Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
September 30, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 2.20% | |||
Freddie Mac REMICs Series 5092 WG 1.00% 4/25/31 | 331,131 | $ 332,965 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2021-DNA1 M1 144A 0.70% (SOFR + 0.65%) 1/25/51 #, • | 67,289 | 67,289 | |
Series 2021-HQA1 M1 144A 0.75% (SOFR + 0.70%) 8/25/33 #, • | 80,762 | 80,790 | |
Series 2021-HQA2 M1 144A 0.75% (SOFR + 0.70%) 12/25/33 #, • | 100,000 | 100,069 | |
Total Agency Collateralized Mortgage Obligations (cost $581,148) | 581,113 | ||
Agency Mortgage-Backed Securities — 7.11% | |||
Fannie Mae S.F. 15 yr | |||
2.50% 8/1/35 | 85,009 | 88,598 | |
2.50% 11/1/35 | 214,461 | 223,908 | |
Fannie Mae S.F. 30 yr | |||
4.50% 1/1/43 | 155,400 | 172,522 | |
4.50% 2/1/44 | 112,920 | 126,857 | |
4.50% 4/1/44 | 124,379 | 139,731 | |
4.50% 11/1/44 | 158,210 | 177,892 | |
5.00% 7/1/47 | 375,487 | 428,888 | |
5.00% 5/1/48 | 181,156 | 200,451 | |
Freddie Mac S.F. 15 yr 1.50% 3/1/36 | 163,001 | 165,082 | |
Freddie Mac S.F. 30 yr 5.00% 8/1/48 | 144,144 | 158,864 | |
Total Agency Mortgage-Backed Securities (cost $1,864,832) | 1,882,793 | ||
Collateralized Debt Obligations — 7.95% | |||
Ballyrock CLO Series 2020-2A A1 144A 1.454% (LIBOR03M + 1.32%, Floor 1.32%) 10/20/31 #, • | 250,000 | 250,784 | |
BlueMountain CLO XXX Series 2020-30A A 144A 1.516% (LIBOR03M + 1.39%, Floor 1.39%) 1/15/33 #, • | 250,000 | 250,666 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Cedar Funding IX CLO Series 2018-9A A1 144A 1.114% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 250,000 | $ 250,368 | |
CIFC Funding Series 2013-4A A1RR 144A 1.189% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | 250,000 | 250,234 | |
Dryden 83 CLO Series 2020-83A A 144A 1.354% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 250,000 | 249,937 | |
KKR CLO 32 Series 32A A1 144A 1.446% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | 100,000 | 100,291 | |
LCM XVIII Series 18A A1R 144A 1.154% (LIBOR03M + 1.02%) 4/20/31 #, • | 250,000 | 250,010 | |
Octagon Investment Partners 33 Series 2017-1A A1 144A 1.324% (LIBOR03M + 1.19%) 1/20/31 #, • | 250,000 | 250,082 | |
York CLO-6 Series 2019-1A A1 144A 1.488% (LIBOR03M + 1.35%) 7/22/32 #, • | 250,000 | 250,441 | |
Total Collateralized Debt Obligations (cost $2,090,952) | 2,102,813 | ||
Corporate Bonds — 53.14% | |||
Banking — 13.01% | |||
Ally Financial 5.75% 11/20/25 | 118,000 | 134,991 | |
Bank of America | |||
3.458% 3/15/25 μ | 80,000 | 85,132 | |
4.10% 7/24/23 | 130,000 | 138,643 | |
BBVA Bancomer 144A 1.875% 9/18/25 # | 200,000 | 201,340 | |
BBVA USA 3.875% 4/10/25 | 250,000 | 272,997 | |
Citigroup 1.678% 5/15/24 μ | 270,000 | 275,336 | |
Citizens Bank 0.845% (LIBOR03M + 0.72%) 2/14/22 • | 250,000 | 250,509 | |
Deutsche Bank 0.898% 5/28/24 | 150,000 | 149,900 | |
Fifth Third Bancorp | |||
2.375% 1/28/25 | 35,000 | 36,400 | |
3.65% 1/25/24 | 35,000 | 37,351 |
NQ-FL8 [9/21] 11/21 (1918410) 1
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Goldman Sachs Group | |||
0.86% (SOFR + 0.81%) 3/9/27 • | 270,000 | $ 270,476 | |
1.295% (LIBOR03M + 1.17%) 5/15/26 • | 205,000 | 210,322 | |
1.542% 9/10/27 μ | 20,000 | 19,933 | |
Huntington Bancshares 2.30% 1/14/22 | 30,000 | 30,125 | |
