Schedule of investments
Delaware Ivy Limited-Term Bond Fund
June 30, 2023 (Unaudited)
| Principal amount° | Value (US $) | ||
| Agency Collateralized Mortgage Obligations — 0.42% | |||
| GNMA | |||
| Series 2012-39 PA 2.00% 3/16/42 | 1,540,678 | $ 1,394,433 | |
| Series 2015-151 KC 3.50% 4/20/34 | 696,739 | 666,267 | |
| Total Agency Collateralized Mortgage Obligations (cost $2,256,125) | 2,060,700 | ||
| Agency Commercial Mortgage-Backed Securities — 7.52% | |||
| FREMF Mortgage Trust | |||
| Series 2013-K33 B 144A 3.551% 8/25/46 #, • | 3,000,000 | 2,987,937 | |
| Series 2013-K33 C 144A 3.551% 8/25/46 #, • | 3,750,000 | 3,733,408 | |
| Series 2015-K47 B 144A 3.71% 6/25/48 #, • | 2,500,000 | 2,390,732 | |
| Series 2015-KF12 B 144A 12.293% (LIBOR01M + 7.10%, Floor 7.10%) 9/25/22 #, • | 2,314,849 | 2,309,828 | |
| Series 2017-K724 C 144A 3.596% 12/25/49 #, • | 1,500,000 | 1,476,680 | |
| Series 2017-K728 C 144A 3.768% 11/25/50 #, • | 910,000 | 875,272 | |
| Series 2017-KF33 B 144A 7.743% (LIBOR01M + 2.55%, Floor 2.55%) 6/25/27 #, • | 968,036 | 890,629 | |
| Series 2017-KF39 B 144A 7.693% (LIBOR01M + 2.50%, Floor 2.50%) 11/25/24 #, • | 1,852,558 | 1,809,409 | |
| Series 2017-KF40 B 144A 7.893% (LIBOR01M + 2.70%, Floor 2.70%) 11/25/27 #, • | 1,447,006 | 1,366,789 | |
| Series 2018-K732 B 144A 4.189% 5/25/25 #, • | 985,000 | 943,350 | |
| Series 2018-KF46 B 144A 7.143% (LIBOR01M + 1.95%, Floor 1.95%) 3/25/28 #, • | 1,423,361 | 1,293,909 | |
| Series 2018-KF47 B 144A 7.193% (LIBOR01M + 2.00%, Floor 2.00%) 5/25/25 #, • | 989,299 | 955,311 | |
| Series 2018-KF48 B 144A 7.243% (LIBOR01M + 2.05%, Floor 2.05%) 6/25/28 #, • | 798,326 | 707,745 | |
| Series 2018-KF49 B 144A 7.093% (LIBOR01M + 1.90%, Floor 1.90%) 6/25/25 #, • | 837,687 | 799,730 | |
| Series 2018-KF51 B 144A 7.043% (LIBOR01M + 1.85%, Floor 1.85%) 8/25/25 #, • | 2,421,495 | 2,324,679 | |
| Series 2019-KF60 B 144A 7.543% (LIBOR01M + 2.35%, Floor 2.35%) 2/25/26 #, • | 2,844,863 | 2,715,373 | |
| Principal amount° | Value (US $) | ||
| Agency Commercial Mortgage-Backed Securities (continued) | |||
| FREMF Mortgage Trust | |||
| Series 2019-KF61 B 144A 7.393% (LIBOR01M + 2.20%, Floor 2.20%) 4/25/29 #, • | 967,849 | $ 865,123 | |
| Series 2019-KF68 B 144A 7.393% (LIBOR01M + 2.20%, Floor 2.20%) 7/25/26 #, • | 2,140,893 | 2,009,033 | |
| Series 2019-KF69 B 144A 7.493% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/29 #, • | 1,062,100 | 964,738 | |
| Series 2019-KF70 B 144A 7.493% (LIBOR01M + 2.30%, Floor 2.30%) 9/25/29 #, • | 978,743 | 901,841 | |
| Series 2019-KF73 B 144A 7.643% (LIBOR01M + 2.45%, Floor 2.45%) 11/25/29 #, • | 2,606,163 | 2,403,472 | |
| Series 2020-KF74 B 144A 7.343% (LIBOR01M + 2.15%, Floor 2.15%) 1/25/27 #, • | 1,114,999 | 1,056,489 | |
