Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
March 31, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 2.59% | |||
Fannie Mae Grantor Trust Series 2001-T5 A2 6.977% 6/19/41 • | 8,642 | $10,127 | |
Freddie Mac REMICs Series 5092 WG 1.00% 4/25/31 = | 17,979,589 | 18,083,533 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA3 M2 2.609% (LIBOR01M + 2.50%) 3/25/30 • | 450,000 | 458,542 | |
Series 2017-HQA2 M2AS 1.159% (LIBOR01M + 1.05%) 12/25/29 • | 839,328 | 846,205 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2020-DNA6 M1 144A 0.917% (SOFR + 0.90%) 12/25/50 #, • | 6,135,158 | 6,138,732 | |
Series 2021-DNA1 M1 144A 0.667% (SOFR + 0.65%) 1/25/51 #, • | 5,600,000 | 5,593,282 | |
Series 2021-HQA1 M1 144A 0.717% (SOFR + 0.70%) 8/25/33 #, • | 5,700,000 | 5,692,902 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 577 | 677 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 10,594 | 12,225 | |
Total Agency Collateralized Mortgage Obligations (cost $36,828,547) | 36,836,225 | ||
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities — 0.76% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series K729 A2 3.136% 10/25/24 ♦ | 4,650,000 | $5,009,217 | |
FREMF Mortgage Trust | |||
Series 2011-K15 B 144A 4.986% 8/25/44 #, • | 125,000 | 126,240 | |
Series 2012-K22 B 144A 3.686% 8/25/45 #, • | 1,115,000 | 1,158,397 | |
Series 2014-K717 B 144A 3.625% 11/25/47 #, • | 635,000 | 641,678 | |
Series 2014-K717 C 144A 3.625% 11/25/47 #, • | 215,000 | 216,704 | |
Series 2015-K720 B 144A 3.394% 7/25/22 #, • | 2,950,000 | 3,041,663 | |
Series 2016-K722 B 144A 3.847% 7/25/49 #, • | 535,000 | 564,048 | |
Total Agency Commercial Mortgage-Backed Securities (cost $10,778,349) | 10,757,947 | ||
Agency Mortgage-Backed Securities — 10.30% | |||
Fannie Mae S.F. 15 yr | |||
2.50% 8/1/35 | 5,229,287 | 5,441,377 | |
2.50% 11/1/35 | 12,993,542 | 13,521,689 | |
Fannie Mae S.F. 30 yr | |||
3.50% 1/1/48 | 13,398,710 | 14,393,875 | |
4.50% 7/1/40 | 326,280 | 353,163 | |
4.50% 8/1/41 | 846,671 | 954,526 | |
4.50% 2/1/46 | 6,909,351 | 7,714,644 | |
4.50% 5/1/46 | 966,806 | 1,086,454 | |
4.50% 11/1/47 | 7,293,068 | 8,110,825 | |
4.50% 4/1/48 | 3,733,768 | 4,204,231 | |
5.00% 7/1/47 | 753,243 | 875,420 | |
5.00% 8/1/48 | 16,593,792 | 18,541,507 | |
5.00% 12/1/48 | 7,647,110 | 8,523,672 | |
5.50% 5/1/44 | 28,576,949 | 33,429,505 | |
6.00% 1/1/42 | 1,439,628 | 1,719,937 | |
Freddie Mac S.F. 15 yr 1.50% 3/1/36 | 8,502,191 | 8,556,446 | |
Freddie Mac S.F. 30 yr | |||
2.50% 2/1/51 | 13,401,620 | 13,769,311 | |
4.50% 3/1/42 | 503,419 | 567,623 | |
4.50% 7/1/45 | 1,005,156 | 1,129,304 | |
5.50% 9/1/41 | 2,577,114 | 3,024,641 |
NQ-VIP-862 [3/21] 5/21 (1643670) 1
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
GNMA II S.F. 30 yr | |||
5.50% 5/20/37 | 86,127 | $98,249 | |
6.50% 6/20/39 | 362,939 | 426,761 | |
Total Agency Mortgage-Backed Securities (cost $142,538,143) | 146,443,160 | ||
Collateralized Debt Obligations — 6.69% | |||
AMMC CLO 23 Series 2020-23A A1L 144A 1.635% (LIBOR03M + 1.40%, Floor 1.40%) 10/17/31 #, • | 7,800,000 | 7,827,144 | |
Ballyrock CLO | |||
