UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-05162 |
Exact name of registrant as specified in charter: | Delaware VIP® Trust |
Address of principal executive offices: | 2005 Market Street |
Philadelphia, PA 19103 | |
Name and address of agent for service: | David F. Connor, Esq. |
2005 Market Street | |
Philadelphia, PA 19103 | |
Registrant’s telephone number, including area code: | (800) 523-1918 |
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2015 |
Item 1. Reports to Stockholders
Table of Contents
Delaware VIP® Trust
|
Delaware VIP Diversified Income Series
|
Semiannual report
|
June 30, 2015
|
|
Table of Contents
1 | ||||||||
2 | ||||||||
3 | ||||||||
27 | ||||||||
28 | ||||||||
28 | ||||||||
29 | ||||||||
31 | ||||||||
42 |
Investments in Delaware VIP® Diversified Income Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP Diversified Income Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||
Actual Series return† | ||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,002.60 | 0.69% | $3.43 | ||||||||
Service Class | 1,000.00 | 1,001.10 | 0.94% | 4.66 | ||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,021.37 | 0.69% | $3.46 | ||||||||
Service Class | 1,000.00 | 1,020.13 | 0.94% | 4.71 |
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Diversified Income Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Security type / sector allocation
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Percentage of | ||||
Security type / sector | net assets | |||
Agency Asset-Backed Securities | 0.01% | |||
Agency Collateralized Mortgage Obligations | 0.86% | |||
Agency Mortgage-Backed Securities | 17.05% | |||
Collateralized Debt Obligations | 0.92% | |||
Commercial Mortgage-Backed Securities | 6.34% | |||
Convertible Bonds | 1.61% | |||
Corporate Bonds | 49.14% | |||
Automotive | 0.60% | |||
Banking | 6.88% | |||
Basic Industry | 3.35% | |||
Brokerage | 0.34% | |||
Capital Goods | 1.02% | |||
Communications | 7.39% | |||
Consumer Cyclical | 3.44% | |||
Consumer Non-Cyclical | 3.68% | |||
Electric | 5.05% | |||
Energy | 5.68% | |||
Finance Companies | 0.98% | |||
Healthcare | 1.06% | |||
Insurance | 1.61% | |||
Media | 1.40% | |||
Real Estate Investment Trusts | 1.11% | |||
Services | 1.28% | |||
Technology | 2.73% | |||
Transportation | 0.65% | |||
Utilities | 0.89% | |||
Municipal Bonds | 0.94% | |||
Non-Agency Asset-Backed securities | 3.06% | |||
Non-Agency Collateralized Mortgage Obligations | 0.58% | |||
Regional Bonds | 0.26% | |||
Senior Secured Loans | 11.28% | |||
Sovereign Bonds | 2.65% | |||
Supranational Banks | 0.51% | |||
U.S. Treasury Obligations | 1.93% | |||
Common Stock | 0.00% | |||
Convertible Preferred Stock | 0.44% | |||
Preferred Stock | 0.38% | |||
Options Purchased | 0.01% | |||
Short-Term Investments | 9.21% | |||
Total Value of Securities | 107.17% | |||
Liabilities Net of Receivables and Other Assets | (7.17%) | |||
Total Net Assets | 100.00% |
Diversified Income Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
June 30, 2015 (Unaudited)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Asset-Backed Securities – 0.01% | ||||||||
Fannie Mae Grantor Trust | 267,107 | $ | 291,251 | |||||
Fannie Mae REMIC Trust | 1,564 | 1,527 | ||||||
|
| |||||||
Total Agency Asset-Backed Securities | 292,778 | |||||||
|
| |||||||
Agency Collateralized Mortgage Obligations – 0.86% | ||||||||
Fannie Mae Grantor Trust | ||||||||
Series 1999-T2 A1 7.50% 1/19/39 • | 566 | 625 | ||||||
Series 2002-T4 A3 7.50% 12/25/41 | 10,904 | 12,344 | ||||||
Series 2004-T1 1A2 6.50% 1/25/44 | 8,791 | 10,446 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series 2002-W6 2A1 6.383% 6/25/42 • | 21,430 | 24,505 | ||||||
Series 2004-W11 1A2 6.50% 5/25/44 | 34,800 | 40,606 | ||||||
Fannie Mae REMICs | ||||||||
Series 1996-46 ZA 7.50% 11/25/26 | 35,070 | 39,862 | ||||||
Series 2001-50 BA 7.00% 10/25/41 | 54,302 | 62,766 | ||||||
Series 2002-90 A1 6.50% 6/25/42 | 8,391 | 9,583 | ||||||
Series 2002-90 A2 6.50% 11/25/42 | 24,434 | 27,689 | ||||||
Series 2003-26 AT 5.00% 11/25/32 | 400,362 | 411,489 | ||||||
Series 2003-38 MP 5.50% 5/25/23 | 449,711 | 492,281 | ||||||
Series 2005-110 MB 5.50% 9/25/35 | 106,233 | 114,321 | ||||||
Series 2009-94 AC 5.00% 11/25/39 | 1,068,398 | 1,183,655 | ||||||
Series 2010-41 PN 4.50% 4/25/40 | 1,675,000 | 1,807,678 | ||||||
Series 2010-43 HJ 5.50% 5/25/40 | 376,519 | 425,058 | ||||||
Series 2010-96 DC 4.00% 9/25/25 | 2,918,227 | 3,092,854 | ||||||
Series 2010-116 Z 4.00% 10/25/40 | 81,706 | 85,867 | ||||||
Series 2012-122 SD 5.913% 11/25/42 •S | 2,226,719 | 531,258 | ||||||
Series 2013-31 MI 3.00% 4/25/33 S | 6,786,635 | 1,107,280 | ||||||
Series 2013-44 DI 3.00% 5/25/33 S | 8,921,773 | 1,299,752 | ||||||
Series 2014-36 ZE 3.00% 6/25/44 | 1,643,490 | 1,423,085 | ||||||
Freddie Mac REMICs | ||||||||
Series 1730 Z 7.00% 5/15/24 | 29,061 | 32,997 | ||||||
Series 2326 ZQ 6.50% 6/15/31 | 29,134 | 33,110 | ||||||
Series 2557 WE 5.00% 1/15/18 | 328,958 | 341,745 | ||||||
Series 2809 DC 4.50% 6/15/19 | 193,103 | 201,495 | ||||||
Series 3123 HT 5.00% 3/15/26 | 53,487 | 58,457 | ||||||
Series 3416 GK 4.00% 7/15/22 | 1,069 | 1,073 | ||||||
Series 3656 PM 5.00% 4/15/40 | 2,065,948 | 2,281,430 | ||||||
Series 4065 DE 3.00% 6/15/32 | 350,000 | 342,939 | ||||||
Series 4185 LI 3.00% 3/15/33 S | 2,180,494 | 315,548 | ||||||
Series 4191 CI 3.00% 4/15/33 S | 915,063 | 133,283 | ||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-54 2A 6.50% 2/25/43 ¿ | 13,670 | 16,040 | ||||||
Series T-58 2A 6.50% 9/25/43 ¿ | 5,259 | 5,997 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
GNMA | ||||||||
Series 2010-113 KE 4.50% 9/20/40 | 4,115,000 | $ | 4,544,610 | |||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations (cost $19,922,962) | 20,511,728 | |||||||
|
| |||||||
Agency Mortgage-Backed Securities – 17.05% | ||||||||
Fannie Mae | ||||||||
6.50% 8/1/17 | 3,057 | 3,150 | ||||||
Fannie Mae ARM | ||||||||
2.178% 6/1/37 • | 4,048 | 4,295 | ||||||
2.277% 10/1/33 • | 14,140 | 14,753 | ||||||
2.315% 11/1/35 • | 105,141 | 112,138 | ||||||
2.416% 5/1/43 • | 1,165,652 | 1,182,624 | ||||||
2.546% 6/1/43 • | 421,021 | 429,316 | ||||||
2.952% 4/1/44 • | 678,210 | 697,976 | ||||||
3.191% 4/1/44 • | 1,616,405 | 1,671,987 | ||||||
3.265% 3/1/44 • | 1,721,886 | 1,779,976 | ||||||
3.293% 9/1/43 • | 1,188,467 | 1,234,779 | ||||||
5.034% 8/1/35 • | 21,430 | 22,756 | ||||||
5.645% 8/1/37 • | 106,339 | 111,826 | ||||||
Fannie Mae Relocation 15 yr | ||||||||
4.00% 9/1/20 | 55,739 | 58,193 | ||||||
Fannie Mae Relocation 30 yr | ||||||||
5.00% 11/1/33 | 1,306 | 1,429 | ||||||
5.00% 11/1/34 | 3,025 | 3,308 | ||||||
5.00% 4/1/35 | 8,956 | 9,797 | ||||||
5.00% 10/1/35 | 17,234 | 18,853 | ||||||
5.00% 1/1/36 | 25,158 | 27,508 | ||||||
5.00% 2/1/36 | 9,140 | 9,961 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
2.50% 2/1/28 | 3,364,403 | 3,430,742 | ||||||
2.50% 5/1/28 | 714,287 | 727,827 | ||||||
3.00% 8/1/27 | 571,504 | 593,515 | ||||||
3.50% 7/1/26 | 905,328 | 957,486 | ||||||
3.50% 12/1/28 | 350,943 | 372,014 | ||||||
4.00% 4/1/24 | 313,473 | 331,801 | ||||||
4.00% 2/1/25 | 202,959 | 214,922 | ||||||
4.00% 5/1/25 | 609,532 | 651,372 | ||||||
4.00% 11/1/25 | 2,494,581 | 2,666,956 | ||||||
4.00% 12/1/26 | 967,075 | 1,023,999 | ||||||
4.00% 1/1/27 | 7,110,042 | 7,598,472 | ||||||
4.00% 5/1/27 | 2,090,284 | 2,233,700 | ||||||
4.00% 8/1/27 | 1,251,247 | 1,336,963 | ||||||
4.50% 2/1/24 | 24,634 | 26,218 | ||||||
4.50% 10/1/24 | 240,299 | 257,174 | ||||||
4.50% 2/1/25 | 93,070 | 99,902 | ||||||
4.50% 7/1/25 | 113,225 | 120,893 | ||||||
6.00% 12/1/22 | 303,620 | 335,989 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
3.00% 2/1/33 | 153,401 | 156,497 |
Diversified Income Series-3
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Fannie Mae S.F. 20 yr | ||||||||
3.00% 8/1/33 | 537,867 | $ | 548,720 | |||||
3.50% 4/1/33 | 161,952 | 169,544 | ||||||
3.50% 9/1/33 | 770,771 | 808,334 | ||||||
4.00% 1/1/31 | 278,471 | 297,297 | ||||||
4.00% 2/1/31 | 772,259 | 819,358 | ||||||
5.00% 11/1/23 | 63,765 | 70,336 | ||||||
5.00% 2/1/30 | 459,078 | 506,933 | ||||||
5.50% 11/1/25 | 35,863 | 40,237 | ||||||
5.50% 8/1/28 | 330,128 | 370,237 | ||||||
6.00% 9/1/29 | 591,313 | 670,580 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 7/1/42 | 985,746 | 987,366 | ||||||
3.00% 10/1/42 | 16,787,174 | 16,814,788 | ||||||
3.00% 12/1/42 | 2,615,185 | 2,619,493 | ||||||
3.00% 1/1/43 | 7,063,312 | 7,072,781 | ||||||
3.00% 2/1/43 | 663,148 | 664,140 | ||||||
3.00% 4/1/43 | 3,893,014 | 3,897,629 | ||||||
3.00% 5/1/43 | 2,442,184 | 2,444,274 | ||||||
4.00% 5/1/43 | 46,714 | 49,765 | ||||||
4.00% 8/1/43 | 482,362 | 513,426 | ||||||
4.00% 7/1/44 | 2,876,074 | 3,064,972 | ||||||
4.50% 7/1/36 | 402,624 | 436,733 | ||||||
4.50% 11/1/40 | 1,013,220 | 1,097,846 | ||||||
4.50% 3/1/41 | 1,972,170 | 2,135,307 | ||||||
4.50% 4/1/41 | 2,669,862 | 2,894,226 | ||||||
4.50% 7/1/41 | 800,521 | 868,293 | ||||||
4.50% 10/1/41 | 1,193,549 | 1,295,546 | ||||||
4.50% 1/1/42 | 24,911,906 | 26,980,150 | ||||||
4.50% 9/1/42 | 16,221,661 | 17,606,754 | ||||||
4.50% 2/1/44 | 351,750 | 380,983 | ||||||
4.50% 6/1/44 | 1,773,332 | 1,919,760 | ||||||
5.00% 5/1/34 | 2,271 | 2,518 | ||||||
5.00% 2/1/35 | 216,391 | 239,830 | ||||||
5.00% 4/1/35 | 16,851 | 18,650 | ||||||
5.00% 10/1/35 | 1,097,786 | 1,214,229 | ||||||
5.00% 11/1/35 | 518,017 | 572,908 | ||||||
5.00% 2/1/36 | 48,229 | 53,344 | ||||||
5.00% 2/1/37 | 40,693 | 45,125 | ||||||
5.00% 4/1/37 | 272,133 | 301,163 | ||||||
5.00% 8/1/37 | 846,377 | 936,092 | ||||||
5.00% 2/1/38 | 307,492 | 339,906 | ||||||
5.50% 12/1/32 | 58,312 | 65,748 | ||||||
5.50% 2/1/33 | 713,468 | 802,350 | ||||||
5.50% 4/1/34 | 272,838 | 307,277 | ||||||
5.50% 8/1/34 | 43,077 | 48,555 | ||||||
5.50% 11/1/34 | 294,028 | 331,501 | ||||||
5.50% 12/1/34 | 54,041 | 60,942 | ||||||
5.50% 1/1/35 | 1,079,930 | 1,216,933 | ||||||
5.50% 3/1/35 | 149,608 | 168,453 | ||||||
5.50% 6/1/35 | 229,170 | 258,231 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Fannie Mae S.F. 30 yr | ||||||||
5.50% 12/1/35 | 20,691 | $ | 23,290 | |||||
5.50% 1/1/36 | 191,784 | 215,916 | ||||||
5.50% 4/1/36 | 861,858 | 966,569 | ||||||
5.50% 7/1/36 | 110,840 | 124,861 | ||||||
5.50% 10/1/36 | 570,428 | 652,275 | ||||||
5.50% 11/1/36 | 286,749 | 321,722 | ||||||
5.50% 1/1/37 | 1,182,145 | 1,328,089 | ||||||
5.50% 2/1/37 | 18,010 | 20,205 | ||||||
5.50% 4/1/37 | 2,259,808 | 2,536,129 | ||||||
5.50% 7/1/37 | 2,121,106 | 2,380,949 | ||||||
5.50% 8/1/37 | 962,496 | 1,083,801 | ||||||
5.50% 1/1/38 | 111,000 | 126,237 | ||||||
5.50% 2/1/38 | 727,205 | 818,859 | ||||||
5.50% 3/1/38 | 590,767 | 664,588 | ||||||
5.50% 4/1/38 | 2,237,454 | 2,508,514 | ||||||
5.50% 5/1/38 | 32,001 | 35,878 | ||||||
5.50% 6/1/38 | 2,444,573 | 2,741,312 | ||||||
5.50% 9/1/38 | 1,047,526 | 1,177,865 | ||||||
5.50% 12/1/38 | 1,006,897 | 1,150,551 | ||||||
5.50% 1/1/39 | 1,061,740 | 1,193,652 | ||||||
5.50% 2/1/39 | 3,787,940 | 4,260,674 | ||||||
5.50% 10/1/39 | 2,711,809 | 3,040,336 | ||||||
5.50% 7/1/40 | 2,118,194 | 2,395,339 | ||||||
5.50% 9/1/41 | 10,436,071 | 11,708,004 | ||||||
6.00% 3/1/29 | 736 | 844 | ||||||
6.00% 6/1/30 | 2,660 | 3,047 | ||||||
6.00% 4/1/35 | 4,315 | 4,932 | ||||||
6.00% 1/1/36 | 3,016 | 3,423 | ||||||
6.00% 6/1/36 | 102,108 | 116,242 | ||||||
6.00% 9/1/36 | 574,761 | 654,226 | ||||||
6.00% 11/1/36 | 10,655 | 12,090 | ||||||
6.00% 12/1/36 | 333,613 | 380,082 | ||||||
6.00% 2/1/37 | 349,414 | 397,377 | ||||||
6.00% 3/1/37 | 387,004 | 440,111 | ||||||
6.00% 5/1/37 | 901,439 | 1,023,578 | ||||||
6.00% 6/1/37 | 65,648 | 75,278 | ||||||
6.00% 7/1/37 | 65,387 | 74,670 | ||||||
6.00% 8/1/37 | 719,220 | 817,105 | ||||||
6.00% 9/1/37 | 114,390 | 130,038 | ||||||
6.00% 11/1/37 | 168,113 | 191,524 | ||||||
6.00% 5/1/38 | 2,209,541 | 2,518,726 | ||||||
6.00% 7/1/38 | 41,265 | 46,851 | ||||||
6.00% 8/1/38 | 160,609 | 182,084 | ||||||
6.00% 9/1/38 | 303,616 | 345,424 | ||||||
6.00% 10/1/38 | 1,227,826 | 1,395,981 | ||||||
6.00% 11/1/38 | 273,354 | 312,917 | ||||||
6.00% 1/1/39 | 525,368 | 596,404 | ||||||
6.00% 7/1/39 | 14,798 | 16,787 | ||||||
6.00% 9/1/39 | 5,673,169 | 6,450,368 | ||||||
6.00% 3/1/40 | 449,829 | 510,965 |
Diversified Income Series-4
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Fannie Mae S.F. 30 yr | ||||||||
6.00% 7/1/40 | 1,998,650 | $ | 2,271,182 | |||||
6.00% 9/1/40 | 406,509 | 462,561 | ||||||
6.00% 11/1/40 | 177,791 | 203,972 | ||||||
6.00% 5/1/41 | 4,818,289 | 5,483,278 | ||||||
6.50% 2/1/36 | 236,901 | 272,059 | ||||||
6.50% 3/1/37 | 341,905 | 392,648 | ||||||
7.50% 3/1/32 | 335 | 397 | ||||||
7.50% 4/1/32 | 848 | 998 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
3.00% 7/1/45 | 47,981,000 | 47,802,007 | ||||||
3.00% 8/1/45 | 86,436,000 | 85,890,710 | ||||||
4.50% 7/1/45 | 16,165,000 | 17,475,881 | ||||||
4.50% 8/1/45 | 17,375,000 | 18,756,856 | ||||||
Freddie Mac ARM | ||||||||
2.181% 8/1/37 • | 2,791 | 2,964 | ||||||
2.252% 2/1/37 • | 184,207 | 196,515 | ||||||
2.275% 10/1/37 • | 14,609 | 15,421 | ||||||
2.309% 4/1/34 • | 980 | 1,041 | ||||||
2.342% 12/1/33 • | 27,514 | 29,410 | ||||||
2.382% 7/1/36 • | 76,676 | 81,722 | ||||||
2.528% 1/1/44 • | 3,364,957 | 3,450,994 | ||||||
2.718% 6/1/37 • | 272,908 | 293,114 | ||||||
Freddie Mac Relocation 30 yr | ||||||||
5.00% 9/1/33 | 5,322 | 5,817 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
2.50% 3/1/28 | 659,123 | 673,381 | ||||||
3.50% 11/1/25 | 269,078 | 284,293 | ||||||
3.50% 6/1/26 | 296,103 | 312,765 | ||||||
3.50% 10/1/26 | 302,520 | 320,141 | ||||||
3.50% 1/1/27 | 268,932 | 283,988 | ||||||
4.00% 5/1/25 | 177,473 | 187,503 | ||||||
4.00% 8/1/25 | 358,589 | 382,042 | ||||||
4.00% 11/1/26 | 729,478 | 775,198 | ||||||
4.50% 5/1/20 | 206,590 | 215,488 | ||||||
4.50% 7/1/25 | 182,240 | 194,571 | ||||||
4.50% 6/1/26 | 459,893 | 492,993 | ||||||
4.50% 9/1/26 | 717,946 | 767,116 | ||||||
5.00% 6/1/18 | 55,386 | 57,828 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
3.50% 1/1/34 | 1,380,059 | 1,442,035 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 10/1/42 | 1,166,641 | 1,163,444 | ||||||
3.00% 11/1/42 | 1,086,345 | 1,083,358 | ||||||
4.50% 10/1/39 | 466,838 | 505,274 | ||||||
4.50% 4/1/41 | 3,595,120 | 3,893,980 | ||||||
4.50% 6/1/44 | 1,035,497 | 1,119,574 | ||||||
5.00% 3/1/34 | 14,242 | 15,867 | ||||||
5.50% 3/1/34 | 125,585 | 141,443 | ||||||
5.50% 12/1/34 | 118,195 | 133,277 | ||||||
5.50% 6/1/36 | 74,547 | 83,586 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac S.F. 30 yr | ||||||||
5.50% 11/1/36 | 153,333 | $ | 171,670 | |||||
5.50% 12/1/36 | 35,528 | 39,767 | ||||||
5.50% 9/1/37 | 167,112 | 187,035 | ||||||
5.50% 4/1/38 | 596,394 | 667,488 | ||||||
5.50% 6/1/38 | 91,126 | 101,953 | ||||||
5.50% 7/1/38 | 614,985 | 688,051 | ||||||
5.50% 6/1/39 | 637,338 | 713,059 | ||||||
5.50% 3/1/40 | 409,611 | 458,379 | ||||||
5.50% 8/1/40 | 309,278 | 346,025 | ||||||
5.50% 1/1/41 | 421,749 | 471,935 | ||||||
5.50% 6/1/41 | 4,746,835 | 5,310,802 | ||||||
6.00% 2/1/36 | 614,474 | 700,586 | ||||||
6.00% 1/1/38 | 158,639 | 179,498 | ||||||
6.00% 6/1/38 | 457,130 | 517,452 | ||||||
6.00% 8/1/38 | 693,348 | 786,866 | ||||||
6.00% 5/1/40 | 190,045 | 215,147 | ||||||
6.00% 7/1/40 | 1,098,264 | 1,246,241 | ||||||
6.50% 8/1/38 | 112,354 | 128,675 | ||||||
6.50% 4/1/39 | 714,315 | 820,486 | ||||||
GNMA I S.F. 30 yr | ||||||||
5.00% 6/15/40 | 232,218 | 257,612 | ||||||
7.00% 12/15/34 | 159,946 | 192,159 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities | 405,556,897 | |||||||
|
| |||||||
Collateralized Debt Obligations – 0.92% | ||||||||
Avery Point III CLO | 2,200,000 | 2,195,600 | ||||||
Benefit Street Partners CLO IV | 5,900,000 | 5,896,460 | ||||||
Cent CLO 21 | 2,200,000 | 2,192,300 | ||||||
Magnetite IX | 6,040,000 | 6,026,712 | ||||||
Neuberger Berman CLO XIX | 3,300,000 | 3,298,350 | ||||||
Neuberger Berman CLO XVII | 2,150,000 | 2,148,925 | ||||||
|
| |||||||
Total Collateralized | 21,758,347 | |||||||
|
|
Diversified Income Series-5
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities – 6.34% | ||||||||
Banc of America Commercial Mortgage Trust | ||||||||
Series 2006-1 AM 5.421% 9/10/45 • | 540,000 | $ | 547,048 | |||||
Series 2007-4 AM 6.003% 2/10/51 • | 1,330,000 | 1,428,110 | ||||||
Bear Stearns Commercial Mortgage Securities Trust Series 2007-PWR18 A4 5.70% 6/11/50 | 1,185,000 | 1,267,369 | ||||||
CD Commercial Mortgage Trust | ||||||||
Series 2005-CD1 AJ 5.38% 7/15/44 • | 2,765,000 | 2,782,854 | ||||||
Series 2005-CD1 AM 5.38% 7/15/44 • | 2,340,000 | 2,355,996 | ||||||
Series 2005-CD1 C 5.38% 7/15/44 • | 650,000 | 653,673 | ||||||
CFCRE Commercial Mortgage Trust | 1,571,726 | 1,589,548 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2007-C6 5.899% 12/10/49 • | 1,230,000 | 1,302,695 | ||||||
Series 2014-GC25 A4 3.635% 10/10/47 | 2,275,000 | 2,333,333 | ||||||
Series 2015-GC27 A5 3.137% 2/10/48 | 3,355,000 | 3,295,026 | ||||||
COMM Mortgage Trust | ||||||||
Series 2014-CR19 A5 3.796% 8/10/47 | 1,705,000 | 1,771,018 | ||||||
Series 2014-CR20 A4 3.59% 11/10/47 | 3,520,000 | 3,592,065 | ||||||
Series 2014-CR20 AM 3.938% 11/10/47 | 7,775,000 | 8,003,445 | ||||||
Series 2014-CR21 A3 3.528% 12/10/47 | 1,820,000 | 1,848,796 | ||||||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 3,960,000 | 3,886,748 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2005-GG5 A5 5.224% 4/10/37 • | 3,270,911 | 3,274,934 | ||||||
Series 2007-GG9 AM 5.475% 3/10/39 | 1,345,000 | 1,404,596 | ||||||
Credit Suisse First Boston Mortgage Securities | 1,365,000 | 1,367,346 | ||||||
DBUBS Mortgage Trust | ||||||||
Series 2011-LC1A A3 144A 5.002% 11/10/46 # | 6,415,000 | 7,158,909 | ||||||
Series 2011-LC1A C 144A 5.735% 11/10/46 #• | 2,000,000 | 2,222,144 | ||||||
FREMF Mortgage Trust Series 2011-K10 B 144A 4.781% 11/25/49 #• | 1,280,000 | 1,387,100 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
FREMF Mortgage Trust | ||||||||
Series 2011-K15 B 144A 5.098% 8/25/44 #• | 195,000 | $ | 213,287 | |||||
Series 2011-K703 B 144A 5.045% 7/25/44 #• | 515,000 | 551,991 | ||||||
Series 2012-K18 B 144A 4.41% 1/25/45 #• | 1,020,000 | 1,076,377 | ||||||
Series 2012-K19 B 144A 4.176% 5/25/45 #• | 390,000 | 408,814 | ||||||
Series 2012-K22 B 144A 3.812% 8/25/45 #• | 1,730,000 | 1,761,681 | ||||||
Series 2012-K22 C 144A 3.812% 8/25/45 #• | 1,400,000 | 1,389,689 | ||||||
Series 2012-K707 B 144A 4.019% 1/25/47 #• | 700,000 | 729,345 | ||||||
Series 2012-K708 B 144A 3.887% 2/25/45 #• | 2,960,000 | 3,071,852 | ||||||
Series 2012-K708 C 144A 3.887% 2/25/45 #• | 530,000 | 541,596 | ||||||
Series 2012-K711 B 144A 3.684% 8/25/45 #• | 2,030,000 | 2,103,837 | ||||||
Series 2013-K25 C 144A 3.743% 11/25/45 #• | 2,195,000 | 2,142,401 | ||||||
Series 2013-K26 C 144A 3.723% 12/25/45 #• | 860,000 | 844,410 | ||||||
Series 2013-K30 C 144A 3.667% 6/25/45 #• | 1,560,000 | 1,503,984 | ||||||
Series 2013-K31 C 144A 3.74% 7/25/46 #• | 3,082,000 | 3,004,858 | ||||||
Series 2013-K33 B 144A 3.619% 8/25/46 #• | 1,315,000 | 1,299,528 | ||||||
Series 2013-K33 C 144A 3.619% 8/25/46 #• | 905,000 | 874,829 | ||||||
Series 2013-K712 B 144A | 4,270,000 | 4,346,313 | ||||||
Series 2013-K713 B 144A | 3,190,000 | 3,213,810 | ||||||
Series 2013-K713 C 144A | 2,640,000 | 2,597,142 | ||||||
Series 2014-K716 C 144A | 1,105,000 | 1,114,694 | ||||||
GRACE Mortgage Trust Series 2014-GRCE A 144A | 6,755,000 | 6,949,726 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2006-GG6 A4 5.553% 4/10/38 • | 1,815,000 | 1,825,297 | ||||||
Series 2010-C1 A2 144A 4.592% 8/10/43 # | 3,090,000 | 3,391,077 |
Diversified Income Series-6
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
GS Mortgage Securities Trust Series 2010-C1 C 144A 5.635% 8/10/43 #• | 1,010,000 | $ | 1,121,313 | |||||
Hilton USA Trust | ||||||||
Series 2013-HLT AFX 144A 2.662% 11/5/30 # | 3,085,000 | 3,065,475 | ||||||
Series 2013-HLT BFX 144A 3.367% 11/5/30 # | 3,810,000 | 3,823,171 | ||||||
Houston Galleria Mall Trust Series 2015-HGLR A1A2 144A 3.087% 3/5/37 # | 3,425,000 | 3,324,439 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18 A1 1.254% 2/15/47 | 1,159,582 | 1,156,740 | ||||||
Series 2014-C22 B 4.713% 9/15/47 • | 645,000 | 671,488 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2005-CB11 E 5.672% 8/12/37 • | 600,000 | 654,822 | ||||||
Series 2005-LDP4 AJ 5.04% 10/15/42 • | 4,950,000 | 4,960,063 | ||||||
Series 2005-LDP5 D 5.567% 12/15/44 • | 1,110,000 | 1,123,493 | ||||||
Series 2006-LDP8 AM 5.44% 5/15/45 | 4,004,000 | 4,160,785 | ||||||
Series 2011-C5 C 144A 5.50% 8/15/46 #• | 1,100,000 | 1,207,159 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
Series 2004-C1 A4 4.568% 1/15/31 | 114,645 | 115,891 | ||||||
Series 2006-C6 AJ 5.452% 9/15/39 • | 2,390,000 | 2,482,940 | ||||||
Series 2006-C6 AM 5.413% 9/15/39 | 1,590,000 | 1,661,122 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2014-C19 AS 3.832% 12/15/47 | 610,000 | 619,698 | ||||||
Series 2015-C22 A3 3.046% 5/15/46 | 1,210,000 | 1,183,917 | ||||||
Series 2015-C22 A4 3.306% 5/15/46 | 1,670,000 | 1,657,219 | ||||||
Series 2015-C23 A4 3.719% 7/15/50 | 4,915,000 | 5,040,205 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2005-HQ7 AJ 5.362% 11/14/42 • | 1,650,000 | 1,662,585 | ||||||
Series 2005-HQ7 C | 2,275,000 | 2,286,077 | ||||||
Series 2006-T21 AM 5.204% 10/12/52 • | 1,570,000 | 1,596,882 | ||||||
Series 2006-T21 B 144A 5.462% 10/12/52 #• | 800,000 | 814,556 | ||||||
Series 2006-T23 A4 6.01% 8/12/41 • | 1,306,819 | 1,348,926 | ||||||
TimberStar Trust I | 1,510,000 | 1,581,621 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Wells Fargo Commercial Mortgage Trust | 3,720,000 | $ | 3,742,387 | |||||
WFRBS Commercial Mortgage Trust | 1,220,000 | 1,286,630 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 150,778,895 | |||||||
|
| |||||||
Convertible Bonds – 1.61% | ||||||||
Abengoa 144A 5.125% exercise price $38.08, expiration date | 1,400,000 | 1,352,750 | ||||||
Alaska Communications Systems Group 6.25% exercise price $10.28, expiration date 4/27/18 | 1,374,000 | 1,376,576 | ||||||
American Realty Capital Properties 3.75% exercise price $15.15, expiration date 12/14/20 | 1,059,000 | 996,127 | ||||||
Ares Capital 5.75% exercise price $19.13, expiration date 2/1/16 | 453,000 | 463,759 | ||||||
BGC Partners 4.50% exercise price $9.84, expiration date 7/13/16 | 996,000 | 1,046,423 | ||||||
BioMarin Pharmaceutical 1.50% exercise price $94.15, expiration date 10/13/20 | 695,000 | 1,110,263 | ||||||
Blackstone Mortgage Trust 5.25% exercise price $28.66, expiration date 12/1/18 | 1,497,000 | 1,563,429 | ||||||
Blucora 4.25% exercise price $21.66, expiration date 3/29/19 | 652,000 | 648,740 | ||||||
Campus Crest Communities Operating Partnership 144A 4.75% exercise price $12.56, expiration date | 1,232,000 | 1,184,260 | ||||||
Cardtronics 1.00% exercise price $52.35, expiration date 11/27/20 | 1,276,000 | 1,258,455 | ||||||
Cemex 3.25% exercise price $9.27, expiration date 3/9/16 | 866,000 | 966,131 | ||||||
Chart Industries 2.00% exercise price $69.03, expiration date 7/30/18 | 1,252,000 | 1,216,005 | ||||||
Chesapeake Energy 2.25% exercise price $80.28, expiration date 12/14/38 | 603,000 | 526,117 | ||||||
Ciena 144A 3.75% exercise price $20.17, expiration date | 661,000 | 903,091 | ||||||
GAIN Capital Holdings 4.125% exercise price $12.00, expiration date 11/30/18 | 699,000 | 766,279 | ||||||
General Cable 4.50% exercise price $34.17, expiration date | 1,272,000 | 1,060,530 |
Diversified Income Series-7
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Convertible Bonds (continued) | ||||||||||
Gilead Sciences 1.625% exercise price $22.71, expiration date 4/29/16 | 308,000 | $ | 1,588,704 | |||||||
HealthSouth 2.00% exercise price $38.82, expiration date 11/30/43 | 702,000 | 896,366 | ||||||||
Hologic 2.00% exercise price $31.17, expiration date 2/27/42 f | 611,000 | 807,284 | ||||||||
Illumina 0.25% exercise price $83.55, expiration date 3/11/16 | 278,000 | 725,408 | ||||||||
Intel 3.25% exercise price $21.47, expiration date 8/1/39 | 298,000 | 453,893 | ||||||||
j2 Global 3.25% exercise price $69.37, expiration date 6/14/29 | 1,146,000 | 1,334,374 | ||||||||
Jefferies Group 3.875% exercise price $44.83, expiration date 10/31/29 | 836,000 | 856,377 | ||||||||
Liberty Interactive 144A 1.00% exercise price $64.28, expiration date 9/28/43 # | 886,000 | 865,511 | ||||||||
Meritor 4.00% exercise price $26.73, expiration date 2/12/27 | 1,095,000 | 1,132,641 | ||||||||
Microchip Technology 144A 1.625% exercise price $67.68, expiration date 2/13/25 # | 531,000 | 538,301 | ||||||||
Mylan 3.75% exercise price $13.32, expiration date 9/10/15 | 214,000 | 1,088,591 | ||||||||
Novellus Systems 2.625% exercise price $34.78, expiration date 5/14/41 | 648,000 | 1,544,265 | ||||||||
NuVasive 2.75% exercise price $42.13, expiration date 6/30/17 | 1,402,000 | 1,787,550 | ||||||||
NXP Semiconductors 144A 1.00% exercise price $102.84, expiration date 11/27/19 # | 616,000 | 721,105 | ||||||||
Oclaro 144A 6.00% exercise price $1.95, expiration date | 239,000 | 315,928 | ||||||||
PROS Holdings 144A 2.00% exercise price $33.79, expiration date 11/27/19 # | 1,109,000 | 1,079,889 | ||||||||
SanDisk 1.50% exercise price $50.94, expiration date 8/11/17 | 251,000 | 325,829 | ||||||||
Spectrum Pharmaceuticals 2.75% exercise price $10.53, expiration date 12/13/18 | 841,000 | 793,694 | ||||||||
Spirit Realty Capital 3.75% exercise price $13.08, expiration date 5/13/21 | 1,028,000 | 961,185 | ||||||||
SunEdison 144A 2.625% exercise price $38.65, expiration date | 140,000 | 142,450 | ||||||||
SunEdison 144A 3.375% exercise price $38.65, expiration date | 70,000 | 72,669 | ||||||||
Titan Machinery 3.75% exercise price $43.17, expiration date 4/30/19 | 218,000 | 179,986 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Convertible Bonds (continued) | ||||||||||
TPG Specialty Lending 4.50% exercise price $25.83, expiration date 12/15/19 | 866,000 | $ | 862,211 | |||||||
Vantage Drilling 144A 5.50% exercise price $2.39, expiration date 7/15/43 # | 766,000 | 512,741 | ||||||||
Vector Group 1.75% exercise price $25.87, expiration date 4/15/20 | 905,000 | 995,500 | ||||||||
Vector Group 2.50% exercise price $16.78, expiration date 1/14/19 • | 408,000 | 603,089 | ||||||||
VeriSign 4.136% exercise price $34.37, expiration date 8/15/37 | 347,000 | 641,083 | ||||||||
|
| |||||||||
Total Convertible Bonds | 38,265,559 | |||||||||
|
| |||||||||
Corporate Bonds – 49.14% | ||||||||||
Automotive – 0.60% | ||||||||||
American Axle & Manufacturing 6.25% 3/15/21 | 1,156,000 | 1,219,580 | ||||||||
Delphi 5.00% 2/15/23 | 480,000 | 512,400 | ||||||||
Fiat Chrysler Automobiles 144A 4.50% 4/15/20 # | 2,710,000 | 2,703,225 | ||||||||
Ford Motor 7.45% 7/16/31 | 2,320,000 | 2,972,041 | ||||||||
Gates Global 144A 6.00% 7/15/22 # | 1,135,000 | 1,032,850 | ||||||||
Lear 5.25% 1/15/25 | 5,070,000 | 5,006,625 | ||||||||
Meritor 6.75% 6/15/21 | 516,000 | 530,190 | ||||||||
ZF North America Capital | ||||||||||
144A 4.50% 4/29/22 # | 160,000 | 157,328 | ||||||||
144A 4.75% 4/29/25 # | 238,000 | 231,307 | ||||||||
|
| |||||||||
14,365,546 | ||||||||||
|
| |||||||||
Banking – 6.88% | ||||||||||
Akbank 144A 4.00% 1/24/20 # | 1,585,000 | 1,547,816 | ||||||||
Ally Financial 4.125% 2/13/22 | 350,000 | 336,875 | ||||||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 500,000 | 504,645 | ||||||||
Banco Bilbao Vizcaya Argentaria Colombia 144A 4.875% 4/21/25 # | 2,435,000 | 2,387,517 | ||||||||
Bank of America 3.95% 4/21/25 | 9,125,000 | 8,806,720 | ||||||||
Bank of New York Mellon | 535,000 | 529,703 | ||||||||
BB&T 5.25% 11/1/19 | 10,852,000 | 11,965,556 | ||||||||
BBVA Banco Continental 144A 5.00% 8/26/22 # | 865,000 | 900,205 | ||||||||
BBVA Bancomer | ||||||||||
144A 6.50% | 2,530,000 | 2,751,375 | ||||||||
144A 7.25% | 765,000 | 849,073 | ||||||||
Branch Banking & Trust 3.80% 10/30/26 | 3,350,000 | 3,387,724 | ||||||||
City National 5.25% 9/15/20 | 2,075,000 | 2,353,251 | ||||||||
Compass Bank 3.875% 4/10/25 | 2,280,000 | 2,150,802 | ||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank | ||||||||||
2.50% 9/4/20 | NOK | 5,290,000 | 693,984 |
Diversified Income Series-8
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Banking (continued) | ||||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank | ||||||||||
4.25% 1/13/22 | AUD | 1,073,000 | $ | 839,455 | ||||||
4.625% 12/1/23 | 2,270,000 | 2,346,045 | ||||||||
Credit Suisse 144A 6.50% 8/8/23 # | 2,520,000 | 2,762,200 | ||||||||
Credit Suisse Group | ||||||||||
144A 6.25% | 845,000 | 812,679 | ||||||||
144A 7.50% | 430,000 | 449,030 | ||||||||
Credit Suisse Group Funding Guernsey 144A 3.75% 3/26/25 # | 2,755,000 | 2,657,498 | ||||||||
Export-Import Bank of China 144A 2.50% 7/31/19 # | 2,160,000 | 2,163,253 | ||||||||
Export-Import Bank of Korea | ||||||||||
144A 2.711% | CAD | 210,000 | 174,860 | |||||||
144A 3.00% | NOK | 1,100,000 | 144,787 | |||||||
Finnvera 144A 2.375% 6/4/25 # | 3,455,000 | 3,348,855 | ||||||||
Goldman Sachs Group | ||||||||||
3.43% 8/21/19 • | AUD | 550,000 | 426,175 | |||||||
3.55% 2/12/21 | CAD | 400,000 | 337,973 | |||||||
5.15% 5/22/45 | 2,170,000 | 2,101,283 | ||||||||
5.20% 12/17/19 | NZD | 2,280,000 | 1,597,451 | |||||||
5.375% 12/29/49 • | 4,800,000 | 4,747,920 | ||||||||
HSBC Holdings 6.375% 12/29/49 • | 1,230,000 | 1,239,225 | ||||||||
ING Groep | ||||||||||
6.00% 12/29/49 • | 850,000 | 843,094 | ||||||||
6.50% 12/29/49 • | 2,770,000 | 2,685,169 | ||||||||
Itau Unibanco Holding 144A 2.85% 5/26/18 # | 3,300,000 | 3,281,850 | ||||||||
JPMorgan Chase | ||||||||||
0.909% 1/28/19 • | 1,124,000 | 1,122,981 | ||||||||
1.50% 1/27/25 | EUR | 2,607,000 | 2,789,055 | |||||||
2.75% 6/23/20 | 1,095,000 | 1,096,914 | ||||||||
3.50% 12/18/26 | GBP | 264,000 | 425,498 | |||||||
4.125% 12/15/26 | 3,685,000 | 3,631,549 | ||||||||
4.25% 11/2/18 | NZD | 1,840,000 | 1,259,326 | |||||||
5.30% 12/29/49 • | 1,500,000 | 1,492,650 | ||||||||
6.75% 1/29/49 • | 505,000 | 540,188 | ||||||||
KeyBank | ||||||||||
3.30% 6/1/25 | 1,665,000 | 1,620,077 | ||||||||
6.95% 2/1/28 | 4,255,000 | 5,443,256 | ||||||||
Lloyds Banking Group | ||||||||||
4.50% 11/4/24 | 2,605,000 | 2,611,460 | ||||||||
7.50% 4/30/49 • | 2,760,000 | 2,849,700 | ||||||||
Morgan Stanley | ||||||||||
1.128% 1/24/19 • | 1,126,000 | 1,126,560 | ||||||||
2.80% 6/16/20 | 2,795,000 | 2,799,900 | ||||||||
3.125% 8/5/21 | CAD | 972,000 | 799,931 | |||||||
4.35% 9/8/26 | 6,780,000 | 6,658,123 | ||||||||
5.00% 9/30/21 | AUD | 1,087,000 | 873,023 | |||||||
MUFG Americas Holdings | ||||||||||
2.25% 2/10/20 | 1,560,000 | 1,543,046 | ||||||||
3.00% 2/10/25 | 3,740,000 | 3,516,655 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Banking (continued) | ||||||||||
National City Bank 0.649% 6/7/17 • | 1,905,000 | $ | 1,896,513 | |||||||
Nordea Bank 144A 6.125% 12/29/49 #• | 1,635,000 | 1,618,138 | ||||||||
Northern Trust 3.95% 10/30/25 | 1,375,000 | 1,422,537 | ||||||||
PNC Bank | ||||||||||
3.30% 10/30/24 | 2,190,000 | 2,161,972 | ||||||||
6.875% 4/1/18 | 5,710,000 | 6,456,400 | ||||||||
PNC Preferred Funding Trust II 144A 1.508% 3/31/49 #• | 3,700,000 | 3,339,250 | ||||||||
Santander Holdings USA 3.45% 8/27/18 | 1,650,000 | 1,703,835 | ||||||||
Santander UK 144A 5.00% 11/7/23 # | 2,905,000 | 2,977,683 | ||||||||
State Street 3.10% 5/15/23 | 1,360,000 | 1,333,741 | ||||||||
SunTrust Bank 0.572% 8/24/15 • | 1,965,000 | 1,964,766 | ||||||||
SunTrust Banks 2.35% 11/1/18 | 685,000 | 689,879 | ||||||||
SVB Financial Group 3.50% 1/29/25 | 1,350,000 | 1,303,391 | ||||||||
Turkiye Garanti Bankasi 144A 4.75% 10/17/19 # | 2,947,000 | 2,994,889 | ||||||||
U.S. Bancorp 3.60% 9/11/24 | 2,640,000 | 2,656,988 | ||||||||
US Bank 2.80% 1/27/25 | 2,295,000 | 2,198,557 | ||||||||
USB Capital IX 3.50% 10/29/49 • | 7,185,000 | 5,940,199 | ||||||||
USB Realty 144A 1.422% 12/29/49 #• | 300,000 | 274,875 | ||||||||
Wells Fargo | ||||||||||
3.50% 9/12/29 | GBP | 654,000 | 1,018,537 | |||||||
4.75% 8/27/24 | AUD | 660,000 | 529,622 | |||||||
5.875% 12/29/49 • | 960,000 | 984,048 | ||||||||
Woori Bank | ||||||||||
144A 2.875% | 1,600,000 | 1,642,131 | ||||||||
144A 4.75% | 2,000,000 | 2,077,782 | ||||||||
Zions Bancorporation 4.50% 6/13/23 | 2,150,000 | 2,199,024 | ||||||||
|
| |||||||||
163,708,697 | ||||||||||
|
| |||||||||
Basic Industry – 3.35% | ||||||||||
AK Steel 7.625% 5/15/20 | 725,000 | 607,187 | ||||||||
ArcelorMittal | ||||||||||
6.125% 6/1/25 | 1,135,000 | 1,134,291 | ||||||||
10.60% 6/1/19 | 2,685,000 | 3,225,356 | ||||||||
Ball 5.25% 7/1/25 | 4,570,000 | 4,524,300 | ||||||||
BHP Billiton Finance 3.25% 9/25/24 | GBP | 565,000 | 891,765 | |||||||
Builders FirstSource 144A 7.625% | 460,000 | 478,400 | ||||||||
Cemex 144A 7.25% 1/15/21 # | 735,000 | 777,409 | ||||||||
CF Industries | ||||||||||
6.875% 5/1/18 | 4,115,000 | 4,635,432 | ||||||||
7.125% 5/1/20 | 1,165,000 | 1,385,339 | ||||||||
Chemours | ||||||||||
144A 6.625% | 245,000 | 237,956 | ||||||||
144A 7.00% 5/15/25 # | 3,348,000 | 3,255,930 | ||||||||
Consolidated Energy Finance 144A 6.75% 10/15/19 # | 1,286,000 | 1,311,720 | ||||||||
Dow Chemical 8.55% 5/15/19 | 9,161,000 | 11,178,839 | ||||||||
Evolution Escrow | 900,000 | 855,000 |
Diversified Income Series-9
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Basic Industry (continued) | ||||||||||
Freeport-McMoran Oil & Gas 6.50% 11/15/20 | 1,115,000 | $ | 1,181,900 | |||||||
Georgia-Pacific 8.00% 1/15/24 | 5,210,000 | 6,713,064 | ||||||||
Gerdau Holdings 144A 7.00% 1/20/20 # . | 1,595,000 | 1,738,550 | ||||||||
Gerdau Trade 144A 5.75% 1/30/21 # | 615,000 | 633,450 | ||||||||
Grace (W.R.) 144A 5.125% 10/1/21 # | 1,625,000 | 1,641,250 | ||||||||
GTL Trade Finance 144A 5.893% | 605,000 | 593,203 | ||||||||
HD Supply | ||||||||||
7.50% 7/15/20 | 598,000 | 635,375 | ||||||||
11.50% 7/15/20 | 620,000 | 719,200 | ||||||||
International Paper 5.00% 9/15/35 | 1,525,000 | 1,498,701 | ||||||||
INVISTA Finance 144A 4.25% 10/15/19 # | 2,465,000 | 2,440,350 | ||||||||
LSB Industries 7.75% 8/1/19 | 250,000 | 266,250 | ||||||||
Lundin Mining 144A 7.50% 11/1/20 # | 1,195,000 | 1,290,600 | ||||||||
Methanex 4.25% 12/1/24 | 2,890,000 | 2,870,770 | ||||||||
MMC Norilsk Nickel 144A 5.55% | 962,000 | 958,277 | ||||||||
NOVA Chemicals 144A 5.00% 5/1/25 # | 4,764,000 | 4,793,775 | ||||||||
Novelis 8.75% 12/15/20 | 1,205,000 | 1,280,313 | ||||||||
OCP | ||||||||||
144A 4.50% | 2,770,000 | 2,641,887 | ||||||||
144A 6.875% | 1,650,000 | 1,732,830 | ||||||||
Phosagro 144A 4.204% 2/13/18 # | 2,080,000 | 2,015,562 | ||||||||
PolyOne 5.25% 3/15/23 | 812,000 | 807,940 | ||||||||
PPG Industries 2.30% 11/15/19 | 1,770,000 | 1,774,636 | ||||||||
Rockwood Specialties Group 4.625% 10/15/20 | 1,595,000 | 1,662,787 | ||||||||
Ryerson | ||||||||||
9.00% 10/15/17 | 827,000 | 835,270 | ||||||||
11.25% 10/15/18 | 228,000 | 231,420 | ||||||||
Sealed Air 144A 5.50% 9/15/25 # | 760,000 | 767,600 | ||||||||
Tronox Finance 6.375% 8/15/20 | 675,000 | 629,438 | ||||||||
Weyerhaeuser 4.625% 9/15/23 | 2,530,000 | 2,694,607 | ||||||||
|
| |||||||||
79,547,929 | ||||||||||
|
| |||||||||
Brokerage – 0.34% | ||||||||||
Affiliated Managers Group 3.50% 8/1/25 | 2,115,000 | 2,052,544 | ||||||||
Jefferies Group | ||||||||||
5.125% 1/20/23 | 1,540,000 | 1,592,326 | ||||||||
6.45% 6/8/27 | 893,000 | 973,654 | ||||||||
6.50% 1/20/43 | 585,000 | 573,352 | ||||||||
Lazard Group 6.85% 6/15/17 | 878,000 | 959,587 | ||||||||
SUAM Finance 144A 4.875% 4/17/24 # | 1,950,000 | 1,969,500 | ||||||||
|
| |||||||||
8,120,963 | ||||||||||
|
| |||||||||
Capital Goods – 1.02% | ||||||||||
BWAY Holding 144A 9.125% 8/15/21 # | 1,530,000 | 1,583,550 | ||||||||
Cemex 144A 4.375% 3/5/23 # | EUR | 1,925,000 | 2,071,571 | |||||||
Cemex Finance 144A 9.375% 10/12/22 # | 1,720,000 | 1,924,250 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Capital Goods (continued) | ||||||||||
Embraer Netherlands Finance 5.05% 6/15/25 | 1,855,000 | $ | 1,855,000 | |||||||
Fortune Brands Home & Security 3.00% 6/15/20 | 1,310,000 | 1,312,851 | ||||||||
Ingersoll-Rand Global Holding 4.25% 6/15/23 | 1,670,000 | 1,734,252 | ||||||||
Masco 4.45% 4/1/25 | 1,385,000 | 1,391,925 | ||||||||
Milacron 144A 7.75% 2/15/21 # | 672,000 | 695,520 | ||||||||
Plastipak Holdings 144A 6.50% 10/1/21 # | 1,037,000 | 1,060,333 | ||||||||
Siemens Financieringsmaatschappij | ||||||||||
144A 2.15% 5/27/20 # | 2,035,000 | 2,011,941 | ||||||||
144A 3.25% 5/27/25 # | 2,755,000 | 2,708,757 | ||||||||
TransDigm | ||||||||||
6.00% 7/15/22 | 757,000 | 751,323 | ||||||||
6.50% 7/15/24 | 35,000 | 34,737 | ||||||||
7.50% 7/15/21 | 925,000 | 999,000 | ||||||||
Union Andina de Cementos 144A 5.875% 10/30/21 # | 2,390,000 | 2,422,863 | ||||||||
United Technologies 4.15% 5/15/45 | 1,785,000 | 1,708,711 | ||||||||
|
| |||||||||
24,266,584 | ||||||||||
|
| |||||||||
Communications – 7.39% | ||||||||||
Altice 144A 7.625% 2/15/25 # | 500,000 | 471,250 | ||||||||
Altice Financing 144A 6.625% 2/15/23 # . | 4,060,000 | 4,040,918 | ||||||||
Altice US Finance I 144A 5.375% 7/15/23 # | 1,275,000 | 1,246,313 | ||||||||
America Movil 5.00% 3/30/20 | 2,720,000 | 3,014,304 | ||||||||
American Tower | ||||||||||
2.80% 6/1/20 | 815,000 | 804,588 | ||||||||
4.00% 6/1/25 | 970,000 | 949,993 | ||||||||
American Tower Trust I 144A 3.07% 3/15/23 # | 2,430,000 | 2,387,491 | ||||||||
AT&T | ||||||||||
3.40% 5/15/25 | 5,255,000 | 5,022,093 | ||||||||
4.35% 6/15/45 | 3,660,000 | 3,136,755 | ||||||||
4.50% 5/15/35 | 2,445,000 | 2,254,806 | ||||||||
Bell Canada 3.35% 3/22/23 | CAD | 773,000 | 632,552 | |||||||
Bharti Airtel 144A 4.375% 6/10/25 # | 2,125,000 | 2,097,753 | ||||||||
Bharti Airtel International Netherlands 144A 5.35% 5/20/24 # | 2,615,000 | 2,778,788 | ||||||||
CC Holdings GS V 3.849% 4/15/23 | 1,710,000 | 1,681,983 | ||||||||
CenturyLink | ||||||||||
5.80% 3/15/22 | 5,380,000 | 5,158,075 | ||||||||
6.75% 12/1/23 | 982,000 | 988,751 | ||||||||
Colombia Telecomunicaciones 144A 5.375% 9/27/22 # | 1,935,000 | 1,922,906 | ||||||||
Columbus International 144A 7.375% 3/30/21 # | 3,350,000 | 3,613,813 | ||||||||
Cox Communications 144A 3.85% 2/1/25 # | 800,000 | 770,357 |
Diversified Income Series-10
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Communications (continued) | ||||||||||
Crown Castle Towers 144A 4.883% 8/15/20 # | 9,630,000 | $ | 10,479,226 | |||||||
Deutsche Telekom International Finance 6.50% 4/8/22 | GBP | 416,000 | 796,065 | |||||||
Digicel Group 144A 8.25% 9/30/20 # | 3,770,000 | 3,798,275 | ||||||||
Equinix 5.375% 4/1/23 | 5,211,000 | 5,237,055 | ||||||||
Grupo Televisa 5.00% 5/13/45 | 1,680,000 | 1,611,120 | ||||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 1,095,000 | 1,089,186 | ||||||||
Hughes Satellite Systems 7.625% 6/15/21 | 515,000 | 568,534 | ||||||||
Intelsat Luxembourg | ||||||||||
7.75% 6/1/21 | 825,000 | 691,969 | ||||||||
8.125% 6/1/23 | 11,429,000 | 9,543,215 | ||||||||
Level 3 Financing | ||||||||||
5.375% 8/15/22 | 704,000 | 713,680 | ||||||||
144A 5.375% | 3,635,000 | 3,507,775 | ||||||||
Millicom International Cellular | ||||||||||
144A 6.00% | 1,605,000 | 1,556,850 | ||||||||
144A 6.625% 10/15/21 # | 1,760,000 | 1,817,200 | ||||||||
MTN Mauritius Investments 144A 4.755% 11/11/24 # | 1,480,000 | 1,476,300 | ||||||||
MTS International Funding 144A 8.625% 6/22/20 # | 1,740,000 | 1,884,333 | ||||||||
Netflix 144A 5.875% 2/15/25 # | 7,954,000 | 8,273,035 | ||||||||
Oi 144A 5.75% 2/10/22 # | 1,286,000 | 1,120,427 | ||||||||
SBA Tower Trust | ||||||||||
144A 2.24% | 1,800,000 | 1,793,335 | ||||||||
144A 2.898% 10/15/19 # | 1,300,000 | 1,306,509 | ||||||||
Scripps Networks Interactive | ||||||||||
2.80% 6/15/20 | 1,155,000 | 1,139,123 | ||||||||
3.95% 6/15/25 | 1,495,000 | 1,471,200 | ||||||||
SES 144A 3.60% 4/4/23 # | 3,960,000 | 4,028,294 | ||||||||
SES GLOBAL Americas Holdings 144A | 4,565,000 | 4,619,739 | ||||||||
Sky 144A 3.75% 9/16/24 # | 2,775,000 | 2,714,319 | ||||||||
Sprint | ||||||||||
7.125% 6/15/24 | 6,059,000 | 5,635,476 | ||||||||
7.25% 9/15/21 | 1,995,000 | 1,950,113 | ||||||||
7.875% 9/15/23 | 1,900,000 | 1,857,820 | ||||||||
Telemar Norte Leste 144A 5.50% 10/23/20 # | 2,350,000 | 2,164,937 | ||||||||
Time Warner | ||||||||||
3.60% 7/15/25 | 5,585,000 | 5,443,733 | ||||||||
4.85% 7/15/45 | 4,840,000 | 4,713,642 | ||||||||
Time Warner Cable 5.50% 9/1/41 | 1,365,000 | 1,277,347 | ||||||||
T-Mobile USA | ||||||||||
6.125% 1/15/22 | 4,899,000 | 5,070,465 | ||||||||
6.836% 4/28/23 | 1,860,000 | 1,959,975 | ||||||||
UPCB Finance IV 144A 5.375% 1/15/25 # | 6,731,000 | 6,458,395 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Communications (continued) | ||||||||||
Verizon Communications | ||||||||||
3.25% 2/17/26 | EUR | 971,000 | $ | 1,193,945 | ||||||
4.40% 11/1/34 | 1,810,000 | 1,680,923 | ||||||||
4.862% 8/21/46 | 8,595,000 | 8,075,355 | ||||||||
Vimpel Communications 144A 7.748% 2/2/21 # | 2,158,000 | 2,187,673 | ||||||||
Virgin Media Secured Finance 144A 5.25% 1/15/26 # | 3,435,000 | 3,327,656 | ||||||||
VTR Finance 144A 6.875% 1/15/24 # | 4,480,000 | 4,589,088 | ||||||||
Wind Acquisition Finance 144A 7.375% 4/23/21 # | 1,215,000 | 1,231,706 | ||||||||
Windstream Services | ||||||||||
7.50% 4/1/23 | 325,000 | 285,188 | ||||||||
7.75% 10/1/21 | 505,000 | 464,600 | ||||||||
WPP Finance 2010 5.625% 11/15/43 | 1,840,000 | 1,993,060 | ||||||||
|
| |||||||||
175,771,350 | ||||||||||
|
| |||||||||
Consumer Cyclical – 3.44% | ||||||||||
Alibaba Group Holding 144A 3.125% 11/28/21 # | 4,240,000 | 4,196,124 | ||||||||
CDK Global 4.50% 10/15/24 | 2,400,000 | 2,407,721 | ||||||||
Cencosud 144A 5.15% 2/12/25 # | 3,120,000 | 3,149,631 | ||||||||
Daimler 2.75% 12/10/18 | NOK | 5,560,000 | 738,573 | |||||||
Dana Holding 5.50% 12/15/24 | 2,332,000 | 2,302,850 | ||||||||
Family Tree Escrow 144A 5.75% | 725,000 | 761,250 | ||||||||
Fiat Chrysler Automobiles 144A 5.25% 4/15/23 # | 3,960,000 | 3,891,492 | ||||||||
Ford Motor Credit | ||||||||||
2.24% 6/15/18 | 3,820,000 | 3,825,291 | ||||||||
5.875% 8/2/21 | 1,745,000 | 1,989,176 | ||||||||
General Motors Financial | ||||||||||
3.45% 4/10/22 | 3,055,000 | 2,997,914 | ||||||||
4.00% 1/15/25 | 2,555,000 | 2,511,956 | ||||||||
4.375% 9/25/21 | 1,810,000 | 1,883,707 | ||||||||
Harman International Industries 4.15% 5/15/25 | 3,840,000 | 3,791,950 | ||||||||
Host Hotels & Resorts | ||||||||||
3.75% 10/15/23 | 710,000 | 697,740 | ||||||||
4.75% 3/1/23 | 2,105,000 | 2,225,118 | ||||||||
Hyundai Capital America | ||||||||||
144A 2.125% | 1,570,000 | 1,586,163 | ||||||||
144A 2.55% | 685,000 | 690,932 | ||||||||
Landry’s 144A 9.375% 5/1/20 # | 1,459,000 | 1,572,073 | ||||||||
Levi Strauss 144A 5.00% 5/1/25 # | 3,825,000 | 3,719,813 | ||||||||
Magna International 3.625% 6/15/24 | 3,605,000 | 3,557,093 | ||||||||
Marriott International 3.375% 10/15/20 | 1,670,000 | 1,719,748 | ||||||||
McDonald’s 3.375% 5/26/25 | 3,360,000 | 3,290,223 | ||||||||
Nemak 144A 5.50% 2/28/23 # | 2,885,000 | 2,971,550 | ||||||||
QVC | ||||||||||
4.375% 3/15/23 | 3,675,000 | 3,617,876 | ||||||||
5.45% 8/15/34 | 2,840,000 | 2,584,480 |
Diversified Income Series-11
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Consumer Cyclical (continued) | ||||||||||
Sally Holdings 5.75% 6/1/22 | 777,000 | $ | 813,907 | |||||||
Schaeffler Finance 144A 4.75% | 400,000 | 392,000 | ||||||||
Signet UK Finance 4.70% 6/15/24 | 3,115,000 | 3,151,312 | ||||||||
Starbucks 2.70% 6/15/22 | 2,380,000 | 2,375,488 | ||||||||
Starwood Hotels & Resorts Worldwide | ||||||||||
3.75% 3/15/25 | 2,230,000 | 2,153,872 | ||||||||
4.50% 10/1/34 | 410,000 | 383,462 | ||||||||
Toyota Credit Canada 2.05% 5/20/20 | CAD | 400,000 | 321,582 | |||||||
Toyota Finance Australia | ||||||||||
2.25% 8/31/16 | NOK | 1,230,000 | 158,334 | |||||||
3.04% 12/20/16 | NZD | 2,070,000 | 1,384,445 | |||||||
Tupy Overseas 144A 6.625% 7/17/24 # | 2,150,000 | 2,115,063 | ||||||||
Volvo Treasury 1.032% 3/1/17 • | SEK | 3,500,000 | 427,285 | |||||||
Wynn Las Vegas 144A 5.50% 3/1/25 # | 5,635,000 | 5,395,513 | ||||||||
|
| |||||||||
81,752,707 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 3.68% | ||||||||||
AbbVie 3.20% 11/6/22 | 3,045,000 | 3,020,058 | ||||||||
Actavis Funding | ||||||||||
3.45% 3/15/22 | 2,015,000 | 1,998,872 | ||||||||
3.80% 3/15/25 | 3,320,000 | 3,267,856 | ||||||||
Amgen 4.00% 9/13/29 | GBP | 341,000 | 541,038 | |||||||
Baxalta | ||||||||||
144A 3.60% | 915,000 | 915,833 | ||||||||
144A 4.00% | 2,030,000 | 2,019,010 | ||||||||
Bayer U.S. Finance 144A 2.375% 10/8/19 # | 1,375,000 | 1,380,712 | ||||||||
Becton Dickinson 6.375% 8/1/19 | 3,600,000 | 4,151,671 | ||||||||
Boston Scientific | ||||||||||
2.65% 10/1/18 | 1,360,000 | 1,380,657 | ||||||||
6.00% 1/15/20 | 2,830,000 | 3,207,842 | ||||||||
BRF 144A 3.95% 5/22/23 # | 1,385,000 | 1,317,481 | ||||||||
Campbell Soup 3.30% 3/19/25 | 2,895,000 | 2,841,422 | ||||||||
Celgene | ||||||||||
3.25% 8/15/22 | 1,575,000 | 1,560,012 | ||||||||
3.95% 10/15/20 | 2,295,000 | 2,441,357 | ||||||||
Darling Ingredients 5.375% 1/15/22 | 570,000 | 572,137 | ||||||||
EMD Finance | ||||||||||
144A 2.95% | 1,455,000 | 1,426,281 | ||||||||
144A 3.25% | 1,790,000 | 1,739,518 | ||||||||
ENA Norte Trust 144A 4.95% 4/25/23 # | 1,297,707 | 1,351,237 | ||||||||
Express Scripts Holding | ||||||||||
2.25% 6/15/19 | 1,845,000 | 1,831,777 | ||||||||
3.50% 6/15/24 | 1,045,000 | 1,024,009 | ||||||||
JB 144A 3.75% | 2,925,000 | 2,845,440 | ||||||||
JBS Investments 144A 7.75% 10/28/20 # | 4,225,000 | 4,615,813 | ||||||||
JBS USA | ||||||||||
144A 5.75% | 935,000 | 926,538 | ||||||||
144A 5.875% 7/15/24 # | 855,000 | 862,481 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Consumer Non-Cyclical (continued) | ||||||||||
Mallinckrodt International Finance | ||||||||||
144A 4.875% 4/15/20 # | 1,090,000 | $ | 1,113,217 | |||||||
144A 5.50% 4/15/25 # | 3,645,000 | 3,549,319 | ||||||||
Perrigo 4.00% 11/15/23 | 2,870,000 | 2,913,503 | ||||||||
Perrigo Finance 3.50% 12/15/21 | 815,000 | 817,724 | ||||||||
Prestige Brands 144A 5.375% 12/15/21 # | 1,343,000 | 1,349,715 | ||||||||
Quintiles Transnational 144A 4.875% 5/15/23 # | 620,000 | 624,650 | ||||||||
Reynolds American | ||||||||||
2.30% 6/12/18 | 4,365,000 | 4,400,741 | ||||||||
4.45% 6/12/25 | 1,315,000 | 1,342,373 | ||||||||
Smucker (J.M.) | ||||||||||
144A 3.00% 3/15/22 # | 735,000 | 722,195 | ||||||||
144A 3.50% 3/15/25 # | 3,760,000 | 3,691,132 | ||||||||
144A 4.25% 3/15/35 # | 1,010,000 | 948,471 | ||||||||
Spectrum Brands | ||||||||||
144A 5.75% 7/15/25 # | 640,000 | 652,800 | ||||||||
6.375% 11/15/20 | 1,020,000 | 1,083,750 | ||||||||
6.625% 11/15/22 | 2,215,000 | 2,370,050 | ||||||||
Thermo Fisher Scientific 3.30% 2/15/22 . | 790,000 | 781,813 | ||||||||
Valeant Pharmaceuticals International 144A 5.875% 5/15/23 # | 2,245,000 | 2,306,738 | ||||||||
Zimmer Biomet Holdings | ||||||||||
3.15% 4/1/22 | 935,000 | 921,103 | ||||||||
3.375% 11/30/21 | 2,750,000 | 2,745,757 | ||||||||
4.625% 11/30/19 | 3,645,000 | 3,967,003 | ||||||||
Zoetis 3.25% 2/1/23 | 4,125,000 | 4,002,962 | ||||||||
|
| |||||||||
87,544,068 | ||||||||||
|
| |||||||||
Electric – 5.05% | ||||||||||
AES Gener 144A 8.375% 12/18/73 #• | 1,620,000 | 1,769,850 | ||||||||
Ameren Illinois | ||||||||||
3.25% 3/1/25 | 2,090,000 | 2,088,830 | ||||||||
9.75% 11/15/18 | 5,900,000 | 7,394,494 | ||||||||
American Transmission Systems 144A 5.25% 1/15/22 # | 5,410,000 | 5,972,943 | ||||||||
Appalachian Power 3.40% 6/1/25 | 550,000 | 543,300 | ||||||||
Berkshire Hathaway Energy 3.75% 11/15/23 | 3,405,000 | 3,490,905 | ||||||||
Cleveland Electric Illuminating 5.50% 8/15/24 | 365,000 | 418,848 | ||||||||
CMS Energy 6.25% 2/1/20 | 1,730,000 | 2,005,637 | ||||||||
ComEd Financing III 6.35% 3/15/33 | 2,055,000 | 2,112,002 | ||||||||
Dominion Resources 1.90% 6/15/18 | 9,180,000 | 9,198,039 | ||||||||
DTE Energy 144A 3.30% 6/15/22 # | 2,180,000 | 2,201,059 | ||||||||
Duquesne Light Holdings 5.50% 8/15/15 | 1,076,000 | 1,081,113 | ||||||||
Dynegy | ||||||||||
144A 6.75% 11/1/19 # | 280,000 | 292,740 | ||||||||
144A 7.375% 11/1/22 # | 425,000 | 447,313 | ||||||||
144A 7.625% 11/1/24 # | 3,760,000 | 3,995,000 |
Diversified Income Series-12
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Electric (continued) | ||||||||
E.CL 144A 5.625% 1/15/21 # | 400,000 | $ | 437,180 | |||||
