Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series
March 31, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 2.56% | |||
Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C03 1M2 3.109% (LIBOR01M + 3.00%) 10/25/29 • | 2,701,658 | $2,761,828 | |
Series 2017-C04 2M2 2.959% (LIBOR01M + 2.85%) 11/25/29 • | 847,216 | 857,406 | |
Series 2018-C01 1M2 2.359% (LIBOR01M + 2.25%, Floor 2.25%) 7/25/30 • | 1,806,645 | 1,807,776 | |
Series 2018-C02 2M2 2.309% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 • | 991,049 | 989,788 | |
Series 2018-C03 1M2 2.259% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 • | 1,282,976 | 1,277,554 | |
Series 2018-C05 1M2 2.459% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31 • | 1,011,533 | 1,011,533 | |
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% 1/19/39 • | 200 | 217 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 2,831 | 3,314 | |
Fannie Mae REMIC Trust | |||
Series 2002-W6 2A1 7.00% 6/25/42 • | 9,609 | 10,647 | |
Series 2004-W11 1A2 6.50% 5/25/44 | 15,883 | 18,655 | |
Fannie Mae REMICs | |||
Series 2010-116 Z 4.00% 10/25/40 | 11,063 | 11,875 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Fannie Mae REMICs | |||
Series 2013-44 Z 3.00% 5/25/43 | 60,326 | $58,602 | |
Series 2017-40 GZ 3.50% 5/25/47 | 926,529 | 992,597 | |
Series 2017-77 HZ 3.50% 10/25/47 | 1,324,498 | 1,389,878 | |
Freddie Mac REMICs Series 4676 KZ 2.50% 7/15/45 | 893,234 | 909,871 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA1 M2 3.359% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 • | 2,141,580 | 2,200,660 | |
Series 2017-DNA3 M2 2.609% (LIBOR01M + 2.50%) 3/25/30 • | 6,530,000 | 6,653,960 | |
Series 2017-HQA2 M2AS 1.159% (LIBOR01M + 1.05%) 12/25/29 • | 587,530 | 592,343 | |
Series 2018-HQA1 M2 2.409% (LIBOR01M + 2.30%) 9/25/30 • | 1,566,066 | 1,566,064 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2019-DNA4 M2 144A 2.059% (LIBOR01M + 1.95%) 10/25/49 #, • | 2,439,767 | 2,437,480 | |
Series 2019-HQA4 M2 144A 2.159% (LIBOR01M + 2.05%) 11/25/49 #, • | 2,646,489 | 2,646,487 | |
Series 2020-DNA2 M1 144A 0.859% (LIBOR01M + 0.75%, Floor 0.75%) 2/25/50 #, • | 1,518,225 | 1,517,810 | |
Series 2020-DNA2 M2 144A 1.959% (LIBOR01M + 1.85%, Floor 1.85%) 2/25/50 #, • | 1,700,000 | 1,693,411 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2020-DNA6 M2 144A 2.017% (SOFR + 2.00%) 12/25/50 #, • | 6,500,000 | $6,471,966 | |
Series 2020-HQA2 M1 144A 1.209% (LIBOR01M + 1.10%) 3/25/50 #, • | 2,417,884 | 2,419,025 | |
Series 2021-DNA1 M2 144A 1.817% (SOFR + 1.80%) 1/25/51 #, • | 13,900,000 | 13,708,608 | |
Series 2021-HQA1 M2 144A 2.267% (SOFR + 2.25%) 8/25/33 #, • | 13,900,000 | 13,743,593 | |
Freddie Mac Structured Agency Credit Risk Trust Series 2018-HQA2 M1 144A 0.859% (LIBOR01M + 0.75%) 10/25/48 #, • | 463,715 | 463,715 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 8,080 | 9,481 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 2,493 | 2,876 | |
GNMA | |||
Series 2013-113 LY 3.00% 5/20/43 | 378,000 | 399,976 | |
Series 2017-130 YJ 2.50% 8/20/47 | 665,000 | 688,557 | |
Series 2017-34 DY 3.50% 3/20/47 | 2,067,000 | 2,256,137 | |
Total Agency Collateralized Mortgage Obligations (cost $70,321,531) | 71,573,690 | ||
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities — 0.69% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ♦ | 2,545,000 | $2,735,712 | |
FREMF Mortgage Trust | |||
Series 2011-K15 B 144A 4.986% 8/25/44 #, • | 195,000 | 196,934 | |
Series 2012-K18 B 144A 4.184% 1/25/45 #, • | 2,000,000 | 2,051,526 | |
Series 2012-K22 B 144A 3.686% 8/25/45 #, • | 1,730,000 | 1,797,333 | |
Series 2013-K25 C 144A 3.62% 11/25/45 #, • | 1,500,000 | 1,555,182 | |
Series 2013-K28 B 144A 3.49% 6/25/46 #, • | 2,400,000 | 2,517,727 | |
Series 2014-K37 B 144A 4.561% 1/25/47 #, • | 1,500,000 | 1,630,755 | |
Series 2014-K717 B 144A 3.625% 11/25/47 #, • | 3,205,000 | 3,238,705 | |
Series 2014-K717 C 144A 3.625% 11/25/47 #, • | 1,055,000 | 1,063,362 | |
Series 2016-K53 B 144A 4.021% 3/25/49 #, • | 530,000 | 583,127 | |
Series 2016-K722 B 144A 3.847% 7/25/49 #, • | 580,000 | 611,491 | |
Series 2017-K71 B 144A 3.753% 11/25/50 #, • | 1,175,000 | 1,264,441 | |
Total Agency Commercial Mortgage-Backed Securities (cost $18,569,072) | 19,246,295 | ||
Agency Mortgage-Backed Securities — 20.41% | |||
Fannie Mae S.F. 15 yr 2.00% 3/1/36 | 23,396,385 | 24,103,028 | |
Fannie Mae S.F. 20 yr | |||
2.00% 3/1/41 | 7,034,118 | 7,130,086 | |
2.00% 4/1/41 | 3,162,000 | 3,205,139 | |
Fannie Mae S.F. 30 yr | |||
2.00% 11/1/50 | 8,683,314 | 8,689,033 | |
2.00% 12/1/50 | 21,994,765 | 21,988,055 | |
2.00% 1/1/51 | 13,096,612 | 13,083,475 |
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Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
2.00% 2/1/51 | 8,809,763 | $8,805,203 | |
2.00% 3/1/51 | 43,351,764 | 43,338,320 | |
2.00% 4/1/51 | 25,000,000 | 24,970,325 | |
2.50% 1/1/43 | 3,237,533 | 3,355,358 | |
2.50% 10/1/50 | 2,324,070 | 2,387,110 | |
2.50% 11/1/50 | 19,932,319 | 20,475,330 | |
2.50% 1/1/51 | 7,880,882 | 8,094,650 | |
2.50% 2/1/51 | 4,665,628 | 4,792,183 | |
2.50% 4/1/51 | 1,612,000 | 1,655,725 | |
3.00% 10/1/46 | 10,567,430 | 11,154,416 | |
3.00% 4/1/47 | 1,211,104 | 1,275,047 | |
3.00% 11/1/48 | 3,386,201 | 3,545,998 | |
3.00% 10/1/49 | 5,482,680 | 5,724,551 | |
3.00% 12/1/49 | 16,472,467 | 17,383,989 | |
3.00% 3/1/50 | 3,924,472 | 4,125,255 | |
3.00% 6/1/50 | 6,920,844 | 7,210,051 | |
3.00% 7/1/50 | 7,260,767 | 7,601,384 | |
3.00% 8/1/50 | 11,791,837 | 12,363,434 | |
3.00% 9/1/50 | 4,672,976 | 4,877,280 | |
3.50% 7/1/47 | 5,689,308 | 6,162,108 | |
3.50% 1/1/48 | 3,212,478 | 3,407,235 | |
3.50% 2/1/48 | 3,829,482 | 4,112,165 | |
3.50% 3/1/48 | 2,028,833 | 2,148,395 | |
3.50% 7/1/48 | 754,374 | 798,630 | |
3.50% 11/1/48 | 4,022,709 | 4,254,792 | |
3.50% 1/1/50 | 8,426,814 | 8,902,315 | |
3.50% 3/1/50 | 3,708,028 | 3,924,888 | |
4.00% 4/1/47 | 1,644,549 | 1,806,497 | |
4.00% 6/1/48 | 5,683,028 | 6,211,692 | |
4.00% 9/1/48 | 483,051 | 524,342 | |
4.00% 10/1/48 | 7,643,852 | 8,416,963 | |
4.00% 6/1/49 | 1,912,030 | 2,082,026 | |
4.50% 6/1/40 | 396,956 | 440,972 | |
4.50% 7/1/40 | 555,199 | 600,942 | |
4.50% 2/1/41 | 1,821,669 | 2,043,038 | |
4.50% 8/1/41 | 1,336,758 | 1,507,044 | |
4.50% 10/1/45 | 1,837,869 | 2,042,898 | |
4.50% 5/1/46 | 667,961 | 748,004 | |
4.50% 4/1/48 | 569,467 | 641,221 | |
4.50% 12/1/48 | 131,149 | 142,886 | |
4.50% 1/1/49 | 10,838,607 | 11,995,283 | |
4.50% 1/1/50 | 3,116,959 | 3,420,558 | |
5.00% 7/1/47 | 1,317,316 | 1,530,985 | |
5.00% 7/1/49 | 3,569,182 | 3,975,876 | |
5.50% 5/1/44 | 18,221,735 | 21,320,721 | |
6.00% 6/1/41 | 3,125,759 | 3,733,861 | |
6.00% 7/1/41 | 15,808,046 | 18,896,651 | |
6.00% 1/1/42 | 2,612,392 | 3,121,049 | |
Freddie Mac S.F. 15 yr | |||
1.50% 3/1/36 | 11,190,012 | 11,268,352 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 15 yr | |||
2.00% 12/1/35 | 13,121,783 | $13,538,906 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 8,058,012 | 8,167,949 | |
2.00% 4/1/41 | 7,217,000 | 7,315,464 | |
Freddie Mac S.F. 30 yr | |||
2.00% 4/1/51 | 6,915,624 | 6,847,177 | |
2.50% 10/1/50 | 6,357,627 | 6,557,325 | |
2.50% 11/1/50 | 12,340,413 | 12,694,563 | |
2.50% 2/1/51 | 13,459,200 | 13,934,773 | |
2.50% 3/1/51 | 9,987,829 | 10,316,054 | |
3.00% 11/1/49 | 8,269,761 | 8,626,556 | |
3.00% 12/1/49 | 2,663,933 | 2,782,186 | |
3.00% 1/1/50 | 2,044,161 | 2,148,829 | |
3.50% 11/1/48 | 4,572,667 | 4,933,881 | |
4.00% 12/1/45 | 2,300,999 | 2,550,905 | |
4.00% 7/1/47 | 612,115 | 660,979 | |
4.00% 10/1/47 | 5,455,414 | 5,885,887 | |
4.50% 7/1/45 | 3,843,509 | 4,318,225 | |
4.50% 1/1/49 | 2,118,039 | 2,366,521 | |
4.50% 3/1/49 | 713,171 | 779,384 | |
4.50% 4/1/49 | 2,929,408 | 3,241,216 | |
4.50% 8/1/49 | 5,761,058 | 6,393,274 | |
5.50% 9/1/41 | 4,873,729 | 5,720,075 | |
GNMA I S.F. 30 yr 3.00% 3/15/50 | 2,147,057 | 2,248,670 | |
GNMA II S.F. 30 yr | |||
3.00% 7/20/50 | 25,115,318 | 26,178,690 | |
5.50% 5/20/37 | 132,373 | 151,003 | |
Total Agency Mortgage-Backed Securities (cost $566,769,055) | 569,875,306 | ||
Collateralized Debt Obligations — 1.75% | |||
Apex Credit CLO Series 2018-1A A2 144A 1.248% (LIBOR03M + 1.03%) 4/25/31 #, • | 6,200,000 | 6,057,115 | |
Atlas Senior Loan Fund X Series 2018-10A A 144A 1.331% (LIBOR03M + 1.09%) 1/15/31 #, • | 3,339,487 | 3,342,933 | |
CFIP CLO Series 2017-1A A 144A 1.443% (LIBOR03M + 1.22%) 1/18/30 #, • | 6,300,000 | 6,310,716 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Galaxy XXI CLO Series 2015-21A AR 144A 1.244% (LIBOR03M + 1.02%) 4/20/31 #, • | 3,000,000 | $3,002,370 | |
KKR Financial CLO Series 2013-1A A1R 144A 1.531% (LIBOR03M + 1.29%) 4/15/29 #, • | 3,000,000 | 3,000,846 | |
Man GLG US CLO Series 2018-1A A1R 144A 1.364% (LIBOR03M + 1.14%) 4/22/30 #, • | 8,200,000 | 8,209,405 | |
Midocean Credit CLO IX Series 2018-9A A1 144A 1.374% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #, • | 3,000,000 | 3,010,089 | |