| Series 2020-KF75 B 144A 7.443% (LIBOR01M + 2.25%, Floor 2.25%) 12/25/29 #, • | 1,212,397 | 1,095,351 | |
| Total Agency Commercial Mortgage-Backed Securities (cost $39,006,520) | 36,876,828 | ||
| Collateralized Debt Obligations — 12.69% | |||
| Benefit Street Partners CLO XX Series 2020-20A AR 144A 6.43% (LIBOR03M + 1.17%, Floor 1.17%) 7/15/34 #, • | 5,000,000 | 4,913,100 | |
| BlueMountain CLO XXX Series 2020-30A AR 144A 6.356% (TSFR03M + 1.37%, Floor 1.37%) 4/15/35 #, • | 3,000,000 | 2,951,343 | |
| Canyon CLO Series 2020-1A AR 144A 6.44% (LIBOR03M + 1.18%, Floor 1.18%) 7/15/34 #, • | 4,600,000 | 4,518,046 | |
| CIFC Funding Series 2022-2A A1 144A 6.348% (TSFR03M + 1.32%, Floor 1.32%) 4/19/35 #, • | 5,000,000 | 4,901,005 | |
| Dryden 77 CLO Series 2020-77A AR 144A 6.499% (LIBOR03M + 1.12%, Floor 1.12%) 5/20/34 #, • | 2,600,000 | 2,553,572 | |
| Galaxy XXI CLO Series 2015-21A AR 144A 6.27% (LIBOR03M + 1.02%) 4/20/31 #, • | 4,900,000 | 4,829,489 | |
NQ- IV003 [0623] 0823 (3049452) 1
Schedule of investments
Delaware Ivy Limited-Term Bond Fund (Unaudited)
| Principal amount° | Value (US $) | ||
| Collateralized Debt Obligations (continued) | |||
| Golub Capital Partners CLO 50B-R Series 2020-50A A1R 144A 6.418% (TSFR03M + 1.37%, Floor 1.37%) 4/20/35 #, • | 5,000,000 | $ 4,866,535 | |
| KKR CLO 41 Series 2022-41A A1 144A 6.316% (TSFR03M + 1.33%, Floor 1.33%) 4/15/35 #, • | 5,000,000 | 4,859,165 | |
| Neuberger Berman CLO XX Series 2015-20A ARR 144A 6.42% (LIBOR03M + 1.16%, Floor 1.16%) 7/15/34 #, • | 2,000,000 | 1,967,932 | |
| Octagon Investment Partners 48 Series 2020-3A AR 144A 6.40% (LIBOR03M + 1.15%, Floor 1.15%) 10/20/34 #, • | 5,000,000 | 4,908,065 | |
| PPM CLO 3 Series 2019-3A AR 144A 6.35% (LIBOR03M + 1.09%, Floor 1.09%) 4/17/34 #, • | 3,750,000 | 3,646,065 | |
| Regatta XIX Funding Series 2022-1A A1 144A 6.368% (TSFR03M + 1.32%, Floor 1.32%) 4/20/35 #, • | 5,000,000 | 4,875,630 | |
| Sound Point CLO XXV Series 2019-4A A1R 144A 6.348% (TSFR03M + 1.28%, Floor 1.28%) 4/25/33 #, • | 5,000,000 | 4,912,050 | |
| Voya CLO Series 2020-3A AR 144A 6.40% (LIBOR03M + 1.15%, Floor 1.15%) 10/20/34 #, • | 3,000,000 | 2,933,358 | |
| Wind River CLO Series 2021-3A A 144A 6.40% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/33 #, • | 4,700,000 | 4,570,332 | |
| Total Collateralized Debt Obligations (cost $63,280,787) | 62,205,687 | ||
| Corporate Bonds — 52.93% | |||
| Banking — 14.13% | |||
| Bank of America | |||
| 4.125% 1/22/24 | 3,000,000 | 2,974,496 | |
| 4.20% 8/26/24 | 3,675,000 | 3,607,492 | |
| 5.501% 6/14/24 • | 2,175,000 | 2,172,072 | |
| Bank of New York Mellon 5.802% 10/25/28 μ | 1,264,000 | 1,289,226 | |
| Barclays 7.385% 11/2/28 μ | 305,000 | 317,956 | |
| Citigroup | |||
| 5.50% 9/13/25 | 1,900,000 | 1,889,801 | |
| 5.61% 9/29/26 μ | 385,000 | 384,682 | |
