Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
March 31, 2022 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 1.74% | |||
Freddie Mac REMICs Series 5092 WG 1.00% 4/25/31 | 295,291 | $ 277,162 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2021-DNA1 M1 144A 0.749% (SOFR + 0.65%) 1/25/51 #, • | 7,810 | 7,794 | |
Series 2021-HQA1 M1 144A 0.799% (SOFR + 0.70%) 8/25/33 #, • | 34,804 | 34,619 | |
Series 2021-HQA2 M1 144A 0.799% (SOFR + 0.70%) 12/25/33 #, • | 80,859 | 80,112 | |
Total Agency Collateralized Mortgage Obligations (cost $420,518) | 399,687 | ||
Agency Mortgage-Backed Securities — 5.14% | |||
Fannie Mae S.F. 15 yr 2.50% 8/1/35 | 71,633 | 70,903 | |
Fannie Mae S.F. 30 yr | |||
4.50% 2/1/44 | 95,784 | 102,160 | |
4.50% 4/1/44 | 113,240 | 120,639 | |
4.50% 1/1/50 | 275,317 | 292,626 | |
5.00% 7/1/47 | 324,339 | 350,734 | |
5.00% 5/1/48 | 129,112 | 137,117 | |
Freddie Mac S.F. 30 yr 5.00% 8/1/48 | 101,039 | 107,055 | |
Total Agency Mortgage-Backed Securities (cost $1,224,617) | 1,181,234 | ||
Collateralized Debt Obligations — 7.98% | |||
ARES LX CLO Series 2021-60A A 144A 2.164% (LIBOR03M + 1.12%, Floor 1.12%) 7/18/34 #, • | 250,000 | 246,343 | |
Canyon Capital CLO Series 2019-2A AR 144A 2.224% (LIBOR03M + 1.18%, Floor 1.18%) 10/15/34 #, • | 250,000 | 247,412 | |
Cedar Funding IX CLO Series 2018-9A A1 144A 2.043% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 250,000 | 247,713 | |
CIFC Funding Series 2013-4A A1RR 144A 1.328% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | 250,000 | 248,712 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Dryden 83 CLO Series 2020-83A A 144A 2.264% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 250,000 | $ 249,403 | |
KKR CLO 32 Series 32A A1 144A 2.364% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | 100,000 | 99,825 | |
LCM XVIII Series 18A A1R 144A 2.083% (LIBOR03M + 1.02%) 4/20/31 #, • | 250,000 | 248,096 | |
Octagon Investment Partners 33 Series 2017-1A A1 144A 2.253% (LIBOR03M + 1.19%) 1/20/31 #, • | 250,000 | 248,819 | |
Total Collateralized Debt Obligations (cost $1,839,320) | 1,836,323 | ||
Corporate Bonds — 61.77% | |||
Banking — 13.85% | |||
Ally Financial 5.75% 11/20/25 | 118,000 | 124,189 | |
Bank of America | |||
1.843% 2/4/25 μ | 190,000 | 185,856 | |
3.458% 3/15/25 μ | 80,000 | 80,518 | |
4.10% 7/24/23 | 130,000 | 132,885 | |
BBVA Bancomer 144A 1.875% 9/18/25 # | 200,000 | 190,809 | |
Citigroup | |||
1.281% 11/3/25 μ | 35,000 | 33,338 | |
1.678% 5/15/24 μ | 105,000 | 104,196 | |
2.014% 1/25/26 μ | 30,000 | 28,903 | |
Deutsche Bank 0.898% 5/28/24 | 150,000 | 142,932 | |
Fifth Third Bancorp | |||
2.375% 1/28/25 | 35,000 | 34,238 | |
3.65% 1/25/24 | 35,000 | 35,445 | |
Goldman Sachs Group | |||
0.925% 10/21/24 μ | 175,000 | 169,724 | |
1.074% (SOFR + 0.81%) 3/9/27 • | 270,000 | 263,599 | |
1.542% 9/10/27 μ | 25,000 | 22,883 | |