Midocean Credit CLO VIII Series 2018-8A A1 144A 1.332% (LIBOR03M + 1.15%) 2/20/31 #, • | 3,000,000 | 2,999,250 | |
Saranac CLO VII Series 2014-2A A1AR 144A 1.412% (LIBOR03M + 1.23%) 11/20/29 #, • | 2,951,849 | 2,947,365 | |
Signal Peak CLO 5 Series 2018-5A A 144A 1.328% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 4,600,000 | 4,608,041 | |
Steele Creek CLO Series 2017-1A A 144A 1.491% (LIBOR03M + 1.25%) 10/15/30 #, • | 2,000,000 | 1,997,638 | |
Venture 42 CLO Series 2021-42A A1A 144A 1.13% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, • | 3,370,000 | 3,369,158 | |
Total Collateralized Debt Obligations (cost $48,963,864) | 48,854,926 | ||
Principal amount° | Value (US $) | ||
Corporate Bonds — 40.01% | |||
Banking — 7.58% | |||
Akbank TAS 144A 6.80% 2/6/26 # | 1,135,000 | $1,135,488 | |
Banco Continental 144A 2.75% 12/10/25 # | 1,695,000 | 1,671,389 | |
Banco de Bogota 144A 6.25% 5/12/26 # | 755,000 | 848,431 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 530,000 | 553,437 | |
Banco Industrial 144A 4.875% 1/29/31 #, μ | 1,290,000 | 1,330,951 | |
Banco Mercantil del Norte 144A 8.375% 10/14/30 #, μ, ψ | 880,000 | 1,027,343 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 360,000 | 334,728 | |
Banco Santander Mexico 144A 5.95% 10/1/28 #, μ | 660,000 | 713,196 | |
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, μ | 2,610,000 | 2,661,858 | |
Bank of America | |||
1.658% 3/11/27 μ | 3,930,000 | 3,944,659 | |
1.898% 7/23/31 μ | 5,600,000 | 5,264,736 | |
2.676% 6/19/41 μ | 8,655,000 | 8,120,605 | |
2.831% 10/24/51 μ | 720,000 | 662,304 | |
Bank of China 144A 5.00% 11/13/24 # | 1,120,000 | 1,259,211 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 1,360,000 | 1,451,169 | |
Bank of Montreal 1.85% 5/1/25 | 65,000 | 66,666 | |
Bank of New York Mellon 4.70% 9/20/25 μ, ψ | 4,870,000 | 5,288,576 | |
Barclays | |||
2.667% 3/10/32 μ | 2,020,000 | 1,974,361 | |
5.20% 5/12/26 | 5,663,000 | 6,415,839 | |
BBVA Bancomer 144A 5.125% 1/18/33 #, μ | 590,000 | 608,464 | |
BBVA USA 3.875% 4/10/25 | 2,530,000 | 2,765,786 | |
BDO Unibank 2.125% 1/13/26 | 1,465,000 | 1,490,313 | |
BOC Aviation 144A 2.625% 9/17/30 # | 1,075,000 | 1,036,463 | |
Citigroup 4.00% 12/10/25 μ, ψ | 985,000 | 997,066 |
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(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Credit Suisse Group | |||
144A 2.593% 9/11/25 #, μ | 3,660,000 | $3,797,207 | |
144A 4.194% 4/1/31 #, μ | 3,035,000 | 3,305,279 | |
144A 4.50% 9/3/30 #, μ, ψ | 1,565,000 | 1,471,100 | |
144A 5.25% 2/11/27 #, μ, ψ | 1,670,000 | 1,690,875 | |
144A 7.25% 9/12/25 #, μ, ψ | 2,585,000 | 2,806,005 | |
DBS Group Holdings 144A 4.52% 12/11/28 #, μ | 1,175,000 | 1,274,780 | |
Deutsche Bank | |||
3.547% 9/18/31 μ | 5,030,000 | 5,200,160 | |
3.729% 1/14/32 μ | 4,715,000 | 4,577,370 | |
Development Bank of Mongolia 144A 7.25% 10/23/23 # | 1,520,000 | 1,650,751 | |
Emirates NBD Bank 2.625% 2/18/25 • | 930,000 | 975,547 | |
Fifth Third Bancorp | |||
2.55% 5/5/27 | 3,205,000 | 3,337,965 | |
3.65% 1/25/24 | 820,000 | 883,940 | |
3.95% 3/14/28 | 2,985,000 | 3,377,053 | |
Goldman Sachs Group | |||
1.992% 1/27/32 μ | 6,340,000 | 6,022,256 | |
3.50% 4/1/25 | 3,505,000 | 3,798,755 | |
ICICI Bank 144A 4.00% 3/18/26 # | 980,000 | 1,058,155 | |
JPMorgan Chase & Co. | |||
1.04% 2/4/27 μ | 1,370,000 | 1,336,836 | |
1.953% 2/4/32 μ | 1,420,000 | 1,347,014 | |
2.522% 4/22/31 μ | 2,905,000 | 2,901,215 | |
3.109% 4/22/41 μ | 1,290,000 | 1,285,455 | |
3.702% 5/6/30 μ | 230,000 | 250,868 | |
4.023% 12/5/24 μ | 8,915,000 | 9,675,780 | |
4.60% 2/1/25 μ, ψ | 2,405,000 | 2,435,062 | |
5.00% 8/1/24 μ, ψ | 2,495,000 | 2,581,173 | |
Mizrahi Tefahot Bank 144A 3.077% 4/7/31 #, μ | 1,030,000 | 1,030,386 | |
Morgan Stanley | |||
1.794% 2/13/32 μ | 175,000 | 163,484 | |
2.188% 4/28/26 μ | 6,680,000 | 6,906,018 | |
5.00% 11/24/25 | 6,125,000 | 7,046,746 | |
Natwest Group 8.625% 8/15/21 μ, ψ | 6,095,000 | 6,253,287 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
PNC Bank | |||
2.70% 11/1/22 | 490,000 | $507,218 | |
4.05% 7/26/28 | 4,705,000 | 5,263,054 | |
PNC Financial Services Group 2.60% 7/23/26 | 5,655,000 | 5,978,148 | |
QNB Finance | |||
2.625% 5/12/25 | 1,410,000 | 1,463,170 | |
3.50% 3/28/24 | 1,175,000 | 1,251,968 | |
Shinhan Financial Group 144A 3.34% 2/5/30 #, μ | 890,000 | 930,014 | |
SVB Financial Group | |||
1.80% 2/2/31 | 1,505,000 | 1,390,724 | |
4.10% 2/15/31 μ, ψ | 4,850,000 | 4,865,156 | |
Truist Bank | |||
2.25% 3/11/30 | 4,195,000 | 4,098,212 | |
2.636% 9/17/29 μ | 10,165,000 | 10,660,849 | |
Truist Financial 4.95% 9/1/25 μ, ψ | 2,750,000 | 2,987,187 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 760,000 | 749,460 | |
144A 4.125% 9/24/25 # | 5,765,000 | 6,404,155 | |
7.125% 8/10/21 μ, ψ | 785,000 | 800,898 | |
US Bancorp | |||
1.45% 5/12/25 | 2,975,000 | 3,017,463 | |
3.10% 4/27/26 | 195,000 | 209,518 | |
3.375% 2/5/24 | 4,245,000 | 4,577,299 | |
3.60% 9/11/24 | 2,640,000 | 2,884,267 | |
3.95% 11/17/25 | 4,130,000 | 4,621,391 | |
US Bank 3.40% 7/24/23 | 2,360,000 | 2,521,377 | |
USB Capital IX 3.50% ((LIBOR03M + 1.02%)) 6/1/21 ψ, • | 2,134,000 | 2,053,975 | |
Wells Fargo & Co. 3.90% 3/15/26 μ, ψ | 4,400,000 | 4,446,310 | |
211,745,374 | |||
Banks — 0.14% | |||
Morgan Stanley 1.413% (LIBOR03M + 1.22%) 5/8/24 • | 3,945,000 | 4,007,870 | |
4,007,870 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry — 3.82% | |||
AngloGold Ashanti Holdings 3.75% 10/1/30 | 1,105,000 | $1,122,726 | |
Bioceanico Sovereign Certificate 144A 2.884% 6/5/34 #, ^ | 1,421,989 | 1,069,222 | |
Corp Nacional del Cobre de Chile | |||
144A 3.15% 1/14/30 # | 5,270,000 | 5,474,471 | |
144A 4.25% 7/17/42 # | 200,000 | 217,115 | |
CSN Inova Ventures 144A 6.75% 1/28/28 # | 3,225,000 | 3,421,483 | |
CSN Islands XII 144A 7.00% 6/23/21 #, ψ | 545,000 | 547,442 | |
Equate Petrochemical 144A 4.25% 11/3/26 # | 820,000 | 893,980 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 670,000 | 719,413 | |
144A 7.50% 4/1/25 # | 4,595,000 | 4,750,081 | |
Freeport-McMoRan 5.45% 3/15/43 | 3,255,000 | 3,921,819 | |
Fresnillo 144A 4.25% 10/2/50 # | 700,000 | 689,045 | |
GC Treasury Center 144A 4.30% 3/18/51 # | 1,175,000 | 1,202,592 | |
Georgia-Pacific | |||
144A 1.75% 9/30/25 # | 1,770,000 | 1,801,986 | |
144A 2.10% 4/30/27 # | 1,405,000 | 1,429,675 | |
144A 2.30% 4/30/30 # | 3,765,000 | 3,755,180 | |
8.00% 1/15/24 | 5,305,000 | 6,360,934 | |
Gold Fields Orogen Holdings BVI 144A 6.125% 5/15/29 # | 1,260,000 | 1,480,500 | |
GUSAP III 144A 4.25% 1/21/30 # | 352,000 | 371,103 | |
ICL Group 144A 6.375% 5/31/38 # | 2,340,000 | 2,983,500 | |
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 730,000 | 771,428 | |
Inversiones CMPC 144A 4.75% 9/15/24 # | 1,075,000 | 1,180,769 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Klabin Austria 144A 7.00% 4/3/49 # | 1,010,000 | $1,209,576 | |
LYB International Finance III 2.875% 5/1/25 | 4,000 | 4,226 | |
LyondellBasell Industries 4.625% 2/26/55 | 5,130,000 | 5,724,303 | |
Methanex 5.25% 12/15/29 | 5,515,000 | 5,698,705 | |
Metinvest 144A 7.65% 10/1/27 # | 1,143,000 | 1,234,196 | |
Minera Mexico 144A 4.50% 1/26/50 # | 1,245,000 | 1,284,230 | |
Newmont | |||
2.25% 10/1/30 | 5,170,000 | 5,040,558 | |
2.80% 10/1/29 | 7,585,000 | 7,809,618 | |
Nutrition & Biosciences 144A 3.268% 11/15/40 # | 6,330,000 | 6,250,960 | |
OCP 144A 4.50% 10/22/25 # | 1,614,000 | 1,714,157 | |
Olin | |||
5.00% 2/1/30 | 3,705,000 | 3,889,509 | |
5.625% 8/1/29 | 1,415,000 | 1,527,959 | |
Phosagro OAO via Phosagro Bond Funding DAC 144A 3.949% 4/24/23 # | 705,000 | 729,735 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 3,210,000 | 3,547,050 | |
Sasol Financing USA | |||
4.375% 9/18/26 | 1,080,000 | 1,104,462 | |
5.875% 3/27/24 | 5,525,000 | 5,873,628 | |
Sociedad Quimica y Minera de Chile 144A 3.625% 4/3/23 # | 665,000 | 696,518 | |
Vale Overseas 3.75% 7/8/30 | 3,180,000 | 3,325,151 | |
Vedanta Resources Finance II 144A 8.95% 3/11/25 # | 4,875,000 | 4,664,839 | |
Volcan Cia Minera 144A 4.375% 2/11/26 # | 1,135,000 | 1,164,754 | |
106,658,598 | |||
Brokerage — 0.52% | |||
Banco BTG Pactual | |||
144A 2.75% 1/11/26 # | 395,000 | 374,658 | |
144A 4.50% 1/10/25 # | 970,000 | 992,780 |
6 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Brokerage (continued) | |||
Charles Schwab | |||
4.00% 6/1/26 μ, ψ | 1,875,000 | $1,907,437 | |
4.00% 12/1/30 μ, ψ | 1,570,000 | 1,545,273 | |
5.375% 6/1/25 μ, ψ | 4,755,000 | 5,264,593 | |
Jefferies Group | |||
4.15% 1/23/30 | 2,135,000 | 2,348,492 | |
6.45% 6/8/27 | 893,000 | 1,114,567 | |
6.50% 1/20/43 | 750,000 | 960,861 | |
14,508,661 | |||
Capital Goods — 1.43% | |||
ARD Finance PIK 144A 6.50% 6/30/27 #, * | 2,220,000 | 2,333,775 | |
Ashtead Capital 144A 5.25% 8/1/26 # | 885,000 | 930,666 | |
Bombardier 144A 6.00% 10/15/22 # | 685,000 | 686,285 | |
Caterpillar 2.60% 4/9/30 | 50,000 | 51,239 | |
Cemex | |||
144A 3.875% 7/11/31 # | 1,105,000 | 1,080,745 | |
144A 7.375% 6/5/27 # | 1,020,000 | 1,156,425 | |
