Schedule of investments
Delaware Limited Duration Bond Fund
June 30, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 2.88% | |||
Freddie Mac REMICs Series 5092 WG 1.00% 4/25/31 | 1,957,946 | $1,970,345 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2021-DNA1 M1 144A 0.668% (SOFR + 0.65%) 1/25/51 #, • | 594,196 | 594,196 | |
Series 2021-DNA3 M1 144A 0.768% (SOFR + 0.75%) 10/25/33 #, • | 590,000 | 590,944 | |
Series 2021-HQA1 M1 144A 0.718% (SOFR + 0.70%) 8/25/33 #, • | 700,000 | 700,000 | |
Series 2021-HQA2 M1 144A 0.717% (SOFR + 0.70%) 12/25/33 #, =, • | 375,000 | 375,411 | |
Total Agency Collateralized Mortgage Obligations (cost $4,228,767) | 4,230,896 | ||
Agency Commercial Mortgage-Backed Security — 1.97% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series K734 A1 3.139% 6/25/25 ♦ | 2,735,294 | 2,894,731 | |
Total Agency Commercial Mortgage-Backed Security (cost $2,789,997) | 2,894,731 | ||
Agency Mortgage-Backed Securities — 7.87% | |||
Fannie Mae S.F. 15 yr | |||
2.50% 8/1/35 | 543,015 | 566,612 | |
2.50% 11/1/35 | 1,379,893 | 1,442,633 | |
Fannie Mae S.F. 30 yr | |||
4.50% 2/1/44 | 1,203,451 | 1,345,298 | |
4.50% 4/1/44 | 1,312,910 | 1,461,616 | |
4.50% 11/1/44 | 1,351,786 | 1,509,796 | |
5.00% 7/1/47 | 3,127,366 | 3,577,382 | |
5.00% 5/1/48 | 549,354 | 606,159 | |
5.50% 5/1/44 | 88,348 | 102,203 | |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 15 yr 1.50% 3/1/36 | 964,469 | $977,244 | |
Total Agency Mortgage-Backed Securities (cost $11,532,591) | 11,588,943 | ||
Collateralized Debt Obligations — 8.42% | |||
AMMC CLO 23 Series 2020-23A A1L 144A 1.59% (LIBOR03M + 1.40%, Floor 1.40%) 10/17/31 #, • | 1,000,000 | 1,003,299 | |
Ballyrock CLO | |||
Series 2018-1A A1 144A 1.188% (LIBOR03M + 1.00%) 4/20/31 #, • | 750,000 | 750,058 | |
Series 2020-2A A1 144A 1.508% (LIBOR03M + 1.32%, Floor 1.32%) 10/20/31 #, • | 750,000 | 752,537 | |
BlueMountain CLO XXX Series 2020-30A A 144A 1.574% (LIBOR03M + 1.39%, Floor 1.39%) 1/15/33 #, • | 500,000 | 501,795 | |
Carlyle Global Market Strategies CLO Series 2015-5A A1R 144A 1.508% (LIBOR03M + 1.32%, Floor 1.32%) 1/20/32 #, • | 500,000 | 504,802 | |
CBAM Series 2020-13A A 144A 1.618% (LIBOR03M + 1.43%, Floor 1.43%) 1/20/34 #, • | 800,000 | 802,036 | |
Cedar Funding IX CLO Series 2018-9A A1 144A 1.168% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 925,000 | 925,623 | |
CIFC Funding Series 2013-4A A1RR 144A 1.241% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | 900,000 | 900,924 |
NQ-QLV [6/21] 8/21 (1751147) 1
Schedule of investments
Delaware Limited Duration Bond Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Dryden 83 CLO Series 2020-83A A 144A 1.457% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 900,000 | $899,770 | |
Galaxy XXI CLO Series 2015-21A AR 144A 1.208% (LIBOR03M + 1.02%) 4/20/31 #, • | 500,000 | 500,365 | |
KKR CLO 32 Series 32A A1 144A 1.504% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | 500,000 | 501,747 | |