3.615% 3/15/28 μ | 15,000 | 14,998 | |
JPMorgan Chase & Co. | |||
0.863% (SOFR + 0.58%) 3/16/24 • | 90,000 | 89,748 | |
2.545% 11/8/32 μ | 10,000 | 9,151 | |
4.023% 12/5/24 μ | 330,000 | 335,424 | |
4.60% 2/1/25 μ, ψ | 20,000 | 19,325 |
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Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Morgan Stanley | |||
0.731% 4/5/24 μ | 135,000 | $ 132,290 | |
1.164% 10/21/25 μ | 125,000 | 118,852 | |
2.475% 1/21/28 μ | 15,000 | 14,322 | |
2.75% 5/19/22 | 25,000 | 25,044 | |
3.737% 4/24/24 μ | 25,000 | 25,262 | |
Nordea Bank 144A 0.625% 5/24/24 # | 200,000 | 190,600 | |
PNC Bank 3.875% 4/10/25 | 250,000 | 255,014 | |
State Street 1.684% 11/18/27 μ | 55,000 | 51,680 | |
Toronto-Dominion Bank 0.606% (SOFR + 0.355%) 3/4/24 • | 50,000 | 49,741 | |
Truist Bank 2.636% 9/17/29 μ | 215,000 | 211,543 | |
US Bancorp | |||
3.375% 2/5/24 | 55,000 | 55,778 | |
3.70% 1/15/27 μ, ψ | 25,000 | 22,688 | |
Wells Fargo & Co. 3.526% 3/24/28 μ | 15,000 | 14,982 | |
3,185,957 | |||
Basic Industry — 1.66% | |||
Artera Services 144A 9.033% 12/4/25 # | 35,000 | 35,014 | |
Avient 144A 5.75% 5/15/25 # | 139,000 | 142,934 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 200,000 | 203,248 | |
381,196 | |||
Brokerage — 0.44% | |||
SURA Asset Management 144A 4.875% 4/17/24 # | 100,000 | 101,676 | |
101,676 | |||
Capital Goods — 3.67% | |||
Carlisle 0.55% 9/1/23 | 70,000 | 67,856 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 153,000 | 152,600 | |
Roper Technologies 2.35% 9/15/24 | 145,000 | 142,826 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 50,000 | 50,193 | |
Teledyne Technologies 0.95% 4/1/24 | 280,000 | 268,983 | |
TransDigm | |||
144A 6.25% 3/15/26 # | 25,000 | 25,697 | |
144A 8.00% 12/15/25 # | 51,000 | 53,392 | |
Welbilt 9.50% 2/15/24 | 28,000 | 28,554 | |
WESCO Distribution 144A 7.125% 6/15/25 # | 51,000 | 53,112 | |
843,213 | |||
Communications — 3.39% | |||
AMC Networks 5.00% 4/1/24 | 30,000 | 29,964 | |
Fox 4.03% 1/25/24 | 100,000 | 102,150 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Magallanes 144A 3.638% 3/15/25 # | 60,000 | $ 60,429 | |
NBN 144A 0.875% 10/8/24 # | 200,000 | 189,432 | |
Rogers Communications 144A 3.20% 3/15/27 # | 100,000 | 98,602 | |
T-Mobile USA 3.50% 4/15/25 | 105,000 | 105,803 | |
Verizon Communications 0.75% 3/22/24 | 200,000 | 193,676 | |
780,056 | |||
Consumer Cyclical — 4.76% | |||
Aptiv 2.396% 2/18/25 | 70,000 | 68,260 | |
BMW US Capital 144A 0.75% 8/12/24 # | 90,000 | 85,564 | |
Boyd Gaming 144A 8.625% 6/1/25 # | 26,000 | 27,341 | |
Carnival 144A 7.625% 3/1/26 # | 51,000 | 51,393 | |
Daimler Trucks Finance North America 144A 1.625% 12/13/24 # | 150,000 | 143,353 | |
General Motors Financial | |||
1.017% (SOFR + 0.76%) 3/8/24 • | 260,000 | 258,291 | |
3.10% 1/12/32 | 10,000 | 9,000 | |
3.45% 4/10/22 | 50,000 | 50,017 | |
4.15% 6/19/23 | 30,000 | 30,454 | |
