Schedule of investments
Delaware Ivy Total Return Bond Fund
June 30, 2023 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities — 12.45% | |||
Fannie Mae S.F. 20 yr 4.00% 8/1/42 | 106,725 | $ 101,694 | |
Fannie Mae S.F. 30 yr | |||
2.50% 4/1/51 | 158,183 | 134,826 | |
3.50% 1/1/52 | 473,429 | 432,265 | |
3.50% 6/1/52 | 202,447 | 184,521 | |
4.00% 5/1/51 | 158,284 | 150,507 | |
4.50% 4/1/50 | 92,507 | 90,637 | |
4.50% 2/1/53 | 175,334 | 168,587 | |
5.00% 9/1/52 | 293,231 | 287,538 | |
5.50% 10/1/52 | 334,080 | 333,216 | |
5.50% 3/1/53 | 389,493 | 387,659 | |
5.50% 7/1/53 | 249,000 | 247,828 | |
6.00% 6/1/53 | 519,442 | 523,992 | |
Freddie Mac S.F. 15 yr | |||
4.50% 9/1/37 | 169,181 | 166,075 | |
5.00% 6/1/38 | 241,335 | 239,768 | |
Freddie Mac S.F. 20 yr 5.50% 6/1/43 | 206,059 | 206,231 | |
Freddie Mac S.F. 30 yr | |||
2.50% 5/1/52 | 141,206 | 119,794 | |
3.00% 12/1/46 | 252,211 | 225,668 | |
3.00% 7/1/50 | 140,284 | 125,125 | |
4.00% 8/1/52 | 64,985 | 61,270 | |
4.50% 9/1/52 | 299,161 | 287,837 | |
4.50% 10/1/52 | 506,343 | 486,878 | |
5.00% 7/1/52 | 355,957 | 349,140 | |
5.00% 6/1/53 | 248,000 | 243,779 | |
6.00% 12/1/52 | 137,001 | 138,201 | |
GNMA II S.F. 30 yr 3.00% 12/20/51 | 171,165 | 153,255 | |
Total Agency Mortgage-Backed Securities (cost $5,938,278) | 5,846,291 |
Corporate Bonds — 40.46% | |||
Banking — 11.30% | |||
Bank of America | |||
5.288% 4/25/34 μ | 135,000 | 133,806 | |
6.204% 11/10/28 μ | 475,000 | 488,614 | |
Barclays 7.385% 11/2/28 μ | 385,000 | 401,354 | |
Credit Suisse 7.95% 1/9/25 | 340,000 | 347,070 | |
Deutsche Bank | |||
5.625% 5/19/31 μ | EUR | 100,000 | 104,240 |
6.72% 1/18/29 μ | 355,000 | 355,781 | |
Fifth Third Bank 5.852% 10/27/25 μ | 645,000 | 628,601 | |
Huntington National Bank 5.65% 1/10/30 | 485,000 | 463,578 | |
KeyCorp 4.789% 6/1/33 μ | 41,000 | 34,391 |
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Morgan Stanley | |||
2.95% 5/7/32 μ | EUR | 500,000 | $ 493,226 |
5.25% 4/21/34 μ | 95,000 | 93,852 | |
6.296% 10/18/28 μ | 651,000 | 669,537 | |
SVB Financial Group 4.57% 4/29/33 μ, ‡ | 264,000 | 177,241 | |
Truist Financial 6.123% 10/28/33 μ | 224,000 | 227,450 | |
US Bancorp | |||
4.653% 2/1/29 μ | 333,000 | 318,408 | |
5.727% 10/21/26 μ | 332,000 | 331,950 | |
5.836% 6/12/34 μ | 35,000 | 35,269 | |
5,304,368 | |||
Basic Industry — 1.40% | |||
Celanese US Holdings 6.05% 3/15/25 | 205,000 | 204,265 | |
ELM for Firmenich International 3.75% 9/3/25 μ, ψ | EUR | 300,000 | 313,736 |
Metinvest 8.50% 4/23/26 | 200,000 | 137,102 | |
655,103 | |||
Capital Goods — 0.71% | |||
Holcim Finance Luxembourg 0.50% 4/23/31 | EUR | 400,000 | 332,739 |
332,739 | |||
Communications — 2.65% | |||
AT&T | |||
3.50% 9/15/53 | 165,000 | 116,923 | |
5.40% 2/15/34 | 35,000 | 35,077 | |
Charter Communications Operating 3.85% 4/1/61 | 170,000 | 102,966 | |
CK Hutchison Group Telecom Finance 1.50% 10/17/31 | EUR | 200,000 | 173,174 |
CT Trust 144A 5.125% 2/3/32 # | 200,000 | 160,698 | |
Discovery Communications 4.00% 9/15/55 | 130,000 | 86,536 | |
Sprint Capital 6.875% 11/15/28 | 305,000 | 323,573 | |
T-Mobile USA | |||
3.375% 4/15/29 | 135,000 | 122,033 | |
5.05% 7/15/33 | 125,000 | 122,790 | |
1,243,770 | |||
Consumer Cyclical — 1.96% | |||
Ford Motor Credit | |||
2.30% 2/10/25 | 200,000 | 187,150 | |
