||||||
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| |||||
End of period | $ | 811,115,380 | $ | 940,392,802 | ||||
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Distributions in excess of net investment income | $ | (2,849,549 | ) | $ | (973,747 | ) | ||
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See accompanying notes, which are an integral part of the financial statements.
37
Table of Contents
Delaware Limited-Term Diversified Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return5 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended Dec. 31, 2014, return of capital distributions of $208,221 was made by the Fund’s A Class, which calculated to a de minimis amount of $(0.004) per share. |
4 | For the year ended Dec. 31, 2012, return of capital distributions of $610,884 was made by the Fund’s A Class, which calculated to a de minimis amount of $(0.004) per share. |
5 | Total 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 and does not reflect the impact of a sales charge. 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. |
See accompanying notes, which are an integral part of the financial statements.
38
Table of Contents
Six months | ||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||
6/30/171 | Year ended | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||
(Unaudited) | 12/31/16 | 12/31/15 | 12/31/14 | 12/31/13 | 12/31/12 | |||||||||||||||||||||
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| |||||||||||||||||||||||||
$ | 8.48 | $ | 8.43 | $ | 8.52 | $ | 8.55 | $ | 8.85 | $ | 8.82 | |||||||||||||||
0.09 | 0.12 | 0.11 | 0.10 | 0.08 | 0.10 | |||||||||||||||||||||
0.03 | 0.08 | (0.06 | ) | 0.01 | (0.24 | ) | 0.11 | |||||||||||||||||||
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| |||||||||||||||
0.12 | 0.20 | 0.05 | 0.11 | (0.16 | ) | 0.21 | ||||||||||||||||||||
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| |||||||||||||||
(0.10 | ) | (0.14 | ) | (0.13 | ) | (0.14 | ) | — | (0.17 | ) | ||||||||||||||||
— | (0.01 | ) | (0.01 | ) | — | 3 | (0.14 | ) | — | 4 | ||||||||||||||||
— | — | — | — | — | (0.01 | ) | ||||||||||||||||||||
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(0.10 | ) | (0.15 | ) | (0.14 | ) | (0.14 | ) | (0.14 | ) | (0.18 | ) | |||||||||||||||
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$ | 8.50 | $ | 8.48 | $ | 8.43 | $ | 8.52 | $ | 8.55 | $ | 8.85 | |||||||||||||||
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| |||||||||||||||
1.47% | 2.42% | 0.62% | 1.28% | (1.81% | ) | 2.49% | ||||||||||||||||||||
$ | 407,133 | $ | 437,803 | $ | 439,310 | $ | 472,654 | $ | 780,359 | $ | 1,337,983 | |||||||||||||||
0.74% | 0.81% | 0.83% | 0.83% | 0.82% | 0.81% | |||||||||||||||||||||
0.94% | 0.92% | 0.93% | 0.93% | 0.96% | 0.96% | |||||||||||||||||||||
2.04% | 1.36% | 1.29% | 1.13% | 0.91% | 1.07% | |||||||||||||||||||||
1.84% | 1.25% | 1.19% | 1.03% | 0.77% | 0.92% | |||||||||||||||||||||
| 64%
|
|
| 124%
|
|
| 94%
|
|
| 80%
|
|
| 236%
|
|
| 262%
|
|
39
Table of Contents
Delaware Limited-Term Diversified Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return5 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended Dec. 31, 2014, return of capital distributions of $77,978 was made by the Fund’s C Class, which calculated to a de minimis amount of $(0.004) per share. |
4 | For the year ended Dec. 31, 2012, return of capital distributions of $230,005 was made by the Fund’s C Class, which calculated to a de minimis amount of $(0.004) per share. |
5 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
40
Table of Contents
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/171 | Year ended | |||||||||||||||||||||||
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| |||||||||||||||||||||||
(Unaudited) | 12/31/16 | 12/31/15 | 12/31/14 | 12/31/13 | 12/31/12 | |||||||||||||||||||
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$ | 8.47 | $ | 8.42 | $ | 8.52 | $ | 8.54 | $ | 8.85 | $ | 8.82 | |||||||||||||
0.05 | 0.04 | 0.04 | 0.02 | 0.01 | 0.02 | |||||||||||||||||||
0.05 | 0.09 | (0.07 | ) | 0.02 | (0.25 | ) | 0.12 | |||||||||||||||||
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0.10 | 0.13 | (0.03 | ) | 0.04 | (0.24 | ) | 0.14 | |||||||||||||||||
