Schedule of investments
Delaware VIP® Trust — Delaware VIP Fund for Income Series
March 31, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds — 85.41% | |||
Banking — 2.72% | |||
Barclays 6.125% 12/15/25 μ, ψ | 465,000 | $508,361 | |
Deutsche Bank 6.00% 10/30/25 μ, ψ | 800,000 | 814,000 | |
Popular 6.125% 9/14/23 | 555,000 | 601,423 | |
SVB Financial Group 4.10% 2/15/31 μ, ψ | 715,000 | 717,235 | |
2,641,019 | |||
Basic Industry — 9.07% | |||
Allegheny Technologies | |||
5.875% 12/1/27 | 180,000 | 186,638 | |
7.875% 8/15/23 | 475,000 | 516,470 | |
Arcosa 144A 4.375% 4/15/29 # | 205,000 | 205,000 | |
Avient 144A 5.75% 5/15/25 # | 457,000 | 486,134 | |
Blue Cube Spinco 10.00% 10/15/25 | 65,000 | 68,656 | |
Chemours 144A 5.75% 11/15/28 # | 485,000 | 511,573 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 440,000 | 472,450 | |
144A 7.25% 4/1/23 # | 300,000 | 305,708 | |
144A 7.50% 4/1/25 # | 520,000 | 537,550 | |
Freeport-McMoRan 5.45% 3/15/43 | 578,000 | 696,409 | |
Hudbay Minerals 144A 6.125% 4/1/29 # | 215,000 | 230,050 | |
INEOS Quattro Finance 2 144A 3.375% 1/15/26 # | 490,000 | 490,612 | |
M/I Homes 4.95% 2/1/28 | 613,000 | 635,987 | |
Mattamy Group 144A 5.25% 12/15/27 # | 405,000 | 424,997 | |
New Gold 144A 7.50% 7/15/27 # | 455,000 | 472,665 | |
Novelis | |||
144A 4.75% 1/30/30 # | 130,000 | 134,235 | |
144A 5.875% 9/30/26 # | 95,000 | 99,275 | |
Olin 5.00% 2/1/30 | 240,000 | 251,952 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 860,000 | 950,300 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
United States Steel 6.875% 3/1/29 | 315,000 | $322,481 | |
Vedanta Resources Finance II 144A 8.95% 3/11/25 # | 225,000 | 215,300 | |
Venator Finance 144A 5.75% 7/15/25 # | 335,000 | 325,788 | |
VM Consolidated 144A 5.50% 4/15/29 # | 270,000 | 277,001 | |
8,817,231 | |||
Capital Goods — 5.05% | |||
ARD Finance PIK 144A 6.50% 6/30/27 #, > | 425,000 | 446,781 | |
Bombardier | |||
144A 7.50% 12/1/24 # | 275,000 | 275,172 | |
144A 7.875% 4/15/27 # | 240,000 | 235,733 | |
Granite US Holdings 144A 11.00% 10/1/27 # | 435,000 | 491,550 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 475,000 | 466,094 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 475,000 | 502,906 | |
Terex | |||
144A 5.00% 5/15/29 # | 545,000 | 564,865 | |
144A 5.625% 2/1/25 # | 265,000 | 272,455 | |
Titan Acquisition 144A 7.75% 4/15/26 # | 180,000 | 187,416 | |
TransDigm 144A 6.25% 3/15/26 # | 706,000 | 749,387 | |
Vertical Holdco 144A 7.625% 7/15/28 # | 435,000 | 468,549 | |
Welbilt 9.50% 2/15/24 | 238,000 | 245,586 | |
4,906,494 | |||
Communications — 7.34% | |||
Altice Financing 144A 5.00% 1/15/28 # | 320,000 | 316,400 | |
Altice France Holding 144A 6.00% 2/15/28 # | 705,000 | 695,937 | |
Cincinnati Bell 144A 7.00% 7/15/24 # | 300,000 | 310,125 | |
Connect Finco 144A 6.75% 10/1/26 # | 590,000 | 629,111 |
NQ-FLA [3/21] 5/21 (1643639) 1