2.90% 2/10/29 | 200,000 | 165,700 | |
General Motors Financial 5.85% 4/6/30 | 255,000 | 253,016 |
NQ- IV052 [0623] 0823 (3049885) 1
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
VICI Properties 4.95% 2/15/30 | 335,000 | $ 314,560 | |
920,426 | |||
Consumer Non-Cyclical — 1.87% | |||
Amgen 5.15% 3/2/28 | 500,000 | 499,907 | |
Central American Bottling 144A 5.25% 4/27/29 # | 200,000 | 184,981 | |
HCA | |||
3.50% 7/15/51 | 48,000 | 33,257 | |
5.20% 6/1/28 | 40,000 | 39,703 | |
MHP Lux 6.95% 4/3/26 | 215,000 | 121,865 | |
879,713 | |||
Electric — 4.04% | |||
Duke Energy 3.10% 6/15/28 | EUR | 200,000 | 205,894 |
Enel 1.875% 6/8/30 μ, ψ | EUR | 300,000 | 237,685 |
Exelon 5.30% 3/15/33 | 170,000 | 169,550 | |
Indianapolis Power & Light 144A 5.65% 12/1/32 # | 215,000 | 219,520 | |
Southern 1.875% 9/15/81 μ | EUR | 300,000 | 256,954 |
Vistra Operations | |||
144A 5.00% 7/31/27 # | 580,000 | 543,412 | |
144A 5.125% 5/13/25 # | 205,000 | 200,079 | |
144A 5.625% 2/15/27 # | 68,000 | 65,238 | |
1,898,332 | |||
Energy — 3.86% | |||
BP Capital Markets America 4.812% 2/13/33 | 335,000 | 330,289 | |
Cheniere Energy Partners 144A 5.95% 6/30/33 # | 45,000 | 45,187 | |
Enterprise Products Operating 5.35% 1/31/33 | 145,000 | 147,513 | |
Galaxy Pipeline Assets Bidco | |||
144A 2.16% 3/31/34 # | 177,420 | 151,081 | |
2.16% 3/31/34 | 177,420 | 151,081 | |
Greenko Power II 144A 4.30% 12/13/28 # | 185,500 | 161,694 | |
Occidental Petroleum 6.125% 1/1/31 | 58,000 | 58,952 | |
QazaqGaz JSC 144A 4.375% 9/26/27 # | 235,000 | 219,381 | |
Targa Resources Partners 5.00% 1/15/28 | 400,000 | 382,099 | |
Thaioil Treasury Center 144A 2.50% 6/18/30 # | 200,000 | 163,542 | |
1,810,819 | |||
Finance Companies — 2.06% | |||
AerCap Ireland Capital DAC 3.00% 10/29/28 | 150,000 | 129,815 | |
Air Lease 5.85% 12/15/27 | 515,000 | 514,799 |
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Aviation Capital Group | |||
144A 3.50% 11/1/27 # | 195,000 | $ 172,392 | |
144A 6.25% 4/15/28 # | 150,000 | 149,794 | |
966,800 | |||
Financial Services — 0.96% | |||
Aroundtown | |||
1.45% 7/9/28 | EUR | 400,000 | 296,847 |
1.625% 1/31/28 | EUR | 200,000 | 154,466 |
451,313 | |||
Government Agency — 0.41% | |||
Development Bank of Kazakhstan JSC 144A 10.95% 5/6/26 # | KZT | 100,000,000 | 194,076 |
194,076 | |||
Industrials — 0.79% | |||
CK Hutchison International 23 144A 4.875% 4/21/33 # | 200,000 | 198,102 | |
Georgian Railway 4.00% 6/17/28 | 200,000 | 173,447 | |
371,549 | |||
Insurance — 2.31% | |||
Allianz 2.625% 10/30/30 μ, ψ | EUR | 400,000 | 306,538 |
American International Group 5.125% 3/27/33 | 265,000 | 258,986 | |
AXA 5.125% 7/4/43 μ | EUR | 300,000 | 327,268 |
UnitedHealth Group 4.00% 5/15/29 | 200,000 | 191,274 | |
1,084,066 | |||
Natural Gas — 0.42% | |||
ENN Energy Holdings 144A 4.625% 5/17/27 # | 200,000 | 194,938 | |
194,938 | |||
Real Estate Investment Trusts — 0.66% | |||
Digital Stout Holding 3.75% 10/17/30 | GBP | 300,000 | 311,236 |
311,236 | |||
Technology — 1.93% | |||
CDW 3.276% 12/1/28 | 180,000 | 156,475 | |
Entegris Escrow 144A 4.75% 4/15/29 # | 405,000 | 376,349 | |
Oracle 4.65% 5/6/30 | 385,000 | 372,224 | |
905,048 |
2 NQ- IV052 [0623] 0823 (3049885)
(Unaudited)
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation — 2.77% | |||