Enel 144A 8.75% 9/24/73 #• | 3,512,000 | 4,043,190 | ||||||
Entergy 4.00% 7/15/22 | 1,820,000 | 1,836,726 | ||||||
Entergy Arkansas 3.70% 6/1/24 | 895,000 | 935,262 | ||||||
Entergy Louisiana 4.05% 9/1/23 | 4,045,000 | 4,261,294 | ||||||
Eskom Holdings 144A 7.125% 2/11/25 # | 690,000 | 699,508 | ||||||
Exelon 3.95% 6/15/25 | 2,445,000 | 2,464,347 | ||||||
Great Plains Energy 4.85% 6/1/21 | 1,695,000 | 1,860,946 | ||||||
Indiana Michigan Power 3.20% 3/15/23 . | 1,455,000 | 1,444,509 | ||||||
Integrys Energy Group 6.11% 12/1/66 • . | 3,280,000 | 3,117,014 | ||||||
IPALCO Enterprises 5.00% 5/1/18 | 1,390,000 | 1,473,400 | ||||||
ITC Holdings 3.65% 6/15/24 | 2,710,000 | 2,688,212 | ||||||
Lamar Funding 144A 3.958% 5/7/25 # | 2,260,000 | 2,203,500 | ||||||
LG&E & KU Energy 4.375% 10/1/21 | 3,765,000 | 4,088,884 | ||||||
Metropolitan Edison 144A 4.00% 4/15/25 # | 2,270,000 | 2,268,711 | ||||||
National Rural Utilities Cooperative Finance 4.75% 4/30/43 • | 2,840,000 | 2,840,000 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.40% 9/15/19 | 3,380,000 | 3,379,709 | ||||||
3.625% 6/15/23 | 1,320,000 | 1,319,394 | ||||||
NV Energy 6.25% 11/15/20 | 2,380,000 | 2,759,927 | ||||||
Pennsylvania Electric 5.20% 4/1/20 | 3,235,000 | 3,545,304 | ||||||
Perusahaan Listrik Negara 144A 5.50% 11/22/21 # | 2,560,000 | 2,720,000 | ||||||
Public Service of Oklahoma 5.15% 12/1/19 | 3,700,000 | 4,110,337 | ||||||
Puget Energy 6.00% 9/1/21 | 1,080,000 | 1,239,026 | ||||||
SCANA 4.125% 2/1/22 | 2,300,000 | 2,320,205 | ||||||
Southern 2.75% 6/15/20 | 9,420,000 | 9,453,422 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 2,055,000 | 2,045,487 | ||||||
WEC Energy Group | ||||||||
2.45% 6/15/20 | 805,000 | 804,368 | ||||||
3.55% 6/15/25 | 1,095,000 | 1,094,386 | ||||||
6.25% 5/15/67 • | 2,495,000 | 2,332,825 | ||||||
Xcel Energy 3.30% 6/1/25 | 3,240,000 | 3,189,702 | ||||||
|
| |||||||
119,988,848 | ||||||||
|
| |||||||
Energy – 5.68% | ||||||||
AmeriGas Finance 7.00% 5/20/22 | 1,118,000 | 1,190,670 | ||||||
Bristow Group 6.25% 10/15/22 | 1,187,000 | 1,181,065 | ||||||
California Resources | ||||||||
5.00% 1/15/20 | 1,355,000 | 1,199,175 | ||||||
5.50% 9/15/21 | 610,000 | 533,872 | ||||||
6.00% 11/15/24 | 1,105,000 | 955,825 | ||||||
Chaparral Energy 7.625% 11/15/22 | 240,000 | 174,000 | ||||||
Chesapeake Energy 5.75% 3/15/23 | 5,385,000 | 4,900,350 | ||||||
Chevron 1.961% 3/3/20 | 2,285,000 | 2,267,771 | ||||||
CNOOC Finance 2012 144A 3.875% 5/2/22 # | 1,200,000 | 1,219,308 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
CNOOC Finance 2015 Australia 2.625% 5/5/20 | 1,215,000 | $ | 1,200,466 | |||||
CNOOC Finance 2015 USA 3.50% 5/5/25 | 1,410,000 | 1,359,062 | ||||||
Columbia Pipeline Group | ||||||||
144A 2.45% 6/1/18 # | 790,000 | 796,641 | ||||||
144A 3.30% 6/1/20 # | 1,090,000 | 1,095,464 | ||||||
144A 4.50% 6/1/25 # | 1,115,000 | 1,099,043 | ||||||
Continental Resources 4.50% 4/15/23 | 4,555,000 | 4,399,073 | ||||||
Ecopetrol 5.375% 6/26/26 | 2,760,000 | 2,735,850 | ||||||
Enbridge Energy Partners 8.05% 10/1/37 • | 3,745,000 | 3,857,350 | ||||||
Energy Transfer Equity 5.50% 6/1/27 | 1,300,000 | 1,303,250 | ||||||
Energy Transfer Partners | ||||||||
4.75% 1/15/26 | 2,115,000 | 2,097,352 | ||||||
6.125% 12/15/45 | 705,000 | 708,526 | ||||||
9.70% 3/15/19 | 2,189,000 | 2,700,976 | ||||||
EnLink Midstream Partners 4.15% 6/1/25 | 1,940,000 | 1,892,670 | ||||||
Ensco 4.70% 3/15/21 | 5,110,000 | 5,211,505 | ||||||
Enterprise Products Operating | ||||||||
3.70% 2/15/26 | 1,370,000 | 1,329,396 | ||||||
7.034% 1/15/68 • | 4,840,000 | 5,215,100 | ||||||
Exterran Partners 6.00% 4/1/21 | 375,000 | 363,750 | ||||||
Exxon Mobil 2.397% 3/6/22 | 1,380,000 | 1,355,039 | ||||||
KazMunayGas National 144A 6.375% 4/9/21 # | 1,015,000 | 1,067,881 | ||||||
Kinder Morgan 144A 5.00% 2/15/21 # | 1,265,000 | 1,339,889 | ||||||
Kinder Morgan Energy Partners 9.00% 2/1/19 | 3,895,000 | 4,682,861 | ||||||
Laredo Petroleum 7.375% 5/1/22 | 1,168,000 | 1,235,160 | ||||||
Lukoil International Finance 144A 3.416% 4/24/18 # | 1,355,000 | 1,302,833 | ||||||
Marathon Oil 3.85% 6/1/25 | 3,790,000 | 3,722,098 | ||||||
MarkWest Energy Partners 4.875% 12/1/24 | 3,500,000 | 3,438,750 | ||||||
Murphy Oil USA 6.00% 8/15/23 | 1,404,000 | 1,463,670 | ||||||
Newfield Exploration | ||||||||
5.375% 1/1/26 | 3,085,000 | 3,069,575 | ||||||
5.625% 7/1/24 | 1,940,000 | 1,969,100 | ||||||
NiSource Finance 6.125% 3/1/22 | 2,120,000 | 2,452,340 | ||||||
Noble Energy 5.05% 11/15/44 | 1,790,000 | 1,721,461 | ||||||
Noble Holding International 4.00% 3/16/18 | 375,000 | 384,175 | ||||||
Northern Oil & Gas 8.00% 6/1/20 | 455,000 | 416,325 | ||||||
Oasis Petroleum 6.875% 3/15/22 | 1,414,000 | 1,442,280 | ||||||
Occidental Petroleum 3.50% 6/15/25 | 1,720,000 | 1,716,204 | ||||||
ONGC Videsh 3.25% 7/15/19 | 800,000 | 803,983 | ||||||
PDC Energy 7.75% 10/15/22 | 360,000 | 378,000 | ||||||
Petrobras Global Finance 3.00% 1/15/19 | 2,142,000 | 1,984,906 |
Diversified Income Series-13
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Energy (continued) | ||||||||||
Petrobras Global Finance | ||||||||||
4.875% 3/17/20 | 2,230,000 | $ | 2,125,948 | |||||||
5.375% 1/27/21 | 1,405,000 | 1,354,841 | ||||||||
Petroleos Mexicanos | ||||||||||
144A 4.25% 1/15/25 # | 1,070,000 | 1,044,748 | ||||||||
6.50% 6/2/41 | 985,000 | 1,029,325 | ||||||||
Petronas Global Sukuk 144A 2.707% 3/18/20 # | 1,885,000 | 1,888,698 | ||||||||
Plains All American Pipeline 8.75% 5/1/19 | 3,490,000 | 4,264,961 | ||||||||
Pride International 6.875% 8/15/20 | 3,760,000 | 4,304,895 | ||||||||
PTT Exploration & Production 144A 4.875% 12/29/49 #• | 1,100,000 | 1,105,500 | ||||||||
Regency Energy Partners | ||||||||||
5.50% 4/15/23 | 623,000 | 637,204 | ||||||||
5.875% 3/1/22 | 1,995,000 | 2,126,542 | ||||||||
Sabine Pass Liquefaction 144A 5.625% 3/1/25 # | 1,590,000 | 1,580,063 | ||||||||
Sunoco Logistics Partners Operations 3.45% 1/15/23 | 2,820,000 | 2,673,103 | ||||||||
Talisman Energy 5.50% 5/15/42 | 3,385,000 | 3,056,939 | ||||||||
Valero Energy | ||||||||||
3.65% 3/15/25 | 2,000,000 | 1,948,608 | ||||||||
4.90% 3/15/45 | 1,585,000 | 1,490,922 | ||||||||
Weatherford International 4.50% 4/15/22 | 1,205,000 | 1,133,195 | ||||||||
Western Gas Partners 3.95% 6/1/25 | 1,455,000 | 1,402,124 | ||||||||
Williams Partners | ||||||||||
4.00% 9/15/25 | 2,770,000 | 2,599,986 | ||||||||
7.25% 2/1/17 | 2,815,000 | 3,051,322 | ||||||||
Woodside Finance | ||||||||||
144A 3.65% 3/5/25 # | 1,530,000 | 1,472,322 | ||||||||
144A 8.75% 3/1/19 # | 3,220,000 | 3,894,010 | ||||||||
YPF | ||||||||||
7.774% 8/15/18 • | 764,706 | 776,176 | ||||||||
144A 8.75% 4/4/24 # | 1,825,000 | 1,856,938 | ||||||||
144A 8.875% 12/19/18 # | 1,295,000 | 1,379,175 | ||||||||
|
| |||||||||
135,131,585 | ||||||||||
|
| |||||||||
Finance Companies – 0.98% | ||||||||||
AerCap Ireland Capital 4.625% 7/1/22 | 1,525,000 | 1,530,719 | ||||||||
Aviation Capital Group 144A 6.75% 4/6/21 # | 1,885,000 | 2,155,584 | ||||||||
Corp Financiera de Desarrollo 144A 5.25% 7/15/29 #• | 825,000 | 833,250 | ||||||||
E*TRADE Financial 4.625% 9/15/23 | 1,534,000 | 1,510,990 | ||||||||
General Electric Capital | ||||||||||
2.10% 12/11/19 | 795,000 | 800,823 | ||||||||
144A 3.80% 6/18/19 # | 1,555,000 | 1,645,251 | ||||||||
4.208% 12/6/21 | SEK | 2,000,000 | 274,520 | |||||||
4.25% 1/17/18 | NZD | 420,000 | 290,021 | |||||||
5.55% 5/4/20 | 1,295,000 | 1,479,855 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Finance Companies (continued) | ||||||||||
General Electric Capital | ||||||||||
6.00% 8/7/19 | 2,675,000 | $ | 3,059,448 | |||||||
7.125% 12/15/49 • | 3,800,000 | 4,389,000 | ||||||||
Lazard Group 3.75% 2/13/25 | 1,495,000 | 1,425,535 | ||||||||
Peachtree Corners Funding Trust 144A 3.976% 2/15/25 # | 2,405,000 | 2,389,683 | ||||||||
Temasek Financial I 144A 2.375% 1/23/23 # | 1,615,000 | 1,573,808 | ||||||||
|
| |||||||||
23,358,487 | ||||||||||
|
| |||||||||
Healthcare – 1.06% | ||||||||||
Community Health Systems 6.875% 2/1/22 | 5,755,000 | 6,085,913 | ||||||||
DaVita HealthCare Partners | ||||||||||
5.00% 5/1/25 | 5,985,000 | 5,775,525 | ||||||||
5.125% 7/15/24 | 1,475,000 | 1,452,875 | ||||||||
Fresenius Medical Care U.S. Finance II 144A 5.875% 1/31/22 # | 1,035,000 | 1,102,275 | ||||||||
HCA 5.375% 2/1/25 | 4,750,000 | 4,839,300 | ||||||||
HealthSouth | ||||||||||
5.125% 3/15/23 | 595,000 | 593,513 | ||||||||
5.75% 11/1/24 | 420,000 | 430,500 | ||||||||
Immucor 11.125% 8/15/19 | 1,252,000 | 1,333,380 | ||||||||
Kinetic Concepts 10.50% 11/1/18 | 822,000 | 879,556 | ||||||||
Omnicare 5.00% 12/1/24 | 605,000 | 653,400 | ||||||||
Tenet Healthcare 6.00% 10/1/20 | 2,018,000 | 2,156,737 | ||||||||
|
| |||||||||
25,302,974 | ||||||||||
|
| |||||||||
Insurance – 1.61% | ||||||||||
Berkshire Hathaway Finance 2.90% 10/15/20 | 2,260,000 | 2,329,608 | ||||||||
Five Corners Funding Trust 144A 4.419% 11/15/23 # | 3,980,000 | 4,118,357 | ||||||||
Highmark | ||||||||||
144A 4.75% 5/15/21 # | 1,255,000 | 1,289,147 | ||||||||
144A 6.125% 5/15/41 # | 525,000 | 517,848 | ||||||||
HUB International 144A 7.875% 10/1/21 # | 1,092,000 | 1,116,570 | ||||||||
MetLife | ||||||||||
3.60% 4/10/24 | 2,525,000 | 2,549,240 | ||||||||
6.40% 12/15/36 | 110,000 | 121,000 | ||||||||
6.817% 8/15/18 | 225,000 | 259,074 | ||||||||
MetLife Capital Trust X 144A 9.25% 4/8/38 # | 3,120,000 | 4,391,400 | ||||||||
Prudential Financial | ||||||||||
4.50% 11/15/20 | 795,000 | 870,666 | ||||||||
5.375% 5/15/45 • | 1,730,000 | 1,708,375 | ||||||||
5.625% 6/15/43 • | 1,765,000 | 1,833,835 | ||||||||
TIAA Asset Management Finance | ||||||||||
144A 2.95% 11/1/19 # | 1,885,000 | 1,900,088 | ||||||||
144A 4.125% 11/1/24 # | 8,145,000 | 8,219,095 | ||||||||
USI 144A 7.75% 1/15/21 # | 195,000 | 198,656 | ||||||||
Voya Financial 5.65% 5/15/53 • | 2,135,000 | 2,191,044 |
Diversified Income Series-14
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Insurance (continued) | ||||||||
XLIT | ||||||||
4.45% 3/31/25 | 3,540,000 | $ | 3,515,910 | |||||
6.50% 10/29/49 • | 1,410,000 | 1,209,963 | ||||||
|
| |||||||
38,339,876 | ||||||||
|
| |||||||
Media – 1.40% | ||||||||
Altice 144A 7.75% 5/15/22 # | 1,270,000 | 1,231,900 | ||||||
CCO Holdings | ||||||||
144A 5.125% 5/1/23 # | 1,150,000 | 1,121,250 | ||||||
5.25% 9/30/22 | 1,165,000 | 1,150,437 | ||||||
Cequel Communications Holdings I 144A 6.375% 9/15/20 # | 1,165,000 | 1,161,505 | ||||||
CSC Holdings 5.25% 6/1/24 | 5,119,000 | 4,939,835 | ||||||
DISH DBS 5.00% 3/15/23 | 1,889,000 | 1,752,047 | ||||||
Gray Television 7.50% 10/1/20 | 1,792,000 | 1,906,240 | ||||||
Lamar Media 5.00% 5/1/23 | 2,090,000 | 2,074,325 | ||||||
MDC Partners 144A 6.75% 4/1/20 # | 540,000 | 540,000 | ||||||
Nielsen Finance 144A 5.00% 4/15/22 # | 1,700,000 | 1,672,375 | ||||||
Numericable-SFR 144A 6.00% 5/15/22 # | 2,290,000 | 2,262,806 | ||||||
Sinclair Television Group 5.375% 4/1/21 | 1,968,000 | 1,990,140 | ||||||
Sirius XM Radio | ||||||||
144A 5.375% 4/15/25 # | 4,745,000 | 4,590,787 | ||||||
144A 6.00% 7/15/24 # | 2,930,000 | 2,966,625 | ||||||
Tribune Media 144A 5.875% 7/15/22 # | 1,955,000 | 1,974,550 | ||||||
Univision Communications 144A 5.125% 5/15/23 # | 560,000 | 546,000 | ||||||
Virgin Media Finance 144A 6.375% 4/15/23 # | 1,260,000 | 1,307,250 | ||||||
|
| |||||||
33,188,072 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 1.11% | ||||||||
Alexandria Real Estate Equities 4.60% 4/1/22 | 3,040,000 | 3,206,932 | ||||||
AvalonBay Communities | ||||||||
3.45% 6/1/25 | 1,545,000 | 1,522,411 | ||||||
3.50% 11/15/24 | 2,115,000 | 2,113,014 | ||||||
Carey (W.P.) 4.60% 4/1/24 | 1,680,000 | 1,689,769 | ||||||
CBL & Associates | ||||||||
4.60% 10/15/24 | 2,510,000 | 2,476,030 | ||||||
5.25% 12/1/23 | 430,000 | 442,888 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 1,750,000 | 1,602,317 | ||||||
5.25% 2/15/24 | 1,755,000 | 1,798,350 | ||||||
DDR | ||||||||
7.50% 4/1/17 | 1,075,000 | 1,178,845 | ||||||
7.875% 9/1/20 | 1,845,000 | 2,261,009 | ||||||
Education Realty Operating Partnership 4.60% 12/1/24 | 2,190,000 | 2,209,322 | ||||||
Excel Trust 4.625% 5/15/24 | 1,240,000 | 1,178,709 | ||||||
Hospitality Properties Trust 4.50% 3/15/25 | 2,025,000 | 1,995,733 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Real Estate Investment Trusts (continued) | ||||||||
Regency Centers 5.875% 6/15/17 | 575,000 | $ | 621,757 | |||||
Trust F/1401 144A 5.25% 12/15/24 # | 2,075,000 | 2,168,375 | ||||||
|
| |||||||
26,465,461 | ||||||||
|
| |||||||
Services – 1.28% | ||||||||
AECOM | ||||||||
144A 5.75% 10/15/22 # | 3,185,000 | 3,232,775 | ||||||
144A 5.875% 10/15/24 # | 3,829,000 | 3,891,221 | ||||||
Algeco Scotsman Global Finance 144A 8.50% 10/15/18 # | 1,895,000 | 1,838,150 | ||||||
Caesars Growth Properties Holdings 144A 9.375% 5/1/22 # | 782,000 | 590,410 | ||||||
Corrections of America 4.625% 5/1/23 | 1,071,000 | 1,054,935 | ||||||
DigitalGlobe 144A 5.25% 2/1/21 # | 4,310,000 | 4,239,963 | ||||||
GEO Group | ||||||||
5.125% 4/1/23 | 770,000 | 771,925 | ||||||
5.875% 10/15/24 | 750,000 | 776,250 | ||||||
MGM Resorts International 6.00% 3/15/23 | 5,765,000 | 5,865,887 | ||||||
Pinnacle Entertainment 7.50% 4/15/21 | 1,235,000 | 1,313,731 | ||||||
United Rentals North America | ||||||||
4.625% 7/15/23 | 1,795,000 | 1,766,908 | ||||||
5.50% 7/15/25 | 3,394,000 | 3,292,180 | ||||||
5.75% 11/15/24 | 1,339,000 | 1,325,610 | ||||||
Wynn Las Vegas 5.375% 3/15/22 | 385,000 | 392,700 | ||||||
|
| |||||||
30,352,645 | ||||||||
|
| |||||||
Technology – 2.73% | ||||||||
Apple 3.45% 2/9/45 | 8,525,000 | 7,243,999 | ||||||
Baidu 2.75% 6/9/19 | 1,200,000 | 1,202,821 | ||||||
Cisco Systems | ||||||||
1.65% 6/15/18 | 2,730,000 | 2,740,876 | ||||||
2.45% 6/15/20 | 1,235,000 | 1,244,658 | ||||||
3.50% 6/15/25 | 1,440,000 | 1,457,332 | ||||||
First Data | ||||||||
11.25% 1/15/21 | 1,993,000 | 2,217,213 | ||||||
11.75% 8/15/21 | 1,511,000 | 1,703,653 | ||||||
Fiserv 3.85% 6/1/25 | 1,950,000 | 1,956,782 | ||||||
Flextronics International 144A 4.75% 6/15/25 # | 2,635,000 | 2,621,035 | ||||||
Jabil Circuit 7.75% 7/15/16 | 330,000 | 346,500 | ||||||
Micron Technology | ||||||||
144A 5.25% 8/1/23 # | 3,220,000 | 3,095,225 | ||||||
144A 5.50% 2/1/25 # | 2,050,000 | 1,925,975 | ||||||
144A 5.625% 1/15/26 # | 1,275,000 | 1,180,969 | ||||||
Molex Electronic Technologies | ||||||||
144A 2.878% 4/15/20 # | 2,625,000 | 2,587,570 | ||||||
144A 3.90% 4/15/25 # | 1,970,000 | 1,912,667 | ||||||
Motorola Solutions 4.00% 9/1/24 | 3,075,000 | 2,988,322 | ||||||
NXP 144A 5.75% 3/15/23 # | 675,000 | 703,687 | ||||||
Oracle | ||||||||
2.50% 5/15/22 | 1,360,000 | 1,321,807 |
Diversified Income Series-15
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Technology (continued) | ||||||||||
Oracle | ||||||||||
2.95% 5/15/25 | 4,410,000 | $ | 4,249,657 | |||||||
3.25% 5/15/30 | 2,315,000 | 2,132,483 | ||||||||
4.125% 5/15/45 | 2,845,000 | 2,644,738 | ||||||||
4.30% 7/8/34 | 995,000 | 983,105 | ||||||||
QUALCOMM | ||||||||||
3.00% 5/20/22 | 1,915,000 | 1,903,780 | ||||||||
3.45% 5/20/25 | 1,780,000 | 1,736,732 | ||||||||
Samsung Electronics America 144A 1.75% 4/10/17 # | 3,005,000 | 3,025,608 | ||||||||
Seagate HDD Cayman | ||||||||||
144A 4.75% | 4,210,000 | 4,192,028 | ||||||||
144A 4.875% | 880,000 | 857,323 | ||||||||
Tencent Holdings 144A 3.375% 5/2/19 # | 2,905,000 | 2,985,291 | ||||||||
Xerox 6.35% 5/15/18 | 1,560,000 | 1,739,684 | ||||||||
|
| |||||||||
64,901,520 | ||||||||||
|
| |||||||||
Transportation – 0.65% | ||||||||||
Air Canada 2015-1 Class A Pass Through Trust 144A 3.60% 3/15/27 #¨ | 1,315,000 | 1,291,987 | ||||||||
American Airlines 2014-1 Class A Pass Through Trust 3.70% 10/1/26 ¨ | 1,092,028 | 1,092,028 | ||||||||
American Airlines 2015-1 Class A Pass Through Trust 3.375% 5/1/27 ¨ | 700,000 | 691,250 | ||||||||
Brambles USA 144A 5.35% 4/1/20 # | 910,000 | 1,005,765 | ||||||||
Burlington Northern Santa Fe 4.15% 4/1/45 | 1,625,000 | 1,504,922 | ||||||||
HPHT Finance 15 144A 2.875% 3/17/20 # | 1,615,000 | 1,610,622 | ||||||||
Red de Carreteras de Occidente 144A 9.00% 6/10/28 # | MXN | 21,100,000 | 1,325,840 | |||||||
Trinity Industries 4.55% 10/1/24 | 2,345,000 | 2,266,447 | ||||||||
United Airlines 2014-1 Class A Pass Through Trust 4.00% 4/11/26 ¨ | 845,000 | 853,450 | ||||||||
United Airlines 2014-2 Class A Pass Through Trust 3.75% 9/3/26 ¨ | 1,425,000 | 1,410,750 | ||||||||
United Parcel Service 5.125% 4/1/19 | 2,180,000 | 2,431,539 | ||||||||
|
| |||||||||
15,484,600 | ||||||||||
|
| |||||||||
Utilities – 0.89% | ||||||||||
AES 5.50% 4/15/25 | 5,297,000 | 5,058,635 | ||||||||
AES Gener 144A 5.25% 8/15/21 # | 1,250,000 | 1,324,880 | ||||||||
American Water Capital 3.40% 3/1/25 | 2,085,000 | 2,083,837 | ||||||||
Calpine | ||||||||||
5.375% 1/15/23 | 1,635,000 | 1,614,563 | ||||||||
5.50% 2/1/24 | 1,960,000 | 1,906,100 | ||||||||
Comision Federal de Electricidad 144A 4.875% 1/15/24 # | 1,420,000 | 1,455,500 | ||||||||
Dynegy 5.875% 6/1/23 | 1,375,000 | 1,350,937 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Corporate Bonds (continued) | ||||||||||
Utilities (continued) | ||||||||||
Electricite de France | ||||||||||
144A 4.60% 1/27/20 # | 1,395,000 | $ | 1,535,589 | |||||||
144A 5.25% | 3,565,000 | 3,582,825 | ||||||||
State Grid Overseas Investment 2014 144A 2.75% 5/7/19 # | 1,300,000 | 1,314,319 | ||||||||
|
| |||||||||
21,227,185 | ||||||||||
|
| |||||||||
Total Corporate Bonds (cost $1,172,639,225) | 1,168,819,097 | |||||||||
|
| |||||||||
Municipal Bonds – 0.94% | ||||||||||
Atlanta, Georgia Water & Wastewater Revenue 5.00% 11/1/40 | 1,305,000 | 1,457,437 | ||||||||
California State Various Purpose 5.00% 3/1/45 | 2,270,000 | 2,535,318 | ||||||||
Golden State, California Tobacco Securitization Corporation Settlement Revenue (Asset-Backed Senior Notes) | ||||||||||
Series A-1 5.125% 6/1/47 | 920,000 | 706,606 | ||||||||
Series A-1 5.75% 6/1/47 | 1,010,000 | 847,410 | ||||||||
Golden State, California Tobacco Securitization Enhanced (Asset-Backed) | ||||||||||
Series A 5.00% 6/1/40 | 3,910,000 | 4,281,098 | ||||||||
Series A 5.00% 6/1/45 | 1,235,000 | 1,344,767 | ||||||||
Maryland State Local Facilities 2nd Loan Series A 5.00% 8/1/21 | 1,055,000 | 1,257,560 | ||||||||
New Jersey Transportation Trust Fund (Transportation Program) | 1,105,000 | 1,120,912 | ||||||||
New York City, New York Series I 5.00% 8/1/22 | 745,000 | 881,976 | ||||||||
New York City, New York Water & Sewer System | 1,935,000 | 2,135,389 | ||||||||
New York State Thruway Authority Revenue | 1,020,000 | 1,152,529 | ||||||||
Oregon State Taxable Pension 5.892% 6/1/27 | 5,000 | 5,979 | ||||||||
Texas Private Activity Bond Surface Transportation Revenue (Senior Lien Note Mobility) 6.75% 6/30/43 (AMT) | 780,000 | 936,304 | ||||||||
Texas State Transportation Commission (Senior Lien Mobility Fund) Series A 5.00% 10/1/44 | 3,290,000 | 3,701,941 | ||||||||
|
| |||||||||
Total Municipal Bonds (cost $22,551,917) | 22,365,226 | |||||||||
|
|
Diversified Income Series-16
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities – 3.06% | ||||||||
AEP Texas Central Transition Funding II | 1,264,000 | $ | 1,331,189 | |||||
Ally Master Owner Trust Series 2012-5 A 1.54% 9/15/19 | 3,165,000 | 3,173,552 | ||||||
American Express Credit Account Master Trust | ||||||||
Series 2012-3 B 0.686% 3/15/18 • | 1,000,000 | 999,978 | ||||||
Series 2013-2 A 0.604% 5/17/21 • | 1,485,000 | 1,487,949 | ||||||
American Express Credit Account Secured Note Trust Series 2012-4 A 0.426% 5/15/20 • | 6,750,000 | 6,739,193 | ||||||
American Homes 4 Rent Trust Series 2014-SFR2 A 144A 3.786% 10/17/36 # | 880,299 | 905,932 | ||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2011-3A A 144A 3.41% 11/20/17 # | 1,480,000 | 1,520,141 | ||||||
Series 2013-1A A 144A 1.92% 9/20/19 # | 1,850,000 | 1,844,045 | ||||||
Series 2014-1A A 144A 2.46% 7/20/20 # | 2,005,000 | 2,018,163 | ||||||
Bank of America Credit Card Trust | ||||||||
Series 2014-A3 A 0.474% 1/15/20 • | 1,745,000 | 1,743,899 | ||||||
Series 2015-A1 A 0.516% 6/15/20 • | 6,740,000 | 6,745,385 | ||||||
California Republic Auto Receivables Trust | 437,172 | 439,119 | ||||||
Capital One Multi-Asset Execution Trust | 2,900,000 | 2,880,979 | ||||||
Chase Issuance Trust | ||||||||
Series 2014-A5 A5 0.556% 4/15/21 • | 2,355,000 | 2,351,472 | ||||||
Series 2015-A4 A 1.84% 4/15/22 | 2,600,000 | 2,572,128 | ||||||
Citibank Credit Card Issuance Trust | 5,240,000 | 5,237,406 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2013-A1 A1 0.486% 8/17/20 • | 1,010,000 | 1,009,836 | ||||||
Series 2014-A1 A1 0.616% 7/15/21 • | 1,560,000 | 1,563,894 | ||||||
Series 2014-A3 A3 1.22% 10/15/19 | 200,000 | 200,326 | ||||||
FirstKey Lending Trust | 1,130,609 | 1,131,683 | ||||||
Ford Credit Auto Lease Trust Series 2015-A A3 1.13% 6/15/18 | 1,665,000 | 1,660,023 | ||||||
Golden Credit Card Trust | ||||||||
Series 2012-5A A 144A 0.79% 9/15/17 # | 985,000 | 985,436 | ||||||
Series 2014-2A A 144A 0.636% 3/15/21 #• | 1,195,000 | 1,191,560 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
Golden Credit Card Trust Series 2015-2A A 144A 2.02% 4/15/22 # | 2,175,000 | $ | 2,156,752 | |||||
GreatAmerica Leasing Receivables Funding Series 2013-1 B 144A 1.44% 5/15/18 # | 305,000 | 304,213 | ||||||
HOA Funding | 3,004,250 | 2,968,794 | ||||||
Hyundai Auto Lease Securitization Trust | 3,400,000 | 3,411,645 | ||||||
MASTR Specialized Loan Trust | 1,354 | 1,368 | ||||||
Mid-State Trust XI | 11,027 | 11,684 | ||||||
MMAF Equipment Finance Series 2014-AA A4 144A 1.59% 2/8/22 # | 2,135,000 | 2,125,939 | ||||||
Penarth Master Issuer | 885,000 | 885,575 | ||||||
PFS Financing | 750,000 | 749,859 | ||||||
Porsche Innovative Lease Owner Trust | 1,740,000 | 1,737,949 | ||||||
Progress Residential Trust Series 2015-SFR2 A 144A 2.74% 6/12/32 # | 1,210,000 | 1,200,733 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
Series 2012-6 A 1.36% 8/17/20 | 1,865,000 | 1,863,734 | ||||||
Series 2015-2 A 1.60% 4/15/21 | 2,885,000 | 2,883,246 | ||||||
Wendys Funding | 2,700,000 | 2,695,942 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities | 72,730,721 | |||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 0.58% | ||||||||
American Home Mortgage Investment Trust | 99,601 | 101,550 |
Diversified Income Series-17
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||||
Bank of America Alternative Loan Trust | ||||||||||
Series 2005-1 2A1 5.50% 2/25/20 | 119,134 | $ | 121,411 | |||||||
Series 2005-3 2A1 5.50% 4/25/20 | 16,238 | 16,711 | ||||||||
Series 2005-6 7A1 5.50% 7/25/20 | 107,139 | 106,856 | ||||||||
ChaseFlex Trust | 1,490,000 | 1,283,957 | ||||||||
CHL Mortgage Pass Through Trust | 129 | 130 | ||||||||
Citicorp Mortgage Securities Trust | 142,983 | 146,092 | ||||||||
Citicorp Residential Mortgage Trust | 1,800,000 | 1,792,472 | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||||
Series 2014-DN4 M2 2.587% 10/25/24 • | 785,000 | 787,819 | ||||||||
Series 2015-DNA1 M2 2.037% 10/25/27 • | 1,460,000 | 1,435,088 | ||||||||
Series 2015-HQ2 M2 2.137% 5/25/25 • | 770,000 | 757,310 | ||||||||
GSR Mortgage Loan Trust Series 2006-AR1 3A1 3.434% 1/25/36 • | 204,567 | 185,375 | ||||||||
JPMorgan Mortgage Trust | ||||||||||
Series 2014-2 B1 144A 3.428% 6/25/29 #• | 955,729 | 956,988 | ||||||||
Series 2014-2 B2 144A 3.428% 6/25/29 #• | 357,239 | 352,071 | ||||||||
MASTR ARM Trust | 9,755 | 9,711 | ||||||||
Sequoia Mortgage Trust | ||||||||||
Series 2013-11 B1 144A 3.698% 9/25/43 #• | 1,071,790 | 1,043,631 | ||||||||
Series 2014-2 A4 144A 3.50% 7/25/44 #• | 1,648,019 | 1,653,814 | ||||||||
Series 2015-1 B2 144A 3.899% 1/25/45 #• | 891,822 | 877,036 | ||||||||
WaMu Mortgage Pass Through Certificates Trust | 1,012,863 | 855,486 | ||||||||
Washington Mutual Mortgage Pass Through Certificates | 84,506 | 40,325 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||||
Series 2006-2 3A1 5.75% 3/25/36 | 468,294 | 477,792 | ||||||||
Series 2006-3 A11 5.50% 3/25/36 | 463,493 | 479,813 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust | 378,560 | $ | 355,417 | |||||||
|
| |||||||||
Total Non-Agency Collateralized Mortgage Obligations | 13,836,855 | |||||||||
|
| |||||||||
Regional Bonds – 0.26% D | ||||||||||
Argentina – 0.09% | ||||||||||
Provincia De Buenos Aires 144A 9.95% 6/9/21 # | 2,205,000 | 2,164,075 | ||||||||
|
| |||||||||
2,164,075 | ||||||||||
|
| |||||||||
Australia – 0.08% | ||||||||||
New South Wales Treasury 4.00% 5/20/26 | AUD | 993,500 | 808,144 | |||||||
Queensland Treasury 144A 4.75% 7/21/25 # | AUD | 1,228,000 | 1,037,807 | |||||||
|
| |||||||||
1,845,951 | ||||||||||
|
| |||||||||
Canada – 0.09% | ||||||||||
Province of Ontario Canada 3.45% 6/2/45 | CAD | 1,488,000 | 1,250,959 | |||||||
Province of Quebec Canada 6.00% 10/1/29 | CAD | 896,000 | 980,386 | |||||||
|
| |||||||||
2,231,345 | ||||||||||
|
| |||||||||
Total Regional Bonds (cost $6,549,789) | 6,241,371 | |||||||||
|
| |||||||||
Senior Secured Loans – 11.28% « | ||||||||||
21st Century Oncology Tranche B 1st Lien 6.50% 4/28/22 | 2,135,000 | 2,118,988 | ||||||||
Accudyne Industries (Hamilton Sundstrand Industrial) 1st Lien 4.00% 12/13/19 | 2,460,000 | 2,385,174 | ||||||||
Air Medical Group Holdings Tranche B 1st Lien 4.50% 4/28/22 | 4,755,000 | 4,731,225 | ||||||||
Albertson’s Holdings Tranche B4 1st Lien 5.51% 8/25/21 | 3,785,513 | 3,809,388 | ||||||||
Albertsons Tranche B 1st Lien 5.385% 3/21/19 | 584,626 | 587,732 | ||||||||
Altice Financing Tranche B 1st Lien 5.25% 2/4/22 | 2,765,000 | 2,792,650 | ||||||||
Amaya Gaming 1st Lien 5.00% 8/1/21 | 1,617,775 | 1,617,439 | ||||||||
American Tire Distributors 1st Lien 5.25% 9/26/21 | 1,326,675 | 1,340,771 | ||||||||
Apollo Security Services Borrower 1st Lien 5.00% 6/19/21 | 3,285,000 | 3,297,319 | ||||||||
Apollo Security Services Borrower 2nd Lien 9.75% 6/19/22 | 2,740,000 | 2,709,175 |
Diversified Income Series-18
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Senior Secured Loans « (continued) | ||||||||
Applied Systems 1st Lien 4.25% 1/23/21 | 3,193,124 | $ | 3,195,404 | |||||
Applied Systems 2nd Lien 7.50% 1/23/22 | 2,701,929 | 2,715,439 | ||||||
Atkore International 2nd Lien 7.75% 10/9/21 | 1,775,000 | 1,669,979 | ||||||
Avaya Tranche B-3 4.50% 10/26/17 | 3,563,854 | 3,550,268 | ||||||
AVINTIV Specialty Materials Tranche B 5.25% 12/19/19 | 4,379,626 | 4,401,524 | ||||||
Axalta Coating Systems U.S. Holdings 1st Lien 3.75% 2/1/20 | 1,030,174 | 1,030,239 | ||||||
BJ’s Wholesale Club 2nd Lien 8.50% 3/31/20 | 2,780,000 | 2,807,222 | ||||||
BJ’s Wholesale Club Tranche B 1st Lien 4.50% 9/26/19 | 3,807,111 | 3,814,534 | ||||||
Blue Ribbon 1st Lien 5.75% 11/13/21 | 1,622,848 | 1,632,991 | ||||||
Blue Ribbon 2nd Lien 9.25% 11/13/22 | 625,000 | 623,438 | ||||||
Burlington Coat Factory Warehouse Tranche B3 1st Lien 4.25% 8/13/21 | 1,177,301 | 1,178,641 | ||||||
BWAY Holding Tranche B 1st Lien 5.50% 8/14/20 | 2,014,650 | 2,027,556 | ||||||
Cable & Wireless Communications 5.50% 12/31/16 | 1,385,978 | 1,389,443 | ||||||
Cable & Wireless Communications (Unsecured) 6.50% 3/31/17 | 835,000 | 837,088 | ||||||
Caesars Growth Properties Holdings Tranche B 1st Lien 6.25% 5/8/21 | 4,527,079 | 3,881,970 | ||||||
Calpine Construction Finance Tranche B 3.00% 5/3/20 | 523,837 | 515,543 | ||||||
CBS Outdoor Tranche B 3.00% 1/31/21 . | 2,530,000 | 2,525,519 | ||||||
CD&R Millennium Holdco 6 (Mauser Holdings) 2nd Lien 8.25% 7/31/22 | 465,000 | 460,931 | ||||||
CDS US Intermediate Holdings (Cirque Du Soleil) 1st Lien 5.00% 6/25/22 | 1,530,000 | 1,531,913 | ||||||
CDS US Intermediate Holdings 2nd Lien 9.25% 6/25/23 | 1,095,000 | 1,090,209 | ||||||
CityCenter Holdings Tranche B 1st Lien 4.25% 10/16/20 | 1,323,405 | 1,325,887 | ||||||
CommScope Term Loan B 1st Lien 3.75% 5/28/22 | 1,206,000 | 1,206,566 | ||||||
Communications Sales & Leasing Tranche B 1st Lien 5.00% 10/24/22 | 3,275,000 | 3,214,275 | ||||||
Community Health Systems Tranche G 1st Lien 3.75% 12/31/19 | 2,235,408 | 2,238,202 | ||||||
Community Health Systems Tranche H 1st Lien 4.00% 1/27/21 | 4,548,091 | 4,559,775 | ||||||
Crown Castles Operating Tranche B2 3.00% 1/31/21 | 1,172,093 | 1,167,259 | ||||||
DaVita Healthcare Partners Tranche B 3.50% 6/24/21 | 2,079,000 | 2,082,249 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Senior Secured Loans « (continued) | ||||||||
DBP Holding Tranche B 5.00% 10/11/19 | 1,095,000 | $ | 1,053,596 | |||||
Drillship Ocean Ventures (Ocean Rig) Tranche B 1st Lien 5.50% 7/25/21 | 2,801,475 | 2,398,063 | ||||||
Drillships Financing Holding Tranche B1 6.00% 3/31/21 | 4,654,951 | 3,807,750 | ||||||
Dynegy Tranche B2 4.00% 4/23/20 | 1,255,679 | 1,259,472 | ||||||
Emdeon 1st Lien 3.75% 11/2/18 | 1,480,326 | 1,482,361 | ||||||
Endo Luxembourg Finance I 1st Lien 3.50% 6/24/16 | 435,000 | 435,000 | ||||||
Endo Luxembourg Finance I Tranche B 1st Lien 3.75% 6/24/22 | 1,095,000 | 1,099,106 | ||||||
Energy Transfer Equity 1st Lien | ||||||||
3.25% 12/2/19 | 1,085,000 | 1,079,236 | ||||||
4.00% 12/2/19 | 924,765 | 926,086 | ||||||
FCA U.S. (Chrysler Group) Tranche B 1st Lien 3.25% 12/31/18 | 5,070,813 | 5,066,376 | ||||||
First Data Tranche B 1st Lien | ||||||||
3.50% 3/24/17 | 3,338,000 | 3,333,828 | ||||||
4.00% 3/24/21 | 4,439,831 | 4,456,827 | ||||||
First Data Tranche C1 1st Lien 3.50% 3/24/18 | 266,000 | 265,481 | ||||||
Flint Group 1st Lien 4.75% 9/7/21 | 1,426,603 | 1,430,170 | ||||||
Flint Group 2nd Lien 8.25% 9/7/22 | 745,000 | 741,275 | ||||||
Flint Group Tranche C 1st Lien 4.50% 9/7/21 | 235,834 | 236,129 | ||||||
Flying Fortress 1st Lien 3.50% 6/30/17 | 282,500 | 283,206 | ||||||
FMG Resources August 2006 Pty 1st Lien 3.75% 6/30/19 | 3,943,400 | 3,510,860 | ||||||
Gardner Denver 1st Lien 4.25% 7/30/20 . | 4,784,003 | 4,681,147 | ||||||
Gates Global 1st Lien 4.25% 7/3/21 | 1,037,163 | 1,022,994 | ||||||
Global Cash Access Tranche B 6.25% 12/19/20 | 3,399,531 | 3,428,216 | ||||||
Green Energy Partners (Panda Stonewall) Tranche B 6.50% 11/13/21 | 1,815,000 | 1,843,359 | ||||||
Hanson Building Tranche B 1st Lien 6.50% 3/13/22 | 2,099,738 | 2,107,175 | ||||||
HD Supply Tranche B 4.00% 6/28/18 | 3,636,026 | 3,643,753 | ||||||
Hilton Worldwide Finance Tranche B2 3.50% 10/25/20 | 7,675,817 | 7,684,198 | ||||||
Houghton International 1st Lien 4.00% 12/20/19 | 404,625 | 404,676 | ||||||
Houghton International 2nd Lien 9.50% 12/21/20 | 570,000 | 572,138 | ||||||
Huntsman International Tranche B 1st Lien 3.75% 10/1/21 | 2,427,800 | 2,432,857 | ||||||
Hyperion Insurance Group Tranche B 1st Lien 5.50% 4/30/22 | 1,770,563 | 1,778,309 | ||||||
IASIS Healthcare Tranche B 1st Lien 4.50% 5/3/18 | 1,759,405 | 1,764,078 |
Diversified Income Series-19
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Senior Secured Loans « (continued) | ||||||||
IBC Capital (Goodpack) 1st Lien 4.75% 9/15/21 | 2,025,000 | $ | 1,991,249 | |||||
iHeartCommunications (Clear Channel Communications) Tranche D 6.75% 1/30/19 | 7,555,000 | 6,994,668 | ||||||
iHeartCommunications (Clear Channel Communications) Tranche E 1st Lien 7.50% 7/30/19 | 455,343 | 427,738 | ||||||
Immucor Tranche B2 5.00% 8/19/18 | 3,447,934 | 3,465,173 | ||||||
Ineos U.S. Finance Tranche B 3.75% 12/15/20 | 2,408,814 | 2,397,774 | ||||||
Ineos U.S. Finance Tranche B 1st Lien 4.25% 3/31/22 | 515,000 | 515,483 | ||||||
Informatica Tranche B 1st Lien 4.50% 6/3/22 | 770,000 | 769,198 | ||||||
Intelsat Jackson Holdings Tranche B2 3.75% 6/30/19 | 2,345,813 | 2,332,130 | ||||||
KIK Custom Products 1st Lien 5.50% 4/29/19 | 1,934,609 | 1,941,864 | ||||||
KIK Custom Products 2nd Lien 9.50% 10/29/19 | 405,000 | 407,531 | ||||||
Kinetic Concepts Tranche E1 4.50% 5/4/18 | 548,594 | 551,423 | ||||||
Landry’s Tranche B 4.00% 4/24/18 | 1,529,987 | 1,537,063 | ||||||
Level 3 Financing Tranche B 4.00% 1/15/20 | 1,345,000 | 1,346,009 | ||||||
LTS Buyer (Lightower Fiber Networks) 1st Lien 4.00% 4/13/20 | 318,574 | 317,379 | ||||||
LTS Buyer 2nd Lien 8.00% 4/1/21 | 1,509,825 | 1,504,793 | ||||||
Marina District Finance (Borgata) Tranche B 1st Lien 6.50% 8/15/18 | 2,625,496 | 2,654,095 | ||||||
MGM Resorts International 3.50% 12/20/19 | 353,524 | 351,683 | ||||||
Moxie Patriot Tranche B1 6.75% 12/19/20 | 1,795,000 | 1,801,731 | ||||||
MPH Acquisition (Multiplan) Tranche B 3.75% 3/31/21 | 3,213,903 | 3,202,352 | ||||||
Murray Energy Tranche B1 1st Lien 7.00% 4/14/17 | 780,000 | 776,425 | ||||||
Murray Energy Tranche B2 1st Lien 7.50% 4/16/20 | 1,695,000 | 1,574,231 | ||||||
Neiman Marcus 1st Lien 4.25% 10/25/20 | 808,308 | 804,772 | ||||||
NEP/NCP 10.00% 7/22/20 | 1,029,286 | 1,023,282 | ||||||
NEP/NCP Tranche B 1st Lien 4.25% 1/22/20 | 241,944 | 239,282 | ||||||
New Albertsons 1st Lien 4.75% 6/27/21 | 1,071,900 | 1,074,714 | ||||||
Numericable U.S. 4.50% 5/21/20 | 4,157,889 | 4,173,481 | ||||||
Numericable U.S. Tranche B2 1st Lien 4.50% 5/21/20 | 3,597,141 | 3,611,040 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Senior Secured Loans « (continued) | ||||||||
Offshore (Vantage Drilling) Tranche B 1st Lien 5.75% 3/28/19 | 1,517,089 | $ | 937,751 | |||||
Offshore Group Investment (Vantage Drilling) Tranche B 1st Lien 5.00% 10/25/17 | 1,544,493 | 1,098,135 | ||||||
Old HB (Hostess Brands) 1st Lien 6.75% 3/20/20 | 2,150,082 | 2,203,834 | ||||||
Pacific Drilling Tranche B 4.50% 6/3/18 | 2,191,671 | 1,782,558 | ||||||
Panda Liberty (Moxie Liberty) Tranche B 7.50% 8/21/20 | 3,825,000 | 3,834,563 | ||||||
PQ 1st Lien 4.00% 8/7/17 | 2,338,523 | 2,339,107 | ||||||
Quickrete Holdings 2nd Lien 7.00% 3/30/21 | 804,632 | 810,666 | ||||||
Republic of Angola 6.25% 12/16/23 | 4,385,000 | 4,319,225 | ||||||
Reynolds Group Holdings Tranche B 1st Lien 4.50% 12/1/18 | 2,805,091 | 2,815,961 | ||||||
Rite Aid 2nd Lien | ||||||||
4.875% 6/21/21 | 1,285,000 | 1,288,615 | ||||||
5.75% 8/21/20 | 2,975,000 | 3,007,228 | ||||||
RPI Finance Trust (Royalty Pharma) Tranche B4 1st Lien 3.50% 11/9/20 | 616,900 | 618,134 | ||||||
SAM Finance Lux (Santander Asset Management) Tranche B 4.25% 12/17/20 | 3,200,251 | 3,212,252 | ||||||
Scientific Games International 6.00% 10/18/20 | 2,299,975 | 2,302,420 | ||||||
Scientific Games International Tranche B2 1st Lien 6.00% 10/1/21 | 2,517,350 | 2,518,636 | ||||||
Sensus USA | ||||||||
4.75% 5/9/17 | 1,473,149 | 1,466,704 | ||||||
8.50% 5/9/18 | 735,000 | 731,325 | ||||||
SIG Combibloc PurchaseCo 1st Lien 5.25% 3/13/22 | 2,219,438 | 2,219,635 | ||||||
Sinclair Television Group Tranche B1 1st Lien 3.50% 7/30/21 | 985,000 | 985,985 | ||||||
Smart & Final Stores Tranche B 1st Lien 4.00% 11/15/19 | 1,163,017 | 1,163,918 | ||||||
Solenis International (Ashland Water) 1st Lien 4.25% 7/31/21 | 828,738 | 825,112 | ||||||
Solenis International (Ashland Water) 2nd Lien 7.75% 7/31/22 | 665,000 | 645,258 | ||||||
Spectrum Brands 1st Lien 3.75% 6/23/22 | 1,100,000 | 1,103,896 | ||||||
SS&C Technologies (European Holdings) Tranche B2 1st Lien 4.00% 7/8/22 | 201,000 | 201,377 | ||||||
SS&C Technologies Tranche B1 1st Lien 4.00% 7/8/22 | 893,000 | 894,674 | ||||||
Standard Aero 1st Lien 5.25% 6/23/22 | 1,095,000 | 1,096,825 | ||||||
Stena International 1st Lien 4.00% 3/3/21 | 3,311,616 | 3,107,399 |
Diversified Income Series-20
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Senior Secured Loans « (continued) | ||||||||||
Summit Materials Tranche B 1st Lien 4.25% 6/26/22 | 1,095,000 | $ | 1,096,369 | |||||||
SUPERVALU 1st Lien 4.50% 3/21/19 | 1,205,900 | 1,210,080 | ||||||||
Surgical Care Affiliates Tranche B 1st Lien 4.25% 3/17/22 | 1,215,000 | 1,219,556 | ||||||||
TransDigm Tranche E 1st Lien 3.50% 5/14/22 | 1,520,164 | 1,504,284 | ||||||||
Tribune Media Tranche B 1st Lien 3.75% 12/27/20 | 1,095,000 | 1,096,360 | ||||||||
United Airlines Tranche B 3.50% 4/1/19 | . | 710,500 | 710,648 | |||||||
Univar Tranche B 1st Lien 4.25% 7/1/22 | 123,000 | 122,885 | ||||||||
Univision Communications 1st Lien 4.00% 3/1/20 | 488,610 | 486,548 | ||||||||
Univision Communications Tranche C4 4.00% 3/1/20 | 5,005,005 | 4,979,284 | ||||||||
US Airways Tranche B1 3.50% 5/23/19 | 655,660 | 655,074 | ||||||||
US Airways Tranche B2 3.00% 11/23/16 | 232,260 | 232,042 | ||||||||
USI Tranche B 1st Lien 4.25% 12/27/19 | 1,901,506 | 1,905,071 | ||||||||
Valeant Pharmaceuticals International Tranche B-F1 1st Lien 4.00% 4/2/22 | 2,279,288 | 2,280,842 | ||||||||
Valeant Pharmaceuticals Tranche BE 3.50% 8/5/20 | 2,701,701 | 2,695,960 | ||||||||
Varsity Brands Tranche B 1st Lien 6.00% 12/15/21 | 1,442,750 | 1,452,669 | ||||||||
Weight Watchers International 3.00% 4/2/16 | 759,335 | 679,605 | ||||||||
Wide Open West Finance Tranche B 1st Lien 4.50% 4/1/19 | 2,720,343 | 2,721,703 | ||||||||
Ziggo Tranche B 2nd Lien 3.50% 1/15/22 | 413,447 | 409,338 | ||||||||
Ziggo Tranche B 3rd Lien 3.50% 1/15/22 | 679,972 | 673,215 | ||||||||
Ziggo Tranche B1 1st Lien 3.50% 1/15/22 | 641,581 | 635,205 | ||||||||
|
| |||||||||
Total Senior Secured Loans | 268,376,141 | |||||||||
|
| |||||||||
Sovereign Bonds – 2.65% D | ||||||||||
Armenia – 0.06% | ||||||||||
Republic of Armenia 144A 6.00% | 1,448,000 | 1,425,411 | ||||||||
|
| |||||||||
1,425,411 | ||||||||||
|
| |||||||||
Australia – 0.08% | ||||||||||
Australia Government Bond | ||||||||||
3.25% 4/21/25 | AUD | 1,416,000 | 1,114,478 | |||||||
3.75% 4/21/37 | AUD | 900,000 | 706,952 | |||||||
|
| |||||||||
1,821,430 | ||||||||||
|
|
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Sovereign Bonds D (continued) | ||||||||||
Brazil – 0.21% | ||||||||||
Brazil Notas do Tesouro Nacional Series F | ||||||||||
10.00% 1/1/17 | BRL | 5,496,000 | $ | 1,679,437 | ||||||
10.00% 1/1/23 | BRL | 5,980,000 | 1,697,793 | |||||||
10.00% 1/1/25 | BRL | 5,980,000 | 1,664,984 | |||||||
|
| |||||||||
5,042,214 | ||||||||||
|
| |||||||||
Canada – 0.02% | ||||||||||
Canadian Government Bond 2.75% 12/1/48 | CAD | 496,000 | 436,573 | |||||||
|
| |||||||||
436,573 | ||||||||||
|
| |||||||||
Colombia – 0.12% | ||||||||||
Colombia Government International Bond | ||||||||||
4.375% 3/21/23 | COP | 4,246,000,000 | 1,480,680 | |||||||
5.00% 6/15/45 | 531,000 | 493,830 | ||||||||
9.85% 6/28/27 | COP | 1,688,000,000 | 798,251 | |||||||
|
| |||||||||
2,772,761 | ||||||||||
|
| |||||||||
Costa Rica – 0.06% | ||||||||||
Costa Rica Government International Bond 5.625% 4/30/43 | 1,772,000 | 1,479,620 | ||||||||
|
| |||||||||
1,479,620 | ||||||||||
|
| |||||||||
Dominican Republic – 0.10% | ||||||||||
Dominican Republic International Bond | ||||||||||
144A 5.50% 1/27/25 # | 800,000 | 806,000 | ||||||||
144A 6.85% 1/27/45 # | 1,500,000 | 1,537,500 | ||||||||
|
| |||||||||
2,343,500 | ||||||||||
|
| |||||||||
Ecuador – 0.06% | ||||||||||
Ecuador Government International Bond 144A 10.50% 3/24/20 # | 1,510,000 | 1,521,325 | ||||||||
|
| |||||||||
1,521,325 | ||||||||||
|
| |||||||||
Germany – 0.03% | ||||||||||
Bundesrepublik Deutschland 0.50% 2/15/25 | EUR | 683,000 | 742,172 | |||||||
|
| |||||||||
742,172 | ||||||||||
|
| |||||||||
Indonesia – 0.25% | ||||||||||
Indonesia Government International Bond | ||||||||||
144A 4.625% 4/15/43 # | 2,325,000 | 2,098,313 | ||||||||
144A 5.125% 1/15/45 # | 600,000 | 573,750 | ||||||||
Indonesia Treasury Bond 8.375% 3/15/24 | IDR | 43,264,000,000 | 3,258,502 | |||||||
|
| |||||||||
5,930,565 | ||||||||||
|
| |||||||||
Italy – 0.12% | ||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||
1.35% 4/15/22 | EUR | 2,117,000 | 2,299,011 | |||||||
1.50% 6/1/25 | EUR | 555,000 | 575,071 | |||||||
|
| |||||||||
2,874,082 | ||||||||||
|
|
Diversified Income Series-21
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Sovereign Bonds D (continued) | ||||||||||
Ivory Coast – 0.11% | ||||||||||
Ivory Coast Government International Bond 144A 6.375% 3/3/28 # | 2,637,000 | $ | 2,584,260 | |||||||
|
| |||||||||
2,584,260 | ||||||||||
|
| |||||||||
Japan – 0.02% | ||||||||||
Japan Government 40 yr Bond 1.40% 3/20/55 | JPY | 56,650,000 | 440,211 | |||||||
|
| |||||||||
440,211 | ||||||||||
|
| |||||||||
Mexico – 0.23% | ||||||||||
Mexican Bonos 7.50% 6/3/27 | MXN | 62,010,000 | 4,344,184 | |||||||
Mexico Government International Bond | ||||||||||
3.60% 1/30/25 | 531,000 | 524,894 | ||||||||
4.60% 1/23/46 | 600,000 | 557,250 | ||||||||
|
| |||||||||
5,426,328 | ||||||||||
|
| |||||||||
Norway – 0.17% | ||||||||||
Kommunalbanken | ||||||||||
144A 2.125% 4/23/25 # | 3,980,000 | 3,801,799 | ||||||||
5.00% 3/28/19 | NZD | 208,000 | 148,310 | |||||||
Norway Government Bond 144A 2.00% 5/24/23 # | NOK | 1,227,000 | 160,746 | |||||||
|
| |||||||||
4,110,855 | ||||||||||
|
| |||||||||
Pakistan – 0.06% | ||||||||||
Pakistan Government International Bond 144A 7.875% 3/31/36 # | 1,545,000 | 1,506,375 | ||||||||
|
| |||||||||
1,506,375 | ||||||||||
|
| |||||||||
Poland – 0.10% | ||||||||||
Poland Government Bond 3.25% 7/25/25 | PLN | 9,081,000 | 2,411,776 | |||||||
|
| |||||||||
2,411,776 | ||||||||||
|
| |||||||||
Portugal – 0.03% | ||||||||||
Portugal Government International Bond 144A 5.125% 10/15/24 # | 600,000 | 615,048 | ||||||||
|
| |||||||||
615,048 | ||||||||||
|
| |||||||||
Republic of Korea – 0.12% | ||||||||||
Inflation Linked Korea Treasury Bond 1.125% 6/10/23 | KRW | 3,276,382,329 | 2,821,463 | |||||||
|
| |||||||||
2,821,463 | ||||||||||
|
| |||||||||
Senegal – 0.07% | ||||||||||
Senegal Government International Bond 144A 6.25% 7/30/24 # | 1,710,000 | 1,646,730 | ||||||||
|
| |||||||||
1,646,730 | ||||||||||
|
| |||||||||
South Africa – 0.34% | ||||||||||
South Africa Government Bond 8.00% 1/31/30 | ZAR | 87,439,000 | 6,788,364 | |||||||
South Africa Government International Bond 5.375% 7/24/44 | 1,211,000 | 1,210,724 | ||||||||
|
| |||||||||
7,999,088 | ||||||||||
|
|
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
Sovereign Bonds D (continued) | ||||||||||
Sri Lanka – 0.08% | ||||||||||
Sri Lanka Government International Bond 144A 6.125% 6/3/25 # | 2,020,000 | $ | 1,994,750 | |||||||
|
| |||||||||
1,994,750 | ||||||||||
|
| |||||||||
Turkey – 0.09% | ||||||||||
Turkey Government International Bond 4.25% 4/14/26 | 2,235,000 | 2,133,106 | ||||||||
|
| |||||||||
2,133,106 | ||||||||||
|
| |||||||||
United Kingdom – 0.12% | ||||||||||
United Kingdom Gilt | ||||||||||
3.25% 1/22/44 | GBP | 668,600 | 1,159,177 | |||||||
3.50% 1/22/45 | GBP | 340,300 | 618,774 | |||||||
United Kingdom Gilt Inflation Linked 0.125% 3/22/24 | GBP | 686,454 | 1,167,032 | |||||||
|
| |||||||||
2,944,983 | ||||||||||
|
| |||||||||
Total Sovereign Bonds | 63,024,626 | |||||||||
|
| |||||||||
Supranational Banks – 0.51% | ||||||||||
European Bank for Reconstruction & Development | ||||||||||
6.00% 3/3/16 | INR | 105,900,000 | 1,658,941 | |||||||
7.375% 4/15/19 | IDR | 14,120,000,000 | 1,021,946 | |||||||
Inter-American Development Bank | ||||||||||
6.00% 9/5/17 | INR | 152,200,000 | 2,367,835 | |||||||
7.25% 7/17/17 | IDR | 19,370,000,000 | 1,413,687 | |||||||
International Bank for Reconstruction & Development | ||||||||||
0.255% 4/17/19 • | 1,507,000 | 1,508,786 | ||||||||
2.50% 11/25/24 | 1,507,000 | 1,511,753 | ||||||||
3.75% 2/10/20 | NZD | 1,200,000 | 820,617 | |||||||
4.625% 10/6/21 | NZD | 2,112,000 | 1,497,972 | |||||||
International Finance 3.625% 5/20/20 | NZD | 472,000 | 320,193 | |||||||
|
| |||||||||
Total Supranational Banks (cost $12,945,260) | 12,121,730 | |||||||||
|
| |||||||||
U.S. Treasury Obligations – 1.93% | ||||||||||
U.S. Treasury Bond | ||||||||||
3.00% 5/15/45 | 5,855,000 | 5,738,813 | ||||||||
3.125% 8/15/44 | 6,715,000 | 6,727,067 | ||||||||
U.S. Treasury Notes | ||||||||||
1.625% 6/30/20 | 2,476,000 | 2,476,000 | ||||||||
2.125% 5/15/25 | 31,560,000 | 30,990,437 | ||||||||
|
| |||||||||
Total U.S. Treasury Obligations (cost $45,952,680) | 45,932,317 | |||||||||
|
|
Diversified Income Series-22
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Number of | Value | |||||||
shares | (U.S. $) | |||||||
Common Stock – 0.00% | ||||||||
Adelphia Recovery Trust =† | 1 | $ | 0 | |||||
Century Communications =† | 2,500,000 | 0 | ||||||
|
| |||||||
Total Common Stock | 0 | |||||||
|
| |||||||
Convertible Preferred Stock – 0.43% | ||||||||
Alcoa 5.375% exercise price $19.39, expiration date 10/1/17 | 14,000 | 553,420 | ||||||
Anadarko Petroleum 7.50% exercise price $69.84, expiration date 6/7/18 | 11,838 | 596,754 | ||||||
ArcelorMittal 6.00% exercise price $19.98, expiration date 12/21/15 | 23,675 | 375,102 | ||||||
Bank of America 7.25% exercise price $50.00, expiration date 12/31/49 | 483 | 545,911 | ||||||
Chesapeake Energy 5.75% exercise price $26.10, expiration date 12/31/49 | 727 | 523,440 | ||||||
Crown Castle International 4.50% exercise price $90.25, expiration date 11/1/16 | 7,350 | 758,520 | ||||||
Dominion Resources 6.125% exercise price $64.99, expiration date 4/1/16 | 11,530 | 617,893 | ||||||
Dynegy 5.375% exercise price $38.75, expiration date 11/1/17 @ | 6,740 | 669,956 | ||||||
Exelon 6.50% exercise price $43.75, expiration date 6/1/17 | 14,850 | 673,596 | ||||||
Halcon Resources 5.75% exercise price $6.16, expiration date 12/31/49 | 802 | 173,936 | ||||||
Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49 | 714 | 956,760 | ||||||
Intelsat 5.75% exercise price $22.05, expiration date 5/1/16 | 31,038 | 890,170 | ||||||
Maiden Holdings 7.25% exercise price $15.30, expiration date 9/15/16 | 25,500 | 1,408,875 | ||||||
T-Mobile US 5.50% exercise price $31.02, expiration date 12/15/17 | 9,278 | 626,265 | ||||||
Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49 | 813 | 955,275 | ||||||
|
| |||||||
Total Convertible Preferred Stock | 10,325,873 | |||||||
|
| |||||||
Preferred Stock – 0.38% | ||||||||
Ally Financial 144A 7.00% # | 2,753 | 2,795,586 | ||||||
Bank of America 6.10% • | 1,445,000 | 1,428,744 | ||||||
Integrys Energy Group 6.00% • | 89,450 | 2,382,053 | ||||||
Morgan Stanley 5.55% • | 580,000 | 576,520 | ||||||
National Retail Properties 5.70% | 26,425 | 640,013 | ||||||
Public Storage 5.20% | 48,200 | 1,122,578 | ||||||
|
| |||||||
Total Preferred Stock (cost $8,803,111) | 8,945,494 | |||||||
|
|
Number of | Value | |||||||
Contracts | (U.S. $) | |||||||
Options Purchased – 0.01% | ||||||||
Call Option – 0.01% | ||||||||
U.S. Treasury 10 yr Notes, strike price $127.50, expires 7/24/15 | 901 | $ | 323,797 | |||||
|
| |||||||
Total Options Purchased (cost $270,034) | 323,797 | |||||||
|
| |||||||
Principal | ||||||||
amount° | ||||||||
Short-Term Investments – 9.21% | ||||||||
Discount Notes – 5.49% ≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.04% 7/21/15 | 4,047,542 | 4,047,518 | ||||||
0.05% 8/14/15 | 8,855,371 | 8,855,043 | ||||||
0.055% 7/31/15 | 8,219,045 | 8,218,979 | ||||||
0.065% 8/5/15 | 4,897,766 | 4,897,624 | ||||||
0.065% 9/2/15 | 16,140,675 | 16,139,238 | ||||||
0.07% 8/11/15 | 10,773,761 | 10,773,395 | ||||||
0.08% 7/17/15 | 15,168,826 | 15,168,766 | ||||||
0.08% 7/22/15 | 20,225,102 | 20,224,980 | ||||||
0.095% 7/14/15 | 14,993,604 | 14,993,544 | ||||||
0.10% 10/23/15 | 16,140,675 | 16,136,123 | ||||||
Freddie Mac 0.075% 10/1/15 | 11,137,286 | 11,134,758 | ||||||
|
| |||||||
130,589,968 | ||||||||
|
| |||||||
Repurchase Agreements – 3.72% | ||||||||
Bank of America Merrill Lynch | 24,580,177 | 24,580,177 | ||||||
Bank of Montreal | 40,966,961 | 40,966,961 |
Diversified Income Series-23
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Short-Term Investments (continued) | ||||||||
Repurchase Agreements (continued) | ||||||||
BNP Paribas | 23,012,125 | $ | 23,012,125 | |||||
|
| |||||||
88,559,263 | ||||||||
|
| |||||||
Total Short-Term Investments | 219,149,231 | |||||||
|
|
Total Value of Securities – 107.17% | $ | 2,549,356,683 | ||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2015, the aggregate value of Rule 144A securities was $562,700,149, which represents 23.65% of the Series’ net assets. See Note 9 in “Notes to financial statements.” |
@ | Illiquid security. At June 30, 2015, the aggregate value of illiquid securities was $669,956, which represents 0.03% of the Series’ 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. |
= | Security is being fair valued in accordance with the Series’ fair valuation policy. At June 30, 2015, the aggregate value of fair valued securities was $0, which represents 0.00% of the Series’ net assets. See Note 1 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
• | Variable rate security. The rate shown is the rate as of June 30, 2015. Interest rates reset periodically. |