Schedule of investments
Delaware VIP® Trust — Delaware VIP Fund for Income Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Consolidated Communications | |||
144A 5.00% 10/1/28 # | 220,000 | $222,266 | |
144A 6.50% 10/1/28 # | 220,000 | 237,959 | |
Frontier Communications | |||
144A 5.875% 10/15/27 # | 265,000 | 281,397 | |
144A 6.75% 5/1/29 # | 205,000 | 216,598 | |
LCPR Senior Secured Financing DAC 144A 6.75% 10/15/27 # | 310,000 | 330,894 | |
Level 3 Financing 144A 4.25% 7/1/28 # | 535,000 | 541,586 | |
Sable International Finance 144A 5.75% 9/7/27 # | 320,000 | 338,200 | |
Sprint | |||
7.625% 3/1/26 | 450,000 | 551,797 | |
7.875% 9/15/23 | 625,000 | 715,156 | |
Sprint Capital 8.75% 3/15/32 | 175,000 | 258,956 | |
T-Mobile USA | |||
2.625% 4/15/26 | 260,000 | 265,375 | |
3.375% 4/15/29 | 260,000 | 262,438 | |
3.50% 4/15/31 | 150,000 | 151,313 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 785,000 | 806,956 | |
7,132,464 | |||
Consumer Cyclical — 11.75% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 410,000 | 448,823 | |
Boyd Gaming 4.75% 12/1/27 | 505,000 | 515,658 | |
Caesars Entertainment | |||
144A 6.25% 7/1/25 # | 290,000 | 309,508 | |
144A 8.125% 7/1/27 # | 245,000 | 270,492 | |
Carnival | |||
144A 5.75% 3/1/27 # | 245,000 | 251,738 | |
144A 7.625% 3/1/26 # | 1,225,000 | 1,317,549 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Ford Motor | |||
8.50% 4/21/23 | 350,000 | $390,687 | |
9.00% 4/22/25 | 110,000 | 133,364 | |
Ford Motor Credit | |||
3.37% 11/17/23 | 265,000 | 271,956 | |
3.375% 11/13/25 | 260,000 | 264,745 | |
4.542% 8/1/26 | 270,000 | 286,051 | |
5.584% 3/18/24 | 470,000 | 507,901 | |
General Motors Financial 5.70% 9/30/30 μ, ψ | 170,000 | 184,025 | |
Jaguar Land Rover Automotive | |||
144A 4.50% 10/1/27 # | 200,000 | 190,299 | |
144A 5.875% 1/15/28 # | 255,000 | 259,303 | |
L Brands | |||
6.875% 11/1/35 | 295,000 | 352,021 | |
6.95% 3/1/33 | 330,000 | 368,775 | |
144A 9.375% 7/1/25 # | 200,000 | 249,250 | |
Levi Strauss & Co. 144A 3.50% 3/1/31 # | 517,000 | 499,551 | |
MGM Growth Properties Operating Partnership 144A 3.875% 2/15/29 # | 385,000 | 384,230 | |
MGM Resorts International 4.75% 10/15/28 | 445,000 | 460,462 | |
Murphy Oil USA 144A 3.75% 2/15/31 # | 450,000 | 443,160 | |
New Red Finance 144A 3.50% 2/15/29 # | 305,000 | 297,184 | |
PetSmart 144A 7.75% 2/15/29 # | 540,000 | 585,198 | |
Rent-A-Center 144A 6.375% 2/15/29 # | 450,000 | 478,125 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 535,000 | 538,344 | |
Scientific Games International | |||
144A 7.25% 11/15/29 # | 230,000 | 249,939 | |
144A 8.25% 3/15/26 # | 460,000 | 494,134 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 295,000 | 298,319 |
2 NQ-FLA [3/21] 5/21 (1643639)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Station Casinos 144A 5.00% 10/1/25 # | 123,000 | $124,768 | |
11,425,559 | |||
