Schedule of investments
Delaware Ivy Total Return Bond Fund
December 31, 2023 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities — 11.50% | |||
Fannie Mae S.F. 20 yr 4.00% 8/1/42 | 101,656 | $ 97,626 | |
Fannie Mae S.F. 30 yr | |||
2.50% 2/1/52 | 106,305 | 90,834 | |
3.50% 6/1/52 | 196,730 | 180,514 | |
3.50% 9/1/52 | 102,331 | 93,893 | |
4.00% 5/1/51 | 149,884 | 143,384 | |
4.50% 4/1/50 | 86,369 | 85,146 | |
4.50% 12/1/52 | 188,680 | 182,955 | |
5.50% 10/1/52 | 317,225 | 319,520 | |
5.50% 3/1/53 | 282,570 | 283,712 | |
Freddie Mac S.F. 15 yr 5.00% 6/1/38 | 115,403 | 116,055 | |
Freddie Mac S.F. 20 yr 5.50% 6/1/43 | 116,407 | 118,080 | |
Freddie Mac S.F. 30 yr | |||
3.00% 12/1/46 | 40,188 | 36,440 | |
4.50% 9/1/52 | 231,525 | 224,500 | |
5.00% 6/1/53 | 493,040 | 488,740 | |
6.00% 12/1/52 | 132,138 | 134,312 | |
6.00% 3/1/53 | 223,944 | 227,432 | |
GNMA II S.F. 30 yr 3.00% 12/20/51 | 163,048 | 147,582 | |
Total Agency Mortgage-Backed Securities (cost $2,941,317) | 2,970,725 |
Corporate Bonds — 38.23% | |||
Banking — 12.92% | |||
Bank of America | |||
2.972% 2/4/33 μ | 37,000 | 31,495 | |
5.819% 9/15/29 μ | 33,000 | 34,086 | |
6.204% 11/10/28 μ | 185,000 | 193,096 | |
Barclays 7.385% 11/2/28 μ | 160,000 | 171,088 | |
Commonwealth Bank of Australia 6.86% 11/9/32 μ | AUD | 500,000 | 358,615 |
Credit Agricole 144A 6.316% 10/3/29 #, μ | 250,000 | 262,092 | |
Credit Suisse 7.95% 1/9/25 | 340,000 | 347,740 | |
Deutsche Bank 6.72% 1/18/29 μ | 205,000 | 214,798 | |
Fifth Third Bank 5.852% 10/27/25 μ | 290,000 | 289,337 | |
Huntington National Bank 5.65% 1/10/30 | 175,000 | 176,681 | |
JPMorgan Chase & Co. 1.764% 11/19/31 μ | 220,000 | 178,403 | |
Morgan Stanley | |||
2.95% 5/7/32 μ | EUR | 100,000 | 104,695 |
6.296% 10/18/28 μ | 231,000 | 242,107 | |
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
National Australia Bank 6.322% 8/3/32 μ | AUD | 500,000 | $ 350,862 |
PNC Financial Services Group 6.875% 10/20/34 μ | 30,000 | 33,317 | |
SVB Financial Group 4.57% 4/29/33 ‡ | 134,000 | 88,607 | |
Truist Financial 7.161% 10/30/29 μ | 95,000 | 102,672 | |
US Bancorp | |||
4.653% 2/1/29 μ | 133,000 | 130,982 | |
6.787% 10/26/27 μ | 25,000 | 26,114 | |
3,336,787 | |||
Basic Industry — 0.42% | |||
ELM for Firmenich International 3.75% 9/3/25 μ, ψ | EUR | 100,000 | 108,458 |
108,458 | |||
Brokerage — 0.53% | |||
Jefferies Financial Group 2.625% 10/15/31 | 165,000 | 136,782 | |
136,782 | |||
Capital Goods — 1.14% | |||
Carrier Global 144A 4.125% 5/29/28 # | EUR | 100,000 | 113,807 |
Holcim Finance Luxembourg 0.50% 4/23/31 | EUR | 200,000 | 180,189 |
293,996 | |||
Communications — 2.84% | |||
Charter Communications Operating 3.85% 4/1/61 | 145,000 | 90,495 | |
Comcast 4.80% 5/15/33 | 100,000 | 101,292 | |
Crown Castle | |||
2.10% 4/1/31 | 94,000 | 76,614 | |
5.60% 6/1/29 | 13,000 | 13,303 | |
