Schedule of investments
Delaware Ivy Global Bond Fund
June 30, 2024 (Unaudited)
| Principal amount° | Value (US $) | ||
| Agency Mortgage-Backed Securities – 12.19% | |||
| Fannie Mae S.F. 20 yr 4.00% 8/1/42 | 534,051 | $ 496,936 | |
| Fannie Mae S.F. 30 yr | |||
| 2.00% 9/1/51 | 3,867,466 | 3,036,070 | |
| 2.50% 2/1/52 | 2,435,663 | 1,994,949 | |
| 3.00% 5/1/51 | 2,532,554 | 2,165,395 | |
| 3.50% 1/1/52 | 1,910,083 | 1,693,441 | |
| 3.50% 6/1/52 | 4,220,107 | 3,737,860 | |
| 3.50% 9/1/52 | 1,292,409 | 1,144,682 | |
| 4.00% 5/1/51 | 1,126,074 | 1,046,770 | |
| 4.50% 1/1/50 | 77,278 | 74,985 | |
| 4.50% 4/1/50 | 870,203 | 834,142 | |
| 4.50% 10/1/52 | 386,996 | 365,368 | |
| 4.50% 12/1/52 | 3,304,557 | 3,119,886 | |
| 4.50% 2/1/53 | 694,218 | 654,802 | |
| 5.00% 9/1/52 | 2,410,596 | 2,334,714 | |
| 5.00% 2/1/53 | 1,181,393 | 1,142,926 | |
| 5.00% 8/1/53 | 367,273 | 355,096 | |
| 5.50% 10/1/52 | 1,964,588 | 1,941,979 | |
| 5.50% 10/1/52 | 366,603 | 362,990 | |
| 5.50% 3/1/53 | 3,951,549 | 3,901,055 | |
| 5.50% 3/1/53 | 3,061,315 | 3,021,759 | |
| 5.50% 7/1/53 | 2,013,462 | 1,986,082 | |
| 6.00% 9/1/53 | 1,148,928 | 1,152,466 | |
| Freddie Mac S.F. 15 yr 5.00% 6/1/38 | 2,190,535 | 2,173,674 | |
| Freddie Mac S.F. 20 yr 5.50% 6/1/43 | 1,605,046 | 1,603,074 | |
| Freddie Mac S.F. 30 yr | |||
| 2.50% 2/1/52 | 135,449 | 111,871 | |
| 3.00% 12/1/46 | 1,443,029 | 1,259,178 | |
| 4.00% 8/1/52 | 1,225,011 | 1,128,531 | |
| 4.50% 9/1/52 | 1,503,490 | 1,419,514 | |
| 4.50% 10/1/52 | 2,563,910 | 2,419,049 | |
| 5.00% 6/1/53 | 2,734,643 | 2,660,291 | |
| 5.00% 6/1/53 | 4,997,166 | 4,830,038 | |
| 5.50% 2/1/54 | 2,439,513 | 2,424,413 | |
| 6.00% 12/1/52 | 899,210 | 905,110 | |
| 6.00% 3/1/53 | 1,426,623 | 1,432,737 | |
| 6.00% 9/1/53 | 472,899 | 474,355 | |
| GNMA II S.F. 30 yr | |||
| 3.00% 12/20/51 | 1,480,686 | 1,291,014 | |
| 5.50% 5/20/53 | 277,288 | 275,290 | |
| Total Agency Mortgage-Backed Securities (cost $61,630,322) | 60,972,492 | ||
| Corporate Bonds – 33.63%Δ | |||
| Australia − 5.07% | |||
| Amcor UK Finance 3.95% 5/29/32 | EUR | 700,000 | 749,223 |
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| Australia (continued) | |||
| Ampol | |||
| 7.777% 12/2/81 ■, • | AUD | 1,000,000 | $ 687,972 |
| 7.957% 12/9/80 ■, • | AUD | 3,500,000 | 2,403,098 |
| APA Infrastructure 2.00% 7/15/30 ■ | EUR | 1,000,000 | 961,368 |
| AusNet Services Holdings Pty 7.449% 10/6/80 ■, • | AUD | 2,000,000 | 1,344,279 |
| Charter Hall LWR Pty 2.086% 3/3/28 ■ | AUD | 3,850,000 | 2,251,010 |
| Commonwealth Bank of Australia 6.86% 11/9/32 μ | AUD | 6,400,000 | 4,433,299 |
| National Australia Bank | |||
| 5.74% 2/9/34 μ | AUD | 4,949,000 | 3,297,827 |
| 6.322% 8/3/32 μ | AUD | 7,992,000 | 5,442,452 |
| NSW Electricity Networks Finance Pty 2.543% 9/23/30 | AUD | 3,500,000 | 1,936,761 |
| WestConnex Finance 3.15% 3/31/31 ■ | AUD | 3,200,000 | 1,827,857 |
| 25,335,146 | |||
| Brazil − 0.16% | |||
| Raizen Fuels Finance 144A 6.45% 3/5/34 # | 385,000 | 391,323 | |
| Rumo Luxembourg 144A 5.25% 1/10/28 # | 435,000 | 418,867 | |
| 810,190 | |||
| Canada − 0.15% | |||
| Bank of Montreal 7.70% 5/26/84 μ | 540,000 | 552,901 | |
| Enbridge 5.75% 7/15/80 μ | 220,000 | 207,940 | |