JPMorgan Chase & Co. | |||
0.63% (SOFR + 0.58%) 3/16/24 • | 90,000 | 90,347 | |
4.023% 12/5/24 μ | 330,000 | 353,520 | |
4.60% 2/1/25 μ, ψ | 20,000 | 20,475 | |
Morgan Stanley | |||
0.731% 4/5/24 μ | 135,000 | 135,480 | |
2.75% 5/19/22 | 25,000 | 25,406 | |
3.737% 4/24/24 μ | 25,000 | 26,239 | |
Nordea Bank 144A 0.625% 5/24/24 # | 200,000 | 199,722 | |
Toronto-Dominion Bank 0.405% (SOFR + 0.355%) 3/4/24 • | 195,000 | 195,735 | |
Truist Bank 2.636% 9/17/29 μ | 215,000 | 224,827 | |
US Bancorp 3.375% 2/5/24 | 55,000 | 58,474 | |
3,443,680 | |||
Basic Industry — 1.49% | |||
Artera Services 144A 9.033% 12/4/25 # | 40,000 | 43,450 | |
Avient 144A 5.75% 5/15/25 # | 139,000 | 146,645 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 200,000 | 205,416 | |
395,511 | |||
Brokerage — 0.53% | |||
Charles Schwab 4.00% 6/1/26 μ, ψ | 30,000 | 31,350 | |
SURA Asset Management 144A 4.875% 4/17/24 # | 100,000 | 107,876 | |
139,226 | |||
Capital Goods — 3.30% | |||
Carlisle 0.55% 9/1/23 | 70,000 | 69,985 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 153,000 | 154,530 | |
Roper Technologies 2.35% 9/15/24 | 145,000 | 151,884 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 50,000 | 52,938 | |
Teledyne Technologies 0.95% 4/1/24 | 280,000 | 280,511 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
TransDigm | |||
144A 6.25% 3/15/26 # | 25,000 | $ 26,094 | |
144A 8.00% 12/15/25 # | 51,000 | 54,442 | |
Welbilt 9.50% 2/15/24 | 28,000 | 28,813 | |
WESCO Distribution 144A 7.125% 6/15/25 # | 51,000 | 54,487 | |
873,684 | |||
Communications — 3.07% | |||
AMC Networks 5.00% 4/1/24 | 30,000 | 30,427 | |
Fox | |||
3.666% 1/25/22 | 160,000 | 161,695 | |
4.03% 1/25/24 | 100,000 | 107,317 | |
NBN 144A 0.875% 10/8/24 # | 200,000 | 199,370 | |
T-Mobile USA 3.50% 4/15/25 | 105,000 | 113,155 | |
Verizon Communications 0.75% 3/22/24 | 200,000 | 200,816 | |
812,780 | |||
Consumer Cyclical — 3.74% | |||
BMW US Capital 144A 0.75% 8/12/24 # | 90,000 | 90,220 | |
Boyd Gaming 144A 8.625% 6/1/25 # | 54,000 | 58,590 | |
Carnival 144A 7.625% 3/1/26 # | 51,000 | 54,506 | |
Ford Motor 8.50% 4/21/23 | 133,000 | 146,458 | |
General Motors Financial | |||
0.81% (SOFR + 0.76%) 3/8/24 • | 260,000 | 262,574 | |
3.45% 4/10/22 | 50,000 | 50,526 | |
4.15% 6/19/23 | 30,000 | 31,715 | |
5.25% 3/1/26 | 7,000 | 8,003 | |
IRB Holding 144A 7.00% 6/15/25 # | 8,000 | 8,504 | |
Prime Security Services Borrower 144A 5.25% 4/15/24 # | 68,000 | 72,610 | |
Scientific Games International 144A 5.00% 10/15/25 # | 75,000 | 77,250 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 70,000 | 70,744 | |
Station Casinos 144A 5.00% 10/1/25 # | 15,000 | 15,239 | |
VF 2.40% 4/23/25 | 40,000 | 41,698 | |
988,637 | |||
Consumer Non-Cyclical — 3.99% | |||
AbbVie | |||
2.60% 11/21/24 | 90,000 | 94,641 | |
3.75% 11/14/23 | ���165,000 | 175,836 | |
Bausch Health 144A 6.125% 4/15/25 # | 45,000 | 45,986 | |
Bristol-Myers Squibb 2.90% 7/26/24 | 83,000 | 88,159 |
2 NQ-FL8 [9/21] 11/21 (1918410)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Conagra Brands 0.50% 8/11/23 | 65,000 | $ 65,017 | |
CVS Health 3.70% 3/9/23 | 14,000 | 14,623 | |
General Mills 3.70% 10/17/23 | 80,000 | 84,941 | |
Gilead Sciences 3.70% 4/1/24 | 80,000 | 85,502 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 35,000 | 36,979 | |