Consumer Non-Cyclical — 4.04% | |||
Chobani 144A 4.625% 11/15/28 # | 305,000 | 311,862 | |
Energizer Holdings 144A 4.375% 3/31/29 # | 380,000 | 381,900 | |
JBS USA LUX 144A 5.50% 1/15/30 # | 625,000 | 692,969 | |
Kraft Heinz Foods | |||
5.00% 7/15/35 | 240,000 | 276,652 | |
5.20% 7/15/45 | 400,000 | 463,619 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 495,000 | 531,110 | |
Post Holdings | |||
144A 5.50% 12/15/29 # | 250,000 | 268,019 | |
144A 5.75% 3/1/27 # | 400,000 | 421,454 | |
United Natural Foods 144A 6.75% 10/15/28 # | 540,000 | 577,800 | |
3,925,385 | |||
Energy — 13.06% | |||
Apache | |||
4.75% 4/15/43 | 301,000 | 279,629 | |
4.875% 11/15/27 | 230,000 | 236,095 | |
Ascent Resources Utica Holdings 144A 7.00% 11/1/26 # | 480,000 | 480,600 | |
CNX Resources | |||
144A 6.00% 1/15/29 # | 485,000 | 504,912 | |
144A 7.25% 3/14/27 # | 225,000 | 241,956 | |
Crestwood Midstream Partners | |||
5.75% 4/1/25 | 220,000 | 221,764 | |
144A 6.00% 2/1/29 # | 384,000 | 378,960 | |
DCP Midstream Operating 5.125% 5/15/29 | 685,000 | 729,621 | |
EQM Midstream Partners | |||
144A 4.75% 1/15/31 # | 290,000 | 281,662 | |
144A 6.50% 7/1/27 # | 195,000 | 212,290 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Genesis Energy | |||
5.625% 6/15/24 | 100,000 | $97,938 | |
7.75% 2/1/28 | 375,000 | 375,581 | |
8.00% 1/15/27 | 775,000 | 786,156 | |
Murphy Oil | |||
5.875% 12/1/27 | 391,000 | 383,548 | |
6.375% 7/15/28 | 815,000 | 817,119 | |
NuStar Logistics | |||
5.625% 4/28/27 | 350,000 | 366,789 | |
6.00% 6/1/26 | 267,000 | 288,307 | |
6.375% 10/1/30 | 530,000 | 574,056 | |
Occidental Petroleum | |||
3.00% 2/15/27 | 270,000 | 254,563 | |
3.40% 4/15/26 | 255,000 | 247,924 | |
3.50% 8/15/29 | 260,000 | 244,283 | |
6.125% 1/1/31 | 490,000 | 541,977 | |
6.45% 9/15/36 | 225,000 | 248,684 | |
6.625% 9/1/30 | 340,000 | 382,602 | |
PDC Energy | |||
5.75% 5/15/26 | 588,000 | 610,638 | |
6.125% 9/15/24 | 185,000 | 190,180 | |
Southwestern Energy | |||
7.50% 4/1/26 | 100,000 | 105,952 | |
7.75% 10/1/27 | 455,000 | 487,134 | |
Targa Resources Partners | |||
144A 4.00% 1/15/32 # | 360,000 | 339,037 | |
6.50% 7/15/27 | 535,000 | 582,711 | |
TechnipFMC 144A 6.50% 2/1/26 # | 885,000 | 926,637 | |
Western Midstream Operating 4.75% 8/15/28 | 265,000 | 277,587 | |
12,696,892 | |||
Financial Services — 2.76% | |||
AerCap Holdings 5.875% 10/10/79 μ | 600,000 | 618,180 | |
Air Lease 4.65% 6/15/26 μ, ψ | 450,000 | 445,500 | |
Ally Financial 8.00% 11/1/31 | 330,000 | 460,116 | |
Credit Suisse Group 144A 4.50% 9/3/30 #, μ, ψ | 470,000 | 441,800 | |
UBS Group 144A 4.375% 2/10/31 #, μ, ψ | 730,000 | 721,970 | |
2,687,566 |
NQ-FLA [3/21] 5/21 (1643639) 3
Schedule of investments
Delaware VIP® Trust — Delaware VIP Fund for Income Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Healthcare — 6.48% | |||
Bausch Health 144A 6.25% 2/15/29 # | 685,000 | $729,114 | |