Series 2018-1A A1 144A 1.224% (LIBOR03M + 1.00%) 4/20/31 #, • | 5,250,000 | 5,250,520 | |
Series 2020-2A A1 144A 1.529% (LIBOR03M + 1.32%, Floor 1.32%) 10/20/31 #, • | 4,000,000 | 4,014,412 | |
Battalion CLO 18 Series 2020-18A A1 144A 2.041% (LIBOR03M + 1.80%, Floor 1.80%) 10/15/32 #, • | 4,000,000 | 4,015,680 | |
Benefit Street Partners CLO IX Series 2016-9A AR 144A 1.334% (LIBOR03M + 1.11%) 7/20/31 #, • | 1,550,000 | 1,552,931 | |
Benefit Street Partners CLO VIII Series 2015-8A A1AR 144A 1.324% (LIBOR03M + 1.10%, Floor 1.10%) 1/20/31 #, • | 2,000,000 | 2,000,776 | |
BlueMountain CLO XXX Series 2020-30A A 144A 1.549% (LIBOR03M + 1.39%, Floor 1.39%) 1/15/33 #, • | 2,000,000 | 2,007,538 | |
Carlyle Global Market Strategies CLO | |||
Series 2014-2RA A1 144A 1.244% (LIBOR03M + 1.05%) 5/15/31 #, • | 4,573,349 | 4,577,049 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Carlyle Global Market Strategies CLO | |||
Series 2015-5A A1R 144A 1.544% (LIBOR03M + 1.32%, Floor 1.32%) 1/20/32 #, • | 3,000,000 | $3,001,065 | |
CBAM Series 2020-13A A 144A 1.585% (LIBOR03M + 1.43%, Floor 1.43%) 1/20/34 #, • | 7,000,000 | 7,018,459 | |
Cedar Funding IX CLO Series 2018-9A A1 144A 1.204% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 2,150,000 | 2,151,591 | |
CIFC Funding Series 2013-4A A1RR 144A 1.273% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | 6,850,000 | 6,857,610 | |
Dryden 83 CLO Series 2020-83A A 144A 1.457% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 6,650,000 | 6,648,238 | |
Elmwood CLO VII Series 2020-4A A 144A 1.539% (LIBOR03M + 1.39%, Floor 1.39%) 1/17/34 #, • | 1,000,000 | 1,005,449 | |
Galaxy XXI CLO Series 2015-21A AR 144A 1.244% (LIBOR03M + 1.02%) 4/20/31 #, • | 3,500,000 | 3,502,765 | |
KKR CLO 32 Series 32A A1 144A 1.556% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | 3,450,000 | 3,462,748 | |
LCM XVIII Series 18A A1R 144A 1.244% (LIBOR03M + 1.02%) 4/20/31 #, • | 5,003,000 | 5,005,031 |
2 NQ-VIP-862 [3/21] 5/21 (1643670)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Midocean Credit CLO VIII Series 2018-8A A1 144A 1.332% (LIBOR03M + 1.15%) 2/20/31 #, • | 2,000,000 | $1,999,500 | |
Octagon Investment Partners 33 Series 2017-1A A1 144A 1.414% (LIBOR03M + 1.19%) 1/20/31 #, • | 5,750,000 | 5,756,170 | |
Octagon Investment Partners 48 Series 2020-3A A 144A 1.732% (LIBOR03M + 1.50%, Floor 1.50%) 10/20/31 #, • | 1,200,000 | 1,203,027 | |
Sound Point CLO XXI Series 2018-3A A1A 144A 1.395% (LIBOR03M + 1.18%, Floor 1.18%) 10/26/31 #, • | 4,850,000 | 4,858,284 | |
York CLO-6 Series 2019-1A A1 144A 1.572% (LIBOR03M + 1.35%) 7/22/32 #, • | 6,300,000 | 6,304,605 | |
Zais CLO 16 Series 2020-16A A1 144A 2.48% (LIBOR03M + 2.19%, Floor 2.19%) 10/20/31 #, • | 5,000,000 | 5,005,600 | |
Total Collateralized Debt Obligations (cost $94,384,754) | 95,026,192 | ||
Corporate Bonds — 46.07% | |||
Banking — 12.56% | |||
Ally Financial 5.75% 11/20/25 | 5,256,000 | 5,974,849 | |
Banco Continental 144A 2.75% 12/10/25 # | 3,115,000 | 3,071,608 | |
Banco Santander 3.50% 4/11/22 | 4,800,000 | 4,945,523 | |
Bank of America | |||
1.658% 3/11/27 μ | 2,920,000 | 2,930,892 | |
3.458% 3/15/25 μ | 3,825,000 | 4,108,906 | |