Royalty Pharma 1.20% 9/2/25 | 140,000 | 139,176 | |
Takeda Pharmaceutical 4.40% 11/26/23 | 200,000 | 215,562 | |
Viatris 144A 1.65% 6/22/25 # | 10,000 | 10,105 | |
1,056,527 | |||
Electric — 6.03% | |||
AEP Texas 2.40% 10/1/22 | 140,000 | 142,525 | |
Avangrid 3.20% 4/15/25 | 60,000 | 63,932 | |
CenterPoint Energy | |||
0.70% (SOFR + 0.65%) 5/13/24 • | 285,000 | 285,608 | |
3.85% 2/1/24 | 36,000 | 38,342 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 115,000 | 129,588 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 65,000 | 69,631 | |
Entergy 4.00% 7/15/22 | 90,000 | 91,976 | |
Entergy Louisiana 4.05% 9/1/23 | 10,000 | 10,577 | |
NextEra Energy Capital Holdings 3.15% 4/1/24 | 190,000 | 200,964 | |
NRG Energy 144A 3.75% 6/15/24 # | 95,000 | 101,383 | |
Southern California Edison 1.10% 4/1/24 | 210,000 | 211,062 | |
Vistra Operations 144A 3.55% 7/15/24 # | 105,000 | 110,472 | |
WEC Energy Group 0.80% 3/15/24 | 140,000 | 140,477 | |
1,596,537 | |||
Energy — 5.00% | |||
Apache 4.625% 11/15/25 | 42,000 | 45,203 | |
Devon Energy 144A 5.25% 9/15/24 # | 39,000 | 43,214 | |
Enbridge | |||
0.45% (SOFR + 0.40%) 2/17/23 • | 85,000 | 85,270 | |
0.55% 10/4/23 | 115,000 | 115,069 | |
Exxon Mobil 2.019% 8/16/24 | 130,000 | 135,306 | |
MPLX 4.875% 12/1/24 | 135,000 | 149,593 | |
Murphy Oil 5.75% 8/15/25 | 57,000 | 58,908 | |
NuStar Logistics 5.75% 10/1/25 | 73,000 | 78,749 | |
Occidental Petroleum 5.50% 12/1/25 | 58,000 | 64,307 | |
ONEOK 7.50% 9/1/23 | 115,000 | 128,014 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Pioneer Natural Resources 0.55% 5/15/23 | 100,000 | $ 100,128 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 110,000 | 122,543 | |
Schlumberger Holdings 144A 3.75% 5/1/24 # | 145,000 | 154,949 | |
Southwestern Energy 6.45% 1/23/25 | 38,000 | 41,888 | |
1,323,141 | |||
Finance Companies — 3.33% | |||
AerCap Ireland Capital DAC 3.15% 2/15/24 | 150,000 | 156,450 | |
Air Lease | |||
0.80% 8/18/24 | 105,000 | 104,408 | |
2.875% 1/15/26 | 15,000 | 15,681 | |
3.00% 9/15/23 | 80,000 | 83,171 | |
Aviation Capital Group | |||
144A 1.95% 1/30/26 # | 40,000 | 39,874 | |
144A 2.875% 1/20/22 # | 130,000 | 130,683 | |
144A 4.375% 1/30/24 # | 10,000 | 10,681 | |
Avolon Holdings Funding 144A 3.95% 7/1/24 # | 120,000 | 127,457 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 200,000 | 211,447 | |
879,852 | |||
Insurance — 4.56% | |||
Athene Global Funding 144A 1.00% 4/16/24 # | 205,000 | 205,794 | |
Brighthouse Financial Global Funding | |||
144A 0.81% (SOFR + 0.76%) 4/12/24 #, • | 85,000 | 85,656 | |
144A 1.00% 4/12/24 # | 85,000 | 85,451 | |
Equitable Financial Life Global Funding 144A 0.80% 8/12/24 # | 45,000 | 44,968 | |
Equitable Holdings 3.90% 4/20/23 | 61,000 | 64,007 | |
F&G Global Funding 144A 0.90% 9/20/24 # | 135,000 | 134,784 | |
GA Global Funding Trust 144A 1.00% 4/8/24 # | 275,000 | 276,249 | |
Humana 0.65% 8/3/23 | 205,000 | 205,144 | |
USI 144A 6.875% 5/1/25 # | 103,000 | 104,954 | |
1,207,007 | |||
Technology — 3.94% | |||
Global Payments 2.65% 2/15/25 | 100,000 | 104,560 | |
International Business Machines 3.00% 5/15/24 | 100,000 | 106,105 |
NQ-FL8 [9/21] 11/21 (1918410) 3
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
Microchip Technology | |||
144A 0.983% 9/1/24 # | 150,000 | $ 149,863 | |