Covanta Holding 5.00% 9/1/30 | 1,115,000 | 1,127,544 | |
HTA Group 144A 7.00% 12/18/25 # | 1,395,000 | 1,487,000 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 300,000 | 315,405 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 4,995,000 | 5,069,925 | |
Otis Worldwide | |||
3.112% 2/15/40 | 2,354,000 | 2,323,980 | |
3.362% 2/15/50 | 406,000 | 397,700 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 5,165,000 | 5,068,156 | |
Standard Industries | |||
144A 3.375% 1/15/31 # | 2,045,000 | 1,940,194 | |
144A 5.00% 2/15/27 # | 609,000 | 636,024 | |
Teledyne Technologies | |||
2.25% 4/1/28 | 3,910,000 | 3,893,657 | |
2.75% 4/1/31 | 3,420,000 | 3,411,992 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
TransDigm | |||
5.50% 11/15/27 | 2,235,000 | $2,316,868 | |
144A 6.25% 3/15/26 # | 1,583,000 | 1,680,283 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 1,065,000 | 1,141,615 | |
UltraTech Cement 144A 2.80% 2/16/31 # | 1,220,000 | 1,148,272 | |
United Rentals North America 3.875% 2/15/31 | 1,639,000 | 1,650,268 | |
39,848,018 | |||
Communications — 6.59% | |||
Alibaba Group Holding 2.70% 2/9/41 | 1,390,000 | 1,264,653 | |
Altice Financing 144A 5.00% 1/15/28 # | 3,540,000 | 3,500,175 | |
Altice France Holding 144A 6.00% 2/15/28 # | 2,400,000 | 2,369,148 | |
Amazon.com | |||
1.20% 6/3/27 | 1,155,000 | 1,130,932 | |
1.50% 6/3/30 | 1,865,000 | 1,779,388 | |
AT&T | |||
3.10% 2/1/43 | 2,337,000 | 2,185,643 | |
3.50% 6/1/41 | 2,994,000 | 2,959,756 | |
144A 3.50% 9/15/53 # | 2,960,000 | 2,740,571 | |
B2W Digital 144A 4.375% 12/20/30 # | 1,370,000 | 1,340,723 | |
C&W Senior Financing 144A 7.50% 10/15/26 # | 2,135,000 | 2,266,633 | |
Charter Communications Operating | |||
3.70% 4/1/51 | 4,060,000 | 3,804,019 | |
4.464% 7/23/22 | 5,555,000 | 5,794,903 | |
4.80% 3/1/50 | 1,635,000 | 1,758,077 | |
4.908% 7/23/25 | 760,000 | 862,052 | |
5.05% 3/30/29 | 5,770,000 | 6,638,621 | |
Clear Channel Outdoor Holdings 144A 7.75% 4/15/28 # | 785,000 | 777,837 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 900,000 | 937,958 |
NQ-VIP-866 [3/21] 5/21 (1643695) 7
Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Comcast | |||
3.20% 7/15/36 | 3,645,000 | $3,810,209 | |
3.70% 4/15/24 | 7,050,000 | 7,701,671 | |
3.75% 4/1/40 | 835,000 | 917,408 | |
Connect Finco 144A 6.75% 10/1/26 # | 3,520,000 | 3,753,341 | |
Crown Castle International | |||
3.80% 2/15/28 | 5,075,000 | 5,535,120 | |
4.30% 2/15/29 | 2,155,000 | 2,417,943 | |
CSC Holdings | |||
144A 3.375% 2/15/31 # | 1,370,000 | 1,292,937 | |
144A 4.625% 12/1/30 # | 1,680,000 | 1,654,800 | |
Digicel Group 0.5 PIK 10.00% 4/1/24 * | 745,187 | 726,464 | |
Discovery Communications | |||
144A 4.00% 9/15/55 # | 1,005,000 | 991,067 | |
4.125% 5/15/29 | 11,195,000 | 12,381,586 | |
5.20% 9/20/47 | 1,755,000 | 2,083,831 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 1,275,000 | 1,340,344 | |
Level 3 Financing 144A 3.625% 1/15/29 # | 2,200,000 | 2,135,375 | |
Meituan 144A 3.05% 10/28/30 # | 1,450,000 | 1,412,040 | |
MercadoLibre 2.375% 1/14/26 | 880,000 | 875,054 | |
Millicom International Cellular 144A 4.50% 4/27/31 # | 760,000 | 791,772 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 605,000 | 696,264 | |
Prosus 144A 3.832% 2/8/51 # | 1,150,000 | 1,012,567 | |
Sable International Finance 144A 5.75% 9/7/27 # | 545,000 | 575,997 | |
Sprint Spectrum 144A 4.738% 3/20/25 # | 2,130,000 | 2,287,247 | |
Telefonica Celular del Paraguay 144A 5.875% 4/15/27 # | 870,000 | 922,196 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 4,411,000 | 4,754,727 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Time Warner Cable 7.30% 7/1/38 | 5,775,000 | $8,039,118 | |
Time Warner Entertainment 8.375% 3/15/23 | 2,495,000 | 2,861,778 | |
T-Mobile USA | |||
144A 1.50% 2/15/26 # | 1,520,000 | 1,508,015 | |
144A 2.55% 2/15/31 # | 1,070,000 | 1,049,606 | |
144A 3.00% 2/15/41 # | 2,650,000 | 2,464,566 | |
144A 3.50% 4/15/25 # | 1,750,000 | 1,889,790 | |
144A 3.75% 4/15/27 # | 2,405,000 | 2,631,455 | |
144A 3.875% 4/15/30 # | 6,025,000 | 6,546,825 | |
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 1,295,000 | 1,377,947 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 1,300,000 | 1,317,121 | |
VEON Holdings 144A 3.375% 11/25/27 # | 1,410,000 | 1,396,577 | |
Verizon Communications | |||
2.10% 3/22/28 | 1,045,000 | 1,050,041 | |
2.55% 3/21/31 | 2,055,000 | 2,054,932 | |
3.40% 3/22/41 | 1,835,000 | 1,865,513 | |
3.55% 3/22/51 | 1,800,000 | 1,800,776 | |
4.50% 8/10/33 | 12,400,000 | 14,416,833 | |
ViacomCBS | |||
4.375% 3/15/43 | 5,775,000 | 6,240,557 | |
4.95% 1/15/31 | 3,745,000 | 4,421,904 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 3,560,000 | 3,469,576 | |
Vodafone Group | |||
4.25% 9/17/50 | 2,090,000 | 2,306,500 | |
4.875% 6/19/49 | 8,605,000 | 10,241,088 | |
VTR Comunicaciones 144A 4.375% 4/15/29 # | 1,265,000 | 1,273,855 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 1,465,000 | 1,505,976 | |
183,911,398 |
8 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical — 2.36% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 2,445,000 | $2,676,517 | |
Boyd Gaming 4.75% 12/1/27 | 3,823,000 | 3,903,684 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 2,670,000 | 2,849,611 | |
Carnival 144A 7.625% 3/1/26 # | 3,339,000 | 3,591,261 | |
Ford Motor Credit | |||
2.90% 2/16/28 | 1,500,000 | 1,443,000 | |
4.542% 8/1/26 | 8,815,000 | 9,339,052 | |
Future Retail 144A 5.60% 1/22/25 # | 905,000 | 743,765 | |
General Motors | |||
5.00% 10/1/28 | 2,289,000 | 2,624,829 | |
5.40% 10/2/23 | 1,300,000 | 1,412,399 | |
6.125% 10/1/25 | 1,300,000 | 1,530,185 | |
6.60% 4/1/36 | 1,861,000 | 2,419,087 | |
General Motors Financial | |||
2.35% 1/8/31 | 1,045,000 | 999,235 | |
5.20% 3/20/23 | 437,000 | 474,101 | |
5.25% 3/1/26 | 5,505,000 | 6,310,376 | |
5.70% 9/30/30 μ, ψ | 2,175,000 | 2,354,437 | |
Hyundai Capital America 144A 3.50% 11/2/26 # | 955,000 | 1,026,121 | |
JD.com 3.875% 4/29/26 | 980,000 | 1,065,228 | |
JSM Global 144A 4.75% 10/20/30 # | 290,000 | 291,438 | |
MGM China Holdings 144A 4.75% 2/1/27 # | 970,000 | 985,762 | |
MGM Resorts International 4.75% 10/15/28 | 2,290,000 | 2,369,566 | |
Prime Security Services Borrower 144A 6.25% 1/15/28 # | 4,610,000 | 4,805,464 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 2,400,000 | 2,415,000 | |
Sands China | |||
3.80% 1/8/26 | 750,000 | 800,378 | |
4.375% 6/18/30 | 940,000 | 996,673 | |
Scientific Games International 144A 8.25% 3/15/26 # | 2,875,000 | 3,088,339 | |
Shimao Group Holdings 5.60% 7/15/26 | 1,315,000 | 1,419,422 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Six Flags Entertainment 144A 4.875% 7/31/24 # | 2,345,000 | $2,371,381 | |
Wynn Macau 144A 5.625% 8/26/28 # | 820,000 | 858,683 | |
Yuzhou Group Holdings 7.70% 2/20/25 • | 945,000 | 824,456 | |
65,989,450 | |||
Consumer Non-Cyclical — 3.73% | |||
AbbVie | |||
2.95% 11/21/26 | 5,100,000 | 5,433,991 | |
4.05% 11/21/39 | 6,371,000 | 7,142,383 | |
Anheuser-Busch InBev Worldwide | |||
4.15% 1/23/25 | 3,430,000 | 3,813,765 | |
4.50% 6/1/50 | 4,090,000 | 4,648,409 | |
Auna 144A 6.50% 11/20/25 # | 1,280,000 | 1,366,829 | |
BAT Capital 2.259% 3/25/28 | 2,835,000 | 2,793,887 | |
BAT International Finance 1.668% 3/25/26 | 2,005,000 | 1,985,918 | |
Bausch Health 144A 6.25% 2/15/29 # | 6,130,000 | 6,524,776 | |
Biogen 3.15% 5/1/50 | 5,985,000 | 5,506,529 | |
Centene | |||
3.375% 2/15/30 | 1,980,000 | 2,001,651 | |
144A 5.375% 8/15/26 # | 1,645,000 | 1,739,423 | |
CVS Health | |||
1.875% 2/28/31 | 615,000 | 578,174 | |
3.75% 4/1/30 | 1,535,000 | 1,676,361 | |
4.30% 3/25/28 | 9,949,000 | 11,304,579 | |
4.78% 3/25/38 | 2,055,000 | 2,429,588 | |
5.05% 3/25/48 | 65,000 | 79,922 | |
Gilead Sciences 4.15% 3/1/47 | 6,535,000 | 7,277,779 | |
HCA 7.58% 9/15/25 | 80,000 | 95,600 | |
JBS Investments II 144A 5.75% 1/15/28 # | 845,000 | 892,667 | |
Kernel Holding 144A 6.50% 10/17/24 # | 855,000 | 910,096 | |
MHP 144A 7.75% 5/10/24 # | 965,000 | 1,036,347 | |
Minerva Luxembourg 144A 4.375% 3/18/31 # | 1,480,000 | 1,448,735 | |
New York and Presbyterian Hospital 4.063% 8/1/56 | 1,630,000 | 1,894,243 |
NQ-VIP-866 [3/21] 5/21 (1643695) 9
Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Pilgrim's Pride 144A 5.875% 9/30/27 # | 2,431,000 | $2,608,342 | |
Prestige Brands 144A 3.75% 4/1/31 # | 1,905,000 | 1,821,656 | |
Rede D'or Finance 144A 4.50% 1/22/30 # | 1,245,000 | 1,224,034 | |
Regeneron Pharmaceuticals 1.75% 9/15/30 | 1,555,000 | 1,439,955 | |
Royalty Pharma 144A 1.75% 9/2/27 # | 1,285,000 | 1,248,978 | |
Takeda Pharmaceutical | |||
2.05% 3/31/30 | 2,480,000 | 2,392,140 | |
3.025% 7/9/40 | 1,845,000 | 1,788,283 | |
3.175% 7/9/50 | 1,845,000 | 1,767,101 | |
Tenet Healthcare | |||
5.125% 5/1/25 | 3,982,000 | 4,042,925 | |
144A 6.125% 10/1/28 # | 2,760,000 | 2,884,200 | |
Teva Pharmaceutical Finance Netherlands III 6.75% 3/1/28 | 2,071,000 | 2,330,548 | |
Ulker Biskuvi Sanayi 144A 6.95% 10/30/25 # | 2,005,000 | 2,108,177 | |