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(0.07 | ) | (0.07 | ) | (0.06 | ) | (0.06 | ) | — | (0.10 | ) | ||||||||||||||
— | (0.01 | ) | (0.01 | ) | — | 3 | (0.07 | ) | — | 4 | ||||||||||||||
— | — | — | — | — | (0.01 | ) | ||||||||||||||||||
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(0.07 | ) | (0.08 | ) | (0.07 | ) | (0.06 | ) | (0.07 | ) | (0.11 | ) | |||||||||||||
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$ | 8.50 | $ | 8.47 | $ | 8.42 | $ | 8.52 | $ | 8.54 | $ | 8.85 | |||||||||||||
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1.17% | 1.55% | (0.35% | ) | 0.55% | (2.75% | ) | 1.62% | |||||||||||||||||
$ | 101,656 | $ | 120,011 | $ | 141,739 | $ | 176,904 | $ | 260,073 | $ | 452,197 | |||||||||||||
1.59% | 1.66% | 1.68% | 1.68% | 1.67% | 1.66% | |||||||||||||||||||
1.69% | 1.67% | 1.68% | 1.68% | 1.67% | 1.66% | |||||||||||||||||||
1.19% | 0.51% | 0.44% | 0.28% | 0.06% | 0.22% | |||||||||||||||||||
1.09% | 0.50% | 0.44% | 0.28% | 0.06% | 0.22% | |||||||||||||||||||
| 64%
|
|
| 124%
|
|
| 94%
|
|
| 80%
|
|
| 236%
|
|
| 262%
|
|
41
Table of Contents
Delaware Limited-Term Diversified Income Fund Class R
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return5 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended Dec. 31, 2014, return of capital distributions of $3,533 was made by the Fund’s R Class, which calculated to a de minimis amount of $(0.004) per share. |
4 | For the year ended Dec. 31, 2012, return of capital distributions of $8,288 was made by the Fund’s R Class, which calculated to a de minimis amount of $(0.004) per share. |
5 | Total 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
42
Table of Contents
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/171 | Year ended | |||||||||||||||||||||||
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| |||||||||||||||||||||||
(Unaudited) | 12/31/16 | 12/31/15 | 12/31/14 | 12/31/13 | 12/31/12 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ | 8.48 | $ | 8.43 | $ | 8.52 | $ | 8.55 | $ | 8.85 | $ | 8.82 | |||||||||||||
0.07 | 0.09 | 0.08 | 0.07 | 0.05 | 0.07 | |||||||||||||||||||
0.04 | 0.08 | (0.06 | ) | 0.01 | (0.24 | ) | 0.11 | |||||||||||||||||
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0.11 | 0.17 | 0.02 | 0.08 | (0.19 | ) | 0.18 | ||||||||||||||||||
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(0.09 | ) | (0.11 | ) | (0.10 | ) | (0.11 | ) | — | (0.14 | ) | ||||||||||||||
— | (0.01 | ) | (0.01 | ) | — | 3 | (0.11 | ) | — | 4 | ||||||||||||||
— | — | — | — | — | (0.01 | ) | ||||||||||||||||||
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(0.09 | ) | (0.12 | ) | (0.11 | ) | (0.11 | ) | (0.11 | ) | (0.15 | ) | |||||||||||||
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$ | 8.50 | $ | 8.48 | $ | 8.43 | $ | 8.52 | $ | 8.55 | $ | 8.85 | |||||||||||||
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1.30% | 2.06% | 0.27% | 0.93% | (2.16% | ) | 2.13% | ||||||||||||||||||
$ | 4,257 | $ | 4,984 | $ | 6,298 | $ | 8,022 | $ | 10,672 | $ | 17,243 | |||||||||||||
1.09% | 1.16% | 1.18% | 1.18% | 1.17% | 1.16% | |||||||||||||||||||
1.19% | 1.17% | 1.18% | 1.18% | 1.25% | 1.26% | |||||||||||||||||||
1.69% | 1.01% | 0.94% | 0.78% | 0.56% | 0.72% | |||||||||||||||||||
1.59% | 1.00% | 0.94% | 0.78% | 0.48% | 0.62% | |||||||||||||||||||
| 64%
|
|
| 124%
|
|
| 94%
|
|
| 80%
|
|
| 236%
|
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| 262%
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43
Table of Contents
Delaware Limited-Term Diversified Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return5 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended Dec. 31, 2014, return of capital distributions of $236,380 was made by the Fund’s Institutional Class, which calculated to a de minimis amount of $(0.004) per share. |
4 | For the year ended Dec. 31, 2012, return of capital distributions of $331,766 was made by the Fund’s Institutional Class, which calculated to a de minimis amount of $(0.004) per share. |
5 | Total 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. |
See accompanying notes, which are an integral part of the financial statements.