4.333% 6/1/23 | 55,000 | 58,145 | |
NXP | |||
144A 2.70% 5/1/25 # | 5,000 | 5,225 | |
144A 4.875% 3/1/24 # | 165,000 | 180,011 | |
PayPal Holdings 1.35% 6/1/23 | 145,000 | 147,453 | |
Skyworks Solutions 0.90% 6/1/23 | 150,000 | 150,308 | |
VMware 1.00% 8/15/24 | 140,000 | 140,487 | |
1,042,157 | |||
Transportation — 1.15% | |||
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 85,000 | 99,164 | |
7.375% 1/15/26 | 24,000 | 28,287 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 24,000 | 26,946 | |
Triton Container International 144A 1.15% 6/7/24 # | 140,000 | 139,823 | |
United Airlines 144A 4.375% 4/15/26 # | 10,000 | 10,275 | |
304,495 | |||
Total Corporate Bonds (cost $13,961,795) | 14,063,234 | ||
Non-Agency Asset-Backed Securities — 6.65% | |||
CarMax Auto Owner Trust Series 2018-2 B 3.37% 10/16/23 | 150,000 | 152,880 | |
Hyundai Auto Lease Securitization Trust Series 2021-A B 144A 0.61% 10/15/25 # | 900,000 | 900,782 | |
John Deere Owner Trust Series 2019-A A3 2.91% 7/17/23 | 69,183 | 69,789 | |
JPMorgan Chase Bank Series 2020-2 B 144A 0.84% 2/25/28 # | 171,892 | 172,127 | |
Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | 235,000 | 235,760 | |
Trafigura Securitisation Finance Series 2021-1A A2 144A 1.08% 1/15/25 # | 200,000 | 199,095 | |
Verizon Owner Trust Series 2018-A A1A 3.23% 4/20/23 | 30,115 | 30,228 | |
Total Non-Agency Asset-Backed Securities (cost $1,756,159) | 1,760,661 | ||
Principal amount° | Value (US $) | ||
US Treasury Obligations — 21.80% | |||
US Treasury Notes | |||
0.125% 7/31/23 | 2,290,000 | $ 2,285,304 | |
0.375% 9/15/24 | 3,500,000 | 3,485,234 | |
Total US Treasury Obligations (cost $5,778,816) | 5,770,538 |
Number of shares | |||
Short-Term Investments — 2.15% | |||
Money Market Mutual Funds — 2.15% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 142,525 | 142,525 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 142,525 | 142,525 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 142,525 | 142,525 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.03%) | 142,524 | 142,524 | |
Total Short-Term Investments (cost $570,099) | 570,099 | ||
Total Value of Securities—101.00% (cost $26,603,801) | 26,731,251 | ||
Liabilities Net of Receivables and Other Assets—(1.00%) | (265,335) | ||
Net Assets Applicable to 2,776,522 Shares Outstanding—100.00% | $26,465,916 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2021, the aggregate value of Rule 144A securities was $8,325,091, which represents 31.46% of the Series' net assets. |
4 NQ-FL8 [9/21] 11/21 (1918410)
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
The following futures contracts were outstanding at September 30, 2021:
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 | ||||||
(5) | US Treasury 5 yr Notes | $(613,711) | $(616,902) | 12/31/21 | $3,191 | $(430) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amount presented above represents the Series’ total exposure in such contracts, whereas only the variation margin is reflected in the Series’ net assets.
Summary of abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
DIFC – Dubai International Financial Centre |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
USD – US Dollar |
yr – Year |
NQ-FL8 [9/21] 11/21 (1918410) 5