Schedule of investments
Delaware Investment Grade Fund
June 30, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds — 97.23% | |||
Banking — 24.62% | |||
Ally Financial | |||
4.70% 5/15/26 μ, ψ | 1,565,000 | $1,624,783 | |
5.75% 11/20/25 | 1,575,000 | 1,809,999 | |
Banco Santander 2.749% 12/3/30 | 400,000 | 396,605 | |
Bank of America 2.676% 6/19/41 μ | 3,665,000 | 3,562,326 | |
Bank of New York Mellon 4.70% 9/20/25 μ, ψ | 1,555,000 | 1,700,781 | |
Barclays | |||
2.667% 3/10/32 μ | 585,000 | 588,729 | |
5.20% 5/12/26 | 2,748,000 | 3,145,814 | |
BBVA USA 3.875% 4/10/25 | 1,290,000 | 1,422,062 | |
BNP Paribas 144A 4.625% 2/25/31 #, μ, ψ | 910,000 | 949,603 | |
Citigroup | |||
4.00% 12/10/25 μ, ψ | 2,365,000 | 2,450,731 | |
4.45% 9/29/27 | 1,405,000 | 1,606,399 | |
Credit Agricole 144A 2.811% 1/11/41 # | 2,065,000 | 1,962,936 | |
Credit Suisse Group | |||
144A 4.50% 9/3/30 #, μ, ψ | 314,000 | 312,399 | |
144A 5.10% 1/24/30 #, μ, ψ | 1,010,000 | 1,044,088 | |
144A 5.25% 2/11/27 #, μ, ψ | 640,000 | 678,400 | |
144A 6.375% 8/21/26 #, μ, ψ | 1,195,000 | 1,332,981 | |
Deutsche Bank | |||
3.035% 5/28/32 μ | 815,000 | 830,499 | |
3.729% 1/14/32 μ | 1,080,000 | 1,100,303 | |
Goldman Sachs Group 1.542% 9/10/27 μ | 1,960,000 | 1,956,911 | |
HSBC Holdings 4.60% 12/17/30 μ, ψ | 910,000 | 946,400 | |
Intesa Sanpaolo 144A 4.198% 6/1/32 # | 940,000 | 965,222 | |
JPMorgan Chase & Co. | |||
2.58% 4/22/32 μ | 910,000 | 934,591 | |
3.328% 4/22/52 μ | 2,025,000 | 2,165,336 | |
Morgan Stanley | |||
1.794% 2/13/32 μ | 2,305,000 | 2,216,767 | |
5.00% 11/24/25 | 1,140,000 | 1,315,311 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Natwest Group | |||
1.642% 6/14/27 μ | 380,000 | $380,403 | |
3.754% 11/1/29 μ | 705,000 | 749,944 | |
4.60% 6/28/31 μ, ψ | 615,000 | 619,428 | |
8.625% 8/15/21 μ, ψ | 1,180,000 | 1,191,263 | |
PNC Bank 4.05% 7/26/28 | 630,000 | 729,737 | |
Societe Generale 144A 4.75% 5/26/26 #, μ, ψ | 760,000 | 789,450 | |
SVB Financial Group | |||
2.10% 5/15/28 | 740,000 | 751,310 | |
4.00% 5/15/26 μ, ψ | 2,075,000 | 2,117,122 | |
Truist Bank 2.636% 9/17/29 μ | 2,120,000 | 2,222,481 | |
Truist Financial 4.95% 9/1/25 μ, ψ | 1,810,000 | 1,992,810 | |
UBS 7.625% 8/17/22 | 715,000 | 769,360 | |
UBS Group 144A 4.375% 2/10/31 #, μ, ψ | 725,000 | 742,545 | |
US Bancorp 3.00% 7/30/29 | 1,345,000 | 1,458,528 | |
Wells Fargo & Co. 3.90% 3/15/26 μ, ψ | 1,625,000 | 1,683,378 | |
53,217,735 | |||
Basic Industry — 3.20% | |||
Graphic Packaging International 144A 3.50% 3/1/29 # | 625,000 | 619,969 | |
LYB International Finance III 3.375% 10/1/40 | 1,100,000 | 1,141,936 | |
LyondellBasell Industries 4.625% 2/26/55 | 410,000 | 495,357 | |
Newmont | |||
2.25% 10/1/30 | 910,000 | 908,332 | |
2.80% 10/1/29 | 1,700,000 | 1,795,438 | |
Steel Dynamics | |||
1.65% 10/15/27 | 460,000 | 459,513 | |
2.40% 6/15/25 | 295,000 | 308,812 | |
Suzano Austria 3.125% 1/15/32 | 1,190,000 | 1,180,028 | |
6,909,385 | |||
Brokerage — 2.06% | |||
Charles Schwab | |||
4.00% 6/1/26 μ, ψ | 530,000 | 553,850 | |
5.375% 6/1/25 μ, ψ | 915,000 | 1,013,637 |
NQ-Q3V [6/21] 8/21 (1751146) 1
Schedule of investments
Delaware Investment Grade Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Brokerage (continued) | |||
Jefferies Group | |||
2.75% 10/15/32 | 510,000 | $513,123 | |