44
Table of Contents
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/171 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 12/31/16 | 12/31/15 | 12/31/14 | 12/31/13 | 12/31/12 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ | 8.47 | $ | 8.43 | $ | 8.52 | $ | 8.55 | $ | 8.85 | $ | 8.82 | |||||||||||||
0.09 | 0.13 | 0.12 | 0.11 | 0.09 | 0.11 | |||||||||||||||||||
0.05 | 0.07 | (0.06 | ) | 0.01 | (0.24 | ) | 0.12 | |||||||||||||||||
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0.14 | 0.20 | 0.06 | 0.12 | (0.15 | ) | 0.23 | ||||||||||||||||||
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(0.11 | ) | (0.15 | ) | (0.14 | ) | (0.15 | ) | — | (0.19 | ) | ||||||||||||||
— | (0.01 | ) | (0.01 | ) | — | 3 | (0.15 | ) | — | 4 | ||||||||||||||
— | — | — | — | — | (0.01 | ) | ||||||||||||||||||
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(0.11 | ) | (0.16 | ) | (0.15 | ) | (0.15 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||
$ | 8.50 | $ | 8.47 | $ | 8.43 | $ | 8.52 | $ | 8.55 | $ | 8.85 | |||||||||||||
|
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| |||||||||||||
1.67% | 2.45% | 0.77% | 1.43% | (1.66% | ) | 2.64% | ||||||||||||||||||
$ | 298,067 | $ | 377,595 | $ | 464,429 | $ | 536,508 | $ | 437,690 | $ | 742,773 | |||||||||||||
0.59% | 0.66% | 0.68% | 0.68% | 0.67% | 0.66% | |||||||||||||||||||
0.69% | 0.67% | 0.68% | 0.68% | 0.67% | 0.66% | |||||||||||||||||||
2.19% | 1.51% | 1.44% | 1.28% | 1.06% | 1.22% | |||||||||||||||||||
2.09% | 1.50% | 1.44% | 1.28% | 1.06% | 1.22% | |||||||||||||||||||
| 64%
|
|
| 124%
|
|
| 94%
|
|
| 80%
|
|
| 236%
|
|
| 262%
|
|
45
Table of Contents
Financial highlights
Delaware Limited-Term Diversified Income Fund Class R6 |
Selected data for each share of the Fund outstanding throughout each period were as follows:
5/1/171 to 6/30/17 (Unaudited) | ||||
| ||||
Net asset value, beginning of period | $ | 8.50 | ||
Income from investment operations: | ||||
Net investment income2 | 0.02 | |||
Net realized and unrealized gain (loss) | 0.01 | |||
|
| |||
Total from investment operations | 0.03 | |||
|
| |||
Less dividends and distributions from: | ||||
Net investment income | (0.04 | ) | ||
|
| |||
Total dividends and distributions | (0.04 | ) | ||
|
| |||
Net asset value, end of period | $ | 8.49 | ||
|
| |||
Total return3 | 0.35% | |||
Ratios and supplemental data: | ||||
Net assets, end of period (000 omitted) | $ | 2 | ||
Ratio of expenses to average net assets | 0.52% | |||
Ratio of expenses to average net assets prior to fees waived | 0.62% | |||
Ratio of net investment loss to average net assets | (0.21% | ) | ||
Ratio of net investment loss to average net assets prior to fees waived | (0.31% | ) | ||
Portfolio turnover | 64% | 4 |
1 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total 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 shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | Portfolio turnover is representative of the Fund for the entire year. |
46
Table of Contents
Delaware Limited-Term Diversified Income Fund | June 30, 2017 (Unaudited) |
Delaware Group® Limited-Term Government Funds (Trust) is organized as a Delaware statutory trust and offers one series: Delaware Limited-Term Diversified Income Fund (Fund). The Trust is an open-end investment company. The Fund is considered diversified under the Investment Company Act of 1940, as amended (1940 Act), and offers Class A, Class C, Class R, Institutional Class, and Class R6 shares. Class A shares are sold with a maximum front-end sales charge of 2.75%. Class A share purchases of $1,000,000 or more will incur a limited contingent deferred sales charge (CDSC) of 0.75% if redeemed during the first year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, if redeemed during the first 12 months. Class R, Institutional Class, and Class R6 shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. Class R6 shares do not pay any service fees, sub-accounting fees, and/or sub-transfer agency fees. Class R shares commenced operations on May 1, 2017.
The investment objective of the Fund is to seek maximum total return, consistent with reasonable risk.
1. Significant Accounting Policies