Discovery Communications 4.00% 9/15/55 | 110,000 | 78,405 | |
Sprint Capital 6.875% 11/15/28 | 185,000 | 200,580 | |
T-Mobile USA | |||
3.375% 4/15/29 | 135,000 | 125,582 | |
5.75% 1/15/34 | 45,000 | 47,749 | |
734,020 | |||
Consumer Cyclical — 0.44% | |||
Edenred 3.625% 6/13/31 | EUR | 100,000 | 112,555 |
112,555 | |||
Consumer Non-Cyclical — 1.23% | |||
Amgen 5.15% 3/2/28 | 130,000 | 133,141 |
NQ- IV052 [1223] 0224 (3377190) 1
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Bristol-Myers Squibb 5.90% 11/15/33 | 35,000 | $ 38,148 | |
Bunge Limited Finance 2.75% 5/14/31 | 130,000 | 113,227 | |
HCA 3.50% 7/15/51 | 48,000 | 33,864 | |
318,380 | |||
Electric — 5.05% | |||
Appalachian Power 4.50% 8/1/32 | 115,000 | 110,780 | |
Constellation Energy Generation 5.60% 3/1/28 | 125,000 | 128,835 | |
Duke Energy 3.10% 6/15/28 | EUR | 200,000 | 217,944 |
Indianapolis Power & Light 144A 5.65% 12/1/32 # | 215,000 | 222,813 | |
Southern 1.875% 9/15/81 μ | EUR | 200,000 | 189,909 |
Vistra Operations | |||
144A 5.00% 7/31/27 # | 290,000 | 282,526 | |
144A 5.625% 2/15/27 # | 68,000 | 67,117 | |
144A 6.95% 10/15/33 # | 80,000 | 84,290 | |
1,304,214 | |||
Energy — 5.28% | |||
Ampol 7.96% (BBSW3M + 3.60%) 12/9/80 • | AUD | 500,000 | 349,097 |
BP Capital Markets America 4.812% 2/13/33 | 90,000 | 90,779 | |
Diamondback Energy 3.125% 3/24/31 | 125,000 | 111,163 | |
Energy Transfer 6.50% 11/15/26 μ, ψ | 65,000 | 61,931 | |
Galaxy Pipeline Assets Bidco 2.16% 3/31/34 | 169,888 | 147,782 | |
Kinder Morgan 5.20% 6/1/33 | 90,000 | 89,507 | |
Occidental Petroleum 6.125% 1/1/31 | 162,000 | 168,384 | |
ONEOK 6.05% 9/1/33 | 17,000 | 18,020 | |
Targa Resources Partners 5.00% 1/15/28 | 160,000 | 158,163 | |
Thaioil Treasury Center 144A 2.50% 6/18/30 # | 200,000 | 169,586 | |
1,364,412 | |||
Finance Companies — 1.36% | |||
AerCap Ireland Capital DAC 3.00% 10/29/28 | 150,000 | 137,022 | |
Air Lease 4.625% 10/1/28 | 101,000 | 98,808 | |
Aviation Capital Group 144A 3.50% 11/1/27 # | 125,000 | 115,290 | |
351,120 |
Principalamount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Financials — 0.67% | |||
Aroundtown 1.45% 7/9/28 | EUR | 200,000 | $ 172,732 |
172,732 | |||
Industrials — 0.78% | |||
CK Hutchison International 23 144A 4.875% 4/21/33 # | 200,000 | 200,615 | |
200,615 | |||
Insurance — 2.38% | |||
Allianz 2.625% 10/30/30 μ, ψ | EUR | 200,000 | 166,641 |
American International Group 5.125% 3/27/33 | 65,000 | 66,005 | |
Athene Global Funding 4.76% 4/21/27 | AUD | 500,000 | 320,370 |
New York Life Global Funding 144A 5.45% 9/18/26 # | 60,000 | 61,369 | |
614,385 | |||
Natural Gas — 0.36% | |||
Engie 0.50% 10/24/30 | EUR | 100,000 | 92,453 |
92,453 | |||
Real Estate Investment Trusts — 1.14% | |||
Charter Hall LWR Pty 2.086% 3/3/28 | AUD | 500,000 | 293,997 |
293,997 | |||
Technology — 0.89% | |||
CDW 3.276% 12/1/28 | 110,000 | 101,042 | |