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. |
« | Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more U.S. 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. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at June 30, 2015. |
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at June 30, 2015. |
Diversified Income Series-24
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2015:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized | ||||||||||||||||
BAML | AUD | (3,947,490) | USD | 3,010,987 | 7/31/15 | $ (28,087) | ||||||||||||||
BAML | CAD | (4,180,334) | USD | 3,363,560 | 7/31/15 | 18,630 | ||||||||||||||
BAML | EUR | (1,309,736) | USD | 1,467,847 | 7/31/15 | 7,588 | ||||||||||||||
BAML | JPY | (221,310,729) | USD | 1,797,426 | 7/31/15 | (12,261) | ||||||||||||||
BAML | NZD | (6,408,179) | USD | 4,523,957 | 7/31/15 | 193,640 | ||||||||||||||
BNP | AUD | (1,841,954) | USD | 1,405,716 | 7/31/15 | (12,358) | ||||||||||||||
BNP | NOK | (7,684,452) | USD | 973,306 | 7/31/15 | (5,910) | ||||||||||||||
BNP | NZD | 3,200,417 | USD | (2,259,561) | 7/31/15 | (96,885) | ||||||||||||||
DB | MXN | (14,734,849) | USD | 937,055 | 7/31/15 | 1,726 | ||||||||||||||
HSBC | GBP | (1,833,965) | USD | 2,800,703 | 7/31/15 | (80,000) | ||||||||||||||
JPMC | KRW | (2,147,483,648) | USD | 2,798,458 | 7/31/15 | (8,176) | ||||||||||||||
JPMC | PLN | (2,687,620) | USD | 721,236 | 7/31/15 | 7,270 | ||||||||||||||
JPMC | SEK | (5,906,899) | USD | 707,398 | 7/31/15 | (5,372) | ||||||||||||||
TD | CAD | 4,372,924 | USD | (3,519,399) | 7/31/15 | (20,366) | ||||||||||||||
TD | EUR | (3,659,126) | USD | 4,101,435 | 7/31/15 | 21,780 | ||||||||||||||
TD | JPY | 178,236,099 | USD | (1,425,558) | 7/31/15 | 31,903 | ||||||||||||||
TD | MXN | 38,145,708 | USD | (2,433,538) | 7/2/15 | (6,840) | ||||||||||||||
TD | ZAR | (70,531,970) | USD | 5,661,219 | 7/31/15 | (104,763) | ||||||||||||||
$ (98,481) |
Futures Contracts | ||||||||||||||||||||||||||||||||||||||||
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||||||
325 | Euro-Bund | $ 55,013,308 | $55,053,830 | 9/9/15 | $ 40,522 | |||||||||||||||||||||||||||||||||||
6 | Long Gilt | 1,099,922 | 1,090,940 | 9/29/15 | (8,982) | |||||||||||||||||||||||||||||||||||
399 | U.S. Treasury 5 yr Notes | 47,631,755 | 47,583,867 | 9/30/15 | (47,888) | |||||||||||||||||||||||||||||||||||
536 | U.S. Treasury 10 yr Notes | 67,637,102 | 67,628,125 | 9/21/15 | (8,977) | |||||||||||||||||||||||||||||||||||
$171,382,087 | $(25,325) |
Swap Contracts
CDS Contracts2
Counterparty | Swap Referenced Obligation | Notional Value3 | Annual Protection Payments (Receipts) | Termination Date | Unrealized Appreciation (Depreciation) | |||||||||
Protection Purchased: | ||||||||||||||
CITI | CDX.EM.23 | 11,760,000 | 1.00% | 6/20/20 | $114,143 | |||||||||
JPMC | ICE - CDX.NA.HY.24 | 12,152,250 | 5.00% | 6/20/20 | (23,747) | |||||||||
JPMC | ICE - ITRAXX Euro Crossover Series 23.1 | EUR | 10,720,000 | 5.00% | 6/20/20 | 209,620 | ||||||||
$300,016 |
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional values and foreign currency exchange contracts presented above represent the Series’ total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Series’ net assets.
1See Note 6 in “Notes to financial statements.”
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
Diversified Income Series-25
Table of Contents
Delaware VIP® Diversified Income Series
Schedule of investments (continued)
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 U.S. Dollars unless noted that the swap is denominated in another currency.
Summary of abbreviations:
AFI - Advantage Futures
AMT - Subject to Alternative Minimum Tax
ARM - Adjustable Rate Mortgage
AUD - Australian Dollar
BAML - Bank of America Merrill Lynch
BNP - Banque Paribas
BRL - Brazilian Real
CAD - Canadian Dollar
CDS - Credit Default Swap
CDX.EM - Credit Default Swap Index Emerging Markets
CDX.NA.HY - Credit Default Swap Index North American High-Yield
CITI - Citigroup Global Markets
CLO - Collaterallized Loan Obligation
COP - Colombian Peso
DB - Deutsche Bank
EUR - Euro
GBP - British Pound Sterling
GNMA - Government National Mortgage Association
HSBC - Hong Kong Shanghai Bank
ICE - IntercontinentalExchange, Inc.
IDR - Indonesian Rupiah
INR - Indian Rupee
JPMC - JPMorgan Chase Bank
JPY - Japanese Yen
KRW - South Korean Won
LB - Lehman Brothers
MASTR - Mortgage Asset Securitization Transactions, Inc.
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Polish Zloty
REMIC - Real Estate Mortgage Investment Conduit
SEK - Swedish Krona
S.F. - Single Family
TBA - To be announced
TD - Toronto Dominion Bank
UBS - Union Bank of Switzerland
USD - U. S. Dollar
WaMu - Washington Mutual
yr - Year
ZAR - South African Rand
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-26
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series | ||||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 2,330,207,452 | ||
Short-term investments, at value2 | 219,149,231 | |||
Cash | 2,995,686 | |||
Cash collateral due from brokers | 2,975,320 | |||
Foreign currencies, at value3 | 2,786,007 | |||
Receivable for securities sold | 139,867,893 | |||
Dividends and interest receivable | 18,197,106 | |||
Unrealized appreciation on credit default swap contracts | 323,763 | |||
Unrealized appreciation on foreign currency exchange contracts | 282,537 | |||
Receivable for series shares sold | 49,214 | |||
Variation margin due from broker on futures contracts | 15,866 | |||
|
| |||
Total assets | 2,716,850,075 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 329,331,921 | |||
Investment management fees payable | 1,137,060 | |||
Cash collateral due to brokers | 1,120,000 | |||
Payable for series shares redeemed | 930,387 | |||
Upfront payments paid on credit default swap contracts | 863,194 | |||
Other accrued expenses | 711,657 | |||
Distribution fees payable | 393,551 | |||
Unrealized depreciation on foreign currency exchange contracts | 381,018 | |||
Other affiliates payable | 46,884 | |||
Unrealized depreciation on credit default swap contracts | 23,747 | |||
Swap interest payable | 23,649 | |||
Trustees’ fees and expenses payable | 7,255 | |||
Other liabilities | 3,045,513 | |||
|
| |||
Total liabilities | 338,015,836 | |||
|
| |||
Total Net Assets | $ | 2,378,834,239 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 2,352,913,253 | ||
Undistributed net investment income | 32,606,576 | |||
Accumulated net realized gain on investments | 905,031 | |||
Net unrealized depreciation of investments, foreign currencies, and derivatives | (7,590,621 | ) | ||
|
| |||
Total Net Assets | $ | 2,378,834,239 | ||
|
| |||
Net Asset Value: | ||||
Standard Class: | ||||
Net assets | $ | 462,968,923 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 44,394,183 | |||
Net asset value per share | $ | 10.43 | ||
Service Class: | ||||
Net assets | $ | 1,915,865,316 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 184,715,358 | |||
Net asset value per share | $ | 10.37 | ||
1 Investments, at cost | $ | 2,337,885,584 | ||
2 Short-term investments, at cost | 219,145,659 | |||
3 Foreign currencies, at cost | 2,825,451 |
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-27
Table of Contents
Delaware VIP® Trust —
Delaware VIP Diversified Income Series
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Interest | $ | 44,759,978 | ||
Dividends | 622,791 | |||
|
| |||
45,382,769 | ||||
|
| |||
Expenses: | ||||
Management fees | 6,821,499 | |||
Distribution expenses – Service Class | 2,810,693 | |||
Reports and statements to shareholders | 505,087 | |||
Accounting and administration expenses | 371,153 | |||
Dividend disbursing and transfer agent fees and expenses | 98,680 | |||
Legal fees | 90,731 | |||
Custodian fees | 76,678 | |||
Trustees’ fees and expenses | 58,637 | |||
Audit and tax | 23,107 | |||
Registration fees | 4,186 | |||
Other | 51,783 | |||
|
| |||
10,912,234 | ||||
Less waived distribution expenses – Service Class | (468,449 | ) | ||
|
| |||
Total operating expenses | 10,443,785 | |||
|
| |||
Net Investment Income | 34,938,984 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): |
| |||
Net realized gain (loss) on: | ||||
Investments* | 4,093,611 | |||
Foreign currencies | (4,813,806 | ) | ||
Foreign currency exchange contracts | 1,749,975 | |||
Futures contracts | 3,687,554 | |||
Swap contracts | (40,017 | ) | ||
|
| |||
Net realized gain | 4,677,317 | |||
|
| |||
Net change in unrealized appreciation |
| |||
Investments | (37,193,357 | ) | ||
Foreign currencies | 9,499 | |||
Foreign currency exchange contracts | (689,264 | ) | ||
Futures contracts | (414,772 | ) | ||
Swap contracts | 282,011 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | (38,005,883 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (33,328,566 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,610,418 | ||
|
|
* Includes $16,181 capital gains taxes paid.
Delaware VIP Trust —
Delaware VIP Diversified Income Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 34,938,984 | $ | 63,946,247 | ||||
Net realized gain | 4,677,317 | 41,042,421 | ||||||
Net change in unrealized appreciation (depreciation) | (38,005,883 | ) | 1,085,747 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 1,610,418 | 106,074,415 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (14,156,454 | ) | (11,296,162 | ) | ||||
Service Class | (52,370,637 | ) | (33,464,619 | ) | ||||
Net realized gain: | ||||||||
Standard Class | (5,195,029 | ) | — | |||||
Service Class | (20,948,255 | ) | — | |||||
|
|
|
| |||||
(92,670,375 | ) | (44,760,781 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 16,313,524 | 35,659,748 | ||||||
Service Class | 119,580,035 | 256,890,236 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 14,864,954 | 7,685,264 | ||||||
Service Class | 73,318,892 | 33,464,619 | ||||||
|
|
|
| |||||
224,077,405 | 333,699,867 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (23,585,613 | ) | (74,209,993 | ) | ||||
Service Class | (23,977,047 | ) | (53,617,151 | ) | ||||
|
|
|
| |||||
(47,562,660 | ) | (127,827,144 | ) | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions | 176,514,745 | 205,872,723 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 85,454,788 | 267,186,357 | ||||||
Net Assets: | ||||||||
Beginning of period | 2,293,379,451 | 2,026,193,094 | ||||||
|
|
|
| |||||
End of period | $ | 2,378,834,239 | $ | 2,293,379,451 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 32,606,576 | $ | 64,194,683 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-28
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Diversified Income Series Standard Class | ||||||||||||||||||||||||||||||
Six months ended | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.840 | $ | 10.530 | $ | 11.070 | $ | 11.020 | $ | 11.280 | $ | 10.980 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.170 | 0.333 | 0.331 | 0.376 | 0.426 | 0.521 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.133 | ) | 0.221 | (0.460 | ) | 0.384 | 0.256 | 0.345 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.037 | 0.554 | (0.129 | ) | 0.760 | 0.682 | 0.866 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.327 | ) | (0.244 | ) | (0.260 | ) | (0.359 | ) | (0.475 | ) | (0.539 | ) | ||||||||||||||||||
Net realized gain | (0.120 | ) | — | (0.151 | ) | (0.351 | ) | (0.467 | ) | (0.027 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.447 | ) | (0.244 | ) | (0.411 | ) | (0.710 | ) | (0.942 | ) | (0.566 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.430 | $ | 10.840 | $ | 10.530 | $ | 11.070 | $ | 11.020 | $ | 11.280 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 0.26% | 5.32% | (1.26% | ) | 7.20% | 6.39% | 8.06% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 462,969 | $ | 473,568 | $ | 489,953 | $ | 531,992 | $ | 517,362 | $ | 659,032 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.69% | 0.67% | 0.67% | 0.68% | 0.68% | 0.70% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 3.18% | 3.09% | 3.10% | 3.43% | 3.87% | 4.68% | ||||||||||||||||||||||||
Portfolio turnover | 126% | 252% | 260% | 216% | 233% | 237% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-29
Table of Contents
Delaware VIP® Diversified Income Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Diversified Income Series Service Class | ||||||||||||||||||||||||||||||
Six months ended 6/30/151 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.770 | $ | 10.470 | $ | 11.000 | $ | 10.960 | $ | 11.220 | $ | 10.920 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.156 | 0.305 | 0.303 | 0.347 | 0.396 | 0.491 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.136 | ) | 0.212 | (0.449 | ) | 0.376 | 0.258 | 0.351 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.020 | 0.517 | (0.146 | ) | 0.723 | 0.654 | 0.842 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.300 | ) | (0.217 | ) | (0.233 | ) | (0.332 | ) | (0.447 | ) | (0.515 | ) | ||||||||||||||||||
Net realized gain | (0.120 | ) | — | (0.151 | ) | (0.351 | ) | (0.467 | ) | (0.027 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.420 | ) | (0.217 | ) | (0.384 | ) | (0.683 | ) | (0.914 | ) | (0.542 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.370 | $ | 10.770 | $ | 10.470 | $ | 11.000 | $ | 10.960 | $ | 11.220 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 0.11% | 4.98% | (1.42% | ) | 6.87% | 6.15% | 7.87% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,915,865 | $ | 1,819,811 | $ | 1,536,240 | $ | 1,519,853 | $ | 1,299,943 | $ | 1,100,754 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.94% | 0.92% | 0.92% | 0.93% | 0.93% | 0.95% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.99% | 0.97% | 0.97% | 0.98% | 0.98% | 1.00% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.93% | 2.84% | 2.85% | 3.18% | 3.62% | 4.43% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.88% | 2.79% | 2.80% | 3.13% | 3.57% | 4.38% | ||||||||||||||||||||||||
Portfolio turnover | 126% | 252% | 260% | 216% | 233% | 237% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Diversified Income Series-30
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Diversified Income Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek maximum long-term total return consistent with reasonable risk.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities, except those traded on The Nasdaq Stock Market 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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, 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. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. 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. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Series may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
To Be Announced Trades (TBA) — The Series 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 Series’ ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Series to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Series on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery. At June 30, 2015, the Series posted $852,000 as cash collateral for TBA transactions.
Diversified Income Series-31
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
1. Significant Accounting Policies (continued)
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses) is included on the “Statement of operations” under “Net realized gain (loss) on foreign currencies.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates — The Series is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are 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. Withholding taxes and reclaims on foreign interest have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series may pay foreign capital gain taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended June 30, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $55,330 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $87,949 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 Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fee from Jan.1, 2015 through June 30, 2015* in order to limit distribution and service fee of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
Diversified Income Series-32
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
As provided in the investment management agreement, the Series bears a portion of the cost of 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 Series. For the six months ended June 30, 2015, the Series was charged $32,440 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.”
Trustees’ fees include expenses accrued by the Series 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 Series.
*The contractual waiver period is from April 30, 2014 through April 29, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than U.S. government securities | $ | 2,642,673,420 | ||
Purchases of U.S. government securities | 393,000,660 | |||
Sales other than U.S. government securities | 2,434,214,163 | |||
Sales of U.S. government securities | 480,783,825 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||
$2,557,031,243 | $38,004,343 | $(45,678,903) | $(7,674,560) |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
Diversified Income Series-33
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
3. Investments (continued)
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Agency, Asset- & Mortgage-Backed Securities | $ | — | $ | 663,707,874 | $ | — | $ | 663,707,874 | ||||||||
Collateralized Debt Obligations | — | 21,758,347 | — | 21,758,347 | ||||||||||||
Corporate Debt | — | 1,207,084,656 | — | 1,207,084,656 | ||||||||||||
Foreign Debt | — | 81,387,727 | — | 81,387,727 | ||||||||||||
Municipal Bonds | — | 22,365,226 | — | 22,365,226 | ||||||||||||
Senior Secured Loans1 | — | 264,056,916 | 4,319,225 | 268,376,141 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Convertible Preferred Stock1 | 8,707,484 | 1,618,389 | — | 10,325,873 | ||||||||||||
Preferred Stock1 | 4,144,644 | 4,800,850 | — | 8,945,494 | ||||||||||||
Option Purchased | — | 323,797 | — | 323,797 | ||||||||||||
U.S. Treasury Obligations | — | 45,932,317 | — | 45,932,317 | ||||||||||||
Short-Term Investments | — | 219,149,231 | — | 219,149,231 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,852,128 | $ | 2,532,185,330 | $ | 4,319,225 | $ | 2,549,356,683 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (98,481 | ) | $ | — | $ | (98,481 | ) | ||||||
Futures Contracts | (25,325 | ) | — | — | (25,325 | ) | ||||||||||
Swap Contracts | — | 300,016 | — | 300,016 |
The securities that have been deemed worthless on the “Schedule of investments” are considered to be Level 3 investments in this table.
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total market value of these security types:
Level 1 | Level 2 | Level 3 | Total | |||||
Senior Secured Loans | — | 98.39% | 1.61% | 100.00% | ||||
Convertible Preferred Stock | 84.33% | 15.67% | — | 100.00% | ||||
Preferred Stock | 46.33% | 53.67% | — | 100.00% |
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
Diversified Income Series-34
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||||
Shares sold: | ||||||||||||
Standard Class | 1,501,912 | 3,305,111 | ||||||||||
Service Class | 11,105,101 | 23,958,929 | ||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||
Standard Class | 1,398,396 | 725,710 | ||||||||||
Service Class | 6,929,952 | 3,175,011 | ||||||||||
|
|
|
| |||||||||
20,935,361 | 31,164,761 | |||||||||||
|
|
|
| |||||||||
Shares redeemed: | ||||||||||||
Standard Class | (2,177,171 | ) | (6,871,531 | ) | ||||||||
Service Class | (2,225,143 | ) | (4,999,730 | ) | ||||||||
|
|
|
| |||||||||
(4,402,314 | ) | (11,871,261 | ) | |||||||||
|
|
|
| |||||||||
Net increase | 16,533,047 | 19,293,500 | ||||||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amount outstanding as of June 30, 2015 or at any time during the period then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, The Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
During the six months ended June 30, 2015, the Series used foreign currency exchange contracts to hedge the U.S. dollar value of securities it already owned that were denominated in foreign currencies.
Futures Contracts
A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Series may use futures in the normal course of pursuing its investment objective. The Series may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value
Diversified Income Series-35
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
6. Derivatives (continued)
caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Series because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.
During the six months ended June 30, 2015, the Series used futures contracts to hedge the Series’ existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts
During the six months ended June 30, 2015, the Series entered into options contracts in the normal course of pursuing its investment objective. The Series may buy or write options contracts for any number of reasons, including without limitation: to manage the Series’ exposure to changes in securities prices and foreign currencies; as an efficient means of adjusting the Series’ overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Series may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Series buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Series writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Series on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Series has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Series. The Series, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Series is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. There were no transactions in options written during the six months ended June 30, 2015.
During the six months ended June 30, 2015, the Series used purchased options contracts to seek to manage the Series’ exposure to changes in securities prices caused by interest rates or market conditions.
Swap Contracts
The Series may enter into CDS contracts in the normal course of pursuing its investment objective. The Series may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Series 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 Series in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended June 30, 2015, the Series entered into CDS contracts as a purchaser of protection to hedge against credit events. 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. Initial margin and variation margin are posted to central counterparties for CDS basket trades, as determined by the applicable central counterparty. During the six months ended June 30, 2015, the Series did not enter into any CDS contracts as seller of protection.
CDS contracts may involve greater risks than if the Series had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk and credit risk. The Series’ maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty or (2) for cleared swaps, trading these instruments through a central counterparty.
Diversified Income Series-36
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
6. Derivatives (continued)
During the six months ended June 30, 2015, the Series 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 Series 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 shown on the “Schedule of investments.”
At June 30, 2015, for centrally cleared swap contracts, the Series posted $1,933,320 in cash collateral for certain open derivatives, which is presented as “Cash collateral due from brokers” on the “Statement of assets and liabilities.” The Series also posted $190,000 in cash collateral for certain open derivatives, which is presented as “Cash collateral due from brokers” on the “Statement of assets and liabilities.” At June 30, 2015, the Series received $1,120,000 in cash collateral for certain open derivatives, which is presented as “Cash collateral due to brokers” on the “Statement of assets and liabilities.”
Fair values of derivative instruments as of June 30, 2015 were as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets | Fair Value | Statement of Assets | Fair Value | |||||||||
Forward currency exchange contracts (Foreign currency exchange contracts) | Unrealized gain on foreign currency exchange contracts | $282,537 | Unrealized loss on foreign currency exchange contracts | $(381,018) | ||||||||
Interest rate contracts (Futures contracts) | Variation margin due from broker on futures contracts | 40,522* | Variation margin due from broker on futures contracts | (65,847)* | ||||||||
Credit contracts (Swap contracts) | Unrealized gain on credit default swap contracts | 323,763 | Unrealized loss on credit default swap contracts | (23,747) | ||||||||
Total | $646,822 | $(470,612) |
* | Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through June 30, 2015. Only current day variation margin is reported on the Series’ “Statement of assets and liabilities.” |
The effect of derivative instruments on the “Statement of operations” for the six months ended June 30, 2015 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swap Contracts | Total | |||||||||||||||||
Forward currency exchange contracts | $ | 1,749,975 | $ | — | $ | — | $ | 1,749,975 | ||||||||||||
Interest rate contracts | — | 3,687,554 | — | 3,687,554 | ||||||||||||||||
Credit contracts | — | — | (40,017 | ) | (40,017 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,749,975 | $ | 3,687,554 | $ | (40,017 | ) | $ | 5,397,512 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swaps Contracts | Total | |||||||||||||||||
Forward currency exchange contracts | $ | (689,264 | ) | $ | — | $ | — | $ | (689,264 | ) | ||||||||||
Interest rate contracts | — | (414,772 | ) | — | (414,772 | ) | ||||||||||||||
Credit contracts | — | — | 282,011 | 282,011 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (689,264 | ) | $ | (414,772 | ) | $ | 282,011 | $ | (822,025 | ) | |||||||||
|
|
|
|
|
|
|
|
Diversified Income Series-37
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
6. Derivatives (continued)
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2015:
Long Derivatives Volume | Short Derivatives Volume | |||||||
Foreign currency exchange contracts (average cost) | USD | 31,947,443 | USD | 66,621,578 | ||||
Futures contracts (average notional value) | 121,892,879 | 98,954,554 | ||||||
Options contracts (average notional value) | 61,589 | — | ||||||
Swap contracts (average notional value)* | 2,276,129 | — | ||||||
EUR | 1,642,581 | — |
* 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) 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.
Diversified Income Series-38
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
7. Offsetting (continued)
For financial reporting purposes, the Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Bank of America Merrill Lynch | $ | 219,858 | $ | (40,348 | ) | $ | 179,510 | ||||||||
BNP Paribas | — | (115,153 | ) | (115,153 | ) | ||||||||||
Citigroup Global Markets | 114,143 | — | 114,143 | ||||||||||||
Deutsche Bank | 1,726 | — | 1,726 | ||||||||||||
Hong Kong Shanghai Bank | — | (80,000 | ) | (80,000 | ) | ||||||||||
JPMorgan Chase Bank | 216,890 | (37,295 | ) | 179,595 | |||||||||||
Toronto Dominion Bank | 53,683 | (131,969 | ) | (78,286 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 606,300 | $ | (404,765 | ) | $ | 201,535 | ||||||||
|
|
|
|
|
|
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount(a) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | 179,510 | $ | — | $ | — | $ | — | $ | — | $ | 179,510 | ||||||||||||||||||
BNP Paribas | (115,153 | ) | — | — | — | — | (115,153 | ) | ||||||||||||||||||||||
Citigroup Global Markets | 114,143 | — | — | — | (114,143 | ) | — | |||||||||||||||||||||||
Deutsche Bank | 1,726 | — | — | — | — | 1,726 | ||||||||||||||||||||||||
Hong Kong Shanghai Bank | (80,000 | ) | — | — | — | — | (80,000 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank | 179,595 | — | — | — | — | 179,595 | ||||||||||||||||||||||||
Toronto Dominion Bank | (78,286 | ) | — | — | — | — | (78,286 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 201,535 | $ | — | $ | — | $ | — | $ | (114,143 | ) | $ | 87,392 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||||||
Bank of America Merrill Lynch | $ | 24,580,177 | $ | (24,580,177 | ) | $ | — | $ | — | |||||||||||
Bank of Montreal | 40,966,961 | (40,966,961 | ) | — | — | |||||||||||||||
BNP Paribas | 23,012,125 | (23,012,125 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 88,559,263 | $ | (88,559,263 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(a)Net amount represents the net receivable/(payable) that would be due from/(to) the counterparty in an event of default.
8. Securities Lending
The Series, along with other funds in the Delaware Investment® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral
Diversified Income Series-39
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
8. Securities Lending (continued)
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 is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among The Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent, and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
9. Credit and Market Risk
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Series 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 Series 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 Series may involve revolving credit facilities or other standby financing commitments that obligate the Series to pay additional cash on a certain date or on demand. These commitments may require the Series to increase its investment in a company at a time when the Series 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 Series 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.
As the Series may be required to rely upon another lending institution to collect and pass on to the Series amounts payable with respect to the loan and to enforce the Series’ rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Series 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 Series.
The Series invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages or consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in
Diversified Income Series-40
Table of Contents
Delaware VIP® Diversified Income Series
Notes to financial statements
9. Credit and Market Risk (continued)
prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse affect on the Series’ yield to maturity. If the underlying mortgage assets experience greater-than-anticipated prepayments of principal, the Series may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Series invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by S&P and lower than 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.
The Series invests in certain obligations that may have liquidity protection to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or 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 Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A, of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 15% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the “Schedule of investments.”
10. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statement disclosures.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
Diversified Income Series-41
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 95.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series | ||||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
Diversified Income Series-42
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series | ||||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series | ||||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series | ||||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series | ||||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
Diversified Income Series-43
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series | ||||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series | ||||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series | ||||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series | ||||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
Diversified Income Series-44
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series | ||||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series | ||||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series | ||||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
Diversified Income Series-45
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series | ||||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series | ||||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series | ||||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series | ||||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
Diversified Income Series-46
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series | ||||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series | ||||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series | ||||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series | ||||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
Diversified Income Series-47
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
4.(a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4.(b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4.(c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
Diversified Income Series-48
Table of Contents
Delaware VIP® Trust — Delaware VIP Diversified Income Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPDIVINC 20544 [8/15] (14966) | Diversified Income Series-49 |
Table of Contents
Delaware VIP® Trust
|
Delaware VIP Emerging Markets Series
|
Semiannual report
|
June 30, 2015
|
Table of Contents
Investments in Delaware VIP® Emerging Markets Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP Emerging Markets Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Disclosure of Series expenses
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||
| ||||||||
Actual Series return† | ||||||||
Standard Class | $1,000.00 | $1,012.10 | 1.40% | $6.98 | ||||
Service Class | 1,000.00 | 1,011.00 | 1.65% | 8.23 | ||||
| ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||
Standard Class | $1,000.00 | $1,017.85 | 1.40% | $7.00 | ||||
Service Class | 1,000.00 | 1,016.61 | 1.65% | 8.25 | ||||
|
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Emerging Markets Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Security type / country and sector allocations
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / country | Percentage of net assets | |
| ||
Common Stock by Country | 94.03% | |
| ||
Argentina | 3.70% | |
Bahrain | 0.11% | |
Brazil | 10.65% | |
Chile | 0.62% | |
China | 23.42% | |
France | 1.80% | |
India | 5.21% | |
Indonesia | 0.26% | |
Israel | 1.90% | |
Malaysia | 1.22% | |
Mexico | 7.37% | |
Peru | 0.24% | |
Poland | 0.95% | |
Republic of Korea | 16.06% | |
Russia | 5.09% | |
South Africa | 3.37% | |
Taiwan | 8.48% | |
Thailand | 0.97% | |
Turkey | 0.91% | |
United Kingdom | 0.30% | |
United States | 1.40% | |
| ||
Exchange-Traded Fund | 1.07% | |
| ||
Preferred Stock by Country | 5.38% | |
Brazil | 1.39% | |
Republic of Korea | 2.27% | |
Russia | 1.72% | |
| ||
Participation Notes | 0.00% | |
| ||
Total Value of Securities | 100.48% | |
| ||
Liabilities Net of Receivables and Other Assets | (0.48%) | |
| ||
Total Net Assets | 100.00% | |
|
Common stock, preferred stock and participation notes by sector² | Percentage of net assets | |
| ||
Consumer Discretionary | 6.66% | |
Consumer Staples | 9.57% | |
Energy | 16.52% | |
Financials | 13.82% | |
Healthcare | 3.70% | |
Industrials | 3.63% | |
Information Technology* | 26.32% | |
Materials | 5.69% | |
Telecommunication Services | 12.71% | |
Utilities | 0.79% | |
| ||
Total | 99.41% | |
|
²Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting.
* To monitor compliance with the Series’ concentration guidelines as described in the Series’ Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is divided into various sub-categories or “industries,” in this case, electronics, internet, semiconductors, and software. As of June 30, 2015, such amounts, as a percentage of total net assets, were 1.50%, 13.82%, 9.61%, and 1.39%, respectively. The percentage in any such single industry will comply with the Series’ concentration policy even if the percentage in the “Information Technology sector” for financial reporting purposes may exceed 25%.
Emerging Markets Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Schedule of investments
June 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
Common Stock – 94.03% D | ||||||||
Argentina – 3.70% | ||||||||
Arcos Dorados Holdings Class A | 449,841 | $ | 2,366,164 | |||||
Cresud ADR @† | 326,450 | 4,250,379 | ||||||
Grupo Clarin Class B GDR 144A #@= | 209,100 | 3,727,950 | ||||||
IRSA Inversiones y Representaciones ADR @ | 363,112 | 6,517,860 | ||||||
Pampa Energia ADR † | 44,500 | 614,545 | ||||||
YPF ADR | 106,800 | 2,929,524 | ||||||
|
| |||||||
20,406,422 | ||||||||
|
| |||||||
Bahrain – 0.11% | ||||||||
Aluminum Bahrain GDR 144A #@ | 91,200 | 604,692 | ||||||
|
| |||||||
604,692 | ||||||||
|
| |||||||
Brazil – 10.65% | ||||||||
AES Tiete | 319,936 | 1,701,525 | ||||||
B2W Cia Digital † | 826,120 | 5,397,671 | ||||||
Banco Santander Brasil ADR | 476,000 | 2,589,440 | ||||||
Braskem ADR | 78,499 | 679,801 | ||||||
BRF ADR | 341,500 | 7,140,765 | ||||||
Centrais Eletricas Brasileiras † | 711,800 | 1,350,360 | ||||||
Cia Brasileira de Distribuicao ADR | 71,690 | 1,696,902 | ||||||
Cia Hering | 392,000 | 1,520,103 | ||||||
Cia Siderurgica Nacional ADR | 380,000 | 627,000 | ||||||
Cyrela Brazil Realty Empreendimentos e Participacoes | 266,900 | 853,050 | ||||||
Fibria Celulose ADR | 450,000 | 6,124,500 | ||||||
Gerdau | 389,400 | 760,019 | ||||||
Gerdau ADR | 444,900 | 1,072,209 | ||||||
Hypermarcas † | 553,000 | 4,031,032 | ||||||
Itau Unibanco Holding ADR | 605,000 | 6,624,750 | ||||||
JBS | 393,784 | 2,072,747 | ||||||
Petroleo Brasileiro ADR † | 488,906 | 4,424,599 | ||||||
Rumo Logistica Operadora Multimodal † | 1,665,489 | 685,475 | ||||||
Telefonica Brasil ADR | 79,963 | 1,113,885 | ||||||
Tim Participacoes ADR | 500,000 | 8,180,000 | ||||||
|
| |||||||
58,645,833 | ||||||||
|
| |||||||
Chile – 0.62% | ||||||||
Sociedad Quimica y Minera de Chile ADR | 212,100 | 3,397,842 | ||||||
|
| |||||||
3,397,842 | ||||||||
|
| |||||||
China – 23.42% | ||||||||
Alibaba Group Holding ADR † | 50,000 | 4,113,500 | ||||||
Baidu ADR † | 120,000 | 23,889,600 | ||||||
Bank of China | 13,346,000 | 8,677,638 | ||||||
China Construction Bank | 7,118,000 | 6,501,463 | ||||||
China Mengniu Dairy | 724,000 | 3,610,006 | ||||||
China Mobile ADR | 200,000 | 12,818,000 | ||||||
China Petroleum & Chemical | 2,260,000 | 1,950,538 | ||||||
China Petroleum & Chemical ADR | 42,234 | 3,619,876 | ||||||
China Unicom Hong Kong ADR | 236,692 | 3,716,064 | ||||||
First Pacific | 3,185,195 | 2,687,408 | ||||||
Fosun International | 131,708 | 309,925 | ||||||
Hollysys Automation Technologies | 129,100 | 3,102,273 |
Number of shares | Value (U.S. $) | |||||||
Common Stock D (continued) | ||||||||
China (continued) | ||||||||
Kunlun Energy | 4,622,900 | $ | 4,705,560 | |||||
PetroChina ADR | 40,000 | 4,432,400 | ||||||
PetroChina Class H | 3,000,000 | 3,347,782 | ||||||
Qihoo 360 Technology ADR † | 100,000 | 6,769,000 | ||||||
Qunar Cayman Islands ADR † | 42,500 | 1,821,125 | ||||||
Shanda Games ADR † | 323,890 | 2,228,363 | ||||||
SINA † | 200,000 | 10,713,000 | ||||||
Sohu.com † | 200,000 | 11,818,000 | ||||||
Tianjin Development Holdings | 35,950 | 35,201 | ||||||
Tingyi Cayman Islands Holding | 1,300,000 | 2,656,552 | ||||||
TravelSky Technology | 3,700,441 | 5,451,794 | ||||||
|
| |||||||
128,975,068 | ||||||||
|
| |||||||
France – 1.80% | ||||||||
Sanofi ADR | 200,000 | 9,906,000 | ||||||
|
| |||||||
9,906,000 | ||||||||
|
| |||||||
India – 5.21% | ||||||||
Cairn India | 473,000 | 1,351,095 | ||||||
Indiabulls Real Estate GDR † | 44,628 | 38,380 | ||||||
Rattanindia Infrastructure GDR =† | 131,652 | 4,246 | ||||||
Reliance Communications † | 1,194,362 | 1,166,960 | ||||||
Reliance Industries | 800,000 | 12,588,148 | ||||||
Reliance Industries GDR 144A # | 430,000 | 13,394,500 | ||||||
Sify Technologies ADR | 91,200 | 136,800 | ||||||
|
| |||||||
28,680,129 | ||||||||
|
| |||||||
Indonesia – 0.26% | ||||||||
Tambang Batubara Bukit Asam Persero | 2,241,097 | 1,411,979 | ||||||
|
| |||||||
1,411,979 | ||||||||
|
| |||||||
Israel – 1.90% | ||||||||
Teva Pharmaceutical Industries ADR | 176,900 | 10,454,790 | ||||||
|
| |||||||
10,454,790 | ||||||||
|
| |||||||
Malaysia – 1.22% | ||||||||
Hong Leong Bank | 1,549,790 | 5,500,513 | ||||||
UEM Sunrise | 4,748,132 | 1,226,176 | ||||||
|
| |||||||
6,726,689 | ||||||||
|
| |||||||
Mexico – 7.37% | ||||||||
America Movil Class L ADR | 210,742 | 4,490,912 | ||||||
Cemex ADR † | 468,000 | 4,286,880 | ||||||
Empresas ICA † | 1,105,736 | 857,612 | ||||||
Fomento Economico Mexicano ADR | 98,307 | 8,758,171 | ||||||
Grupo Financiero Banorte Class O | 754,700 | 4,149,774 | ||||||
Grupo Lala | 606,200 | 1,267,802 | ||||||
Grupo Televisa ADR | 432,500 | 16,789,650 | ||||||
|
| |||||||
40,600,801 | ||||||||
|
| |||||||
Peru – 0.24% | ||||||||
Cia de Minas Buenaventura ADR | 125,440 | 1,302,067 | ||||||
|
| |||||||
1,302,067 | ||||||||
|
| |||||||
Poland – 0.95% | ||||||||
Jastrzebska Spolka Weglowa † | 26,987 | 85,172 |
Emerging Markets Series-3
Table of Contents
Delaware VIP® Emerging Markets Series
Schedule of investments (continued)
Number of shares | Value (U.S. $) | |||||||
Common Stock D (continued) | ||||||||
Poland (continued) | ||||||||
Polski Koncern Naftowy Orlen | 261,369 | $ | 5,130,714 | |||||
|
| |||||||
5,215,886 | ||||||||
|
| |||||||
Republic of Korea – 16.06% | ||||||||
CJ | 45,695 | 12,080,958 | ||||||
Hite Jinro | 150,000 | 3,034,593 | ||||||
KB Financial Group ADR | 165,996 | 5,456,288 | ||||||
KCC | 3,272 | 1,434,947 | ||||||
KT † | 99,830 | 2,536,789 | ||||||
LG Display ADR | 188,309 | 2,182,501 | ||||||
LG Electronics | 62,908 | 2,652,094 | ||||||
LG Uplus | 500,000 | 4,403,398 | ||||||
Lotte Chilsung Beverage | 8 | 18,993 | ||||||
Lotte Confectionery | 2,904 | 5,042,360 | ||||||
Samsung Electronics | 14,009 | 15,865,997 | ||||||
Samsung Life Insurance | 71,180 | 6,834,511 | ||||||
Samsung SDI | 17,625 | 1,747,403 | ||||||
SK Communications † | 95,525 | 589,571 | ||||||
SK Hynix | 120,000 | 4,533,803 | ||||||
SK Telecom | 16,491 | 3,682,375 | ||||||
SK Telecom ADR | 660,000 | 16,361,400 | ||||||
|
| |||||||
88,457,981 | ||||||||
|
| |||||||
Russia – 5.09% | ||||||||
Chelyabinsk Zinc Plant GDR @† | 69,200 | 604,870 | ||||||
Enel OGK-5 GDR | 15,101 | 11,723 | ||||||
Etalon Group GDR 144A #= | 354,800 | 656,380 | ||||||
Gazprom ADR | 783,900 | 4,037,085 | ||||||
Lukoil ADR (London International Exchange) | 133,500 | 5,874,667 | ||||||
MegaFon GDR | 234,178 | 3,255,074 | ||||||
Mobile TeleSystems ADR | 154,402 | 1,510,052 | ||||||
Sberbank of Russia @= | 3,308,402 | 4,338,564 | ||||||
Surgutneftegas ADR | 294,652 | 1,736,974 | ||||||
Volga Territorial Generating † | 25,634 | 344 | ||||||
VTB Bank GDR | 861,186 | 2,351,038 | ||||||
VTB Bank OJSC | 411,634,850 | 589,425 | ||||||
Yandex Class A † | 200,000 | 3,044,000 | ||||||
|
| |||||||
28,010,196 | ||||||||
|
| |||||||
South Africa – 3.37% | ||||||||
ArcelorMittal South Africa † | 374,610 | 374,200 | ||||||
Impala Platinum Holdings † | 135,751 | 606,026 | ||||||
Sasol | 76,270 | 2,821,726 | ||||||
Sasol ADR | 65,127 | 2,413,607 | ||||||
Standard Bank Group | 287,970 | 3,792,076 | ||||||
Sun International | 168,124 | 1,527,357 | ||||||
Tongaat-Hulett | 182,915 | 1,955,276 | ||||||
Vodacom Group | 444,868 | 5,072,899 | ||||||
|
| |||||||
18,563,167 | ||||||||
|
| |||||||
Taiwan – 8.48% | ||||||||
Formosa Chemicals & Fibre | 2,128,998 | 5,112,517 | ||||||
Hon Hai Precision Industry | 957,322 | 3,005,283 | ||||||
MediaTek | 599,678 | 8,190,042 |
Number of shares | Value (U.S. $) | |||||||
Common Stock D (continued) | ||||||||
Taiwan (continued) | ||||||||
Mitac Holdings | 6,600,000 | $ | 7,080,812 | |||||
President Chain Store | 890,000 | 6,250,364 | ||||||
Taiwan Semiconductor Manufacturing | 2,375,864 | 10,803,226 | ||||||
United Microelectronics | 6,688,461 | 2,824,830 | ||||||
United Microelectronics ADR | 889,700 | 1,823,885 | ||||||
Walsin Lihwa † | 6,477,100 | 1,611,991 | ||||||
|
| |||||||
46,702,950 | ||||||||
|
| |||||||
Thailand – 0.97% | ||||||||
Bangkok Bank-Foreign | 638,091 | 3,369,800 | ||||||
PTT Exploration & Production-Foreign | 617,051 | 1,989,898 | ||||||
|
| |||||||
5,359,698 | ||||||||
|
| |||||||
Turkey – 0.91% | ||||||||
Turkcell Iletisim Hizmetleri | 368,462 | 1,697,855 | ||||||
Turkiye Sise ve Cam Fabrikalari | 2,450,732 | 3,300,988 | ||||||
|
| |||||||
4,998,843 | ||||||||
|
| |||||||
United Kingdom – 0.30% | ||||||||
Anglo American ADR | 92,815 | 671,981 | ||||||
Griffin Mining † | 1,642,873 | 1,001,990 | ||||||
|
| |||||||
1,673,971 | ||||||||
|
| |||||||
United States – 1.40% | ||||||||
Avon Products | 241,200 | 1,509,912 | ||||||
Yahoo † | 157,300 | 6,180,317 | ||||||
|
| |||||||
7,690,229 | ||||||||
|
| |||||||
Total Common Stock | 517,785,233 | |||||||
|
| |||||||
Exchange-Traded Fund – 1.07% | ||||||||
iShares MSCI Turkey | 130,000 | 5,868,200 | ||||||
|
| |||||||
Total Exchange-Traded Fund |
| 5,868,200 | ||||||
|
| |||||||
Preferred Stock – 5.38% D | ||||||||
Brazil – 1.39% | ||||||||
Braskem Class A 4.74% | 288,768 | 1,254,423 | ||||||
Centrais Eletricas Brasileiras Class B 1.23% | 233,700 | 636,476 | ||||||
Petroleo Brasileiro Class A ADR † | 403,795 | 3,294,967 | ||||||
Vale Class A 10.56% | 489,400 | 2,464,310 | ||||||
|
| |||||||
7,650,176 | ||||||||
|
| |||||||
Republic of Korea – 2.27% | ||||||||
CJ 0.76% | 28,030 | 3,630,213 | ||||||
Samsung Electronics 2.10% | 9,995 | 8,864,884 | ||||||
|
| |||||||
12,495,097 | ||||||||
|
| |||||||
Russia – 1.72% | ||||||||
AK Transneft =† | 3,887 | 9,497,156 | ||||||
|
| |||||||
9,497,156 | ||||||||
|
| |||||||
Total Preferred Stock | 29,642,429 | |||||||
|
|
Emerging Markets Series-4
Table of Contents
Delaware VIP® Emerging Markets Series
Schedule of investments (continued)
Number of shares | Value (U.S. $) | Value (U.S. $) | ||||||||
Participation Notes - 0.00% | ||||||||||
Lehman Indian Oil | ||||||||||
CW 12 LEPO 144A #=† | 100,339 | $ 0 | ||||||||
Lehman Oil & Natural Gas | ||||||||||
CW 12 LEPO =† | 146,971 | 0 | ||||||||
| ||||||||||
Total Participation Notes | 0 | |||||||||
| ||||||||||
Total Value of Securities - 100.48% | $553,295,862 | |||||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2015, the aggregate value of Rule 144A securities was $18,383,522, which represents 3.34% of the Series’ net assets. See Note 9 in “Notes to financial statements.” | |
@ | Illiquid security. At June 30, 2015, the aggregate value of illiquid securities was $20,044,315, which represents 3.64% of the Series’ net assets. See Note 9 in “Notes to financial statements.” | |
= | Security is being fair valued in accordance with the Series’ fair valuation policy. At June 30, 2015, the aggregate value of fair valued securities was $18,224,296, which represents 3.31% of the Series’ net assets. See Note 1 in “Notes to financial statements.” | |
† | Non-income-producing security. | |
D | Securities have been classified by country of origin. Aggregate classification by business sectors has been presented on page 2 in “Security type / country and sector allocations.” |
The following foreign currency exchange contracts were outstanding at June 30, 2015:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BNYM | BRL | (110,761) | USD | 35,675 | 7/1/15 | $ 74 | ||||||||||||||||
BNYM | HKD | (13,513,937) | USD | 1,742,188 | 7/2/15 | (1,227) | ||||||||||||||||
$(1,153) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amount disclosed in the financial statements. The foreign currency exchange contracts presented above represents the Series’ total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Series’ net assets.