Bank of Montreal 1.85% 5/1/25 | 1,785,000 | 1,830,744 | |
Barclays Bank 1.70% 5/12/22 | 5,170,000 | 5,242,244 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
BBVA Bancomer 144A 1.875% 9/18/25 # | 3,490,000 | $3,500,906 | |
BBVA USA 3.875% 4/10/25 | 4,955,000 | 5,416,787 | |
BNP Paribas 144A 1.323% 1/13/27 #, μ | 1,715,000 | 1,678,413 | |
Citigroup 4.044% 6/1/24 μ | 8,670,000 | 9,295,735 | |
Citizens Bank 0.918% (LIBOR03M + 0.72%) 2/14/22 • | 7,515,000 | 7,550,708 | |
Credit Agricole 144A 1.907% 6/16/26 #, μ | 1,895,000 | 1,922,436 | |
Credit Suisse Group | |||
144A 2.593% 9/11/25 #, μ | 4,680,000 | 4,855,445 | |
3.80% 6/9/23 | 1,640,000 | 1,741,087 | |
144A 4.207% 6/12/24 #, μ | 2,935,000 | 3,135,905 | |
144A 7.25% 9/12/25 #, μ, ψ | 2,425,000 | 2,632,325 | |
Goldman Sachs Group | |||
0.821% (SOFR + 0.81%) 3/9/27 • | 5,435,000 | 5,401,657 | |
1.364% (LIBOR03M + 1.17%) 5/15/26 • | 10,075,000 | 10,212,685 | |
1.431% 3/9/27 μ | 2,730,000 | 2,706,838 | |
3.50% 4/1/25 | 8,420,000 | 9,125,684 | |
JPMorgan Chase & Co. | |||
0.59% (SOFR + 0.58%) 3/16/24 • | 4,440,000 | 4,455,790 | |
1.04% 2/4/27 μ | 1,125,000 | 1,097,767 | |
4.023% 12/5/24 μ | 13,570,000 | 14,728,025 | |
4.60% 2/1/25 μ, ψ | 620,000 | 627,750 | |
5.00% 8/1/24 μ, ψ | 1,050,000 | 1,086,265 | |
Lloyds Banking Group 2.907% 11/7/23 μ | 5,980,000 | 6,197,806 | |
Morgan Stanley | |||
1.413% (LIBOR03M + 1.22%) 5/8/24 • | 6,010,000 | 6,105,779 | |
2.188% 4/28/26 μ | 2,150,000 | 2,222,745 | |
2.75% 5/19/22 | 3,335,000 | 3,425,800 | |
Natwest Group 8.625% 8/15/21 μ, ψ | 2,095,000 | 2,149,407 | |
PNC Bank 2.70% 11/1/22 | 505,000 | 522,745 | |
QNB Finance 3.50% 3/28/24 | 3,120,000 | 3,324,376 | |
Regions Financial 3.80% 8/14/23 | 1,975,000 | 2,119,319 |
NQ-VIP-862 [3/21] 5/21 (1643670) 3
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Toronto-Dominion Bank 0.367% (SOFR + 0.355%) 3/4/24 • | 9,625,000 | $9,632,910 | |
Truist Bank 2.636% 9/17/29 μ | 9,026,000 | 9,466,288 | |
UBS 144A 1.75% 4/21/22 # | 925,000 | 937,931 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 635,000 | 626,193 | |
144A 2.65% 2/1/22 # | 1,795,000 | 1,829,264 | |
144A 3.00% 4/15/21 # | 5,915,000 | 5,919,597 | |
US Bancorp 3.375% 2/5/24 | 2,330,000 | 2,512,392 | |
US Bank 3.40% 7/24/23 | 1,340,000 | 1,431,629 | |
USB Capital IX 3.50% ((LIBOR03M + 1.02%)) 6/1/21 ψ, • | 816,000 | 785,400 | |
178,486,555 | |||
Basic Industry — 2.16% | |||
Avient 144A 5.75% 5/15/25 # | 6,182,000 | 6,576,102 | |
DuPont de Nemours 2.169% 5/1/23 | 4,900,000 | 4,922,175 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 4,500,000 | 4,651,875 | |
Inversiones CMPC 144A 4.75% 9/15/24 # | 3,120,000 | 3,426,977 | |
LYB International Finance III 2.875% 5/1/25 | 1,175,000 | 1,241,478 | |
Nutrien 1.90% 5/13/23 | 3,505,000 | 3,596,537 | |
Steel Dynamics 2.80% 12/15/24 | 6,000,000 | 6,351,508 | |
30,766,652 | |||
Capital Goods — 3.71% | |||
General Dynamics 3.00% 5/11/21 | 6,425,000 | 6,442,669 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 7,592,000 | 7,705,880 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 1,875,000 | 2,071,875 | |