Cheplapharm Arzneimittel 144A 5.50% 1/15/28 # | 425,000 | 442,008 | |
CHS | |||
144A 4.75% 2/15/31 # | 225,000 | 220,084 | |
144A 8.00% 3/15/26 # | 240,000 | 259,752 | |
DaVita 144A 4.625% 6/1/30 # | 405,000 | 413,145 | |
Encompass Health 4.75% 2/1/30 | 330,000 | 340,029 | |
Hadrian Merger Sub 144A 8.50% 5/1/26 # | 504,000 | 524,694 | |
HCA | |||
3.50% 9/1/30 | 170,000 | 171,636 | |
5.375% 2/1/25 | 155,000 | 173,135 | |
5.875% 2/15/26 | 125,000 | 143,437 | |
5.875% 2/1/29 | 255,000 | 297,510 | |
Jaguar Holding II | |||
144A 4.625% 6/15/25 # | 240,000 | 250,783 | |
144A 5.00% 6/15/28 # | 435,000 | 453,596 | |
Ortho-Clinical Diagnostics | |||
144A 7.25% 2/1/28 # | 229,000 | 251,336 | |
144A 7.375% 6/1/25 # | 294,000 | 316,631 | |
Surgery Center Holdings 144A 10.00% 4/15/27 # | 245,000 | 270,572 | |
Tenet Healthcare | |||
144A 6.125% 10/1/28 # | 265,000 | 276,925 | |
6.75% 6/15/23 | 255,000 | 276,649 | |
6.875% 11/15/31 | 443,000 | 494,029 | |
6,305,065 | |||
Insurance — 1.53% | |||
GTCR AP Finance 144A 8.00% 5/15/27 # | 156,000 | 167,895 | |
HUB International 144A 7.00% 5/1/26 # | 461,000 | 479,170 | |
USI 144A 6.875% 5/1/25 # | 821,000 | 837,925 | |
1,484,990 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Media — 6.05% | |||
AMC Networks 4.25% 2/15/29 | 375,000 | $365,156 | |
Beasley Mezzanine Holdings 144A 8.625% 2/1/26 # | 475,000 | 478,563 | |
CCO Holdings | |||
144A 4.50% 8/15/30 # | 875,000 | 892,898 | |
144A 4.50% 5/1/32 # | 120,000 | 121,650 | |
144A 5.375% 6/1/29 # | 365,000 | 391,879 | |
Clear Channel Outdoor Holdings 144A 7.75% 4/15/28 # | 230,000 | 227,901 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 250,000 | 260,544 | |
CSC Holdings 144A 4.625% 12/1/30 # | 900,000 | 886,500 | |
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 484,000 | 493,905 | |
Gray Television | |||
144A 4.75% 10/15/30 # | 275,000 | 273,109 | |
144A 7.00% 5/15/27 # | 210,000 | 228,638 | |
Netflix 4.875% 4/15/28 | 190,000 | 215,247 | |
Nexstar Broadcasting 144A 4.75% 11/1/28 # | 345,000 | 349,281 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 645,000 | 695,262 | |
5,880,533 | |||
Real Estate — 0.10% | |||
Global Net Lease 144A 3.75% 12/15/27 # | 105,000 | 102,466 | |
102,466 | |||
Services — 5.55% | |||
BCPE Ulysses Intermediate 144A PIK 7.75% 4/1/27 #, « | 270,000 | 280,631 | |
Gartner 144A 4.50% 7/1/28 # | 395,000 | 407,838 |
4 NQ-FLA [3/21] 5/21 (1643639)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Services (continued) | |||
Iron Mountain | |||
144A 5.25% 3/15/28 # | 460,000 | $478,687 | |
144A 5.25% 7/15/30 # | 260,000 | 268,593 | |
LBM Acquisition 144A 6.25% 1/15/29 # | 180,000 | 185,625 | |
Legends Hospitality Holding 144A 5.00% 2/1/26 # | 290,000 | 295,438 | |
Prime Security Services Borrower | |||
144A 5.75% 4/15/26 # | 530,000 | 574,149 | |
144A 6.25% 1/15/28 # | 650,000 | 677,560 | |