| 760,841 | |||
| Chile − 0.31% | |||
| AES Andes | |||
| 144A 6.30% 3/15/29 # | 600,000 | 604,667 | |
| 144A 8.15% 6/10/55 #, μ | 400,000 | 400,800 | |
| Sociedad Quimica y Minera de Chile 144A 6.50% 11/7/33 # | 540,000 | 564,596 | |
| 1,570,063 | |||
| China − 0.16% | |||
| ENN Energy Holdings 144A 2.625% 9/17/30 # | 909,000 | 790,554 | |
| 790,554 | |||
NQ- IV054 [0624] 0824 (3775132) 1
Schedule of investments
Delaware Ivy Global Bond Fund (Unaudited)
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| France − 2.48% | |||
| BPCE | |||
| 3.50% 1/25/28 ■ | EUR | 1,500,000 | $ 1,600,825 |
| 144A 5.125% 1/18/28 # | 3,215,000 | 3,178,269 | |
| Credit Agricole | |||
| 1.625% 6/5/30 μ, ■ | EUR | 1,900,000 | 1,983,325 |
| 144A 6.316% 10/3/29 #, μ | 1,265,000 | 1,299,731 | |
| Edenred 3.625% 6/13/31 ■ | EUR | 1,100,000 | 1,166,275 |
| Engie | |||
| 0.50% 10/24/30 ■ | EUR | 1,600,000 | 1,419,903 |
| 144A 5.25% 4/10/29 # | 350,000 | 349,530 | |
| 144A 5.625% 4/10/34 # | 325,000 | 323,666 | |
| Kering 3.625% 9/5/31 ■ | EUR | 1,000,000 | 1,071,835 |
| 12,393,359 | |||
| Germany − 1.46% | |||
| Allianz 2.625% 10/30/30 μ, ψ, ■ | EUR | 200,000 | 166,989 |
| Aroundtown | |||
| 1.45% 7/9/28 ■ | EUR | 200,000 | 182,865 |
| 1.625% 1/31/28 ■ | EUR | 1,700,000 | 1,594,044 |
| Deutsche Bank | |||
| 4.00% 6/24/32 μ, ■ | EUR | 500,000 | 522,835 |
| 6.72% 1/18/29 μ | 950,000 | 980,752 | |
| 6.819% 11/20/29 μ | 740,000 | 769,844 | |
| 7.146% 7/13/27 μ | 360,000 | 368,838 | |
| E.ON 4.00% 8/29/33 ■ | EUR | 1,300,000 | 1,422,585 |
| Volkswagen International Finance 3.875% 3/29/26 ■ | EUR | 1,200,000 | 1,289,892 |
| 7,298,644 | |||
| Guatemala − 0.12% | |||
| Central American Bottling 144A 5.25% 4/27/29 # | 655,000 | 609,842 | |
| 609,842 | |||
| Hong Kong − 0.47% | |||
| AIA Group 144A 5.375% 4/5/34 # | 600,000 | 585,607 | |
| Cheung Kong Infrastructure Finance 1.00% 12/12/24 ■ | EUR | 875,000 | 922,809 |
| CK Hutchison International 23 144A 4.875% 4/21/33 # | 854,000 | 824,546 | |
| 2,332,962 | |||
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| India − 0.19% | |||
| Summit Digitel Infrastructure 144A 2.875% 8/12/31 # | 1,158,000 | $ 960,649 | |
| 960,649 | |||
| Ireland − 0.40% | |||
| AerCap Ireland Capital DAC | |||
| 3.00% 10/29/28 | 1,595,000 | 1,450,045 | |
| 5.10% 1/19/29 | 555,000 | 549,831 | |
| 1,999,876 | |||
| Italy − 0.55% | |||
| Aeroporti di Roma 1.75% 7/30/31 ■ | EUR | 1,000,000 | 928,698 |
| Autostrade per l'Italia | |||
| 2.00% 12/4/28 ■ | EUR | 300,000 | 296,343 |
| 2.00% 1/15/30 ■ | EUR | 1,200,000 | 1,152,205 |
| Eni 144A 5.50% 5/15/34 # | 400,000 | 396,469 | |
| 2,773,715 | |||
| Kuwait − 0.31% | |||
| NBK SPC | |||
| 144A 1.625% 9/15/27 #, μ | 887,000 | 816,594 | |
| 144A 5.50% 6/6/30 #, μ | 700,000 | 707,225 | |
| 1,523,819 | |||
| Mexico − 0.63% | |||
| Banco Santander Mexico 144A 7.525% 10/1/28 #, μ | 850,000 | 884,258 | |
| BBVA Bancomer 144A 5.875% 9/13/34 #, μ | 1,700,000 | 1,577,285 | |
| Cemex 144A 9.125% 3/14/28 #, μ, ψ | 660,000 | 705,227 | |
| 3,166,770 | |||
| Netherlands − 0.17% | |||
| ING Groep 2.125% 5/26/31 μ, ■ | EUR | 800,000 | 824,503 |
| 824,503 | |||
| Peru − 0.33% | |||