Abertis Infraestructuras Finance 3.248% 11/24/25 μ, ψ | EUR | 100,000 | $ 98,300 |
Autostrade per l'Italia 2.00% 12/4/28 | EUR | 300,000 | 286,571 |
ERAC USA Finance 144A 4.90% 5/1/33 # | 75,000 | 73,348 | |
International Consolidated Airlines Group 3.75% 3/25/29 | EUR | 100,000 | 95,480 |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 224,000 | 224,761 | |
Rumo Luxembourg 144A 5.25% 1/10/28 # | 215,000 | 199,950 | |
Wizz Air Finance 1.35% 1/19/24 | EUR | 300,000 | 320,523 |
1,298,933 | |||
Utilities — 0.36% | |||
Sociedad de Transmision Austral 144A 4.00% 1/27/32 # | 200,000 | 171,322 | |
171,322 | |||
Total Corporate Bonds (cost $20,483,257) | 18,994,551 | ||
Sovereign Bonds — 34.19%Δ | |||
Albania — 0.39% | |||
Albania Government International Bond 144A 3.50% 11/23/31 # | EUR | 200,000 | 182,280 |
182,280 | |||
Armenia — 0.33% | |||
Republic of Armenia International Bond 144A 3.60% 2/2/31 # | 200,000 | 157,280 | |
157,280 | |||
Belgium — 2.00% | |||
Kingdom of Belgium Government Bond 144A 3.45% 6/22/43 # | EUR | 850,000 | 937,723 |
937,723 | |||
Bermuda — 1.29% | |||
Bermuda Government International Bonds | |||
144A 2.375% 8/20/30 # | 250,000 | 209,627 | |
144A 5.00% 7/15/32 # | 200,000 | 195,500 |
Principalamount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Bermuda (continued) | |||
Bermuda Government International Bonds | |||
5.00% 7/15/32 | 206,000 | $ 201,365 | |
606,492 | |||
Brazil — 0.43% | |||
Brazil Notas do Tesouro Nacional Serie F 10.00% 1/1/33 | BRL | 1,000,000 | 201,488 |
201,488 | |||
Chile — 0.42% | |||
Chile Government International Bond 4.34% 3/7/42 | 219,000 | 194,968 | |
194,968 | |||
Denmark — 2.85% | |||
Denmark Government Bond 2.25% 11/15/33 | DKK | 9,500,000 | 1,338,924 |
1,338,924 | |||
Dominican Republic — 0.87% | |||
Dominican Republic International Bonds | |||
144A 4.875% 9/23/32 # | 267,000 | 227,923 | |
6.50% 2/15/48 | 210,000 | 181,982 | |
409,905 | |||
Georgia — 0.38% | |||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 180,057 | |
180,057 | |||
Germany — 0.67% | |||
Bundesrepublik Deutschland Bundesanleihe 1.80% 8/15/53 | EUR | 330,000 | 314,724 |
314,724 | |||
Honduras — 0.35% | |||
Honduras Government International Bond 144A 5.625% 6/24/30 # | 200,000 | 162,289 | |
162,289 | |||
Indonesia — 2.09% | |||
Indonesia Government International Bonds | |||
1.40% 10/30/31 | EUR | 219,000 | 189,829 |
3.85% 10/15/30 | 416,000 | 390,438 | |
4.65% 9/20/32 | 200,000 | 196,272 |
NQ- IV052 [0623] 0823 (3049885) 3
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
Principalamount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Indonesia (continued) | |||
Indonesia Government International Bonds | |||
Perusahaan Penerbit SBSN Indonesia III 4.70% 6/6/32 | 204,000 | $ 202,590 | |
979,129 | |||
Italy — 3.63% | |||
Italy Buoni Poliennali Del Tesoro | |||
0.35% 2/1/25 | EUR | 1,000,000 | 1,034,452 |
0.95% 6/1/32 | EUR | 420,000 | 357,941 |
144A 3.25% 3/1/38 # | EUR | 320,000 | 312,621 |
1,705,014 | |||
Ivory Coast — 1.39% | |||
Ivory Coast Government International Bonds | |||
4.875% 1/30/32 | EUR | 390,000 | 332,339 |
5.875% 10/17/31 | EUR | 350,000 | 320,790 |
653,129 | |||
Kazakhstan — 0.38% | |||
Kazakhstan Government International Bond 4.875% 10/14/44 | 200,000 | 180,704 | |
180,704 | |||