1See Note 6 in “Notes to financial statements.”
Summary of Abbreviations:
ADR - American Depositary Receipt
BNYM - BNY Mellon
BRL - Brazilian Real
GDR - Global Depositary Receipt
HKD - Hong Kong Dollar
LEPO - Low Exercise Price Option
USD - U.S. Dollar
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-5
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series | ||||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 553,295,862 | ||
Foreign currencies, at value2 | 58,288 | |||
Dividends and interest receivable | 1,895,885 | |||
Receivable for securities sold | 1,743,419 | |||
Receivable for series shares sold | 24,783 | |||
Unrealized gain on foreign currency exchange contracts | 74 | |||
|
| |||
Total assets | 557,018,311 | |||
|
| |||
Liabilities: | ||||
Cash overdraft | 4,384,429 | |||
Payable for series shares redeemed | 636,079 | |||
Investment management fees payable | 572,400 | |||
Capital gain tax payable | 451,899 | |||
Other accrued expenses | 239,181 | |||
Distribution fees payable | 75,255 | |||
Other affiliates payable | 9,247 | |||
Trustees’ fees and expenses payable | 1,676 | |||
Unrealized loss on foreign currency exchange contracts | 1,227 | |||
|
| |||
Total liabilities | 6,371,393 | |||
|
| |||
Total Net Assets | $ | 550,646,918 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 569,252,335 | ||
Distributions in excess of net investment income | (53,458 | ) | ||
Accumulated net realized gain on investments | 4,610,677 | |||
Net unrealized depreciation of investments and derivatives | (23,162,636 | ) | ||
|
| |||
Total Net Assets | $ | 550,646,918 | ||
|
| |||
Standard Class: | ||||
Net assets | $ | 192,168,072 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 9,973,989 | |||
Net asset value per share | $ | 19.27 | ||
Service Class: | ||||
Net assets | $ | 358,478,846 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 18,643,854 | |||
Net asset value per share | $ | 19.23 | ||
1Investments, at cost | $ | 575,998,757 | ||
2Foreign currencies, at cost | 64,225 |
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-6
Table of Contents
Delaware VIP Emerging Markets Series
Statement of operations
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $ | 6,729,811 | ||
Interest | 1,725 | |||
Foreign tax withheld | (812,223 | ) | ||
|
| |||
5,919,313 | ||||
|
| |||
Expenses: | ||||
Management fees | 3,422,144 | |||
Distribution expenses - Service Class | 549,681 | |||
Custodian fees | 124,045 | |||
Reports and statements to shareholders | 111,214 | |||
Accounting and administration expenses | 86,977 | |||
Legal fees | 25,756 | |||
Dividend disbursing and transfer agent fees and expenses | 23,219 | |||
Audit and tax | 17,563 | |||
Trustees’ fees and expenses | 13,725 | |||
Registration fees | 1,303 | |||
Other | 11,369 | |||
|
| |||
4,386,996 | ||||
Less waived distribution expenses - Service Class | (91,614 | ) | ||
|
| |||
Total operating expenses | 4,295,382 | |||
|
| |||
Net Investment Income | 1,623,931 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 5,468,658 | |||
Foreign currencies | (11,689 | ) | ||
Foreign currency exchange contracts | 21,559 | |||
|
| |||
Net realized gain | 5,478,528 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | (143,984 | ) | ||
Deferred capital gain tax | (235,479 | ) | ||
Foreign currencies | 48,665 | |||
Foreign currency exchange contracts | (1,153 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | (331,951 | ) | ||
|
| |||
Net Realized and Unrealized Gain | 5,146,577 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 6,770,508 | ||
|
|
Delaware VIP Emerging Markets Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,623,931 | $ | 2,596,659 | ||||
Net realized gain | 5,478,528 | 10,634,212 | ||||||
Net change in unrealized appreciation (depreciation) | (331,951 | ) | (58,142,637 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 6,770,508 | (44,911,766 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (1,532,363 | ) | (1,159,471 | ) | ||||
Service Class | (2,026,629 | ) | (1,618,866 | ) | ||||
Net realized gain: | ||||||||
Standard Class | (3,597,723 | ) | (678,506 | ) | ||||
Service Class | (7,093,200 | ) | (1,522,505 | ) | ||||
|
|
|
| |||||
(14,249,915 | ) | (4,979,348 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 24,460,176 | 36,995,920 | ||||||
Service Class | 14,890,337 | 40,873,772 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 5,130,086 | 1,837,977 | ||||||
Service Class | 9,119,829 | 3,141,371 | ||||||
|
|
|
| |||||
53,600,428 | 82,849,040 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (6,786,627 | ) | (25,758,626 | ) | ||||
Service Class | (23,356,623 | ) | (54,234,727 | ) | ||||
|
|
|
| |||||
(30,143,250 | ) | (79,993,353 | ) | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions | 23,457,178 | 2,855,687 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 15,977,771 | (47,035,427 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 534,669,147 | 581,704,574 | ||||||
|
|
|
| |||||
End of period | $ | 550,646,918 | $ | 534,669,147 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | (53,458 | ) | $ | 1,881,603 | |||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-7
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Financial highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Emerging Markets Series Standard Class | ||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/141 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.540 | $ | 21.470 | $ | 19.840 | $ | 17.510 | $ | 22.190 | $ | 18.870 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.074 | 0.133 | 0.138 | 0.205 | 0.228 | 0.352 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.195 | (1.849 | ) | 1.839 | 2.316 | (4.526 | ) | 3.115 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.269 | (1.716 | ) | 1.977 | 2.521 | (4.298 | ) | 3.467 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.161 | ) | (0.135 | ) | (0.347 | ) | (0.191 | ) | (0.382 | ) | (0.147 | ) | ||||||||||||||||||||||||||
Net realized gain | (0.378 | ) | (0.079 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (0.539 | ) | (0.214 | ) | (0.347 | ) | (0.191 | ) | (0.382 | ) | (0.147 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 19.270 | $ | 19.540 | $ | 21.470 | $ | 19.840 | $ | 17.510 | $ | 22.190 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 1.21% | (8.06% | ) | 10.14% | 14.44% | (19.78% | ) | 18.49% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 192,168 | $ | 172,200 | $ | 175,134 | $ | 140,966 | $ | 160,142 | $ | 266,238 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.40% | 1.38% | 1.41% | 1.40% | 1.39% | 1.40% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.76% | 0.62% | 0.68% | 1.11% | 1.11% | 1.84% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 3% | 5% | 16% | 22% | 16% | 21% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-8
Table of Contents
Delaware VIP® Emerging Markets Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Emerging Markets Series Service Class | ||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/141 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.480 | $ | 21.400 | $ | 19.780 | $ | 17.450 | $ | 22.130 | $ | 18.830 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.049 | 0.079 | 0.087 | 0.158 | 0.174 | 0.304 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.187 | (1.836 | ) | 1.834 | 2.312 | (4.520 | ) | 3.108 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.236 | (1.757 | ) | 1.921 | 2.470 | (4.346 | ) | 3.412 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.108 | ) | (0.084 | ) | (0.301 | ) | (0.140 | ) | (0.334 | ) | (0.112 | ) | ||||||||||||||||||||||||||
Net realized gain | (0.378 | ) | (0.079 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (0.486 | ) | (0.163 | ) | (0.301 | ) | (0.140 | ) | (0.334 | ) | (0.112 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 19.230 | $ | 19.480 | $ | 21.400 | $ | 19.780 | $ | 17.450 | $ | 22.130 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 1.10% | (8.26% | ) | 9.86% | 14.19% | (20.00% | ) | 18.21% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 358,479 | $ | 362,469 | $ | 406,571 | $ | 389,349 | $ | 345,392 | $ | 360,118 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.65% | 1.63% | 1.66% | 1.65% | 1.64% | 1.65% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.70% | 1.68% | 1.71% | 1.70% | 1.69% | 1.70% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.51% | 0.37% | 0.43% | 0.86% | 0.86% | 1.59% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.46% | 0.32% | 0.38% | 0.81% | 0.81% | 1.54% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 3% | 5% | 16% | 22% | 16% | 21% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Emerging Markets Series-9
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Notes to financial statements
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Emerging Markets Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities and exchange-traded funds (ETFs), 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. Securities and ETFs 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 or ETF 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Series may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. At June 30, 2015, the Series had no open repurchase agreements.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. The changes are included on the “Statement of operations” under “Net realized and unrealized gain (loss) on investments.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates—The Series is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Emerging Markets Series-10
Table of Contents
Delaware VIP® Emerging Markets Series
Notes to financial statements
1. Significant Accounting Policies (continued)
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Taxable non-cash dividends are recorded as dividend income. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes.
The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended June 30, 2015.
The Series may receive 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
During the six months ended June 30, 2015, the Series frequently maintained a negative cash balance with its custodian, which is considered a form of borrowing or leverage. If the Series maintains a negative cash balance and the Series’ investments decrease in value, the Series’ losses will be greater than if the Series did not maintain a negative cash balance. The Series is required to pay interest to the custodian on negative cash balances. During the six months ended June 30, 2015, the Series had an average outstanding overdraft balance equal to 0.24% of its average net assets.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 1.25% on the first $500 million of average daily net assets of the Series, 1.20% on the next $500 million, 1.15% on the next $1.5 billion, and 1.10% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2015, the Series was charged $12,968 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $20,614 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 through June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. These amounts are included on the “Statement of operations” under “Legal fees.” For the six months ended June 30, 2015, the Series was charged $9,568 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees.
Emerging Markets Series-11
Table of Contents
Delaware VIP® Emerging Markets Series
Notes to financial statements
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Trustees’ fees include expenses accrued by the Series 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 Series.
*The contractual waiver period is from April 30, 2014 through April 29, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 45,474,053 | ||
Sales | 13,897,174 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
Cost of | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Depreciation | |||||||||
$575,998,757 | $ | 136,673,393 | $ | (159,376,288 | ) | $(22,702,895) |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
Emerging Markets Series-12
Table of Contents
Delaware VIP® Emerging Markets Series
Notes to financial statements
3. Investments (continued)
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Common Stock | ||||||||||||||||||||
Argentina | $ | 16,678,472 | $ | 3,727,950 | $— | $ | 20,406,422 | |||||||||||||
Bahrain | — | 604,692 | — | 604,692 | ||||||||||||||||
Brazil | 58,645,833 | — | — | 58,645,833 | ||||||||||||||||
Chile | 3,397,842 | — | — | 3,397,842 | ||||||||||||||||
China | 128,975,068 | — | — | 128,975,068 | ||||||||||||||||
France | 9,906,000 | — | — | 9,906,000 | ||||||||||||||||
India | 28,675,883 | 4,246 | — | 28,680,129 | ||||||||||||||||
Indonesia | 1,411,979 | — | — | 1,411,979 | ||||||||||||||||
Israel | 10,454,790 | — | — | 10,454,790 | ||||||||||||||||
Malaysia | 6,726,689 | — | — | 6,726,689 | ||||||||||||||||
Mexico | 40,600,801 | — | — | 40,600,801 | ||||||||||||||||
Peru | 1,302,067 | — | — | 1,302,067 | ||||||||||||||||
Poland | 5,215,886 | — | — | 5,215,886 | ||||||||||||||||
Republic of Korea | 88,457,981 | — | — | 88,457,981 | ||||||||||||||||
Russia | 22,398,659 | 5,611,537 | — | 28,010,196 | ||||||||||||||||
South Africa | 18,563,167 | — | — | 18,563,167 | ||||||||||||||||
Taiwan | 46,702,950 | — | — | 46,702,950 | ||||||||||||||||
Thailand | 5,359,698 | — | — | 5,359,698 | ||||||||||||||||
Turkey | 4,998,843 | — | — | 4,998,843 | ||||||||||||||||
United Kingdom | 1,673,971 | — | — | 1,673,971 | ||||||||||||||||
United States | 7,690,229 | — | — | 7,690,229 | ||||||||||||||||
Exchange-Traded Fund | 5,868,200 | — | — | 5,868,200 | ||||||||||||||||
Preferred Stock1 | 20,145,273 | 9,497,156 | — | 29,642,429 | ||||||||||||||||
Participation Notes | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 533,850,281 | $ | 19,445,581 | $— | $ | 553,295,862 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (1,153 | ) | $— | $ | (1,153 | ) | |||||||||||
|
|
|
|
|
|
|
|
1Security type is valued across multiple levels. The amounts attributed to Level 1 investments and Level 2 investments represent 67.96% and 32.04%, respectively, of the total market value of this security type. Level 1 investments represent exchange traded investments and Level 2 investments represent investments with observable inputs.
The securities that have been deemed worthless in the “Schedule of investments” are considered to be Level 3 investments.
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. This does not include transfers between Level 1 investments and Level 2 investments due to the Series utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Series’ net asset value is determined) are established using a separate pricing feed from a third party vendor designed to establish a price for each such security as of the time that the Series’ net asset value is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
Emerging Markets Series-13
Table of Contents
Delaware VIP® Emerging Markets Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||
Shares sold: | ||||||||
Standard Class | 1,253,937 | 1,764,844 | ||||||
Service Class | 762,948 | 1,979,120 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 254,848 | 87,690 | ||||||
Service Class | 453,723 | 150,089 | ||||||
|
|
|
| |||||
2,725,456 | 3,981,743 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Standard Class | (345,290 | ) | (1,197,736 | ) | ||||
Service Class | (1,180,249 | ) | (2,516,287 | ) | ||||
|
|
|
| |||||
(1,525,539 | ) | (3,714,023 | ) | |||||
|
|
|
| |||||
Net increase | 1,199,917 | 267,720 | ||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the six months then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
During the six months ended June 30, 2015, the Series entered into foreign currency exchange contracts and foreign cross currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2015, the Series had foreign currency risk, which is disclosed as “Unrealized gain or loss on foreign currency exchange contracts” on the “Statement of assets and liabilities” and as “Net realized gain on foreign currency exchange contracts” on the “Statement of operations.”
Emerging Markets Series-14
Table of Contents
Delaware VIP® Emerging Markets Series
Notes to financial statements
6. Derivatives (continued)
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2015.
Long Derivatives Volume | Short Derivatives Volume | |||||||||
Foreign currency exchange contracts (Average cost) | $ | 122,215 | $ | 30,624 |
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 requires 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Series and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), 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 Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
BNY Mellon | $74 | $(1,227) | $(1,153) |
Counterparty | Net Position | Fair Value of Non Cash Collateral Received | Cash Collateral Received | Fair Value of Non Cash Collateral Pledged | Cash Collateral Pledged | Net Amount(a) | ||||||||||||||||||||||||
BNY Mellon | $(1,153) | $— | $— | $— | $— | $(1,153) |
(a) Net amount represents the receivable/(payable) that would be due from/(to) the counterparty in an event of default.
8. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon 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 is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted
Emerging Markets Series-15
Table of Contents
Delaware VIP® Emerging Markets Series
Notes to financial statements
8. Securities Lending (continued)
average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent, and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
9. Credit and Market Risk
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A 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 Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the “Schedule of investments.”
10. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statements.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
Emerging Markets Series-16
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares Voted | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993 | % | 21,984,922.103 | 3.635% | 4.007 | % | ||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918 | % | 22,398,011.798 | 3.703% | 4.082 | % | ||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945 | % | 22,247,574.880 | 3.678% | 4.055 | % | ||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958 | % | 22,178,818.502 | 3.667% | 4.042 | % | ||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916 | % | 22,410,027.970 | 3.705% | 4.084 | % | ||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979 | % | 22,060,900.976 | 3.647% | 4.021 | % | ||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923% | 96.831 | % | 22,875,859.439 | 3.782% | 4.169 | % | ||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 96.060 | % | 21,615,409.663 | 3.573% | 3.940 | % | ||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909 | % | 22,448,212.695 | 3.711% | 4.091 | % | ||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817 | % | 22,952,904.134 | 3.795% | 4.183 | % |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series | ||||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
Emerging Markets Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
Emerging Markets Series-18
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series |
| |||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
Emerging Markets Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series | ||||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
Emerging Markets Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series | ||||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series | ||||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series | ||||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
Emerging Markets Series-21
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series | ||||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series | ||||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series | ||||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series | ||||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
Emerging Markets Series-22
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Other Series information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
Emerging Markets Series-23
Table of Contents
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPEM 20545 [8/15] (14966) | Emerging Markets Series-24 |
Table of Contents
Delaware VIP® Trust
|
Delaware VIP Smid Cap Growth Series
|
Semiannual report
|
June 30, 2015 |
|
Table of Contents
1 | ||||||||
| 2 | |||||||
3 | ||||||||
5 | ||||||||
6 | ||||||||
6 | ||||||||
7 | ||||||||
9 | ||||||||
15 |
Investments in Delaware VIP® Smid Cap Growth Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP Smid Cap Growth Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Disclosure of Series expenses
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Beginning | Ending | Paid During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 1/1/15 to | |||||||||
1/1/15 | 6/30/15 | Ratio | 6/30/15* | |||||||||
| ||||||||||||
Actual Series return† | ||||||||||||
Standard Class | $1,000.00 | $1,084.40 | 0.85% | $4.39 | ||||||||
Service Class | 1,000.00 | 1,083.20 | 1.10% | 5.68 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Standard Class | $1,000.00 | $1,020.58 | 0.85% | $4.26 | ||||||||
Service Class | 1,000.00 | 1,019.34 | 1.10% | 5.51 | ||||||||
|
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Smid Cap Growth Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Security type / sector allocation and top 10 equity holdings
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Percentage of | ||
Security type / sector | net assets | |
| ||
Common Stock | 95.19% | |
Consumer Discretionary | 22.08% | |
Energy | 3.36% | |
Financial Services | 14.32% | |
Financials | 6.32% | |
Healthcare | 9.84% | |
Producer Durables | 17.70% | |
Technology | 16.20% | |
Utilities | 5.37% | |
| ||
Short-Term Investments | 4.62% | |
| ||
Total Value of Securities | 99.81% | |
| ||
Receivables and Other Assets Net of Liabilities | 0.19% | |
| ||
Total Net Assets | 100.00% | |
|
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||
Top 10 equity holdings | of net assets | |
| ||
Zebra Technologies | 6.35% | |
j2 Global | 5.37% | |
Heartland Payment Systems | 5.25% | |
DineEquity | 5.19% | |
Bio-Techne | 5.12% | |
Sally Beauty Holdings | 4.95% | |
MSCI Class A | 4.94% | |
Blackbaud | 4.92% | |
Graco | 4.42% | |
Equity Commonwealth | 4.14% | |
|
Smid Cap Growth Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Schedule of investments
June 30, 2015 (Unaudited)
Number of | Value | |||||||
shares | (U.S. $) | |||||||
Common Stock – 95.19% | ||||||||
Consumer Discretionary – 22.08% | ||||||||
Coupons.com † | 567,157 | $ | 6,119,624 | |||||
DineEquity | 326,484 | 32,351,300 | ||||||
Dunkin’ Brands Group | 332,125 | 18,266,875 | ||||||
Outfront Media | 447,207 | 11,287,505 | ||||||
Pandora Media † | 593,032 | 9,215,717 | ||||||
Sally Beauty Holdings † | 977,726 | 30,876,587 | ||||||
Shutterstock † | 290,146 | 17,014,161 | ||||||
Ulta Salon Cosmetics & Fragrance † | 80,775 | 12,475,699 | ||||||
|
| |||||||
137,607,468 | ||||||||
|
| |||||||
Energy – 3.36% | ||||||||
Core Laboratories (Netherlands) | 183,706 | 20,949,832 | ||||||
|
| |||||||
20,949,832 | ||||||||
|
| |||||||
Financial Services – 14.32% | ||||||||
Equity Commonwealth † | 1,005,000 | 25,798,350 | ||||||
Heartland Payment Systems | 604,904 | 32,695,061 | ||||||
MSCI Class A | 499,685 | 30,755,612 | ||||||
|
| |||||||
89,249,023 | ||||||||
|
| |||||||
Financials – 6.32% | ||||||||
Affiliated Managers Group † | 97,575 | 21,329,895 | ||||||
Ellie Mae † | 160,225 | 11,182,103 | ||||||
WisdomTree Investments | 311,975 | 6,852,531 | ||||||
|
| |||||||
39,364,529 | ||||||||
|
| |||||||
Healthcare – 9.84% | ||||||||
ABIOMED † | 288,675 | 18,974,608 | ||||||
athenahealth † | 90,857 | 10,410,395 | ||||||
Bio-Techne | 324,200 | 31,923,974 | ||||||
|
| |||||||
61,308,977 | ||||||||
|
| |||||||
Producer Durables – 17.70% | ||||||||
Expeditors International of Washington | 519,498 | 23,951,455 | ||||||
Graco | 388,209 | 27,574,485 | ||||||
Ritchie Bros Auctioneers @ | 688,300 | 19,217,336 | ||||||
Zebra Technologies † | 356,083 | 39,543,017 | ||||||
|
| |||||||
110,286,293 | ||||||||
|
| |||||||
Technology – 16.20% | ||||||||
Arista Networks † | 95,525 | 7,808,214 | ||||||
Blackbaud | 537,889 | 30,632,779 | ||||||
Logitech International Class R | 1,317,145 | 19,301,408 | ||||||
NIC @ | 796,209 | 14,554,701 | ||||||
VeriFone Systems † | 640,163 | 21,739,936 | ||||||
Yelp † | 161,500 | 6,949,345 | ||||||
|
| |||||||
100,986,383 | ||||||||
|
| |||||||
Utilities – 5.37% | ||||||||
j2 Global | 492,254 | 33,443,737 | ||||||
|
| |||||||
33,443,737 | ||||||||
|
| |||||||
Total Common Stock | 593,196,242 | |||||||
|
|
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Short-Term Investments – 4.62% | ||||||||
Discount Notes – 2.70% ≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.04% 7/21/15 | 681,115 | $ | 681,111 | |||||
0.05% 8/14/15 | 1,107,927 | 1,107,886 | ||||||
0.055% 7/31/15 | 1,206,287 | 1,206,277 | ||||||
0.065% 8/5/15 | 1,166,530 | 1,166,496 | ||||||
0.065% 9/2/15 | 2,674,967 | 2,674,729 | ||||||
0.07% 8/11/15 | 1,664,130 | 1,664,073 | ||||||
0.08% 7/17/15 | 961,533 | 961,529 | ||||||
0.08% 7/22/15 | 1,282,044 | 1,282,037 | ||||||
0.095% 7/14/15 | 960,139 | 960,135 | ||||||
0.10% 10/23/15 | 2,674,967 | 2,674,213 | ||||||
Freddie Mac 0.075% 10/1/15 | 2,459,994 | 2,459,435 | ||||||
|
| |||||||
16,837,921 | ||||||||
|
| |||||||
Repurchase Agreement – 1.92% | ||||||||
Bank of America Merrill Lynch | 3,323,781 | 3,323,781 | ||||||
Bank of Montreal | 5,539,635 | 5,539,635 | ||||||
BNP Paribas | 3,111,746 | 3,111,746 | ||||||
|
| |||||||
11,975,162 | ||||||||
|
| |||||||
Total Short-Term Investments |
| 28,813,083 | ||||||
|
|
Smid Cap Growth Series-3
Table of Contents
Delaware VIP® Smid Cap Growth Series
Schedule of investments (continued)
Total Value of Securities - 99.81% | $ | 622,009,325 | ||
|
|
@ | Illiquid security. At June 30, 2015, the aggregate value of illiquid securities was $33,772,037, which represents 5.42% of the Series’ net assets. See Note 9 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-4
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series | ||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 593,196,242 | ||
Short-term investments, at value2 | 28,813,083 | |||
Cash | 167,817 | |||
Receivables for securities sold | 1,857,628 | |||
Dividends and interest receivable | 368,852 | |||
Receivables for series shares sold | 26,784 | |||
|
| |||
Total assets | 624,430,406 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 477,135 | |||
Payable for series shares redeemed | 114,124 | |||
Investment management fees payable | 383,900 | |||
Other accrued expenses | 197,306 | |||
Distribution fees payable | 45,231 | |||
Other affiliates payable | 8,258 | |||
Trustees’ fees and expenses payable | 1,879 | |||
|
| |||
Total liabilities | 1,227,833 | |||
|
| |||
Total Net Assets | $ | 623,202,573 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 364,271,956 | ||
Distributions in excess of net investment income | (441,787 | ) | ||
Accumulated net realized gain on investments | 32,993,610 | |||
Net unrealized appreciation (depreciation) of investments | 226,378,794 | |||
|
| |||
Total Net Assets | $ | 623,202,573 | ||
|
| |||
Standard Class: | ||||
Net assets | $ | 405,485,082 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 13,499,533 | |||
Net asset value per share | $ | 30.04 | ||
Service Class: | ||||
Net assets | $ | 217,717,491 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 7,551,938 | |||
Net asset value per share | $ | 28.83 |
1Investments, at cost | $ | 366,822,291 | ||
2Short-term investments, at cost | 28,812,702 |
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-5
Table of Contents
Delaware VIP Smid Cap Growth Series
Statement of operations
Six-months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $ | 2,456,782 | ||
Interest | 4,828 | |||
Foreign tax withheld | (48,232 | ) | ||
|
| |||
2,413,378 | ||||
|
| |||
Expenses: | ||||
Management fees | 2,244,296 | |||
Distribution expenses – Service Class | 314,108 | |||
Reports and statements to shareholders | 132,481 | |||
Accounting and administration expenses | 95,855 | |||
Dividend disbursing and transfer agent fees and expenses | 25,149 | |||
Legal fees | 23,308 | |||
Custodian fees | 17,752 | |||
Audit and tax | 15,452 | |||
Trustees’ fees and expenses | 15,041 | |||
Registration fees | 361 | |||
Other | 8,527 | |||
|
| |||
2,892,330 | ||||
Less distribution fees waived – Service Class | (52,351 | ) | ||
|
| |||
Total operating expenses | 2,839,979 | |||
|
| |||
Net Investment Loss | (426,601 | ) | ||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 33,274,619 | |||
Foreign currencies | (32,795 | ) | ||
Foreign currency exchange contracts | 24,214 | |||
|
| |||
Net realized gain | 33,266,038 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | 15,795,514 | |||
Foreign currencies | 4,942 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | 15,800,456 | |||
|
| |||
Net Realized and Unrealized Gain | 49,066,494 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 48,639,893 | ||
|
|
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (426,601 | ) | $ | 1,845,678 | |||
Net realized gain | 33,266,038 | 49,625,628 | ||||||
Net change in unrealized appreciation (depreciation) | 15,800,456 | (36,999,429 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 48,639,893 | 14,471,877 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (1,496,727 | ) | (265,826 | ) | ||||
Service Class | (344,043 | ) | — | |||||
Net realized gain: | ||||||||
Standard Class | (32,104,787 | ) | (36,772,574 | ) | ||||
Service Class | (17,711,337 | ) | (20,498,747 | ) | ||||
|
|
|
| |||||
(51,656,894 | ) | (57,537,147 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 5,934,357 | 8,186,495 | ||||||
Service Class | 9,875,218 | 13,020,565 | ||||||
Net asset value of shares based upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 33,601,514 | 37,038,400 | ||||||
Service Class | 18,055,380 | 20,498,747 | ||||||
|
|
|
| |||||
67,466,469 | 78,744,207 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (18,808,773 | ) | (54,553,752 | ) | ||||
Service Class | (12,658,790 | ) | (41,558,530 | ) | ||||
|
|
|
| |||||
(31,467,563 | ) | (96,112,282 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in net assets derived from capital share transactions | 35,998,906 | (17,368,075 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 32,981,905 | (60,433,345 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 590,220,668 | 650,654,013 | ||||||
|
|
|
| |||||
End of period | $ | 623,202,573 | $ | 590,220,668 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | (441,787) | $ | 1,825,584 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-6
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Financial highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
Six months ended 6/30/151 (Unaudited) | Delaware VIP Smid Cap Growth Series Standard Class | |||||||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ 30.200 | $ 32.390 | $ 24.370 | $ 23.190 | $ 22.220 | $ 16.300 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.008) | 0.116 | 0.040 | 0.026 | 0.058 | 0.786 | ||||||||||||||||||||||||
Net realized and unrealized gain | 2.542 | 0.620 | 9.542 | 2.570 | 1.808 | 5.134 | ||||||||||||||||||||||||
Total from investment operations | 2.534 | 0.736 | 9.582 | 2.596 | 1.866 | 5.920 | ||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.120) | (0.021 | ) | (0.007 | ) | (0.060 | ) | (0.232 | ) | — | ||||||||||||||||||||
Net realized gain | (2.574) | (2.905 | ) | (1.555 | ) | (1.356 | ) | (0.664 | ) | — | ||||||||||||||||||||
Total dividends and distributions | (2.694) | (2.926 | ) | (1.562 | ) | (1.416 | ) | (0.896 | ) | — | ||||||||||||||||||||
Net asset value, end of period | $ 30.040 | $ 30.200 | $ 32.390 | $ 24.370 | $ 23.190 | $ 22.220 | ||||||||||||||||||||||||
Total return3 | 8.44% | 3.15% | 41.32% | 11.02% | 8.13% | 36.32% | ||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $405,485 | $386,290 | $422,823 | $318,002 | $323,798 | $324,450 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 0.85% | 0.83% | 0.83% | 0.84% | 0.83% | 0.89% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.05%) | 0.40% | 0.14% | 0.11% | 0.24% | 3.87% | ||||||||||||||||||||||||
Portfolio turnover | 6% | 18% | 19% | 23% | 19% | 37% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-7
Table of Contents
Delaware VIP® Smid Cap Growth Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Six months ended 6/30/151 (Unaudited) | Delaware VIP Smid Cap Growth Series Service Class | |||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||
12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 29.060 | $ 31.330 | $ 23.670 | $ 22.570 | $ 21.650 | $ 15.920 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | (0.045) | 0.042 | (0.029 | ) | (0.034 | ) | (0.002 | ) | 0.715 | |||||||||||||||
Net realized and unrealized gain | 2.439 | 0.593 | 9.244 | 2.492 | 1.770 | 5.015 | ||||||||||||||||||
Total from investment operations | 2.394 | 0.635 | 9.215 | 2.458 | 1.768 | 5.730 | ||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.050) | — | — | (0.002 | ) | (0.184 | ) | — | ||||||||||||||||
Net realized gain | (2.574) | (2.905 | ) | (1.555 | ) | (1.356 | ) | (0.664 | ) | — | ||||||||||||||
Total dividends and distributions | (2.624) | (2.905 | ) | (1.555 | ) | (1.358 | ) | (0.848 | ) | — | ||||||||||||||
Net asset value, end of period | $ 28.830 | $ 29.060 | $ 31.330 | $ 23.670 | $ 22.570 | $ 21.650 | ||||||||||||||||||
Total return3 | 8.32% | 2.87% | 40.98% | 10.71% | 7.90% | 35.99% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $217,718 | $203,931 | $227,831 | $173,948 | $150,991 | $116,699 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.10% | 1.08% | 1.08% | 1.09% | 1.08% | 1.14% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.15% | 1.13% | 1.13% | 1.14% | 1.13% | 1.19% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.30%) | 0.15% | (0.11% | ) | (0.14% | ) | (0.01% | ) | 3.62% | |||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.35%) | 0.10% | (0.16% | ) | (0.19% | ) | (0.06% | ) | 3.57% | |||||||||||||||
Portfolio turnover | 6% | 18% | 19% | 23% | 19% | 37% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Smid Cap Growth Series-8
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Notes to financial statements
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Smid Cap Growth Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on The Nasdaq Stock Market 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. Securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, then the mean between the bid and ask prices will be used, which approximates fair value. Securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Series may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. These changes are included on the “Statement of operations” under “Net realized and unrealized gain (loss) on investments.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates—The Series is an investment company whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Smid Cap Growth Series-9
Table of Contents
Delaware VIP® Smid Cap Growth Series
Notes to financial statements
1. Significant Accounting Policies (continued)
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. 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. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates for the six months ended June 30, 2015.
The Series 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, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.75% on the first $500 million of average daily net assets of the Series, 0.70% on the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $14,291 for these services. This amount is included on the “Statement of operations” under “Accounting and administrative expenses.”
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $22,718 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 through June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. For the six months ended June 30, 2015, the Series was charged $8,307 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.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
*The contractual waiver period is April 30, 2014 through April 29, 2016 or, if longer, until the Series is offered under new participation agreements or under new contracts with existing insurance companies (other than the update and modification of existing contracts in the normal course of business that may require registration or re-registration under state insurance laws as a new insurance contract, provided the new insurance contract effectively replaces the current insurance contract).
Smid Cap Growth Series-10
Table of Contents
Delaware VIP® Smid Cap Growth Series
Notes to financial statements
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 37,335,548 | ||
Sales | 73,700,339 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||
$395,634,993 | $238,727,458 | $(12,353,126) | $226,374,332 |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 - | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | |||||||||||||
Common Stock | $ | 593,196,242 | $ | — | $ | 593,196,242 | |||||||||
Short-Term Investments | — | 28,813,083 | 28,813,083 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 593,196,242 | $ | 28,813,083 | $ | 622,009,325 | |||||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. This does not include transfers between Level 1 investments and Level 2 investments due to the Series utilizing international fair value pricing during the period. In accordance with the Fair Valuation Procedures described in Note 1, international fair value pricing of securities in the Series occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that Series’ net asset value is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each security as of the time that the Series’ net asset value is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
Smid Cap Growth Series-11
Table of Contents
Delaware VIP® Smid Cap Growth Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||
Shares sold: | ||||||||||
Standard Class | 194,519 | 280,111 | ||||||||
Service Class | 331,954 | 459,345 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Standard Class | 1,124,925 | 1,345,383 | ||||||||
Service Class | 629,547 | 772,372 | ||||||||
|
|
|
| |||||||
2,280,945 | 2,857,211 | |||||||||
|
|
|
| |||||||
Shares redeemed: | ||||||||||
Standard Class | (611,320 | ) | (1,886,684 | ) | ||||||
Service Class | (428,199 | ) | (1,483,977 | ) | ||||||
|
|
|
| |||||||
(1,039,519 | ) | (3,370,661 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) | 1,241,426 | (513,450 | ) | |||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement will expire on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series enters into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The Series may also use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
During the six months ended June 30, 2015, the Series entered into foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2015, the Series had foreign currency risk, which is disclosed as “Net realized gain on foreign currency exchange contracts” on the “Statement of operations.”
Smid Cap Growth Series-12
Table of Contents
Delaware VIP® Smid Cap Growth Series
Notes to financial statements
6. Derivatives (continued)
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2015.
Long Derivative Volume | Short Derivative Volume | |||||||||
Forward foreign currency exchange contracts (average cost) | $ | — | $ | 6,210 |
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 in 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) 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 Series does not offset derivative assets and derivatives liabilities that are subject to netting arrangements in the “Statement of assets and liabilities.”
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||||||
Bank of America Merrill Lynch | $ | 3,323,781 | $ | (3,323,781 | ) | $ | — | $ | — | |||||||||||
Bank of Montreal | 5,539,635 | (5,539,635 | ) | — | — | |||||||||||||||
BNP Paribas | 3,111,746 | (3,111,746 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 11,975,162 | $ | (11,975,162 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(a)Net represents the receivable/(payable) that would be due from/(to) the counterparty in an event of default.
8. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security may be temporarily more or less than the value of the security on loan.
Smid Cap Growth Series-13
Table of Contents
Delaware VIP® Smid Cap Growth Series
Notes to financial statements
8. Securities Lending (continued)
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed, and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series, or at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
9. Credit and Market Risk
The Series invests a significant portion of its assets in small- and mid-sized companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small- or mid-sized companies may be more volatile than investments in larger companies for a number of reasons, which include more limited financial resources or a dependence on narrow product lines.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2015, there were no Rule 144A securities held by the Series. Illiquid securities have been identified on the “Schedule of investments.”
10. Series Closed to New Investors
As of Feb. 24, 2012, the Series is no longer offered (1) under existing participation agreements for use with new insurance products; or (2) under new participation agreements to insurance companies that seek to include the Series in their products, except for certain insurance companies that have initiated negotiations to add the Series to a new product prior to Feb. 9, 2012. Contract holders of existing insurance companies that offer the Series will be able to continue to make purchases of shares, including purchases through reinvestment of dividends or capital gains distributions, and exchanges, regardless of whether they own, or have owned in the past, shares of the Series. The Series reserves the right to modify this policy at any time.
11. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
12. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact to the Series’ financial statements.
14. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
Smid Cap Growth Series-14
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of | Shares Withheld | % of Shares | % of | |||||||||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070 | % | 95.993 | % | 21,984,922.103 | 3.635 | % | 4.007 | % | ||||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002 | % | 95.918 | % | 22,398,011.798 | 3.703 | % | 4.082 | % | ||||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027 | % | 95.945 | % | 22,247,574.880 | 3.678 | % | 4.055 | % | ||||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038 | % | 95.958 | % | 22,178,818.502 | 3.667 | % | 4.042 | % | ||||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000 | % | 95.916 | % | 22,410,027.970 | 3.705 | % | 4.084 | % | ||||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058 | % | 95.979 | % | 22,060,900.976 | 3.647 | % | 4.021 | % | ||||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923 | % | 96.831 | % | 22,875,859.439 | 3.782 | % | 4.169 | % | ||||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132 | % | 96.060 | % | 21,615,409.663 | 3.573 | % | 3.940 | % | ||||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994 | % | 95.909 | % | 22,448,212.695 | 3.711 | % | 4.091 | % | ||||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910 | % | 95.817 | % | 22,952,904.134 | 3.795 | % | 4.183 | % |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series | ||||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
Smid Cap Growth Series-15
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series | ||||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series | ||||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series | ||||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series | ||||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
Smid Cap Growth Series-16
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series | ||||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series | ||||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series | ||||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series | ||||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
Smid Cap Growth Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series | ||||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series | ||||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series | ||||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
Smid Cap Growth Series-18
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series | ||||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series | ||||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series | ||||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series | ||||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
Smid Cap Growth Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series | ||||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series | ||||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series | ||||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series | ||||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
Smid Cap Growth Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows
Delaware VIP Trust | ||||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
Smid Cap Growth Series-21
Table of Contents
Delaware VIP® Trust — Delaware VIP Smid Cap Growth Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
| ||||||||
SA-VIPSCG 20551 [8/15] (14966) | Smid Cap Growth Series-22 |
Table of Contents
Delaware VIP® Trust
| ||
Delaware VIP High Yield Series
| ||
Semiannual report
| ||
June 30, 2015
|
Table of Contents
1 | ||||||||
2 | ||||||||
3 | ||||||||
9 | ||||||||
10 | ||||||||
10 | ||||||||
11 | ||||||||
13 | ||||||||
20 |
Investments in Delaware VIP® High Yield Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP High Yield Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
For the six-month period January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||||
| ||||||||||||||||
Actual Series return† |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,016.20 | 0.77 | % | $ | 3.85 | ||||||||
Service Class | 1,000.00 | 1,015.40 | 1.02 | % | 5.10 | |||||||||||
| ||||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,020.98 | 0.77 | % | $ | 3.86 | ||||||||
Service Class | 1,000.00 | 1,019.74 | 1.02 | % | 5.11 | |||||||||||
|
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
High Yield Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Security type / sector allocation
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | |||
Convertible Bond | 0.06% | |||
Corporate Bonds | 89.51% | |||
Automobiles | 1.15% | |||
Banking | 4.13% | |||
Basic Industry | 12.09% | |||
Capital Goods | 4.24% | |||
Consumer Cyclical | 4.97% | |||
Consumer Non-Cyclical | 5.41% | |||
Energy | 12.03% | |||
Financial Services | 0.66% | |||
Healthcare | 5.29% | |||
Insurance | 1.42% | |||
Media | 11.56% | |||
Services | 8.06% | |||
Technology & Electronics | 3.72% | |||
Telecommunications | 10.44% | |||
Utilities | 4.34% | |||
Senior Secured Loans | 5.03% | |||
Common Stock | 0.00% | |||
Preferred Stock | 0.90% | |||
Short-Term Investments | 2.85% | |||
Total Value of Securities | 98.35% | |||
Receivables and Other Assets | 1.65% | |||
Total Net Assets | 100.00% |
High Yield Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
June 30, 2015 (Unaudited)
Principal amount° | Value (U.S. $) | |||||||
Convertible Bond – 0.06% |
| |||||||
Abengoa 144A 5.125% exercise price $38.08, expiration date 2/23/17 # | 200,000 | $ | 193,250 | |||||
|
| |||||||
Total Convertible Bond |
| 193,250 | ||||||
|
| |||||||
Corporate Bonds – 89.51% |
| |||||||
Automobiles – 1.15% | ||||||||
American Tire Distributors 144A 10.25% 3/1/22 # | 800,000 | 858,000 | ||||||
International Automotive Components Group 144A 9.125% | 1,808,000 | 1,853,200 | ||||||
Meritor 6.75% 6/15/21 | 1,075,000 | 1,104,563 | ||||||
|
| |||||||
3,815,763 | ||||||||
|
| |||||||
Banking – 4.13% | ||||||||
Bank of America 6.50% 10/23/49 • | 1,655,000 | 1,714,994 | ||||||
Barclays Bank 7.625% 11/21/22 | 1,255,000 | 1,431,547 | ||||||
Credit Suisse Group 144A 7.50% 12/29/49 #• | 1,820,000 | 1,900,546 | ||||||
Goldman Sachs Group 5.375% 12/29/49 • | 605,000 | 598,436 | ||||||
HSBC Holdings 6.375% 12/29/49 • | 1,555,000 | 1,560,831 | ||||||
ING Groep 6.50% 12/29/49 • | 1,335,000 | 1,294,115 | ||||||
JPMorgan Chase 6.75% 1/29/49 • | 1,605,000 | 1,716,836 | ||||||
Lloyds Banking Group 7.50% 4/30/49 • | 1,650,000 | 1,703,625 | ||||||
Popular 7.00% 7/1/19 | 1,745,000 | 1,751,544 | ||||||
|
| |||||||
13,672,474 | ||||||||
|
| |||||||
Basic Industry – 12.09% |
| |||||||
Abengoa Finance 144A 8.875% 11/1/17 # | 655,000 | 684,475 | ||||||
Abengoa Greenfield 144A 6.50% | 980,000 | 916,300 | ||||||
AK Steel | ||||||||
7.625% 5/15/20 | 1,314,000 | 1,100,475 | ||||||
7.625% 10/1/21 | 670,000 | 549,400 | ||||||
ArcelorMittal | ||||||||
5.125% 6/1/20 | 420,000 | 426,825 | ||||||
6.125% 6/1/25 | 410,000 | 409,744 | ||||||
6.25% 3/1/21 | 485,000 | 509,856 | ||||||
AVINTIV Specialty Materials 144A 6.875% 6/1/19 # | 2,050,000 | 1,893,687 | ||||||
Builders FirstSource 144A 7.625% | 1,710,000 | 1,778,400 | ||||||
Cemex 144A 7.25% 1/15/21 # | 2,330,000 | 2,464,441 | ||||||
Chemours | ||||||||
144A 6.625% | 300,000 | 291,375 | ||||||
144A 7.00% | 1,445,000 | 1,405,263 | ||||||
Cliffs Natural Resources 5.95% 1/15/18 | 625,000 | 457,813 | ||||||
Consolidated Energy Finance 144A 6.75% 10/15/19 # | 964,000 | 983,280 | ||||||
CPG Merger Sub 144A 8.00% 10/1/21 # | 1,300,000 | 1,350,050 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) |
| |||||||
Dae Aviation Holdings 144A 10.00% | 590,000 | $ | 582,035 | |||||
Evolution Escrow Issuer 144A 7.50% | 1,160,000 | 1,102,000 | ||||||
First Quantum Minerals | ||||||||
144A 6.75% | 720,000 | 700,200 | ||||||
144A 7.00% | 1,110,000 | 1,066,987 | ||||||
FMG Resources August 2006 Pty | ||||||||
144A 8.25% | 791,000 | 670,373 | ||||||
144A 9.75% 3/1/22 # | 955,000 | 988,425 | ||||||
Hexion 10.00% 4/15/20 | 820,000 | 846,650 | ||||||
Kissner Milling 144A 7.25% 6/1/19 # | 795,000 | 812,887 | ||||||
KLX 144A 5.875% 12/1/22 # | 1,505,000 | 1,527,409 | ||||||
LSB Industries 7.75% 8/1/19 | 795,000 | 846,675 | ||||||
Lundin Mining 144A 7.875% 11/1/22 # | 1,770,000 | 1,898,325 | ||||||
NCI Building Systems 144A 8.25% | 865,000 | 925,550 | ||||||
New Gold 144A 6.25% 11/15/22 # | 1,310,000 | 1,300,175 | ||||||
Norbord 144A 6.25% 4/15/23 # | 655,000 | 666,463 | ||||||
NOVA Chemicals 144A 5.00% 5/1/25 # | 645,000 | 649,031 | ||||||
Rayonier AM Products 144A 5.50% 6/1/24 # | 1,690,000 | 1,516,775 | ||||||
Ryerson | ||||||||
9.00% 10/15/17 | 1,310,000 | 1,323,100 | ||||||
11.25% 10/15/18 | 438,000 | 444,570 | ||||||
Steel Dynamics 5.50% 10/1/24 | 1,100,000 | 1,102,750 | ||||||
Summit Materials 144A 6.125% 7/15/23 # | 735,000 | 738,675 | ||||||
TPC Group 144A 8.75% 12/15/20 # | 2,417,000 | 2,247,810 | ||||||
Tupy Overseas 144A 6.625% 7/17/24 # | 525,000 | 516,469 | ||||||
Wise Metals Group 144A 8.75% | 815,000 | 864,919 | ||||||
Wise Metals Intermediate Holdings 144A 9.75% | 535,000 | 571,781 | ||||||
XPO Logistics 144A 6.50% 6/15/22 # | 955,000 | 937,094 | ||||||
|
| |||||||
40,068,512 | ||||||||
|
| |||||||
Capital Goods – 4.24% |
| |||||||
Accudyne Industries Borrower 144A 7.75% 12/15/20 # | 1,380,000 | 1,283,400 | ||||||
Ardagh Packaging Finance 144A 6.00% 6/30/21 # | 1,535,000 | 1,538,837 | ||||||
BWAY Holding 144A 9.125% 8/15/21 # | 975,000 | 1,009,125 | ||||||
Gardner Denver 144A 6.875% 8/15/21 # | 2,540,000 | 2,327,275 | ||||||
Gates Global 144A 6.00% 7/15/22 # | 1,920,000 | 1,747,200 | ||||||
Milacron 144A 7.75% 2/15/21 # | 865,000 | 895,275 | ||||||
Plastipak Holdings 144A 6.50% | 1,875,000 | 1,917,187 | ||||||
Signode Industrial Group 144A 6.375% 5/1/22 # | 1,700,000 | 1,657,500 | ||||||
TransDigm 6.50% 7/15/24 | 1,090,000 | 1,081,825 |
High Yield Series-3
Table of Contents
Delaware VIP® High Yield Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods (continued) |
| |||||||
TransDigm 144A 6.50% 5/15/25 # | 600,000 | $ | 596,250 | |||||
|
| |||||||
14,053,874 | ||||||||
|
| |||||||
Consumer Cyclical – 4.97% |
| |||||||
AMC Entertainment 144A 5.75% | 750,000 | 736,875 | ||||||
Boyd Gaming 6.875% 5/15/23 | 785,000 | 808,550 | ||||||
Chinos Intermediate Holdings A 144A PIK 7.75% 5/1/19 #T | 945,000 | 765,450 | ||||||
DBP Holding 144A 7.75% 10/15/20 # | 1,184,000 | 970,880 | ||||||
Family Tree Escrow 144A 5.75% 3/1/23 # | 600,000 | 630,000 | ||||||
Landry’s 144A 9.375% 5/1/20 # | 2,652,000 | 2,857,530 | ||||||
Midas Intermediate Holdco II 144A 7.875% 10/1/22 # | 780,000 | 781,950 | ||||||
Neiman Marcus Group 144A PIK 8.75% 10/15/21 #T | 1,560,000 | 1,682,850 | ||||||
PF Chang’s China Bistro 144A 10.25% 6/30/20 # | 791,000 | 821,651 | ||||||
Rite Aid 144A 6.125% 4/1/23 # | 1,785,000 | 1,845,244 | ||||||
RSI Home Products 144A 6.50% | 1,245,000 | 1,260,563 | ||||||
Sabre GLBL 144A 5.375% 4/15/23 # | 715,000 | 707,850 | ||||||
Univar USA 144A 6.75% 7/15/23 # | 630,000 | 637,875 | ||||||
Wynn Las Vegas 144A 5.50% 3/1/25 # | 2,045,000 | 1,958,087 | ||||||
|
| |||||||
16,465,355 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 5.41% |
| |||||||
CEB 144A 5.625% 6/15/23 # | 160,000 | 161,200 | ||||||
Cott Beverages | ||||||||
5.375% 7/1/22 | 450,000 | 437,625 | ||||||
144A 6.75% 1/1/20 # | 1,430,000 | 1,487,200 | ||||||
ExamWorks Group 5.625% 4/15/23 | 1,595,000 | 1,641,430 | ||||||
JBS Investments | ||||||||
144A 7.25% 4/3/24 # | 445,000 | 461,687 | ||||||
144A 7.75% | 713,000 | 778,953 | ||||||
JBS USA 144A 5.75% 6/15/25 # | 3,375,000 | 3,344,456 | ||||||
Prestige Brands 144A 5.375% 12/15/21 # | 1,255,000 | 1,261,275 | ||||||
Quintiles Transnational 144A 4.875% | 350,000 | 352,625 | ||||||
Spectrum Brands | ||||||||
144A 6.125% 12/15/24 # | 2,040,000 | 2,147,100 | ||||||
6.625% 11/15/22 | 1,045,000 | 1,118,150 | ||||||
Sterigenics-Nordion Holdings 144A 6.50% 5/15/23 # | 1,675,000 | 1,704,313 | ||||||
SUPERVALU 7.75% 11/15/22 | 1,870,000 | 1,971,681 | ||||||
Valeant Pharmaceuticals International | ||||||||
144A 5.875% | 385,000 | 395,587 | ||||||
144A 6.125% | 635,000 | 654,844 | ||||||
|
| |||||||
17,918,126 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy – 12.03% |
| |||||||
Baytex Energy 144A 5.625% 6/1/24 # | 1,720,000 | $ | 1,603,900 | |||||
California Resources | ||||||||
5.50% 9/15/21 | 1,640,000 | 1,435,328 | ||||||
6.00% 11/15/24 | 1,180,000 | 1,020,700 | ||||||
Calumet Specialty Products Partners 7.625% 1/15/22 | 2,419,000 | 2,479,475 | ||||||
Chaparral Energy | ||||||||
7.625% 11/15/22 | 1,085,000 | 786,625 | ||||||
8.25% 9/1/21 | 928,000 | 691,360 | ||||||
CHC Helicopter 9.25% 10/15/20 | 877,500 | 642,769 | ||||||
Chesapeake Energy | ||||||||
4.875% 4/15/22 | 2,020,000 | 1,762,450 | ||||||
5.75% 3/15/23 | 1,150,000 | 1,046,500 | ||||||
Comstock Resources 144A 10.00% 3/15/20 # | 1,930,000 | 1,750,664 | ||||||
CSI Compressco 144A 7.25% 8/15/22 # | 1,205,000 | 1,156,800 | ||||||
Energy Transfer Equity 5.875% 1/15/24 | 1,405,000 | 1,464,010 | ||||||
EP Energy 144A 6.375% 6/15/23 # | 795,000 | 799,969 | ||||||
Exterran Partners 6.00% 4/1/21 | 830,000 | 805,100 | ||||||
Genesis Energy 5.75% 2/15/21 | 2,300,000 | 2,282,750 | ||||||
Halcon Resources | ||||||||
144A 8.625% | 160,000 | 158,600 | ||||||
9.75% 7/15/20 | 2,320,000 | 1,571,800 | ||||||
Laredo Petroleum | ||||||||
5.625% 1/15/22 | 885,000 | 880,575 | ||||||
7.375% 5/1/22 | 1,080,000 | 1,142,100 | ||||||
Linn Energy 6.25% 11/1/19 | 1,475,000 | 1,161,563 | ||||||
MarkWest Energy Partners 4.875% 12/1/24 | 1,495,000 | 1,468,837 | ||||||
Murphy Oil USA 6.00% 8/15/23 | 745,000 | 776,663 | ||||||
Northern Oil & Gas 8.00% 6/1/20 | 1,680,000 | 1,537,200 | ||||||
NuStar Logistics 6.75% 2/1/21 | 1,250,000 | 1,350,013 | ||||||
Oasis Petroleum 6.875% 3/15/22 | 2,035,000 | 2,075,700 | ||||||
Ocean Rig UDW 144A 7.25% 4/1/19 # | 804,000 | 607,020 | ||||||
PBF Logistics 144A 6.875% 5/15/23 # | 345,000 | 348,450 | ||||||
PDC Energy 7.75% 10/15/22 | 1,850,000 | 1,942,500 | ||||||
Pioneer Energy Services 6.125% 3/15/22 | 1,795,000 | 1,444,975 | ||||||
Rose Rock Midstream 144A 5.625% 11/15/23 # | 830,000 | 807,175 | ||||||
Sabine Pass Liquefaction 144A 5.625% 3/1/25 # | 1,040,000 | 1,033,500 | ||||||
Transocean | ||||||||
4.30% 10/15/22 | 450,000 | 340,875 | ||||||
6.875% 12/15/21 | 765,000 | 690,413 | ||||||
Weatherford International 4.50% 4/15/22 | 845,000 | 794,647 | ||||||
|
| |||||||
39,861,006 | ||||||||
|
| |||||||
Financial Services – 0.66% |
| |||||||