| Principalamount° | Value (US $) | ||
| Corporate Bonds (continued) | |||
| Banking (continued) | |||
| Citizens Bank | |||
| 4.119% 5/23/25 μ | 3,925,000 | $ 3,718,413 | |
| 6.064% 10/24/25 μ | 1,185,000 | 1,123,552 | |
| Credit Suisse 7.95% 1/9/25 | 350,000 | 357,278 | |
| Deutsche Bank 6.72% 1/18/29 μ | 514,000 | 515,131 | |
| Fifth Third Bank 5.852% 10/27/25 μ | 1,935,000 | 1,885,804 | |
| Goldman Sachs Group | |||
| 3.85% 7/8/24 | 3,190,000 | 3,129,377 | |
| 4.25% 10/21/25 | 3,234,000 | 3,118,084 | |
| 5.88% 12/9/26 • | 3,700,000 | 3,671,764 | |
| Huntington National Bank | |||
| 4.008% 5/16/25 μ | 2,230,000 | 2,146,174 | |
| 5.65% 1/10/30 | 460,000 | 439,682 | |
| JPMorgan Chase & Co. | |||
| 0.653% 9/16/24 μ | 3,000,000 | 2,965,199 | |
| 3.875% 9/10/24 | 2,542,000 | 2,482,711 | |
| 4.08% 4/26/26 μ | 6,515,000 | 6,333,731 | |
| KeyBank | |||
| 4.15% 8/8/25 | 1,880,000 | 1,738,140 | |
| 5.85% 11/15/27 | 285,000 | 268,605 | |
| KeyCorp 3.878% 5/23/25 μ | 1,910,000 | 1,766,884 | |
| Morgan Stanley | |||
| 6.138% 10/16/26 μ | 6,170,000 | 6,234,756 | |
| 6.296% 10/18/28 μ | 987,000 | 1,015,104 | |
| Popular 7.25% 3/13/28 | 395,000 | 395,000 | |
| SBA Tower Trust | |||
| 144A 1.884% 7/15/50 # | 3,222,000 | 2,894,180 | |
| 144A 2.836% 1/15/50 # | 5,840,000 | 5,545,164 | |
| US Bancorp | |||
| 4.653% 2/1/29 μ | 149,000 | 142,471 | |
| 5.727% 10/21/26 μ | 406,000 | 405,939 | |
| Wells Fargo & Co. 3.908% 4/25/26 μ | 4,475,000 | 4,328,746 | |
| 69,257,614 | |||
| Basic Industry — 1.42% | |||
| Celanese US Holdings | |||
| 6.05% 3/15/25 | 330,000 | 328,817 | |
| 6.165% 7/15/27 | 1,185,000 | 1,179,696 | |
| Graphic Packaging International 144A 0.821% 4/15/24 # | 3,650,000 | 3,503,195 | |
| Nutrien 5.95% 11/7/25 | 1,920,000 | 1,932,350 | |
| 6,944,058 | |||
| Capital Goods — 4.08% | |||
| General Electric 5.012% 1/1/24 | 1,059,067 | 1,057,642 | |
| Huntington Ingalls Industries 0.67% 8/16/23 | 5,000,000 | 4,969,759 | |
2 NQ- IV003 [0623] 0823 (3049452)
(Unaudited)
| Principalamount° | Value (US $) | ||
| Corporate Bonds (continued) | |||
| Capital Goods (continued) | |||
| Lennox International 1.35% 8/1/25 | 3,925,000 | $ 3,580,769 | |
| Mauser Packaging Solutions Holding 144A 7.875% 8/15/26 # | 2,820,000 | 2,804,739 | |
| Parker-Hannifin | |||
| 3.65% 6/15/24 | 3,315,000 | 3,249,292 | |
| 4.25% 9/15/27 | 2,440,000 | 2,367,813 | |
| Republic Services 0.875% 11/15/25 | 2,200,000 | 1,980,445 | |
| 20,010,459 | |||
| Communications — 7.94% | |||
| AT&T | |||
| 1.70% 3/25/26 | 3,650,000 | 3,328,252 | |
| 2.95% 7/15/26 | 3,750,000 | 3,530,185 | |
| Charter Communications Operating 4.908% 7/23/25 | 4,015,000 | 3,938,502 | |
| Crown Castle 3.15% 7/15/23 | 1,195,000 | 1,193,551 | |
| Crown Castle Towers 144A 3.663% 5/15/45 # | 2,050,000 | 1,952,852 | |