Morocco — 0.85% | |||
Morocco Government International Bonds 4.00% 12/15/50 | 590,000 | 398,102 | |
398,102 | |||
Netherlands — 2.66% | |||
Netherlands Government Bonds | |||
144A 0.50% 7/15/32 # | EUR | 430,000 | 388,146 |
144A 2.50% 7/15/33 # | EUR | 800,000 | 858,896 |
1,247,042 | |||
Nigeria — 0.34% | |||
Nigeria Government International Bonds 7.375% 9/28/33 | 200,000 | 157,982 | |
157,982 | |||
Pakistan — 0.18% | |||
Pakistan Water & Power Development Authority 7.50% 6/4/31 | 200,000 | 86,550 | |
86,550 | |||
Paraguay — 1.76% | |||
Paraguay Government International Bonds | |||
144A 2.739% 1/29/33 # | 278,000 | 222,993 |
Principalamount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Paraguay (continued) | |||
Paraguay Government International Bonds | |||
144A 4.95% 4/28/31 # | 625,000 | $ 601,945 | |
824,938 | |||
Poland — 0.42% | |||
Bank Gospodarstwa Krajowego Bond 144A 5.375% 5/22/33 # | 200,000 | 199,195 | |
199,195 | |||
Republic of North Macedonia — 0.49% | |||
North Macedonia Government International Bond 144A 1.625% 3/10/28 # | EUR | 262,000 | 232,260 |
232,260 | |||
Senegal — 0.36% | |||
Senegal Government International Bond 6.25% 5/23/33 | 200,000 | 167,937 | |
167,937 | |||
Serbia — 0.35% | |||
Serbia International Bond 1.00% 9/23/28 | EUR | 193,000 | 163,374 |
163,374 | |||
Spain — 3.01% | |||
Spain Government Bonds | |||
144A 1.85% 7/30/35 # | EUR | 460,000 | 421,331 |
144A 3.55% 10/31/33 # | EUR | 900,000 | 991,071 |
1,412,402 | |||
United Kingdom — 4.21% | |||
United Kingdom Gilt | |||
0.375% 10/22/30 | GBP | 500,000 | 476,303 |
1.75% 9/7/37 | GBP | 1,650,000 | 1,498,257 |
1,974,560 | |||
Uzbekistan — 2.09% | |||
Republic of Uzbekistan International Bonds | |||
3.90% 10/19/31 | 625,000 | 503,906 | |
5.375% 2/20/29 | 519,000 | 476,104 | |
980,010 | |||
Total Sovereign Bonds (cost $17,071,468) | 16,048,458 | ||
Supranational Banks — 2.34% | |||
Banque Ouest Africaine de Developpement | |||
4.70% 10/22/31 | 200,000 | 162,727 |
4 NQ- IV052 [0623] 0823 (3049885)
(Unaudited)
Principalamount° | Value (US $) | ||
Supranational Banks (continued) | |||
Banque Ouest Africaine de Developpement | |||
5.00% 7/27/27 | 200,000 | $ 183,184 | |
Corp Andina de Fomento 5.25% 11/21/25 | 200,000 | 198,126 | |
European Union 1.00% 7/6/32 | EUR | 600,000 | 552,343 |
Total Supranational Banks (cost $1,176,135) | 1,096,380 |
Number of shares | |||
Short-Term Investments — 1.07% | |||
Money Market Mutual Funds — 1.07% | |||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 124,904 | 124,904 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 124,904 | 124,904 | |
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 124,904 | 124,904 | |
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 124,904 | 124,904 | |
Total Short-Term Investments (cost $499,616) | 499,616 | ||
Total Value of Securities Before Options Written—90.51% (cost $45,168,754) | 42,485,296 |
Notional amount* | Value (US $) | ||
Options Written — (0.06%) | |||
Put Swaptions — (0.06%) | |||
FWDP 1yr strike price $6.50, expiration date 12/28/23 (JPMCB) | (9,500,000) | $ (28,001) | |
Total Options Written (premium received $34,524) | (28,001) | ||
Receivables and Other Assets Net of Liabilities—9.55%★ | 4,483,704 | ||
Net Assets Applicable to 5,791,283 Shares Outstanding—100.00% | $46,940,999 |