Universal Health Services 144A 5.00% 6/1/26 # | 485,000 | 498,852 | |
Viatris | |||
144A 1.65% 6/22/25 # | 595,000 | 597,696 | |
144A 2.30% 6/22/27 # | 495,000 | 499,851 | |
144A 2.70% 6/22/30 # | 3,640,000 | 3,598,805 | |
144A 4.00% 6/22/50 # | 845,000 | 863,312 | |
104,296,507 | |||
Electric — 3.38% | |||
Adani Electricity Mumbai 144A 3.949% 2/12/30 # | 980,000 | 990,339 | |
AES Gener 144A 7.125% 3/26/79 #, μ | 1,115,000 | 1,199,589 | |
American Transmission Systems 144A 5.25% 1/15/22 # | 3,930,000 | 4,053,875 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Calpine | |||
144A 4.50% 2/15/28 # | 896,000 | $904,870 | |
144A 5.00% 2/1/31 # | 2,905,000 | 2,839,638 | |
144A 5.125% 3/15/28 # | 855,000 | 860,186 | |
CenterPoint Energy | |||
3.85% 2/1/24 | 821,000 | 889,926 | |
4.25% 11/1/28 | 5,198,000 | 5,833,520 | |
Centrais Eletricas Brasileiras | |||
144A 3.625% 2/4/25 # | 226,000 | 227,984 | |
144A 4.625% 2/4/30 # | 950,000 | 951,520 | |
Cikarang Listrindo 144A 4.95% 9/14/26 # | 1,190,000 | 1,219,810 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 545,000 | 566,920 | |
Comision Federal de Electricidad 144A 4.875% 1/15/24 # | 251,000 | 275,007 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 4,665,000 | 4,940,235 | |
Duke Energy Indiana 3.25% 10/1/49 | 2,480,000 | 2,451,945 | |
Electricite de France 2.875% 12/15/26 μ, ψ | EUR | 3,000,000 | 3,669,480 |
Engie Energia Chile 144A 4.50% 1/29/25 # | 710,000 | 774,113 | |
Entergy Arkansas 4.20% 4/1/49 | 1,930,000 | 2,165,671 | |
Entergy Louisiana 4.95% 1/15/45 | 545,000 | 591,381 | |
Entergy Mississippi 3.85% 6/1/49 | 2,400,000 | 2,525,529 | |
Entergy Texas 3.55% 9/30/49 | 1,380,000 | 1,377,063 | |
Evergy 4.85% 6/1/21 | 535,000 | 535,000 | |
Evergy Kansas Central 3.45% 4/15/50 | 2,250,000 | 2,286,127 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 1,675,000 | 1,769,193 | |
Israel Electric 144A 5.00% 11/12/24 # | 910,000 | 1,024,137 | |
Kallpa Generacion 144A 4.125% 8/16/27 # | 1,894,000 | 2,020,406 |
10 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Louisville Gas and Electric 4.25% 4/1/49 | 5,265,000 | $6,008,956 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 1,647,000 | 1,659,624 | |
Oryx Funding 144A 5.80% 2/3/31 # | 1,225,000 | 1,270,172 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 925,000 | 906,976 | |
2.50% 2/1/31 | 1,365,000 | 1,288,987 | |
3.25% 6/1/31 | 825,000 | 823,116 | |
3.30% 8/1/40 | 2,275,000 | 2,066,301 | |
Perusahaan Listrik Negara | |||
144A 3.875% 7/17/29 # | 1,120,000 | 1,177,266 | |
144A 4.125% 5/15/27 # | 475,000 | 511,297 | |
144A 5.25% 5/15/47 # | 1,183,000 | 1,302,779 | |
PG&E 5.25% 7/1/30 | 4,830,000 | 5,125,837 | |
Saudi Electricity Global Sukuk Co. 4 4.222% 1/27/24 | 1,135,000 | 1,228,694 | |
Southern California Edison | |||
3.65% 2/1/50 | 3,245,000 | 3,215,737 | |
4.00% 4/1/47 | 1,745,000 | 1,800,436 | |
4.875% 3/1/49 | 4,680,000 | 5,445,718 | |
Southwestern Electric Power 4.10% 9/15/28 | 8,995,000 | 9,967,483 | |
Vistra Operations 144A 5.50% 9/1/26 # | 3,547,000 | 3,680,013 | |
94,422,856 | |||
Energy — 5.22% | |||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 780,000 | 882,909 | |
BP Capital Markets 4.875% 3/22/30 μ, ψ | 4,840,000 | 5,196,950 | |
Chevron USA 3.90% 11/15/24 | 2,320,000 | 2,555,721 | |
CNX Resources 144A 6.00% 1/15/29 # | 5,325,000 | 5,543,618 | |
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 3,383,000 | 3,338,598 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Ecopetrol | |||
5.375% 6/26/26 | 665,000 | $746,888 | |
6.875% 4/29/30 | 1,175,000 | 1,432,807 | |
Energean Israel Finance 144A 4.875% 3/30/26 # | 1,220,000 | 1,229,913 | |
Energy Transfer | |||
5.25% 4/15/29 | 1,820,000 | 2,073,024 | |
6.25% 4/15/49 | 8,940,000 | 10,516,142 | |
EnfraGen Energia Sur 144A 5.375% 12/30/30 # | 1,560,000 | 1,538,932 | |
Enterprise Products Operating 3.20% 2/15/52 | 8,295,000 | 7,588,140 | |
Equinor 1.75% 1/22/26 | 1,235,000 | 1,264,512 | |
Galaxy Pipeline Assets Bidco | |||
144A 1.75% 9/30/27 # | 2,630,000 | 2,632,852 | |
144A 2.625% 3/31/36 # | 2,830,000 | 2,713,418 | |
144A 2.94% 9/30/40 # | 1,380,000 | 1,334,921 | |
Gazprom via Gaz Finance 144A 3.25% 2/25/30 # | 1,055,000 | 1,011,154 | |
Geopark | |||
144A 5.50% 1/17/27 # | 1,195,000 | 1,214,658 | |
144A 6.50% 9/21/24 # | 330,000 | 342,159 | |
Greenko Solar Mauritius 144A 5.95% 7/29/26 # | 1,185,000 | 1,270,024 | |
KazMunayGas National JSC 144A 6.375% 10/24/48 # | 481,000 | 616,240 | |
KazTransGas JSC 144A 4.375% 9/26/27 # | 4,507,000 | 5,035,933 | |
Kinder Morgan 3.60% 2/15/51 | 2,360,000 | 2,202,845 | |
Lukoil Securities 144A 3.875% 5/6/30 # | 4,025,000 | 4,156,014 | |
Marathon Oil 4.40% 7/15/27 | 14,575,000 | 16,057,259 | |
MPLX | |||
1.75% 3/1/26 | 1,290,000 | 1,292,863 | |
4.125% 3/1/27 | 3,915,000 | 4,349,449 | |
Murphy Oil 5.875% 12/1/27 | 4,950,000 | 4,855,653 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
NuStar Logistics | |||
5.625% 4/28/27 | 420,000 | $440,147 | |
6.375% 10/1/30 | 4,436,000 | 4,804,742 | |
Oil and Gas Holding 144A 7.625% 11/7/24 # | 404,000 | 451,026 | |
ONEOK 7.50% 9/1/23 | 5,305,000 | 6,052,073 | |
PDC Energy 5.75% 5/15/26 | 2,280,000 | 2,367,780 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 410,000 | 430,500 | |
Petrobras Global Finance 6.75% 6/3/50 | 880,000 | 940,962 | |
Petroleos Mexicanos | |||
6.50% 3/13/27 | 244,000 | 255,378 | |
6.50% 1/23/29 | 3,984,000 | 4,031,549 | |
6.75% 9/21/47 | 576,000 | 490,902 | |
Petronas Capital 144A 3.50% 4/21/30 # | 500,000 | 535,860 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 1,230,000 | 1,266,666 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 3,420,000 | 3,912,463 | |
5.75% 5/15/24 | 5,868,000 | 6,624,684 | |
Saudi Arabian Oil | |||
144A 1.625% 11/24/25 # | 200,000 | 201,556 | |
144A 3.50% 11/24/70 # | 935,000 | 831,687 | |
144A 4.25% 4/16/39 # | 1,280,000 | 1,383,482 | |
SEPLAT Petroleum Development 144A 7.75% 4/1/26 # | 1,040,000 | 1,043,900 | |
Southwestern Energy 7.75% 10/1/27 | 4,000,000 | 4,282,500 | |
Targa Resources Partners 5.375% 2/1/27 | 3,105,000 | 3,227,275 | |
Tengizchevroil Finance Co International 144A 2.625% 8/15/25 # | 892,000 | 902,872 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 4,768,000 | 4,753,093 | |
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 880,000 | 761,860 | |
Tullow Oil 144A 7.00% 3/1/25 # | 615,000 | 522,750 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
UEP Penonome II 144A 6.50% 10/1/38 # | 1,025,000 | $1,037,187 | |
YPF 144A 8.50% 6/27/29 # | 1,825,000 | 1,170,957 | |
145,717,447 | |||
Finance Companies — 0.89% | |||
AerCap Ireland Capital DAC | |||
1.75% 1/30/26 | 1,140,000 | 1,108,003 | |
3.65% 7/21/27 | 5,100,000 | 5,355,919 | |
4.50% 9/15/23 | 860,000 | 925,442 | |
4.625% 10/15/27 | 1,405,000 | 1,542,928 | |
6.50% 7/15/25 | 2,870,000 | 3,347,034 | |
Air Lease | |||
2.875% 1/15/26 | 3,870,000 | 4,018,229 | |
3.00% 2/1/30 | 5,465,000 | 5,356,859 | |
3.375% 7/1/25 | 1,255,000 | 1,326,923 | |
Bangkok Bank 144A 5.00% 9/23/25 #, μ, ψ | 800,000 | 843,744 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 975,000 | 1,006,078 | |
24,831,159 | |||
Insurance — 0.43% | |||
AIA Group 144A 3.375% 4/7/30 # | 705,000 | 753,837 | |
AssuredPartners 144A 7.00% 8/15/25 # | 1,859,000 | 1,927,253 | |
Brighthouse Financial 5.625% 5/15/30 | 1,610,000 | 1,889,143 | |
GTCR AP Finance 144A 8.00% 5/15/27 # | 798,000 | 858,848 | |
MetLife 3.85% 9/15/25 μ, ψ | 2,875,000 | 2,975,625 | |
Prudential Financial 3.70% 3/13/51 | 3,275,000 | 3,473,293 | |
11,877,999 | |||
Natural Gas — 0.12% | |||
ENN Energy Holdings 144A 2.625% 9/17/30 # | 1,120,000 | 1,078,050 | |
NiSource 5.65% 6/15/23 μ, ψ | 2,080,000 | 2,150,200 | |
3,228,250 | |||
Real Estate Investment Trusts — 0.39% | |||
American Tower Trust #1 144A 3.07% 3/15/48 # | 3,070,000 | 3,109,631 |
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Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Real Estate Investment Trusts (continued) | |||
CubeSmart | |||
3.00% 2/15/30 | 2,272,000 | $2,310,986 | |
3.125% 9/1/26 | 1,825,000 | 1,942,667 | |
Goodman HK Finance 4.375% 6/19/24 | 1,010,000 | 1,099,956 | |
Kaisa Group Holdings 9.375% 6/30/24 | 1,180,000 | 1,135,673 | |
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 265,000 | 292,560 | |
Trust Fibra UNO 144A 5.25% 1/30/26 # | 1,035,000 | 1,147,044 | |
11,038,517 | |||
Technology — 1.24% | |||
Black Knight InfoServ 144A 3.625% 9/1/28 # | 2,164,000 | 2,129,073 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 3,434,000 | 3,408,262 | |
Equinix 5.375% 5/15/27 | 850,000 | 914,264 | |
Global Payments | |||
2.65% 2/15/25 | 3,604,000 | 3,788,695 | |
2.90% 5/15/30 | 1,124,000 | 1,148,314 | |
3.20% 8/15/29 | 2,365,000 | 2,493,518 | |
Iron Mountain 144A 5.25% 7/15/30 # | 2,180,000 | 2,252,049 | |
NXP | |||
144A 2.70% 5/1/25 # | 345,000 | 362,098 | |
144A 3.40% 5/1/30 # | 670,000 | 708,569 | |
144A 4.30% 6/18/29 # | 739,000 | 827,926 | |
144A 4.875% 3/1/24 # | 6,435,000 | 7,155,082 | |