4.15% 1/23/30 | 580,000 | 651,152 | |
6.45% 6/8/27 | 810,000 | 1,009,403 | |
6.50% 1/20/43 | 515,000 | 713,032 | |
4,454,197 | |||
Capital Goods — 3.60% | |||
Amcor Flexibles North America 2.69% 5/25/31 | 830,000 | 848,325 | |
Ardagh Metal Packaging Finance USA 144A 4.00% 9/1/29 # | 570,000 | 566,438 | |
Ball 2.875% 8/15/30 | 1,035,000 | 1,017,270 | |
Berry Global 144A 4.875% 7/15/26 # | 335,000 | 354,902 | |
CCL Industries 144A 3.05% 6/1/30 # | 590,000 | 620,238 | |
Madison IAQ 144A 4.125% 6/30/28 # | 280,000 | 283,150 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 635,000 | 631,394 | |
Teledyne Technologies | |||
2.25% 4/1/28 | 1,630,000 | 1,660,830 | |
2.75% 4/1/31 | 925,000 | 950,916 | |
Weir Group 144A 2.20% 5/13/26 # | 855,000 | 859,265 | |
7,792,728 | |||
Communications — 12.96% | |||
Altice France | |||
144A 5.125% 1/15/29 # | 750,000 | 755,258 | |
144A 144A 5.125% 7/15/29 # | 380,000 | 382,337 | |
AMC Networks 4.75% 8/1/25 | 875,000 | 900,716 | |
AT&T 3.10% 2/1/43 | 1,268,000 | 1,244,969 | |
CCO Holdings 144A 4.50% 6/1/33 # | 140,000 | 143,431 | |
Cellnex Finance 144A 3.875% 7/7/41 # | 395,000 | 394,293 | |
Charter Communications Operating 4.40% 12/1/61 | 915,000 | 985,069 | |
Comcast 3.20% 7/15/36 | 1,818,000 | 1,955,709 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Crown Castle International | |||
1.05% 7/15/26 | 1,630,000 | $1,593,481 | |
2.50% 7/15/31 | 815,000 | 821,866 | |
3.80% 2/15/28 | 820,000 | 911,746 | |
CSC Holdings 144A 4.50% 11/15/31 # | 889,000 | 895,570 | |
Discovery Communications 4.00% 9/15/55 | 1,842,000 | 1,953,268 | |
Level 3 Financing | |||
144A 3.625% 1/15/29 # | 350,000 | 338,247 | |
144A 3.75% 7/15/29 # | 795,000 | 774,131 | |
144A 4.25% 7/1/28 # | 800,000 | 812,872 | |
Time Warner Cable 7.30% 7/1/38 | 760,000 | 1,111,326 | |
Time Warner Entertainment 8.375% 3/15/23 | 1,135,000 | 1,283,143 | |
T-Mobile USA | |||
2.55% 2/15/31 | 940,000 | 953,160 | |
3.00% 2/15/41 | 1,240,000 | 1,227,811 | |
3.375% 4/15/29 | 1,220,000 | 1,261,997 | |
144A 3.375% 4/15/29 # | 885,000 | 915,465 | |
Verizon Communications | |||
2.55% 3/21/31 | 250,000 | 255,722 | |
3.40% 3/22/41 | 460,000 | 487,203 | |
4.50% 8/10/33 | 1,780,000 | 2,129,639 | |
ViacomCBS | |||
4.375% 3/15/43 | 1,475,000 | 1,710,804 | |
4.95% 1/15/31 | 250,000 | 301,635 | |
Virgin Media Secured Finance 144A 5.50% 5/15/29 # | 1,398,000 | 1,504,597 | |
28,005,465 | |||
Consumer Cyclical — 2.98% | |||
Alibaba Group Holding 2.70% 2/9/41 | 445,000 | 425,794 | |
Ford Motor 8.50% 4/21/23 | 1,225,000 | 1,368,570 | |
Ford Motor Credit 2.90% 2/16/28 | 450,000 | 448,432 | |
General Motors | |||
6.25% 10/2/43 | 1,024,000 | 1,415,804 | |
6.60% 4/1/36 | 838,000 | 1,151,732 | |
General Motors Financial 5.70% 9/30/30 μ, ψ | 660,000 | 740,850 |
2 NQ-Q3V [6/21] 8/21 (1751146)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Levi Strauss & Co. 144A 3.50% 3/1/31 # | 472,000 | $470,702 | |
Prime Security Services Borrower 144A 3.375% 8/31/27 # | 440,000 | 427,350 | |
6,449,234 | |||
Consumer Non-Cyclical — 6.68% | |||
Anheuser-Busch InBev Worldwide 4.70% 2/1/36 | 2,680,000 | 3,292,119 | |
Bimbo Bakeries USA 144A 4.00% 5/17/51 # | 550,000 | 593,206 | |
Biogen 3.15% 5/1/50 | 1,005,000 | 989,152 | |
Bunge Finance 2.75% 5/14/31 | 1,110,000 | 1,123,014 | |