° | 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 June 30, 2023. Rate will reset at a future date. |
‡ | Non-income producing security. Security is currently in default. |
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 June 30, 2023, the aggregate value of Rule 144A securities was $10,550,982, which represents 22.48% of the Fund's net assets. |
Δ | Securities have been classified by country of risk. |
* | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
★ | Includes $832,534 cash collateral held at broker for futures contracts as of June 30, 2023. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2023:
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
CITI | AUD | 1,320,000 | USD | (888,625) | 8/25/23 | $— | $(7,852) | |||||
CITI | CAD | (76,083) | USD | 56,915 | 8/25/23 | — | (569) | |||||
CITI | DKK | (9,275,000) | USD | 1,370,638 | 8/25/23 | 6,570 | — | |||||
CITI | EUR | 2,500,000 | USD | (2,778,897) | 8/25/23 | — | (43,071) | |||||
CITI | NZD | 1,130,000 | USD | (713,390) | 8/25/23 | — | (20,081) |
NQ- IV052 [0623] 0823 (3049885) 5
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
JPMCB | AUD | (670,000) | USD | 449,329 | 8/25/23 | $2,270 | $— | |||||
JPMCB | BRL | (994,000) | USD | 200,464 | 7/14/23 | — | (6,574) | |||||
JPMCB | CZK | 7,951,180 | USD | (370,090) | 7/14/23 | — | (5,363) | |||||
JPMCB | EUR | (1,590,000) | USD | 1,754,034 | 7/14/23 | 17,773 | — | |||||
JPMCB | EUR | 2,679,841 | USD | (2,942,178) | 8/25/23 | — | (9,546) | |||||
JPMCB | GBP | (645,802) | USD | 814,914 | 8/25/23 | — | (5,459) | |||||
JPMCB | INR | 29,567,220 | USD | (358,847) | 7/14/23 | 1,171 | — | |||||
JPMCB | JPY | 72,309,120 | USD | (548,032) | 8/25/23 | — | (42,425) | |||||
JPMCB | KZT | 164,964,000 | USD | (353,355) | 7/14/23 | 10,408 | — | |||||
MS | NZD | (2,800,000) | USD | 1,726,995 | 8/25/23 | 9,062 | — | |||||
TD | EUR | (18,796,850) | USD | 20,667,625 | 8/25/23 | 97,657 | — | |||||
TD | JPY | (70,000,000) | USD | 525,571 | 8/25/23 | 36,110 | — | |||||
TD | NZD | 1,670,000 | USD | (1,028,445) | 8/25/23 | — | (3,821) | |||||
Total Foreign Currency Exchange Contracts | $181,021 | $(144,761) |
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 | |||||||
64 | Australian Treasury 10 yr Bonds | $4,952,844 | $4,983,043 | 9/15/23 | $— | $(30,199) | $(45,492) | ||||||
16 | Canadian Treasury 10 yr Bonds | 1,479,887 | 1,470,745 | 9/20/23 | 9,142 | — | 11,594 | ||||||
2 | Euro-Bobl | 252,526 | 253,948 | 9/7/23 | — | (1,422) | (27) | ||||||
(16) | Euro-BTP | (2,027,188) | (2,007,955) | 9/7/23 | — | (19,232) | (597) | ||||||
(28) | Euro-Bund | (4,086,238) | (4,116,997) | 9/7/23 | 30,759 | — | (2,922) | ||||||
(11) | Euro-Buxl | (1,675,647) | (1,646,297) | 9/7/23 | — | (29,350) | (9,202) | ||||||
54 | Euro-EURIBOR | 14,224,447 | 14,359,312 | 12/16/24 | — | (134,865) | (3,465) | ||||||
(54) | Euro-EURIBOR | (14,143,424) | (14,251,626) | 12/18/23 | 108,202 | — | — | ||||||
(1) | Euro-OAT | (140,110) | (140,872) | 9/7/23 | 762 | — | (73) | ||||||
(6) | Euro-Schatz | (686,474) | (692,094) | 9/7/23 | 5,620 | — | 250 | ||||||
(2) | Japanese Treasury 10 yr Bonds | (2,058,977) | (2,062,719) | 9/12/23 | 3,742 | — | 1,533 | ||||||
2 | Long 10 yr Gilt | 242,062 | 244,580 | 9/27/23 | — | (2,518) | (875) | ||||||