Entegris Escrow 144A 4.75% 4/15/29 # | 135,000 | 130,215 | |
231,257 | |||
Transportation — 0.80% | |||
Autostrade per l'Italia 2.00% 1/15/30 | EUR | 100,000 | 98,154 |
International Consolidated Airlines Group 3.75% 3/25/29 | EUR | 100,000 | 107,339 |
205,493 | |||
Total Corporate Bonds (cost $9,890,283) | 9,871,656 | ||
Government Agency Obligation — 0.88% | |||
QazaqGaz JSC 144A 4.375% 9/26/27 # | 235,000 | 225,930 | |
Total Government Agency Obligation (cost $215,523) | 225,930 | ||
2 NQ- IV052 [1223] 0224 (3377190)
(Unaudited)
Principalamount° | Value (US $) | ||
Sovereign Bonds — 32.60%Δ | |||
Australia — 1.42% | |||
Australia Government Bond 4.75% 6/21/54 | AUD | 500,000 | $ 367,478 |
367,478 | |||
Belgium — 1.69% | |||
Kingdom of Belgium Government Bond 144A 3.45% 6/22/43 # | EUR | 375,000 | 437,204 |
437,204 | |||
Bermuda — 0.77% | |||
Bermuda Government International Bonds 144A 5.00% 7/15/32 # | 200,000 | 198,900 | |
198,900 | |||
Brazil — 0.31% | |||
Brazil Notas do Tesouro Nacional Serie F 10.00% 1/1/33 | BRL | 400,000 | 81,178 |
81,178 | |||
Chile — 0.76% | |||
Chile Government International Bond 4.34% 3/7/42 | 219,000 | 196,354 | |
196,354 | |||
Dominican Republic — 0.78% | |||
Dominican Republic International Bond 6.50% 2/15/48 | 210,000 | 201,337 | |
201,337 | |||
Finland — 1.38% | |||
Finland Government Bond 144A 3.00% 9/15/33 # | EUR | 310,000 | 355,109 |
355,109 | |||
Georgia — 0.73% | |||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 187,928 | |
187,928 | |||
Germany — 4.98% | |||
Bundesrepublik Deutschland Bundesanleihe | |||
1.80% 8/15/53 | EUR | 110,000 | 109,644 |
2.35% 2/15/32 | EUR | 140,000 | 132,279 |
2.60% 8/15/33 | EUR | 900,000 | 1,043,419 |
1,285,342 |
Principalamount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Indonesia — 1.20% | |||
Indonesia Government International Bond 1.40% 10/30/31 | EUR | 110,000 | $ 103,246 |
Perusahaan Penerbit SBSN Indonesia III 4.70% 6/6/32 | 204,000 | 206,178 | |
309,424 | |||
Italy — 2.73% | |||
Italy Buoni Poliennali Del Tesoro | |||
0.95% 6/1/32 | EUR | 420,000 | 379,955 |
144A 3.25% 3/1/38 # | EUR | 320,000 | 324,744 |
704,699 | |||
Ivory Coast — 1.35% | |||
Ivory Coast Government International Bond 5.875% 10/17/31 | EUR | 350,000 | 347,367 |
347,367 | |||
Japan — 2.25% | |||
Japan Government Thirty Year Bond 0.40% 3/20/50 | JPY | 110,000,000 | 580,479 |
580,479 | |||
Malaysia — 0.38% | |||
Malaysia Government Bond 3.519% 4/20/28 | MYR | 453,000 | 98,325 |
98,325 | |||
Morocco — 0.76% | |||
Morocco Government International Bond 4.00% 12/15/50 | 272,000 | 196,860 | |
196,860 | |||
Netherlands — 2.30% | |||
Netherlands Government Bond 144A 2.50% 7/15/33 # | EUR | 530,000 | 594,134 |
594,134 | |||
Paraguay — 1.18% | |||
Paraguay Government International Bond 144A 4.95% 4/28/31 # | 312,000 | 305,370 | |
305,370 | |||