CVS Health | |||
2.70% 8/21/40 | 385,000 | 373,888 | |
4.78% 3/25/38 | 2,100,000 | 2,587,370 | |
Energizer Holdings 144A 4.375% 3/31/29 # | 562,000 | 563,343 | |
Perrigo Finance Unlimited 4.375% 3/15/26 | 1,280,000 | 1,410,232 | |
Sodexo 144A 1.634% 4/16/26 # | 1,025,000 | 1,033,201 | |
Takeda Pharmaceutical 3.175% 7/9/50 | 460,000 | 465,916 | |
Teleflex 144A 4.25% 6/1/28 # | 705,000 | 736,069 | |
Tenet Healthcare 144A 4.25% 6/1/29 # | 540,000 | 547,425 | |
Viatris 144A 4.00% 6/22/50 # | 685,000 | 725,665 | |
14,440,600 | |||
Electric — 10.93% | |||
Berkshire Hathaway Energy 2.85% 5/15/51 | 665,000 | 645,054 | |
CenterPoint Energy 1.45% 6/1/26 | 410,000 | 410,549 | |
CMS Energy 4.75% 6/1/50 μ | 940,000 | 1,049,863 | |
Dominion Energy 4.65% 12/15/24 μ, ψ | 1,050,000 | 1,118,250 | |
Duke Energy | |||
2.55% 6/15/31 | 1,280,000 | 1,298,037 | |
4.875% 9/16/24 μ, ψ | 1,025,000 | 1,091,625 | |
Edison International 5.375% 3/15/26 μ, ψ | 525,000 | 530,145 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Entergy Texas 3.55% 9/30/49 | 665,000 | $711,589 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 920,000 | 1,082,702 | |
IPALCO Enterprises 4.25% 5/1/30 | 730,000 | 821,965 | |
Liberty Utilities Finance GP 1 144A 2.05% 9/15/30 # | 563,000 | 543,841 | |
Louisville Gas and Electric 4.25% 4/1/49 | 785,000 | 969,355 | |
NextEra Energy Capital Holdings 1.90% 6/15/28 | 865,000 | 875,680 | |
NRG Energy | |||
144A 2.45% 12/2/27 # | 435,000 | 438,279 | |
144A 3.375% 2/15/29 # | 380,000 | 373,164 | |
144A 3.625% 2/15/31 # | 305,000 | 300,105 | |
144A 3.75% 6/15/24 # | 650,000 | 692,947 | |
144A 4.45% 6/15/29 # | 1,040,000 | 1,150,926 | |
Oglethorpe Power 3.75% 8/1/50 | 1,025,000 | 1,086,662 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 1,225,000 | 1,191,024 | |
3.30% 8/1/40 | 230,000 | 208,201 | |
4.60% 6/15/43 | 615,000 | 612,246 | |
4.95% 7/1/50 | 1,135,000 | 1,169,328 | |
San Diego Gas & Electric 3.32% 4/15/50 | 255,000 | 270,624 | |
Southern | |||
3.75% 9/15/51 μ | 320,000 | 322,448 | |
4.00% 1/15/51 μ | 1,370,000 | 1,452,200 | |
Southern California Edison 4.875% 3/1/49 | 875,000 | 1,038,683 | |
Vistra Operations | |||
144A 3.55% 7/15/24 # | 895,000 | 945,591 | |
144A 3.70% 1/30/27 # | 845,000 | 903,268 | |
144A 4.30% 7/15/29 # | 290,000 | 315,466 | |
23,619,817 |
NQ-Q3V [6/21] 8/21 (1751146) 3
Schedule of investments
Delaware Investment Grade Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy — 11.22% | |||
BP Capital Markets 4.875% 3/22/30 μ, ψ | 1,110,000 | $1,221,555 | |
BP Capital Markets America 3.06% 6/17/41 | 1,965,000 | 1,984,206 | |
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 1,545,000 | 1,770,520 | |
Continental Resources 4.375% 1/15/28 | 480,000 | 532,363 | |
Devon Energy | |||
144A 5.25% 9/15/24 # | 468,000 | 521,663 | |
5.85% 12/15/25 | 447,000 | 525,152 | |
Diamondback Energy 3.125% 3/24/31 | 1,200,000 | 1,244,922 | |
Enbridge | |||
2.50% 8/1/33 | 600,000 | 601,615 | |
5.75% 7/15/80 μ | 955,000 | 1,067,212 | |
Energy Transfer | |||
6.25% 4/15/49 | 715,000 | 939,836 | |
6.50% 11/15/26 μ, ψ | 1,110,000 | 1,134,420 | |
Enterprise Products Operating 3.20% 2/15/52 | 1,710,000 | 1,700,323 | |
EQM Midstream Partners 144A 4.75% 1/15/31 # | 645,000 | 665,440 | |
Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | 695,000 | 692,037 | |
Kinder Morgan | |||
3.25% 8/1/50 | 395,000 | 382,789 | |
3.60% 2/15/51 | 710,000 | 724,903 | |
Marathon Oil 4.40% 7/15/27 | 2,240,000 | 2,539,586 | |
NuStar Logistics 5.625% 4/28/27 | 859,000 | 922,755 | |
ONEOK 7.50% 9/1/23 | 1,640,000 | 1,848,518 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 850,000 | 954,348 | |
Targa Resources Partners | |||
144A 4.00% 1/15/32 # | 175,000 | 180,250 | |
144A 4.875% 2/1/31 # | 855,000 | 926,705 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 1,120,000 | 1,163,025 | |
24,244,143 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies — 3.80% | |||
AerCap Ireland Capital DAC | |||
4.50% 9/15/23 | 1,080,000 | $1,158,471 | |
4.625% 10/15/27 | 500,000 | 560,431 | |
6.50% 7/15/25 | 450,000 | 528,141 | |
Air Lease 2.875% 1/15/26 | 1,065,000 | 1,119,844 | |
Aviation Capital Group 144A 5.50% 12/15/24 # | 1,730,000 | 1,957,030 | |
Avolon Holdings Funding | |||
144A 2.75% 2/21/28 # | 690,000 | 683,133 | |
144A 3.95% 7/1/24 # | 1,075,000 | 1,147,078 | |
144A 4.25% 4/15/26 # | 610,000 | 661,561 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 375,000 | 397,906 | |
8,213,595 | |||
Insurance — 4.25% | |||
Arthur J Gallagher & Co. 3.50% 5/20/51 | 1,500,000 | 1,573,674 | |
Athene Holding 3.95% 5/25/51 | 1,770,000 | 1,902,121 | |
Brighthouse Financial 4.70% 6/22/47 | 1,206,000 | 1,341,754 | |
Centene | |||
3.375% 2/15/30 | 915,000 | 957,708 | |
4.625% 12/15/29 | 640,000 | 704,653 | |
Equitable Holdings 4.95% 9/15/25 μ, ψ | 505,000 | 550,450 | |
Global Atlantic Fin 144A 4.70% 10/15/51 #, μ | 1,030,000 | 1,032,513 | |
MetLife 3.85% 9/15/25 μ, ψ | 350,000 | 368,813 | |
Prudential Financial 3.70% 10/1/50 μ | 735,000 | 767,156 | |
9,198,842 | |||
Natural Gas — 0.40% | |||
Sempra Energy 4.875% 10/15/25 μ, ψ | 790,000 | 859,125 | |
859,125 | |||
Real Estate Investment Trusts — 0.79% | |||
Corporate Office Properties 2.75% 4/15/31 | 850,000 | 857,520 | |
Global Net Lease 144A 3.75% 12/15/27 # | 290,000 | 287,433 |
4 NQ-Q3V [6/21] 8/21 (1751146)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Real Estate Investment Trusts (continued) | |||
MPT Operating Partnership 3.50% 3/15/31 | 560,000 | $566,297 | |
1,711,250 | |||
Technology — 7.61% | |||
Alphabet 2.05% 8/15/50 | 2,110,000 | 1,866,118 | |
Broadcom 144A 3.469% 4/15/34 # | 1,762,000 | 1,865,570 | |
Broadridge Financial Solutions 2.60% 5/1/31 | 1,075,000 | 1,095,768 | |
Clarivate Science Holdings 144A 3.875% 6/30/28 # | 559,000 | 564,791 | |
CoStar Group 144A 2.80% 7/15/30 # | 865,000 | 880,139 | |
Fidelity National Information Services 1.65% 3/1/28 | 1,355,000 | 1,348,785 | |
Fiserv 3.20% 7/1/26 | 1,365,000 | 1,478,439 | |
Iron Mountain 144A 5.25% 7/15/30 # | 877,000 | 929,546 | |
Marvell Technology 144A 2.45% 4/15/28 # | 440,000 | 448,903 | |
NCR 144A 5.125% 4/15/29 # | 545,000 | 562,713 | |
NXP | |||
144A 3.25% 5/11/41 # | 1,340,000 | 1,379,859 | |
144A 5.55% 12/1/28 # | 2,050,000 | 2,522,880 | |
Oracle 3.65% 3/25/41 | 695,000 | 738,104 | |
Skyworks Solutions | |||
1.80% 6/1/26 | 325,000 | 329,300 | |
3.00% 6/1/31 | 435,000 | 445,086 | |
16,456,001 | |||
Transportation — 2.13% | |||
DAE Funding | |||
144A 1.55% 8/1/24 # | 335,000 | 334,956 | |