| Banco de Credito del Peru 144A 3.125% 7/1/30 #, μ | 375,000 | 361,545 | |
| Banco Internacional del Peru 144A 3.25% 10/4/26 # | 800,000 | 758,511 | |
2 NQ- IV054 [0624] 0824 (3775132)
(Unaudited)
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| Peru (continued) | |||
| SAN Miguel Industrias 144A 3.50% 8/2/28 # | 610,000 | $ 537,051 | |
| 1,657,107 | |||
| South Africa − 0.07% | |||
| Bidvest Group UK 144A 3.625% 9/23/26 # | 387,000 | 361,516 | |
| 361,516 | |||
| Switzerland − 0.65% | |||
| ELM for Firmenich International 3.75% 9/3/25 μ, ψ, ■ | EUR | 100,000 | 105,986 |
| Holcim Finance Luxembourg 0.50% 4/23/31 ■ | EUR | 1,400,000 | 1,204,138 |
| Sika Capital 3.75% 11/3/26 ■ | EUR | 900,000 | 968,735 |
| UBS Group | |||
| 144A 4.751% 5/12/28 #, μ | 800,000 | 783,742 | |
| 144A 5.699% 2/8/35 #, μ | 205,000 | 204,874 | |
| 3,267,475 | |||
| Turkey − 0.28% | |||
| TAV Havalimanlari Holding 144A 8.50% 12/7/28 # | 700,000 | 717,325 | |
| Turkiye Garanti Bankasi 144A 8.375% 2/28/34 #, μ | 700,000 | 699,103 | |
| 1,416,428 | |||
| Ukraine − 0.05% | |||
| MHP Lux 6.95% 4/3/26 ■ | 275,000 | 229,358 | |
| 229,358 | |||
| United Arab Emirates − 0.16% | |||
| Galaxy Pipeline Assets Bidco 2.16% 3/31/34 ■ | 162,080 | 139,156 | |
| MAF Global Securities 7.875% 6/30/27 μ, ψ, ■ | 625,000 | 640,937 | |
| 780,093 | |||
| United Kingdom − 1.47% | |||
| Ashtead Capital 144A 5.80% 4/15/34 # | 1,865,000 | 1,851,834 | |
| Babcock International Group 1.375% 9/13/27 ■ | EUR | 1,400,000 | 1,391,236 |
| Barclays | |||
| 6.224% 5/9/34 μ | 269,000 | 275,795 | |
| 7.385% 11/2/28 μ | 445,000 | 469,044 | |
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| United Kingdom (continued) | |||
| CK Hutchison International 24 144A 5.375% 4/26/29 # | 1,000,000 | $ 1,009,482 | |
| Lloyds Banking Group 5.721% 6/5/30 μ | 335,000 | 337,863 | |
| National Grid 0.25% 9/1/28 ■ | EUR | 1,200,000 | 1,120,099 |
| Sage Group 1.625% 2/25/31 ■ | GBP | 900,000 | 910,456 |
| 7,365,809 | |||
| United States − 17.99% | |||
| AbbVie 4.95% 3/15/31 | 1,955,000 | 1,950,565 | |
| AEP Texas 5.40% 6/1/33 | 180,000 | 175,378 | |
| Air Lease | |||
| 4.625% 10/1/28 | 788,000 | 764,445 | |
| 5.10% 3/1/29 | 570,000 | 564,169 | |
| American Tower | |||
| 2.30% 9/15/31 | 1,450,000 | 1,183,616 | |
| 5.20% 2/15/29 | 365,000 | 363,873 | |
| 5.45% 2/15/34 | 320,000 | 317,336 | |
| Amgen 5.15% 3/2/28 | 2,235,000 | 2,235,078 | |
| Amphenol | |||
| 2.20% 9/15/31 | 265,000 | 217,663 | |
| 5.05% 4/5/27 | 265,000 | 264,857 | |
| 5.25% 4/5/34 | 300,000 | 299,173 | |
| Aon North America 5.30% 3/1/31 | 1,960,000 | 1,955,303 | |
| Appalachian Power 4.50% 8/1/32 | 770,000 | 712,511 | |
| Athene Global Funding 4.76% 4/21/27 ■ | AUD | 4,000,000 | 2,531,323 |
| Aviation Capital Group | |||
| 144A 3.50% 11/1/27 # | 1,205,000 | 1,128,570 | |
| 144A 5.375% 7/15/29 # | 505,000 | 499,272 | |
| Bank of America | |||
| 3.648% 3/31/29 μ, ■ | EUR | 1,500,000 | 1,605,567 |
| 5.468% 1/23/35 μ | 450,000 | 449,710 | |
| 5.819% 9/15/29 μ | 300,000 | 306,337 | |
| 6.204% 11/10/28 μ | 1,155,000 | 1,189,844 | |
| BP Capital Markets America 5.227% 11/17/34 | 380,000 | 377,306 | |
| Carrier Global 4.50% 11/29/32 | EUR | 1,000,000 | 1,120,638 |
| CDW 3.276% 12/1/28 | 2,160,000 | 1,964,747 | |