Sabre GLBL | |||
144A 7.375% 9/1/25 # | 340,000 | 371,552 | |
144A 9.25% 4/15/25 # | 290,000 | 346,188 | |
Tms International Holding 144A 7.25% 8/15/25 # | 310,000 | 316,975 | |
United Rentals North America 5.25% 1/15/30 | 430,000 | 467,485 | |
White Cap Buyer 144A 6.875% 10/15/28 # | 680,000 | 723,224 | |
5,393,945 | |||
Technology — 4.86% | |||
Austin BidCo 144A 7.125% 12/15/28 # | 180,000 | 183,488 | |
Banff Merger Sub 144A 9.75% 9/1/26 # | 530,000 | 565,192 | |
Black Knight InfoServ 144A 3.625% 9/1/28 # | 410,000 | 403,383 | |
BY Crown Parent 144A 4.25% 1/31/26 # | 420,000 | 436,666 | |
Camelot Finance 144A 4.50% 11/1/26 # | 445,000 | 460,929 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 430,000 | 426,777 | |
Go Daddy Operating 144A 3.50% 3/1/29 # | 475,000 | 467,578 | |
Microchip Technology 144A 4.25% 9/1/25 # | 465,000 | 485,907 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
Sensata Technologies 144A 4.00% 4/15/29 # | 575,000 | $586,445 | |
SS&C Technologies 144A 5.50% 9/30/27 # | 665,000 | 709,089 | |
4,725,454 | |||
Transportation — 3.51% | |||
Delta Air Lines 7.375% 1/15/26 | 1,145,000 | 1,340,196 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 310,000 | 340,225 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 215,000 | 243,469 | |
Stena International 144A 6.125% 2/1/25 # | 200,000 | 202,724 | |
United Airlines Holdings 4.875% 1/15/25 | 650,000 | 663,328 | |
VistaJet Malta Finance 144A 10.50% 6/1/24 # | 575,000 | 628,188 | |
3,418,130 | |||
Utilities — 1.54% | |||
Calpine | |||
144A 4.625% 2/1/29 # | 85,000 | 82,942 | |
144A 5.00% 2/1/31 # | 510,000 | 498,525 | |
Edison International 5.375% 3/15/26 μ, ψ | 440,000 | 447,172 | |
PG&E 5.25% 7/1/30 | 440,000 | 466,950 | |
1,495,589 | |||
Total Corporate Bonds (cost $80,145,783) | 83,038,782 | ||
Loan Agreements — 10.25% | |||
Applied Systems 2nd Lien 6.25% (LIBOR03M + 5.50%) 9/19/25 • | 1,470,000 | 1,481,025 | |
Apro 5.00% (LIBOR03M + 4.00%) 11/14/26 • | 483,646 | 483,948 | |
Blue Ribbon 1st Lien 5.137% (LIBOR03M + 3.00%) 11/15/21 • | 116,000 | 113,789 |
NQ-FLA [3/21] 5/21 (1643639) 5
Schedule of investments
Delaware VIP® Trust — Delaware VIP Fund for Income Series
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
BW Gas & Convenience Holdings 6.37% (LIBOR01M + 6.25%) 11/18/24 • | 479,917 | $484,866 | |
Calpine 2.62% (LIBOR01M + 2.50%) 12/2/27 • | 643 | 641 | |
Epicor Software 2nd Lien 8.75% (LIBOR01M + 7.75%) 7/31/28 • | 368,200 | 381,701 | |
Frontier Communications 5.75% (LIBOR01M + 4.75%) 10/8/21 • | 195,000 | 195,609 | |
Global Medical Response 5.75% (LIBOR03M + 4.75%) 10/2/25 • | 733,162 | 731,902 | |
Green Energy Partners Tranche B-1 6.50% (LIBOR03M + 5.50%) 11/13/21 • | 186,202 | 175,495 | |
Green Energy Partners Tranche B-2 6.50% (LIBOR03M + 5.50%) 11/13/21 • | 65,622 | 61,849 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 496,250 | 498,483 | |