Roper Technologies 2.35% 9/15/24 | 6,670,000 | 6,975,040 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Spirit AeroSystems 144A 5.50% 1/15/25 # | 2,700,000 | $2,858,625 | |
Teledyne Technologies 0.95% 4/1/24 | 15,970,000 | 15,914,191 | |
Terex 144A 5.625% 2/1/25 # | 2,675,000 | 2,750,248 | |
TransDigm 144A 8.00% 12/15/25 # | 3,141,000 | 3,423,690 | |
Welbilt 9.50% 2/15/24 | 1,313,000 | 1,354,852 | |
WESCO Distribution 144A 7.125% 6/15/25 # | 3,008,000 | 3,293,233 | |
52,790,303 | |||
Communications — 3.25% | |||
AMC Networks 5.00% 4/1/24 | 1,360,000 | 1,378,700 | |
American Tower Trust #1 144A 3.07% 3/15/48 # | 1,575,000 | 1,595,332 | |
Charter Communications Operating 4.908% 7/23/25 | 4,810,000 | 5,455,883 | |
Clear Channel International 144A 6.625% 8/1/25 # | 1,575,000 | 1,651,954 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 825,000 | 859,794 | |
Crown Castle International 1.05% 7/15/26 | 2,800,000 | 2,712,419 | |
Fox 4.03% 1/25/24 | 4,025,000 | 4,374,325 | |
Sprint Spectrum 144A 4.738% 3/20/25 # | 1,745,000 | 1,873,825 | |
Time Warner Entertainment 8.375% 3/15/23 | 8,635,000 | 9,904,389 | |
T-Mobile USA | |||
144A 1.50% 2/15/26 # | 1,275,000 | 1,264,947 | |
144A 3.50% 4/15/25 # | 4,850,000 | 5,237,418 | |
Verizon Communications 0.75% 3/22/24 | 9,805,000 | 9,818,636 | |
46,127,622 | |||
Consumer Cyclical — 3.06% | |||
Boyd Gaming 144A 8.625% 6/1/25 # | 2,426,000 | 2,700,745 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 1,900,000 | 2,027,813 |
4 NQ-VIP-862 [3/21] 5/21 (1643670)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Carnival 144A 7.625% 3/1/26 # | 2,117,000 | $2,276,939 | |
Ford Motor 8.50% 4/21/23 | 4,533,000 | 5,059,961 | |
Ford Motor Credit 3.375% 11/13/25 | 3,500,000 | 3,563,875 | |
General Motors Financial | |||
3.45% 4/10/22 | 2,145,000 | 2,195,754 | |
4.15% 6/19/23 | 1,290,000 | 1,384,445 | |
5.10% 1/17/24 | 4,880,000 | 5,399,450 | |
5.25% 3/1/26 | 339,000 | 388,595 | |
IRB Holding 144A 7.00% 6/15/25 # | 390,000 | 420,508 | |
JD.com 3.875% 4/29/26 | 3,470,000 | 3,771,775 | |
L Brands 144A 6.875% 7/1/25 # | 1,245,000 | 1,384,222 | |
Prime Security Services Borrower 144A 5.25% 4/15/24 # | 3,089,000 | 3,298,743 | |
Scientific Games International 144A 5.00% 10/15/25 # | 3,410,000 | 3,535,999 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 3,535,000 | 3,574,769 | |
Station Casinos 144A 5.00% 10/1/25 # | 719,000 | 729,336 | |
VF 2.40% 4/23/25 | 1,715,000 | 1,788,945 | |
43,501,874 | |||
Consumer Non-Cyclical — 4.75% | |||
AbbVie | |||
2.60% 11/21/24 | 7,125,000 | 7,526,397 | |
3.75% 11/14/23 | 2,150,000 | 2,316,823 | |
Anheuser-Busch InBev Worldwide | |||
3.65% 2/1/26 | 5,890,000 | 6,480,115 | |
4.15% 1/23/25 | 2,295,000 | 2,551,776 | |
Bausch Health 144A 6.125% 4/15/25 # | 2,591,000 | 2,658,884 | |
Bristol-Myers Squibb 2.90% 7/26/24 | 3,393,000 | 3,627,522 | |
Cigna | |||
1.131% (LIBOR03M + 0.89%) 7/15/23 • | 6,130,000 | 6,206,690 | |
3.75% 7/15/23 | 590,000 | 631,176 | |
CVS Health 3.70% 3/9/23 | 1,239,000 | 1,315,265 | |
DP World Crescent 144A 3.908% 5/31/23 # | 3,381,000 | 3,564,267 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
General Mills 3.70% 10/17/23 | 3,640,000 | $3,906,303 | |