| Charter Communications Operating 3.85% 4/1/61 | 1,660,000 | 970,330 | |
NQ- IV054 [0624] 0824 (3775132) 3
Schedule of investments
Delaware Ivy Global Bond Fund (Unaudited)
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| United States (continued) | |||
| Cheniere Energy Partners | |||
| 4.50% 10/1/29 | 570,000 | $ 543,362 | |
| 144A 5.75% 8/15/34 # | 610,000 | 612,811 | |
| Citibank 5.438% 4/30/26 | 345,000 | 346,332 | |
| Citizens Bank 6.064% 10/24/25 μ | 2,120,000 | 2,119,022 | |
| Constellation Energy Generation 5.60% 3/1/28 | 1,830,000 | 1,854,279 | |
| CRH SMW Finance DAC 4.00% 7/11/27 ■ | EUR | 600,000 | 651,260 |
| Diamondback Energy | |||
| 5.20% 4/18/27 | 250,000 | 250,127 | |
| 5.40% 4/18/34 | 825,000 | 817,096 | |
| DTE Energy 5.10% 3/1/29 | 500,000 | 496,086 | |
| Duke Energy | |||
| 2.55% 6/15/31 | 261,000 | 218,639 | |
| 3.10% 6/15/28 | EUR | 1,400,000 | 1,464,011 |
| Duke Energy Carolinas 4.95% 1/15/33 | 1,300,000 | 1,278,521 | |
| Elevance Health | |||
| 5.15% 6/15/29 | 190,000 | 190,553 | |
| 5.375% 6/15/34 | 295,000 | 296,513 | |
| Energy Transfer | |||
| 5.95% 5/15/54 | 380,000 | 370,269 | |
| 6.50% 11/15/26 μ, ψ | 725,000 | 716,917 | |
| Entegris 144A 4.75% 4/15/29 # | 1,795,000 | 1,718,762 | |
| Ford Motor Credit | |||
| 2.30% 2/10/25 | 475,000 | 464,500 | |
| 2.90% 2/10/29 | 695,000 | 613,078 | |
| 5.80% 3/5/27 | 475,000 | 475,202 | |
| 5.80% 3/8/29 | 370,000 | 368,874 | |
| 6.125% 3/8/34 | 320,000 | 316,737 | |
| 6.798% 11/7/28 | 200,000 | 206,732 | |
| Freeport-McMoRan 5.45% 3/15/43 | 1,115,000 | 1,059,868 | |
| General Motors Financial | |||
| 5.60% 6/18/31 | 220,000 | 218,430 | |
| 5.75% 2/8/31 | 1,960,000 | 1,965,908 | |
| 5.95% 4/4/34 | 220,000 | 220,274 | |
| Goldman Sachs Group | |||
| 5.727% 4/25/30 μ | 380,000 | 386,833 | |
| 5.851% 4/25/35 μ | 445,000 | 456,004 | |
| HCA 5.45% 4/1/31 | 1,965,000 | 1,964,138 | |
| Home Depot | |||
| 4.85% 6/25/31 | 175,000 | 173,677 | |
| 4.875% 6/25/27 | 200,000 | 199,649 | |
| 4.95% 6/25/34 | 515,000 | 509,830 | |
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| United States (continued) | |||
| Hyundai Capital America | |||
| 144A 5.275% 6/24/27 # | 290,000 | $ 288,815 | |
| 144A 5.40% 6/24/31 # | 315,000 | 312,460 | |
| JBS USA Holding Lux 3.625% 1/15/32 | 2,865,000 | 2,475,083 | |
| Jefferies Financial Group | |||
| 2.625% 10/15/31 | 1,795,000 | 1,449,404 | |
| 5.875% 7/21/28 | 135,000 | 136,404 | |
| 6.05% 3/12/25 | 570,000 | 569,680 | |
| JPMorgan Chase & Co. | |||
| 1.764% 11/19/31 μ | 120,000 | 97,655 | |
| 3.54% 5/1/28 μ | 2,132,000 | 2,035,297 | |
| 5.012% 1/23/30 μ | 445,000 | 441,676 | |
| 5.571% 4/22/28 μ | 500,000 | 504,156 | |
| 5.766% 4/22/35 μ | 515,000 | 528,591 | |
| 6.254% 10/23/34 μ | 213,000 | 226,027 | |
| Kinder Morgan | |||
| 5.00% 2/1/29 | 185,000 | 182,987 | |
| 5.20% 6/1/33 | 3,070,000 | 2,980,572 | |
| LYB International Finance III 5.50% 3/1/34 | 1,970,000 | 1,949,994 | |
| Medtronic 3.65% 10/15/29 | EUR | 600,000 | 649,438 |
| Morgan Stanley | |||
| 2.95% 5/7/32 μ | EUR | 2,300,000 | 2,330,148 |
| 5.831% 4/19/35 μ | 820,000 | 840,874 | |
| 6.138% 10/16/26 μ | 1,320,000 | 1,329,083 | |