Ally Financial 4.625% 3/30/25 | 500,000 | 477,500 |
High Yield Series-4
Table of Contents
Delaware VIP® High Yield Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Financial Services (continued) |
| |||||||
James Hardie International Finance 144A 5.875% 2/15/23 # | 1,670,000 | $ | 1,728,450 | |||||
|
| |||||||
2,205,950 | ||||||||
|
| |||||||
Healthcare – 5.29% |
| |||||||
21st Century Oncology 144A 11.00% | 640,000 | 633,600 | ||||||
Air Medical Merger Sub 144A 6.375% 5/15/23 # | 1,785,000 | 1,686,825 | ||||||
Community Health Systems 6.875% 2/1/22 | 2,450,000 | 2,590,875 | ||||||
DaVita HealthCare Partners | ||||||||
5.00% 5/1/25 | 325,000 | 313,625 | ||||||
5.125% 7/15/24 | 415,000 | 408,775 | ||||||
HCA 5.375% 2/1/25 | 1,510,000 | 1,538,388 | ||||||
HealthSouth 5.75% 11/1/24 | 775,000 | 794,375 | ||||||
IASIS Healthcare 8.375% 5/15/19 | 2,075,000 | 2,152,813 | ||||||
Immucor 11.125% 8/15/19 | 2,526,000 | 2,690,190 | ||||||
Kinetic Concepts 10.50% 11/1/18 | 614,000 | 656,992 | ||||||
Mallinckrodt International Finance | ||||||||
4.75% 4/15/23 | 155,000 | 145,313 | ||||||
144A 5.50% | 720,000 | 701,100 | ||||||
Omnicare 5.00% 12/1/24 | 375,000 | 405,000 | ||||||
Tenet Healthcare | ||||||||
144A 5.00% | 660,000 | 662,475 | ||||||
144A 6.75% | 300,000 | 306,375 | ||||||
8.125% 4/1/22 | 1,680,000 | 1,841,280 | ||||||
|
| |||||||
17,528,001 | ||||||||
|
| |||||||
Insurance – 1.42% |
| |||||||
HUB International 144A 7.875% | 1,800,000 | 1,840,500 | ||||||
USI 144A 7.75% 1/15/21 # | 1,600,000 | 1,630,000 | ||||||
XLIT 6.50% 10/29/49 • | 1,443,000 | 1,238,281 | ||||||
|
| |||||||
4,708,781 | ||||||||
|
| |||||||
Media – 11.56% |
| |||||||
Altice | ||||||||
144A 7.625% | 905,000 | 852,963 | ||||||
144A 7.75% | 2,175,000 | 2,109,750 | ||||||
Altice Financing 144A 6.625% 2/15/23 # | 1,710,000 | 1,701,963 | ||||||
CCO Holdings | ||||||||
144A 5.375% | 620,000 | 605,275 | ||||||
144A 5.875% | 1,160,000 | 1,135,350 | ||||||
Columbus International 144A | ||||||||
7.375% 3/30/21 # | 2,150,000 | 2,319,313 | ||||||
CSC Holdings 5.25% 6/1/24 | 1,405,000 | 1,355,825 | ||||||
DISH DBS 5.875% 11/15/24 | 970,000 | 934,231 | ||||||
Gray Television 7.50% 10/1/20 | 2,655,000 | 2,824,256 | ||||||
iHeartCommunications | ||||||||
9.00% 12/15/19 | 300,000 | 287,025 | ||||||
9.00% 9/15/22 | 4,505,000 | 4,082,656 | ||||||
LIN Television 144A 5.875% 11/15/22 # | 2,070,000 | 2,101,050 | ||||||
MDC Partners 144A 6.75% 4/1/20 # | 640,000 | 640,000 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Media (continued) |
| |||||||
Nexstar Broadcasting 144A 6.125% 2/15/22 # | 430,000 | $ | 437,525 | |||||
Numericable-SFR 144A 6.00% 5/15/22 # | 2,385,000 | 2,356,678 | ||||||
Outfront Media Capital 5.875% 3/15/25 | 550,000 | 571,313 | ||||||
RCN Telecom Services 144A 8.50% 8/15/20 # | 730,000 | 767,413 | ||||||
Sinclair Television Group 144A 5.625% 8/1/24 # | 2,710,000 | 2,659,187 | ||||||
Sirius XM Radio 144A 5.375% 4/15/25 # | 1,895,000 | 1,833,413 | ||||||
Tribune Media 144A 5.875% 7/15/22 # | 1,340,000 | 1,353,400 | ||||||
Univision Communications 144A 5.125% 5/15/23 # | 470,000 | 458,250 | ||||||
VTR Finance 144A 6.875% 1/15/24 # | 3,380,000 | 3,462,303 | ||||||
WideOpenWest Finance | ||||||||
10.25% 7/15/19 | 2,471,000 | 2,647,059 | ||||||
13.375% 10/15/19 | 750,000 | 819,375 | ||||||
|
| |||||||
38,315,573 | ||||||||
|
| |||||||
Services – 8.06% |
| |||||||
AECOM | ||||||||
144A 5.75% 10/15/22 # | 700,000 | 710,500 | ||||||
144A 5.875% 10/15/24 # | 845,000 | 858,731 | ||||||
Algeco Scotsman Global Finance | ||||||||
144A 8.50% 10/15/18 # | 1,880,000 | 1,823,600 | ||||||
144A 10.75% 10/15/19 # | 1,484,000 | 1,146,390 | ||||||
Avis Budget Car Rental 144A 5.25% 3/15/25 # | 1,990,000 | 1,875,575 | ||||||
Blue Coat Holdings 144A 8.375% 6/1/23 # | 1,595,000 | 1,626,900 | ||||||
BlueLine Rental Finance 144A 7.00% 2/1/19 # | 905,000 | 934,413 | ||||||
Caesars Growth Properties Holdings 144A 9.375% 5/1/22 # | 1,150,000 | 868,250 | ||||||
Covanta Holding 5.875% 3/1/24 | 760,000 | 761,900 | ||||||
ESH Hospitality 144A 5.25% 5/1/25 # | 885,000 | 865,087 | ||||||
GEO Group | ||||||||
5.125% 4/1/23 | 625,000 | 626,563 | ||||||
5.875% 10/15/24 | 1,175,000 | 1,216,125 | ||||||
Mattamy Group 144A 6.50% 11/15/20 # | 2,285,000 | 2,216,450 | ||||||
MGM Resorts International | ||||||||
6.00% 3/15/23 | 2,385,000 | 2,426,737 | ||||||
Navios South American Logistics 144A 7.25% 5/1/22 # | 1,780,000 | 1,711,025 | ||||||
Pinnacle Entertainment | ||||||||
6.375% 8/1/21 | 570,000 | 607,763 | ||||||
7.75% 4/1/22 | 869,000 | 958,073 | ||||||
United Rentals North America | ||||||||
5.50% 7/15/25 | 345,000 | 334,650 | ||||||
5.75% 11/15/24 | 2,660,000 | 2,633,400 | ||||||
Vander Intermediate Holding II 144A PIK 9.75% 2/1/19 #T | 640,000 | 633,600 |
High Yield Series-5
Table of Contents
Delaware VIP® High Yield Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Services (continued) |
| |||||||
West 144A 5.375% 7/15/22 # | 1,990,000 | $ | 1,868,113 | |||||
|
| |||||||
26,703,845 | ||||||||
|
| |||||||
Technology & Electronics – 3.72% |
| |||||||
Avaya 144A 7.00% 4/1/19 # | 320,000 | 314,400 | ||||||
CommScope 144A 5.50% 6/15/24 # | 1,960,000 | 1,913,450 | ||||||
CommScope Technologies Finance 144A 6.00% 6/15/25 # | 590,000 | 589,263 | ||||||
Entegris 144A 6.00% 4/1/22 # | 1,665,000 | 1,717,031 | ||||||
First Data | ||||||||
11.25% 1/15/21 | 1,598,000 | 1,777,775 | ||||||
11.75% 8/15/21 | 991,000 | 1,117,353 | ||||||
Infinity Acquisition 144A 7.25% 8/1/22 # | 750,000 | 708,750 | ||||||
Infor Software Parent 144A PIK 7.125% 5/1/21 #T | 2,500,000 | 2,515,625 | ||||||
Italics Merger Sub 144A 7.125% 7/15/23 # | 635,000 | 628,650 | ||||||
Micron Technology | ||||||||
144A 5.25% | 805,000 | 762,234 | ||||||
144A 5.625% | 320,000 | 296,400 | ||||||
|
| |||||||
12,340,931 | ||||||||
|
| |||||||
Telecommunications – 10.44% |
| |||||||
Altice US Finance 144A 7.75% 7/15/25 # | 1,270,000 | 1,222,375 | ||||||
CenturyLink 6.75% 12/1/23 | 1,075,000 | 1,082,390 | ||||||
Cogent Communications Finance 144A 5.625% 4/15/21 # | 1,435,000 | 1,366,837 | ||||||
Cogent Communications Group 144A 5.375% 3/1/22 # | 500,000 | 495,625 | ||||||
Communications Sales & Leasing 144A 8.25% 10/15/23 # | 645,000 | 635,325 | ||||||
Digicel 144A 6.75% 3/1/23 # | 1,405,000 | 1,380,834 | ||||||
Digicel Group | ||||||||
144A 7.125% | 820,000 | 780,804 | ||||||
144A 8.25% | 3,174,000 | 3,197,805 | ||||||
Equinix 5.75% 1/1/25 | 1,105,000 | 1,099,475 | ||||||
Hughes Satellite Systems 7.625% 6/15/21 | 1,050,000 | 1,159,147 | ||||||
Intelsat Luxembourg | ||||||||
7.75% 6/1/21 | 1,810,000 | 1,518,137 | ||||||
8.125% 6/1/23 | 4,805,000 | 4,012,175 | ||||||
Level 3 Communications 5.75% 12/1/22 | 1,080,000 | 1,074,600 | ||||||
Level 3 Financing 144A 5.375% 5/1/25 # | 1,820,000 | 1,756,300 | ||||||
Millicom International Cellular 144A 6.625% 10/15/21 # | 435,000 | 449,137 | ||||||
Sprint | ||||||||
7.125% 6/15/24 | 2,265,000 | 2,106,677 | ||||||
7.25% 9/15/21 | 1,455,000 | 1,422,263 | ||||||
7.875% 9/15/23 | 1,160,000 | 1,134,248 | ||||||
T-Mobile USA | ||||||||
6.00% 3/1/23 | 555,000 | 569,569 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Telecommunications (continued) |
| |||||||
T-Mobile USA | ||||||||
6.25% 4/1/21 | 925,000 | $ | 950,437 | |||||
6.375% 3/1/25 | 1,160,000 | 1,189,000 | ||||||
UPCB Finance IV 144A 5.375% 1/15/25 # | 495,000 | 474,953 | ||||||
Wind Acquisition Finance | ||||||||
144A 4.75% | 275,000 | 271,563 | ||||||
144A 7.375% | 1,710,000 | 1,733,513 | ||||||
Windstream Services | ||||||||
7.50% 6/1/22 | 130,000 | 114,725 | ||||||
7.50% 4/1/23 | 540,000 | 473,850 | ||||||
7.75% 10/1/21 | 595,000 | 547,400 | ||||||
Zayo Group 144A 6.00% 4/1/23 # | 2,400,000 | 2,376,480 | ||||||
|
| |||||||
34,595,644 | ||||||||
|
| |||||||
Utilities – 4.34% |
| |||||||
Abengoa Yield 144A 7.00% 11/15/19 # | 1,350,000 | 1,397,250 | ||||||
AES 5.50% 4/15/25 | 1,545,000 | 1,475,475 | ||||||
AES Gener 144A 8.375% 12/18/73 #• | 765,000 | 835,763 | ||||||
Calpine | ||||||||
5.375% 1/15/23 | 1,375,000 | 1,357,813 | ||||||
5.50% 2/1/24 | 835,000 | 812,037 | ||||||
DPL 144A 6.75% 10/1/19 # | 1,495,000 | 1,595,913 | ||||||
Dynegy | ||||||||
5.875% 6/1/23 | 1,075,000 | 1,056,187 | ||||||
144A 7.375% 11/1/22 # | 870,000 | 915,675 | ||||||
144A 7.625% 11/1/24 # | 1,155,000 | 1,227,187 | ||||||
Enel 144A 8.75% 9/24/73 #• | 2,024,000 | 2,330,130 | ||||||
GenOn Energy 9.875% 10/15/20 | 1,350,000 | 1,380,375 | ||||||
|
| |||||||
14,383,805 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 296,637,640 | ||||||
|
| |||||||
Senior Secured Loans – 5.03% « |
| |||||||
21st Century Oncology Tranche B 1st Lien 6.50% 4/28/22 | 720,000 | 714,600 | ||||||
Applied Systems 2nd Lien 7.50% 1/23/22 | 1,625,309 | 1,633,435 | ||||||
Atkore International 2nd Lien 7.75% 10/9/21 | 915,000 | 860,862 | ||||||
Avaya Tranche B-3 4.50% 10/26/17 | 701,365 | 698,691 | ||||||
BJ’s Wholesale Club 2nd Lien 8.50% 3/31/20 | 1,735,000 | 1,751,989 | ||||||
CD&R Millennium Holdco 6 (Mauser Holdings) 2nd Lien 8.25% 7/31/22 | 1,435,000 | 1,422,444 | ||||||
Drillship Ocean Ventures (Ocean Rig) Tranche B 1st Lien 5.50% 7/25/21 | 463,756 | 396,975 | ||||||
Flint Group 2nd Lien 8.25% 9/7/22 | 1,590,000 | 1,582,050 | ||||||
Green Energy Partners (Panda Stonewall) Tranche B 6.50% 11/13/21 | 1,015,000 | 1,030,859 |
High Yield Series-6
Table of Contents
Delaware VIP® High Yield Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Senior Secured Loans « (continued) |
| |||||||
iHeartCommunications (Clear Channel Communications) Tranche D 6.75% 1/30/19 | 970,000 | $ | 898,058 | |||||
Marina District Finance (Borgata) Tranche B 1st Lien 6.50% 8/15/18 | 1,490,318 | 1,506,552 | ||||||
Moxie Patriot Tranche B1 6.75% 12/19/20 | 695,000 | 697,606 | ||||||
Old HB (Hostess Brands) 1st Lien 6.75% 3/20/20 | 1,361,250 | 1,395,281 | ||||||
Panda Liberty (Moxie Liberty) Tranche B 7.50% 8/21/20 | 695,000 | 696,737 | ||||||
Rite Aid 2nd Lien 5.75% 8/21/20 | 693,000 | 700,507 | ||||||
Solenis International 2nd Lien 7.75% 7/31/22 | 715,000 | 693,774 | ||||||
|
| |||||||
Total Senior Secured Loans |
| 16,680,420 | ||||||
|
| |||||||
Number of shares | ||||||||
Common Stock – 0.00% |
| |||||||
Century Communications =† | 2,820,000 | 0 | ||||||
|
| |||||||
Total Common Stock (cost $85,371) |
| 0 | ||||||
|
| |||||||
Preferred Stock – 0.90% |
| |||||||
Ally Financial 144A 7.00% # | 1,902 | 1,931,421 | ||||||
GMAC Capital Trust I 8.125% • | 40,000 | 1,039,200 | ||||||
|
| |||||||
Total Preferred Stock (cost $2,856,005) | 2,970,621 | |||||||
|
| |||||||
Total Value of Securities – 98.35% |
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments – 2.85% |
| |||||||
Repurchase Agreements – 2.85% |
| |||||||
Bank of America Merrill Lynch 0.05%, dated 6/30/15, to be repurchased on 7/1/15, repurchase price $2,619,294 (collateralized by U.S. government obligations 0.125%-0.625% 4/15/17-6/30/17; market value $2,671,678) | 2,619,291 | $ | 2,619,291 | |||||
Bank of Montreal 0.07%, dated 6/30/15, to be repurchased on 7/1/15, repurchase price $4,365,493 (collateralized by U.S. government obligations 0.25%-8.00% 1/31/16-8/15/23; market value $4,452,794) | 4,365,485 | 4,365,485 | ||||||
BNP Paribas 0.08%, dated 6/30/15, to be repurchased on 7/1/15, repurchase price $2,452,203 (collateralized by U.S. government obligations 0.00%-6.375% 8/15/19-11/15/44; market value $2,501,243) | 2,452,197 | 2,452,197 | ||||||
|
| |||||||
Total Short-Term Investments | 9,436,973 | |||||||
|
| |||||||
$325,918,904 | ||||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2015, the aggregate value of Rule 144A securities was $173,442,307, which represents 52.34% of the Series’ net assets. See Note 9 in “Notes to financial statements.” | |
T | 100% of the income received was in the form of additional cash. | |
= | Security is being fair valued in accordance with the Series’ fair valuation policy. At June 30, 2015, the aggregate value of fair valued securities was $0, which represents 0.00% of the Series’ net assets. See Note 1 in “Notes to financial statements. | |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
† | Non-income-producing security. | |
• | Variable rate security. The rate shown is the rate as of June 30, 2015. Interest rates reset periodically. | |
« | Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more U.S. 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. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at June 30, 2015. |
High Yield Series-7
Table of Contents
Delaware VIP® High Yield Series
Schedule of investments (continued)
Unfunded Commitments
The Series may invest in floating rate loans. In connection with these investments, the Series may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Series to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Series earns a commitment fee, typically set as a percentage of the commitment amount. The following commitment was outstanding at June 30, 2015:
Borrower | Unfunded Amount | Cost | Value | Unrealized Appreciation (Depreciation) | ||||
SS&C Technologies | $1,660,000 | $1,660,000 | $1,660,000 | $— |
PIK – Payment-in-kind
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-8
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series | ||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 316,481,931 | ||
Short-term investments, at value2 | 9,436,973 | |||
Cash | 1,133,910 | |||
Interest receivable | 5,056,416 | |||
Receivable for securities sold | 4,674,890 | |||
Receivable for series shares sold | 172,173 | |||
|
| |||
Total assets | 336,956,293 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 2,912,035 | |||
Payable for series shares redeemed | 152,470 | |||
Investment management fees payable | 181,845 | |||
Other accrued expenses | 131,615 | |||
Distribution fees payable to affiliates | 41,536 | |||
Other affiliates payable | 7,129 | |||
Trustees’ fees and expenses payable | 1,058 | |||
Other liabilities | 2,148,795 | |||
|
| |||
Total liabilities | 5,576,483 | |||
|
| |||
Total Net Assets | $ | 331,379,810 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 333,638,783 | ||
Undistributed net investment income | 10,162,489 | |||
Accumulated net realized loss on investments | (5,268,812 | ) | ||
Net unrealized depreciation of investments | (7,152,650 | ) | ||
|
| |||
Total Net Assets | $ | 331,379,810 | ||
|
| |||
Standard Class: | ||||
Net assets | $ | 136,239,716 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 25,597,406 | |||
Net asset value per share | $ | 5.32 | ||
Service Class: | ||||
Net assets | $ | 195,140,094 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 36,751,050 | |||
Net asset value per share | $ | 5.31 | ||
1 Investments, at cost | $ | 323,634,581 | ||
2 Short-term investments, at cost | 9,436,973 |
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-9
Table of Contents
Delaware VIP® Trust —
Delaware VIP High Yield Series
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Interest | $ | 11,627,943 | ||
Dividends | 145,679 | |||
|
| |||
11,773,622 | ||||
|
| |||
Expenses: | ||||
Management fees | 1,123,989 | |||
Distribution expenses - Service Class | 310,168 | |||
Reports and statements to shareholders | 80,801 | |||
Accounting and administration expenses | 54,738 | |||
Audit and tax | 18,957 | |||
Legal fees | 15,469 | |||
Dividend disbursing and transfer agent fees and expenses | 14,621 | |||
Custodian fees | 9,581 | |||
Trustees’ fees and expenses | 8,745 | |||
Registration fees | 696 | |||
Other | 9,344 | |||
|
| |||
1,647,109 | ||||
Less expenses waived | (4 | ) | ||
Less waived distribution expenses - Service Class | (51,694 | ) | ||
|
| |||
Total operating expenses | 1,595,411 | |||
|
| |||
Net Investment Income | 10,178,211 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (5,003,449 | ) | ||
Foreign currencies | 269 | |||
Foreign currency exchange contracts | (14 | ) | ||
|
| |||
Net realized loss | (5,003,194 | ) | ||
Net change in unrealized appreciation (depreciation) | 807,436 | |||
|
| |||
Net Realized And Unrealized Loss | (4,195,758 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 5,982,453 | ||
|
|
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 10,178,211 | $ | 21,647,588 | ||||
Net realized gain (loss) | (5,003,194 | ) | 5,239,487 | |||||
Net change in unrealized appreciation | 807,436 | (27,141,773 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 5,982,453 | (254,698 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to | ||||||||
Net investment income: | ||||||||
Standard Class | (8,984,307 | ) | (10,368,298 | ) | ||||
Service Class | (12,848,401 | ) | (15,767,096 | ) | ||||
Net realized gain: | ||||||||
Standard Class | (1,883,806 | ) | (2,468,643 | ) | ||||
Service Class | (2,807,214 | ) | (3,893,110 | ) | ||||
|
|
|
| |||||
(26,523,728 | ) | (32,497,147 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 5,389,519 | 22,426,305 | ||||||
Service Class | 9,195,177 | 9,807,993 | ||||||
Net asset value of shares issued upon | ||||||||
Standard Class | 10,868,113 | 12,836,941 | ||||||
Service Class | 15,655,615 | 19,660,206 | ||||||
|
|
|
| |||||
41,108,424 | 64,731,445 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (11,249,558 | ) | (33,648,960 | ) | ||||
Service Class | (25,780,618 | ) | (52,720,079 | ) | ||||
|
|
|
| |||||
(37,030,176 | ) | (86,369,039 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets derived from capital share transactions | 4,078,248 | (21,637,594 | ) | |||||
|
|
|
| |||||
Net Decrease in Net Assets | (16,463,027 | ) | (54,389,439 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 347,842,837 | 402,232,276 | ||||||
|
|
|
| |||||
End of period | $ | 331,379,810 | $ | 347,842,837 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 10,162,489 | $ | 21,816,986 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-10
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP High Yield Series Standard Class | ||||||||||||||||||||||||||||||
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
6/30/151 | Year ended | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ 5.670 | $ | 6.190 | $ | 6.110 | $ | 5.680 | $ | 6.040 | $ | 5.670 | |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.168 | 0.341 | 0.385 | 0.440 | 0.468 | 0.484 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.068 | ) | (0.341 | ) | 0.157 | 0.519 | (0.309 | ) | 0.349 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.100 | — | 0.542 | 0.959 | 0.159 | 0.833 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.372 | ) | (0.420 | ) | (0.462 | ) | (0.529 | ) | (0.519 | ) | (0.463 | ) | ||||||||||||||||||
Net realized gain | (0.078 | ) | (0.100 | ) | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.450 | ) | (0.520 | ) | (0.462 | ) | (0.529 | ) | (0.519 | ) | (0.463 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ 5.320 | $ | 5.670 | $ | 6.190 | $ | 6.110 | $ | 5.680 | $ | 6.040 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 1.62% | (0.29% | ) | 9.22% | 17.82% | 2.38% | 15.32% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $136,240 | $ | 139,666 | $ | 151,253 | $ | 147,293 | $ | 117,636 | $ | 127,294 | |||||||||||||||||||
Ratio of expenses to average net assets | 0.77% | 0.75% | 0.74% | 0.74% | 0.74% | 0.76% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 6.04% | 5.67% | 6.34% | 7.52% | 8.02% | 8.42% | ||||||||||||||||||||||||
Portfolio turnover | 52% | 103% | 88% | 76% | 78% | 115% |
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 | 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. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-11
Table of Contents
Delaware VIP® High Yield Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP High Yield Series Service Class | ||||||||||||||||||||||||||||||
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
6/30/151 | Year ended | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ 5.650 | $ | 6.170 | $ | 6.090 | $ | 5.670 | $ | 6.020 | $ | 5.660 | |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.161 | 0.325 | 0.369 | 0.424 | 0.454 | 0.469 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.066 | ) | (0.340 | ) | 0.158 | 0.510 | (0.299 | ) | 0.342 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.095 | (0.015 | ) | 0.527 | 0.934 | 0.155 | 0.811 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.357 | ) | (0.405 | ) | (0.447 | ) | (0.514 | ) | (0.505 | ) | (0.451 | ) | ||||||||||||||||||
Net realized gain | (0.078 | ) | (0.100 | ) | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.435 | ) | (0.505 | ) | (0.447 | ) | (0.514 | ) | (0.505 | ) | (0.451 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ 5.310 | $ | 5.650 | $ | 6.170 | $ | 6.090 | $ | 5.670 | $ | 6.020 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 1.54% | (0.54% | ) | 8.98% | 17.35% | 2.33% | 14.91% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $195,140 | $ | 208,177 | $ | 250,979 | $ | 274,221 | $ | 266,435 | $ | 343,403 | |||||||||||||||||||
Ratio of expenses to average net assets | 1.02% | 1.00% | 0.99% | 0.99% | 0.99% | 1.01% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.07% | 1.05% | 1.04% | 1.04% | 1.04% | 1.06% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 5.79% | 5.42% | 6.09% | 7.27% | 7.77% | 8.17% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 5.74% | 5.37% | 6.04% | 7.22% | 7.72% | 8.12% | ||||||||||||||||||||||||
Portfolio turnover | 52% | 103% | 88% | 76% | 78% | 115% |
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 | 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 all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
High Yield Series-12
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP High Yield Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek total return and, as a secondary objective, high current income.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on The Nasdaq Stock Market 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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security.
Federal Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
Use of Estimates—The Series is an investment company, whose financial statements are prepared. in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively over the lives of the respective securities using the effective interest method. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
High Yield Series-13
Table of Contents
Delaware VIP® High Yield Series
Notes to financial statements
1. Significant Accounting Policies (continued)
The Series 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, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
The manager has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale and dividend 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) in order to prevent annual series operating expenses from exceeding 0.74% of the Series’ average daily net assets from April 29, 2015 through June 30, 2015.*
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $8,159 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $12,969 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 through June 30, 2015** in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. For the six months ended June 30, 2015, the Series was charged $4,824 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
*The contractual waiver period is from April 29, 2015 through April 30, 2016. Prior to April 29, 2015, there was no waiver for the Series.
**The contractual waiver period is from April 30, 2014 through April 30, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 171,696,554 | |||
Sales | 185,732,226 |
High Yield Series-14
Table of Contents
Delaware VIP® High Yield Series
Notes to financial statements
3. Investments (continued)
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized | |||
$333,060,727 | $3,776,905 | $(10,918,728) | $(7,141,823) |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Corporate Debt | $ | — | $ | 296,830,890 | $ — | $ | 296,830,890 | |||||||||||||
Senior Secured Loans | — | 16,680,420 | — | 16,680,420 | ||||||||||||||||
Common Stock | — | — | — | — | ||||||||||||||||
Preferred Stock1 | 1,039,200 | 1,931,421 | — | 2,970,621 | ||||||||||||||||
Short-Term Investments | — | 9,436,973 | — | 9,436,973 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,039,200 | $ | 324,879,704 | $ — | $ | 325,918,904 | |||||||||||||
|
|
|
|
|
|
|
|
1Security type is valued across multiple levels. The amount attributed to Level 1 investments and Level 2 investments represents the following percentages of the total market value of these security types for the Series. Level 1 investments represent exchange-traded investments, while Level 2 investments represent investments with observable inputs or matrix priced investments.
Level 1 | Level 2 | Total | |||||||||||||
Preferred Stock | 34.98 | % | 65.02 | % | 100.00 | % |
The securities that have been deemed worthless on the “Schedule of investments” are considered to be Level 3 investments in these tables.
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
High Yield Series-15
Table of Contents
Delaware VIP® High Yield Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||
Shares sold: | ||||||||
Standard Class | 960,041 | 3,708,459 | ||||||
Service Class | 1,625,788 | 1,635,640 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 2,005,187 | 2,186,872 | ||||||
Service Class | 2,893,829 | 3,354,984 | ||||||
|
|
|
| |||||
7,484,845 | 10,885,955 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Standard Class | (2,013,102 | ) | (5,685,630 | ) | ||||
Service Class | (4,634,601 | ) | (8,804,545 | ) | ||||
|
|
|
| |||||
(6,647,703 | ) | (14,490,175 | ) | |||||
|
|
|
| |||||
Net increase (decrease) | 837,142 | (3,604,220 | ) | |||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty. At June 30, 2015, no foreign currency exchange contracts were outstanding at June 30, 2015.
During the six months ended June 30, 2015, the Series entered into foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2015, the Series had foreign currency risk, which is disclosed as “Net realized gain on foreign currency exchange contracts” in the “Statement of operations.”
High Yield Series-16
Table of Contents
Delaware VIP® High Yield Series
Notes to financial statements
6. Derivatives (continued)
Futures Contracts
A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Series may use futures in the normal course of pursuing its investment objectives. The Series uses futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity and minimizing costs. The Series may invest in financial futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in prevailing interest rates or market conditions. Upon entering into a futures contract, the Series deposits cash or pledges U.S government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Series because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.
During the six months ended June 30, 2015, the Series had no futures contracts outstanding.
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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), 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 Series does not offset derivative assets and derivatives liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||
Bank of America Merrill Lynch | $2,619,291 | $(2,619,291) | $— | $— | ||||||
Bank of Montreal | 4,365,485 | (4,365,485) | — | — | ||||||
BNP Paribas | 2,452,197 | (2,452,197) | — | — | ||||||
Total | $9,436,973 | $(9,436,973) | $— | $— |
(a) Net amount represents the receivable/(payable) that would be due from/(to) the counterparty in the event of default.
8. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (i) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (ii) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which,
High Yield Series-17
Table of Contents
Delaware VIP® High Yield Series
Notes to financial statements
8. Securities Lending (continued)
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 is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization, and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series, or at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent and the borrower. The Series records security lending income net of allocations to the security lending agent, and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
9. Credit and Market Risk
The Series invests in high yield fixed income securities, which are securities rated lower than BBB- by S&P and Baa3 or lower 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.
The Series 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 Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Series 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 Series 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 Series may involve revolving credit facilities or other standby financing commitments that obligate the Series to pay additional cash on a certain date or on demand. These commitments may require the Series to increase its investment in a company at a time when the Series 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 Series 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.
As the Series may be required to rely upon another lending institution to collect and pass on to the Series amounts payable with respect to the loan and to enforce the Series’ rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Series 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 Series.
The Series may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A 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 Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to
High Yield Series-18
Table of Contents
Delaware VIP® High Yield Series
Notes to financial statements
9. Credit and Market Risk (continued)
DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 15% limit on investments in illiquid securities. As of June 30, 2015, no securities held by the Series have been determined to be illiquid under the Series’ Liquidity Procedures. Rule 144A securities have been identified on the “Schedule of investments.”
10. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statements.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
High Yield Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares Voted | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. Sevilla- Sacasa | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 95.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
High Yield Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
High Yield Series-21
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series |
| |||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
High Yield Series-22
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series |
| |||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
High Yield Series-23
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series |
| |||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series |
| |||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
High Yield Series-24
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series |
| |||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
High Yield Series-25
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
Other Series Information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
High Yield Series-26
Table of Contents
Delaware VIP® Trust — Delaware VIP High Yield Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPHY 20546 [8/15] (14966) | High Yield Series-27 |
Table of Contents
Delaware VIP® Trust
| ||
Delaware VIP International Value Equity Series
| ||
Semiannual report
| ||
June 30, 2015
| ||
|
Table of Contents
Investments in Delaware VIP® International Value Equity Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP International Value Equity Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP International Value Equity Series
Disclosure of Series expenses
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||
| ||||||||||||||
Actual Series return† | ||||||||||||||
Standard Class | $1,000.00 | $1,064.20 | 1.06% | $5.43 | ||||||||||
Service Class | 1,000.00 | 1,062.60 | 1.31% | 6.70 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Standard Class | $1,000.00 | $1,019.54 | 1.06% | $5.31 | ||||||||||
Service Class | 1,000.00 | 1,018.30 | 1.31% | 6.56 | ||||||||||
|
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
International Value Equity Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP International Value Equity Series
Security type / country and sector allocations
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | |
| ||
Common Stock by Country | 95.86% | |
Australia | 1.22% | |
Canada | 6.07% | |
China/Hong Kong | 5.59% | |
Denmark | 1.99% | |
France | 15.69% | |
Germany | 3.94% | |
Indonesia | 1.38% | |
Israel | 4.35% | |
Italy | 2.57% | |
Japan | 23.31% | |
Netherlands | 4.41% | |
Norway | 0.17% | |
Russia | 1.12% | |
Sweden | 5.53% | |
Switzerland | 6.32% | |
United Kingdom | 12.20% | |
| ||
Short-Term Investments | 3.89% | |
| ||
Securities Lending Collateral | 5.99% | |
| ||
Total Value of Securities | 105.74% | |
| ||
Obligation to Return Securities Lending Collateral | (5.99)% | |
| ||
Receivables and Other Assets Net of Liabilities | 0.25% | |
| ||
Total Net Assets | 100.00% | |
| ||
Common stock by sector | Percentage of net assets | |
| ||
Consumer Discretionary | 14.22% | |
Consumer Staples | 10.10% | |
Energy | 5.43% | |
Financials | 19.46% | |
Healthcare | 13.05% | |
Industrials | 14.76% | |
Information Technology | 6.86% | |
Materials | 4.14% | |
Telecommunication Services | 6.76% | |
Utilities | 1.08% | |
| ||
Total | 95.86% | |
|
International Value Equity Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP International Value Equity Series
Schedule of investments
June 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
Common Stock – 95.86% D | ||||||||
Australia – 1.22% | ||||||||
Coca-Cola Amatil | 111,809 | $ | 789,080 | |||||
|
| |||||||
789,080 | ||||||||
|
| |||||||
Canada – 6.07% | ||||||||
AuRico Gold | 108,735 | 310,746 | ||||||
CGI Group Class A † | 48,714 | 1,904,962 | ||||||
Suncor Energy | 33,000 | 908,742 | ||||||
WestJet Airlines @ | 27,385 | 573,042 | ||||||
Yamana Gold | 73,683 | 221,780 | ||||||
|
| |||||||
3,919,272 | ||||||||
|
| |||||||
China/Hong Kong – 5.59% | ||||||||
CNOOC | 738,000 | 1,047,295 | ||||||
Techtronic Industries | 272,359 | 892,474 | ||||||
Yue Yuen Industrial Holdings | 499,000 | 1,670,543 | ||||||
|
| |||||||
3,610,312 | ||||||||
|
| |||||||
Denmark – 1.99% | ||||||||
Carlsberg Class B | 14,141 | 1,283,337 | ||||||
|
| |||||||
1,283,337 | ||||||||
|
| |||||||
France – 15.69% | ||||||||
AXA | 90,868 | 2,291,691 | ||||||
Kering * | 4,694 | 837,781 | ||||||
Publicis Groupe * | 8,012 | 592,169 | ||||||
Rexel | 36,263 | 584,376 | ||||||
Sanofi | 21,589 | 2,123,042 | ||||||
Teleperformance * | 20,097 | 1,419,304 | ||||||
TOTAL | 18,441 | 895,432 | ||||||
Vinci | 23,948 | 1,384,618 | ||||||
|
| |||||||
10,128,413 | ||||||||
|
| |||||||
Germany – 3.94% | ||||||||
Deutsche Post * | 47,149 | 1,376,947 | ||||||
STADA Arzneimittel | 34,632 | 1,167,711 | ||||||
|
| |||||||
2,544,658 | ||||||||
|
| |||||||
Indonesia – 1.38% | ||||||||
Bank Rakyat Indonesia Persero | 1,148,655 | 891,699 | ||||||
|
| |||||||
891,699 | ||||||||
|
| |||||||
Israel – 4.35% | ||||||||
Teva Pharmaceutical Industries ADR | 47,500 | 2,807,250 | ||||||
|
| |||||||
2,807,250 | ||||||||
|
| |||||||
Italy – 2.57% | ||||||||
Saipem *† | 51,357 | 542,300 | ||||||
UniCredit | 165,690 | 1,112,536 | ||||||
|
| |||||||
1,654,836 | ||||||||
|
| |||||||
Japan – 23.31% | ||||||||
East Japan Railway | 18,956 | 1,705,947 | ||||||
ITOCHU | 138,035 | 1,824,445 | ||||||
Japan Tobacco | 41,800 | 1,489,855 | ||||||
Mitsubishi UFJ Financial Group | 367,635 | 2,643,823 | ||||||
Nippon Telegraph & Telephone | 60,518 | 2,193,122 | ||||||
Nitori Holdings | 21,858 | 1,783,087 | ||||||
Sumitomo Rubber Industries | 71,100 | 1,102,474 |
Number of shares | Value (U.S. $) | |||||||
Common Stock D (continued) | ||||||||
Japan (continued) | ||||||||
Toyota Motor | 34,343 | $ | 2,302,727 | |||||
|
| |||||||
15,045,480 | ||||||||
|
| |||||||
Netherlands – 4.41% | ||||||||
ING Groep CVA | 100,141 | 1,652,828 | ||||||
Koninklijke Philips | 46,947 | 1,193,944 | ||||||
|
| |||||||
2,846,772 | ||||||||
|
| |||||||
Norway – 0.17% | ||||||||
Subsea 7 * | 11,204 | 109,660 | ||||||
|
| |||||||
109,660 | ||||||||
|
| |||||||
Russia – 1.12% | ||||||||
Mobile TeleSystems ADR | 74,000 | 723,720 | ||||||
|
| |||||||
723,720 | ||||||||
|
| |||||||
Sweden – 5.53% | ||||||||
Nordea Bank | 170,460 | 2,125,444 | ||||||
Tele2 Class B | 124,145 | 1,443,155 | ||||||
|
| |||||||
3,568,599 | ||||||||
|
| |||||||
Switzerland – 6.32% | ||||||||
Aryzta † | 35,563 | 1,753,615 | ||||||
Novartis | 23,575 | 2,323,710 | ||||||
|
| |||||||
4,077,325 | ||||||||
|
| |||||||
United Kingdom – 12.20% | ||||||||
Meggitt | 120,768 | 884,941 | ||||||
National Grid | 54,530 | 700,112 | ||||||
Playtech | 85,877 | 1,104,331 | ||||||
Rexam | 141,368 | 1,226,010 | ||||||
Rio Tinto | 22,207 | 912,009 | ||||||
Standard Chartered | 114,992 | 1,840,966 | ||||||
Tesco | 360,624 | 1,204,258 | ||||||
|
| |||||||
7,872,627 | ||||||||
|
| |||||||
Total Common Stock | 61,873,040 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 3.89% | ||||||||
Discount Notes – 1.81% ≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.04% 7/21/15 | 42,837 | 42,837 | ||||||
0.05% 8/14/15 | 124,063 | 124,058 | ||||||
0.055% 7/31/15 | 98,462 | 98,461 | ||||||
0.065% 8/5/15 | 59,716 | 59,715 | ||||||
0.065% 9/2/15 | 171,349 | 171,334 | ||||||
0.07% 8/11/15 | 148,800 | 148,795 | ||||||
0.08% 7/17/15 | 45,845 | 45,845 | ||||||
0.08% 7/22/15 | 61,127 | 61,126 | ||||||
0.095% 7/14/15 | 106,648 | 106,648 | ||||||
0.10% 10/23/15 | 171,349 | 171,301 | ||||||
Freddie Mac 0.075% 10/1/15 | 138,875 | 138,843 | ||||||
|
| |||||||
1,168,963 | ||||||||
|
|
International Value Equity Series-3
Table of Contents
Delaware VIP® International Value Equity Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments (continued) | ||||||||
Repurchase Agreements – 2.08% | ||||||||
Bank of America Merrill Lynch | 372,188 | $ | 372,188 | |||||
Bank of Montreal | 620,314 | 620,314 |
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments (continued) | ||||||||
Repurchase Agreements (continued) | ||||||||
BNP Paribas | 348,445 | $ | 348,445 | |||||
|
| |||||||
1,340,947 | ||||||||
|
| |||||||
Total Short-Term Investments | 2,509,910 | |||||||
|
| |||||||
Securities Lending Collateral – 5.99% ** | ||||||||
Investment Company | ||||||||
Delaware Investments® Collateral Fund No. 1 | 3,864,116 | 3,864,116 | ||||||
|
| |||||||
Total Securities Lending Collateral | 3,864,116 | |||||||
|
|
Total Value of Securities – 105.74% |
| $ | 68,247,066 | ||
|
|
* | Fully or partially on loan. | |
** | See Note 8 in “Notes to financial statements” for additional information on securities lending collateral and non-cash collateral. | |
@ | Illiquid security. At June 30, 2015, the aggregate value of illiquid securities was $573,042, which represents 0.89% of the Series’ net assets. See Note 9 in “Notes to financial statements.” | |
≠ | The rate shown is the effective yield at the time of purchase. | |
n | Includes $1,434,722 of securities loaned. | |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
† | Non-income-producing security. | |
D | Securities have been classified by country of origin. Aggregate classification by business sectors has been presented on page 2 in “Security type / country and sector allocations.” |
The following foreign currency exchange contracts were outstanding at June 30, 2015:1
Foreign Currency Exchange Contract
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||
BNYM | EUR | (15,852) | USD | 17,769 | 7/1/15 | $102 | ||||||
BNYM | SEK | 147,518 | USD | (17,796) | 7/1/15 | (7) | ||||||
$ 95 |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Series’ total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Series’ net assets.
1See Note 6 in “Notes to financial statements.”
International Value Equity Series-4
Table of Contents
Delaware VIP® International Value Equity Series
Schedule of investments (continued)
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – BNY Mellon
CVA – Dutch Certificate
EUR – European Monetary Unit
SEK – Swedish Krona
USD – U.S. Dollar
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-5
Table of Contents
Delaware VIP® Trust — Delaware VIP International Value Equity Series
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 61,873,040 | ||
Short-term investments, at value2 | 2,509,910 | |||
Short-term investments held as collateral for loaned securities, at value3 | 3,864,116 | |||
Cash | 38,735 | |||
Dividends and interest receivable | 243,174 | |||
Receivable for series shares sold | 46,191 | |||
Securities lending income receivable | 557 | |||
Unrealized gain on foreign currency exchange contracts | 102 | |||
|
| |||
Total assets | 68,575,825 | |||
|
| |||
Liabilities: | ||||
Foreign currency overdraft, at value4 | 19,218 | |||
Obligation to return securities lending collateral | 3,864,116 | |||
Payable for series shares redeemed | 32,004 | |||
Other accrued expenses | 70,180 | |||
Investment management fees payable | 45,976 | |||
Other affiliates payable | 1,657 | |||
Trustees’ fees and expenses payable | 199 | |||
Distribution fees payable | 40 | |||
Unrealized loss on foreign currency exchange contracts | 7 | |||
|
| |||
Total liabilities | 4,033,397 | |||
|
| |||
Total Net Assets | $ | 64,542,428 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 78,645,896 | ||
Undistributed net investment income | 889,537 | |||
Accumulated net realized loss on investments | (18,892,191 | ) | ||
Net unrealized appreciation of investments and derivatives | 3,899,186 | |||
|
| |||
Total Net Assets | $ | 64,542,428 | ||
|
| |||
Net Assets Value: | ||||
Standard Class: | ||||
Net assets | $ | 64,321,977 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 5,601,106 | |||
Net asset value per share | $ | 11.48 | ||
Service Class: | ||||
Net assets | $ | 220,451 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 19,218 | |||
Net asset value per share | $ | 11.47 |
1Investments, at cost | $ | 57,974,223 | ||
2Short-term investments, at cost | 2,509,881 | |||
3Short-term investments held as collateral for loaned securities, at cost | 3,864,116 | |||
4Foreign currency, at cost | (19,374 | ) |
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-6
Table of Contents
Delaware VIP International Value Equity Series
Statement of operations
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $1,365,968 | |||
Securities lending income | 1,945 | |||
Interest | 634 | |||
Foreign tax withheld | (141,403 | ) | ||
|
| |||
1,227,144 | ||||
|
| |||
Expenses: | ||||
Management fees | 268,898 | |||
Reports and statements to shareholders | 19,551 | |||
Audit and tax | 17,372 | |||
Accounting and administration expenses | 10,008 | |||
Custodian fees | 7,335 | |||
Dividend disbursing and transfer agent fees and expenses | 2,721 | |||
Legal fees | 2,713 | |||
Trustees’ fees and expenses | 1,545 | |||
Registration fees | 406 | |||
Distribution expenses - Service Class | 246 | |||
Other | 3,360 | |||
|
| |||
334,155 | ||||
Less waived distribution expenses - Service Class | (41 | ) | ||
|
| |||
Total operating expenses | 334,114 | |||
|
| |||
Net Investment Income | 893,030 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,856,922 | |||
Foreign currencies | (7,930 | ) | ||
Foreign currency exchange contracts | 6,086 | |||
|
| |||
Net realized gain | 1,855,078 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | 985,310 | |||
Foreign currencies | 3,679 | |||
Foreign currency exchange contracts | 75 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | 989,064 | |||
|
| |||
Net Realized and Unrealized Gain | 2,844,142 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $3,737,172 | |||
|
|
Delaware VIP International Value Equity Series
Statements of changes in net assets
Six months | ||||||||
ended | ||||||||
6/30/15 | Year ended | |||||||
(Unaudited) | 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 893,030 | $ | 1,297,438 | ||||
Net realized gain | 1,855,078 | 1,814,232 | ||||||
Net change in unrealized appreciation (depreciation) | 989,064 | (8,645,455 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 3,737,172 | (5,533,785 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (1,218,855 | ) | (783,770 | ) | ||||
Service Class | (2,423 | ) | (257 | ) | ||||
|
|
|
| |||||
(1,221,278 | ) | (784,027 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 6,253,193 | 16,409,946 | ||||||
Service Class | 92,260 | 181,811 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 1,218,855 | 783,770 | ||||||
Service Class | 2,423 | 257 | ||||||
|
|
|
| |||||
7,566,731 | 17,375,784 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (3,645,151 | ) | (10,639,062 | ) | ||||
Service Class | (37,293 | ) | (34,966 | ) | ||||
|
|
|
| |||||
(3,682,444 | ) | (10,674,028 | ) | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions | 3,884,287 | 6,701,756 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 6,400,181 | 383,944 | ||||||
Net Assets: | ||||||||
Beginning of period | 58,142,247 | 57,758,303 | ||||||
|
|
|
| |||||
End of period | $ | 64,542,428 | $ | 58,142,247 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 889,537 | $ | 1,217,785 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-7
Table of Contents
Delaware VIP® Trust — Delaware VIP International Value Equity Series
Financial highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP International Value Equity Series Standard Class | ||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/151 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.990 | $ | 12.190 | $ | 10.090 | $ | 8.980 | $ | 10.610 | $ | 9.920 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.164 | 0.254 | 0.176 | 0.177 | 0.243 | 0.155 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.551 | (1.297 | ) | 2.094 | 1.171 | (1.745 | ) | 0.903 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.715 | (1.043 | ) | 2.270 | 1.348 | (1.502 | ) | 1.058 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.225 | ) | (0.157 | ) | (0.170 | ) | (0.238 | ) | (0.128 | ) | (0.368 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (0.225 | ) | (0.157 | ) | (0.170 | ) | (0.238 | ) | (0.128 | ) | (0.368 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 11.480 | $ | 10.990 | $ | 12.190 | $ | 10.090 | $ | 8.980 | $ | 10.610 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 6.42% | (8.67% | ) | 22.78% | 15.20% | (14.43% | ) | 10.92% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 64,322 | $ | 57,986 | $ | 57,733 | $ | 47,122 | $ | 43,036 | $ | 56,941 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.06% | 1.07% | 1.09% | 1.07% | 1.05% | 1.07% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.06% | 1.07% | 1.09% | 1.07% | 1.08% | 1.07% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.82% | 2.13% | 1.59% | 1.88% | 2.32% | 1.60% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.82% | 2.13% | 1.59% | 1.88% | 2.29% | 1.60% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 7% | 27% | 28% | 36% | 47% | 40% |
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 | 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. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-8
Table of Contents
Delaware VIP® International Value Equity Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP International Value Equity Series Service Class | ||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/151 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.970 | $ | 12.160 | $ | 10.070 | $ | 8.970 | $ | 10.600 | $ | 9.910 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.149 | 0.223 | 0.148 | 0.154 | 0.214 | 0.131 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.546 | (1.284 | ) | 2.088 | 1.158 | (1.740 | ) | 0.907 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.695 | (1.061 | ) | 2.236 | 1.312 | (1.526 | ) | 1.038 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.195 | ) | (0.129 | ) | (0.146 | ) | (0.212 | ) | (0.104 | ) | (0.348 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (0.195 | ) | (0.129 | ) | (0.146 | ) | (0.212 | ) | (0.104 | ) | (0.348 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 11.470 | $ | 10.970 | $ | 12.160 | $ | 10.070 | $ | 8.970 | $ | 10.600 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 6.26% | (8.82% | ) | 22.45% | 14.79% | (14.62% | ) | 10.71% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 220 | $ | 156 | $ | 25 | $ | 30 | $ | 17 | $ | 12 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.31% | 1.32% | 1.34% | 1.32% | 1.30% | 1.32% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.36% | 1.37% | 1.39% | 1.37% | 1.38% | 1.37% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.57% | 1.88% | 1.34% | 1.63% | 2.07% | 1.35% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.52% | 1.83% | 1.29% | 1.58% | 1.99% | 1.30% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 7% | 27% | 28% | 36% | 47% | 40% |
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 | 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 all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
International Value Equity Series-9
Table of Contents
Delaware VIP® Trust — Delaware VIP International Value Equity Series
Notes to financial statements
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP International Value Equity Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term growth without undue risk to principal.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on The Nasdaq Stock Market, 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. 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Open-end investment company securities are valued at net asset value per share, as reported by the underlying investment company. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Series may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests in that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
Foreign Currency Transactions—Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. The changes are included on the “Statement of operations” under “Net realized and unrealized gain (loss) on investments.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates—The Series is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
International Value Equity Series-10
Table of Contents
Delaware VIP® International Value Equity Series
Notes to financial statements
1. Significant Accounting Policies (continued)
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are amortized to interest income over the lives of the respective securities using the effective interest method. Taxable non-cash dividends are recorded as dividend income. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates.
The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no earnings credits for the six months ended June 30, 2015.
The Series may receive 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.85% on the first $500 million of average daily net assets of the Series, 0.80% on the next $500 million, 0.75% on the next $1.5 billion, and 0.70% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2015, the Series was charged $1,492 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $2,373 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 through June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. This amount is included on the “Statement of operations” under “Legal fees.” For the six months ended June 30, 2015, the Series was charged $866 for internal legal, tax, and regulatory services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
*The contractual waiver period is from April 30, 2014 through April 29, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 7,546,812 | ||
Sales | 4,561,961 |
International Value Equity Series-11
Table of Contents
Delaware VIP® International Value Equity Series
Notes to financial statements
3. Investments (continued)
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||
$64,348,220 | $13,965,107 | $(10,066,261) | $3,898,846 |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at Dec. 31, 2014 of $19,991,384, will expire as follows: $7,267,563 expires in 2016 and $12,723,821 expires in 2017.
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation. As of Dec. 31, 2014, the Series had no capital loss carryforwards under the Act.
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | ||||||||||
Common Stock | $ | 61,873,040 | $ | — | $ | 61,873,040 | ||||||
Securities Lending Collateral | — | 3,864,116 | 3,864,116 | |||||||||
Short-Term Investments | — | 2,509,910 | 2,509,910 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 61,873,040 | $ | 6,374,026 | $ | 68,247,066 | ||||||
|
|
|
|
|
| |||||||
Foreign Currency Exchange Contract | $ | — | $ | 95 | $ | 95 | ||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. This does not include transfers between Level 1 investments and Level 2 investments due to the Series utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Series’ net asset value is
International Value Equity Series-12
Table of Contents
Delaware VIP® International Value Equity Series
Notes to financial statements
determined) are established using a separate pricing feed from a third party vendor designed to establish a price for each such security as of the time that the Series’ net asset value is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||
Shares sold: | ||||||||||
Standard Class | 535,276 | 1,362,794 | ||||||||
Service Class | 7,905 | 15,094 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Standard Class | 101,741 | 64,989 | ||||||||
Service Class | 202 | 21 | ||||||||
|
|
|
| |||||||
645,124 | 1,442,898 | |||||||||
|
|
|
| |||||||
Shares redeemed: | ||||||||||
Standard Class | (311,234 | ) | (889,775 | ) | ||||||
Service Class | (3,166 | ) | (2,898 | ) | ||||||
|
|
|
| |||||||
(314,400 | ) | (892,673 | ) | |||||||
|
|
|
| |||||||
Net increase | 330,724 | 550,225 | ||||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the six months then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
International Value Equity Series-13
Table of Contents
Delaware VIP® International Value Equity Series
Notes to financial statements
6. Derivatives (continued)
During the six months ended June 30, 2015, the Series entered into foreign currency exchange contracts to fix the U.S. dollar value of a security between trade date and settlement date and to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2015, the Series had foreign currency risk, which is disclosed as “Unrealized gain or loss on foreign currency exchange contracts” on the “Statement of assets and liabilities” and as “Net realized gain on foreign currency exchange contracts” on the “Statement of operations.”
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2015.
Long Derivatives Volume | Short Derivatives Volume | |||
Foreign currency exchange contracts (Average cost) | $76,753 | $41,977 |
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 requires 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), 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 Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
BNY Mellon | $102 | $(7) | $95 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount(a) | ||||||||||||||||||||||||
BNY Mellon | $95 | $— | $— | $— | $— | $95 |
Master Repurchase Agreements Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||||||
Bank of America Merrill Lynch | $ | 372,188 | $ | (372,188 | ) | $ | — | $ | — | |||||||||||
Bank of Montreal | 620,314 | (620,314 | ) | — | — | |||||||||||||||
Banque Paribas | 348,445 | (348,445 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,340,947 | $ | (1,340,947 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(a)Net represents the receivable/(payable) that would be due from/(to) the counterparty in an event of default.
8. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2)
International Value Equity Series-14
Table of Contents
Delaware VIP® International Value Equity Series
Notes to financial statements
8. Securities Lending (continued)
105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon 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 is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a collateral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the collateral investment pool that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
At June 30, 2015, the value of securities on loan was $1,434,722, for which the Series received collateral, comprised of non-cash collateral valued at $175,852, and cash collateral of $3,864,116. At June 30, 2015, the value of invested collateral was $3,864,116. Investments purchased with cash collateral are presented on the “Schedule of investments” under the caption “Securities Lending Collateral.”
9. Credit and Market Risk
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A 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 Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2015, there were no Rule 144A securities held by the Series. Illiquid securities have been identified on the “Schedule of investments.”
10. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
International Value Equity Series-15
Table of Contents
Delaware VIP® International Value Equity Series
Notes to financial statements
11. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statements.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
International Value Equity Series-16
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares Voted | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 96.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
International Value Equity Series-17
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
International Value Equity Series-18
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP REIT Series |
| |||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
International Value Equity Series-19
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP Value Series |
| |||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
International Value Equity Series-20
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP High Yield Series |
| |||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series |
| |||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
International Value Equity Series-21
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series |
| |||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
International Value Equity Series-22
Table of Contents
Delaware VIP® International Value Equity Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
International Value Equity Series-23
Table of Contents
Delaware VIP® International Value Equity Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPIVE 20547 [8/15] (14966) | International Value Equity Series-24 |
Table of Contents
Delaware VIP® Trust
| ||
Delaware VIP Limited-Term Diversified Income Series
| ||
Semiannual report
| ||
June 30, 2015 | ||
|
Table of Contents
Investments in Delaware VIP® Limited-Term Diversified Income Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP Limited-Term Diversified Income Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
For the six-month period January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||
| ||||||||||||
Actual Series return† | ||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,005.30 | 0.58% | $2.88 | ||||||
Service Class | 1,000.00 | 1,005.10 | 0.83% | 4.13 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,021.92 | 0.58% | $2.91 | ||||||
Service Class | 1,000.00 | 1,020.68 | 0.83% | 4.16 | ||||||||
|
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Limited-Term Diversified Income Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Security type / sector allocation
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | ||||
Agency Asset-Backed Security | 0.00 | % | |||
Agency Collateralized Mortgage Obligations | 0.59 | % | |||
Agency Mortgage-Backed Securities | 5.77 | % | |||
Commercial Mortgage-Backed Securities | 1.81 | % | |||
Convertible Bond | 0.12 | % | |||
Corporate Bonds | 57.29 | % | |||
Banking | 11.54 | % | |||
Basic Industry | 2.27 | % | |||
Brokerage | 0.49 | % | |||
Capital Goods | 1.84 | % | |||
Communications | 2.95 | % | |||
Consumer Cyclical | 5.48 | % | |||
Consumer Non-Cyclical | 12.24 | % | |||
Electric | 6.37 | % | |||
Energy | 4.58 | % | |||
Finance Companies | 0.81 | % | |||
Insurance | 0.87 | % | |||
Natural Gas | 1.81 | % | |||
Real Estate | 0.53 | % | |||
Technology | 3.74 | % | |||
Transportation | 1.77 | % | |||
Municipal Bond
|
| 0.45
| %
| ||
Non-Agency Asset-Backed Securities
|
| 27.62
| %
| ||
Non-Agency Collateralized Mortgage Obligations
|
| 0.86
| %
| ||
U.S. Treasury Obligations
|
| 4.54
| %
| ||
Preferred Stock
|
| 0.26
| %
| ||
Short-Term Investments
|
| 0.75
| %
| ||
Total Value of Securities |
| 100.06
| %
| ||
Liabilities Net of Receivables and Other Assets
|
| (0.06
| %)
| ||
Total Net Assets
|
| 100.00
| %
|
Limited-Term Diversified Income Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
June 30, 2015 (Unaudited)
Principal amount° | Value (U.S. $) | |||||||
Agency Asset-Backed |
| |||||||
Fannie Mae Grantor Trust | ||||||||
Series 2003-T4 2A5 5.268% 9/26/33 f | 21,369 | $ | 23,300 | |||||
|
| |||||||
Total Agency Asset-Backed Security |
| 23,300 | ||||||
|
| |||||||
Agency Collateralized Mortgage |
| |||||||
Fannie Mae Grantor Trust | ||||||||
Series 2001-T5 A2 6.99% 6/19/41 • | 16,793 | 19,027 | ||||||
Fannie Mae REMICs | ||||||||
Series 2002-90 A1 6.50% 6/25/42 | 524 | 599 | ||||||
Series 2003-52 NA 4.00% 6/25/23 | 69,699 | 73,354 | ||||||
Series 2003-120 BL 3.50% 12/25/18 | 148,851 | 153,460 | ||||||
Series 2004-49 EB 5.00% 7/25/24 | 15,013 | 16,259 | ||||||
Series 2005-66 FD 0.487% 7/25/35 • | 307,415 | 307,931 | ||||||
Series 2005-110 MB 5.50% 9/25/35 | 4,707 | 5,065 | ||||||
Series 2011-88 AB 2.50% 9/25/26 | 101,679 | 103,786 | ||||||
Series 2011-113 MC 4.00% 12/25/40 . | 166,093 | 174,498 | ||||||
Freddie Mac REMICs | ||||||||
Series 2326 ZQ 6.50% 6/15/31 | 21,097 | 23,976 | ||||||
Series 2931 GC 5.00% 1/15/34 | 27,459 | 27,983 | ||||||
Series 3016 FL 0.576% 8/15/35 • | 39,179 | 39,256 | ||||||
Series 3027 DE 5.00% 9/15/25 | 16,392 | 17,937 | ||||||
Series 3067 FA 0.536% 11/15/35 • | 1,303,267 | 1,307,964 | ||||||
Series 3232 KF 0.636% 10/15/36 • | 52,844 | 53,331 | ||||||
Series 3297 BF 0.426% 4/15/37 • | 481,204 | 483,058 | ||||||
Series 3416 GK 4.00% 7/15/22 | 3,473 | 3,489 | ||||||
Series 3737 NA 3.50% 6/15/25 | 92,263 | 97,112 | ||||||
Series 3780 LF 0.586% 3/15/29 • | 226,667 | 227,054 | ||||||
Series 3800 AF 0.686% 2/15/41 • | 2,879,757 | 2,905,168 | ||||||
Series 3803 TF 0.586% 11/15/28 • | 212,784 | 213,687 | ||||||
Series 4163 CW 3.50% 4/15/40 | 2,270,473 | 2,378,103 | ||||||
Freddie Mac Strips | ||||||||
Series 19 F 1.062% 6/1/28 • | 3,045 | 3,072 | ||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-54 2A 6.50% 2/25/43 ¿ | 976 | 1,146 | ||||||
Series T-58 2A 6.50% 9/25/43 ¿ | 22,349 | 25,485 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations (cost $8,604,035) |
| 8,661,800 | ||||||
|
| |||||||
Agency Mortgage-Backed |
| |||||||
Fannie Mae | ||||||||
4.00% 9/1/20 | 1,147,735 | 1,204,357 | ||||||
6.50% 8/1/17 | 1,401 | 1,444 | ||||||
7.00% 11/15/16 | 38 | 38 | ||||||
Fannie Mae ARM | ||||||||
1.487% 8/1/37 • | 250,838 | 262,060 | ||||||
1.914% 1/1/35 • | 753,017 | 790,623 | ||||||
2.088% 3/1/38 • | 3,411 | 3,612 |
Principal amount° | Value (U.S. $) | |||||||
Agency Mortgage-Backed |
| |||||||
Fannie Mae ARM | ||||||||
2.088% 9/1/38 • | 730,041 | $ | 786,711 | |||||
2.098% 8/1/37 • | 133,220 | 142,502 | ||||||
2.128% 8/1/34 • | 13,407 | 14,211 | ||||||
2.183% 9/1/35 • | 151,430 | 161,030 | ||||||
2.246% 8/1/36 • | 13,322 | 14,177 | ||||||
2.27% 4/1/36 • | 6,478 | 6,893 | ||||||
2.274% 11/1/35 • | 77,142 | 82,130 | ||||||
2.277% 10/1/33 • | 6,785 | 7,079 | ||||||
2.277% 7/1/36 • | 15,984 | 17,015 | ||||||
2.278% 12/1/33 • | 9,586 | 10,172 | ||||||
2.306% 7/1/36 • | 17,007 | 18,107 | ||||||
2.315% 11/1/35 • | 1,507 | 1,608 | ||||||
2.33% 6/1/36 • | 28,864 | 30,723 | ||||||
2.357% 4/1/36 • | 146,831 | 156,863 | ||||||
2.469% 6/1/34 • | 8,958 | 9,502 | ||||||
3.191% 4/1/44 • | 585,665 | 605,804 | ||||||
3.474% 1/1/41 • | 133,414 | 139,554 | ||||||
5.034% 8/1/35 • | 3,004 | 3,190 | ||||||
5.645% 8/1/37 • | 51,578 | 54,239 | ||||||
Fannie Mae Relocation 30 yr |
| |||||||
5.00% 1/1/34 | 13,481 | 14,746 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
3.00% 3/1/27 | 120,751 | 125,414 | ||||||
3.00% 11/1/27 | 7,881 | 8,185 | ||||||
3.00% 1/1/29 | 194,418 | 201,759 | ||||||
3.50% 11/1/27 | 265,941 | 281,474 | ||||||
3.50% 6/1/29 | 2,635,058 | 2,779,761 | ||||||
3.50% 8/1/29 | 153,481 | 162,355 | ||||||
4.00% 5/1/24 | 808,805 | 852,113 | ||||||
4.00% 11/1/25 | 3,108,390 | 3,323,178 | ||||||
4.00% 4/1/27 | 455,044 | 483,835 | ||||||
4.00% 5/1/27 | 1,436,291 | 1,534,837 | ||||||
4.50% 7/1/20 | 94,589 | 99,263 | ||||||
4.50% 9/1/20 | 418,387 | 436,925 | ||||||
5.00% 9/1/18 | 31,561 | 33,038 | ||||||
5.00% 10/1/18 | 633 | 671 | ||||||
5.00% 2/1/19 | 1,223 | 1,297 | ||||||
5.00% 9/1/25 | 2,805,012 | 3,050,606 | ||||||
5.50% 1/1/23 | 4,514 | 4,961 | ||||||
5.50% 4/1/23 | 11,203 | 12,228 | ||||||
6.00% 3/1/18 | 118,764 | 122,453 | ||||||
6.00% 8/1/22 | 11,478 | 12,536 | ||||||
8.00% 10/1/16 | 301 | 307 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
4.00% 1/1/31 | 341,693 | 364,794 | ||||||
4.00% 2/1/31 | 529,435 | 561,725 | ||||||
6.00% 9/1/29 | 394,208 | 447,053 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
4.50% 7/1/36 | 204,686 | 222,026 | ||||||
4.50% 4/1/40 | 194,906 | 211,187 | ||||||
4.50% 11/1/40 | 512,519 | 555,325 |
Limited-Term Diversified Income Series-3
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Agency Mortgage-Backed |
| |||||||
Fannie Mae S.F. 30 yr | ||||||||
4.50% 2/1/41 | 234,521 | $ | 254,070 | |||||
4.50% 3/1/41 | 993,844 | 1,076,059 | ||||||
4.50% 4/1/41 | 1,559,332 | 1,690,371 | ||||||
4.50% 10/1/41 | 604,291 | 655,931 | ||||||
4.50% 1/1/42 | 3,002,206 | 3,251,683 | ||||||
4.50% 12/1/43 | 84,938 | 91,827 | ||||||
4.50% 5/1/44 | 395,675 | 427,833 | ||||||
5.00% 4/1/33 | 165,656 | 183,669 | ||||||
5.00% 3/1/34 | 1,708 | 1,895 | ||||||
5.00% 2/1/36 | 271,427 | 300,212 | ||||||
5.00% 8/1/37 | 440,111 | 486,762 | ||||||
5.50% 12/1/32 | 37,740 | 42,553 | ||||||
5.50% 6/1/33 | 127,248 | 143,524 | ||||||
5.50% 3/1/35 | 184,992 | 208,924 | ||||||
5.50% 9/1/35 | 557,150 | 626,171 | ||||||
5.50% 12/1/35 | 193,503 | 217,734 | ||||||
5.50% 4/1/36 | 1,622,764 | 1,824,339 | ||||||
5.50% 5/1/36 | 462,794 | 519,628 | ||||||
5.50% 7/1/36 | 56,749 | 63,928 | ||||||
5.50% 9/1/36 | 62,452 | 70,131 | ||||||
5.50% 10/1/36 | 576,393 | 646,270 | ||||||
5.50% 2/1/37 | 3,670,945 | 4,118,077 | ||||||
5.50% 4/1/37 | 546,642 | 613,127 | ||||||
5.50% 6/1/37 | 733,866 | 822,772 | ||||||
5.50% 8/1/37 | 479,986 | 541,307 | ||||||
5.50% 1/1/38 | 7,010,534 | 7,860,079 | ||||||
5.50% 2/1/38 | 69,788 | 78,664 | ||||||
5.50% 6/1/38 | 1,498,030 | 1,679,879 | ||||||
5.50% 8/1/38 | 139,923 | 158,197 | ||||||
5.50% 11/1/39 | 948,420 | 1,063,317 | ||||||
5.50% 3/1/40 | 35,957 | 40,550 | ||||||
5.50% 9/1/41 | 790,440 | 886,666 | ||||||
6.00% 11/1/34 | 955 | 1,083 | ||||||
6.00% 4/1/36 | 4,640 | 5,265 | ||||||
6.00% 8/1/37 | 334,927 | 380,324 | ||||||
6.00% 1/1/38 | 100,163 | 113,557 | ||||||
6.00% 5/1/38 | 877,244 | 996,937 | ||||||
6.00% 10/1/38 | 740,396 | 842,084 | ||||||
6.00% 1/1/39 | 360,832 | 409,621 | ||||||
6.00% 2/1/39 | 452,782 | 516,183 | ||||||
6.50% 6/1/29 | 695 | 798 | ||||||
6.50% 1/1/34 | 736 | 872 | ||||||
6.50% 4/1/36 | 1,425 | 1,636 | ||||||
6.50% 6/1/36 | 3,807 | 4,444 | ||||||
6.50% 10/1/36 | 3,416 | 4,094 | ||||||
6.50% 8/1/37 | 490 | 563 | ||||||
7.00% 12/1/34 | 583 | 669 | ||||||
7.00% 12/1/35 | 785 | 891 | ||||||
7.00% 12/1/37 | 1,332 | 1,446 | ||||||
7.50% 6/1/31 | 5,881 | 7,110 |
Principal amount° | Value (U.S. $) | |||||||
Agency Mortgage-Backed |
| |||||||
Fannie Mae S.F. 30 yr | ||||||||
7.50% 4/1/32 | 225 | $ | 265 | |||||
7.50% 5/1/33 | 614 | 622 | ||||||
7.50% 6/1/34 | 282 | 329 | ||||||
9.00% 7/1/20 | 4,108 | 4,388 | ||||||
10.00% 8/1/19 | 2,108 | 2,147 | ||||||
Freddie Mac ARM | ||||||||
2.266% 10/1/36 • | 3,979 | 4,248 | ||||||
2.275% 10/1/37 • | 38,884 | 41,005 | ||||||
2.309% 4/1/34 • | 1,507 | 1,601 | ||||||
2.382% 7/1/36 • | 45,813 | 48,828 | ||||||
2.385% 7/1/38 • | 360,330 | 386,575 | ||||||
2.461% 4/1/33 • | 4,442 | 4,599 | ||||||
2.528% 1/1/44 • | 2,300,779 | 2,359,606 | ||||||
2.544% 6/1/37 • | 147,614 | 155,710 | ||||||
3.465% 5/1/42 • | 6,122,849 | 6,424,513 | ||||||
4.881% 8/1/38 • | 9,972 | 10,661 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
3.50% 9/1/29 | 8,252,576 | 8,722,971 | ||||||
4.00% 5/1/25 | 114,693 | 121,175 | ||||||
4.00% 8/1/25 | 408,335 | 435,042 | ||||||
4.00% 4/1/26 | 1,752,083 | 1,866,126 | ||||||
4.50% 6/1/26 | 314,921 | 337,586 | ||||||
5.00% 4/1/20 | 32,867 | 34,905 | ||||||
5.00% 12/1/22 | 5,705 | 5,961 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
5.50% 7/1/28 | 304,900 | 341,222 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
4.50% 10/1/39 | 276,593 | 299,366 | ||||||
4.50% 3/1/42 | 1,763,153 | 1,910,524 | ||||||
4.50% 10/1/43 | 205,008 | 222,351 | ||||||
5.50% 6/1/36 | 51,199 | 57,406 | ||||||
5.50% 5/1/37 | 445,951 | 502,497 | ||||||
5.50% 3/1/40 | 280,129 | 313,481 | ||||||
5.50% 8/1/40 | 985,353 | 1,102,429 | ||||||
5.50% 6/1/41 | 701,553 | 784,903 | ||||||
6.00% 2/1/36 | 685,338 | 781,381 | ||||||
6.00% 3/1/36 | 534,560 | 611,231 | ||||||
6.00% 1/1/38 | 102,852 | 116,375 | ||||||
6.00% 6/1/38 | 296,384 | 335,494 | ||||||
6.00% 8/1/38 | 1,233,388 | 1,399,747 | ||||||
7.00% 11/1/33 | 4,958 | 5,995 | ||||||
9.00% 4/1/17 | 202 | 210 | ||||||
GNMA I S.F. 15 yr | ||||||||
6.00% 1/15/22 | 558,721 | 614,472 | ||||||
GNMA I S.F. 30 yr | ||||||||
7.00% 12/15/34 | 19,993 | 24,020 | ||||||
7.50% 1/15/32 | 674 | 838 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities | 84,754,227 | |||||||
|
|
Limited-Term Diversified Income Series-4
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Commercial Mortgage-Backed |
| |||||||
Banc of America Commercial Mortgage Trust | ||||||||
Series 2006-1 AM 5.421% 9/10/45 • | 345,000 | $ | 349,503 | |||||
Series 2007-4 AM 6.003% 2/10/51 • | 205,000 | 220,122 | ||||||
CD Commercial Mortgage Trust | ||||||||
Series 2005-CD1 AJ 5.38% 7/15/44 • . | 1,705,000 | 1,716,009 | ||||||
Series 2005-CD1 AM | 1,850,000 | 1,862,647 | ||||||
CFCRE Commercial Mortgage Trust | 975,395 | 986,455 | ||||||
Citigroup Commercial Mortgage Trust | 760,000 | 804,918 | ||||||
Commercial Mortgage Trust | 780,000 | 814,561 | ||||||
DBUBS Mortgage Trust | ||||||||
Series 2011-LC1A A3 144A | 1,015,000 | 1,132,703 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2011-K15 B 144A | 125,000 | 136,722 | ||||||
Series 2011-K703 B 144A | 320,000 | 342,985 | ||||||
Series 2012-K22 B 144A | 1,115,000 | 1,135,419 | ||||||
Series 2012-K708 B 144A | 1,845,000 | 1,914,719 | ||||||
Series 2012-K711 B 144A | 120,000 | 124,365 | ||||||
Series 2013-K712 B 144A | 1,175,000 | 1,196,000 | ||||||
GS Mortgage Securities Trust | 915,000 | 920,191 | ||||||
Hilton USA Trust | ||||||||
Series 2013-HLT AFX 144A | 1,905,000 | 1,892,943 | ||||||
Series 2013-HLT AFX 144A | 2,420,000 | 2,428,366 | ||||||
JPMBB Commercial Mortgage Securities Trust | 714,811 | 713,059 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 2,606,000 | 2,708,043 | ||||||
LB-UBS Commercial Mortgage Trust | 1,550,000 | 1,610,275 |
Principal amount° | Value (U.S. $) | |||||||
Commercial Mortgage-Backed |
| |||||||
LB-UBS Commercial Mortgage Trust | 2,055,000 | $ | 2,146,922 | |||||
Morgan Stanley Capital I Trust | ||||||||
Series 2005-HQ7 AJ | 500,000 | 503,813 | ||||||
Series 2006-T21 AM | 25,000 | 25,428 | ||||||
Series 2006-T23 A4 6.01% 8/12/41 • | 805,573 | 831,530 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| 26,517,698 | ||||||
|
| |||||||
Convertible Bond – 0.12% |
| |||||||
Jefferies Group 3.875% exercise price $44.83, expiration date 10/31/29 | 1,645,000 | 1,685,097 | ||||||
|
| |||||||
Total Convertible Bond | 1,685,097 | |||||||
|
| |||||||
Corporate Bonds – 57.29% |
| |||||||
Banking – 11.54% | ||||||||
Abbey National Treasury Services | 4,065,000 | 4,055,671 | ||||||
ANZ New Zealand International 144A | 7,290,000 | 7,357,724 | ||||||
Bank of America | 2,230,000 | 2,152,218 | ||||||
Bank of New York Mellon | 1,830,000 | 1,858,372 | ||||||
Barclays 2.75% 11/8/19 | 6,200,000 | 6,161,070 | ||||||
BB&T 2.45% 1/15/20 | 2,085,000 | 2,090,984 | ||||||
Branch Banking & Trust | 3,055,000 | 3,089,402 | ||||||
Comerica 3.00% 9/16/15 | 2,185,000 | 2,195,918 | ||||||
Compass Bank 2.75% 9/29/19 | 9,170,000 | 9,156,419 | ||||||
Credit Suisse | ||||||||
2.30% 5/28/19 | 8,285,000 | 8,275,207 | ||||||
3.00% 10/29/21 | 925,000 | 918,572 | ||||||
Export-Import Bank of China 144A | 2,780,000 | 2,784,187 | ||||||
Goldman Sachs Group | 4,130,000 | 4,085,189 | ||||||
HBOS 144A 6.75% 5/21/18 # | 4,860,000 | 5,400,690 | ||||||
HSBC Holdings 5.625% 12/29/49 • | 2,005,000 | 2,010,013 | ||||||
ING Groep 6.00% 12/29/49 • | 1,915,000 | 1,899,441 | ||||||
JPMorgan Chase | ||||||||
2.75% 6/23/20 | 1,180,000 | 1,182,063 | ||||||
3.45% 3/1/16 | 7,105,000 | 7,226,062 | ||||||
3.625% 5/13/24 | 760,000 | 755,337 | ||||||
4.125% 12/15/26 | 640,000 | 630,717 | ||||||
5.30% 12/29/49 • | 925,000 | 920,467 | ||||||
6.75% 1/29/49 • | 875,000 | 935,970 | ||||||
JPMorgan Chase Bank | 605,000 | 603,717 |
Limited-Term Diversified Income Series-5
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) |
| |||||||
KeyBank | ||||||||
3.18% 5/22/22 | 940,000 | $ | 939,037 | |||||
5.45% 3/3/16 | 1,780,000 | 1,834,867 | ||||||
Manufacturers & Traders Trust | 9,200,000 | 9,218,556 | ||||||
Morgan Stanley | ||||||||
2.80% 6/16/20 | 6,000,000 | 6,010,518 | ||||||
4.35% 9/8/26 | 3,645,000 | 3,579,477 | ||||||
MUFG Americas Holdings | ||||||||
2.25% 2/10/20 | 1,565,000 | 1,547,992 | ||||||
3.00% 2/10/25 | 3,575,000 | 3,361,508 | ||||||
PNC Bank | ||||||||
2.30% 6/1/20 | 2,645,000 | 2,630,167 | ||||||
3.30% 10/30/24 | 2,160,000 | 2,132,356 | ||||||
PNC Preferred Funding Trust II 144A | 6,900,000 | 6,227,250 | ||||||
Santander Holdings USA | ||||||||
3.00% 9/24/15 | 2,385,000 | 2,391,664 | ||||||
4.625% 4/19/16 | 795,000 | 814,978 | ||||||
Skandinaviska Enskilda Banken 144A | 7,410,000 | 7,494,474 | ||||||
SunTrust Banks | ||||||||
2.35% 11/1/18 | 1,830,000 | 1,843,033 | ||||||
2.50% 5/1/19 | 7,305,000 | 7,352,629 | ||||||
3.60% 4/15/16 | 1,505,000 | 1,533,771 | ||||||
SVB Financial Group 3.50% 1/29/25 | 2,430,000 | 2,346,104 | ||||||
Toronto-Dominion Bank 2.25% 11/5/19 . | 6,935,000 | 6,970,126 | ||||||
US Bank | ||||||||
2.125% 10/28/19 | 5,760,000 | 5,770,028 | ||||||
2.80% 1/27/25 | 2,245,000 | 2,150,658 | ||||||
USB Capital IX 3.50% 10/29/49 • | 2,220,000 | 1,835,385 | ||||||
USB Realty 144A 1.422% | 200,000 | 183,250 | ||||||
Wells Fargo | ||||||||
2.15% 1/15/19 | 8,730,000 | 8,788,692 | ||||||
2.625% 12/15/16 | 1,450,000 | 1,483,433 | ||||||
5.875% 12/29/49 • | 975,000 | 999,424 | ||||||
Wells Fargo Bank 0.486% 5/16/16 • | 545,000 | 543,639 | ||||||
Woori Bank 144A 2.875% 10/2/18 # | 1,455,000 | 1,493,313 | ||||||
Zions Bancorporation 4.50% 6/13/23 | 2,195,000 | 2,245,050 | ||||||
|
| |||||||
169,466,789 | ||||||||
|
| |||||||
Basic Industry – 2.27% |
| |||||||
CF Industries 6.875% 5/1/18 | 4,740,000 | 5,339,477 | ||||||
Ecolab 2.25% 1/12/20 | 8,495,000 | 8,418,579 | ||||||
Freeport-McMoran Oil & Gas | 1,341,000 | 1,421,460 | ||||||
Georgia-Pacific | ||||||||
144A 2.539% 11/15/19 # | 4,000,000 | 4,000,308 | ||||||
144A 5.40% 11/1/20 # | 2,365,000 | 2,643,081 | ||||||
LyondellBasell Industries | 1,225,000 | 1,397,881 | ||||||
Methanex 4.25% 12/1/24 | 2,985,000 | 2,965,138 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) |
| |||||||
PPG Industries 2.30% 11/15/19 | 1,820,000 | $ | 1,824,767 | |||||
Rock-Tenn | ||||||||
3.50% 3/1/20 | 1,990,000 | 2,051,523 | ||||||
4.45% 3/1/19 | 1,510,000 | 1,604,233 | ||||||
Rockwood Specialties Group | 1,625,000 | 1,694,063 | ||||||
|
| |||||||
33,360,510 | ||||||||
|
| |||||||
Brokerage – 0.49% | ||||||||
Jefferies Group 5.125% 1/20/23 | 3,115,000 | 3,220,841 | ||||||
Lazard Group 6.85% 6/15/17 | 131,000 | 143,173 | ||||||
Legg Mason 2.70% 7/15/19 | 3,815,000 | 3,853,295 | ||||||
|
| |||||||
7,217,309 | ||||||||
|
| |||||||
Capital Goods – 1.84% | ||||||||
Caterpillar Financial Services | 6,430,000 | 6,580,809 | ||||||
Crane 2.75% 12/15/18 | 420,000 | 428,652 | ||||||
Fortune Brands Home & Security | 1,285,000 | 1,287,796 | ||||||
Ingersoll-Rand Global Holding | 6,365,000 | 6,477,088 | ||||||
Ingersoll-Rand Luxembourg Finance | 3,030,000 | 3,020,174 | ||||||
John Deere Capital 1.70% 1/15/20 | 2,255,000 | 2,209,359 | ||||||
Siemens Financieringsmaatschappij | 4,705,000 | 4,651,688 | ||||||
Waste Management 2.60% 9/1/16 | 2,365,000 | 2,407,158 | ||||||
|
| |||||||
27,062,724 | ||||||||
|
| |||||||
Communications – 2.95% |
| |||||||
American Tower | 2,005,000 | 1,979,386 | ||||||
AT&T | ||||||||
2.45% 6/30/20 | 2,890,000 | 2,836,278 | ||||||
3.40% 5/15/25 | 7,865,000 | 7,516,415 | ||||||
Cox Communications 144A | ||||||||
3.85% 2/1/25 # | 820,000 | 789,616 | ||||||
Crown Castle Towers 144A | 3,785,000 | 3,704,001 | ||||||
GTP Acquisition Partners I 144A | 1,080,000 | 1,074,265 | ||||||
Interpublic Group 2.25% 11/15/17 | 1,155,000 | 1,165,342 | ||||||
SBA Tower Trust | ||||||||
144A 2.24% 4/16/18 # | 1,660,000 | 1,653,854 | ||||||
144A 2.898% 10/15/19 # | 1,520,000 | 1,527,611 | ||||||
Scripps Networks Interactive | 2,605,000 | 2,569,192 | ||||||
SES 144A 3.60% 4/4/23 # | 3,175,000 | 3,229,756 | ||||||
SES GLOBAL Americas Holdings 144A | 5,555,000 | 5,539,852 | ||||||
Sky 144A 3.75% 9/16/24 # | 2,735,000 | 2,675,194 | ||||||
Verizon Communications | 3,640,000 | 3,931,156 |
Limited-Term Diversified Income Series-6
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) |
| |||||||
Verizon Communications | 2,830,000 | $ | 3,103,621 | |||||
|
| |||||||
43,295,539 | ||||||||
|
| |||||||
Consumer Cyclical – 5.48% |
| |||||||
Alibaba Group Holding 144A | 4,685,000 | 4,636,520 | ||||||
AutoZone | 5,625,000 | 5,518,749 | ||||||
Carnival | 5,925,000 | 5,933,289 | ||||||
Daimler Finance North America 144A | 6,555,000 | 6,513,225 | ||||||
Ford Motor Credit | ||||||||
2.24% 6/15/18 | 2,785,000 | 2,788,857 | ||||||
4.25% 2/3/17 | 1,200,000 | 1,247,730 | ||||||
5.00% 5/15/18 | 4,285,000 | 4,609,833 | ||||||
General Motors 3.50% 10/2/18 | 1,610,000 | 1,666,366 | ||||||
General Motors Financial | ||||||||
3.15% 1/15/20 | 2,455,000 | 2,469,045 | ||||||
3.45% 4/10/22 | 2,060,000 | 2,021,507 | ||||||
4.375% 9/25/21 | 1,865,000 | 1,940,947 | ||||||
Historic TW 6.875% 6/15/18 | 1,340,000 | 1,529,217 | ||||||
Home Depot 2.625% 6/1/22 | 3,270,000 | 3,219,112 | ||||||
Host Hotels & Resorts 3.75% 10/15/23 | 635,000 | 624,035 | ||||||
Hyundai Capital America | ||||||||
144A 2.125% 10/2/17 # | 260,000 | 262,677 | ||||||
144A 2.55% 2/6/19 # | 3,000,000 | 3,025,980 | ||||||
INVISTA Finance 144A | 2,525,000 | 2,499,750 | ||||||
Lowe’s 1.625% 4/15/17 | 5,440,000 | 5,500,117 | ||||||
Marriott International 3.375% 10/15/20 | 1,720,000 | 1,771,237 | ||||||
Starbucks 2.70% 6/15/22 | 2,335,000 | 2,330,573 | ||||||
Toyota Motor Credit | ||||||||
1.375% 1/10/18 | 200,000 | 200,192 | ||||||
2.00% 10/24/18 | 6,300,000 | 6,361,167 | ||||||
Viacom 2.50% 12/15/16 | 4,960,000 | 5,037,599 | ||||||
Volkswagen Group of America Finance | 8,760,000 | 8,765,843 | ||||||
|
| |||||||
80,473,567 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 12.24% |
| |||||||
AbbVie 2.50% 5/14/20 | 8,500,000 | 8,422,353 | ||||||
Actavis Funding 3.00% 3/12/20 | 8,740,000 | 8,781,672 | ||||||
Allergan 1.35% 3/15/18 | 1,670,000 | 1,635,616 | ||||||
Amgen 2.125% 5/1/20 | 12,290,000 | 12,047,973 | ||||||
Anheuser-Busch InBev Finance | 8,715,000 | 8,744,309 | ||||||
Baxalta 144A 2.875% 6/23/20 # | 10,140,000 | 10,136,836 | ||||||
Bayer U.S. Finance 144A | 6,000,000 | 6,024,924 | ||||||
Becton Dickinson | ||||||||
2.675% 12/15/19 | 8,355,000 | 8,370,022 | ||||||
6.375% 8/1/19 | 3,550,000 | 4,094,009 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
Boston Scientific | ||||||||
2.65% 10/1/18 | 2,515,000 | $ | 2,553,200 | |||||
6.00% 1/15/20 | 1,805,000 | 2,045,991 | ||||||
Celgene 2.30% 8/15/18 | 6,055,000 | 6,150,941 | ||||||
EMD Finance 144A 2.40% 3/19/20 # | 8,200,000 | 8,163,092 | ||||||
Express Scripts Holding 2.25% 6/15/19 | 2,500,000 | 2,482,083 | ||||||
Gilead Sciences 2.35% 2/1/20 | 3,000,000 | 3,012,699 | ||||||
Ingredion 1.80% 9/25/17 | 2,460,000 | 2,460,093 | ||||||
McKesson 2.284% 3/15/19 | 10,820,000 | 10,826,416 | ||||||
Medtronic 144A 2.50% 3/15/20 # | 11,445,000 | 11,471,678 | ||||||
Merck 1.85% 2/10/20 | 11,305,000 | 11,217,737 | ||||||
Newell Rubbermaid 2.05% 12/1/17 | 1,160,000 | 1,171,447 | ||||||
Pernod-Ricard | ||||||||
144A 2.95% 1/15/17 # | 3,160,000 | 3,230,278 | ||||||
144A 5.75% 4/7/21 # | 2,025,000 | 2,282,724 | ||||||
Perrigo 2.30% 11/8/18 | 2,710,000 | 2,715,084 | ||||||
Perrigo Finance 3.50% 12/15/21 | 1,600,000 | 1,605,347 | ||||||
Reynolds American | ||||||||
3.25% 6/12/20 | 2,645,000 | 2,682,165 | ||||||
4.00% 6/12/22 | 1,325,000 | 1,355,483 | ||||||
Smucker (J.M.) | ||||||||
144A 2.50% 3/15/20 # | 4,975,000 | 4,951,598 | ||||||
144A 3.00% 3/15/22 # | 730,000 | 717,282 | ||||||
144A 3.50% 3/15/25 # | 2,750,000 | 2,699,631 | ||||||
Sysco 3.00% 10/2/21 | 11,190,000 | 11,301,900 | ||||||
Thermo Fisher Scientific 2.40% 2/1/19 | 7,205,000 | 7,203,314 | ||||||
Zimmer Holdings 2.70% 4/1/20 | 9,100,000 | 9,064,983 | ||||||
|
| |||||||
179,622,880 | ||||||||
|
| |||||||
Electric – 6.37% | ||||||||
Arizona Public Service 2.20% 1/15/20 | 8,255,000 | 8,191,015 | ||||||
Berkshire Hathaway Energy | 7,030,000 | 7,072,060 | ||||||
CenterPoint Energy 5.95% 2/1/17 | 1,675,000 | 1,799,067 | ||||||
Commonwealth Edison 2.15% 1/15/19 | 2,305,000 | 2,319,392 | ||||||
DTE Energy | ||||||||
2.40% 12/1/19 | 3,350,000 | 3,353,206 | ||||||
144A 3.30% 6/15/22 # | 2,145,000 | 2,165,721 | ||||||
Electricite de France | ||||||||
144A 2.15% 1/22/19 # | 5,915,000 | 5,960,043 | ||||||
144A 5.25% 12/29/49 #• | 2,705,000 | 2,718,525 | ||||||
Entergy 4.00% 7/15/22 | 6,555,000 | 6,615,240 | ||||||
Exelon 2.85% 6/15/20 | 3,500,000 | 3,524,283 | ||||||
IPALCO Enterprises 144A | 4,765,000 | 4,765,000 | ||||||
Jersey Central Power & Light | 1,825,000 | 1,885,853 | ||||||
Kansas City Power & Light | 3,715,000 | 4,162,397 | ||||||
LG&E & KU Energy 3.75% 11/15/20 | 470,000 | 491,659 | ||||||
National Rural Utilities Cooperative | 9,170,000 | 9,226,863 |
Limited-Term Diversified Income Series-7
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Electric (continued) |
| |||||||
NextEra Energy Capital Holdings | 11,210,000 | $ | 11,296,205 | |||||
NV Energy 6.25% 11/15/20 | 2,350,000 | 2,725,138 | ||||||
Pacific Gas & Electric 3.50% 10/1/20 | 250,000 | 261,153 | ||||||
Southern 2.45% 9/1/18 | 7,765,000 | 7,933,112 | ||||||
State Grid Overseas Investment 2014 | 2,835,000 | 2,866,228 | ||||||
WEC Energy Group 2.45% 6/15/20 | 4,230,000 | 4,226,679 | ||||||
|
| |||||||
93,558,839 | ||||||||
|
| |||||||
Energy – 4.58% | ||||||||
BG Energy Capital 144A | 3,535,000 | 3,608,694 | ||||||
CenterPoint Energy Resources | 6,607,000 | 7,108,755 | ||||||
Chevron | ||||||||
1.961% 3/3/20 | 2,290,000 | 2,272,733 | ||||||
2.411% 3/3/22 | 1,305,000 | 1,270,072 | ||||||
CNOOC Finance 2015 Australia | 1,280,000 | 1,264,689 | ||||||
Columbia Pipeline Group | ||||||||
144A 2.45% 6/1/18 # | 775,000 | 781,515 | ||||||
144A 3.30% 6/1/20 # | 2,170,000 | 2,180,878 | ||||||
Continental Resources 4.50% 4/15/23 | 4,490,000 | 4,336,298 | ||||||
Dominion Gas Holdings | 12,040,000 | 12,178,556 | ||||||
Enterprise Products Operating | 4,010,000 | 3,891,152 | ||||||
EOG Resources 2.45% 4/1/20 | 4,170,000 | 4,201,713 | ||||||
Exxon Mobil 2.397% 3/6/22 | 1,365,000 | 1,340,310 | ||||||
Marathon Oil 3.85% 6/1/25 | 3,735,000 | 3,668,084 | ||||||
Noble Holding International | 6,710,000 | 6,759,506 | ||||||
Petronas Global Sukuk 144A | 1,650,000 | 1,653,237 | ||||||
Regency Energy Partners | 5,020,000 | 5,350,999 | ||||||
Woodside Finance 144A | 4,420,000 | 5,345,194 | ||||||
|
| |||||||
67,212,385 | ||||||||
|
| |||||||
Finance Companies – 0.81% |
| |||||||
CME Group 3.00% 3/15/25 | 1,955,000 | 1,900,848 | ||||||
General Electric Capital | ||||||||
144A 3.80% 6/18/19 # | 1,355,000 | 1,433,643 | ||||||
5.55% 5/4/20 | 1,040,000 | 1,188,455 | ||||||
6.00% 8/7/19 | 2,745,000 | 3,139,509 | ||||||
7.125% 12/15/49 • | 3,700,000 | 4,273,500 | ||||||
|
| |||||||
11,935,955 | ||||||||
|
| |||||||
Insurance – 0.87% | ||||||||
American International Group | 1,940,000 | 2,309,068 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Insurance (continued) |
| |||||||
Berkshire Hathaway Finance | 1,530,000 | $ | 1,577,124 | |||||
MetLife 1.756% 12/15/17 | 3,605,000 | 3,637,110 | ||||||
Metropolitan Life Global Funding I 144A | 1,435,000 | 1,446,118 | ||||||
Pricoa Global Funding I 144A | 920,000 | 915,573 | ||||||
TIAA Asset Management Finance | ||||||||
144A 2.95% 11/1/19 # | 1,910,000 | 1,925,288 | ||||||
144A 4.125% 11/1/24 # | 900,000 | 908,187 | ||||||
|
| |||||||
12,718,468 | ||||||||
|
| |||||||
Natural Gas – 1.81% | ||||||||
Enterprise Products Operating | 2,500,000 | 2,530,825 | ||||||
Kinder Morgan 144A 5.00% 2/15/21 # | 1,290,000 | 1,366,369 | ||||||
Kinder Morgan Energy Partners | 3,840,000 | 4,377,147 | ||||||
Sempra Energy 2.30% 4/1/17 | 3,460,000 | 3,512,391 | ||||||
Sunoco Logistics Partners Operations | 2,385,000 | 2,260,763 | ||||||
TransCanada PipeLines | 8,290,000 | 8,349,912 | ||||||
Williams Partners 7.25% 2/1/17 | 3,821,000 | 4,141,777 | ||||||
|
| |||||||
26,539,184 | ||||||||
|
| |||||||
Real Estate – 0.53% | ||||||||
Health Care REIT 3.625% 3/15/16 | 2,490,000 | 2,527,624 | ||||||
WEA Finance | ||||||||
144A 2.70% 9/17/19 # | 4,895,000 | 4,906,958 | ||||||
144A 3.75% 9/17/24 # | 400,000 | 396,100 | ||||||
|
| |||||||
7,830,682 | ||||||||
|
| |||||||
Technology – 3.74% | ||||||||
Amphenol 3.125% 9/15/21 | 11,135,000 | 11,158,562 | ||||||
Baidu 2.75% 6/9/19 | 4,000,000 | 4,009,404 | ||||||
Cisco Systems 2.45% 6/15/20 | 2,350,000 | 2,368,377 | ||||||
Hewlett-Packard | ||||||||
3.00% 9/15/16 | 1,830,000 | 1,867,722 | ||||||
3.30% 12/9/16 | 1,565,000 | 1,606,994 | ||||||
Molex Electronic Technologies 144A | 4,535,000 | 4,470,335 | ||||||
Motorola Solutions 4.00% 9/1/24 | 3,130,000 | 3,041,772 | ||||||
National Semiconductor | 925,000 | 1,021,751 | ||||||
NetApp 3.375% 6/15/21 | 3,585,000 | 3,537,115 | ||||||
Oracle | ||||||||
2.50% 5/15/22 | 910,000 | 884,444 | ||||||
2.95% 5/15/25 | 7,210,000 | 6,947,852 | ||||||
QUALCOMM 3.00% 5/20/22 | 3,645,000 | 3,623,644 | ||||||
Seagate HDD Cayman 144A | 3,930,000 | 3,913,223 |
Limited-Term Diversified Income Series-8
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Technology (continued) |
| |||||||
Tencent Holdings | ||||||||
144A 3.375% 5/2/19 # | 1,990,000 | $ | 2,045,002 | |||||
144A 3.80% 2/11/25 # | 415,000 | 403,377 | ||||||
Xerox | ||||||||
5.625% 12/15/19 | 1,360,000 | 1,526,333 | ||||||
6.35% 5/15/18 | 2,250,000 | 2,509,159 | ||||||
|
| |||||||
54,935,066 | ||||||||
|
| |||||||
Transportation – 1.77% |
| |||||||
AP Moeller – Maersk 144A | 3,275,000 | 3,300,843 | ||||||
CSX 5.60% 5/1/17 | 950,000 | 1,024,476 | ||||||
ERAC USA Finance 144A | 4,160,000 | 4,167,929 | ||||||
HPHT Finance 15 144A | 1,005,000 | 1,002,275 | ||||||
Penske Truck Leasing 144A 2.50% 6/15/19 # | 8,890,000 | 8,813,386 | ||||||
Union Pacific 2.25% 2/15/19 | 4,850,000 | 4,916,275 | ||||||
United Parcel Service 5.125% 4/1/19 | 2,415,000 | 2,693,655 | ||||||
|
| |||||||
25,918,839 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 841,148,736 | ||||||
|
| |||||||
Municipal Bond – 0.45% |
| |||||||
University of California | 6,670,000 | 6,672,535 | ||||||
|
| |||||||
Total Municipal Bond |
| 6,672,535 | ||||||
|
| |||||||
Non-Agency Asset-Backed |
| |||||||
AEP Texas Central Transition Funding II | 1,000,000 | 1,053,156 | ||||||
Ally Master Owner Trust | ||||||||
Series 2012-5 A 1.54% 9/15/19 | 10,490,000 | 10,518,344 | ||||||
Series 2014-2 A 0.556% 1/16/18 • | 7,050,000 | 7,042,999 | ||||||
American Express Credit Account Master Trust | ||||||||
Series 2012-1 A 0.456% 1/15/20 • | 6,950,000 | 6,951,376 | ||||||
Series 2012-3 B 0.686% 3/15/18 • | 2,555,000 | 2,554,944 | ||||||
Series 2013-2 A 0.604% 5/17/21 • | 4,645,000 | 4,654,225 | ||||||
Series 2014-1 A 0.556% 12/15/21 • | 9,500,000 | 9,489,445 | ||||||
American Homes 4 Rent Trust Series 2014-SFR2 A 144A 3.786% 10/17/36 # | 544,005 | 559,846 | ||||||
Ameriquest Mortgage Securities Asset-Backed Pass Through Certificates |
| 10,414 |
|
| 10,802 |
|
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Asset-Backed |
| |||||||
ARI Fleet Lease Trust | 395,000 | $ | 395,187 | |||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2011-3A A 144A 3.41% 11/20/17 # | 960,000 | 986,037 | ||||||
Series 2013-2A A 144A 2.97% 2/20/20 # | 8,750,000 | 8,985,323 | ||||||
Bank of America Credit Card Trust | ||||||||
Series 2007-A4 A4 0.226% 11/15/19 • | 2,150,000 | 2,139,811 | ||||||
Series 2014-A2 A 0.456% 9/16/19 • | 14,937,000 | 14,920,554 | ||||||
Series 2014-A3 A 0.474% 1/15/20 • | 7,000,000 | 6,995,583 | ||||||
Barclays Dryrock Issuance Trust | 2,500,000 | 2,499,533 | ||||||
BMW Floorplan Master Owner Trust | 7,500,000 | 7,503,923 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
Series 2012-2A A1 144A 1.45% 6/15/20 # | 9,600,000 | 9,640,848 | ||||||
Series 2012-2A A2 144A 0.666% 6/15/20 #• | 13,065,000 | 13,099,452 | ||||||
Series 2014-1 A 0.536% 3/16/20 • | 8,000,000 | 8,002,800 | ||||||
Series 2014-2 A 0.636% 7/15/22 • | 3,750,000 | 3,742,496 | ||||||
California Republic Auto Receivables Trust | 1,673,492 | 1,677,359 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2006-A11 A11 0.276% 6/17/19 • | 3,000,000 | 2,993,700 | ||||||
Series 2007-A1 A1 0.236% 11/15/19 • | 8,080,000 | 8,052,237 | ||||||
Series 2007-A5 A5 0.226% 7/15/20 • | 5,250,000 | 5,215,565 | ||||||
Chase Issuance Trust | ||||||||
Series 2007-A5 A5 0.226% 3/15/19 • | 100,000 | 99,535 | ||||||
Series 2007-B1 B1 0.436% 4/15/19 • | 6,000,000 | 5,962,962 | ||||||
Series 2012-A9 A9 0.336% 10/16/17 • | 925,000 | 925,000 | ||||||
Series 2013-A9 A 0.606% 11/16/20 • | 6,100,000 | 6,110,998 | ||||||
Series 2014-A5 A5 0.556% 4/15/21 • | 6,835,000 | 6,824,761 | ||||||
Chesapeake Funding | ||||||||
Series 2012-2A A 144A 0.638% 5/7/24 #• | 1,423,443 | 1,423,734 | ||||||
Series 2014-1A A 144A 0.604% 3/7/26 #• | 6,312,039 | 6,292,781 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2013-A2 A2 0.467% 5/26/20 • | 850,000 | 850,273 | ||||||
Series 2013-A4 A4 0.607% 7/24/20 • | 950,000 | 951,517 | ||||||
Series 2013-A7 A7 0.615% 9/10/20 • | 5,170,000 | 5,180,304 |
Limited-Term Diversified Income Series-9
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Asset-Backed |
| |||||||
Conseco Financial | 16,339 | $ | 16,511 | |||||
Dell Equipment Finance Trust | 935,000 | 935,897 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2013-A1 A1 0.486% 8/17/20 • | 9,795,000 | 9,793,413 | ||||||
Series 2013-A5 A5 1.04% 4/15/19 | 5,250,000 | 5,259,035 | ||||||
Series 2013-A6 A6 0.624% 4/15/21 • | 7,100,000 | 7,117,743 | ||||||
Series 2014-A1 A1 0.616% 7/15/21 • | 7,340,000 | 7,358,321 | ||||||
Series 2014-A3 A3 1.22% 10/15/19 | 1,430,000 | 1,432,329 | ||||||
Series 2015-A1 A1 0.536% 8/17/20 • | 9,885,000 | 9,887,956 | ||||||
Enterprise Fleet Financing Series 2014-1 A2 144A 0.87% 9/20/19 # | 2,268,312 | 2,266,474 | ||||||
Fifth Third Auto Trust | 3,708,387 | 3,707,315 | ||||||
FirstKey Lending Trust Series 2015-SFR1 A 144A 2.553% 3/9/47 # | 697,292 | 697,954 | ||||||
Ford Credit Auto Lease Trust Series 2015-A A3 | 1,025,000 | 1,021,936 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2013-1 A1 0.85% 1/15/18 | 5,185,000 | 5,188,946 | ||||||
Series 2013-1 A2 0.566% 1/15/18 • | 4,750,000 | 4,752,218 | ||||||
Series 2013-2 A 144A 2.09% 3/15/22 # | 2,155,000 | 2,141,822 | ||||||
Series 2014-1 A2 0.586% 2/15/19 • | 5,765,000 | 5,765,190 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
Series 2012-2 A 0.937% 4/22/19 • | 16,930,000 | 16,967,009 | ||||||
Series 2013-1 A 0.587% 4/20/18 • | 3,555,000 | 3,552,533 | ||||||
Series 2014-2 A 0.637% 10/20/19 • | 6,450,000 | 6,438,364 | ||||||
Series 2015-1 A 0.687% 1/20/20 • | 7,290,000 | 7,262,101 | ||||||
Golden Credit Card Trust | ||||||||
Series 2012-3A A 144A 0.636% 7/17/17 #• | 5,885,000 | 5,885,418 | ||||||
Series 2012-5A A 144A 0.79% 9/15/17 # | 565,000 | 565,250 | ||||||
Series 2013-2A A 144A 0.616% 9/15/18 #• | 6,850,000 | 6,855,137 | ||||||
Series 2014-1A A 144A 0.526% 3/15/19 #• | 570,000 | 568,490 | ||||||
Series 2014-2A A 144A 0.636% 3/15/21 #• | 8,195,000 | 8,171,407 | ||||||
Series 2015-1A A 144A 0.626% 2/15/20 #• | 10,175,000 | 10,175,326 | ||||||
GreatAmerica Leasing Receivables | 8,125,000 | 8,122,335 |
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Asset-Backed |
| |||||||
Hertz Fleet Lease Funding Series 2014-1 A 144A 0.585% 4/10/28 #• | 4,548,232 | $ | 4,542,424 | |||||
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 359,525 | 355,282 | ||||||
Hyundai Auto Lease Securitization Trust | ||||||||
Series 2014-A A4 144A 1.01% 9/15/17 # | 1,530,000 | 1,532,818 | ||||||
Series 2015-A A3 144A 1.42% 9/17/18 # | 5,300,000 | 5,318,153 | ||||||
MASTR Specialized Loan Trust | 134 | 136 | ||||||
Navistar Financial Dealer Note Master Owner Trust II | 6,500,000 | 6,507,800 | ||||||
Navistar Financial Dealer Note Master Trust | 6,000,000 | 6,003,012 | ||||||
NextGear Floorplan Master Owner Trust | 1,420,000 | 1,424,807 | ||||||
Nissan Auto Lease Trust Series 2014-A A4 | 5,695,000 | 5,696,549 | ||||||
Nissan Auto Receivables Owner Trust | 2,483,870 | 2,481,287 | ||||||
Nissan Master Owner Trust Receivables | 8,995,000 | 8,995,000 | ||||||
Penarth Master Issuer | ||||||||
Series 2015-1A A1 144A 0.585% 3/18/19 #• | 545,000 | 545,354 | ||||||
Series 2015-2A A1 144A 0.588% 5/18/19 #• | 4,000,000 | 4,000,768 | ||||||
PFS Financing | ||||||||
Series 2013-AA A 144A 0.736% 2/15/18 #• | 5,480,000 | 5,474,794 | ||||||
Series 2014-AA A 144A 0.786% 2/15/19 #• | 6,000,000 | 5,987,628 | ||||||
Series 2015-AA A 144A 0.806% 4/15/20 #• | 1,000,000 | 999,812 | ||||||
Porsche Innovative Lease Owner Trust | 1,080,000 | 1,078,727 | ||||||
Progress Residential Trust | 745,000 | 739,294 |
Limited-Term Diversified Income Series-10
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Asset-Backed |
| |||||||
Synchrony Credit Card Master Note Trust | ||||||||
Series 2012-6 A 1.36% 8/17/20 | 1,180,000 | $ | 1,179,199 | |||||
Series 2015-2 A 1.60% 4/15/21 | 1,780,000 | 1,778,918 | ||||||
Trade MAPS 1 | 11,750,000 | 11,749,448 | ||||||
Volkswagen Auto Lease Trust | ||||||||
Series 2014-A A2B 0.397% 10/20/16 • | 1,475,602 | 1,475,169 | ||||||
Series 2014-A A3 0.80% 4/20/17 | 4,000,000 | 4,000,328 | ||||||
Series 2015-A A3 1.25% 12/20/17 | 1,085,000 | 1,086,307 | ||||||
Volvo Financial Equipment Series 2014-1A A3 144A 0.82% 4/16/18 # | 2,000,000 | 1,997,008 | ||||||
Wheels | 3,339,061 | 3,335,465 | ||||||
World Financial Network Credit Card Master Trust Series 2015-A A | 965,000 | 964,542 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed |
| 405,463,869 | ||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 0.86% |
| |||||||
American Home Mortgage Investment Trust | 19,154 | 19,598 | ||||||
Bank of America Alternative Loan Trust | ||||||||
Series 2005-3 2A1 5.50% 4/25/20 | 25,259 | 25,995 | ||||||
Series 2005-6 7A1 5.50% 7/25/20 | 20,167 | 20,114 | ||||||
CHL Mortgage Pass Through Trust | ||||||||
Series 2003-21 A1 2.733% 5/25/33 ¨• | 5,155 | 5,183 | ||||||
Series 2003-46 1A1 2.536% 1/19/34 ¨• | 4,849 | 4,816 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2015-C02 1M1 1.337% 5/25/25 • | 4,307,096 | 4,283,786 | ||||||
Series 2015-C02 2M1 1.387% 5/25/25 • | 5,397,182 | 5,373,105 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2014-DN4 M2 2.587% 10/25/24 • | 525,000 | 526,885 | ||||||
Series 2015-DNA1 M2 2.037% 10/25/27 • | 895,000 | 879,729 |
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Collateralized Mortgage |
| |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | 500,000 | $ | 491,759 | |||||
GSMPS Mortgage Loan Trust | 7,239 | 7,516 | ||||||
MASTR ARM Trust | 5,574 | 5,549 | ||||||
Sequoia Mortgage Trust | 1,015,005 | 1,018,574 | ||||||
WaMu Mortgage Pass Through Certificates | 7,749 | 7,853 | ||||||
|
| |||||||
Total Non-Agency Collateralized |
| 12,670,462 | ||||||
|
| |||||||
U.S. Treasury Obligations – 4.54% |
| |||||||
U.S. Treasury Floating Rate Note | 59,690,000 | 59,690,239 | ||||||
U.S. Treasury Note 2.125% 5/15/25 | 7,045,000 | 6,917,859 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 66,608,098 | ||||||
|
| |||||||
Preferred Stock – 0.26% |
| |||||||
Bank of America | 1,115,000 | 1,102,456 | ||||||
Morgan Stanley | 2,710,000 | 2,693,740 | ||||||
|
| |||||||
Total Preferred Stock |
| 3,796,196 | ||||||
|
| |||||||
Short-Term Investments – 0.75% |
| |||||||
Discount Note – 0.06% ≠ |
| |||||||
Federal Home Loan Bank 0.05% 8/14/15 | 932,630 | 932,596 | ||||||
|
| |||||||
932,596 | ||||||||
|
| |||||||
Repurchase Agreements – 0.69% |
| |||||||
Bank of America Merrill Lynch 0.05%, dated 6/30/15, to be repurchased on 7/1/15, repurchase price $2,797,894 (collateralized by U.S. government obligations 0.125%-0.625% 4/15/17-6/30/17; market value $2,853,850) | 2,797,890 | 2,797,890 |
Limited-Term Diversified Income Series-11
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments (continued) |
| |||||||
Repurchase Agreements (continued) |
| |||||||
Bank of Montreal | 4,663,151 | $ | 4,663,151 |
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments (continued) |
| |||||||
Repurchase Agreements (continued) |
| |||||||
BNP Paribas 0.08%, dated 6/30/15, to be repurchased on 7/1/15, repurchase price $2,619,410 (collateralized by U.S. government obligations 0.00%-6.375% 8/15/19-11/15/44; market value $2,671,793) | 2,619,404 | $ | 2,619,404 | |||||
|
| |||||||
10,080,445 | ||||||||
|
| |||||||
Total Short-Term Investments |
| 11,013,041 | ||||||
|
|
Total Value of Securities – 100.06% | $ | 1,469,015,059 | ||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2015, the aggregate value of Rule 144A securities was $380,453,931, which represents 25.91% of the Series’ 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. |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
• | Variable rate security. The rate shown is the rate as of June 30, 2015. Interest rates reset periodically. |
¥ | Fully or partially pledged as collateral for futures contracts. |
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at June 30, 2015. |
The following futures contracts were outstanding at June 30, 2015:1
Futures Contracts
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
271 U.S. Treasury 10 yr Notes | $ | 34,496,071 | $ | 34,192,578 | 9/21/15 | $ | (303,493 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional value presented above represents the Series’ total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Series’ net assets.
1See Note 6 in “Notes to financial statements.”
Limited-Term Diversified Income Series-12
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Schedule of investments (continued)
Summary of abbreviations:
ARM - Adjustable Rate Mortgage
DB - Deutsche Bank
GNMA - Government National Mortgage Association
GS - Goldman Sachs
GSMPS - Goldman Sachs Reperforming Mortgage Securities
LB - Lehman Brothers
MASTR - Mortgage Asset Securitization Transactions, Inc.
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
S.F. - Single Family
UBS - Union Bank of Switzerland
yr - Year
See accompanying notes, which are an integral part of the financial statements
Limited-Term Diversified Income Series-13
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series | ||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 1,458,002,018 | ||
Short-term investments, at value2 | 11,013,041 | |||
Cash | 295,167 | |||
Interest receivable | 6,799,437 | |||
Receivables for series shares sold | 569,148 | |||
Receivables for securities sold | 373,085 | |||
|
| |||
Total assets | 1,477,051,896 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 6,545,757 | |||
Income distribution payable | 495,950 | |||
Variation margin payable on futures contracts | 303,493 | |||
Payable for series shares redeemed | 271,789 | |||
Investment management fees payable | 572,404 | |||
Other accrued expenses | 425,831 | |||
Distribution fees payable | 288,500 | |||
Other affiliates payable | 25,908 | |||
Trustees’ fees and expenses payable | 4,464 | |||
|
| |||
Total liabilities | 8,934,096 | |||
|
| |||
Total Net Assets | $ | 1,468,117,800 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 1,484,216,644 | ||
Distributions in excess of net investment income | (2,313,199 | ) | ||
Accumulated net realized loss on investments | (16,185,542 | ) | ||
Net unrealized appreciation of investments and derivatives | 2,399,897 | |||
|
| |||
Total Net Assets | $ | 1,468,117,800 | ||
|
| |||
Net Asset Value | ||||
Standard Class: | ||||
Net assets | $ | 61,451,633 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 6,243,072 | |||
Net asset value per share | $ | 9.84 | ||
Service Class: | ||||
Net assets | $ | 1,406,666,167 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 143,864,894 | |||
Net asset value per share | $ | 9.78 | ||
1 Investments, at cost | $ | 1,455,298,651 | ||
2 Short-term investments, at cost | 11,013,018 |
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-14
Table of Contents
Delaware VIP® Trust —
Delaware VIP Limited-Term Diversified Income Series
Six-months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Interest | $ | 13,820,522 | ||
Dividends | 12,900 | |||
|
| |||
13,833,422 | ||||
|
| |||
Expenses: | ||||
Management fees | 3,464,326 | |||
Distribution expenses – Service Class | 2,095,641 | |||
Reports and statements to shareholders | 302,116 | |||
Accounting and administration expenses | 230,613 | |||
Dividend disbursing and transfer agent fees and expenses | 61,411 | |||
Legal fees | 54,556 | |||
Custodian fees | 48,032 | |||
Trustees’ fees and expenses | 36,533 | |||
Audit and tax | 22,730 | |||
Registration fees | 269 | |||
Other | 29,391 | |||
|
| |||
6,345,618 | ||||
Less waived distribution expenses – Service Class | (349,274 | ) | ||
|
| |||
Total operating expenses | 5,996,344 | |||
|
| |||
Net Investment Income | 7,837,078 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) | ||||
Net realized gain | ||||
Investments | 4,995,695 | |||
Futures contracts | 799,552 | |||
|
| |||
Net realized gain | 5,795,247 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | (6,565,551 | ) | ||
Futures contracts | (434,578 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | (7,000,129 | ) | ||
|
| |||
Net Realized And Unrealized Loss | (1,204,882 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 6,632,196 | ||
|
|
Delaware VIP Trust —
Delaware VIP Limited-Term Diversified Income Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 7,837,078 | $ | 14,111,291 | ||||
Net realized gain | 5,795,247 | 6,489,437 | ||||||
Net change in unrealized appreciation (depreciation) | (7,000,129 | ) | 341,128 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 6,632,196 | 20,941,856 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (503,861 | ) | (901,035 | ) | ||||
Service Class | (9,978,270 | ) | (18,533,421 | ) | ||||
|
|
|
| |||||
(10,482,131 | ) | (19,434,456 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 7,774,625 | 21,976,001 | ||||||
Service Class | 35,439,778 | 154,407,137 | ||||||
Net asset value of shares based upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 504,188 | 892,191 | ||||||
Service Class | 9,987,252 | 18,374,866 | ||||||
|
|
|
| |||||
53,705,843 | 195,650,195 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (6,023,254 | ) | (13,709,162 | ) | ||||
Service Class | (40,618,891 | ) | (100,111,241 | ) | ||||
|
|
|
| |||||
(46,642,145 | ) | (113,820,403 | ) | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions | 7,063,698 | 81,829,792 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 3,213,763 | 83,337,192 | ||||||
Net Assets: | ||||||||
Beginning of year | 1,464,904,037 | 1,381,566,845 | ||||||
|
|
|
| |||||
End of year | $ | 1,468,117,800 | $ | 1,464,904,037 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | (2,313,199 | ) | $ | 331,854 | |||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-15
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Financial highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Limited-Term Diversified Income Series Standard Class | ||||||||||||||||||||||||||||||||||
Six months | ||||||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||||||
6/30/151 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.870 | $ | 9.860 | $ | 10.120 | $ | 10.090 | $ | 10.150 | $ | 10.010 | ||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||
Net investment income2 | 0.065 | 0.120 | 0.092 | 0.095 | 0.119 | 0.193 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.012 | ) | 0.046 | (0.199 | ) | 0.183 | 0.171 | 0.248 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total from investment operations | 0.053 | 0.166 | (0.107 | ) | 0.278 | 0.290 | 0.441 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.083 | ) | (0.156 | ) | (0.142 | ) | (0.171 | ) | (0.193 | ) | (0.240 | ) | ||||||||||||||||||||||
Net realized gain | — | — | (0.007 | ) | (0.077 | ) | (0.157 | ) | (0.061 | ) | ||||||||||||||||||||||||
Return of capital | — | — | (0.004 | ) | — | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total dividends and distributions | (0.083 | ) | (0.156 | ) | (0.153 | ) | (0.248 | ) | (0.350 | ) | (0.301 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Net asset value, end of period | $ | 9.840 | $ | 9.870 | $ | 9.860 | $ | 10.120 | $ | 10.090 | $ | 10.150 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total return3 | 0.53% | 1.69% | (1.06% | ) | 2.78% | 2.91% | 4.45% | |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 61,452 | $ | 59,362 | $ | 50,161 | $ | 51,194 | $ | 43,427 | $ | 39,362 | ||||||||||||||||||||||
Ratio of expenses to average net assets | 0.58% | 0.56% | 0.56% | 0.57% | 0.58% | 0.60% | ||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.33% | 1.22% | 0.92% | 0.93% | 1.17% | 1.90% | ||||||||||||||||||||||||||||
Portfolio turnover | 54% | 113% | 236% | 284% | 432% | 443% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-16
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Limited-Term Diversified Income Series Service Class | ||||||||||||||||||||||||||||||||||
Six months ended | ||||||||||||||||||||||||||||||||||
6/30/151 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.800 | $ | 9.790 | $ | 10.050 | $ | 10.020 | $ | 10.090 | $ | 9.940 | ||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||
Net investment income2 | 0.052 | 0.095 | 0.066 | 0.069 | 0.093 | 0.167 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.002 | ) | 0.046 | (0.199 | ) | 0.182 | 0.161 | 0.257 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total from investment operations | 0.050 | 0.141 | (0.133 | ) | 0.251 | 0.254 | 0.424 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.070 | ) | (0.131 | ) | (0.116 | ) | (0.144 | ) | (0.167 | ) | (0.213 | ) | ||||||||||||||||||||||
Net realized gain | — | — | (0.007 | ) | (0.077 | ) | (0.157 | ) | (0.061 | ) | ||||||||||||||||||||||||
Return of capital | — | — | (0.004 | ) | — | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total dividends and distributions | (0.070 | ) | (0.131 | ) | (0.127 | ) | (0.221 | ) | (0.324 | ) | (0.274 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Net asset value, end of period | $ | 9.780 | $ | 9.800 | $ | 9.790 | $ | 10.050 | $ | 10.020 | $ | 10.090 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total return3 | 0.51% | 1.44% | (1.33% | ) | 2.53% | 2.56% | 4.31% | |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,406,666 | $ | 1,405,542 | $ | 1,331,406 | $ | 1,127,086 | $ | 937,874 | $ | 675,648 | ||||||||||||||||||||||
Ratio of expenses to average net assets | 0.83% | 0.81% | 0.81% | 0.82% | 0.83% | 0.85% | ||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.88% | 0.86% | 0.86% | 0.87% | 0.88% | 0.90% | ||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.08% | 0.97% | 0.67% | 0.68% | 0.92% | 1.65% | ||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.03% | 0.92% | 0.62% | 0.63% | 0.87% | 1.60% | ||||||||||||||||||||||||||||
Portfolio turnover | 54% | 113% | 236% | 284% | 432% | 443% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Limited-Term Diversified Income Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Notes to financial statements
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Limited-Term Diversified Income Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek maximum total return, consistent with reasonable risk.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series
Security Valuation — Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. 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. Futures contracts are valued at the daily quoted settlement prices. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of a trading in a security.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series.
Class Accounting — Investment income and common expenses are allocated to the classes of the Series on the basis of “settled shares” of each class in relation to the net assets of the Series. Realized and unrealized gain (loss) on investments is allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — The Series may purchase or sell certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
To Be Announced Trades (TBA) — The Series may contract to purchase securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Series’ ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Series to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Series on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery.