Gilead Sciences 3.70% 4/1/24 | 4,035,000 | 4,347,664 | |
Molson Coors Beverage 2.10% 7/15/21 | 3,845,000 | 3,857,196 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 1,621,000 | 1,745,776 | |
Pilgrim's Pride 144A 5.75% 3/15/25 # | 2,675,000 | 2,733,449 | |
Royalty Pharma | |||
144A 1.20% 9/2/25 # | 1,620,000 | 1,588,186 | |
144A 1.75% 9/2/27 # | 1,080,000 | 1,049,725 | |
Takeda Pharmaceutical 4.40% 11/26/23 | 6,425,000 | 7,028,392 | |
Tenet Healthcare 5.125% 5/1/25 | 3,402,000 | 3,454,051 | |
Viatris | |||
144A 1.65% 6/22/25 # | 500,000 | 502,266 | |
144A 2.30% 6/22/27 # | 415,000 | 419,067 | |
67,510,990 | |||
Electric — 5.08% | |||
AEP Texas 2.40% 10/1/22 | 5,720,000 | 5,876,705 | |
Avangrid 3.20% 4/15/25 | 2,630,000 | 2,818,427 | |
CenterPoint Energy 3.85% 2/1/24 | 2,526,000 | 2,738,067 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 4,805,000 | 5,481,815 | |
Duke Energy | |||
1.80% 9/1/21 | 7,330,000 | 7,366,212 | |
4.875% 9/16/24 μ, ψ | 3,805,000 | 4,029,495 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | 1,409,000 | 1,536,233 | |
Entergy 4.00% 7/15/22 | 4,727,000 | 4,910,471 | |
Entergy Louisiana 4.05% 9/1/23 | 480,000 | 516,336 | |
NextEra Energy Capital Holdings 3.15% 4/1/24 | 5,320,000 | 5,673,444 | |
NRG Energy 144A 3.75% 6/15/24 # | 3,960,000 | 4,245,097 | |
Pacific Gas and Electric 2.10% 8/1/27 | 3,370,000 | 3,304,333 |
NQ-VIP-862 [3/21] 5/21 (1643670) 5
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Southern California Edison 1.10% 4/1/24 | 10,370,000 | $10,377,464 | |
Vistra Operations 144A 3.55% 7/15/24 # | 5,945,000 | 6,224,938 | |
WEC Energy Group 0.80% 3/15/24 | 7,115,000 | 7,118,227 | |
72,217,264 | |||
Energy — 4.04% | |||
Apache 4.625% 11/15/25 | 1,965,000 | 2,026,996 | |
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 4,455,000 | 5,131,061 | |
Enbridge 0.413% (SOFR + 0.40%) 2/17/23 • | 4,115,000 | 4,122,424 | |
Energy Transfer 5.25% 4/15/29 | 1,900,000 | 2,164,146 | |
Marathon Oil 2.80% 11/1/22 | 1,350,000 | 1,385,071 | |
MPLX | |||
1.75% 3/1/26 | 1,085,000 | 1,087,408 | |
4.875% 12/1/24 | 6,200,000 | 6,961,133 | |
Murphy Oil 5.75% 8/15/25 | 2,706,000 | 2,712,508 | |
NuStar Logistics 5.75% 10/1/25 | 3,345,000 | 3,585,907 | |
Occidental Petroleum 5.50% 12/1/25 | 2,793,000 | 2,957,787 | |
ONEOK 7.50% 9/1/23 | 4,745,000 | 5,413,212 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 5,840,000 | 6,593,074 | |
Schlumberger Holdings 144A 3.75% 5/1/24 # | 5,865,000 | 6,329,837 | |
Southwestern Energy 6.45% 1/23/25 | 3,138,000 | 3,374,291 | |
Western Midstream Operating 4.35% 2/1/25 | 1,427,000 | 1,479,214 | |
WPX Energy 5.25% 9/15/24 | 1,908,000 | 2,120,265 | |
57,444,334 | |||
Finance Companies — 2.47% | |||
AerCap Ireland Capital DAC 3.15% 2/15/24 | 5,750,000 | 5,994,371 | |
Air Lease 2.875% 1/15/26 | 755,000 | 783,918 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Aviation Capital Group | |||
144A 1.95% 1/30/26 # | 1,905,000 | $1,857,318 | |
144A 2.875% 1/20/22 # | 5,430,000 | 5,509,284 | |
Avolon Holdings Funding | |||
144A 2.75% 2/21/28 # | 1,825,000 | 1,716,641 | |
144A 3.95% 7/1/24 # | 1,690,000 | 1,768,038 | |
Charles Schwab | |||