| 6.296% 10/18/28 μ | 3,151,000 | 3,252,176 | |
| 6.407% 11/1/29 μ | 378,000 | 394,490 | |
| 6.627% 11/1/34 μ | 410,000 | 442,978 | |
| Occidental Petroleum 6.125% 1/1/31 | 1,689,000 | 1,729,798 | |
| PacifiCorp | |||
| 5.10% 2/15/29 | 115,000 | 114,963 | |
| 5.45% 2/15/34 | 200,000 | 197,648 | |
| PNC Financial Services Group | |||
| 5.676% 1/22/35 μ | 360,000 | 362,074 | |
| 6.875% 10/20/34 μ | 335,000 | 365,274 | |
| Southern 1.875% 9/15/81 μ | EUR | 200,000 | 191,263 |
| Southern California Edison 5.20% 6/1/34 | 1,885,000 | 1,841,317 | |
| Sprint Capital 6.875% 11/15/28 | 2,060,000 | 2,185,293 | |
| State Street 4.993% 3/18/27 | 565,000 | 564,458 | |
| SVB Financial Group 4.57% 4/29/33 ‡ | 1,257,000 | 756,199 | |
4 NQ- IV054 [0624] 0824 (3775132)
(Unaudited)
| Principal amount° | Value (US $) | ||
| Corporate BondsΔ (continued) | |||
| United States (continued) | |||
| Targa Resources Partners 5.00% 1/15/28 | 2,030,000 | $ 1,989,690 | |
| T-Mobile USA | |||
| 3.375% 4/15/29 | 65,000 | 60,077 | |
| 5.75% 1/15/34 | 1,335,000 | 1,372,965 | |
| UnitedHealth Group | |||
| 4.50% 4/15/33 | 1,985,000 | 1,897,970 | |
| 4.90% 4/15/31 | 1,490,000 | 1,476,695 | |
| US Bancorp | |||
| 4.653% 2/1/29 μ | 1,167,000 | 1,142,271 | |
| 5.384% 1/23/30 μ | 170,000 | 170,490 | |
| 5.678% 1/23/35 μ | 385,000 | 386,628 | |
| 5.727% 10/21/26 μ | 817,000 | 818,666 | |
| 6.787% 10/26/27 μ | 250,000 | 257,472 | |
| Vistra Operations | |||
| 144A 5.00% 7/31/27 # | 290,000 | 280,731 | |
| 144A 5.125% 5/13/25 # | 808,000 | 803,705 | |
| 144A 5.625% 2/15/27 # | 68,000 | 66,909 | |
| 144A 6.00% 4/15/34 # | 215,000 | 215,659 | |
| 144A 6.95% 10/15/33 # | 565,000 | 605,113 | |
| 89,963,221 | |||
| Total Corporate Bonds (cost $169,878,666) | 168,191,940 | ||
| Government Agency Obligations – 1.78% | |||
| Electricite de France 4.25% 1/25/32 ■ | EUR | 500,000 | 544,402 |
| Georgian Railway JSC 4.00% 6/17/28 ■ | 1,525,000 | 1,356,693 | |
| Perusahaan Perseroan Persero Perusahaan Listrik Negara 144A 5.375% 1/25/29 # | 4,800,000 | 4,789,288 | |
| Development Bank of Kazakhstan JSC | |||
| 144A 5.50% 4/15/27 # | 400,000 | 398,335 | |
| 5.50% 4/15/27 ■ | 821,000 | 817,583 | |
| Petronas Capital 144A 3.50% 4/21/30 # | 650,000 | 597,424 | |
| Consorcio Transmantaro 144A 4.70% 4/16/34 # | 435,000 | 409,391 | |
| Total Government Agency Obligations (cost $8,964,139) | 8,913,116 | ||
| Principal amount° | Value (US $) | ||
| Sovereign Bonds – 31.57%Δ | |||
| Albania − 0.17% | |||
| Albania Government International Bond 144A 3.50% 11/23/31 # | EUR | 896,000 | $ 866,829 |
| 866,829 | |||
| Angola − 0.12% | |||
| Angolan Government International Bond 144A 8.75% 4/14/32 # | 680,000 | 603,493 | |
| 603,493 | |||
| Australia − 0.95% | |||
| Australia Government Bond 4.75% 6/21/54 ■ | AUD | 7,000,000 | 4,750,507 |
| 4,750,507 | |||
| Belgium − 0.24% | |||
| Kingdom of Belgium Government Bond 144A 3.45% 6/22/43 # | EUR | 1,130,000 | 1,206,378 |
| 1,206,378 | |||
| Benin − 0.04% | |||
| Benin Government International Bond 144A 7.96% 2/13/38 # | 200,000 | 186,352 | |
| 186,352 | |||
| Bermuda − 0.48% | |||
| Bermuda Government International Bonds | |||
| 3.375% 8/20/50 ■ | 1,149,000 | 781,320 | |