144A 3.375% 3/20/28 # | 200,000 | 205,083 |
�� | Principal amount° | Value (US $) | |
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 1,290,000 | $1,506,299 | |
7.375% 1/15/26 | 690,000 | 810,147 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 460,000 | 507,035 | |
Southwest Airlines 5.125% 6/15/27 | 1,048,000 | 1,233,630 | |
4,597,150 | |||
Total Corporate Bonds (cost $203,741,142) | 210,169,267 | ||
Loan Agreements — 2.23% | |||
AmWINS Group 3.00% (LIBOR01M + 2.25%) 2/19/28 • | 467,650 | 465,285 | |
Applied Systems 1st Lien TBD 9/19/24 X | 499,050 | 507,409 | |
Energizer Holdings 2.75% (LIBOR01M + 2.25%) 12/22/27 • | 497,500 | 497,292 | |
Ensemble RCM 3.936% (LIBOR03M + 3.75%) 8/3/26 • | 477,569 | 478,366 | |
Gates Global Tranche B-3 3.50% (LIBOR01M + 2.75%) 3/31/27 • | 477,600 | 477,220 | |
Horizon Therapeutics USA Tranche B-2 2.50% (LIBOR01M + 2.00%) 3/15/28 • | 458,850 | 457,129 | |
Informatica 3.354% (LIBOR01M + 3.25%) 2/25/27 • | 487,107 | 484,908 | |
Prime Security Services Borrower Tranche B-1 3.50% (LIBOR01M + 2.75%) 9/23/26 • | 488,775 | 488,826 | |
RealPage 1st Lien 3.75% (LIBOR03M + 3.25%) 4/24/28 • | 490,000 | 489,204 | |
Reynolds Group Holdings Tranche B-2 3.354% (LIBOR01M + 3.25%) 2/5/26 • | 487,550 | 485,011 | |
Total Loan Agreements (cost $4,841,580) | 4,830,650 |
NQ-Q3V [6/21] 8/21 (1751146) 5
Schedule of investments
Delaware Investment Grade Fund (Unaudited)
Number of shares | Value (US $) | ||
Short-Term Investments — 0.19% | |||
Money Market Mutual Funds — 0.19% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 100,299 | $100,299 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 100,299 | 100,299 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.02%) | 100,299 | 100,299 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 100,300 | 100,300 | |
Total Short-Term Investments (cost $401,197) | 401,197 | ||
Total Value of Securities—99.65% (cost $208,983,919) | 215,401,114 | ||
Receivables and Other Assets Net of Liabilities—0.35% | 754,020 | ||
Net Assets Applicable to 21,786,189 Shares Outstanding—100.00% | $216,155,134 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
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. |
# | 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 $53,495,979, which represents 24.75% 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. |
X | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
6 NQ-Q3V [6/21] 8/21 (1751146)
(Unaudited)
CDS Contracts1 | ||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | ||||||
Centrally Cleared: | ||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||
CDX 6/20/26-Quarterly | 2,175,000 | 1.000% | $(55,206) | $(53,941) | $(1,264) | $172 | ||||||
$(55,206) | $(53,941) | $(1,264) | $172 |
1 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as 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 CDS agreement. |
2 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
3 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(604). |
Summary of abbreviations: |
CDS – Credit Default Swap |
DAC – Designated Activity Company |
DIFC – Dubai International Financial Centre |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
TBD – To be determined |
USD – US Dollar |
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