0.75% 3/18/24 | 6,835,000 | 6,874,724 | |
4.00% 6/1/26 μ, ψ | 1,540,000 | 1,566,642 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 3,420,000 | 3,529,013 | |
National Securities Clearing 144A 1.20% 4/23/23 # | 2,700,000 | 2,742,500 | |
SURA Asset Management 144A 4.875% 4/17/24 # | 978,000 | 1,063,130 | |
USAA Capital 144A 1.50% 5/1/23 # | 1,720,000 | 1,757,680 | |
35,163,259 | |||
Insurance — 1.22% | |||
Equitable Holdings 3.90% 4/20/23 | 3,744,000 | 3,981,513 | |
GA Global Funding Trust 144A 1.00% 4/8/24 # | 10,035,000 | 10,023,761 | |
USI 144A 6.875% 5/1/25 # | 3,266,000 | 3,333,329 | |
17,338,603 | |||
Natural Gas — 0.13% | |||
NiSource 5.65% 6/15/23 μ, ψ | 1,850,000 | 1,912,438 | |
1,912,438 | |||
Technology — 2.37% | |||
Global Payments 2.65% 2/15/25 | 4,520,000 | 4,751,637 | |
International Business Machines 3.00% 5/15/24 | 3,500,000 | 3,755,109 | |
Microchip Technology | |||
3.922% 6/1/21 | 1,240,000 | 1,247,206 | |
4.333% 6/1/23 | 2,250,000 | 2,414,668 |
6 NQ-VIP-862 [3/21] 5/21 (1643670)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
NXP | |||
144A 2.70% 5/1/25 # | 295,000 | $309,620 | |
144A 4.875% 3/1/24 # | 6,825,000 | 7,588,724 | |
PayPal Holdings 1.35% 6/1/23 | 6,510,000 | 6,628,628 | |
Sabre GLBL 144A 7.375% 9/1/25 # | 3,173,000 | 3,467,454 | |
SK Hynix 144A 1.50% 1/19/26 # | 3,510,000 | 3,458,092 | |
33,621,138 | |||
Transportation — 1.27% | |||
DAE Funding 144A 4.50% 8/1/22 # | 3,423,000 | 3,452,951 | |
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 6,438,000 | 7,421,640 | |
7.375% 1/15/26 | 1,941,000 | 2,271,895 | |
Penske Truck Leasing 144A 1.20% 11/15/25 # | 2,790,000 | 2,743,003 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 1,850,000 | 2,094,968 | |
17,984,457 | |||
Total Corporate Bonds (cost $643,778,164) | 654,865,489 | ||
Non-Agency Asset-Backed Securities — 8.50% | |||
ARI Fleet Lease Trust Series 2018-B A2 144A 3.22% 8/16/27 # | 2,134,916 | 2,145,358 | |
Chase Auto Credit Linked Notes Series 2020-2 B 144A 0.84% 2/25/28 # | 6,802,854 | 6,810,224 | |
Dell Equipment Finance Trust Series 2020-2 A2 144A 0.47% 10/24/22 # | 15,600,000 | 15,617,879 | |
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 4,000,000 | 3,968,838 | |
Ford Credit Floorplan Master Owner Trust A Series 2020-1 A1 0.70% 9/15/25 | 26,000,000 | 26,056,599 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
GM Financial Automobile Leasing Trust Series 2020-3 A2A 0.35% 11/21/22 | 3,929,008 | $3,931,413 | |
GM Financial Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 6,500,000 | 6,476,432 | |
GMF Floorplan Owner Revolving Trust Series 2020-1 A 144A 0.68% 8/15/25 # | 16,000,000 | 16,040,741 | |
GreatAmerica Leasing Receivables Funding Series 2021-1 B 144A 0.72% 12/15/26 # | 3,600,000 | 3,557,295 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 317,550 | 313,971 | |
Hyundai Auto Receivables Trust Series 2019-B A2 1.93% 7/15/22 | 531,185 | 532,039 | |
Mercedes-Benz Auto Lease Trust Series 2019-B A2 2.01% 12/15/21 | 93,152 | 93,212 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 144A 2.61% 5/15/24 # | 2,400,000 | 2,461,349 | |