| 144A 2.375% 8/20/30 # | 1,688,000 | 1,426,022 | |
| 144A 5.00% 7/15/32 # | 200,000 | 193,280 | |
| 2,400,622 | |||
| Brazil − 0.67% | |||
| Brazil Notas do Tesouro Nacional Serie F 10.00% 1/1/33 | BRL | 14,043,000 | 2,229,506 |
| Brazilian Government International Bond 4.75% 1/14/50 | 1,550,000 | 1,115,381 | |
| 3,344,887 | |||
| Chile − 0.50% | |||
| Chile Government International Bonds | |||
| 3.10% 5/7/41 | 685,000 | 502,858 | |
| 3.50% 1/25/50 | 334,000 | 241,097 | |
| 4.34% 3/7/42 | 2,019,000 | 1,745,537 | |
| 2,489,492 | |||
NQ- IV054 [0624] 0824 (3775132) 5
Schedule of investments
Delaware Ivy Global Bond Fund (Unaudited)
| Principal amount° | Value (US $) | ||
| Sovereign BondsΔ (continued) | |||
| Colombia − 0.45% | |||
| Colombia Government International Bonds | |||
| 3.25% 4/22/32 | 799,000 | $ 613,817 | |
| 8.75% 11/14/53 | 1,568,000 | 1,652,852 | |
| 2,266,669 | |||
| Dominican Republic − 0.83% | |||
| Dominican Republic International Bond 144A 4.875% 9/23/32 # | 3,789,000 | 3,401,121 | |
| Dominican Republic International Bonds | |||
| 6.50% 2/15/48 ■ | 210,000 | 199,353 | |
| 144A 10.75% 6/1/36 # | DOP | 32,000,000 | 550,552 |
| 4,151,026 | |||
| Finland − 0.51% | |||
| Finland Government Bond 144A 1.375% 4/15/27 # | EUR | 2,500,000 | 2,568,071 |
| 2,568,071 | |||
| France − 1.18% | |||
| French Republic Government Bond 144A 1.25% 5/25/38 #, ■ | EUR | 7,250,000 | 5,879,728 |
| 5,879,728 | |||
| Georgia − 0.19% | |||
| Georgia Government International Bond 144A 2.75% 4/22/26 # | 1,054,000 | 969,258 | |
| 969,258 | |||
| Germany − 0.58% | |||
| Bundesobligation 2.10% 4/12/29 ■ | EUR | 2,260,000 | 2,380,649 |
| Bundesrepublik Deutschland Bundesanleihe 1.80% 8/15/53 ■ | EUR | 570,000 | 503,913 |
| 2,884,562 | |||
| Indonesia − 0.34% | |||
| Indonesia Government International Bond 1.40% 10/30/31 | EUR | 110,000 | 99,692 |
| Indonesia Treasury Bond 6.625% 2/15/34 | IDR | 23,945,000,000 | 1,419,328 |
| Perusahaan Penerbit SBSN Indonesia III 4.70% 6/6/32 ■ | 204,000 | 196,813 | |
| 1,715,833 | |||
| Principal amount° | Value (US $) | ||
| Sovereign BondsΔ (continued) | |||
| Ireland − 2.19% | |||
| Ireland Government Bonds | |||
| 0.55% 4/22/41 ■ | EUR | 4,500,000 | $ 3,189,228 |
| 1.00% 5/15/26 ■ | EUR | 2,500,000 | 2,583,731 |
| 2.60% 10/18/34 ■ | EUR | 5,000,000 | 5,193,842 |
| 10,966,801 | |||
| Italy − 3.24% | |||
| Italy Buoni Poliennali Del Tesoro 3.85% 9/15/26 ■ | EUR | 15,000,000 | 16,213,166 |
| 16,213,166 | |||
| Ivory Coast − 0.72% | |||
| Ivory Coast Government International Bonds | |||
| 5.875% 10/17/31 ■ | EUR | 350,000 | 338,867 |
| 144A 6.125% 6/15/33 # | 3,661,000 | 3,254,858 | |
| 3,593,725 | |||
| Japan − 1.63% | |||
| Japan Government Thirty Year Bonds | |||
| 0.40% 3/20/50 | JPY | 1,713,250,000 | 7,127,814 |
| 1.20% 6/20/53 | JPY | 203,000,000 | 1,008,659 |
| 8,136,473 | |||
| Mexico − 0.53% | |||
| Mexican Udibonos 4.50% 11/22/35 | MXN | 13,006,898 | 662,700 |
| Mexico Government International Bond 3.50% 2/12/34 | 595,000 | 484,885 | |
| Mexico Government International Bonds 4.60% 1/23/46 | 1,911,000 | 1,478,698 | |
| 2,626,283 | |||
| Netherlands − 2.92% | |||
| Netherlands Government Bonds | |||