Use of Estimates — The Series is an investment company whose Financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over
Limited-Term Diversified Income Series-18
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Notes to financial statements
1. Significant Accounting Policies (continued)
the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. The Series declares dividends daily from net investment income and pays the dividends monthly and declares and pays distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended June 30, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.50% on the first $500 million of average daily net assets of the Series, 0.475% on the next $500 million, 0.45% on the next $1.5 billion, and 0.425% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; and 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 Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $34,376 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $54,639 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 to June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. For the six months ended June 30, 2015, the Series was charged $20,186 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.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
*The contractual waiver period is April 30, 2014 through April 29, 2016.
Limited-Term Diversified Income Series-19
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Notes to financial statements
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than U.S. government securities | $ | 529,782,684 | ||
Purchases of U.S. government securities | 276,504,635 | |||
Sales other than U.S. government securities | 572,280,308 | |||
Sales of U.S. government securities | 210,809,080 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||||
$1,471,243,958 | $6,464,024 | $(8,692,923) | $(2,228,899) |
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Losses incurred that will be carried forward under the Act are as follows:
Loss carryforward character | ||||||
Short-term | Long-term | |||||
$(9,866,020) | $ | (7,359,139 | ) |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
Limited-Term Diversified Income Series-20
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Notes to financial statements
3. Investments (continued)
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | |||||||||||||
Agency, asset-backed & mortgage-backed securities1 | $ | — | $ | 538,091,356 | $ | 538,091,356 | |||||||||
Corporate debt | — | 842,833,833 | 842,833,833 | ||||||||||||
Municipal bonds | — | 6,672,535 | 6,672,535 | ||||||||||||
Preferred Stock | — | 3,796,196 | 3,796,196 | ||||||||||||
Short-term investments | — | 11,013,041 | 11,013,041 | ||||||||||||
U.S. Treasury obligations | — | 66,608,098 | 66,608,098 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | — | $ | 1,469,015,059 | $ | 1,469,015,059 | |||||||||
|
|
|
|
|
| ||||||||||
Futures Contracts | $ | (303,493 | ) | $ | — | $ | (303,493 | ) | |||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||
Shares sold: | ||||||||||
Standard Class | 784,127 | 2,220,917 | ||||||||
Service Class | 3,599,472 | 15,701,989 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Standard Class | 50,899 | 90,201 | ||||||||
Service Class | 1,014,375 | 1,869,810 | ||||||||
|
|
|
| |||||||
5,448,873 | 19,882,917 | |||||||||
|
|
|
| |||||||
Shares redeemed: | ||||||||||
Standard Class | (606,888 | ) | (1,385,420 | ) | ||||||
Service Class | (4,123,148 | ) | (10,184,068 | ) | ||||||
|
|
|
| |||||||
(4,730,036 | ) | (11,569,488 | ) | |||||||
|
|
|
| |||||||
Net increase | 718,837 | 8,313,429 | ||||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which was allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement will expire on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Limited-Term Diversified Income Series-21
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Notes to financial statements
6. Derivatives (continued)
Futures Contracts
A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Series may use futures in the normal course of pursuing its investment objective. The Series may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Series because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Series posted $420,002 in securities as a margin for open futures contracts, which is presented on the “Schedule of investments.”
During the six months ended June 30, 2015, the Series entered into futures contracts to hedge the Series’ existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
During the six months ended June 30, 2015, the Series had interest risk, which is disclosed as “Variation margin payable on futures contracts“ on the “Statement of assets and liabilities” and as “Net realized gain on futures contracts” on the “Statement of operations.”
Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2015
Long Derivative Volume | Short Derivative Volume | |||||||||
Futures contracts (Average notional value) | $ | 23,016,196 | $ | — |
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 in 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) 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 Series does not offset derivatives assets and derivatives liabilities that are subject to netting arrangements in the “Statement of assets and liabilities.”
Limited-Term Diversified Income Series-22
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Notes to financial statements
7. Offsetting (continued)
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||||||
Bank of America Merrill Lynch | $ | 2,797,890 | $ | (2,797,890 | ) | $ | — | $ | — | |||||||||||
Bank of Montreal | 4,663,151 | (4,663,151 | ) | — | — | |||||||||||||||
BNP Paribas | 2,619,404 | (2,619,404 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 10,080,445 | $ | (10,080,445 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(a)Net amount represents the receivable/(payable) that would be due from/(to) the counterparty in the event of default.
8. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security may be temporarily more or less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed, and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
9. Credit and Market Risk
The Series invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments
Limited-Term Diversified Income Series-23
Table of Contents
Delaware VIP® Limited-Term Diversified Income Series
Notes to financial statements
9. Credit and Market Risk (continued)
may have a material adverse affect on the Series’ yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Series may fail to recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Series invests in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s and lower than Baa3 by Moody’s Investor Services, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series invests in certain obligations held by the Series that may have liquidity protection 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 letter of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.” As of June 30, 2015, no securities have been determined to be illiquid under the Series’ Liquidity Procedures.
10. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact to the Series’ financial statements.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
Limited-Term Diversified Income Series-24
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares Voted | |||||||||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070 | % | 95.993 | % | 21,984,922.103 | 3.635 | % | 4.007 | % | ||||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002 | % | 95.918 | % | 22,398,011.798 | 3.703 | % | 4.082 | % | ||||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027 | % | 95.945 | % | 22,247,574.880 | 3.678 | % | 4.055 | % | ||||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038 | % | 95.958 | % | 22,178,818.502 | 3.667 | % | 4.042 | % | ||||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000 | % | 95.916 | % | 22,410,027.970 | 3.705 | % | 4.084 | % | ||||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058 | % | 95.979 | % | 22,060,900.976 | 3.647 | % | 4.021 | % | ||||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923 | % | 96.831 | % | 22,875,859.439 | 3.782 | % | 4.169 | % | ||||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132 | % | 96.060 | % | 21,615,409.663 | 3.573 | % | 3.940 | % | ||||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994 | % | 95.909 | % | 22,448,212.695 | 3.711 | % | 4.091 | % | ||||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910 | % | 95.817 | % | 22,952,904.134 | 3.795 | % | 4.183 | % |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series
| |||||
Shares voted for | 179,533,687.260 | ||||
Percentage of outstanding shares | 84.017 | % | |||
Percentage of shares voted | 90.774 | % | |||
Shares voted against | 8,383,244.447 | ||||
Percentage of outstanding shares | 3.923 | % | |||
Percentage of shares voted | 4.239 | % | |||
Shares abstained | 9,864,005.119 | ||||
Percentage of outstanding shares | 4.616 | % | |||
Percentage of shares voted | 4.987 | % | |||
Broker non-votes | — |
Limited-Term Diversified Income Series-25
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series
|
| ||||
Shares voted for | 21,664,190.259 | ||||
Percentage of outstanding shares | 78.496 | % | |||
Percentage of shares voted | 91.558 | % | |||
Shares voted against | 891,440.937 | ||||
Percentage of outstanding shares | 3.230 | % | |||
Percentage of shares voted | 3.767 | % | |||
Shares abstained | 1,105,968.815 | ||||
Percentage of outstanding shares | 4.007 | % | |||
Percentage of shares voted | 4.674 | % | |||
Broker non-votes | — | ||||
Delaware VIP High Yield Series
| |||||
Shares voted for | 49,544,742.708 | ||||
Percentage of outstanding shares | 81.361 | % | |||
Percentage of shares voted | 90.107 | % | |||
Shares voted against | 2,934,638.577 | ||||
Percentage of outstanding shares | 4.819 | % | |||
Percentage of shares voted | 5.337 | % | |||
Shares abstained | 2,504,911.809 | ||||
Percentage of outstanding shares | 4.114 | % | |||
Percentage of shares voted | 4.556 | % | |||
Broker non-votes | — | ||||
Delaware VIP International Value Equity Series
|
| ||||
Shares voted for | 4,486,133.331 | ||||
Percentage of outstanding shares | 84.064 | % | |||
Percentage of shares voted | 86.689 | % | |||
Shares voted against | 371,219.892 | ||||
Percentage of outstanding shares | 6.956 | % | |||
Percentage of shares voted | 7.173 | % | |||
Shares abstained | 317,615.637 | ||||
Percentage of outstanding shares | 5.952 | % | |||
Percentage of shares voted | 6.138 | % | |||
Broker non-votes | — | ||||
Delaware VIP Limited-Term Diversified Income Series
|
| ||||
Shares voted for | 132,127,100.461 | ||||
Percentage of outstanding shares | 88.414 | % | |||
Percentage of shares voted | 90.095 | % | |||
Shares voted against | 5,808,130.763 | ||||
Percentage of outstanding shares | 3.887 | % | |||
Percentage of shares voted | 3.960 | % | |||
Shares abstained | 8,718,218.458 | ||||
Percentage of outstanding shares | 5.834 | % | |||
Percentage of shares voted | 5.945 | % | |||
Broker non-votes | — |
Limited-Term Diversified Income Series-26
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series
| |||||
Shares voted for | 26,815,788.663 | ||||
Percentage of outstanding shares | 80.781 | % | |||
Percentage of shares voted | 91.598 | % | |||
Shares voted against | 1,239,672.430 | ||||
Percentage of outstanding shares | 3.734 | % | |||
Percentage of shares voted | 4.234 | % | |||
Shares abstained | 1,220,115.616 | ||||
Percentage of outstanding shares | 3.676 | % | |||
Percentage of shares voted | 4.168 | % | |||
Broker non-votes | — | ||||
Delaware VIP Small Cap Value Series
| |||||
Shares voted for | 20,167,531.570 | ||||
Percentage of outstanding shares | 73.957 | % | |||
Percentage of shares voted | 90.893 | % | |||
Shares voted against | 1,011,464.218 | ||||
Percentage of outstanding shares | 3.709 | % | |||
Percentage of shares voted | 4.559 | % | |||
Shares abstained | 1,009,169.258 | ||||
Percentage of outstanding shares | 3.701 | % | |||
Percentage of shares voted | 4.548 | % | |||
Broker non-votes | 0.001 | ||||
Delaware VIP Smid Cap Growth Series
| |||||
Shares voted for | 15,836,485.164 | ||||
Percentage of outstanding shares | 80.371 | % | |||
Percentage of shares voted | 88.722 | % | |||
Shares voted against | 1,067,437.855 | ||||
Percentage of outstanding shares | 5.417 | % | |||
Percentage of shares voted | 5.980 | % | |||
Shares abstained | 945,601.959 | ||||
Percentage of outstanding shares | 4.799 | % | |||
Percentage of shares voted | 5.298 | % | |||
Broker non-votes | — | ||||
Delaware VIP U.S. Growth Series
| |||||
Shares voted for | 25,576,018.399 | ||||
Percentage of outstanding shares | 66.205 | % | |||
Percentage of shares voted | 89.891 | % | |||
Shares voted against | 1,384,891.646 | ||||
Percentage of outstanding shares | 3.585 | % | |||
Percentage of shares voted | 4.867 | % | |||
Shares abstained | 1,491,227.310 | ||||
Percentage of outstanding shares | 3.860 | % | |||
Percentage of shares voted | 5.241 | % | |||
Broker non-votes | — |
Limited-Term Diversified Income Series-27
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series
| |||||
Shares voted for | 21,096,344.681 | ||||
Percentage of outstanding shares | 72.432 | % | |||
Percentage of shares voted | 93.172 | % | |||
Shares voted against | 635,957.509 | ||||
Percentage of outstanding shares | 2.183 | % | |||
Percentage of shares voted | 2.809 | % | |||
Shares abstained | 910,032.032 | ||||
Percentage of outstanding shares | 3.124 | % | |||
Percentage of shares voted | 4.019 | % | |||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series
| |||||
Shares voted for | 176,844,463.582 | ||||
Percentage of outstanding shares | 82.758 | % | |||
Percentage of shares voted | 89.414 | % | |||
Shares voted against | 9,890,294.147 | ||||
Percentage of outstanding shares | 4.628 | % | |||
Percentage of shares voted | 5.001 | % | |||
Shares abstained | 11,046,179.097 | ||||
Percentage of outstanding shares | 5.169 | % | |||
Percentage of shares voted | 5.585 | % | |||
Broker non-votes | — | ||||
Delaware VIP Emerging Markets Series
| |||||
Shares voted for | 21,155,701.765 | ||||
Percentage of outstanding shares | 76.654 | % | |||
Percentage of shares voted | 89.409 | % | |||
Shares voted against | 1,148,187.741 | ||||
Percentage of outstanding shares | 4.160 | % | |||
Percentage of shares voted | 4.853 | % | |||
Shares abstained | 1,357,710.506 | ||||
Percentage of outstanding shares | 4.919 | % | |||
Percentage of shares voted | 5.738 | % | |||
Broker non-votes | — |
Limited-Term Diversified Income Series-28
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series
| |||||
Shares voted for | 48,169,080.642 | ||||
Percentage of outstanding shares | 79.102 | % | |||
Percentage of shares voted | 87.605 | % | |||
Shares voted against | 3,819,285.510 | ||||
Percentage of outstanding shares | 6.272 | % | |||
Percentage of shares voted | 6.946 | % | |||
Shares abstained | 2,995,926.942 | ||||
Percentage of outstanding shares | 4.920 | % | |||
Percentage of shares voted | 5.449 | % | |||
Broker non-votes | — | ||||
Delaware VIP International Value Equity Series
|
| ||||
Shares voted for | 4,441,418.869 | ||||
Percentage of outstanding shares | 83.226 | % | |||
Percentage of shares voted | 85.825 | % | |||
Shares voted against | 450,645.832 | ||||
Percentage of outstanding shares | 8.445 | % | |||
Percentage of shares voted | 8.708 | % | |||
Shares abstained | 282,904.158 | ||||
Percentage of outstanding shares | 5.301 | % | |||
Percentage of shares voted | 5.467 | % | |||
Broker non-votes | — | ||||
Delaware VIP Limited-Term Diversified Income Series
|
| ||||
Shares voted for | 129,567,125.428 | ||||
Percentage of outstanding shares | 86.701 | % | |||
Percentage of shares voted | 88.349 | % | |||
Shares voted against | 7,071,982.835 | ||||
Percentage of outstanding shares | 4.732 | % | |||
Percentage of shares voted | 4.822 | % | |||
Shares abstained | 10,014,341.420 | ||||
Percentage of outstanding shares | 6.701 | % | |||
Percentage of shares voted | 6.829 | % | |||
Broker non-votes | — | ||||
Delaware VIP REIT Series
| |||||
Shares voted for | 26,161,089.640 | ||||
Percentage of outstanding shares | 78.808 | % | |||
Percentage of shares voted | 89.361 | % | |||
Shares voted against | 1,638,902.001 | ||||
Percentage of outstanding shares | 4.937 | % | |||
Percentage of shares voted | 5.598 | % | |||
Shares abstained | 1,475,585.067 | ||||
Percentage of outstanding shares | 4.445 | % | |||
Percentage of shares voted | 5.040 | % | |||
Broker non-votes | — |
Limited-Term Diversified Income Series-29
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series
| |||||
Shares voted for | 20,054,612.491 | ||||
Percentage of outstanding shares | 73.543 | % | |||
Percentage of shares voted | 90.384 | % | |||
Shares voted against | 1,106,997.851 | ||||
Percentage of outstanding shares | 4.060 | % | |||
Percentage of shares voted | 4.989 | % | |||
Shares abstained | 1,026,554.705 | ||||
Percentage of outstanding shares | 3.765 | % | |||
Percentage of shares voted | 4.627 | % | |||
Broker non-votes | 0.001 | ||||
Delaware VIP Smid Cap Growth Series
| |||||
Shares voted for | 15,162,100.040 | ||||
Percentage of outstanding shares | 76.948 | % | |||
Percentage of shares voted | 84.944 | % | |||
Shares voted against | 1,491,769.928 | ||||
Percentage of outstanding shares | 7.571 | % | |||
Percentage of shares voted | 8.357 | % | |||
Shares abstained | 1,195,655.010 | ||||
Percentage of outstanding shares | 6.068 | % | |||
Percentage of shares voted | 6.699 | % | |||
Broker non-votes | — | ||||
Delaware VIP U.S. Growth Series
| |||||
Shares voted for | 25,178,954.037 | ||||
Percentage of outstanding shares | 65.177 | % | |||
Percentage of shares voted | 88.496 | % | |||
Shares voted against | 1,596,431.587 | ||||
Percentage of outstanding shares | 4.132 | % | |||
Percentage of shares voted | 5.611 | % | |||
Shares abstained | 1,676,751.732 | ||||
Percentage of outstanding shares | 4.340 | % | |||
Percentage of shares voted | 5.893 | % | |||
Broker non-votes | — | ||||
Delaware VIP Value Series
| |||||
Shares voted for | 20,406,314.522 | ||||
Percentage of outstanding shares | 70.063 | % | |||
Percentage of shares voted | 90.125 | % | |||
Shares voted against | 1,108,793.968 | ||||
Percentage of outstanding shares | 3.807 | % | |||
Percentage of shares voted | 4.897 | % | |||
Shares abstained | 1,127,225.732 | ||||
Percentage of outstanding shares | 3.870 | % | |||
Percentage of shares voted | 4.978 | % | |||
Broker non-votes | 0.001 |
Limited-Term Diversified Income Series-30
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Other Series information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Shares voted for | 497,844,902.446 | ||||
Percentage of outstanding shares | 82.304 | % | |||
Percentage of shares voted | 90.738 | % | |||
Shares voted against | 19,207,063.218 | ||||
Percentage of outstanding shares | 3.175 | % | |||
Percentage of shares voted | 3.501 | % | |||
Shares abstained | 31,611,021.120 | ||||
Percentage of outstanding shares | 5.226 | % | |||
Percentage of shares voted | 5.761 | % | |||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Shares voted for | 493,083,609.898 | ||||
Percentage of outstanding shares | 81.517 | % | |||
Percentage of shares voted | 89.870 | % | |||
Shares voted against | 24,097,482.106 | ||||
Percentage of outstanding shares | 3.984 | % | |||
Percentage of shares voted | 4.392 | % | |||
Shares abstained | 31,481,894.780 | ||||
Percentage of outstanding shares | 5.205 | % | |||
Percentage of shares voted | 5.738 | % | |||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Shares voted for | 503,119,718.443 | ||||
Percentage of outstanding shares | 83.176 | % | |||
Percentage of shares voted | 91.699 | % | |||
Shares voted against | 16,786,089.541 | ||||
Percentage of outstanding shares | 2.775 | % | |||
Percentage of shares voted | 3.059 | % | |||
Shares abstained | 28,757,178.800 | ||||
Percentage of outstanding shares | 4.754 | % | |||
Percentage of shares voted | 5.241 | % | |||
Broker non-votes | 0.002 |
Limited-Term Diversified Income Series-31
Table of Contents
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPLTD 20548 [8/15] (14966) | Limited-Term Diversified Income Series-32 |
Table of Contents
Delaware VIP® Trust
| ||
Delaware VIP REIT Series
| ||
Semiannual report
| ||
June 30, 2015 | ||
|
Table of Contents
Investments in Delaware VIP® REIT Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP REIT Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||||
Actual Series return† |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 938.20 | 0.86% | $4.13 | ||||||||||
Service Class | 1,000.00 | 937.30 | 1.11% | 5.33 | ||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,020.53 | 0.86% | $4.31 | ||||||||||
Service Class | 1,000.00 | 1,019.29 | 1.11% | 5.56 |
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
REIT Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Security type / sector allocation and top 10 equity holdings
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | ||||
Common Stock | 98.49 | % | |||
Diversified REITs | 4.08 | % | |||
Healthcare REITs | 7.75 | % | |||
Hotel REITs | 9.36 | % | |||
Industrial REITs | 4.46 | % | |||
Mall REITs | 17.44 | % | |||
Manufactured Housing REIT | 1.13 | % | |||
Multifamily REITs | 17.81 | % | |||
Office REITs | 15.00 | % | |||
Office/Industrial REITs | 3.70 | % | |||
Self-Storage REITs | 7.29 | % | |||
Shopping Center REITs | 8.67 | % | |||
Single Tenant REIT | 0.84 | % | |||
Specialty REITs | 0.96 | % | |||
Short-Term Investments | 0.78 | % | |||
Total Value of Securities | 99.27 | % | |||
Receivables and Other Assets Net of Liabilities | 0.73 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |
Simon Property Group | 10.12% | |
Equity Residential | 4.86% | |
General Growth Properties | 4.71% | |
AvalonBay Communities | 4.37% | |
Health Care REIT | 4.22% | |
Public Storage | 4.22% | |
Boston Properties | 3.91% | |
Vornado Realty Trust | 3.43% | |
Essex Property Trust | 3.27% | |
Host Hotels & Resorts
| 3.25%
|
REIT Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
June 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
Common Stock – 98.49% | ||||||||
Diversified REITs – 4.08% | ||||||||
Gramercy Property Trust | 129,825 | $ | 3,034,010 | |||||
Vornado Realty Trust | 168,968 | 16,040,132 | ||||||
|
| |||||||
19,074,142 | ||||||||
|
| |||||||
Healthcare REITs – 7.75% | ||||||||
Health Care REIT | 300,398 | 19,715,121 | ||||||
Omega Healthcare Investors | 79,650 | 2,734,385 | ||||||
Ventas | 221,599 | 13,759,082 | ||||||
|
| |||||||
36,208,588 | ||||||||
|
| |||||||
Hotel REITs – 9.36% | ||||||||
DiamondRock Hospitality | 241,325 | 3,091,373 | ||||||
Hilton Worldwide Holdings † | 208,325 | 5,739,354 | ||||||
Host Hotels & Resorts | 765,468 | 15,179,230 | ||||||
Pebblebrook Hotel Trust | 223,611 | 9,588,439 | ||||||
RLJ Lodging Trust | 195,901 | 5,833,932 | ||||||
Strategic Hotels & Resorts † | 356,315 | 4,318,538 | ||||||
|
| |||||||
43,750,866 | ||||||||
|
| |||||||
Industrial REITs – 4.46% | ||||||||
DCT Industrial Trust | 190,366 | 5,985,107 | ||||||
Prologis | 400,372 | 14,853,801 | ||||||
|
| |||||||
20,838,908 | ||||||||
|
| |||||||
Mall REITs – 17.44% | ||||||||
General Growth Properties | 858,471 | 22,028,366 | ||||||
Macerich | 106,725 | 7,961,685 | ||||||
Simon Property Group | 273,453 | 47,312,838 | ||||||
Taubman Centers | 60,375 | 4,196,063 | ||||||
|
| |||||||
81,498,952 | ||||||||
|
| |||||||
Manufactured Housing REIT – 1.13% | ||||||||
Equity LifeStyle Properties | 100,028 | 5,259,472 | ||||||
|
| |||||||
5,259,472 | ||||||||
|
| |||||||
Multifamily REITs – 17.81% | ||||||||
Apartment Investment & Management | 241,375 | 8,913,979 | ||||||
AvalonBay Communities | 127,814 | 20,433,624 | ||||||
Equity Residential | 323,625 | 22,708,766 | ||||||
Essex Property Trust | 71,820 | 15,261,750 | ||||||
Post Properties | 86,250 | 4,689,412 | ||||||
UDR | 351,025 | 11,243,331 | ||||||
|
| |||||||
83,250,862 | ||||||||
|
| |||||||
Office REITs – 15.00% | ||||||||
Boston Properties | 151,115 | 18,290,959 | ||||||
Brandywine Realty Trust | 430,875 | 5,722,020 | ||||||
Douglas Emmett | 170,925 | 4,604,718 | ||||||
Empire State Realty Trust | 81,200 | 1,385,272 | ||||||
Equity Commonwealth † | 258,425 | 6,633,770 | ||||||
Hudson Pacific Properties | 196,086 | 5,562,960 | ||||||
Kilroy Realty | 136,700 | 9,179,405 | ||||||
Paramount Group | 275,957 | 4,735,422 | ||||||
SL Green Realty | 127,538 | 14,015,151 | ||||||
|
| |||||||
70,129,677 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Office/Industrial REITs – 3.70% | ||||||||
Duke Realty | 763,075 | $ | 14,170,303 | |||||
PS Business Parks | 43,340 | 3,126,981 | ||||||
|
| |||||||
17,297,284 | ||||||||
|
| |||||||
Self-Storage REITs – 7.29% | ||||||||
CubeSmart | 206,075 | 4,772,697 | ||||||
Extra Space Storage | 146,886 | 9,579,905 | ||||||
Public Storage | 106,886 | 19,706,572 | ||||||
|
| |||||||
34,059,174 | ||||||||
|
| |||||||
Shopping Center REITs – 8.67% | ||||||||
DDR | 346,132 | 5,351,201 | ||||||
Equity One | 156,500 | 3,652,710 | ||||||
Federal Realty Investment Trust | 61,075 | 7,823,097 | ||||||
Kimco Realty | 543,165 | 12,242,939 | ||||||
Ramco-Gershenson Properties Trust | 84,325 | 1,376,184 | ||||||
Regency Centers | 128,664 | 7,588,603 | ||||||
Retail Properties of America | 178,225 | 2,482,674 | ||||||
|
| |||||||
40,517,408 | ||||||||
|
| |||||||
Single Tenant REIT – 0.84% | ||||||||
National Retail Properties | 111,850 | 3,915,869 | ||||||
|
| |||||||
3,915,869 | ||||||||
|
| |||||||
Specialty REITs – 0.96% | ||||||||
American Residential Properties | 182,361 | 3,373,679 | ||||||
GEO Group | 33,300 | 1,137,528 | ||||||
|
| |||||||
4,511,207 | ||||||||
|
| |||||||
Total Common Stock | 460,312,409 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 0.78% | ||||||||
Discount Notes – 0.78% ≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.04% 7/21/15 | 150,809 | 150,808 | ||||||
0.055% 7/31/15 | 331,960 | 331,957 | ||||||
0.065% 8/5/15 | 201,330 | 201,324 | ||||||
0.065% 9/2/15 | 603,236 | 603,183 | ||||||
0.07% 8/11/15 | 354,348 | 354,336 | ||||||
0.08% 7/17/15 | 403,873 | 403,872 | ||||||
0.08% 7/22/15 | 538,497 | 538,494 | ||||||
0.10% 10/23/15 | 603,236 | 603,066 | ||||||
Freddie Mac 0.075% 10/1/15 | 468,209 | 468,103 | ||||||
|
| |||||||
3,655,143 | ||||||||
|
| |||||||
Total Short-Term Investments | 3,655,143 | |||||||
|
|
REIT Series-3
Table of Contents
Delaware VIP® REIT Series
Schedule of investments (continued)
Total Value of Securities – 99.27% | $ | 463,967,552 |
≠ The rate shown is the effective yield at the time of purchase.
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
† Non-income-producing security.
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
REIT Series-4
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series | ||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 460,312,409 | ||
Short-term investments, at value2 | 3,655,143 | |||
Receivable for securities sold | 7,797,759 | |||
Dividends and interest receivable | 1,418,030 | |||
Receivable for series shares sold | 729,815 | |||
|
| |||
Total assets | 473,913,156 | |||
|
| |||
Liabilities: | ||||
Cash overdraft | 2,754,156 | |||
Payable for securities purchased | 2,721,309 | |||
Payable for series shares redeemed | 536,761 | |||
Investment management fees payable | 297,045 | |||
Other accrued expenses | 172,289 | |||
Distribution fees payable | 49,046 | |||
Other affiliates payable | 6,383 | |||
Trustees’ fees and expenses payable | 1,522 | |||
|
| |||
Total liabilities | 6,538,511 | |||
|
| |||
Total Net Assets | $ | 467,374,645 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 435,912,650 | ||
Undistributed net investment income | 4,587,629 | |||
Accumulated net realized gain on investments | 11,515,823 | |||
Net unrealized appreciation of investments | 15,358,543 | |||
|
| |||
Total Net Assets | $ | 467,374,645 | ||
|
| |||
Net Asset Value: | ||||
Standard Class: | ||||
Net assets | $ | 235,293,571 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 16,374,651 | |||
Net asset value per share | $ | 14.37 | ||
Service Class: | ||||
Net assets | $ | 232,081,074 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 16,163,587 | |||
Net asset value per share | $ | 14.36 | ||
1 Investments, at cost | $ | 444,953,958 | ||
2 Short-term investments, at cost | 3,655,051 |
See accompanying notes, which are an integral part of the financial statements.
REIT Series-5
Table of Contents
Delaware VIP® Trust —
Delaware VIP REIT Series
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $ | 6,818,681 | ||
Interest | 4,233 | |||
|
| |||
6,822,914 | ||||
|
| |||
Expenses: | ||||
Management fees | 1,931,238 | |||
Distribution expenses – Service Class | 380,930 | |||
Reports and statements to shareholders | 116,038 | |||
Accounting and administration expenses | 81,791 | |||
Dividend disbursing and transfer agent fees and expenses | 21,865 | |||
Legal fees | 19,823 | |||
Custodian fees | 15,989 | |||
Audit and tax | 15,830 | |||
Trustees’ fees and expenses | 12,976 | |||
Registration fees | 472 | |||
Other | 7,017 | |||
|
| |||
2,603,969 | ||||
Less waived distribution expenses – Service Class | (63,488 | ) | ||
|
| |||
Total operating expenses | 2,540,481 | |||
|
| |||
Net Investment Income | 4,282,433 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments | 30,001,495 | |||
Net change in unrealized appreciation (depreciation) of investments | (65,821,567 | ) | ||
|
| |||
Net Realized And Unrealized Loss | (35,820,072 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (31,537,639 | ) | |
|
|
Delaware VIP Trust —
Delaware VIP REIT Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,282,433 | $ | 5,826,586 | ||||
Net realized gain | 30,001,495 | 32,448,156 | ||||||
Net change in unrealized appreciation (depreciation) | (65,821,567 | ) | 77,000,686 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (31,537,639 | ) | 115,275,428 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (3,142,659 | ) | (3,102,854 | ) | ||||
Service Class | (2,450,241 | ) | (2,497,220 | ) | ||||
|
|
|
| |||||
(5,592,900 | ) | (5,600,074 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 12,316,302 | 22,595,537 | ||||||
Service Class | 16,019,731 | 21,931,147 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 3,142,659 | 3,102,854 | ||||||
Service Class | 2,450,241 | 2,497,220 | ||||||
|
|
|
| |||||
33,928,933 | 50,126,758 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (21,300,277 | ) | (20,193,267 | ) | ||||
Service Class | (20,048,322 | ) | (25,164,081 | ) | ||||
|
|
|
| |||||
(41,348,599 | ) | (45,357,348 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets derived from capital share transactions | (7,419,666 | ) | 4,769,410 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (44,550,205 | ) | 114,444,764 | |||||
Net Assets: | ||||||||
Beginning of period | 511,924,850 | 397,480,086 | ||||||
|
|
|
| |||||
End of period | $ | 467,374,645 | $ | 511,924,850 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 4,587,629 | $ | 5,898,096 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
REIT Series-6
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP REIT Series Standard Class | |||||||||||||||||||||||||||||||||||||
Six months ended 6/30/151 (Unaudited) | |||||||||||||||||||||||||||||||||||||
Year ended | |||||||||||||||||||||||||||||||||||||
12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.500 | $ | 12.140 | $ | 12.060 | $ | 10.470 | $ | 9.580 | $ | 7.750 | |||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.139 | 0.195 | 0.180 | 0.189 | 0.165 | 0.189 | |||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.081 | ) | 3.353 | 0.095 | 1.576 | 0.883 | 1.880 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total from investment operations | (0.942 | ) | 3.548 | 0.275 | 1.765 | 1.048 | 2.069 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||||||||||||
Net investment income | (0.188 | ) | (0.188 | ) | (0.195 | ) | (0.175 | ) | (0.158 | ) | (0.239 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total dividends and distributions | (0.188 | ) | (0.188 | ) | (0.195 | ) | (0.175 | ) | (0.158 | ) | (0.239 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.370 | $ | 15.500 | $ | 12.140 | $ | 12.060 | $ | 10.470 | $ | 9.580 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total return3 | (6.18% | ) | 29.46% | 2.14% | 16.94% | 10.96% | 26.98% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 235,294 | $ | 260,182 | $ | 198,950 | $ | 210,618 | $ | 187,545 | $ | 187,293 | |||||||||||||||||||||||||
Ratio of expenses to average net assets | 0.86% | 0.84% | 0.84% | 0.84% | 0.85% | 0.87% | |||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.78% | 1.41% | 1.42% | 1.64% | 1.64% | 2.19% | |||||||||||||||||||||||||||||||
Portfolio turnover | 38% | 84% | 97% | 91% | 108% | 181% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
REIT Series-7
Table of Contents
Delaware VIP® REIT Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP REIT Series Service Class | |||||||||||||||||||||||||||||||||||||
Six months ended 6/30/151 (Unaudited) | |||||||||||||||||||||||||||||||||||||
Year ended | |||||||||||||||||||||||||||||||||||||
12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.470 | $ | 12.120 | $ | 12.040 | $ | 10.460 | $ | 9.580 | $ | 7.760 | |||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.119 | 0.160 | 0.148 | 0.160 | 0.140 | 0.167 | |||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.076 | ) | 3.346 | 0.098 | 1.570 | 0.876 | 1.877 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total from investment operations | (0.957 | ) | 3.506 | 0.246 | 1.730 | 1.016 | 2.044 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||||||||||||
Net investment income | (0.153 | ) | (0.156 | ) | (0.166 | ) | (0.150 | ) | (0.136 | ) | (0.224 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total dividends and distributions | (0.153 | ) | (0.156 | ) | (0.166 | ) | (0.150 | ) | (0.136 | ) | (0.224 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.360 | $ | 15.470 | $ | 12.120 | $ | 12.040 | $ | 10.460 | $ | 9.580 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total return3 | (6.27% | ) | 29.12% | 1.92% | 16.61% | 10.62% | 26.61% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 232,081 | $ | 251,743 | $ | 198,530 | $ | 209,023 | $ | 176,031 | $ | 156,550 | |||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.11% | 1.09% | 1.09% | 1.09% | 1.10% | 1.12% | |||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.16% | 1.14% | 1.14% | 1.14% | 1.15% | 1.17% | |||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.53% | 1.16% | 1.17% | 1.39% | 1.39% | 1.94% | |||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.48% | 1.11% | 1.12% | 1.34% | 1.34% | 1.89% | |||||||||||||||||||||||||||||||
Portfolio turnover | 38% | 84% | 97% | 91% | 108% | 181% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
REIT Series-8
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP REIT Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objectives of the Series are to seek maximum long-term total return, with capital appreciation as a secondary objective.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAP) and are consistently followed by the Series.
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. 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. U.S. government and agency securities are valued at the mean between the 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 Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security.
Federal Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. At June 30, 2015, the Series held no investments in repurchase agreements.
Use of Estimates—The Series is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively over the lives of the respective securities using the effective interest method. Distributions received from investments in Real Estate Investment Trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates for the six months ended June 30, 2015.
REIT Series-9
Table of Contents
Delaware VIP® REIT Series
Notes to financial statements
1. Significant Accounting Policies (continued)
The Series 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, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.75% on the first $500 million of average daily net assets of the Series, 0.70% on the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $12,189 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $19,372 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 Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fee from Jan. 1, 2015 to June 30, 2015,* in order to limit distribution and service fee of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series bears a portion of the cost of 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 Series. For the six months ended June 30, 2015, the Series was charged $7,161 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.”
Trustees’ fees include expenses accrued by the Series 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 Series.
*The contractual waiver period is from April 30, 2014 through April 29, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 195,870,359 | ||
Sales | 187,048,978 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||||
$448,609,009 | $30,062,812 | $(14,704,269) | $15,358,543 |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at Dec. 31, 2014 will expire as follows: $11,822,966 expires in 2017.
REIT Series-10
Table of Contents
Delaware VIP® REIT Series
Notes to financial statements
3. Investments (continued)
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation. At Dec. 31, 2014, there were no losses incurred that will be carried forward under the Act.
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | ||||||||||
Common Stock |
$ |
460,312,409 |
| $ | — |
$ |
460,312,409 |
| ||||
Short-Term Investments | — | 3,655,143 | 3,655,143 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 460,312,409 | $ | 3,655,143 | $ | 463,967,552 | ||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
REIT Series-11
Table of Contents
Delaware VIP® REIT Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||
Shares sold: | ||||||||||
Standard Class | 766,122 | 1,630,153 | ||||||||
Service Class | 1,006,836 | 1,541,433 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Standard Class | 200,681 | 230,524 | ||||||||
Service Class | 156,465 | 185,529 | ||||||||
|
|
|
| |||||||
2,130,104 | 3,587,639 | |||||||||
|
|
|
| |||||||
Shares redeemed: | ||||||||||
Standard Class | (1,378,924 | ) | (1,462,997 | ) | ||||||
Service Class | (1,270,528 | ) | (1,836,806 | ) | ||||||
|
|
|
| |||||||
(2,649,452 | ) | (3,299,803 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) | (519,348 | ) | 287,836 | |||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. Securities Lending
The Series, along with other funds in the Delaware Investments Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon 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 is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent, and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment
REIT Series-12
Table of Contents
Delaware VIP® REIT Series
Notes to financial statements
6. Securities Lending (continued)
in the Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
7. Credit and Market Risk
The Series concentrates its investments in the real estate industry and is subject to the risks associated with that industry. If the Series holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. The Series is also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations. Its investments may also tend to fluctuate more in value than a portfolio that invests in a broader range of industries.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A, promulgated under Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2015, there were no Rule 144A securities held by the Series and no securities have been determined to be illiquid under the Series’ Liquidity Procedures.
8. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
9. Recent Accounting Pronouncements
In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statements.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
REIT Series-13
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares Voted | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 96.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
REIT Series-14
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP Emerging Markets Series
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
REIT Series-15
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP REIT Series
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
REIT Series-16
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP Value Series
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
REIT Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP High Yield Series |
| |||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series |
| |||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
REIT Series-18
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series |
| |||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
REIT Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
Other Series information (Unaudited) (continued)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
REIT Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP REIT Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPREIT 20549 [8/15] (14966) | REIT Series-21 |
Table of Contents
Delaware VIP® Trust
| ||
Delaware VIP Small Cap Value Series
| ||
Semiannual report
| ||
June 30, 2015 | ||
|
Table of Contents
Investments in Delaware VIP® Small Cap Value Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP Small Cap Value Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||||
Actual Series return† |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,021.20 | 0.82% | $4.11 | ||||||||||
Service Class | 1,000.00 | 1,019.80 | 1.07% | 5.36 | ||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,020.73 | 0.82% | $4.11 | ||||||||||
Service Class | 1,000.00 | 1,019.49 | 1.07% | 5.36 |
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Small Cap Value Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Security type / sector allocation and top 10 equity holdings
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | ||||
Common Stock | 99.93 | % | |||
Basic Industry | 10.04 | % | |||
Business Services | 1.88 | % | |||
Capital Spending | 8.17 | % | |||
Consumer Cyclical | 4.34 | % | |||
Consumer Discretionary | 1.00 | % | |||
Consumer Services | 8.56 | % | |||
Consumer Staples | 2.67 | % | |||
Energy | 6.84 | % | |||
Financial Services | 24.44 | % | |||
Healthcare | 7.16 | % | |||
Information Technology | 1.16 | % | |||
Real Estate | 6.41 | % | |||
Technology | 12.33 | % | |||
Transportation | 2.76 | % | |||
Utilities | 2.17 | % | |||
Short-Term Investments | 0.42 | % | |||
Total Value of Securities | 100.35 | % | |||
Liabilities Net of Receivables and Other Assets | (0.35 | %) | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |
East West Bancorp | 2.94% | |
ITT | 1.84% | |
Synopsys | 1.81% | |
Webster Financial | 1.71% | |
Cytec Industries | 1.66% | |
Bank of Hawaii | 1.54% | |
Service International | 1.53% | |
Kaiser Aluminum | 1.52% | |
Hancock Holding | 1.40% | |
MasTec
| 1.39%
|
Small Cap Value Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
June 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
Common Stock – 99.93% | ||||||||
Basic Industry – 10.04% | ||||||||
Albemarle | 171,200 | $ | 9,462,224 | |||||
Berry Plastics Group † | 432,600 | 14,016,240 | ||||||
Chemtura † | 436,800 | 12,365,808 | ||||||
Clearwater Paper † | 106,600 | 6,108,180 | ||||||
Cytec Industries | 299,000 | 18,098,470 | ||||||
Fuller (H.B.) | 366,000 | 14,866,920 | ||||||
Glatfelter (P.H.) | 404,700 | 8,899,353 | ||||||
Kaiser Aluminum | 199,300 | 16,557,844 | ||||||
Olin | 216,000 | 5,821,200 | ||||||
Ryerson Holding @† | 337,000 | 3,066,700 | ||||||
|
| |||||||
109,262,939 | ||||||||
|
| |||||||
Business Services – 1.88% | ||||||||
Brink’s | 84,570 | 2,488,895 | ||||||
Deluxe | 109,300 | 6,776,600 | ||||||
Essendant | 149,400 | 5,863,950 | ||||||
WESCO International † | 77,200 | 5,299,008 | ||||||
|
| |||||||
20,428,453 | ||||||||
|
| |||||||
Capital Spending – 8.17% | ||||||||
Altra Industrial Motion | 310,870 | 8,449,447 | ||||||
CIRCOR International | 78,200 | 4,264,246 | ||||||
EnPro Industries | 109,700 | 6,277,034 | ||||||
H&E Equipment Services | 463,800 | 9,262,086 | ||||||
ITT | 477,500 | 19,978,600 | ||||||
MasTec † | 762,400 | 15,148,888 | ||||||
Primoris Services | 418,900 | 8,294,220 | ||||||
Regal Beloit | 134,000 | 9,727,060 | ||||||
Thermon Group Holdings † | 310,700 | 7,478,549 | ||||||
|
| |||||||
88,880,130 | ||||||||
|
| |||||||
Consumer Cyclical – 4.34% | ||||||||
Barnes Group | 248,200 | 9,677,318 | ||||||
Knoll | 294,593 | 7,373,663 | ||||||
Meritage Homes † | 306,200 | 14,418,958 | ||||||
Standard Motor Products | 182,101 | 6,395,387 | ||||||
Tenneco † | 162,700 | 9,345,488 | ||||||
|
| |||||||
47,210,814 | ||||||||
|
| |||||||
Consumer Discretionary – 1.00% | ||||||||
Texas Roadhouse | 290,300 | 10,865,929 | ||||||
|
| |||||||
10,865,929 | ||||||||
|
| |||||||
Consumer Services – 8.56% | ||||||||
Asbury Automotive Group † | 70,900 | 6,424,958 | ||||||
Brinker International | 122,700 | 7,073,655 | ||||||
Cato Class A | 139,254 | 5,397,485 | ||||||
Cheesecake Factory | 216,200 | 11,790,467 | ||||||
Cinemark Holdings | 201,413 | 8,090,760 | ||||||
Finish Line Class A | 231,000 | 6,426,420 | ||||||
Genesco † | 80,451 | 5,312,179 | ||||||
International Speedway Class A | 155,066 | 5,686,270 | ||||||
Madden (Steven) † | 244,900 | 10,476,822 | ||||||
Meredith | 146,850 | 7,658,227 | ||||||
Stage Stores | 206,925 | 3,627,395 | ||||||
UniFirst | 63,600 | 7,113,660 |
Number of shares | Value (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Consumer Services (continued) | ||||||||
Wolverine World Wide | 281,000 | $ | 8,002,880 | |||||
|
| |||||||
93,081,178 | ||||||||
|
| |||||||
Consumer Staples – 2.67% | ||||||||
Core-Mark Holding Class A | 106,232 | 6,294,246 | ||||||
J&J Snack Foods | 64,600 | 7,149,282 | ||||||
Pinnacle Foods | 189,600 | 8,634,384 | ||||||
Scotts Miracle-Gro Class A | 117,700 | 6,969,017 | ||||||
|
| |||||||
29,046,929 | ||||||||
|
| |||||||
Energy – 6.84% | ||||||||
Bonanza Creek Energy † | 293,800 | 5,361,850 | ||||||
Dril-Quip † | 85,100 | 6,403,775 | ||||||
Helix Energy Solutions Group † | 731,600 | 9,240,108 | ||||||
Jones Energy Class A † | 203,100 | 1,838,055 | ||||||
Oasis Petroleum † | 475,000 | 7,528,750 | ||||||
Patterson-UTI Energy | 510,600 | 9,606,939 | ||||||
SM Energy | 162,000 | 7,471,440 | ||||||
Southwest Gas | 229,700 | 12,222,337 | ||||||
Stone Energy † | 467,437 | 5,885,032 | ||||||
Whiting Petroleum † | 263,100 | 8,840,160 | ||||||
|
| |||||||
74,398,446 | ||||||||
|
| |||||||
Financial Services – 24.44% | ||||||||
Bank of Hawaii | 250,500 | 16,703,340 | ||||||
Boston Private Financial Holdings | 652,500 | 8,750,025 | ||||||
Community Bank System | 363,800 | 13,740,726 | ||||||
CVB Financial | 272,600 | 4,800,486 | ||||||
East West Bancorp | 714,236 | 32,012,057 | ||||||
First Financial Bancorp | 530,900 | 9,524,346 | ||||||
First Interstate BancSystem | 200,600 | 5,564,644 | ||||||
First Midwest Bancorp | 494,300 | 9,376,871 | ||||||
Great Western Bancorp | 243,100 | 5,861,141 | ||||||
Hancock Holding | 476,700 | 15,211,497 | ||||||
Independent Bank @ | 297,800 | 13,963,842 | ||||||
Infinity Property & Casualty @ | 110,400 | 8,372,736 | ||||||
Main Street Capital | 232,000 | 7,403,120 | ||||||
NBT Bancorp @ | 442,400 | 11,577,608 | ||||||
ProAssurance | 231,200 | 10,683,752 | ||||||
S&T Bancorp | 248,642 | 7,357,317 | ||||||
Selective Insurance Group | 520,500 | 14,600,025 | ||||||
StanCorp Financial Group | 86,300 | 6,525,143 | ||||||
Stifel Financial † | 230,600 | 13,314,844 | ||||||
Validus Holdings | 220,321 | 9,691,921 | ||||||
Valley National Bancorp | 1,141,500 | 11,768,865 | ||||||
Webster Financial | 469,200 | 18,556,860 | ||||||
WesBanco @ | 310,800 | 10,573,416 | ||||||
|
| |||||||
265,934,582 | ||||||||
|
| |||||||
Healthcare – 7.16% | ||||||||
Haemonetics † | 192,500 | 7,961,800 | ||||||
Owens & Minor | 270,350 | 9,191,900 | ||||||
Service International | 567,000 | 16,686,810 | ||||||
STERIS | 219,798 | 14,163,783 | ||||||
Teleflex | 72,800 | 9,860,760 | ||||||
VCA Antech † | 228,999 | 12,458,691 |
Small Cap Value Series-3
Table of Contents
Delaware VIP® Small Cap Value Series
Schedule of investments (continued)
Number of shares | Value (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Healthcare (continued) | ||||||||
VWR † | 281,020 | $ | 7,511,665 | |||||
|
| |||||||
77,835,409 | ||||||||
|
| |||||||
Information Technology – 1.16% | ||||||||
Brocade Communications Systems | 1,064,000 | 12,640,320 | ||||||
|
| |||||||
12,640,320 | ||||||||
|
| |||||||
Real Estate – 6.41% | ||||||||
Alexander & Baldwin | 222,271 | 8,757,477 | ||||||
Brandywine Realty Trust | 661,633 | 8,786,486 | ||||||
Education Realty Trust | 186,500 | 5,848,640 | ||||||
Healthcare Realty Trust | 303,000 | 7,047,780 | ||||||
Highwoods Properties | 262,000 | 10,466,900 | ||||||
Lexington Realty Trust | 928,400 | 7,872,832 | ||||||
Ramco-Gershenson Properties Trust | 371,700 | 6,066,144 | ||||||
Summit Hotel Properties | 526,900 | 6,854,969 | ||||||
Washington Real Estate Investment Trust | 311,300 | 8,078,235 | ||||||
|
| |||||||
69,779,463 | ||||||||
|
| |||||||
Technology – 12.33% | ||||||||
Black Box | 151,762 | 3,035,240 | ||||||
Cirrus Logic † | 234,100 | 7,966,423 | ||||||
CommScope Holding † | 459,045 | 14,005,463 | ||||||
Electronics for Imaging † | 281,200 | 12,235,012 | ||||||
NetScout Systems † | 248,500 | 9,112,495 | ||||||
ON Semiconductor † | 1,169,900 | 13,676,131 | ||||||
Premiere Global Services † | 409,050 | 4,209,125 | ||||||
PTC † | 295,700 | 12,129,614 | ||||||
Super Micro Computer † | 253,000 | 7,483,740 | ||||||
Synopsys † | 389,500 | 19,728,175 | ||||||
Tech Data † | 180,100 | 10,366,556 | ||||||
Teradyne | 492,200 | 9,494,538 | ||||||
Vishay Intertechnology | 919,900 | 10,744,432 | ||||||
|
| |||||||
134,186,944 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Transportation – 2.76% | ||||||||
Kirby † | 83,100 | $ | 6,370,446 | |||||
Matson | 200,700 | 8,437,428 | ||||||
Saia † | 135,750 | 5,333,617 | ||||||
Werner Enterprises | 376,800 | 9,891,000 | ||||||
|
| |||||||
30,032,491 | ||||||||
|
| |||||||
Utilities – 2.17% | ||||||||
Black Hills | 159,000 | 6,940,350 | ||||||
El Paso Electric | 209,100 | 7,247,406 | ||||||
NorthWestern | 192,600 | 9,389,250 | ||||||
|
| |||||||
23,577,006 | ||||||||
|
| |||||||
Total Common Stock | 1,087,161,033 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 0.42% | ||||||||
Discount Notes – 0.42% ≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.04% 7/21/15 | 24,104 | 24,104 | ||||||
0.065% 9/2/15 | 96,415 | 96,406 | ||||||
0.07% 8/11/15 | 66,293 | 66,291 | ||||||
0.08% 7/22/15 | 803,596 | 803,591 | ||||||
0.095% 7/14/15 | 3,527,614 | 3,527,600 | ||||||
0.10% 10/23/15 | 96,415 | 96,388 | ||||||
|
| |||||||
4,614,380 | ||||||||
|
| |||||||
Total Short-Term Investments | 4,614,380 | |||||||
|
|
Total Value of Securities – 100.35% | $ | 1,091,775,413 | ||||
|
|
@ | Illiquid security. At June 30, 2015, the aggregate value of illiquid securities was $47,554,302, which represents 4.37% of the Series’ net assets. See Note 7 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-4
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series | ||
Statement of assets and liabilities | June 30, 2015 (unaudited) |
Assets: | ||||
Investments, at value1 | $ | 1,087,161,033 | ||
Short-term investments, at value2 | 4,614,380 | |||
Receivable for securities sold | 3,025,991 | |||
Dividends and interest receivable | 1,336,744 | |||
Receivable for series shares sold | 167,703 | |||
|
| |||
Total assets | 1,096,305,851 | |||
|
| |||
Liabilities: | ||||
Cash overdraft | 3,250,914 | |||
Payable for securities purchased | 3,388,786 | |||
Payable for series shares redeemed | 546,314 | |||
Investment management fees payable | 652,527 | |||
Other accrued expenses | 318,661 | |||
Distribution fees payable to affiliates | 147,261 | |||
Other affiliates payable | 14,515 | |||
Trustees’ fees and expenses payable | 3,295 | |||
|
| |||
Total liabilities | 8,322,273 | |||
|
| |||
Total Net Assets | $ | 1,087,983,578 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 722,493,762 | ||
Undistributed net investment income | 4,671,727 | |||
Accumulated net realized gain on investments | 51,484,136 | |||
Net unrealized appreciation of investments | 309,333,953 | |||
|
| |||
Total Net Assets | $ | 1,087,983,578 | ||
|
| |||
Standard Class: | ||||
Net assets | $ | 382,104,899 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 10,406,284 | |||
Net asset value per share | $ | 36.72 | ||
Service Class: | ||||
Net assets | $ | 705,878,679 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 19,282,097 | |||
Net asset value per share | $ | 36.61 | ||
1 Investments, at cost | $ | 777,827,230 | ||
2 Short-term investments, at cost | 4,614,230 |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-5
Table of Contents
Delaware VIP® Trust —
Delaware VIP Small Cap Value Series
Six Months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $ | 9,761,067 | ||
Interest | 8,099 | |||
|
| |||
9,769,166 | ||||
|
| |||
Expenses: | ||||
Management fees | 3,908,013 | |||
Distribution expenses - Service Class | 1,063,407 | |||
Reports and statements to shareholders | 216,913 | |||
Accounting and administration expenses | 172,178 | |||
Dividends disbursing and transfer agent fees and expenses | 46,053 | |||
Legal fees | 44,442 | |||
Trustees’ fees and expenses | 27,161 | |||
Custodian fees | 25,547 | |||
Audit and tax | 15,260 | |||
Registration fees | 846 | |||
Other | 16,081 | |||
|
| |||
5,535,901 | ||||
Less waiver of distribution fees | (177,234 | ) | ||
|
| |||
Total operating expenses | 5,358,667 | |||
|
| |||
Net Investment Income | 4,410,499 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments | 52,046,345 | |||
Net change in unrealized appreciation (depreciation) of investments | (34,396,184 | ) | ||
|
| |||
Net Realized and Unrealized Gain | 17,650,161 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 22,060,660 | ||
|
|
Delaware VIP Trust —
Delaware VIP Small Cap Value Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,410,499 | $ | 5,559,973 | ||||
Net realized gain | 52,046,345 | 111,798,548 | ||||||
Net change in unrealized appreciation (depreciation) | (34,396,184 | ) | (57,269,239 | ) | ||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 22,060,660 | 60,089,282 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (2,672,814 | ) | (1,974,848 | ) | ||||
Service Class | (3,234,601 | ) | (2,395,882 | ) | ||||
Net realized gain: | ||||||||
Standard Class | (38,859,324 | ) | (30,419,445 | ) | ||||
Service Class | (72,585,147 | ) | (60,984,539 | ) | ||||
|
|
|
| |||||
(117,351,886 | ) | (95,774,714 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 22,079,697 | 65,038,664 | ||||||
Service Class | 23,751,515 | 50,338,454 | ||||||
Net asset value of shares based upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 41,532,138 | 32,394,293 | ||||||
Service Class | 75,819,748 | 63,380,421 | ||||||
|
|
|
| |||||
163,183,098 | 211,151,832 | |||||||
|
|
|
| |||||
Cost of shares repurchased: | ||||||||
Standard Class | (27,351,924 | ) | (60,498,167 | ) | ||||
Service Class | (51,360,946 | ) | (92,922,848 | ) | ||||
|
|
|
| |||||
(78,712,870 | ) | (153,421,015 | ) | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions | 84,470,228 | 57,730,817 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (10,820,998 | ) | 22,045,385 | |||||
Net Assets: | ||||||||
Beginning of period | 1,098,804,576 | 1,076,759,191 | ||||||
|
|
|
| |||||
End of period | $ | 1,087,983,578 | $ | 1,098,804,576 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 4,671,727 | $ | 6,168,643 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-6
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Small Cap Value Series Standard Class | ||||||||||||||||||||||||||||||||||||||
Six months Ended 06/30/151 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.230 | $ | 41.720 | $ | 33.140 | $ | 31.390 | $ | 31.960 | $ | 24.310 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.188 | 0.274 | 0.238 | 0.265 | 0.181 | 0.149 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.715 | 2.058 | 10.368 | 3.982 | (0.593 | ) | 7.673 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.903 | 2.332 | 10.606 | 4.247 | (0.412 | ) | 7.822 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.284 | ) | (0.233 | ) | (0.276 | ) | (0.195 | ) | (0.158 | ) | (0.172 | ) | ||||||||||||||||||||||||||
Net realized gain | (4.129 | ) | (3.589 | ) | (1.750 | ) | (2.302 | ) | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (4.413 | ) | (3.822 | ) | (2.026 | ) | (2.497 | ) | (0.158 | ) | (0.172 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 36.720 | $ | 40.230 | $ | 41.720 | $ | 33.140 | $ | 31.390 | $ | 31.960 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 2.12% | 5.86% | 33.50% | 13.90% | (1.33%) | 32.27% | ||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 382,105 | $ | 379,542 | $ | 354,211 | $ | 271,272 | $ | 243,440 | $ | 316,960 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 0.82% | 0.80% | 0.80% | 0.81% | 0.81% | 0.83% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.97% | 0.68% | 0.64% | 0.82% | 0.57% | 0.56% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 10% | 16% | 23% | 14% | 17% | 10% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-7
Table of Contents
Delaware VIP® Small Cap Value Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Small Cap Value Series Service Class | ||||||||||||||||||||||||||||||||||||||
Six months Ended 06/30/151 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.080 | $ | 41.580 | $ | 33.040 | $ | 31.300 | $ | 31.890 | $ | 24.280 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.139 | 0.173 | 0.145 | 0.184 | 0.101 | 0.082 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.704 | 2.057 | 10.340 | 3.974 | (0.600 | ) | 7.651 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.843 | 2.230 | 10.485 | 4.158 | (0.499 | ) | 7.733 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.184 | ) | (0.141 | ) | (0.195 | ) | (0.116 | ) | (0.091 | ) | (0.123 | ) | ||||||||||||||||||||||||||
Net realized gain | (4.129 | ) | (3.589 | ) | (1.750 | ) | (2.302 | ) | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (4.313 | ) | (3.730 | ) | (1.945 | ) | (2.418 | ) | (0.091 | ) | (0.123 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 36.610 | $ | 40.080 | $ | 41.580 | $ | 33.040 | $ | 31.300 | $ | 31.890 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 1.98% | 5.62% | 33.17% | 13.63% | (1.59% | ) | 31.92% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 705,879 | $ | 719,263 | $ | 722,548 | $ | 593,021 | $ | 579,080 | $ | 593,856 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.07% | 1.05% | 1.05% | 1.06% | 1.06% | 1.08% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.12% | 1.10% | 1.10% | 1.11% | 1.11% | 1.13% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.72% | 0.43% | 0.39% | 0.57% | 0.32% | 0.31% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.67% | 0.38% | 0.34% | 0.52% | 0.27% | 0.26% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 10% | 16% | 23% | 14% | 17% | 10% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Small Cap Value Series-8
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Small Cap Value Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek capital appreciation.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities, except those traded on the Nasdaq Stock Market 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. Securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular, day an equity security does not trade, then the mean between the bid and ask prices will be used, which approximates fair value. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Series may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal & Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regards to foreign taxes only, the Series has open tax years in certain foreign countries it invests in that may date back to the inception of the Series.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. At June 30, 2015 the Series held no investments in repurchase agreements.
Use of Estimates — The Series is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively over the lives of the respective securities using the effective interest method. Distributions received from investments in Real Estate Investment Trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Small Cap Value Series-9
Table of Contents
Delaware VIP® Small Cap Value Series
Notes to financial statements
1. Significant Accounting Policies (continued)
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction. There were no commission rebates during the six months ended June 30, 2015.
The Series 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, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.75% on the first $500 million of average daily net assets of the Series, 0.70% on the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $25,668 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $40,801 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2014 through June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. For the six months ended June 30, 2015, the Series was charged $15,024 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
*The contractual waiver period is from April 30, 2013 through April 29, 2016.