| Netflix 5.875% 2/15/25 | 3,750,000 | 3,768,375 | |
| SBA Tower Trust 144A 3.869% 10/8/49 # | 6,500,000 | 6,300,358 | |
| Sprint 7.875% 9/15/23 | 5,130,000 | 5,147,006 | |
| T-Mobile USA 3.75% 4/15/27 | 3,500,000 | 3,314,811 | |
| Verizon Communications 1.45% 3/20/26 | 2,200,000 | 1,995,717 | |
| Warnermedia Holdings | |||
| 3.638% 3/15/25 | 3,890,000 | 3,754,121 | |
| 6.412% 3/15/26 | 730,000 | 730,770 | |
| 38,954,500 | |||
| Consumer Cyclical — 4.19% | |||
| Aptiv 2.396% 2/18/25 | 2,805,000 | 2,663,483 | |
| Ford Motor Credit | |||
| 2.30% 2/10/25 | 235,000 | 219,901 | |
| 2.70% 8/10/26 | 1,700,000 | 1,519,357 | |
| 3.375% 11/13/25 | 3,095,000 | 2,880,840 | |
| Hyundai Capital America 144A 1.25% 9/18/23 # | 2,200,000 | 2,179,261 | |
| MGM Resorts International 5.75% 6/15/25 | 4,825,000 | 4,786,368 | |
| VICI Properties 4.95% 2/15/30 | 1,310,000 | 1,230,070 | |
| Volkswagen Group of America Finance 144A 0.875% 11/22/23 # | 5,150,000 | 5,056,116 | |
| 20,535,396 | |||
| Consumer Non-Cyclical — 3.67% | |||
| Amgen 5.15% 3/2/28 | 680,000 | 679,873 | |
| Principalamount° | Value (US $) | ||
| Corporate Bonds (continued) | |||
| Consumer Non-Cyclical (continued) | |||
| Becton Dickinson 3.734% 12/15/24 | 998,000 | $ 969,265 | |
| HCA 5.20% 6/1/28 | 320,000 | 317,622 | |
| McCormick & Co. | |||
| 0.90% 2/15/26 | 2,975,000 | 2,653,621 | |
| 3.50% 9/1/23 | 1,320,000 | 1,314,732 | |
| Medtronic Global Holdings 4.25% 3/30/28 | 1,020,000 | 996,201 | |
| Pfizer Investment Enterprises 4.45% 5/19/28 | 700,000 | 688,353 | |
| Royalty Pharma | |||
| 0.75% 9/2/23 | 5,200,000 | 5,152,513 | |
| 1.20% 9/2/25 | 3,940,000 | 3,554,701 | |
| Tenet Healthcare 4.875% 1/1/26 | 1,475,000 | 1,438,117 | |
| Zoetis 5.40% 11/14/25 | 230,000 | 230,765 | |
| 17,995,763 | |||
| Electric — 3.57% | |||
| Duke Energy Carolinas 3.95% 11/15/28 | 2,545,000 | 2,433,027 | |
| Edison International 3.55% 11/15/24 | 3,700,000 | 3,577,692 | |
| Metropolitan Edison 144A 5.20% 4/1/28 # | 1,045,000 | 1,035,305 | |
| MidAmerican Energy 3.70% 9/15/23 | 3,000,000 | 2,987,797 | |
| National Rural Utilities Cooperative Finance | |||
| 1.875% 2/7/25 | 2,630,000 | 2,484,436 | |
| 4.45% 3/13/26 | 1,080,000 | 1,063,939 | |
| 4.80% 3/15/28 | 830,000 | 820,960 | |
| NextEra Energy Capital Holdings 6.051% 3/1/25 | 760,000 | 763,197 | |
| Southern 4.85% 6/15/28 | 1,400,000 | 1,372,974 | |
| Vistra Operations 144A 5.125% 5/13/25 # | 985,000 | 961,356 | |
| 17,500,683 | |||
| Energy — 4.45% | |||
| Eastern Energy Gas Holdings 3.55% 11/1/23 | 3,765,000 | 3,724,369 | |
| Energy Transfer | |||
| 4.25% 4/1/24 | 3,200,000 | 3,151,632 | |
| 5.55% 2/15/28 | 2,700,000 | 2,695,048 | |
| Galaxy Pipeline Assets Bidco 144A 1.75% 9/30/27 # | 3,063,354 | 2,828,270 | |