4.35% 4/9/25 | 45,000 | 45,813 | |
5.25% 3/1/26 | 7,000 | 7,339 | |
IRB Holding 144A 7.00% 6/15/25 # | 8,000 | 8,332 | |
MGM Resorts International 5.75% 6/15/25 | 120,000 | 123,187 | |
Prime Security Services Borrower 144A 5.25% 4/15/24 # | 68,000 | 69,725 | |
Scientific Games International 144A 5.00% 10/15/25 # | 75,000 | 76,875 | |
VF 2.40% 4/23/25 | 40,000 | 39,155 | |
1,094,099 | |||
Consumer Non-Cyclical — 4.60% | |||
AbbVie | |||
2.60% 11/21/24 | 90,000 | 89,460 | |
3.75% 11/14/23 | 165,000 | 168,242 | |
Bausch Health 144A 6.125% 4/15/25 # | 45,000 | 45,422 | |
Bristol-Myers Squibb 2.90% 7/26/24 | 83,000 | 83,659 | |
Conagra Brands 0.50% 8/11/23 | 65,000 | 62,954 | |
General Mills 3.70% 10/17/23 | 80,000 | 81,336 | |
Gilead Sciences 3.70% 4/1/24 | 80,000 | 81,463 | |
HCA 144A 3.125% 3/15/27 # | 15,000 | 14,680 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 35,000 | 36,103 | |
Royalty Pharma 1.20% 9/2/25 | 195,000 | 179,589 |
2 NQ-FL8 [3/22] 5/22 (2218552)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Takeda Pharmaceutical 4.40% 11/26/23 | 200,000 | $ 205,045 | |
Viatris 1.65% 6/22/25 | 10,000 | 9,317 | |
1,057,270 | |||
Electric — 6.88% | |||
AEP Texas 2.40% 10/1/22 | 140,000 | 140,234 | |
Avangrid 3.20% 4/15/25 | 60,000 | 59,878 | |
CenterPoint Energy 0.847% (SOFR + 0.65%) 5/13/24 • | 285,000 | 282,870 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 115,000 | 121,311 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 65,000 | 65,853 | |
Entergy 4.00% 7/15/22 | 90,000 | 90,245 | |
Entergy Louisiana 4.05% 9/1/23 | 10,000 | 10,200 | |
Eversource Energy 2.90% 3/1/27 | 25,000 | 24,539 | |
National Rural Utilities Cooperative Finance 1.875% 2/7/25 | 135,000 | 130,924 | |
NRG Energy 144A 3.75% 6/15/24 # | 95,000 | 94,706 | |
Pacific Gas and Electric 3.75% 2/15/24 | 120,000 | 120,481 | |
Southern California Edison 1.10% 4/1/24 | 210,000 | 202,800 | |
Vistra Operations 144A 3.55% 7/15/24 # | 105,000 | 104,082 | |
WEC Energy Group 0.80% 3/15/24 | 140,000 | 134,443 | |
1,582,566 | |||
Energy — 5.06% | |||
ConocoPhillips 2.40% 3/7/25 | 70,000 | 69,243 | |
Devon Energy 5.25% 9/15/24 | 39,000 | 40,781 | |
Enbridge | |||
0.55% 10/4/23 | 115,000 | 111,509 | |
0.608% (SOFR + 0.40%) 2/17/23 • | 85,000 | 84,931 | |
Exxon Mobil 2.019% 8/16/24 | 130,000 | 128,776 | |
MPLX 4.875% 12/1/24 | 135,000 | 139,936 | |
Murphy Oil 5.75% 8/15/25 | 57,000 | 58,175 | |
NuStar Logistics 5.75% 10/1/25 | 73,000 | 74,499 | |
Occidental Petroleum 5.50% 12/1/25 | 58,000 | 61,126 | |
ONEOK 7.50% 9/1/23 | 115,000 | 120,982 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 110,000 | 115,182 | |
Schlumberger Holdings 144A 3.75% 5/1/24 # | 145,000 | 147,734 | |
Southwestern Energy 5.95% 1/23/25 | 10,000 | 10,467 | |
1,163,341 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies — 4.10% | |||
AerCap Ireland Capital DAC | |||