Oracle | |||
2.875% 3/25/31 | 2,695,000 | 2,745,650 | |
3.65% 3/25/41 | 1,445,000 | 1,464,276 | |
3.95% 3/25/51 | 1,460,000 | 1,507,703 | |
SK Hynix 144A 2.375% 1/19/31 # | 2,355,000 | 2,231,687 | |
Tencent Holdings 144A 3.28% 4/11/24 # | 1,305,000 | 1,391,494 | |
34,528,660 | |||
Transportation — 1.89% | |||
Abertis Infraestructuras Finance 3.248% 11/24/25 μ, ψ | EUR | 3,000,000 | 3,612,086 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Adani Ports & Special Economic Zone 144A 3.10% 2/2/31 # | 2,305,000 | $2,189,937 | |
Aeropuertos Argentina 2000 PIK 144A 9.375% 2/1/27 #, * | 1,410,059 | 1,135,097 | |
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 1,265,000 | 692,588 | |
ASG Finance Designated Activity 144A 7.875% 12/3/24 # | 1,201,000 | 1,143,953 | |
Azul Investments 144A 5.875% 10/26/24 # | 1,495,000 | 1,320,197 | |
DAE Funding 144A 3.375% 3/20/28 # | 4,505,000 | 4,485,529 | |
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 11,085,000 | 12,778,638 | |
7.375% 1/15/26 | 3,314,000 | 3,878,960 | |
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 1,100,000 | 1,166,561 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 5,965,000 | 6,546,588 | |
Movida Europe 144A 5.25% 2/8/31 # | 905,000 | 869,447 | |
Rutas 2 and 7 Finance 144A 3.295% 9/30/36 #, ^ | 1,040,000 | 743,600 | |
Southwest Airlines | |||
5.125% 6/15/27 | 4,610,000 | 5,304,160 | |
5.25% 5/4/25 | 4,585,000 | 5,220,709 | |
Union Pacific 3.25% 2/5/50 | 1,605,000 | 1,583,451 | |
52,671,501 | |||
Utilities — 0.28% | |||
Clean Renewable Power Mauritius 144A 4.25% 3/25/27 # | 1,510,000 | 1,525,100 | |
Essential Utilities | |||
2.704% 4/15/30 | 1,345,000 | 1,358,346 | |
3.351% 4/15/50 | 1,315,000 | 1,275,971 | |
Infraestructura Energetica Nova | |||
144A 3.75% 1/14/28 # | 290,000 | 309,212 | |
144A 4.875% 1/14/48 # | 1,280,000 | 1,277,939 | |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Sempra Energy 4.875% 10/15/25 μ, ψ | 1,970,000 | $2,112,825 | |
7,859,393 | |||
Total Corporate Bonds (cost $1,079,764,943) | 1,117,141,658 | ||
Municipal Bonds — 0.01% | |||
South Carolina Public Service Authority Series D 4.77% 12/1/45 | 340,000 | 408,636 | |
Total Municipal Bonds (cost $381,966) | 408,636 | ||
Non-Agency Asset-Backed Securities — 1.21% | |||
Citicorp Residential Mortgage Trust Series 2006-3 A5 5.076% 11/25/36 • | 1,176,499 | 1,210,980 | |
Ford Credit Auto Lease Trust Series 2021-A B 0.47% 5/15/24 | 2,500,000 | 2,490,734 | |
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 240,000 | 238,130 | |
GM Financial Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 360,000 | 358,695 | |
Hardee's Funding Series 2018-1A A2II 144A 4.959% 6/20/48 # | 1,218,750 | 1,281,028 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 4,263,000 | 4,214,956 | |
Mercedes-Benz Auto Lease Trust | |||
Series 2019-B A2 2.01% 12/15/21 | 93,152 | 93,213 | |
Series 2020-A A2 1.82% 3/15/22 | 365,717 | 366,473 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 144A 2.61% 5/15/24 # | 1,000,000 | 1,025,562 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
PFS Financing | |||
Series 2020-G A 144A 0.97% 2/15/26 # | 5,000,000 | $5,019,891 | |
Series 2021-A A 144A 0.71% 4/15/26 # | 3,550,000 | 3,531,884 | |
Taco Bell Funding Series 2016-1A A2II 144A 4.377% 5/25/46 # | 1,684,375 | 1,691,786 | |
Towd Point Mortgage Trust | |||
Series 2015-5 A1B 144A 2.75% 5/25/55 #, �� | 123,880 | 124,179 | |
Series 2015-6 A1B 144A 2.75% 4/25/55 #, • | 276,222 | 278,141 | |
Series 2016-1 A1B 144A 2.75% 2/25/55 #, • | 113,277 | 113,732 | |
Series 2016-2 A1 144A 3.00% 8/25/55 #, • | 216,931 | 220,155 | |
Series 2016-3 A1 144A 2.25% 4/25/56 #, • | 222,486 | 224,132 | |
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 309,073 | 314,349 | |
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 175,313 | 177,936 | |
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 1,505,000 | 1,575,275 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 726,579 | 748,284 | |
Trafigura Securitisation Finance Series 2018-1A A1 144A 0.836% (LIBOR01M + 0.73%) 3/15/22 #, • | 3,340,000 | 3,339,111 | |
UNIFY Auto Receivables Trust Series 2021-1A A3 144A 0.51% 6/16/25 # | 3,300,000 | 3,298,930 |
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Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Volkswagen Auto Lease Trust Series 2020-A A4 Series 2020-A A4 0.45% 7/21/25 | 650,000 | $649,885 | |
Wendy's Funding Series 2018-1A A2I 144A 3.573% 3/15/48 # | 1,136,812 | 1,168,541 | |
Total Non-Agency Asset-Backed Securities (cost $33,480,304) | 33,755,982 | ||
Non-Agency Collateralized Mortgage Obligations — 1.53% | |||
Citicorp Mortgage Securities Trust Series 2006-3 1A9 5.75% 6/25/36 | 40,941 | 40,823 | |
Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 144A 2.509% (LIBOR01M + 2.40%) 4/25/31 #, • | 1,057,080 | 1,058,734 | |
Series 2019-R01 2M2 144A 2.559% (LIBOR01M + 2.45%) 7/25/31 #, • | 717,691 | 719,038 | |
Series 2019-R02 1M2 144A 2.409% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/31 #, • | 2,173,158 | 2,176,655 | |
JPMorgan Mortgage Trust | |||
Series 2014-2 B1 144A 3.411% 6/25/29 #, • | 398,751 | 409,829 | |
Series 2014-2 B2 144A 3.411% 6/25/29 #, • | 149,048 | 152,587 | |
Series 2015-1 B2 144A 2.124% 12/25/44 #, • | 1,141,334 | 1,166,272 | |
Series 2015-4 B1 144A 3.601% 6/25/45 #, • | 872,939 | 906,105 | |
Series 2015-4 B2 144A 3.601% 6/25/45 #, • | 626,239 | 646,403 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2015-5 B2 144A 2.482% 5/25/45 #, • | 1,073,105 | $1,101,508 | |
Series 2015-6 B1 144A 3.55% 10/25/45 #, • | 604,413 | 626,226 | |
Series 2015-6 B2 144A 3.55% 10/25/45 #, • | 585,525 | 603,725 | |
Series 2016-4 B1 144A 3.847% 10/25/46 #, • | 458,399 | 479,269 | |
Series 2016-4 B2 144A 3.847% 10/25/46 #, • | 842,930 | 874,650 | |
Series 2017-1 B3 144A 3.509% 1/25/47 #, • | 1,630,496 | 1,657,193 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 293,077 | 297,395 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 613,777 | 625,789 | |
Series 2020-5 A3 144A 3.00% 12/25/50 #, • | 4,957,371 | 5,014,108 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 1,856,296 | 1,878,044 | |
Series 2021-1 A3 144A 2.50% 6/25/51 #, • | 2,155,198 | 2,181,295 | |
Morgan Stanley Residential Mortgage Loan Trust Series 2020-1 A2A 144A 2.50% 12/25/50 #, • | 972,525 | 986,733 | |
New Residential Mortgage Loan Trust Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 577,810 | 604,237 | |
RCKT Mortgage Trust Series 2021-1 A1 144A 2.50% 3/25/51 #, =, • | 1,750,000 | 1,788,850 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Sequoia Mortgage Trust | |||
Series 2015-1 B2 144A 3.893% 1/25/45 #, • | 517,800 | $531,952 | |
Series 2015-2 B2 144A 3.734% 5/25/45 #, • | 3,765,973 | 3,889,103 | |
Series 2017-5 B1 144A 3.828% 8/25/47 #, • | 3,403,490 | 3,596,245 | |
Series 2020-4 A2 144A 2.50% 11/25/50 #, • | 1,507,824 | 1,526,082 | |
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-AR5 2A1 2.803% 4/25/36 • | 72,839 | 72,116 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 761,905 | 773,887 | |
Series 2020-3 A1 144A 3.00% 6/25/50 #, • | 5,033,248 | 5,117,773 | |
Series 2020-4 A1 144A 3.00% 7/25/50 #, • | 1,159,145 | 1,179,181 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $42,277,262) | 42,681,807 | ||
Non-Agency Commercial Mortgage-Backed Securities — 7.27% | |||
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 3,645,000 | 3,963,299 | |
Series 2017-BNK5 B 3.896% 6/15/60 • | 1,500,000 | 1,628,110 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 2,645,000 | 2,884,974 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 1,850,000 | 1,944,721 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 5,000,000 | 5,194,280 | |
Series 2020-BN25 A5 2.649% 1/15/63 | 13,000,000 | 13,312,143 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Benchmark Mortgage Trust | |||
Series 2018-B1 A5 3.666% 1/15/51 • | 1,270,000 | $1,399,924 | |
Series 2020-B17 A5 2.289% 3/15/53 | 2,750,000 | 2,733,270 | |
Series 2020-B20 A5 2.034% 10/15/53 | 10,100,000 | 9,794,814 | |
Series 2020-B21 A5 1.978% 12/17/53 | 1,250,000 | 1,205,054 | |
Series 2020-B22 A5 1.973% 1/15/54 | 1,800,000 | 1,729,817 | |
Series 2021-B24 A5 2.584% 3/15/54 | 2,100,000 | 2,125,960 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 5,060,000 | 5,577,690 | |
Series 2019-CF2 A5 2.874% 11/15/52 | 6,500,000 | 6,784,539 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 1,500,000 | 1,585,565 | |
CD Mortgage Trust | |||
Series 2016-CD2 A3 3.248% 11/10/49 | 12,150,000 | 12,827,360 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 2,650,000 | 2,750,096 | |
CFCRE Commercial Mortgage Trust | |||
Series 2011-C2 C 144A 5.758% 12/15/47 #, • | 880,000 | 899,928 | |
Series 2016-C7 A3 3.839% 12/10/54 | 5,695,000 | 6,273,730 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 1,935,000 | 2,093,973 |