The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Fund.
Security Valuation – Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Debt securities and credit default swap (CDS) contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed; attributes of the collateral; yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. 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 and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. 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 Trust’s Board of Trustees (Board). In determining whether market quotations
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
1. Significant Accounting Policies (continued)
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.
Federal and Foreign Income Taxes – No provision for federal income taxes has been made as the Fund 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 Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s 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 Fund’s tax positions taken on the Fund’s federal income tax returns through the six months ended June 30, 2017 and for all open tax years (years ended Dec. 31, 2013–Dec. 31, 2016), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. In regard to foreign taxes only, the Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of the Fund. If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in other expenses on the “Statement of operations.” During the six months ended June 30, 2017, the Fund did not incur any interest or tax penalties.
Class Accounting – Investment income and common expenses are allocated to the various classes of the Fund on the basis of “settled shares” of each class in relation to the net assets of the Fund. Realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund 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 Fund may purchase certain US 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 Fund’s 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 30, 2017 and matured on the next business day.
To Be Announced Trades – The Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or deliver 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 Fund on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery. The Fund received $154,000 cash collateral for open TBA transactions, which is presented as “Cash collateral due to broker” on the “Statement of assets and liabilities.”
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Foreign Currency Transactions – Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Fund’s prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US 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 Fund generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses) attributable to changes in foreign exchange rates is included on the “Statement of operations” under “Net realized gain (loss) on foreign currencies.” The Fund 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 Fund is an investment company, whose financial statements are prepared in conformity with US GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with US 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 Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware FundsSM by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain 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 accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. The Fund declares dividends daily from net investment income and pays the dividends monthly and declares and pays distributions from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended June 30, 2017.
The Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expense paid under this arrangement is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expense offset shown under “Less expense paid indirectly.” For the six months ended June 30, 2017, the Fund earned $305 under this agreement.
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust (formerly, Delaware Management Business Trust) and the investment manager, an annual fee which is calculated daily and paid monthly at the rate of 0.50% on the first $500 million of average daily net assets of the Fund, 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.