Informatica 2nd Lien 7.125% 2/25/25 | 535,000 | 548,152 | |
Milano Acquisition Tranche B TBD 10/1/27 X | 527,000 | 525,683 | |
Peraton Tranche B 1st Lien 4.50% (LIBOR03M + 3.75%) 2/1/28 • | 175,731 | 175,804 | |
Schweitzer-Mauduit International Tranche B TBD 1/27/28 X | 243,000 | 242,393 | |
Solenis International 2nd Lien 8.69% (LIBOR03M + 8.50%) 6/26/26 • | 768,588 | 771,470 | |
Surgery Center Holdings 4.86% (LIBOR01M + 3.25%) 9/2/24 • | 493,417 | 489,716 | |
Syncsort 1st Lien TBD 3/19/29 X | 210,000 | 211,050 | |
Ultimate Software Group 2nd Lien 7.50% (LIBOR03M + 6.75%) 5/3/27 • | 914,000 | 940,277 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Vantage Specialty Chemicals 1st lien TBD 10/28/24 X | 345,000 | $326,169 | |
Vantage Specialty Chemicals 2nd Lien 9.25% (LIBOR03M + 8.25%) 10/27/25 • | 169,000 | 158,464 | |
Verscend Holding Tranche B 4.614% (LIBOR01M + 4.50%) 8/27/25 • | 367,347 | 368,790 | |
Verscend Holding Tranche B TBD 8/27/25 X | 605,000 | 605,000 | |
Total Loan Agreements (cost $9,863,155) | 9,972,276 |
Number of shares | |||
Short-Term Investments — 5.13% | |||
Money Market Mutual Funds — 5.13% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.01%) | 1,245,991 | 1,245,991 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 1,245,991 | 1,245,991 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 1,245,992 | 1,245,992 |
6 NQ-FLA [3/21] 5/21 (1643639)
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 1,245,991 | $1,245,991 | |
Total Short-Term Investments (cost $4,983,965) | 4,983,965 | ||
Total Value of Securities—100.79% (cost $94,992,903) | 97,995,023 | ||
Liabilities Net of Receivables and Other Assets—(0.79%) | (767,767) | ||
Net Assets Applicable to 15,012,396 Shares Outstanding—100.00% | $97,227,256 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2021, the aggregate value of Rule 144A securities was $53,815,496, which represents 55.35% of the Series' net assets. |
> | PIK. 100% of the income received was in the form of cash. |
« | PIK. The first payment of cash and/or principal will be made after October 1, 2021. |
• | 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. |
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. |
Unfunded Loan Commitments
The Fund may invest in floating rate loans. In connection with these investments, the Fund may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. The following unfunded loan commitment were outstanding at March 31, 2021:
Borrower | Principal Amount | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
Peraton TBD 2/24/28 | $309,269 | $307,723 | $309,398 | $1,675 |
Summary of abbreviations: |
DAC – Designated Activity Company |
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 |
PIK – Payment-in-kind |
TBD – To be determined |
USD – US Dollar |
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