Small Cap Value Series-10
Table of Contents
Delaware VIP® Small Cap Value Series
Notes to financial statements
3. Investments
For the six months ended ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 108,731,196 | ||
Sales | 103,187,700 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) for the Series were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||||
$782,441,460 | $361,434,101 | $(52,100,148) | $309,333,953 |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | ||||||||||
Common Stock | $ | 1,087,161,033 | $ | — | $ | 1,087,161,033 | ||||||
Short-Term Investments | — | 4,614,380 | 4,614,380 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,087,161,033 | $ | 4,614,380 | $ | 1,091,775,413 | ||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
Small Cap Value Series-11
Table of Contents
Delaware VIP® Small Cap Value Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||
Shares sold: | ||||||||||
Standard Class | 557,172 | 1,610,786 | ||||||||
Service Class | 605,841 | 1,265,039 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Standard Class | 1,118,560 | 829,347 | ||||||||
Service Class | 2,046,969 | 1,626,390 | ||||||||
|
|
|
| |||||||
4,328,542 | 5,331,562 | |||||||||
|
|
|
| |||||||
Shares redeemed: | ||||||||||
Standard Class | (702,904 | ) | (1,496,011 | ) | ||||||
Service Class | (1,318,430 | ) | (2,319,669 | ) | ||||||
|
|
|
| |||||||
(2,021,334 | ) | (3,815,680 | ) | |||||||
|
|
|
| |||||||
Net increase | 2,307,208 | 1,515,882 | ||||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security may be more or less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization, and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
Small Cap Value Series-12
Table of Contents
Delaware VIP® Small Cap Value Series
Notes to financial statements
6. Securities Lending (continued)
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
7. Credit and Market Risk
The Series invests a significant portion of its assets in small companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small-sized companies may be more volatile than investments in larger companies for a number of reasons, which include limited financial resources or a dependence on narrow product lines.
The Series invests in REITs and is subject to the risks associated with that industry. If the Series holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2015. The Series’ REIT holdings are also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2015, there were no Rule 144A securities held by the Series. Illiquid securities have been identified on the “Schedule of investments.”
8. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
9. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statements.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
Small Cap Value Series-13
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee. The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 95.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
Small Cap Value Series-14
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
Small Cap Value Series-15
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series |
| |||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
Small Cap Value Series-16
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series |
| |||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
Small Cap Value Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series |
| |||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series |
| |||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
Small Cap Value Series-18
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series |
| |||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
Small Cap Value Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Other Series information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
Small Cap Value Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPSCV 20550 [8/15] (14966) | Small Cap Value Series-21 |
Table of Contents
Delaware VIP® Trust
|
Delaware VIP U.S. Growth Series
|
Semiannual report
|
June 30, 2015 |
|
Table of Contents
![]() | 1 | |||||||
![]() | Security type / sector allocation and top 10 equity holdings | 2 | ||||||
![]() | 3 | |||||||
![]() | 5 | |||||||
![]() | 6 | |||||||
![]() | 6 | |||||||
![]() | 7 | |||||||
![]() | 9 | |||||||
![]() | 15 |
Investments in Delaware VIP® U.S. Growth Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP U.S. Growth Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Disclosure of Series expenses
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||||
| ||||||||||||||||
Actual Series return† |
| |||||||||||||||
Standard Class | $1,000.00 | $ | 1,044.40 | 0.76% | $3.85 | |||||||||||
Service Class | 1,000.00 | 1,042.80 | 1.01% | 5.12 | ||||||||||||
| ||||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||
Standard Class | $1,000.00 | $ | 1,021.03 | 0.76% | $3.81 | |||||||||||
Service Class | 1,000.00 | 1,019.79 | 1.01% | 5.06 | ||||||||||||
|
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
U.S. Growth Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Security type / sector allocation and top 10 equity holdings
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | |
| ||
Common Stock | 99.08% | |
| ||
Consumer Discretionary | 23.85% | |
Consumer Staples | 4.49% | |
Energy | 7.27% | |
Financial Services | 20.57% | |
Healthcare | 19.48% | |
Technology | 23.42% | |
| ||
Short-Term Investments | 1.05% | |
| ||
Total Value of Securities | 100.13% | |
| ||
Liabilities Net of Receivables and Other Assets | (0.13)% | |
| ||
Total Net Assets | 100.00% | |
|
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |
| ||
Celgene | 5.58% | |
QUALCOMM | 5.45% | |
eBay | 5.17% | |
Visa Class A | 5.09% | |
MasterCard Class A | 4.61% | |
Walgreens Boots Alliance | 4.49% | |
Equinix | 4.42% | |
Valeant Pharmaceuticals International | 3.83% | |
Liberty Interactive Class A | 3.77% | |
Allergan
| 3.57%
| |
|
U.S. Growth Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Schedule of investments
June 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||
Common Stock – 99.08% | ||||||
Consumer Discretionary – 23.85% | ||||||
Discovery Communications Class A † | 114,076 | $ | 3,794,168 | |||
Discovery Communications Class C † | 308,465 | 9,587,092 | ||||
eBay † | 372,375 | 22,431,870 | ||||
L Brands | 148,725 | 12,750,194 | ||||
Liberty Interactive Class A † | 589,425 | 16,356,544 | ||||
NIKE Class B | 102,800 | 11,104,456 | ||||
Priceline Group † | 2,797 | 3,220,382 | ||||
Sally Beauty Holdings † | 198,725 | 6,275,735 | ||||
TripAdvisor † | 160,236 | 13,962,965 | ||||
Wynn Resorts | 40,722 | 4,018,040 | ||||
|
| |||||
103,501,446 | ||||||
|
| |||||
Consumer Staples – 4.49% | ||||||
Walgreens Boots Alliance | 230,634 | 19,474,735 | ||||
|
| |||||
19,474,735 | ||||||
|
| |||||
Energy – 7.27% | ||||||
EOG Resources | 108,225 | 9,475,099 | ||||
Kinder Morgan | 238,350 | 9,150,257 | ||||
Williams | 225,350 | 12,932,837 | ||||
|
| |||||
31,558,193 | ||||||
|
| |||||
Financial Services – 20.57% | ||||||
Crown Castle International | 190,400 | 15,289,120 | ||||
Equinix | 75,487 | 19,173,698 | ||||
Intercontinental Exchange | 56,608 | 12,658,115 | ||||
MasterCard Class A | 214,150 | 20,018,742 | ||||
Visa Class A | 329,125 | 22,100,744 | ||||
|
| |||||
89,240,419 | ||||||
|
| |||||
Healthcare – 19.48% | ||||||
Allergan † | 50,988 | 15,472,818 | ||||
Biogen † | 34,433 | 13,908,866 | ||||
Celgene † | 209,300 | 24,223,335 | ||||
Novo Nordisk ADR | 261,950 | 14,344,382 | ||||
Valeant Pharmaceuticals International † | 74,722 | 16,599,492 | ||||
|
| |||||
84,548,893 | ||||||
|
| |||||
Technology – 23.42% | ||||||
Adobe Systems † | 113,975 | 9,233,115 | ||||
Baidu ADR † | 54,338 | 10,817,609 | ||||
Electronic Arts † | 215,525 | 14,332,413 | ||||
Google Class A † | 16,275 | 8,789,151 | ||||
Google Class C † | 16,401 | 8,536,884 | ||||
Intuit | 87,618 | 8,829,266 | ||||
Microsoft | 313,541 | 13,842,835 | ||||
QUALCOMM | 377,601 | 23,649,151 | ||||
Yelp † | 83,050 | 3,573,641 | ||||
|
| |||||
101,604,065 | ||||||
|
| |||||
Total Common Stock | 429,927,751 | |||||
|
|
Principal amount° | Value (U.S. $) | |||||
Short-Term Investments – 1.05% | ||||||
Discount Notes – 0.74% ≠ | ||||||
Federal Home Loan Bank | ||||||
0.04% 7/21/15 | 164,098 | $ | 164,097 | |||
0.05% 8/14/15 | 125,841 | 125,836 | ||||
0.055% 7/31/15 | 362,438 | 362,435 | ||||
0.065% 8/5/15 | 219,814 | 219,808 | ||||
0.065% 9/2/15 | 656,393 | 656,335 | ||||
0.07% 8/11/15 | 494,649 | 494,633 | ||||
0.10% 10/23/15 | 656,393 | 656,208 | ||||
Freddie Mac 0.075% 10/1/15 | 511,196 | 511,080 | ||||
|
| |||||
3,190,432 | ||||||
|
| |||||
Repurchase Agreements – 0.31% | ||||||
Bank of America Merrill Lynch | 377,523 | 377,523 | ||||
Bank of Montreal | 629,206 | 629,206 | ||||
BNP Paribas | 353,440 | 353,440 | ||||
|
| |||||
1,360,169 | ||||||
|
| |||||
Total Short-Term Investments | 4,550,601 | |||||
|
|
U.S. Growth Series-3 |
Table of Contents
Delaware VIP® U.S. Growth Series
Schedule of investments (continued)
Total Value of Securities – 100.13% | $ | 434,478,352 | ||||
|
|
≠ The rate shown is the effective yield at the time of purchase.
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
† Non-income-producing security.
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-4
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series | ||||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 429,927,751 | ||
Short-term investments, at value2 | 4,550,601 | |||
Cash | 199,932 | |||
Dividends and interest receivable | 32,826 | |||
Receivable for series shares sold | 29,725 | |||
|
| |||
Total assets | 434,740,835 | |||
|
| |||
Liabilities: | ||||
Payable for series shares redeemed | 339,460 | |||
Investment management fees payable | 242,973 | |||
Other accrued expenses | 161,990 | |||
Distribution fees payable | 77,455 | |||
Other affiliates payable | 6,072 | |||
Trustees’ fees and expenses payable | 1,523 | |||
|
| |||
Total liabilities | 829,473 | |||
|
| |||
Total Net Assets | $ | 433,911,362 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 228,266,598 | ||
Undistributed net investment income | 922,508 | |||
Undistributed net realized gain | 86,763,206 | |||
Net unrealized appreciation of investments | 117,959,050 | |||
|
| |||
Total Net Assets | $ | 433,911,362 | ||
|
| |||
Standard Class: | ||||
Net assets | $ | 63,619,168 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,823,754 | |||
Net asset value per share | $ | 13.19 | ||
Service Class: | ||||
Net assets | $ | 370,292,194 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 28,560,876 | |||
Net asset value per share | $ | 12.97 | ||
| ||||
1Investments, at cost | $ | 311,968,771 | ||
2Short-term investments, at cost | 4,550,531 |
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-5
Table of Contents
Delaware VIP U.S. Growth Series
Statement of operations
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $ | 3,348,393 | ||
Interest | 2,498 | |||
Foreign tax withheld | (30,799 | ) | ||
|
| |||
3,320,092 | ||||
|
| |||
Expenses: | ||||
Management fees | 1,624,304 | |||
Distribution expenses - Service Class | 555,436 | |||
Reports and statements to shareholders | 120,038 | |||
Accounting and administration expenses | 79,279 | |||
Dividend disbursing and transfer agent fees and expenses | 21,193 | |||
Legal fees | 16,477 | |||
Audit and tax | 15,257 | |||
Custodian fees | 13,735 | |||
Trustees’ fees and expenses | 12,784 | |||
Registration fees | 398 | |||
Other | 7,615 | |||
|
| |||
2,466,516 | ||||
Less waived distribution expenses - Service Class | (92,573 | ) | ||
|
| |||
Total operating expenses | 2,373,943 | |||
|
| |||
Net Investment Income | 946,149 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 88,543,782 | |||
Foreign currencies | (1,339 | ) | ||
|
| |||
Net realized gain | 88,542,443 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of investments | (66,344,414 | ) | ||
|
| |||
Net Realized and Unrealized Gain | 22,198,029 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 23,144,178 | ||
|
|
Delaware VIP U.S. Growth Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 946,149 | $ | 1,999,724 | ||||
Net realized gain | 88,542,443 | 39,747,725 | ||||||
Net change in unrealized appreciation (depreciation) | (66,344,414 | ) | 17,866,694 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 23,144,178 | 59,614,143 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (720,106 | ) | (334,601 | ) | ||||
Service Class | (1,281,789 | ) | (51,978 | ) | ||||
Net realized gain: | ||||||||
Standard Class | (9,901,464 | ) | (10,372,628 | ) | ||||
Service Class | (29,374,328 | ) | (24,169,690 | ) | ||||
|
|
|
| |||||
(41,277,687 | ) | (34,928,897 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 6,681,696 | 10,125,694 | ||||||
Service Class | 12,242,247 | 17,515,927 | ||||||
Net asset value of shares based upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 3,431,786 | 2,027,571 | ||||||
Service Class | 30,656,116 | 24,221,668 | ||||||
|
|
|
| |||||
53,011,845 | 53,890,860 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (104,023,988 | ) | (3,849,875 | ) | ||||
Service Class | (23,658,112 | ) | (36,391,625 | ) | ||||
|
|
|
| |||||
(127,682,100 | ) | (40,241,500 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets derived from capital share transactions | (74,670,255 | ) | 13,649,360 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (92,803,764 | ) | 38,334,606 | |||||
Net Assets: | ||||||||
Beginning of period | 526,715,126 | 488,380,520 | ||||||
|
|
|
| |||||
End of period | $ | 433,911,362 | $ | 526,715,126 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 922,508 | $ | 1,978,254 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-6
Table of Contents
Delaware VIP® Trust—Delaware VIP U.S. Growth Series
Financial highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP U.S. Growth Series Standard Class | ||||||||||||||||||||||||||||||||||
Six months | ||||||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||||||
6/30/151 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.750 | $ | 13.140 | $ | 10.170 | $ | 8.750 | $ | 8.150 | $ | 7.160 | ||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||
Net investment income2 | 0.038 | 0.075 | 0.030 | 0.039 | 0.012 | 0.023 | ||||||||||||||||||||||||||||
Net realized and unrealized gain | 0.582 | 1.495 | 3.395 | 1.381 | 0.610 | 0.972 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total from investment operations | 0.620 | 1.570 | 3.425 | 1.420 | 0.622 | 0.995 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.080 | ) | (0.030 | ) | (0.038 | ) | — | (0.022 | ) | (0.005 | ) | |||||||||||||||||||||||
Net realized gain | (1.100 | ) | (0.930 | ) | (0.417 | ) | — | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.180 | ) | (0.960 | ) | (0.455 | ) | — | (0.022 | ) | (0.005 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Net asset value, end of period | $ | 13.190 | $ | 13.750 | $ | 13.140 | $ | 10.170 | $ | 8.750 | $ | 8.150 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total return3 | 4.44% | 12.78% | 34.75% | 16.23% | 7.63% | 13.90% | ||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 63,619 | $ | 160,730 | $ | 145,086 | $ | 106,069 | $ | 87,389 | $ | 159,857 | ||||||||||||||||||||||
Ratio of expenses to average net assets | 0.76% | 0.74% | 0.74% | 0.74% | 0.74% | 0.75% | ||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.56% | 0.58% | 0.27% | 0.40% | 0.13% | 0.31% | ||||||||||||||||||||||||||||
Portfolio turnover | 21% | 26% | 20% | 35% | 43% | 26% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-7
Table of Contents
Delaware VIP® U.S. Growth Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP U.S. Growth Series Service Class | ||||||||||||||||||||||||||||||||||
Six months | ||||||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||||||
6/30/151 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 12/31/14 | 12/31/13 | 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.530 | $ | 12.940 | $ | 10.030 | $ | 8.650 | $ | 8.050 | $ | 7.090 | ||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.021 | 0.042 | 0.002 | 0.014 | (0.010 | ) | 0.005 | |||||||||||||||||||||||||||
Net realized and unrealized gain | 0.567 | 1.480 | 3.339 | 1.366 | 0.614 | 0.955 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total from investment operations | 0.588 | 1.522 | 3.341 | 1.380 | 0.604 | 0.960 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.048 | ) | (0.002 | ) | (0.014 | ) | — | (0.004 | ) | — | ||||||||||||||||||||||||
Net realized gain | (1.100 | ) | (0.930 | ) | (0.417 | ) | — | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.148 | ) | (0.932 | ) | (0.431 | ) | — | (0.004 | ) | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Net asset value, end of period | $ | 12.970 | $ | 13.530 | $ | 12.940 | $ | 10.030 | $ | 8.650 | $ | 8.050 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total return3 | 4.28% | 12.48% | 34.44% | 15.95% | 7.50% | 13.54% | ||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 370,292 | $ | 365,985 | $ | 343,295 | $ | 281,973 | $ | 236,541 | $ | 127,526 | ||||||||||||||||||||||
Ratio of expenses to average net assets | 1.01% | 0.99% | 0.99% | 0.99% | 0.99% | 1.00% | ||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.06% | 1.04% | 1.04% | 1.04% | 1.04% | 1.05% | ||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.31% | 0.33% | 0.02% | 0.15% | (0.12% | ) | 0.06% | |||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.26% | 0.28% | (0.03% | ) | 0.10% | (0.17% | ) | 0.01% | ||||||||||||||||||||||||||
Portfolio turnover | 21% | 26% | 20% | 35% | 43% | 26% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
U.S. Growth Series-8
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Notes to financial statements
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP U.S. Growth Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on The Nasdaq Stock Market 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. Securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, then the mean between the bid and ask prices will be used, which approximates fair value. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Series may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Series values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Series may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
Use of Estimates—The Series is an investment company, whose financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
U.S. Growth Series-9
Table of Contents
Delaware VIP® U.S. Growth Series
Notes to financial statements
1. Significant Accounting Policies (continued)
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. Such commission rebates are included in realized gain on investments in the accompanying financial statements and totaled $1,625 for the six months ended June 30, 2015. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction.
The Series 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, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $11,815 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series average daily net assets. 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, 2015, the Series was charged $18,777 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 Series. Sub-transfer agency fees are passed on to and paid by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 through June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series 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 Series. For the six months ended June 30, 2015, the Series was charged $7,066 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.”
Trustees’ fees include expenses accrued by the Series 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 Series.
*The contractual waiver period is April 30, 2014 through April 29, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 101,780,422 | ||
Sales | 209,347,110 |
U.S. Growth Series-10
Table of Contents
Delaware VIP® U.S. Growth Series
Notes to financial statements
3. Investments (continued)
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) were as follows:
Cost of Investments | Aggregate | Aggregate | Net Unrealized Appreciation | |||||||||||||||||||
$316,519,302 | $125,153,419 | $(7,194,369) | $117,959,050 |
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | ||||||||||
Common Stock | $ | 429,927,751 | $ | — | $ | 429,927,751 | ||||||
Short-Term Investments | — | 4,550,601 | 4,550,601 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 429,927,751 | $ | 4,550,601 | $ | 434,478,352 | ||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
U.S. Growth Series-11
Table of Contents
Delaware VIP® U.S. Growth Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||
Shares sold: | ||||||||
Standard Class | 486,474 | 778,350 | ||||||
Service Class | 904,136 | 1,379,605 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 258,029 | 164,309 | ||||||
Service Class | 2,343,740 | 1,991,913 | ||||||
3,992,379 | 4,314,177 | |||||||
Shares redeemed: | ||||||||
Standard Class | (7,606,438 | ) | (294,713 | ) | ||||
Service Class | (1,744,747 | ) | (2,833,327 | ) | ||||
(9,351,185 | ) | (3,128,040 | ) | |||||
Net increase (decrease) | (5,358,806 | ) | 1,186,137 |
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), 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 Series does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
U.S. Growth Series-12
Table of Contents
Delaware VIP® U.S. Growth Series
Notes to financial statements
6. Offsetting (continued)
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||||||
Bank of America Merrill Lynch | $ | 377,523 | $ | (377,523 | ) | $ | — | $ | — | |||||||||||
Bank of Montreal | 629,206 | (629,206 | ) | — | — | |||||||||||||||
BNP Paribas | 353,440 | (353,440 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,360,169 | $ | (1,360,169 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(a)Net amount represents the receivable/(payable) that would be due from/(to) the counterparty in an event of default.
7. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return the loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities out on loan.
8. Credit and Market Risk
The Series may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A 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 Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 15% limit on investments in illiquid securities. As of June 30, 2015, there were no Rule 144A securities held by the Series and no securities have been determined to be illiquid under the Series’ Liquidity Procedures.
U.S. Growth Series-13
Table of Contents
Delaware VIP® U.S. Growth Series
Notes to financial statements
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact to the Series’ financial statements.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
U.S. Growth Series-14
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of the shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Shares | % of Voted | Shares Withheld | % of Shares | % of Voted | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 95.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those Shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
U.S. Growth Series-15
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
U.S. Growth Series-16
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series |
| |||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
U.S. Growth Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series |
| |||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction relating to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those Shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
U.S. Growth Series-18
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series |
| |||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series |
| |||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
U.S. Growth Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series |
| |||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
U.S. Growth Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
Other Series information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those Shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 497,844,902 | |||
Percentage of outstanding shares | 82.304% | |||
Percentage of shares voted | 90.738% | |||
Shares voted against | 19,207,063 | |||
Percentage of outstanding shares | 3.175% | |||
Percentage of shares voted | 3.501% | |||
Shares abstained | 31,611,021 | |||
Percentage of outstanding shares | 5.226% | |||
Percentage of shares voted | 5.761% |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those Shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 493,083,610 | |||
Percentage of outstanding shares | 81.517% | |||
Percentage of shares voted | 89.870% | |||
Shares voted against | 24,097,482 | |||
Percentage of outstanding shares | 3.984% | |||
Percentage of shares voted | 4.392% | |||
Shares abstained | 31,481,895 | |||
Percentage of outstanding shares | 5.205% | |||
Percentage of shares voted | 5.738% |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those Shares. The results were as follows:
Delaware VIP Trust | ||||
Shares voted for | 503,119,718 | |||
Percentage of outstanding shares | 83.176% | |||
Percentage of shares voted | 91.699% | |||
Shares voted against | 16,786,090 | |||
Percentage of outstanding shares | 2.775% | |||
Percentage of shares voted | 3.059% | |||
Shares abstained | 28,757,179 | |||
Percentage of outstanding shares | 4.754% | |||
Percentage of shares voted | 5.241% |
U.S. Growth Series-21
Table of Contents
Delaware VIP® Trust — Delaware VIP U.S. Growth Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPUSG 20552 [8/15] (14966) | U.S. Growth Series-22 |
Table of Contents
Delaware VIP® Trust
| ||
Delaware VIP Value Series
| ||
Semiannual report
| ||
June 30, 2015 | ||
|
Table of Contents
Investments in Delaware VIP® Value Series are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Series, the repayment of capital from the Series, or any particular rate of return.
Unless otherwise noted, views expressed herein are current as of June 30, 2015, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor and member of Macquarie Group. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Series’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
This material may be used in conjunction with the offering of shares in Delaware VIP Value Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2015 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Disclosure of Series expenses
For the six-month period from January 1, 2015 to June 30, 2015 (Unaudited)
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and/or service (12b-1) fees; and other Series expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Jan. 1, 2015 to June 30, 2015.
Actual expenses
The first section of the table shown, “Actual Series Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ actual expenses shown in the table reflect fee waivers in effect for Service Class shares. The expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/15 | Ending Account Value 6/30/15 | Annualized Expense Ratio | Expenses Paid During Period 1/1/15 to 6/30/15* | |||||||||||||
Actual Series return† |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,001.40 | 0.73% | $3.62 | ||||||||||
Service Class | 1,000.00 | 1,000.20 | 0.98% | 4.86 | ||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||
Standard Class | $ | 1,000.00 | $ | 1,021.17 | 0.73% | $3.66 | ||||||||||
Service Class | 1,000.00 | 1,019.93 | 0.98% | 4.91 |
* | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Value Series-1 |
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Security type / sector allocation and top 10 equity holdings
As of June 30, 2015 (Unaudited)
Sector designations may be different than the sector designations presented in other series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one series being different than another series’ sector designations.
Security type / sector | Percentage of net assets | ||||
Common Stock | 98.94 | % | |||
Consumer Discretionary | 5.85 | % | |||
Consumer Staples | 12.38 | % | |||
Energy | 14.14 | % | |||
Financials | 12.15 | % | |||
Healthcare | 21.42 | % | |||
Industrials | 9.09 | % | |||
Information Technology | 11.89 | % | |||
Materials | 2.90 | % | |||
Telecommunications | 6.13 | % | |||
Utilities | 2.99 | % | |||
Short-Term Investments | 0.91 | % | |||
Total Value of Securities | 99.85 | % | |||
Receivables and Other Assets Net of Liabilities | 0.15 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |
Baxter International | 3.29% | |
CVS Health | 3.21% | |
Kraft Foods Group | 3.14% | |
Mondelez International | 3.14% | |
BB&T | 3.13% | |
Quest Diagnostics | 3.12% | |
AT&T | 3.11% | |
Occidental Petroleum | 3.10% | |
Northrop Grumman | 3.09% | |
CA
| 3.05%
|
Value Series-2
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Schedule of investments
June 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
Common Stock – 98.94% | ||||||||
Consumer Discretionary – 5.85% | ||||||||
Johnson Controls | 429,900 | $ | 21,292,947 | |||||
Lowe’s | 322,000 | 21,564,340 | ||||||
|
| |||||||
42,857,287 | ||||||||
|
| |||||||
Consumer Staples – 12.38% | ||||||||
Archer-Daniels-Midland | 439,500 | 21,192,690 | ||||||
CVS Health | 223,900 | 23,482,632 | ||||||
Kraft Foods Group | 270,133 | 22,999,124 | ||||||
Mondelez International | 558,800 | 22,989,032 | ||||||
|
| |||||||
90,663,478 | ||||||||
|
| |||||||
Energy – 14.14% | ||||||||
Chevron | 219,400 | 21,165,518 | ||||||
ConocoPhillips | 358,500 | 22,015,485 | ||||||
Halliburton | 460,300 | 19,825,121 | ||||||
Marathon Oil | 672,500 | 17,848,150 | ||||||
Occidental Petroleum | 292,200 | 22,724,394 | ||||||
|
| |||||||
103,578,668 | ||||||||
|
| |||||||
Financials – 12.15% | ||||||||
Allstate | 336,900 | 21,854,703 | ||||||
Bank of New York Mellon | 525,800 | 22,067,826 | ||||||
BB&T | 568,800 | 22,928,328 | ||||||
Marsh & McLennan | 390,200 | 22,124,340 | ||||||
|
| |||||||
88,975,197 | ||||||||
|
| |||||||
Healthcare – 21.42% | ||||||||
Baxter International | 344,200 | 24,069,906 | ||||||
Cardinal Health | 257,800 | 21,564,970 | ||||||
Express Scripts Holding † | 249,050 | 22,150,507 | ||||||
Johnson & Johnson | 227,600 | 22,181,896 | ||||||
Merck | 385,200 | 21,929,436 | ||||||
Pfizer | 659,641 | 22,117,763 | ||||||
Quest Diagnostics | 315,400 | 22,872,808 | ||||||
|
| |||||||
156,887,286 | ||||||||
|
| |||||||
Industrials – 9.09% | ||||||||
Northrop Grumman | 142,800 | 22,652,364 | ||||||
Raytheon | 226,600 | 21,681,088 | ||||||
Waste Management | 480,300 | 22,261,905 | ||||||
|
| |||||||
66,595,357 | ||||||||
|
| |||||||
Information Technology – 11.89% | ||||||||
CA | 762,416 | 22,331,165 | ||||||
Cisco Systems | 789,500 | 21,679,670 | ||||||
Intel | 708,700 | 21,555,111 | ||||||
Xerox | 2,021,200 | 21,505,568 | ||||||
|
| |||||||
87,071,514 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Materials – 2.90% | ||||||||
duPont (E.I.) deNemours | 332,000 | $ | 21,231,400 | |||||
|
| |||||||
21,231,400 | ||||||||
|
| |||||||
Telecommunications – 6.13% | ||||||||
AT&T | 640,424 | 22,747,860 | ||||||
Verizon Communications | 476,000 | 22,186,360 | ||||||
|
| |||||||
44,934,220 | ||||||||
|
| |||||||
Utilities – 2.99% | ||||||||
Edison International | 394,600 | 21,931,868 | ||||||
|
| |||||||
21,931,868 | ||||||||
|
| |||||||
Total Common Stock | 724,726,275 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 0.91% | ||||||||
Discount Notes – 0.63% ≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.04% 7/21/15 | 143,781 | 143,780 | ||||||
0.05% 8/14/15 | 187,915 | 187,908 | ||||||
0.055% 7/31/15 | 393,203 | 393,200 | ||||||
0.065% 8/5/15 | 238,473 | 238,466 | ||||||
0.065% 9/2/15 | 575,123 | 575,072 | ||||||
0.07% 8/11/15 | 524,200 | 524,182 | ||||||
0.08% 7/17/15 | 615,310 | 615,308 | ||||||
0.08% 7/22/15 | 820,414 | 820,409 | ||||||
0.10% 10/23/15 | 575,123 | 574,961 | ||||||
Freddie Mac 0.075% 10/1/15 | 554,588 | 554,462 | ||||||
|
| |||||||
4,627,748 | ||||||||
|
| |||||||
Repurchase Agreements – 0.28% | ||||||||
Bank of America Merrill Lynch | 563,745 | 563,745 | ||||||
Bank of Montreal | 939,574 | 939,574 |
Value Series-3
Table of Contents
Delaware VIP® Value Series
Schedule of investments (continued)
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments (continued) | ||||||||
Repurchase Agreements (continued) | ||||||||
BNP Paribas | 527,781 | $ | 527,781 | |||||
|
| |||||||
2,031,100 | ||||||||
|
| |||||||
Total Short-Term Investments | 6,658,848 | |||||||
|
|
Total Value of Securities – 99.85% | $ | 731,385,123 | ||||||||
|
|
≠ The rate shown is the effective yield at the time of purchase.
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
† Non-income-producing security.
See accompanying notes, which are an integral part of the financial statements.
Value Series-4
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series | ||
Statement of assets and liabilities | June 30, 2015 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 724,726,275 | ||
Short-term investments, at value2 | 6,658,848 | |||
Cash | 1,325 | |||
Dividends and interest receivable | 1,453,204 | |||
Receivable for securities sold | 798,032 | |||
Receivable for series shares sold | 84,234 | |||
|
| |||
Total assets | 733,721,918 | |||
|
| |||
Liabilities: | ||||
Payable for series shares redeemed | 553,877 | |||
Investment management fees payable | 399,277 | |||
Other accrued expenses | 231,903 | |||
Distribution fees payable | 68,363 | |||
Other affiliates payable | 10,177 | |||
Trustees’ fees and expenses payable | 2,528 | |||
|
| |||
Total liabilities | 1,266,125 | |||
|
| |||
Total Net Assets | $ | 732,455,793 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 423,094,823 | ||
Undistributed net investment income | 6,894,587 | |||
Accumulated net realized gain on investments | 37,676,409 | |||
Net unrealized appreciation of investments | 264,789,974 | |||
|
| |||
Total Net Assets | $ | 732,455,793 | ||
|
| |||
Standard Class: | ||||
Net assets | $ | 409,720,645 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 14,227,856 | |||
Net asset value per share | $ | 28.80 | ||
Service Class: | ||||
Net assets | $ | 322,735,148 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 11,225,731 | |||
Net asset value per share | $ | 28.75 | ||
1Investments, at cost | $ | 459,936,422 | ||
2Short-term investments, at cost | 6,658,727 |
See accompanying notes, which are an integral part of the financial statements.
Value Series-5
Table of Contents
Delaware VIP Value Series
Statement of operations
Six months ended June 30, 2015 (Unaudited)
Investment Income: | ||||
Dividends | $ | 10,341,371 | ||
Interest | 5,611 | |||
|
| |||
10,346,982 | ||||
|
| |||
Expenses: | ||||
Management fees | 2,592,629 | |||
Distribution expenses – Service Class | 496,975 | |||
Reports and statements to shareholders | 162,436 | |||
Accounting and administration expenses | 130,270 | |||
Dividend disbursing and transfer agent fees and expenses | 34,759 | |||
Legal fees | 34,333 | |||
Trustees’ fees and expenses | 20,934 | |||
Custodian fees | 18,559 | |||
Audit and tax | 15,250 | |||
Registration fees | 453 | |||
Other | 12,087 | |||
|
| |||
3,518,685 | ||||
Less waived distribution expenses – Service Class | (82,829 | ) | ||
|
| |||
Total operating expenses | 3,435,856 | |||
|
| |||
Net Investment Income | 6,911,126 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): |
| |||
Net realized gain on investments | 52,901,350 | |||
Net change in unrealized appreciation (depreciation) of investments | (57,488,943 | ) | ||
|
| |||
Net Realized And Unrealized Loss | (4,587,593 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 2,323,533 | ||
|
|
Delaware VIP Value Series
Statements of changes in net assets
Six months ended 6/30/15 (Unaudited) | Year ended 12/31/14 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 6,911,126 | $ | 13,072,671 | ||||
Net realized gain | 52,901,350 | 41,984,111 | ||||||
Net change in unrealized appreciation (depreciation) | (57,488,943 | ) | 48,446,053 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 2,323,533 | 103,502,835 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Standard Class | (8,223,700 | ) | (8,114,336 | ) | ||||
Service Class | (4,842,691 | ) | (4,263,900 | ) | ||||
|
|
|
| |||||
(13,066,391 | ) | (12,378,236 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Standard Class | 14,231,772 | 18,832,527 | ||||||
Service Class | 17,465,541 | 45,107,776 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Standard Class | 6,824,315 | 6,124,141 | ||||||
Service Class | 4,842,691 | 4,263,900 | ||||||
|
|
|
| |||||
43,364,319 | 74,328,344 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Standard Class | (128,521,330 | ) | (31,937,517 | ) | ||||
Service Class | (25,412,660 | ) | (38,844,642 | ) | ||||
|
|
|
| |||||
(153,933,990 | ) | (70,782,159 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets derived from capital share transactions | (110,569,671 | ) | 3,546,185 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets: | (121,312,529 | ) | 94,670,784 | |||||
Net Assets: | ||||||||
Beginning of period | 853,768,322 | 759,097,538 | ||||||
|
|
|
| |||||
End of period | $ | 732,455,793 | $ | 853,768,322 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 6,894,587 | $ | 13,049,852 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
Value Series-6
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Financial highlights
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Value Series Standard Class | ||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/151 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.240 | $ | 26.090 | $ | 19.880 | $ | 17.730 | $ | 16.490 | $ | 14.600 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.261 | 0.478 | 0.451 | 0.418 | 0.382 | 0.323 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.201 | ) | 3.126 | 6.170 | 2.163 | 1.191 | 1.926 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.060 | 3.604 | 6.621 | 2.581 | 1.573 | 2.249 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.500 | ) | (0.454 | ) | (0.411 | ) | (0.431 | ) | (0.333 | ) | (0.359 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (0.500 | ) | (0.454 | ) | (0.411 | ) | (0.431 | ) | (0.333 | ) | (0.359 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 28.800 | $ | 29.240 | $ | 26.090 | $ | 19.880 | $ | 17.730 | $ | 16.490 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 0.14% | 14.00% | 33.69% | 14.73% | 9.54% | 15.62% | ||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 409,721 | $ | 523,240 | $ | 473,403 | $ | 350,444 | $ | 310,494 | $ | 390,861 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 0.73% | 0.71% | 0.71% | 0.73% | 0.73% | 0.75% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.78% | 1.74% | 1.94% | 2.21% | 2.23% | 2.18% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 10% | 12% | 14% | 21% | 20% | 15% |
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 | 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 does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Value Series-7
Table of Contents
Delaware VIP® Value Series
Financial highlights (continued)
Selected data for each share of the Series outstanding throughout each period were as follows:
Delaware VIP Value Series Service Class | ||||||||||||||||||||||||||||||||||||||
Six months ended 6/30/151 (Unaudited) | 12/31/14 | 12/31/13 | Year ended 12/31/12 | 12/31/11 | 12/31/10 | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.160 | $ | 26.030 | $ | 19.840 | $ | 17.700 | $ | 16.470 | $ | 14.590 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.224 | 0.409 | 0.393 | 0.370 | 0.338 | 0.286 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.202 | ) | 3.117 | 6.161 | 2.158 | 1.188 | 1.921 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | 0.022 | 3.526 | 6.554 | 2.528 | 1.526 | 2.207 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.432 | ) | (0.396 | ) | (0.364 | ) | (0.388 | ) | (0.296 | ) | (0.327 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (0.432 | ) | (0.396 | ) | (0.364 | ) | (0.388 | ) | (0.296 | ) | (0.327 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 28.750 | $ | 29.160 | $ | 26.030 | $ | 19.840 | $ | 17.700 | $ | 16.470 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | 0.02% | 13.70% | 33.37% | 14.44% | 9.26% | 15.32% | ||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 322,735 | $ | 330,528 | $ | 285,695 | $ | 210,804 | $ | 176,363 | $ | 144,978 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 0.98% | 0.96% | 0.96% | 0.98% | 0.98% | 1.00% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.03% | 1.01% | 1.01% | 1.03% | 1.03% | 1.05% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.53% | 1.49% | 1.69% | 1.96% | 1.98% | 1.93% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.48% | 1.44% | 1.64% | 1.91% | 1.93% | 1.88% | ||||||||||||||||||||||||||||||||
Portfolio turnover | 10% | 12% | 14% | 21% | 20% | 15% |
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 | 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 all of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. Total investment return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
See accompanying notes, which are an integral part of the financial statements.
Value Series-8
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Notes to financial statements
June 30, 2015 (Unaudited)
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust and offers 10 series: Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP Smid Cap Growth Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series. These financial statements and the related notes pertain to Delaware VIP Value Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the Investment Company Act of 1940, as amended, and offers Standard Class and Service Class shares. The Standard Class shares do not carry a 12b-1 fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
The investment objective of the Series is to seek long-term capital appreciation.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Series.
Security Valuation—Equity securities, except those traded on the Nasdaq Stock Market 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. Securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, then the mean between the bid and ask prices will be used, which approximates fair value. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Series’ Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security.
Federal Income Taxes—No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken for all open federal income tax years (Dec. 31, 2011–Dec. 31, 2014), and has concluded that no provision for federal income tax is required in the Series’ financial statements.
Class Accounting—Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements—The Series may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series’ custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on June 30, 2015.
Use of Estimates—The Series is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Series follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other—Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively over the lives of the respective securities using the effective interest method. The Series declares and pays distributions from net investment income and net realized gain on investments, if any, following the close of the fiscal year. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Series may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Series in cash. Such commission rebates are included on the “Statement of operations” under “Net realized gain on investments” and totaled $430 for the six months ended June 30, 2015. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Series on the transaction.
Value Series-9
Table of Contents
Delaware VIP® Value Series
Notes to financial statements
1. Significant Accounting Policies (continued)
The Series 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, 2015.
The Series 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 one dollar, 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, 2015, the Series earned less than one dollar under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Series. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended June 30, 2015, the Series was charged $19,415 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 Series. For these services, DIFSC’s fees are calculated at the annual rate of 0.0075% of the Series’ average daily net assets. 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, 2015, the Series was charged $30,858 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 Series. Sub-transfer agency fees are passed on to and paid directly by the Series.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual distribution and service fee of 0.30% of the average daily net assets of the Service Class shares. DDLP has contracted to waive distribution and service fees from Jan. 1, 2015 through June 30, 2015* in order to limit distribution and service fees of the Service Class shares to 0.25% of average daily net assets. Standard Class shares pay no distribution and service expenses.
As provided in the investment management agreement, the Series bears a portion of the cost of 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 Series. For the six months ended June 30, 2015, the Series was charged $11,541 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.”
Trustees’ fees include expenses accrued by the Series 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 Series.
*The contractual waiver period is from April 30, 2013 through April 29, 2016.
3. Investments
For the six months ended June 30, 2015, the Series made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 83,320,585 | ||
Sales | 174,254,726 |
At June 30, 2015, 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, 2015, the cost of investments and unrealized appreciation (depreciation) for Series were as follows:
Cost of Investments | Aggregate Unrealized Appreciation | Aggregate Unrealized Depreciation | Net Unrealized Appreciation | |||||
$466,595,149 | $268,104,501 | $(3,314,527) | $264,789,974 |
Value Series-10
Table of Contents
Delaware VIP® Value Series
Notes to financial statements
3. Investments (continued)
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at Dec. 31, 2014 will expire as follows: $12,174,716 expires in 2017.
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Series is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation. At Dec. 31, 2014, there were no capital loss carryforwards incurred that will be carried forward under the Act.
U.S. GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (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 Series’ 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 Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2015:
Level 1 | Level 2 | Total | ||||||||||
Common Stock | $ | 724,726,275 | $ | — | $ | 724,726,275 | ||||||
Short-Term Investments | — | 6,658,848 | 6,658,848 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 724,726,275 | $ | 6,658,848 | $ | 731,385,123 | ||||||
|
|
|
|
|
|
During the six months ended June 30, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Series. The Series’ policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At June 30, 2015, there were no Level 3 investments.
Value Series-11
Table of Contents
Delaware VIP® Value Series
Notes to financial statements
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 6/30/15 | Year ended 12/31/14 | |||||||||||
Shares sold: | ||||||||||||
Standard Class | 481,140 | 683,905 | ||||||||||
Service Class | 593,228 | 1,640,403 | ||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||
Standard Class | 228,391 | 231,100 | ||||||||||
Service Class | 162,289 | 161,023 | ||||||||||
|
|
|
| |||||||||
1,465,048 | 2,716,431 | |||||||||||
|
|
|
| |||||||||
Shares redeemed: | ||||||||||||
Standard Class | (4,376,372 | ) | (1,168,698 | ) | ||||||||
Service Class | (863,381 | ) | (1,445,016 | ) | ||||||||
|
|
|
| |||||||||
(5,239,753 | ) | (2,613,714 | ) | |||||||||
|
|
|
| |||||||||
Net increase (decrease) | (3,774,705 | ) | 102,717 | |||||||||
|
|
|
|
5. Line of Credit
The Series, along with certain other funds in the Delaware Investments® Family of Funds (Participants), is a participant in a $275,000,000 revolving line of credit intended 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 0.08%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants are permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expires on Nov. 9, 2015.
The Series had no amounts outstanding as of June 30, 2015 or at any time during the period then ended.
6. 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. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series 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 Series and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), 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 Series does not offset derivative assets and derivatives liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
Value Series-12
Table of Contents
Delaware VIP® Value Series
Notes to financial statements
6. Offsetting (continued)
At June 30, 2015, the Series had the following assets and liabilities subject to offsetting provisions:
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||||||||||||
Bank of America Merrill Lynch | $ | 563,745 | $ | (563,745 | ) | $ | — | $ | — | |||||||||||||||||
Bank of Montreal | 939,574 | (939,574 | ) | — | — | |||||||||||||||||||||
BNP Paribas | 527,781 | (527,781 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 2,031,100 | $ | (2,031,100 | ) | $ | — | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
(a)Net amount represents the net receivable/(payable) that would be due from/(to) the counterparty in an event of default.
7. Securities Lending
The Series, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. 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 which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon 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 is generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust may invest in U.S. government securities and high-quality corporate debt, asset-backed, and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust will generally have a dollar-weighted average portfolio maturity of 60 days or less. The Series can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent, and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. The Series may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in a Collective Trust defaulted or if it were necessary to liquidate assets in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Series may not receive an amount from the Collective Trust that is equal in amount to the collateral the Series would be required to return to the borrower of the securities and the Series would be required to make up for this shortfall.
During the six months ended June 30, 2015, the Series had no securities on loan.
8. Credit and Market Risk
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Series’ Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2015, there were no Rule 144A securities held by the Series and no securities have been determined to be illiquid under the Series’ Liquidity Procedures.
Value Series-13
Table of Contents
Delaware VIP® Value Series
Notes to financial statements
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. Recent Accounting Pronouncements
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management has determined that this pronouncement has no impact on the Series’ financial statements.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2015 that would require recognition or disclosure in the Series’ financial statements.
Value Series-14
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results
At Joint Special Meetings of Shareholders of Delaware VIP Trust (the “Trust”), on behalf of Delaware VIP Diversified Income Series, Delaware VIP Emerging Markets Series, Delaware VIP Smid Cap Growth Series, Delaware VIP High Yield Series, Delaware VIP International Value Equity Series, Delaware VIP Limited-Term Diversified Income Series, Delaware VIP REIT Series, Delaware VIP Small Cap Value Series, Delaware VIP U.S. Growth Series, and Delaware VIP Value Series (each, a “Series”), held on March 31, 2015, the shareholders of the Trust/the Series voted to: (i) elect a Board of Trustees for the Trust; (ii) approve the implementation of a new “manager of managers” order for each Series; (iii) revise the fundamental investment restriction relating to lending for each Series; and (iv)(a) revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares, (iv)(b) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand, and (iv)(c) revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies. At the meeting, the following people were elected to serve as Independent Trustees: Thomas L. Bennett, Ann D. Borowiec, Joseph W. Chow, John A. Fry, Lucinda S. Landreth, Frances A. Sevilla-Sacasa, Thomas K. Whitford, Janet L. Yeomans, and J. Richard Zecher. In addition, Patrick P. Coyne was elected to serve as an Interested Trustee.
The following proposals were submitted for a vote of the shareholders:
1. To elect a Board of Trustees for the Trust.
A quorum of shares outstanding of each Series of the Trust was present, and the votes passed with a plurality of these Shares.
Shares Voted For | % of Outstanding Shares | % of Shares Voted | Shares Withheld | % of Outstanding Shares | % of Shares Voted | |||||||||||||||||||
Thomas L. Bennett | 526,678,064.683 | 87.070% | 95.993% | 21,984,922.103 | 3.635% | 4.007% | ||||||||||||||||||
Ann D. Borowiec | 526,264,974.988 | 87.002% | 95.918% | 22,398,011.798 | 3.703% | 4.082% | ||||||||||||||||||
Joseph W. Chow | 526,415,411.906 | 87.027% | 95.945% | 22,247,574.880 | 3.678% | 4.055% | ||||||||||||||||||
Patrick P. Coyne | 526,484,168.284 | 87.038% | 95.958% | 22,178,818.502 | 3.667% | 4.042% | ||||||||||||||||||
John A. Fry | 526,252,958.816 | 87.000% | 95.916% | 22,410,027.970 | 3.705% | 4.084% | ||||||||||||||||||
Lucinda S. Landreth | 526,602,085.810 | 87.058% | 95.979% | 22,060,900.976 | 3.647% | 4.021% | ||||||||||||||||||
Frances A. Sevilla-Sacasa | 525,787,127.347 | 86.923% | 96.831% | 22,875,859.439 | 3.782% | 4.169% | ||||||||||||||||||
Thomas K. Whitford | 527,047,577.123 | 87.132% | 96.060% | 21,615,409.663 | 3.573% | 3.940% | ||||||||||||||||||
Janet L. Yeomans | 526,214,774.091 | 86.994% | 95.909% | 22,448,212.695 | 3.711% | 4.091% | ||||||||||||||||||
J. Richard Zecher | 525,710,082.652 | 86.910% | 95.817% | 22,952,904.134 | 3.795% | 4.183% |
2. To approve the implementation of a new “manager of managers” order.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 179,533,687.260 | |||
Percentage of outstanding shares | 84.017 | % | ||
Percentage of shares voted | 90.774 | % | ||
Shares voted against | 8,383,244.447 | |||
Percentage of outstanding shares | 3.923 | % | ||
Percentage of shares voted | 4.239 | % | ||
Shares abstained | 9,864,005.119 | |||
Percentage of outstanding shares | 4.616 | % | ||
Percentage of shares voted | 4.987 | % | ||
Broker non-votes | — |
Value Series-15
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,664,190.259 | |||
Percentage of outstanding shares | 78.496 | % | ||
Percentage of shares voted | 91.558 | % | ||
Shares voted against | 891,440.937 | |||
Percentage of outstanding shares | 3.230 | % | ||
Percentage of shares voted | 3.767 | % | ||
Shares abstained | 1,105,968.815 | |||
Percentage of outstanding shares | 4.007 | % | ||
Percentage of shares voted | 4.674 | % | ||
Broker non-votes | — | |||
Delaware VIP High Yield Series |
| |||
Shares voted for | 49,544,742.708 | |||
Percentage of outstanding shares | 81.361 | % | ||
Percentage of shares voted | 90.107 | % | ||
Shares voted against | 2,934,638.577 | |||
Percentage of outstanding shares | 4.819 | % | ||
Percentage of shares voted | 5.337 | % | ||
Shares abstained | 2,504,911.809 | |||
Percentage of outstanding shares | 4.114 | % | ||
Percentage of shares voted | 4.556 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,486,133.331 | |||
Percentage of outstanding shares | 84.064 | % | ||
Percentage of shares voted | 86.689 | % | ||
Shares voted against | 371,219.892 | |||
Percentage of outstanding shares | 6.956 | % | ||
Percentage of shares voted | 7.173 | % | ||
Shares abstained | 317,615.637 | |||
Percentage of outstanding shares | 5.952 | % | ||
Percentage of shares voted | 6.138 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 132,127,100.461 | |||
Percentage of outstanding shares | 88.414 | % | ||
Percentage of shares voted | 90.095 | % | ||
Shares voted against | 5,808,130.763 | |||
Percentage of outstanding shares | 3.887 | % | ||
Percentage of shares voted | 3.960 | % | ||
Shares abstained | 8,718,218.458 | |||
Percentage of outstanding shares | 5.834 | % | ||
Percentage of shares voted | 5.945 | % | ||
Broker non-votes | — |
Value Series-16
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP REIT Series |
| |||
Shares voted for | 26,815,788.663 | |||
Percentage of outstanding shares | 80.781 | % | ||
Percentage of shares voted | 91.598 | % | ||
Shares voted against | 1,239,672.430 | |||
Percentage of outstanding shares | 3.734 | % | ||
Percentage of shares voted | 4.234 | % | ||
Shares abstained | 1,220,115.616 | |||
Percentage of outstanding shares | 3.676 | % | ||
Percentage of shares voted | 4.168 | % | ||
Broker non-votes | — | |||
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,167,531.570 | |||
Percentage of outstanding shares | 73.957 | % | ||
Percentage of shares voted | 90.893 | % | ||
Shares voted against | 1,011,464.218 | |||
Percentage of outstanding shares | 3.709 | % | ||
Percentage of shares voted | 4.559 | % | ||
Shares abstained | 1,009,169.258 | |||
Percentage of outstanding shares | 3.701 | % | ||
Percentage of shares voted | 4.548 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,836,485.164 | |||
Percentage of outstanding shares | 80.371 | % | ||
Percentage of shares voted | 88.722 | % | ||
Shares voted against | 1,067,437.855 | |||
Percentage of outstanding shares | 5.417 | % | ||
Percentage of shares voted | 5.980 | % | ||
Shares abstained | 945,601.959 | |||
Percentage of outstanding shares | 4.799 | % | ||
Percentage of shares voted | 5.298 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,576,018.399 | |||
Percentage of outstanding shares | 66.205 | % | ||
Percentage of shares voted | 89.891 | % | ||
Shares voted against | 1,384,891.646 | |||
Percentage of outstanding shares | 3.585 | % | ||
Percentage of shares voted | 4.867 | % | ||
Shares abstained | 1,491,227.310 | |||
Percentage of outstanding shares | 3.860 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | — |
Value Series-17
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Value Series |
| |||
Shares voted for | 21,096,344.681 | |||
Percentage of outstanding shares | 72.432 | % | ||
Percentage of shares voted | 93.172 | % | ||
Shares voted against | 635,957.509 | |||
Percentage of outstanding shares | 2.183 | % | ||
Percentage of shares voted | 2.809 | % | ||
Shares abstained | 910,032.032 | |||
Percentage of outstanding shares | 3.124 | % | ||
Percentage of shares voted | 4.019 | % | ||
Broker non-votes | 0.001 |
3. To revise the fundamental investment restriction related to lending.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Diversified Income Series |
| |||
Shares voted for | 176,844,463.582 | |||
Percentage of outstanding shares | 82.758 | % | ||
Percentage of shares voted | 89.414 | % | ||
Shares voted against | 9,890,294.147 | |||
Percentage of outstanding shares | 4.628 | % | ||
Percentage of shares voted | 5.001 | % | ||
Shares abstained | 11,046,179.097 | |||
Percentage of outstanding shares | 5.169 | % | ||
Percentage of shares voted | 5.585 | % | ||
Broker non-votes | — | |||
Delaware VIP Emerging Markets Series |
| |||
Shares voted for | 21,155,701.765 | |||
Percentage of outstanding shares | 76.654 | % | ||
Percentage of shares voted | 89.409 | % | ||
Shares voted against | 1,148,187.741 | |||
Percentage of outstanding shares | 4.160 | % | ||
Percentage of shares voted | 4.853 | % | ||
Shares abstained | 1,357,710.506 | |||
Percentage of outstanding shares | 4.919 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | — |
Value Series-18
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP High Yield Series |
| |||
Shares voted for | 48,169,080.642 | |||
Percentage of outstanding shares | 79.102 | % | ||
Percentage of shares voted | 87.605 | % | ||
Shares voted against | 3,819,285.510 | |||
Percentage of outstanding shares | 6.272 | % | ||
Percentage of shares voted | 6.946 | % | ||
Shares abstained | 2,995,926.942 | |||
Percentage of outstanding shares | 4.920 | % | ||
Percentage of shares voted | 5.449 | % | ||
Broker non-votes | — | |||
Delaware VIP International Value Equity Series |
| |||
Shares voted for | 4,441,418.869 | |||
Percentage of outstanding shares | 83.226 | % | ||
Percentage of shares voted | 85.825 | % | ||
Shares voted against | 450,645.832 | |||
Percentage of outstanding shares | 8.445 | % | ||
Percentage of shares voted | 8.708 | % | ||
Shares abstained | 282,904.158 | |||
Percentage of outstanding shares | 5.301 | % | ||
Percentage of shares voted | 5.467 | % | ||
Broker non-votes | — | |||
Delaware VIP Limited-Term Diversified Income Series |
| |||
Shares voted for | 129,567,125.428 | |||
Percentage of outstanding shares | 86.701 | % | ||
Percentage of shares voted | 88.349 | % | ||
Shares voted against | 7,071,982.835 | |||
Percentage of outstanding shares | 4.732 | % | ||
Percentage of shares voted | 4.822 | % | ||
Shares abstained | 10,014,341.420 | |||
Percentage of outstanding shares | 6.701 | % | ||
Percentage of shares voted | 6.829 | % | ||
Broker non-votes | — | |||
Delaware VIP REIT Series |
| |||
Shares voted for | 26,161,089.640 | |||
Percentage of outstanding shares | 78.808 | % | ||
Percentage of shares voted | 89.361 | % | ||
Shares voted against | 1,638,902.001 | |||
Percentage of outstanding shares | 4.937 | % | ||
Percentage of shares voted | 5.598 | % | ||
Shares abstained | 1,475,585.067 | |||
Percentage of outstanding shares | 4.445 | % | ||
Percentage of shares voted | 5.040 | % | ||
Broker non-votes | — |
Value Series-19
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results (continued)
Delaware VIP Small Cap Value Series |
| |||
Shares voted for | 20,054,612.491 | |||
Percentage of outstanding shares | 73.543 | % | ||
Percentage of shares voted | 90.384 | % | ||
Shares voted against | 1,106,997.851 | |||
Percentage of outstanding shares | 4.060 | % | ||
Percentage of shares voted | 4.989 | % | ||
Shares abstained | 1,026,554.705 | |||
Percentage of outstanding shares | 3.765 | % | ||
Percentage of shares voted | 4.627 | % | ||
Broker non-votes | 0.001 | |||
Delaware VIP Smid Cap Growth Series |
| |||
Shares voted for | 15,162,100.040 | |||
Percentage of outstanding shares | 76.948 | % | ||
Percentage of shares voted | 84.944 | % | ||
Shares voted against | 1,491,769.928 | |||
Percentage of outstanding shares | 7.571 | % | ||
Percentage of shares voted | 8.357 | % | ||
Shares abstained | 1,195,655.010 | |||
Percentage of outstanding shares | 6.068 | % | ||
Percentage of shares voted | 6.699 | % | ||
Broker non-votes | — | |||
Delaware VIP U.S. Growth Series |
| |||
Shares voted for | 25,178,954.037 | |||
Percentage of outstanding shares | 65.177 | % | ||
Percentage of shares voted | 88.496 | % | ||
Shares voted against | 1,596,431.587 | |||
Percentage of outstanding shares | 4.132 | % | ||
Percentage of shares voted | 5.611 | % | ||
Shares abstained | 1,676,751.732 | |||
Percentage of outstanding shares | 4.340 | % | ||
Percentage of shares voted | 5.893 | % | ||
Broker non-votes | — | |||
Delaware VIP Value Series |
| |||
Shares voted for | 20,406,314.522 | |||
Percentage of outstanding shares | 70.063 | % | ||
Percentage of shares voted | 90.125 | % | ||
Shares voted against | 1,108,793.968 | |||
Percentage of outstanding shares | 3.807 | % | ||
Percentage of shares voted | 4.897 | % | ||
Shares abstained | 1,127,225.732 | |||
Percentage of outstanding shares | 3.870 | % | ||
Percentage of shares voted | 4.978 | % | ||
Broker non-votes | 0.001 |
Value Series-20
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
Other Series information (Unaudited)
Proxy Results (continued)
4. (a) To revise provisions of the Trust’s Agreement and Declaration of Trust related to documenting the transfer of shares.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 497,844,902.446 | |||
Percentage of outstanding shares | 82.304 | % | ||
Percentage of shares voted | 90.738 | % | ||
Shares voted against | 19,207,063.218 | |||
Percentage of outstanding shares | 3.175 | % | ||
Percentage of shares voted | 3.501 | % | ||
Shares abstained | 31,611,021.120 | |||
Percentage of outstanding shares | 5.226 | % | ||
Percentage of shares voted | 5.761 | % | ||
Broker non-votes | 0.002 |
4. (b) To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
A quorum of the shares outstanding of the Series was present, and the votes passed with the required majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 493,083,609.898 | |||
Percentage of outstanding shares | 81.517 | % | ||
Percentage of shares voted | 89.870 | % | ||
Shares voted against | 24,097,482.106 | |||
Percentage of outstanding shares | 3.984 | % | ||
Percentage of shares voted | 4.392 | % | ||
Shares abstained | 31,481,894.780 | |||
Percentage of outstanding shares | 5.205 | % | ||
Percentage of shares voted | 5.738 | % | ||
Broker non-votes | 0.002 |
4. (c) To revise provisions of the Trust’s By-Laws so that Delaware law will apply to matters related to proxies.
A quorum of the shares outstanding of the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Delaware VIP Trust |
| |||
Shares voted for | 503,119,718.443 | |||
Percentage of outstanding shares | 83.176 | % | ||
Percentage of shares voted | 91.699 | % | ||
Shares voted against | 16,786,089.541 | |||
Percentage of outstanding shares | 2.775 | % | ||
Percentage of shares voted | 3.059 | % | ||
Shares abstained | 28,757,178.800 | |||
Percentage of outstanding shares | 4.754 | % | ||
Percentage of shares voted | 5.241 | % | ||
Broker non-votes | 0.002 |
Value Series-21
Table of Contents
Delaware VIP® Trust — Delaware VIP Value Series
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the Commission’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-Q are available without charge on the Delaware Investments® Funds’ website at delawareinvestments.com. The Series’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Delaware Investments Funds’ website at delawareinvestments.com; and (ii) on the Commission’s website at sec.gov.
|
SA-VIPV 20553 [8/15] (14966) | Value Series-22 |
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 VIP® TRUST
/s/ SHAWN LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | September 3, 2015 |
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 LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | September 3, 2015 |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | September 3, 2015 |