DMC has contractually agreed to waive that portion, if any, of its management fee and reimburse the Fund to the extent necessary to ensure that annual operating expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), do not exceed 0.59% of average daily net assets of Class A, Class C, Class R, and Institutional Class shares and 0.52% of average daily net assets of Class R6 shares. The expense waiver was in effect from Jan.1, 2017 through June 30, 2017* for all share classes except for Class R6 shares whose waiver was in effect from May 1, 2017 (commencement of operations) through June 30, 2017.** For purposes of these waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses as may be agreed upon from time to time by the Fund’s Board and DMC. These expense waivers and reimbursements apply only to expenses paid directly by the Fund and may only be terminated by agreement of DMC and the Fund.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of the Delaware 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 DIFSC under the service agreement described above are allocated among all funds in the Delaware Funds on a relative net asset value (NAV) basis. For the six months ended June 30, 2017, the Fund was charged $20,563 for these services. This amount is included on the “Statement of operations” under “Accounting and administration expenses.”
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of the retail funds within the Delaware Funds at the following annual rate: 0.025% of the first $20 billion; 0.020% of the next $5 billion; 0.015% of the next $5 billion; and 0.013% on average daily net assets in excess of $30 billion. The fees payable to DIFSC under the service agreement described above are allocated among all retail funds in the Delaware Funds on a relative NAV basis. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2017, the Fund was charged $88,281 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Fund. Sub-transfer agency fees are paid by the Fund and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.”
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Pursuant to a distribution agreement and distribution plan, the Fund pays DDLP, the distributor and an affiliate of DMC, annual distribution and service (12b-1) fees of 0.25%, 1.00%, and 0.50% of the average daily net assets of the Class A, Class C, and Class R shares, respectively. The fees are calculated daily and paid monthly. DDLP has contractually agreed to waive Class A shares’ 12b-1 fee to 0.15% of average daily net assets from Jan. 1, 2017 through June 30, 2017.*** Institutional Class and Class R6 shares pay no 12b-1 fees.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended June 30, 2017, the Fund was charged $9,896 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
For the six months ended June 30, 2017, DDLP earned $2,058 for commissions on sales of the Fund’s Class A shares. For the six months ended June 30, 2017, DDLP received gross CDSC commissions of $12,121 and $2,106 on redemption of the Fund’s Class A and Class C shares, respectively, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
Cross trades for the six months ended June 30, 2017, were executed by the Fund pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended June 30, 2017, the Fund engaged in securities purchases of $2,234,315 and securities sales of $7,481,707, which resulted in net realized gains of $733.
* | The aggregate contractual waiver period covering this report is from Oct. 5, 2016 through May 1, 2018. |
** | The aggregate contractual waiver period covering this report is from May 1, 2017 through May 1, 2018. |
***The aggregate contractual waiver period covering this report is from April 29, 2016 through May 1, 2018.
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
3. Investments
For the six months ended June 30, 2017, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than US government securities | $ | 506,007,729 | ||
Purchases of US government securities | 66,518,502 | |||
Sales other than US government securities | 636,509,865 | |||
Sales of US government securities | 58,819,872 |
At June 30, 2017, 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, 2017, the cost of investments and unrealized appreciation (depreciation) for the Fund were as follows:
Cost of investments | $ | 835,477,461 | ||
|
| |||
Aggregate unrealized appreciation of investments | $ | 8,072,771 | ||
Aggregate unrealized depreciation of investments | (5,347,331 | ) | ||
|
| |||
Net unrealized appreciation of investments | $ | 2,725,440 | ||
|
|
Qualified late year ordinary and capital losses (including currency and specified gain/loss items) represent losses realized from Nov. 1, 2016 through Dec. 31, 2016, that, in accordance with federal income tax regulations, the Fund has elected to defer and treat as having arisen on the first day of the following fiscal year. At Dec. 31, 2016, the Fund deferred $1,428,005 of qualified late year ordinary losses.