LCM XVIII Series 18A A1R 144A 1.208% (LIBOR03M + 1.02%) 4/20/31 #, • | 700,000 | 700,041 | |
Octagon Investment Partners 33 Series 2017-1A A1 144A 1.378% (LIBOR03M + 1.19%) 1/20/31 #, • | 300,000 | 300,111 | |
Octagon Investment Partners 48 Series 2020-3A A 144A 1.688% (LIBOR03M + 1.50%, Floor 1.50%) 10/20/31 #, • | 900,000 | 901,144 | |
Sound Point CLO XXI Series 2018-3A A1A 144A 1.356% (LIBOR03M + 1.18%, Floor 1.18%) 10/26/31 #, • | 900,000 | 900,105 | |
Venture 34 CLO Series 2018-34A A 144A 1.414% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, • | 700,000 | 701,119 | |
York CLO-6 Series 2019-1A A1 144A 1.534% (LIBOR03M + 1.35%) 7/22/32 #, • | 850,000 | 851,603 | |
Total Collateralized Debt Obligations (cost $12,318,464) | 12,397,079 | ||
Principal amount° | Value (US $) | ||
Corporate Bonds — 56.85% | |||
Banking — 17.82% | |||
Ally Financial 5.75% 11/20/25 | 740,000 | $850,412 | |
Banco Continental 144A 2.75% 12/10/25 # | 385,000 | 380,963 | |
Banco Santander 3.50% 4/11/22 | 1,200,000 | 1,229,274 | |
Bank of America 3.458% 3/15/25 μ | 1,500,000 | 1,603,995 | |
Bank of Montreal 1.85% 5/1/25 | 260,000 | 268,399 | |
Barclays Bank 1.70% 5/12/22 | 240,000 | 242,782 | |
BBVA Bancomer 144A 1.875% 9/18/25 # | 425,000 | 430,355 | |
Credit Agricole 144A 1.907% 6/16/26 #, μ | 280,000 | 285,621 | |
DNB Boligkreditt 144A 2.50% 3/28/22 # | 3,760,000 | 3,822,076 | |
Goldman Sachs Group | |||
1.542% 9/10/27 μ | 135,000 | 134,787 | |
5.75% 1/24/22 | 4,000,000 | 4,123,977 | |
Huntington National Bank 2.50% 8/7/22 | 285,000 | 291,488 | |
JPMorgan Chase & Co. | |||
4.023% 12/5/24 μ | 3,410,000 | 3,682,140 | |
4.60% 2/1/25 μ, ψ | 130,000 | 134,882 | |
KeyBank | |||
2.40% 6/9/22 | 250,000 | 255,104 | |
3.18% 10/15/27 | 655,000 | 672,077 | |
Morgan Stanley | |||
0.731% 4/5/24 μ | 765,000 | 766,783 | |
2.75% 5/19/22 | 120,000 | 122,695 | |
3.737% 4/24/24 μ | 350,000 | 370,233 | |
Nordea Bank 144A 0.625% 5/24/24 # | 1,005,000 | 1,005,385 | |
QNB Finance 3.50% 3/28/24 | 380,000 | 405,870 | |
Regions Financial 3.80% 8/14/23 | 235,000 | 250,665 | |
Toronto-Dominion Bank 0.398% (SOFR + 0.355%) 3/4/24 • | 1,110,000 | 1,111,420 | |
Truist Bank 2.636% 9/17/29 μ | 1,015,000 | 1,064,065 | |
Truist Financial 2.70% 1/27/22 | 1,650,000 | 1,670,573 | |
UBS 144A 1.75% 4/21/22 # | 200,000 | 202,261 | |
UBS Group 144A 2.65% 2/1/22 # | 580,000 | 588,257 |
2 NQ-QLV [6/21] 8/21 (1751147)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
US Bank 3.40% 7/24/23 | 250,000 | $265,040 | |
26,231,579 | |||
Basic Industry — 1.45% | |||
Avient 144A 5.75% 5/15/25 # | 718,000 | 759,780 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 500,000 | 520,067 | |
Inversiones CMPC 144A 4.75% 9/15/24 # | 380,000 | 414,153 | |
LYB International Finance III 2.875% 5/1/25 | 170,000 | 180,613 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 235,000 | 258,794 | |
2,133,407 | |||
Brokerage — 0.48% | |||
Charles Schwab 4.00% 6/1/26 μ, ψ | 175,000 | 182,875 | |