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Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Citigroup Commercial Mortgage Trust | |||
Series 2015-GC27 A5 3.137% 2/10/48 | 2,780,000 | $2,967,377 | |
Series 2016-P3 A4 3.329% 4/15/49 | 3,100,000 | 3,339,224 | |
Series 2017-C4 A4 3.471% 10/12/50 | 1,560,000 | 1,700,619 | |
Series 2019-C7 A4 3.102% 12/15/72 | 1,450,000 | 1,534,286 | |
COMM Mortgage Trust | |||
Series 2013-CR6 AM 144A 3.147% 3/10/46 # | 3,050,000 | 3,158,661 | |
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 2,540,000 | 2,667,997 | |
Series 2014-CR19 A5 3.796% 8/10/47 | 9,707,000 | 10,553,031 | |
Series 2014-CR20 AM 3.938% 11/10/47 | 7,775,000 | 8,377,184 | |
Series 2015-3BP A 144A 3.178% 2/10/35 # | 3,960,000 | 4,203,577 | |
Series 2015-CR23 A4 3.497% 5/10/48 | 1,910,000 | 2,075,139 | |
DB-JPM Mortgage Trust Series 2016-C1 A4 3.276% 5/10/49 | 1,790,000 | 1,924,629 | |
GS Mortgage Securities Trust | |||
Series 2010-C1 C 144A 5.635% 8/10/43 #, • | 660,000 | 617,548 | |
Series 2015-GC32 A4 3.764% 7/10/48 | 1,240,000 | 1,359,649 | |
Series 2017-GS5 A4 3.674% 3/10/50 | 2,980,000 | 3,283,765 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 4,410,000 | 4,790,225 | |
Series 2018-GS9 A4 3.992% 3/10/51 • | 1,370,000 | 1,533,362 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
GS Mortgage Securities Trust | |||
Series 2019-GC39 A4 3.567% 5/10/52 | 820,000 | $895,692 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 3,750,000 | 3,949,362 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C31 A3 3.801% 8/15/48 | 3,395,000 | 3,708,241 | |
Series 2015-C33 A4 3.77% 12/15/48 | 4,710,000 | 5,184,621 | |
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.144% 6/15/49 | 2,080,000 | 2,219,053 | |
Series 2017-C7 A5 3.409% 10/15/50 | 3,425,000 | 3,723,934 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 2,445,000 | 2,438,381 | |
Series 2015-JP1 A5 3.914% 1/15/49 | 1,590,000 | 1,763,433 | |
Series 2016-JP2 A4 2.822% 8/15/49 | 4,995,000 | 5,282,296 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 3,095,000 | 3,232,838 | |
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 1,610,000 | 1,614,477 | |
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 1,490,000 | 1,494,109 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 982,345 | 569,289 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2014-C17 A5 3.741% 8/15/47 | 1,640,000 | $1,773,707 | |
Series 2015-C26 A5 3.531% 10/15/48 | 1,970,000 | 2,156,606 | |
Series 2016-C29 A4 3.325% 5/15/49 | 1,620,000 | 1,747,979 | |
Morgan Stanley Capital I Trust | |||
Series 2006-HQ10 B 5.448% 11/12/41 • | 1,432,274 | 1,410,380 | |
Series 2019-L3 A4 3.127% 11/15/52 | 2,400,000 | 2,531,285 | |
UBS Commercial Mortgage Trust Series 2012-C1 A3 3.40% 5/10/45 | 2,498,820 | 2,537,883 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 1,000,000 | 1,015,263 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 1,175,000 | 1,269,335 | |
Series 2015-NXS3 A4 3.617% 9/15/57 | 1,250,000 | 1,368,357 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 2,575,000 | 2,705,139 | |
Series 2017-C38 A5 3.453% 7/15/50 | 2,240,000 | 2,438,813 | |
Series 2020-C58 A4 2.092% 7/15/53 | 1,540,000 | 1,495,316 | |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
WF-RBS Commercial Mortgage Trust Series 2012-C10 A3 2.875% 12/15/45 | 3,605,000 | $3,716,169 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $197,757,967) | 203,037,478 | ||
Loan Agreements — 5.00% | |||
Acrisure Tranche B 3.703% (LIBOR03M + 3.50%) 2/15/27 • | 872,370 | 863,428 | |
Advantage Sales & Marketing 1st Lien 6.00% (LIBOR03M + 5.25%) 10/28/27 • | 2,653,350 | 2,653,586 | |
American Airlines Tranche B 2.106% (LIBOR01M + 2.00%) 12/14/23 • | 845,264 | 807,471 | |
Applied Systems 1st Lien 3.50% (LIBOR03M + 3.00%) 9/19/24 • | 1,573,803 | 1,585,607 | |
Applied Systems 2nd Lien 6.25% (LIBOR03M + 5.50%) 9/19/25 • | 4,275,000 | 4,307,062 | |
Aramark Services Tranche B-3 1.859% (LIBOR01M + 1.75%) 3/11/25 • | 979,296 | 970,551 | |
Array Technologies 3.75% (LIBOR01M + 3.25%) 10/14/27���• | 1,561,087 | 1,562,063 | |
Aruba Investments Holdings 1st Lien 4.75% (LIBOR03M + 4.00%) 11/24/27 • | 690,000 | 692,588 | |
Aruba Investments Holdings 2nd Lien 8.50% (LIBOR03M + 7.75%) 11/24/28 • | 690,000 | 696,900 | |
AssuredPartners 3.609% (LIBOR01M + 3.50%) 2/12/27 • | 306,585 | 303,567 | |
Avantor Tranche B-4 3.25% (LIBOR01M + 2.25%) 11/8/27 • | 1,605,975 | 1,608,585 | |
Ball Metalpack Finco 2nd Lien 9.75% (LIBOR03M + 8.75%) 7/31/26 • | 213,000 | 202,350 |
18 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Bausch Health 3.109% (LIBOR01M + 3.00%) 6/2/25 • | 620,445 | $619,072 | |
Berry Global Tranche Z 1.898% (LIBOR03M + 1.75%) 7/1/26 • | 1,531,776 | 1,519,689 | |
Blue Ribbon 1st Lien 5.134% (LIBOR03M + 3.00%) 11/15/21 • | 874,896 | 858,218 | |
Boxer Parent 3.859% (LIBOR01M + 3.75%) 10/2/25 • | 898,321 | 895,514 | |
Buckeye Partners Tranche B 1st Lien 2.359% (LIBOR03M + 2.25%) 11/1/26 • | 605,361 | 602,881 | |
BW Gas & Convenience Holdings Tranche B TBD 3/17/28 X | 2,140,000 | 2,142,675 | |
BWay Holding 3.443% (LIBOR03M + 3.25%) 4/3/24 • | 479,867 | 469,927 | |
Caesars Resort Collection Tranche B-1 4.609% (LIBOR01M + 4.50%) 7/21/25 • | 1,099,475 | 1,102,979 | |
Calpine | |||
2.11% (LIBOR01M + 2.00%) 4/5/26 • | 589,500 | 583,973 | |
2.61% (LIBOR01M + 2.50%) 12/2/27 • | 467,687 | 465,601 | |
Camelot US Acquisition l 4.00% (LIBOR01M + 3.00%) 10/30/26 • | 1,236,900 | 1,236,900 | |
Carnival 8.50% (LIBOR01M + 7.50%) 6/30/25 • | 942,875 | 975,876 | |
Change Healthcare Holdings 3.50% (LIBOR01M + 2.50%) 3/1/24 • | 486,501 | 486,440 | |
Charter Communications Operating Tranche B2 1.87% (LIBOR01M + 1.75%) 2/1/27 • | 1,149,663 | 1,145,135 | |
Chemours Tranche B-2 1.86% (LIBOR01M + 1.75%) 4/3/25 • | 1,812,416 | 1,777,074 | |
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) 4/18/24 • | 1,350,923 | 1,335,818 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Connect US Finco 4.50% (LIBOR01M + 3.50%) 12/11/26 • | 1,295,910 | $1,292,670 | |
Core & Main 3.75% (LIBOR03M + 2.75%) 8/1/24 • | 1,464,586 | 1,462,299 | |
CSC Holdings | |||
2.356% (LIBOR01M + 2.25%) 7/17/25 • | 779,625 | 770,075 | |
2.606% (LIBOR01M + 2.50%) 4/15/27 • | 782,100 | 774,489 | |
DaVita Tranche B-1 1.859% (LIBOR01M + 1.75%) 8/12/26 • | 1,616,436 | 1,609,140 | |
EFS Cogen Holdings I Tranche B 4.50% (LIBOR03M + 3.50%) 10/1/27 • | 1,233,419 | 1,230,885 | |
Ensemble RCM 3.962% (LIBOR03M + 3.75%) 8/3/26 • | 776,180 | 776,019 | |
Epicor Software Tranche C 4.00% (LIBOR01M + 3.25%) 7/30/27 • | 2,582,025 | 2,578,529 | |
Epicor Software 2nd Lien 8.75% (LIBOR01M + 7.75%) 7/31/28 • | 1,500,000 | 1,555,000 | |
ESH Hospitality 2.109% (LIBOR01M + 2.00%) 9/18/26 • | 838,702 | 834,276 | |
ExamWorks Group Tranche B-1 4.25% (LIBOR03M + 3.25%) 7/27/23 • | 1,955,663 | 1,957,584 | |
Frontier Communications 5.75% (LIBOR01M + 4.75%) 10/8/21 • | 2,660,000 | 2,668,312 | |
Garda World Security Tranche B-2 4.25% (LIBOR01M + 4.25%) 10/30/26 • | 383,943 | 384,583 | |
Gardner Denver Tranche B-1 1.859% (LIBOR03M + 1.75%) 3/1/27 • | 1,483,748 | 1,468,910 | |
Gentiva Health Services Tranche B-1 2.875% (LIBOR01M + 2.75%) 7/2/25 • | 1,703,208 | 1,696,111 | |
Global Medical Response 5.75% (LIBOR03M + 4.75%) 10/2/25 • | 3,840,375 | 3,833,773 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Granite US Holdings Tranche B 4.203% (LIBOR03M + 4.00%) 9/30/26 • | 275,522 | $275,177 | |
Gray Television Tranche B-2 2.365% (LIBOR01M + 2.25%) 2/7/24 • | 1,592,396 | 1,584,806 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 2,625,162 | 2,636,976 | |
HCA Tranche B-12 1.859% (LIBOR01M + 1.75%) 3/13/25 • | 2,989,812 | 2,993,083 | |
Heartland Dental 3.609% (LIBOR01M + 3.50%) 4/30/25 • | 1,601,771 | 1,578,856 | |
Hilton Worldwide Finance Tranche B-2 1.868% (LIBOR01M + 1.75%) 6/22/26 • | 188,754 | 187,268 | |
HUB International 2.965% (LIBOR03M + 2.75%) 4/25/25 • | 1,945,000 | 1,919,906 | |
Informatica 3.359% (LIBOR01M + 3.25%) 2/25/27 • | 2,496,600 | 2,480,217 | |
Informatica 2nd Lien 7.125% 2/25/25 • | 1,935,000 | 1,982,568 | |
Invictus 1st Lien 3.109% (LIBOR01M + 3.00%) 3/28/25 • | 593,643 | 588,449 | |
IQVIA Tranche B-3 1.953% (LIBOR03M + 1.75%) 6/11/25 • | 1,444,162 | 1,438,025 | |
Iron Mountain Information Management Tranche B 1.859% (LIBOR01M + 1.75%) 1/2/26 • | 1,919,580 | 1,896,785 | |
JBS USA LUX 2.109% (LIBOR01M + 2.00%) 5/1/26 • | 382,200 | 379,955 | |
Kenan Advantage Group Tranche B TBD 3/12/26 X | 942,637 | 939,987 | |
LS Group OpCo Acquisition 4.25% (LIBOR03M + 3.50%) 11/2/27 • | 1,610,962 | 1,616,332 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Milano Acquisition Tranche B 4.75% (LIBOR03M + 4.00%) 10/1/27 • | 2,279,287 | $2,273,589 | |
Mileage Plus Holdings 6.25% (LIBOR03M + 5.25%) 6/21/27 • | 2,150,000 | 2,288,705 | |
Numericable US Tranche B-11 2.859% (LIBOR01M + 2.75%) 7/31/25 • | 858,434 | 842,696 | |
Numericable US Tranche B-13 4.198% (LIBOR03M + 4.00%) 8/14/26 • | 347,013 | 346,362 | |