19 | Short Euro-BTP | 2,169,688 | 2,191,075 | 9/7/23 | — | (21,387) | (704) | ||||||
17 | SONIA Index Future | 5,060,966 | 5,103,637 | 3/19/24 | — | (42,671) | (2,969) | ||||||
(22) | US Treasury 2 yr Notes | (4,473,563) | (4,534,370) | 9/29/23 | 60,807 | — | 688 | ||||||
107 | US Treasury 5 yr Notes | 11,459,031 | 11,662,044 | 9/29/23 | — | (203,013) | — | ||||||
45 | US Treasury 10 yr Notes | 5,051,954 | 5,121,250 | 9/20/23 | — | (69,296) | 6,328 | ||||||
(32) | US Treasury 10 yr Ultra Notes | (3,790,000) | (3,828,380) | 9/20/23 | 38,380 | — | (9,500) | ||||||
(10) | US Treasury Ultra Bonds | (1,362,188) | (1,349,661) | 9/20/23 | — | (12,527) | (12,500) | ||||||
Total Futures Contracts | $10,758,663 | $257,414 | $(566,480) | $(67,933) |
6 NQ- IV052 [0623] 0823 (3049885)
(Unaudited)
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 | ||||||
Centrally Cleared: | ||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||
CDX.NA.IG.40.V14 6/20/28-Quarterly | 7,000,000 | 1.000% | $(105,734) | $(74,352) | $(31,382) | $(10,607) | ||||||
(105,734) | (74,352) | (31,382) | (10,607) | |||||||||
Over-The-Counter: | ||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||
JPMCB Republic of Brazil 1.00% 6/20/28 Ba2 6/20/28- Quarterly | 347,000 | 1.000% | 11,473 | 14,673 | (3,200) | — | ||||||
JPMCB Republic of Indonesia 1.00% 6/20/28 Ba2 6/20/28- Quarterly | 495,000 | 1.000% | (2,888) | (2,830) | (58) | — | ||||||
Total CDS Contracts | $(97,149) | $(62,509) | $(34,640) | $(10,607) |
IRS Contracts | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
3 yr IRS 6/5/26- (At Maturity/At Maturity) | JPY 1,800,000,000 | 0%/ 0.3052% | $(9,604) | $— | $— | $(9,604) | $1,964 | |||||||
Total IRS Contracts | $(9,604) | $— | $— | $(9,604) | $1,964 |
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 the schedule of investments. The foreign currency exchange contracts and notional amounts 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.
NQ- IV052 [0623] 0823 (3049885) 7
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
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 $(257). |
4 | Markit’s North America Investment Grade Index, or the CDX.NA.IG Index, is composed of 125 liquid North American entities with investment grade credit ratings that trade in the CDS market. |
5 | An IRS agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts. |
Summary of abbreviations: |
BTP – Buoni del Tesoro Poliennali |
CDX.NA.IG – Credit Default Swap Index North America Investment Grade |
Summary of abbreviations: (continued) |
CITI – Citigroup |
DAC – Designated Activity Company |
EURIBOR – Euro interbank offered rate |
GNMA – Government National Mortgage Association |
IRS – Interest Rate Swap |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
MS – Morgan Stanley |
OAT – Obligations Assimilables du Tresor |
S.F. – Single Family |
SONIA – Sterling Overnight Indexed Average |
TD – TD Bank |
yr – Year |
Summary of currencies: |
AUD – Australian Dollar |
BRL – Brazilian Real |
CAD – Canadian Dollar |
CZK – Czech Koruna |
DKK – Danish Krone |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
INR – Indian Rupee |
JPY – Japanese Yen |
KZT – Kazakhstani Tenge |
NZD – New Zealand Dollar |
USD – US Dollar |
8 NQ- IV052 [0623] 0823 (3049885)