National Securities Clearing 144A 1.20% 4/23/23 # | 390,000 | 396,224 | |
SURA Asset Management 144A 4.875% 4/17/24 # | 120,000 | 129,900 | |
708,999 | |||
Capital Goods — 4.16% | |||
L3Harris Technologies 3.85% 12/15/26 | 215,000 | 241,541 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 847,000 | 856,529 | |
Roper Technologies 2.35% 9/15/24 | 2,050,000 | 2,151,407 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 350,000 | 372,942 | |
Teledyne Technologies 0.95% 4/1/24 | 1,580,000 | 1,582,732 | |
TransDigm 144A 8.00% 12/15/25 # | 412,000 | 446,315 | |
Welbilt 9.50% 2/15/24 | 164,000 | 172,069 | |
WESCO Distribution 144A 7.125% 6/15/25 # | 281,000 | 304,028 | |
6,127,563 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications — 3.38% | |||
AMC Networks 5.00% 4/1/24 | 172,000 | $174,680 | |
Clear Channel International 144A 6.625% 8/1/25 # | 200,000 | 210,868 | |
Fox 4.03% 1/25/24 | 2,985,000 | 3,234,931 | |
T-Mobile USA 3.50% 4/15/25 | 220,000 | 239,043 | |
Verizon Communications 0.75% 3/22/24 | 1,110,000 | 1,115,111 | |
4,974,633 | |||
Consumer Cyclical — 3.83% | |||
Boyd Gaming 144A 8.625% 6/1/25 # | 319,000 | 352,055 | |
Carnival 144A 7.625% 3/1/26 # | 262,000 | 284,925 | |
Ford Motor 8.50% 4/21/23 | 418,000 | 466,989 | |
Ford Motor Credit 3.375% 11/13/25 | 435,000 | 451,617 | |
General Motors Financial | |||
0.804% (SOFR + 0.76%) 3/8/24 • | 355,000 | 357,657 | |
3.45% 4/10/22 | 960,000 | 977,786 | |
4.15% 6/19/23 | 575,000 | 610,914 | |
IRB Holding 144A 7.00% 6/15/25 # | 48,000 | 51,937 | |
JD.com 3.875% 4/29/26 | 430,000 | 474,670 | |
Prime Security Services Borrower 144A 5.25% 4/15/24 # | 359,000 | 385,128 | |
Scientific Games International 144A 5.00% 10/15/25 # | 430,000 | 445,116 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 415,000 | 419,669 | |
Station Casinos 144A 5.00% 10/1/25 # | 89,000 | 90,601 | |
VF 2.40% 4/23/25 | 250,000 | 262,326 | |
5,631,390 | |||
Consumer Non-Cyclical — 2.40% | |||
AbbVie | |||
2.60% 11/21/24 | 710,000 | 748,950 | |
3.75% 11/14/23 | 330,000 | 354,136 | |
Bausch Health 144A 6.125% 4/15/25 # | 317,000 | 325,321 | |
CVS Health 3.70% 3/9/23 | 76,000 | 80,056 |
NQ-QLV [6/21] 8/21 (1751147) 3
Schedule of investments
Delaware Limited Duration Bond Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
DP World Crescent 144A 3.908% 5/31/23 # | 415,000 | $437,655 | |
Gilead Sciences 3.70% 4/1/24 | 455,000 | 489,234 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 204,000 | 219,874 | |
Royalty Pharma 144A 1.20% 9/2/25 # | 800,000 | 793,417 | |
Viatris 144A 1.65% 6/22/25 # | 75,000 | 75,952 | |
3,524,595 | |||
Electric — 8.61% | |||
AEP Texas 2.40% 10/1/22 | 500,000 | 511,441 | |
Avangrid 3.20% 4/15/25 | 380,000 | 408,418 | |
CenterPoint Energy 0.684% (SOFR + 0.65%) 5/13/24 • | 1,575,000 | 1,582,355 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 1,150,000 | 1,307,917 | |
Duke Energy | |||
1.80% 9/1/21 | 1,065,000 | 1,066,037 | |