ON Semiconductor Tranche B-4 2.109% (LIBOR01M + 2.00%) 9/19/26 • | 1,682,807 | 1,681,651 | |
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 • | 1,247,755 | 1,243,700 | |
Peraton Tranche B 1st Lien 4.50% (LIBOR03M + 3.75%) 2/1/28 • | 775,389 | 775,712 | |
PG&E Tranche B 3.50% (LIBOR03M + 3.00%) 6/23/25 • | 2,481,250 | 2,482,801 | |
PQ 4.00% (LIBOR03M + 3.00%) 2/7/27 • | 410,862 | 411,632 | |
PQ Tranche B 2.462% (LIBOR03M + 2.25%) 2/8/27 • | 1,463,676 | 1,455,443 | |
Prestige Brands Tranche B-4 2.115% (LIBOR01M + 2.00%) 1/26/24 • | 741,231 | 741,694 | |
Pretium PKG Holdings 1st Lien 4.75% (LIBOR06M + 4.00%) 11/5/27 • | 1,147,125 | 1,147,603 | |
Prime Security Services Borrower Tranche B-1 3.50% (LIBOR01M + 2.75%) 9/23/26 • | 826,987 | 824,034 | |
RealPage TBD 2/18/28 X | 2,000,000 | 1,992,916 | |
Reynolds Group Holdings Tranche B-2 3.359% (LIBOR01M + 3.25%) 2/5/26 • | 912,713 | 903,870 |
20 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
RP Crown Parent Tranche B-1 4.00% (LIBOR01M + 3.00%) 2/2/26 • | 1,895,675 | $1,899,229 | |
Russell Investments US Institutional Holdco 4.00% (LIBOR06M + 3.00%) 5/30/25 • | 447,494 | 445,928 | |
Ryan Specialty Group Tranche B-1 3.75% (LIBOR01M + 3.00%) 9/1/27 • | 1,144,250 | 1,147,111 | |
Scientific Games International Tranche B-5 2.859% (LIBOR01M + 2.75%) 8/14/24 • | 2,420,768 | 2,377,194 | |
Sinclair Television Group Tranche B 2.36% (LIBOR01M + 2.25%) 1/3/24 • | 1,011,310 | 1,006,759 | |
Sinclair Television Group Tranche B-3 TBD 3/10/28 • | 800,000 | 796,000 | |
Solenis International 1st Lien 4.19% (LIBOR03M + 4.00%) 6/26/25 • | 1,177,665 | 1,175,826 | |
Spirit Aerosystems 6.00% (LIBOR01M + 5.25%) 1/15/25 • | 1,491,262 | 1,504,311 | |
SS&C Technologies Tranche B-3 1.859% (LIBOR01M + 1.75%) 4/16/25 • | 601,615 | 596,351 | |
SS&C Technologies Tranche B-4 1.859% (LIBOR01M + 1.75%) 4/16/25 • | 449,198 | 445,295 | |
Stars Group Holdings 3.703% (LIBOR03M + 3.50%) 7/10/25 • | 398,689 | 399,935 | |
Syncsort Tranche B 1st Lien TBD 3/20/28 X | 2,740,000 | 2,734,862 | |
Tecta America 4.609% (LIBOR01M + 4.50%) 11/20/25 • | 486,604 | 484,171 | |
Telenet Financing Tranche AR 2.106% (LIBOR01M + 2.00%) 4/30/28 • | 1,480,000 | 1,463,465 | |
Terrier Media Buyer Tranche B 3.609% (LIBOR01M + 3.50%) 12/17/26 • | 934,199 | 927,119 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Titan Acquisition 3.267% (LIBOR03M + 3.00%) 3/28/25 • | 138,880 | $136,363 | |
Transdigm Tranche F 2.359% (LIBOR01M + 2.25%) 12/9/25 • | 1,754,464 | 1,720,173 | |
TricorBraun | |||
0.608% (LIBOR06M + 3.25%) 3/3/28 • | 6,060 | 6,014 | |
3.75% (LIBOR06M + 3.25%) 3/3/28 • | 808,210 | 802,085 | |
UKG 4.00% (LIBOR03M + 3.25%) 5/4/26 • | 6,462,566 | 6,467,109 | |
Ultimate Software Group 1st Lien 3.859% (LIBOR01M + 3.75%) 5/4/26 • | 3,965,424 | 3,965,150 | |
United Rentals (North America) 1.859% (LIBOR01M + 1.75%) 10/31/25 • | 121,875 | 122,408 | |
USI 3.453% (LIBOR03M + 3.25%) 12/2/26 • | 342,734 | 339,796 | |
USI Tranche B 3.203% (LIBOR03M + 3.00%) 5/16/24 • | 2,840,411 | 2,811,246 | |
USIC Holdings Tranche B 4.00% (LIBOR01M + 3.00%) 12/8/23 • | 398,264 | 397,186 | |
Vertical Midco Tranche B 4.478% (LIBOR03M + 4.25%) 7/30/27 • | 2,213,324 | 2,220,701 | |
Vistra Operations 1.86% (LIBOR01M + 1.75%) 12/31/25 • | 1,975,663 | 1,964,076 | |
Whole Earth Brands 5.50% (LIBOR03M + 4.50%) 2/2/28 • | 1,380,000 | 1,373,100 | |
Zekelman Industries 2.11% (LIBOR01M + 2.00%) 1/24/27 • | 543,634 | 537,631 | |
Total Loan Agreements (cost $138,406,468) | 139,541,577 | ||
Sovereign Bonds — 2.61%Δ | |||
Albania — 0.02% | |||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 350,000 | 437,990 |
437,990 |
NQ-VIP-866 [3/21] 5/21 (1643695) 21
Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Angola — 0.02% | |||
Angolan Government International Bonds | |||
144A 8.25% 5/9/28 # | 306,000 | $294,479 | |
8.25% 5/9/28 | 353,000 | 339,710 | |
634,189 | |||
Argentina — 0.02% | |||
Argentine Republic Government International Bonds | |||
0.125% 7/9/30 ~ | 1,460,820 | 491,639 | |
0.125% 7/9/35 ~ | 318,160 | 95,610 | |
1.00% 7/9/29 | 124,040 | 44,717 | |
631,966 | |||
Armenia — 0.01% | |||
Republic of Armenia International Bond 144A 3.60% 2/2/31 # | 300,000 | 275,892 | |
275,892 | |||
Azerbaijan — 0.02% | |||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 563,000 | 557,926 | |
557,926 | |||
Bahrain — 0.02% | |||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 600,000 | 668,280 | |
668,280 | |||
Bermuda — 0.02% | |||
Bermuda Government International Bond 144A 2.375% 8/20/30 # | 700,000 | 687,750 | |
687,750 | |||
Brazil — 0.02% | |||
Brazilian Government International Bonds | |||
3.875% 6/12/30 | 200,000 | 194,372 | |
4.75% 1/14/50 | 525,000 | 478,049 | |
672,421 | |||
Chile — 0.03% | |||
Chile Government International Bonds 3.50% 1/25/50 | 701,000 | 715,511 | |
715,511 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Colombia — 0.04% | |||
Colombia Government International Bonds | |||
4.00% 2/26/24 | 732,000 | $779,232 | |
5.00% 6/15/45 | 442,000 | 472,569 | |
1,251,801 | |||
Costa Rica — 0.01% | |||
Costa Rica Government International Bond 144A 7.158% 3/12/45 # | 200,000 | 195,202 | |
195,202 | |||
Dominican Republic — 0.09% | |||
Dominican Republic International Bonds | |||
144A 4.50% 1/30/30 # | 544,000 | 550,800 | |
144A 4.875% 9/23/32 # | 300,000 | 306,750 | |
144A 5.30% 1/21/41 # | 300,000 | 295,875 | |
144A 6.00% 7/19/28 # | 1,176,000 | 1,327,704 | |
2,481,129 | |||
Ecuador — 0.02% | |||
Ecuador Government International Bonds | |||
144A 0.50% 7/31/30 #, ~ | 233,793 | 137,356 | |
144A 0.50% 7/31/35 #, ~ | 612,686 | 281,836 | |
144A 0.50% 7/31/40 #, ~ | 280,799 | 122,147 | |
144A 6.61% 7/31/30 #, ^ | 66,180 | 26,803 | |
568,142 | |||
Egypt — 0.31% | |||
Egypt Government International Bonds | |||
144A 3.875% 2/16/26 # | 300,000 | 289,950 | |
144A 5.577% 2/21/23 # | 5,915,000 | 6,170,557 | |
144A 5.75% 5/29/24 # | 475,000 | 499,467 | |
7.903% 2/21/48 | 616,000 | 581,791 | |
144A 8.70% 3/1/49 # | 1,079,000 | 1,084,691 | |
8,626,456 |
22 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
El Salvador — 0.02% | |||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 609,000 | $546,577 | |
546,577 | |||
Gabon — 0.01% | |||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 275,000 | 266,421 | |
266,421 | |||
Ghana — 0.02% | |||
Ghana Government International Bond 144A 7.875% 3/26/27 # | 456,000 | 465,542 | |
465,542 | |||
Guatemala — 0.02% | |||
Guatemala Government Bond 144A 4.875% 2/13/28 # | 387,000 | 427,635 | |
427,635 | |||
Honduras — 0.02% | |||
Honduras Government International Bond 144A 5.625% 6/24/30 # | 600,000 | 630,000 | |
630,000 | |||
Indonesia — 0.20% | |||
Indonesia Government International Bond 144A 4.625% 4/15/43 # | 230,000 | 255,831 | |
Indonesia Treasury Bond 6.125% 5/15/28 | IDR | 79,726,000,000 | 5,329,759 |
5,585,590 | |||
Ivory Coast — 0.04% | |||
Ivory Coast Government International Bond | |||
144A 4.875% 1/30/32 # | EUR | 200,000 | 229,243 |
144A 6.125% 6/15/33 # | 882,000 | 904,094 | |
1,133,337 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Jordan — 0.01% | |||
Jordan Government International Bond 144A 5.75% 1/31/27 # | 244,000 | $256,329 | |
256,329 | |||
Kenya — 0.02% | |||
Kenya Government International Bond 144A 8.00% 5/22/32 # | 400,000 | 425,818 | |
425,818 | |||
Lebanon — 0.01% | |||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 1,351,000 | 166,005 | |
166,005 | |||
Malaysia — 0.19% | |||
Malaysia Government Bond 3.955% 9/15/25 | MYR | 21,443,000 | 5,449,723 |
5,449,723 | |||
Mexico — 0.06% | |||
Mexico Government International Bond 4.60% 2/10/48 | 378,000 | 388,567 | |
Mexico Government International Bonds 4.50% 4/22/29 | 1,140,000 | 1,266,101 | |
1,654,668 | |||
Mongolia — 0.03% | |||
Mongolia Government International Bond 144A 5.625% 5/1/23 # | 769,000 | 806,358 | |
806,358 | |||
Morocco — 0.02% | |||
Morocco Government International Bonds | |||
144A 1.375% 3/30/26 # | EUR | 300,000 | 354,424 |
144A 2.375% 12/15/27 # | 200,000 | 193,971 | |
548,395 | |||
Nigeria — 0.02% | |||
Nigeria Government International Bond 144A 7.875% 2/16/32 # | 652,000 | 673,356 | |
673,356 |
NQ-VIP-866 [3/21] 5/21 (1643695) 23
Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
North Macedonia — 0.01% | |||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 250,000 | $322,117 |
322,117 | |||
Oman — 0.03% | |||
Oman Government International Bond 144A 6.75% 1/17/48 # | 630,000 | 603,175 | |
Oman Government International Bonds 144A 7.00% 1/25/51 # | 200,000 | 197,855 | |
801,030 | |||
Pakistan — 0.01% | |||
Pakistan Government International Bond 144A 7.375% 4/8/31 # | 200,000 | 204,500 | |
204,500 | |||
Panama — 0.06% | |||
Panama Government International Bonds | |||
144A 3.75% 4/17/26 # | 1,411,000 | 1,517,340 | |
4.50% 5/15/47 | 218,000 | 242,169 | |
1,759,509 | |||
Paraguay — 0.29% | |||
Paraguay Government International Bonds | |||
144A 2.739% 1/29/33 # | 224,000 | 216,160 | |