| Harvest Operations 144A 1.00% 4/26/24 # | 3,600,000 | 3,457,752 | |
| Occidental Petroleum 5.875% 9/1/25 | 4,560,000 | 4,532,908 | |
NQ- IV003 [0623] 0823 (3049452) 3
Schedule of investments
Delaware Ivy Limited-Term Bond Fund (Unaudited)
| Principalamount° | Value (US $) | ||
| Corporate Bonds (continued) | |||
| Energy (continued) | |||
| Targa Resources Partners 5.00% 1/15/28 | 1,475,000 | $ 1,408,990 | |
| 21,798,969 | |||
| Finance Companies — 1.33% | |||
| AerCap Ireland Capital DAC | |||
| 1.65% 10/29/24 | 2,795,000 | 2,627,784 | |
| 3.00% 10/29/28 | 625,000 | 540,898 | |
| Air Lease 5.85% 12/15/27 | 380,000 | 379,852 | |
| Aviation Capital Group | |||
| 144A 4.375% 1/30/24 # | 3,000,000 | 2,951,527 | |
| 144A 6.25% 4/15/28 # | 47,000 | 46,935 | |
| 6,546,996 | |||
| Insurance — 3.36% | |||
| Athene Global Funding | |||
| 144A 0.914% 8/19/24 # | 2,150,000 | 2,009,935 | |
| 144A 0.95% 1/8/24 # | 3,000,000 | 2,911,662 | |
| Humana 5.75% 3/1/28 | 285,000 | 290,196 | |
| MassMutual Global Funding II 144A 0.60% 4/12/24 # | 5,100,000 | 4,907,331 | |
| Met Tower Global Funding 144A 3.70% 6/13/25 # | 2,100,000 | 2,014,976 | |
| Principal Life Global Funding II 144A 0.75% 4/12/24 # | 2,200,000 | 2,112,421 | |
| Protective Life Global Funding 144A 0.631% 10/13/23 # | 2,250,000 | 2,215,970 | |
| 16,462,491 | |||
| Natural Gas — 0.61% | |||
| Sempra Energy 3.30% 4/1/25 | 3,110,000 | 2,984,492 | |
| 2,984,492 | |||
| Technology — 3.83% | |||
| Baidu 1.72% 4/9/26 | 1,050,000 | 942,069 | |
| Oracle 5.80% 11/10/25 | 1,355,000 | 1,370,582 | |
| PayPal Holdings 1.65% 6/1/25 | 5,342,000 | 5,001,567 | |
| Roper Technologies 1.00% 9/15/25 | 3,600,000 | 3,274,554 | |
| Sensata Technologies | |||
| 144A 5.00% 10/1/25 # | 3,720,000 | 3,645,324 | |
| 144A 5.625% 11/1/24 # | 950,000 | 943,686 | |
| Thomson Reuters 4.30% 11/23/23 | 3,630,000 | 3,600,715 | |
| 18,778,497 | |||
| Transportation — 0.35% | |||
| American Airlines 144A 5.50% 4/20/26 # | 328,283 | 325,522 | |
| Principalamount° | Value (US $) | ||
| Corporate Bonds (continued) | |||
| Transportation (continued) | |||
| ERAC USA Finance 144A 4.60% 5/1/28 # | 1,440,000 | $ 1,400,089 | |
| 1,725,611 | |||
| Total Corporate Bonds (cost $270,257,915) | 259,495,529 | ||
| Non-Agency Asset-Backed Securities — 8.79% | |||
| BMW Vehicle Lease Trust Series 2022-1 A3 1.10% 3/25/25 | 3,897,513 | 3,830,865 | |
| Discover Card Execution Note Trust Series 2022-A4 A 5.03% 10/15/27 | 5,750,000 | 5,720,675 | |
| Enterprise Fleet Financing Series 2022-2 A2 144A 4.65% 5/21/29 # | 1,624,162 | 1,598,951 | |
| Ford Credit Auto Owner Trust Series 2022-A B 1.91% 7/15/27 | 3,550,000 | 3,251,533 | |
| Ford Credit Floorplan Master Owner Trust Series 2020-2 A 1.06% 9/15/27 | 7,600,000 | 6,894,747 | |