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010 (Act), net capital losses recognized for tax years beginning after Dec. 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. The Fund has capital loss carryforwards available to offset future realized capital gains as follows:
Loss carryforward character
| ||||||||
Short-term
| Long-term
| |||||||
$ | 20,230,789 | $ | 8,982,979 |
US GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
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Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts) | |
Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates), or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) | |
Level 3 – | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
3. Investments (continued)
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of June 30, 2017:
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Agency, Asset- & Mortgage- | $ | — | $ | 396,988,041 | $ | — | $ | 396,988,041 | ||||||||
Corporate Debt | — | 362,014,883 | — | 362,014,883 | ||||||||||||
Foreign Debt | — | 6,669,609 | — | 6,669,609 | ||||||||||||
Loan Agreements1 | — | 44,112,596 | 372,938 | 44,485,534 | ||||||||||||
Municipal Bonds | — | 2,784,391 | — | 2,784,391 | ||||||||||||
Preferred Stock | — | 3,806,984 | — | 3,806,984 | ||||||||||||
Short-Term Investments | — | 12,141,728 | — | 12,141,728 | ||||||||||||
US Treasury Obligations | — | 9,311,731 | — | 9,311,731 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | — | $ | 837,829,963 | $ | 372,938 | $ | 838,202,901 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives: | ||||||||||||||||
Futures Contracts | $ | 378,183 | $ | — | $ | — | $ | 378,183 | ||||||||
Swap Contracts | — | 106,925 | — | 106,925 |
1Security type is valued across multiple levels. Level 2 investments represent investments with observable inputs, or matrix-price investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 2 investments and Level 3 investments represent the following percentages of the total market value of this security type:
Level 2 | Level 3 | Total | ||||||||||
Loan Agreements | 99.16 | % | 0.84 | % | 100.00 | % |
During the six months ended June 30, 2017, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. We did not present a reconciliation of Level 3 investments as they were not considered significant to the Fund’s net assets at the beginning, interim, or end of the year.
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4. Capital Shares
Transactions in capital shares were as follows:
Six months 6/30/17 | Year ended 12/31/16 | |||||||
Shares sold: | ||||||||
Class A | 738,635 | 10,972,164 | ||||||
Class C | 270,890 | 1,306,386 | ||||||
Class R | 77,658 | 197,626 | ||||||
Institutional Class | 5,096,010 | 16,158,550 | ||||||
Class R6 | 235 | — | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 593,846 | 892,174 | ||||||
Class C | 97,873 | 133,629 | ||||||
Class R | 5,704 | 9,760 | ||||||
Institutional Class | 443,357 | 714,443 | ||||||
Class R6 | 1 | — | ||||||
|
|
|
| |||||
7,324,209 | 30,384,732 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Class A | (5,089,229 | ) | (12,350,885 | ) | ||||
Class C | (2,570,224 | ) | (4,104,280 | ) | ||||
Class R | (170,605 | ) | (366,643 | ) | ||||
Institutional Class | (15,025,348 | ) | (27,440,485 | ) | ||||
|
|
|
| |||||
(22,855,406 | ) | (44,262,293 | ) | |||||
|
|
|
| |||||
Net decrease | (15,531,197 | ) | (13,877,561 | ) | ||||
|
|
|
|
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
4. Capital Shares (continued)
Certain shareholders may exchange shares of one class for shares of another class in the same Fund.
For the six months ended June 30, 2017 exchange transactions were as follows:
Exchange Redemptions | Exchange Subscriptions | |||||
Institutional | ||||||
Class A Shares | Class C Shares | Class Shares | Value | |||
614,872 | 4,336 | 620,071 | $5,258,371 |
For the year ended Dec. 31, 2016 exchange transactions were as follows:
Exchange Redemptions | Exchange Subscriptions | |||||
Institutional | ||||||
Class A Shares | Class C Shares | Class Shares | Value | |||
101,612 | 2,226 | 103,942 | $888,028 |
These exchange transactions are included as subscriptions and redemptions in the table on the previous page and on the “Statements of changes in net assets.”
5. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), is a participant in a $155,000,000 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 of 0.15%, which is allocated across the Participants on the basis of relative net assets 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 available under the agreement expires on Nov. 6, 2017.