4.875% 9/16/24 μ, ψ | 460,000 | 489,900 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | 200,000 | 218,794 | |
Entergy 4.00% 7/15/22 | 845,000 | 871,810 | |
Entergy Louisiana 4.05% 9/1/23 | 905,000 | 962,617 | |
ITC Holdings 2.70% 11/15/22 | 1,755,000 | 1,804,830 | |
NRG Energy 144A 3.75% 6/15/24 # | 690,000 | 735,590 | |
Southern California Edison 1.10% 4/1/24 | 1,160,000 | 1,168,314 | |
Vistra Operations 144A 3.55% 7/15/24 # | 705,000 | 744,851 | |
WEC Energy Group 0.80% 3/15/24 | 800,000 | 802,143 | |
12,675,017 | |||
Energy — 4.40% | |||
Apache 4.625% 11/15/25 | 243,000 | 263,131 | |
Devon Energy 144A 5.25% 9/15/24 # | 232,000 | 258,602 | |
Enbridge 0.435% (SOFR + 0.40%) 2/17/23 • | 480,000 | 481,082 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Murphy Oil 5.75% 8/15/25 | 332,000 | $341,130 | |
NuStar Logistics 5.75% 10/1/25 | 362,000 | 394,768 | |
Occidental Petroleum 5.50% 12/1/25 | 342,000 | 378,986 | |
ONEOK 7.50% 9/1/23 | 1,330,000 | 1,499,103 | |
Pioneer Natural Resources 0.55% 5/15/23 | 565,000 | 565,752 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 585,000 | 656,816 | |
Schlumberger Holdings 144A 3.75% 5/1/24 # | 930,000 | 1,001,539 | |
Southwestern Energy 6.45% 1/23/25 | 400,000 | 443,626 | |
Western Midstream Operating 4.35% 2/1/25 | 186,000 | 196,776 | |
6,481,311 | |||
Finance Companies — 3.94% | |||
AerCap Ireland Capital DAC 3.15% 2/15/24 | 760,000 | 798,186 | |
Air Lease | |||
2.875% 1/15/26 | 95,000 | 99,892 | |
3.00% 9/15/23 | 450,000 | 470,580 | |
Aviation Capital Group | |||
144A 1.95% 1/30/26 # | 230,000 | 230,172 | |
144A 2.875% 1/20/22 # | 485,000 | 489,992 | |
Avolon Holdings Funding 144A 3.95% 7/1/24 # | 3,285,000 | 3,505,258 | |
USAA Capital 144A 1.50% 5/1/23 # | 200,000 | 204,114 | |
5,798,194 | |||
Insurance — 2.36% | |||
Athene Global Funding 144A 1.00% 4/16/24 # | 710,000 | 712,383 | |
Brighthouse Financial Global Funding | |||
144A 0.779% (SOFR + 0.76%) 4/12/24 #, • | 485,000 | 488,725 | |
144A 1.00% 4/12/24 # | 485,000 | 486,147 | |
Equitable Holdings 3.90% 4/20/23 | 301,000 | 318,360 |
4 NQ-QLV [6/21] 8/21 (1751147)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Insurance (continued) | |||
GA Global Funding Trust 144A 1.00% 4/8/24 # | 1,120,000 | $1,122,925 | |
USI 144A 6.875% 5/1/25 # | 344,000 | 349,337 | |
3,477,877 | |||
Technology — 2.12% | |||
Global Payments 2.65% 2/15/25 | 311,000 | 327,942 | |
International Business Machines 3.00% 5/15/24 | 190,000 | 202,573 | |
Microchip Technology | |||
144A 0.983% 9/1/24 # | 650,000 | 647,216 | |
4.333% 6/1/23 | 615,000 | 656,086 | |
NXP 144A 2.70% 5/1/25 # | 45,000 | 47,502 | |
SK Hynix 144A 1.50% 1/19/26 # | 420,000 | 414,750 | |
Skyworks Solutions 0.90% 6/1/23 | 815,000 | 817,546 | |
3,113,615 | |||
Transportation — 1.90% | |||
DAE Funding 144A 4.50% 8/1/22 # | 447,000 | 449,005 | |
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 936,000 | 1,092,942 | |
7.375% 1/15/26 | 240,000 | 281,790 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 138,000 | 156,354 | |