Poland — 1.30% | |||
Bank Gospodarstwa Krajowego Bond 144A 5.375% 5/22/33 # | 200,000 | 203,214 | |
Republic of Poland Government International Bond 5.50% 4/4/53 | 128,000 | 133,798 | |
337,012 |
NQ- IV052 [1223] 0224 (3377190) 3
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
Principalamount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Serbia — 0.70% | |||
Serbia International Bond 1.00% 9/23/28 | EUR | 193,000 | $ 180,373 |
180,373 | |||
Spain — 0.83% | |||
Spain Government Bond 144A 1.85% 7/30/35 # | EUR | 220,000 | 213,837 |
213,837 | |||
United Kingdom — 4.62% | |||
United Kingdom Gilt | |||
0.375% 10/22/30 | GBP | 500,000 | 522,396 |
1.75% 9/7/37 | GBP | 370,000 | 365,931 |
4.75% 10/22/43 | GBP | 220,000 | 304,284 |
1,192,611 | |||
Uruguay — 0.18% | |||
Uruguay Government International Bond 9.75% 7/20/33 | UYU | 1,839,000 | 47,653 |
47,653 | |||
Total Sovereign Bonds (cost $8,135,898) | 8,418,974 | ||
Supranational Banks — 1.68% | |||
Banque Ouest Africaine de Developpement 4.70% 10/22/31 | 200,000 | 170,918 | |
European Union 1.00% 7/6/32 | EUR | 270,000 | 262,574 |
Total Supranational Banks (cost $475,163) | 433,492 | ||
US Treasury Obligations — 6.70% | |||
US Treasury Bond 3.875% 5/15/43 | 72,900 | 69,523 | |
US Treasury Notes | |||
0.875% 1/31/24 | 275,000 | 274,027 | |
4.375% 11/30/28 | 700,000 | 716,406 | |
4.50% 11/15/33 | 565,000 | 593,338 | |
4.75% 10/15/26 | 10,000 | 10,150 | |
4.875% 10/31/28 | 65,000 | 67,864 | |
Total US Treasury Obligations (cost $1,717,263) | 1,731,308 |
Number of contracts | Value (US $) | ||
Options Purchased — 0.09% | |||
Foreign Currency Put Options — 0.09% | |||
CHF vs JPY, strike price $156, expiration date 6/14/24, notional amount $83,460,000 (JPMCB) | 535,000 | $ 5,278 | |
USD vs JPY, strike price $139, expiration date 5/14/24, notional amount $87,795,180 (JPMCB) | 631,620 | 17,202 | |
Total Options Purchased (cost $25,459) | 22,480 |
Number of shares | |||
Short-Term Investments — 6.61% | |||
Money Market Mutual Funds — 6.61% | |||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 5.26%) | 426,838 | 426,838 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 5.25%) | 426,838 | 426,838 | |
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.37%) | 426,838 | 426,838 | |
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.27%) | 426,838 | 426,838 | |
Total Short-Term Investments (cost $1,707,352) | 1,707,352 | ||
Total Value of Securities Before Options Written—98.29% (cost $25,108,258) | 25,381,917 |
4 NQ- IV052 [1223] 0224 (3377190)
(Unaudited)
Number of contracts | Value (US $) | ||
Options Written — (0.05%) | |||
Foreign Currency Put Options — (0.05%) | |||
CHF vs JPY, , strike price $152, expiration date 6/14/24, notional amount $(81,320,000) (JPMCB) | (535,000) | $ (3,238) | |
USD vs JPY, , strike price $134, expiration date 5/14/24, notional amount $(84,637,080) (JPMCB) | (631,620) | (8,410) | |