| GM Financial Automobile Leasing Trust Series 2022-1 B 2.23% 2/20/26 | 4,150,000 | 3,972,890 | |
| GTE Auto Receivables Trust Series 2023-1 A2 144A 5.65% 8/17/26 # | 2,500,000 | 2,486,398 | |
| Hyundai Auto Lease Securitization Trust Series 2023-A A3 144A 5.05% 1/15/26 # | 2,500,000 | 2,479,512 | |
| Toyota Lease Owner Trust Series 2021-B A3 144A 0.42% 10/21/24 # | 3,085,460 | 3,050,857 | |
| Verizon Master Trust | |||
| Series 2022-2 A 1.53% 7/20/28 | 3,000,000 | 2,816,827 | |
| Series 2022-2 B 1.83% 7/20/28 | 3,550,000 | 3,321,843 | |
| Volkswagen Auto Lease Trust Series 2022-A A3 3.44% 7/21/25 | 3,750,000 | 3,672,833 | |
| Total Non-Agency Asset-Backed Securities (cost $44,329,379) | 43,097,931 | ||
| US Treasury Obligations — 17.10% | |||
| US Treasury Notes | |||
| 4.00% 6/30/28 | 29,790,000 | 29,629,414 | |
4 NQ- IV003 [0623] 0823 (3049452)
(Unaudited)
| Principalamount° | Value (US $) | ||
| US Treasury Obligations (continued) | |||
| US Treasury Notes | |||
| 4.125% 6/15/26 | 54,755,000 | $ 54,207,450 | |
| Total US Treasury Obligations (cost $84,045,533) | 83,836,864 | ||
| Total Value of Securities—99.45% (cost $503,176,259) | 487,573,539 | ||
| Receivables and Other Assets Net of Liabilities—0.55% | 2,694,701★ | ||
| Net Assets Applicable to 47,653,963 Shares Outstanding—100.00% | $490,268,240 | ||
| ° | 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 June 30, 2023, the aggregate value of Rule 144A securities was $172,702,159, which represents 35.23% of the Fund's net assets. |
| • | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. 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 June 30, 2023. Rate will reset at a future date. |
| ★ | Includes $614,405 cash collateral held at broker for futures contracts as of June 30, 2023. |
The following futures contracts were outstanding at June 30, 2023:
| Futures Contracts Exchange-Traded | |||||||||||
| Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | ||||||
| 409 | US Treasury 2 yr Notes | $83,167,594 | $84,350,829 | 9/29/23 | $(1,183,235) | $(12,781) | |||||
| 63 | US Treasury 5 yr Notes | 6,746,906 | 6,859,915 | 9/29/23 | (113,009) | — | |||||
| Total Futures Contracts | $91,210,744 | $(1,296,244) | $(12,781) | ||||||||
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the schedule of investments. 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 |
| FREMF – Freddie Mac Multifamily |
| GNMA – Government National Mortgage Association |
| ICE – Intercontinental Exchange, Inc. |
| LIBOR – London Interbank Offered Rate |
| Summary of abbreviations: (continued) |
| LIBOR01M – ICE LIBOR USD 1 Month |
| LIBOR03M – ICE LIBOR USD 3 Month |
| LIBOR06M – ICE LIBOR USD 6 Month |
| TSFR03M – 3 Month Term Secured Overnight Financing Rate |
| USD – US Dollar |
| yr – Year |
NQ- IV003 [0623] 0823 (3049452) 5