1.65% 10/29/24 | 150,000 | $ 141,787 | |
3.15% 2/15/24 | 150,000 | 147,680 | |
Air Lease | |||
0.80% 8/18/24 | 105,000 | 98,989 | |
2.875% 1/15/26 | 15,000 | 14,497 | |
3.00% 9/15/23 | 80,000 | 79,700 | |
Aviation Capital Group | |||
144A 1.95% 1/30/26 # | 65,000 | 59,777 | |
144A 4.375% 1/30/24 # | 60,000 | 59,954 | |
Avolon Holdings Funding 144A 3.95% 7/1/24 # | 145,000 | 144,642 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 200,000 | 195,365 | |
942,391 | |||
Insurance — 5.40% | |||
Athene Global Funding 144A 1.00% 4/16/24 # | 205,000 | 196,183 | |
Brighthouse Financial Global Funding | |||
144A 1.00% 4/12/24 # | 115,000 | 110,222 | |
144A 1.051% (SOFR + 0.76%) 4/12/24 #, • | 85,000 | 85,232 | |
Equitable Financial Life Global Funding 144A 0.80% 8/12/24 # | 100,000 | 94,956 | |
Equitable Holdings 3.90% 4/20/23 | 61,000 | 61,850 | |
F&G Global Funding 144A 0.90% 9/20/24 # | 135,000 | 127,380 | |
GA Global Funding Trust 144A 1.00% 4/8/24 # | 275,000 | 263,460 | |
Humana 0.65% 8/3/23 | 205,000 | 200,087 | |
USI 144A 6.875% 5/1/25 # | 103,000 | 103,514 | |
1,242,884 | |||
Technology — 5.43% | |||
Global Payments | |||
1.50% 11/15/24 | 75,000 | 71,773 | |
2.65% 2/15/25 | 100,000 | 97,946 | |
International Business Machines 3.00% 5/15/24 | 100,000 | 100,710 | |
Microchip Technology | |||
144A 0.983% 9/1/24 # | 150,000 | 142,145 | |
4.333% 6/1/23 | 55,000 | 55,897 | |
NXP | |||
144A 2.70% 5/1/25 # | 5,000 | 4,852 | |
144A 4.875% 3/1/24 # | 165,000 | 169,617 | |
PayPal Holdings 1.35% 6/1/23 | 145,000 | 144,631 | |
S&P Global 144A 2.45% 3/1/27 # | 50,000 | 48,712 |
NQ-FL8 [3/22] 5/22 (2218552) 3
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
Sensata Technologies | |||
144A 5.00% 10/1/25 # | 90,000 | $ 91,387 | |
144A 5.625% 11/1/24 # | 25,000 | 25,901 | |
Skyworks Solutions 0.90% 6/1/23 | 150,000 | 146,716 | |
VMware 1.00% 8/15/24 | 140,000 | 133,604 | |
Workday | |||
3.50% 4/1/27 | 5,000 | 5,002 | |
3.70% 4/1/29 | 10,000 | 10,031 | |
1,248,924 | |||
Transportation — 2.08% | |||
Canadian Pacific Railway 1.35% 12/2/24 | 90,000 | 86,377 | |
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 185,000 | 198,308 | |
7.375% 1/15/26 | 24,000 | 26,091 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 24,000 | 25,602 | |
Triton Container International 144A 1.15% 6/7/24 # | 140,000 | 132,907 | |
United Airlines 144A 4.375% 4/15/26 # | 10,000 | 9,850 | |
479,135 | |||
Utilities — 0.45% | |||
Sempra Energy 3.30% 4/1/25 | 75,000 | 75,173 | |
Southern California Gas 2.95% 4/15/27 | 30,000 | 29,622 | |
104,795 | |||
Total Corporate Bonds (cost $14,711,437) | 14,207,503 | ||
Non-Agency Asset-Backed Securities — 7.59% | |||
CarMax Auto Owner Trust Series 2018-2 B 3.37% 10/16/23 | 150,000 | 150,362 | |
Ford Credit Auto Owner Trust Series 2022-A B 1.91% 7/15/27 | 86,000 | 82,637 | |
Hyundai Auto Lease Securitization Trust Series 2021-A B 144A 0.61% 10/15/25 # | 900,000 | 879,411 | |