Total Options Written (premium received $13,613) | (11,648) | ||
Receivables and Other Assets Net of Liabilities—1.76%★ | 455,015 | ||
Net Assets Applicable to 3,008,967 Shares Outstanding—100.00% | $25,825,284 |
° | 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 December 31, 2023. Rate will reset at a future date. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At December 31, 2023, the aggregate value of Rule 144A securities was $4,756,090, which represents 18.42% of the Fund's net assets. |
‡ | Non-income producing security. Security is currently in default. |
ψ | Perpetual security. Maturity date represents next call date. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at December 31, 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. SOFR01M, SOFR03M, 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. |
Δ | Securities have been classified by country of risk. |
★ | Includes $77,605 cash collateral held at broker for futures contracts as of December 31, 2023. |
The following forward foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at December 31, 2023:
Forward Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
CITI | AUD | (2,950,000) | USD | 1,929,721 | 2/16/24 | $— | $(83,730) | |||||
CITI | CAD | 75,000 | USD | (56,355) | 2/16/24 | 286 | — | |||||
JPMCB | BRL | (427,000) | USD | 86,721 | 2/2/24 | — | (967) | |||||
JPMCB | EUR | (639,000) | USD | 701,515 | 2/2/24 | — | (4,952) | |||||
JPMCB | INR | 10,125,540 | USD | (121,348) | 2/2/24 | 135 | — | |||||
JPMCB | KZT | 21,481,500 | USD | (46,127) | 2/2/24 | 534 | — | |||||
MS | GBP | (960,000) | USD | 1,193,933 | 2/16/24 | — | (30,058) | |||||
MS | JPY | (80,140,880) | USD | 538,307 | 2/16/24 | — | (34,472) | |||||
TD | AUD | (120,000) | USD | 79,412 | 2/16/24 | — | (2,492) | |||||
TD | EUR | (4,891,850) | USD | 5,331,833 | 2/16/24 | — | (79,313) | |||||
TD | GBP | (10,000) | USD | 12,623 | 2/16/24 | — | (127) | |||||
TD | JPY | (3,350,000) | USD | 23,310 | 2/16/24 | — | (633) | |||||
Total Forward Foreign Currency Exchange Contracts | $955 | $(236,744) |
NQ- IV052 [1223] 0224 (3377190) 5
Schedule of investments
Delaware Ivy Total Return Bond Fund (Unaudited)
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 | |||||||
35 | Australian Treasury 3 yr Bonds | $2,548,581 | $2,523,355 | 3/15/24 | $25,226 | $— | $(2,870) | ||||||
26 | Australian Treasury 10 yr Bonds | 2,067,048 | 2,004,029 | 3/15/24 | 63,019 | — | (10,562) | ||||||
(9) | Canadian Treasury 10 yr Bonds | (843,455) | (804,039) | 3/19/24 | — | (39,416) | (139) | ||||||
33 | EURIBOR 3 Month | 8,930,900 | 8,836,992 | 6/16/25 | 93,908 | — | (5,233) | ||||||
15 | EURIBOR 3 Month | 4,044,597 | 4,023,507 | 12/16/24 | 21,090 | — | (2,330) | ||||||
(33) | EURIBOR 3 Month | (8,825,251) | (8,769,645) | 6/17/24 | — | (55,606) | 3,322 | ||||||