The Fund had no amounts outstanding as of June 30, 2017 or at any time during the period then ended.
6. Derivatives
US 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.
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 Fund may use futures in the normal course of pursuing its investment objective. The Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges US 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,
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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 Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund 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 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 Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. At June 30, 2017, the Fund posted $912,000 cash collateral for open futures contracts, which is presented as “Cash collateral due from broker on futures contracts” on the “Statement of assets and liabilities.”
During the six months ended June 30, 2017, the Fund used futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Swap Contracts – The Fund may enter into CDS contracts in the normal course of pursuing its investment objective. The Fund may enter into CDS contracts in order to hedge against credit events, to enhance total return, or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at least BBB- by Standard & Poor’s Financial Services LLC (S&P) or Baa3 by Moody’s Investors Service, Inc. (Moody’s) or is determined to be of equivalent credit quality by DMC.
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 Fund 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, 2017, the Fund entered into CDS contracts as a purchaser 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 daily as unrealized appreciation or depreciation. 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, 2017, the Fund did not enter into any CDS contracts as a seller of protection. Initial margin and variation margin are posted to central counterparties for CDS basket trades, as determined by the applicable central counterparty. At June 30, 2017, the Fund posted $6,939,958 cash collateral for open centrally cleared credit default swap
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
6. Derivatives (continued)
contracts, which is presented as “Cash collateral due from broker on swap contracts” on the “Statement of assets and liabilities.”
CDS contracts may involve greater risks than if the Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Fund’s 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) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty or (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended June 30, 2017, the Fund used CDS contracts to hedge against credit events.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event the Fund terminated its position in the contract on a given day. 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 that would be shown on the “Schedule of investments.”
Fair value of derivative instruments as of June 30, 2017 was as follows:
Asset Derivatives Fair Value | ||||||||||||
Statement of Assets and Liabilities Location | Interest Contracts | Credit Contracts | Total | |||||||||
Variation margin receivable on futures contracts* | $ | 378,183 | $ | — | $ | 378,183 | ||||||
Unrealized appreciation on credit default swap contracts | — | 277,756 | 277,756 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 378,183 | $ | 277,756 | $ | 655,939 | ||||||
|
|
|
|
|
|
Statement of Assets and Liabilities Location | Liability Derivatives | |||
Unrealized depreciation on credit default swap contracts | $ | 27,962 | ||
Variation margin payable on credit default swap contracts | 142,869 | |||
|
| |||
Total | $ | 170,831 | ||
|
|
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through June 30, 2017. Only current day variation margin is reported on the “Statement of assets and liabilities.”
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The effect of derivative instruments on the “Statement of operations” for the six months ended June 30, 2017 was as follows:
Net Realized Loss on: | ||||||||||||
Futures
| Swap
| Total
| ||||||||||
Interest rate contracts | $ | (118,806 | ) | $ | — | $ | (118,806 | ) | ||||
Credit contracts | — | (3,015,453 | ) | (3,015,453 | ) | |||||||
|
|
|
|
|
| |||||||
Total | $ | (118,806 | ) | $ | (3,015,453 | ) | $ | (3,134,259 | ) | |||
|
|
|
|
|
| |||||||
Net Change in Unrealized Appreciation of: | ||||||||||||
Futures
| Swap
| Total
| ||||||||||
Interest rate contracts | $ | 85,341 | $ | — | $ | 85,341 | ||||||
Credit contracts | — | 1,230,382 | 1,230,382 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 85,341 | $ | 1,230,382 | $ | 1,315,723 | ||||||
|
|
|
|
|
|
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Fund during the six months ended June 30, 2017.
Long Derivatives Volume | Short Derivatives Volume | |||||||
Futures contracts (average notional value) | USD 20,280,870 | USD 78,206,458 | ||||||
CDS contracts (average notional value)* | 75,620,720 | — |
*Long represents buying protection and short represents selling protection.
7. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expanded disclosure requirements on the offsetting of certain assets and liabilities. The disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the “Statement of assets and liabilities” and 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 clarified which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
7. Offsetting (continued)
Agreement typically permit a single net payment in the event of default (close-out), 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.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | ||||||||||||||||||||
Bank of America | |||||||||||||||||||||||||
Merrill Lynch | $ | 2,903,668 | $ | (2,903,668 | ) | $— | $ | (2,903,668 | ) | $— | |||||||||||||||
Bank of Montreal | 4,839,447 | (4,839,447 | ) | — | (4,839,447 | ) | — | ||||||||||||||||||
BNP Paribas | 2,718,685 | (2,718,685 | ) | — | (2,718,685 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 10,461,800 | $ | (10,461,800 | ) | $ | — | $ | (10,461,800 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
(a)The value of the related collateral received exceeded the value of the repurchase agreements as of June 30, 2017.
(b)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
8. Securities Lending
The Fund, along with other funds in the Delaware 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: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 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 that 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 the 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 on any particular day may be more or less than the value of the security on loan.
Cash collateral received by each fund of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities;
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obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; and asset-backed securities. A Fund can also accept US 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 Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund 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 Fund 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 Fund 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 Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of a Fund’s cash collateral account may be less than the amount the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
During the six months ended June 30, 2017, the Fund had no securities out on loan.
9. Credit and Market Risk
Some countries in which the Fund 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 US. Consequently, acquisition and disposition of securities by the Fund 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 Fund.
The Fund invests a portion of its assets in high-yield fixed income securities, which are securities rated lower than BBB- by S&P and Baa3 by Moody’s, 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.
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Notes to financial statements
Delaware Limited-Term Diversified Income Fund |
9. Credit and Market Risk (continued)
The Fund 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 US 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 effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters 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 Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high-grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
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As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
The Fund 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 promulgated under 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 Fund 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 Fund’s Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s 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 Fund’s 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
10. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
On Oct. 13, 2016, the Securities and Exchange Commission amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. At this time, management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2017 that would require recognition or disclosure in the Fund’s financial statements.
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Board of trustees
| ||||||
Shawn K. Lytle | Ann D. Borowiec | John A. Fry | Frances A. | |||
President and | Former Chief Executive | President | Sevilla-Sacasa | |||
Chief Executive Officer | Officer | Drexel University | Former Chief Executive | |||
Delaware FundsSM | Private Wealth Management | Philadelphia, PA | Officer | |||
by Macquarie | J.P. Morgan Chase & Co. | Banco Itaú | ||||
Philadelphia, PA | New York, NY | Lucinda S. Landreth | International | |||
Former Chief Investment | Miami, FL | |||||
Thomas L. Bennett | Joseph W. Chow | Officer | ||||
Chairman of the Board | Former Executive Vice | Assurant, Inc. | Thomas K. Whitford | |||
Delaware Funds | President | New York, NY | Former Vice Chairman | |||
by Macquarie | State Street Corporation | PNC Financial Services Group | ||||
Private Investor | Boston, MA | Pittsburgh, PA | ||||
Rosemont, PA | ||||||
Janet L. Yeomans | ||||||
Former Vice President and | ||||||
Treasurer | ||||||
3M Company | ||||||
St. Paul, MN | ||||||
Affiliated officers | ||||||
David F. Connor | Daniel V. Geatens | Richard Salus | ||||
Senior Vice President, | Vice President and | Senior Vice President and | ||||
General Counsel, | Treasurer | Chief Financial Officer | ||||
and Secretary | Delaware Funds | Delaware Funds | ||||
Delaware Funds | by Macquarie | by Macquarie | ||||
by Macquarie | Philadelphia, PA | Philadelphia, PA | ||||
Philadelphia, PA |
This semiannual report is for the information of Delaware Limited-Term Diversified Income Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund 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 SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Fund’s most recent Form N-Q are available without charge on the Fund’s website at delawarefunds.com/literature. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
65
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.
DELAWARE GROUP® LIMITED-TERM GOVERNMENT FUNDS
/s/ SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | September 5, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | September 5, 2017 |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | September 5, 2017 |