Triton Container International 144A 1.15% 6/7/24 # | 765,000 | 763,706 | |
United Airlines 144A 4.375% 4/15/26 # | 50,000 | 51,822 | |
2,795,619 | |||
Total Corporate Bonds (cost $82,649,212) | 83,673,799 | ||
Non-Agency Asset-Backed Securities — 5.38% | |||
CarMax Auto Owner Trust Series 2018-2 B 3.37% 10/16/23 | 1,850,000 | 1,896,385 | |
Hyundai Auto Lease Securitization Trust Series 2021-A B 144A 0.61% 10/15/25 # | 2,000,000 | 2,003,252 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
John Deere Owner Trust Series 2019-A A3 2.91% 7/17/23 | 1,935,630 | $1,957,982 | |
JPMorgan Chase Bank Series 2020-2 B 144A 0.84% 2/25/28 # | 735,054 | 736,042 | |
Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | 1,325,000 | 1,331,507 | |
Total Non-Agency Asset-Backed Securities (cost $7,860,876) | 7,925,168 | ||
US Treasury Obligations — 15.10% | |||
US Treasury Notes | |||
0.125% 6/30/23 | 6,850,000 | 6,833,811 | |
0.25% 6/15/24 | 15,490,000 | 15,396,213 | |
Total US Treasury Obligations (cost $22,279,524) | 22,230,024 |
Number of shares | |||
Short-Term Investments — 1.11% | |||
Money Market Mutual Funds — 1.11% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 410,932 | 410,932 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 410,933 | 410,933 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.02%) | 410,933 | 410,933 |
NQ-QLV [6/21] 8/21 (1751147) 5
Schedule of investments
Delaware Limited Duration Bond Fund (Unaudited)
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 410,932 | $410,932 | |
Total Short-Term Investments (cost $1,643,730) | 1,643,730 | ||
Total Value of Securities—99.58% (cost $145,303,161) | 146,584,370 | ||
Receivables and Other Assets Net of Liabilities—0.42% | 611,139 | ||
Net Assets Applicable to 15,741,742 Shares Outstanding—100.00% | $147,195,509 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2021, the aggregate value of Rule 144A securities was $48,166,325, which represents 32.72% of the Fund's net assets. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
♦ | 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. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
The following futures contracts were outstanding at June 30, 2021:
Futures Contracts Exchange-Traded | |||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Variation Margin Due from (Due to) Brokers | ||||||
(34) | US Treasury 5 yr Notes | $(4,196,609) | $(4,206,307) | 9/30/21 | $9,698 | $(2,125) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amount presented above represents the Fund’s total exposure in such contracts, whereas only the variation margin is reflected in the Fund’s net assets.
Summary of abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
REMIC – Real Estate Mortgage Investment Conduit |
6 NQ-QLV [6/21] 8/21 (1751147)
(Unaudited)
Summary of abbreviations: (continued) |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
USD – US Dollar |
yr – Year |
NQ-QLV [6/21] 8/21 (1751147) 7