| 144A 2.00% 1/15/54 # | EUR | 3,500,000 | 3,084,480 |
| 144A 2.50% 7/15/33 # | EUR | 11,000,000 | 11,521,171 |
| 14,605,651 | |||
| Nigeria − 0.14% | |||
| Nigeria Government International Bond 7.375% 9/28/33 ■ | 849,000 | 695,202 | |
| 695,202 | |||
6 NQ- IV054 [0624] 0824 (3775132)
(Unaudited)
| Principal amount° | Value (US $) | ||
| Sovereign BondsΔ (continued) | |||
| Paraguay − 0.89% | |||
| Paraguay Government International Bonds | |||
| 5.60% 3/13/48 ■ | 799,000 | $ 719,950 | |
| 144A 2.739% 1/29/33 # | 1,887,000 | 1,527,623 | |
| 144A 4.95% 4/28/31 # | 2,301,000 | 2,205,545 | |
| 4,453,118 | |||
| Peru − 0.23% | |||
| Corp Financiera de Desarrollo 144A 2.40% 9/28/27 # | 1,300,000 | 1,172,535 | |
| 1,172,535 | |||
| Poland − 0.60% | |||
| Bank Gospodarstwa Krajowego 144A 5.375% 5/22/33 # | 1,200,000 | 1,189,297 | |
| Republic of Poland Government International Bond 5.50% 4/4/53 | 1,822,000 | 1,790,302 | |
| 2,979,599 | |||
| Republic of North Macedonia − 0.33% | |||
| North Macedonia Government International Bond 144A 1.625% 3/10/28 # | EUR | 1,777,000 | 1,660,365 |
| 1,660,365 | |||
| Serbia − 0.46% | |||
| Serbia International Bonds | |||
| 1.00% 9/23/28 ■ | EUR | 1,764,000 | 1,609,920 |
| 144A 6.00% 6/12/34 # | 700,000 | 689,936 | |
| 2,299,856 | |||
| South Africa − 0.14% | |||
| Republic of South Africa Government International Bond 5.65% 9/27/47 | 931,000 | 705,117 | |
| 705,117 | |||
| South Korea − 0.16% | |||
| Export-Import Bank of Korea 5.125% 1/11/33 | 800,000 | 809,482 | |
| 809,482 | |||
| Spain − 2.78% | |||
| Spain Government Bonds | |||
| 144A 1.90% 10/31/52 # | EUR | 3,210,000 | 2,257,226 |
| Principal amount° | Value (US $) | ||
| Sovereign BondsΔ (continued) | |||
| Spain (continued) | |||
| Spain Government Bonds | |||
| 144A 3.25% 4/30/34 # | EUR | 11,000,000 | $ 11,666,093 |
| 13,923,319 | |||
| United Kingdom − 7.35% | |||
| United Kingdom Gilt | |||
| 4.50% 6/7/28 ■ | GBP | 3,870,000 | 4,948,787 |
| 4.50% 12/7/42 ■ | GBP | 3,000 | 3,758 |
| 0.125% 1/31/28 ■ | GBP | 5,970,000 | 6,562,968 |
| 3.50% 10/22/25 ■ | GBP | 12,500,000 | 15,552,222 |
| 4.625% 1/31/34 ■ | GBP | 7,400,000 | 9,680,479 |
| 36,748,214 | |||
| Uruguay − 0.01% | |||
| Uruguay Government International Bond 9.75% 7/20/33 | UYU | 1,839,000 | 47,181 |
| 47,181 | |||
| Total Sovereign Bonds (cost $160,711,722) | 157,919,794 | ||
| Supranational Banks – 1.27% | |||
| Banque Ouest Africaine de Developpement 4.70% 10/22/31 ■ | 200,000 | 175,177 | |
| Central American Bank for Economic Integration 144A 1.14% 2/9/26 # | 2,000,000 | 1,870,696 | |
| Corp Andina de Fomento 5.00% 1/24/29 | 300,000 | 299,501 | |
| European Union 1.00% 7/6/32 ■ | EUR | 3,690,000 | 3,395,354 |
| International Bank for Reconstruction & Development 13.50% 7/3/25 | KZT | 278,000,000 | 588,786 |
| Total Supranational Banks (cost $6,681,126) | 6,329,514 | ||
| US Treasury Obligations – 14.56% | |||
| US Treasury Bonds | |||
| 4.25% 2/15/54 | 9,060,000 | 8,628,943 | |
| 4.625% 5/15/44 | 575,000 | 574,012 | |
| US Treasury Notes | |||
| 2.375% 5/15/27 | 8,000,000 | 7,535,625 | |
| 2.375% 3/31/29 | 2,065,000 | 1,889,394 | |
| 2.875% 4/30/29 | 9,000,000 | 8,418,164 | |
| 4.00% 1/31/31 | 305,000 | 298,924 | |