144A 4.95% 4/28/31 # | 6,500,000 | 7,377,565 | |
144A 5.40% 3/30/50 # | 445,000 | 503,522 | |
8,097,247 | |||
Peru — 0.03% | |||
Peruvian Government International Bonds | |||
2.844% 6/20/30 | 644,000 | 655,444 | |
5.625% 11/18/50 | 182,000 | 241,549 | |
896,993 | |||
Philippines — 0.04% | |||
Philippine Government International Bond 2.457% 5/5/30 | 200,000 | 202,650 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Philippines (continued) | |||
Philippine Government International Bonds 5.50% 3/30/26 | 762,000 | $920,175 | |
1,122,825 | |||
Qatar — 0.10% | |||
Qatar Government International Bonds | |||
144A 3.40% 4/16/25 # | 320,000 | 348,200 | |
144A 4.00% 3/14/29 # | 1,205,000 | 1,370,892 | |
144A 4.40% 4/16/50 # | 869,000 | 1,010,712 | |
2,729,804 | |||
Republic of Vietnam — 0.01% | |||
Vietnam Government International Bond 144A 4.80% 11/19/24 # | 200,000 | 224,478 | |
224,478 | |||
Romania — 0.19% | |||
Romanian Government International Bonds | |||
144A 2.625% 12/2/40 # | EUR | 226,000 | 263,528 |
144A 3.00% 2/14/31 # | 4,540,000 | 4,550,192 | |
144A 3.375% 1/28/50 # | EUR | 478,000 | 588,640 |
5,402,360 | |||
Russia — 0.07% | |||
Russian Foreign Bond - Eurobonds | |||
144A 4.25% 6/23/27 # | 1,400,000 | 1,534,929 | |
144A 5.25% 6/23/47 # | 400,000 | 475,650 | |
2,010,579 | |||
Saudi Arabia — 0.05% | |||
Saudi Government International Bonds | |||
144A 2.90% 10/22/25 # | 500,000 | 530,901 | |
144A 3.625% 3/4/28 # | 730,000 | 794,747 | |
1,325,648 |
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(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Senegal — 0.03% | |||
Senegal Government International Bond 144A 6.75% 3/13/48 # | 873,000 | $832,790 | |
832,790 | |||
Serbia — 0.03% | |||
Serbia International Bonds | |||
144A 2.125% 12/1/30 # | 210,000 | 194,166 | |
144A 3.125% 5/15/27 # | EUR | 400,000 | 520,469 |
714,635 | |||
South Africa — 0.01% | |||
Republic of South Africa Government International Bond 5.75% 9/30/49 | 413,000 | 381,325 | |
381,325 | |||
Sri Lanka — 0.02% | |||
Sri Lanka Government International Bond 144A 6.20% 5/11/27 # | 742,000 | 457,881 | |
Sri Lanka Government International Bonds 144A 7.55% 3/28/30 # | 200,000 | 123,638 | |
581,519 | |||
Trinidad and Tobago — 0.01% | |||
Trinidad & Tobago Government International Bond 144A 4.50% 6/26/30 # | 250,000 | 253,440 | |
253,440 | |||
Turkey — 0.04% | |||
Turkey Government International Bonds | |||
5.75% 5/11/47 | 220,000 | 179,317 | |
7.625% 4/26/29 | 922,000 | 950,471 | |
1,129,788 | |||
Ukraine — 0.11% | |||
Ukraine Government International Bonds | |||
144A 7.75% 9/1/26 # | 1,434,000 | 1,558,904 | |
144A 9.75% 11/1/28 # | 1,220,000 | 1,424,404 | |
2,983,308 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Uruguay — 0.09% | |||
Uruguay Government International Bonds | |||
4.375% 1/23/31 | 2,017,110 | $2,345,203 | |
4.50% 8/14/24 | 120,000 | 130,203 | |
2,475,406 | |||
Uzbekistan — 0.04% | |||
Republic of Uzbekistan Bond 144A 5.375% 2/20/29 # | 1,094,000 | 1,199,330 | |
1,199,330 | |||
Total Sovereign Bonds (cost $72,083,087) | 72,889,040 | ||
Supranational Banks — 0.07% | |||
Banco Latinoamericano de Comercio Exterior 144A 2.375% 9/14/25 # | 300,000 | 306,867 | |
Banque Ouest Africaine de Developpement | |||
144A 2.75% 1/22/33 # | 300,000 | 363,506 | |
144A 4.70% 10/22/31 # | 508,000 | 542,831 | |
144A 5.00% 7/27/27 # | 589,000 | 652,901 | |
Total Supranational Banks (cost $1,745,707) | 1,866,105 | ||
US Treasury Obligations — 13.09% | |||
US Treasury Bonds | |||
1.375% 11/15/40 | 28,015,000 | 23,839,014 | |
1.375% 8/15/50 | 2,335,000 | 1,822,759 | |
1.625% 11/15/50 | 16,255,000 | 13,550,067 | |
1.875% 2/15/51 | 32,805,000 | 29,119,565 | |
US Treasury Inflation Indexed Notes 0.125% 7/15/30 | 45,605,175 | 49,542,425 | |
US Treasury Notes | |||
0.75% 3/31/26 | 66,340,000 | 65,767,300 | |
0.75% 1/31/28 | 2,265,000 | 2,171,923 | |
1.125% 2/15/31 | 176,120,000 | 166,419,645 | |
US Treasury Strip Principal 2.26% 5/15/44 ^ | 23,660,000 | 13,474,432 | |
Total US Treasury Obligations (cost $378,077,760) | 365,707,130 |
NQ-VIP-866 [3/21] 5/21 (1643695) 25
Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
Number of shares | Value (US $) | ||
Common Stock — 0.00% | |||
Communications — 0.00% | |||
Century Communications = | 2,500,000 | $0 | |
Total Common Stock (cost $75,683) | 0 | ||
Preferred Stock — 0.01% | |||
USB Realty 144A 1.388% (LIBOR03M + 1.147%) #, • | 300,000 | 233,250 | |
Total Preferred Stock (cost $242,388) | 233,250 | ||
Short-Term Investments — 6.60% | |||
Money Market Mutual Funds — 6.60% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.01%) | 46,090,396 | 46,090,396 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 46,090,396 | 46,090,396 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 46,090,396 | 46,090,396 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 46,090,396 | 46,090,396 | |
Total Short-Term Investments (cost $184,361,584) | 184,361,584 | ||
Total Value of Securities—102.82% (cost $2,833,278,641) | 2,871,174,464 | ||
Liabilities Net of Receivables and Other Assets—(2.82%) | (78,834,955) | ||
Net Assets Applicable to 250,733,304 Shares Outstanding—100.00% | $2,792,339,509 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
• | 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. |
# | 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 $635,964,797, which represents 22.78% 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. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
* | PIK. 100% of the income received was in the form of both cash and par. |
* | PIK. 100% of the income received was in the form of principal. |
‡ | Non-income producing security. Security is currently in default. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
X | This loan will settle after March 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
Δ | Securities have been classified by country of origin. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at March 31, 2021. |
26 NQ-VIP-866 [3/21] 5/21 (1643695)
(Unaudited)
Unfunded Loan 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 unfunded loan commitment was outstanding at March 31, 2021:
Borrower | Principal Amount | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
Grupo Aeromexico 13.5% (LIBOR03M + 12.5%) 8/19/22 | $2,033,874 | $2,033,874 | $2,033,874 | $— | ||||
Grupo Aeromexico 9% (LIBOR03M + 8%) 12/31/21 | 2,500,000 | 2,500,000 | 2,500,000 | — | ||||
Peraton TBD 2/24/28 | 1,364,611 | 1,357,788 | 1,365,180 | 7,392 | ||||
TricorBraun 0.50% (LIBOR04M + 0.50%) 3/3/28 | 175,731 | 175,731 | 174,399 | (1,332) |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at March 31, 2021:
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
CITI | TRY | (36,230,000) | USD | 4,327,261 | 4/1/21 | $— | $(57,116) | |||||
JPMCB | EUR | (2,765,000) | USD | 3,299,831 | 4/28/21 | 55,432 | — | |||||
Total Foreign Currency Exchange Contracts | $55,432 | $(57,116) |
Futures Contracts Exchange-Traded | |||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Variation Margin Due from (Due to) Brokers | ||||||
(21) | US Treasury 10 yr Ultra Notes | $(3,017,437) | $(3,123,534) | 6/21/21 | $106,097 | $7,219 | |||||
(293) | US Treasury 10 yr Notes | (38,364,688) | (38,643,231) | 6/21/21 | 278,543 | 73,250 | |||||
Total Futures Contracts | $(41,766,765) | $384,640 | $80,469 |
Swap Contracts
CDS Contracts1 | ||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | ||||||
Over-The-Counter: | ||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||
JPMCB-Mexico 10.375% Baa2 6/20/26-Quarterly | 3,881,000 | 1.000% | $27,243 | $30,329 | $(3,086) | $— | ||||||
JPMCB-Republic of Colombia 3.6% Baa2 6/20/26-Quarterly | 3,868,000 | 1.000% | 68,296 | 68,296 | — | — | ||||||
$95,539 | $98,625 | $(3,086) | $— |
NQ-VIP-866 [3/21] 5/21 (1643695) 27
Schedule of investments
Delaware VIP® Trust — Delaware VIP Diversified Income Series (Unaudited)
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 these financial statements. The notional amounts and foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin are reflected in the Fund’s net assets.
1 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
2 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
3 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(7,693). |
Summary of abbreviations: |
BB – Barclays Bank |
CITI – Citigroup |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
DB – Deutsche Bank |
DIFC – Dubai International Financial Centre |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
JPM – JPMorgan |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
PIK – Payment-in-kind |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
TBD – To be determined |
yr – Year |
Summary of currencies: |
EUR – European Monetary Unit |
IDR – Indonesia Rupiah |
MYR – Malaysia Ringgit |
TRY – Turkish Lira |
USD – US Dollar |
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