John Deere Owner Trust Series 2019-A A3 2.91% 7/17/23 | 14,891 | 14,915 | |
JPMorgan Chase Bank Series 2020-2 B 144A 0.84% 2/25/28 # | 119,257 | 117,716 | |
Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | 235,000 | 227,388 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Trafigura Securitisation Finance Series 2021-1A A2 144A 1.08% 1/15/25 # | 200,000 | $ 190,574 | |
Verizon Master Trust Series 2022-2 B 1.83% 7/20/28 | 86,000 | 83,195 | |
Total Non-Agency Asset-Backed Securities (cost $1,791,054) | 1,746,198 | ||
US Treasury Obligations — 14.37% | |||
US Treasury Notes | |||
1.50% 2/15/25 | 1,570,000 | 1,526,212 | |
1.75% 3/15/25 | 990,000 | 969,117 | |
2.25% 3/31/24 | 785,000 | 783,973 | |
2.50% 3/31/27 | 25,000 | 25,056 | |
Total US Treasury Obligations (cost $3,334,536) | 3,304,358 |
Number of shares | |||
Short-Term Investments — 0.99% | |||
Money Market Mutual Funds — 0.99% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.23%) | 56,693 | 56,693 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.12%) | 56,693 | 56,693 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 56,693 | 56,693 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.23%) | 56,693 | 56,693 | |
Total Short-Term Investments (cost $226,772) | 226,772 | ||
Total Value of Securities—99.58% (cost $23,548,254) | 22,902,075 | ||
Receivables and Other Assets Net of Liabilities—0.42% | 97,678 | ||
Net Assets Applicable to 2,495,368 Shares Outstanding—100.00% | $22,999,753 |
° | 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 March 31, 2022, the aggregate value of Rule 144A securities was $8,116,951, which represents 35.29% of the Series' net assets. |
4 NQ-FL8 [3/22] 5/22 (2218552)
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2022. 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 March 31, 2022. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
The following futures contracts were outstanding at March 31, 2022:
Futures Contracts Exchange-Traded | |||||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
6 | US Treasury 2yr Notes | $1,271,531 | $1,293,810 | 6/30/22 | $— | $(22,279) | $— | ||||||
4 | US Treasury 3 yr Notes | 872,750 | 889,303 | 6/30/22 | — | (16,553) | — | ||||||
(10) | US Treasury 5 yr Notes | (1,146,875) | (1,174,273) | 6/30/22 | 27,398 | — | — | ||||||
Total Futures Contracts | $1,008,840 | $27,398 | $(38,832) | $— |
The use of futures contracts involve elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the variation margin is reflected in the Fund’s 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 |
REMIC – Real Estate Mortgage Investment Conduit |
REMICs – Real Estate Mortgage Investment Conduits |
S&P – Standard & Poor’s Financial Services LLC |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
USD – US Dollar |
yr – Year |
NQ-FL8 [3/22] 5/22 (2218552) 5