9 | Euro-Bobl | 1,185,112 | 1,168,937 | 3/7/24 | 16,175 | — | — | ||||||
(12) | Euro-BTP | (1,578,428) | (1,533,494) | 3/7/24 | — | (44,934) | 14,972 | ||||||
(10) | Euro-Bund | (1,514,840) | (1,486,956) | 3/7/24 | — | (27,884) | 12,123 | ||||||
1 | Euro-Buxl | 156,452 | 147,115 | 3/7/24 | 9,337 | — | (2,920) | ||||||
7 | Euro-OAT | 1,016,263 | 990,545 | 3/7/24 | 25,718 | — | (8,499) | ||||||
(4) | Euro-Schatz | (470,481) | (468,773) | 3/7/24 | — | (1,708) | 292 | ||||||
(5) | Long 10 yr Gilt | (654,214) | (608,509) | 3/26/24 | — | (45,705) | 4,593 | ||||||
9 | Short Euro-BTP | 1,059,626 | 1,053,386 | 3/7/24 | 6,240 | — | (1,309) | ||||||
16 | US Treasury 2 yr Notes | 3,294,625 | 3,261,149 | 3/28/24 | 33,476 | — | 2,000 | ||||||
37 | US Treasury 5 yr Notes | 4,024,617 | 3,946,684 | 3/28/24 | 77,933 | — | 3,180 | ||||||
(26) | US Treasury 10 yr Notes | (2,935,156) | (2,876,033) | 3/19/24 | — | (59,123) | — | ||||||
(17) | US Treasury 10 yr Ultra Notes | (2,006,266) | (1,944,646) | 3/19/24 | — | (61,620) | 1,594 | ||||||
1 | US Treasury Long Bonds | 124,938 | 115,932 | 3/19/24 | 9,006 | — | (188) | ||||||
Total Futures Contracts | $9,579,536 | $381,128 | $(335,996) | $8,026 |
Swap Contracts
CDS Contracts1 | ||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Amortized Upfront Payments Paid (Received) | Unrealized Depreciation3 | |||||
Over-The-Counter: | ||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||
JPMCB Republic of Brazil 1.00% 12/20/28 Ba2 6/20/28- Quarterly | 347,000 | 1.000% | $2,246 | $13,186 | $(10,940) | |||||
JPMCB Republic of Indonesia 1.00% 12/20/28 Baa2 6/20/28- Quarterly | 495,000 | 1.000% | (7,146) | (2,544) | (4,602) | |||||
Total CDS Contracts | $(4,900) | $10,642 | $(15,542) |
6 NQ- IV052 [1223] 0224 (3377190)
(Unaudited)
The use of forward 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 forward 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.
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 $(281). |
Summary of abbreviations: |
BBSW3M – Bank Bill Swap Rate 3 Month |
BTP – Buoni del Tesoro Poliennali |
CHF – Collegiate Housing Foundation |
CITI – Citigroup |
DAC – Designated Activity Company |
EURIBOR – Euro interbank offered rate |
Summary of abbreviations: (continued) |
GNMA – Government National Mortgage Association |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
MS – Morgan Stanley |
OAT – Obligations Assimilables du Tresor |
S.F. – Single Family |
TD – TD Bank |
yr – Year |
Summary of currencies: |
AUD – Australian Dollar |
BRL – Brazilian Real |
CAD – Canadian Dollar |
CHF – Swiss Franc |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
INR – Indian Rupee |
JPY – Japanese Yen |
KZT – Kazakhstani Tenge |
MYR – Malaysian Ringgit |
USD – US Dollar |
UYU – Uruguayan Peso |
NQ- IV052 [1223] 0224 (3377190) 7