MMAF Equipment Finance Series 2020-BA A2 144A 0.38% 8/14/23 # | 12,700,000 | 12,711,015 | |
PFS Financing Series 2020-G A 144A 0.97% 2/15/26 # | 4,000,000 | 4,015,913 | |
Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | 11,750,000 | 11,734,135 | |
Towd Point Mortgage Trust | |||
Series 2015-5 A1B 144A 2.75% 5/25/55 #, • | 78,380 | 78,569 | |
Series 2015-6 A1B 144A 2.75% 4/25/55 #, • | 174,767 | 175,982 | |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited-Term Diversified Income Series
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Trafigura Securitisation Finance Series 2018-1A A1 144A 0.836% (LIBOR01M + 0.73%) 3/15/22 #, • | 250,000 | $249,933 | |
UNIFY Auto Receivables Trust Series 2021-1A A3 144A 0.51% 6/16/25 # | 1,900,000 | 1,899,384 | |
Verizon Owner Trust Series 2020-C A 0.41% 4/21/25 | 2,000,000 | 2,000,471 | |
Total Non-Agency Asset-Backed Securities (cost $120,828,582) | 120,870,752 | ||
Non-Agency Commercial Mortgage-Backed Securities — 0.03% | |||
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 639,667 | 370,700 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $678,328) | 370,700 | ||
US Treasury Obligations — 23.27% | |||
US Treasury Floating Rate Note 0.069% (USBMMY3M + 0.049%) 1/31/23 • | 96,635,000 | 96,687,637 | |
US Treasury Notes | |||
0.125% 2/28/23 | 117,000,000 | 116,936,013 | |
0.25% 3/15/24 | 117,405,000 | 117,097,727 | |
Total US Treasury Obligations (cost $330,755,927) | 330,721,377 |
Number of shares | |||
Preferred Stock — 0.01% | |||
USB Realty 144A 1.388% (LIBOR03M + 1.147%) #, ψ, • | 200,000 | 155,500 | |
Total Preferred Stock (cost $155,000) | 155,500 | ||
Number of shares | Value (US $) | ||
Short-Term Investments — 2.76% | |||
Money Market Mutual Funds — 2.19% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.01%) | 7,779,656 | $7,779,656 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 7,779,656 | 7,779,656 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 7,779,656 | 7,779,656 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 7,779,656 | 7,779,656 | |
31,118,624 |
Principal amount° | |||
US Treasury Obligation — 0.57%≠ | |||
US Treasury Bill | 8,030,000 | 8,124,081 | |
Total Short-Term Investments (cost $39,173,404) | 39,242,705 | ||
Total Value of Securities—100.98% (cost $1,419,899,198) | 1,435,290,047 | ||
Liabilities Net of Receivables and Other Assets—(0.98%) | (13,911,640) | ||
Net Assets Applicable to 143,382,857 Shares Outstanding—100.00% | $1,421,378,407 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
8 NQ-VIP-862 [3/21] 5/21 (1643670)
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2021, the aggregate value of Rule 144A securities was $391,043,035, which represents 27.51% of the Series' net assets. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
≠ | The rate shown is the effective yield at the time of purchase. |
Summary of abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
DIFC – Dubai International Financial Centre |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
USBMMY3M – US Treasury 3 Month Bill Money Market Yield |
USD – US Dollar |
yr – Year |
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