| 4.00% 2/15/34 | 2,375,000 | 2,305,791 | |
| 4.25% 3/31/29 | 17,880,000 | 17,700,851 | |
| 4.375% 5/15/34 | 4,255,000 | 4,256,662 | |
| 4.50% 4/15/27 | 3,020,000 | 3,015,871 | |
| 4.50% 5/31/29 | 17,320,000 | 17,440,428 | |
NQ- IV054 [0624] 0824 (3775132) 7
Schedule of investments
Delaware Ivy Global Bond Fund (Unaudited)
| Principal amount° | Value (US $) | ||
| US Treasury Obligations (continued) | |||
| US Treasury Notes | |||
| 4.50% 5/31/31 | 730,000 | $ 741,977 | |
| 4.625% 2/28/26 | 25,000 | 24,913 | |
| Total US Treasury Obligations (cost $73,519,669) | 72,831,555 | ||
| Number of contracts | |||
| Options Purchased – 0.01% | |||
| Futures Put Options – 0.01% | |||
| US Treasury 10 yr Notes, strike price $108.5, expiration date 7/26/24, notional amount $2,115,750,000 | 195 | 42,656 | |
| Total Options Purchased (cost $104,036) | 42,656 | ||
| Number of shares | |||
| Short-Term Investments – 3.42% | |||
| Money Market Mutual Funds – 3.42% | |||
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 5.21%) | 4,276,271 | 4,276,271 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 5.21%) | 4,276,271 | 4,276,271 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.35%) | 4,276,271 | 4,276,271 | |
| Number of shares | Value (US $) | ||
| Short-Term Investments (continued) | |||
| Money Market Mutual Funds (continued) | |||
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.22%) | 4,276,271 | $ 4,276,271 | |
| Total Short-Term Investments (cost $17,105,084) | 17,105,084 | ||
| Total Value of Securities Before Options Written−98.43% (cost $498,594,764) | 492,306,151 | ||
| Number of contracts | |||
| Options Written – (0.03%) | |||
| Futures Call Options – (0.03%) | |||
| US Treasury 10 yr Notes, strike price $110, expiration date 7/26/24, notional amount $(2,145,000,000) | (195) | (143,203) | |
| Receivables and Other Assets Net of Liabilities — 1.60%★ | 8,017,071 | ||
| Net Assets Applicable to 55,347,604 Shares Outstanding — 100.00% | $500,180,019 |
| ° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
| Δ | Securities have been classified by country of risk. |
| ■ | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
8 NQ- IV054 [0624] 0824 (3775132)
(Unaudited)
| • | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2024. 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. |
| μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2024. Rate will reset at a future date. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2024, the aggregate value of Rule 144A securities was $96,352,842, which represents 19.26% of the Fund’s net assets. |
| ψ | Perpetual security. Maturity date represents next call date. |
| ‡ | Non-income producing security. Security is currently in default. |
| ★ | Includes $2,978,742 cash collateral held at broker for futures contracts as of June 30, 2024. |
The following forward foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2024:
| Forward Foreign Currency Exchange Contracts | ||||||||||||
| Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
| CITI | AUD | (1,080,000) | USD | 715,779 | 8/23/24 | $— | $(5,807) | |||||
| CITI | EUR | 9,500,000 | USD | (10,318,665) | 8/23/24 | — | (116,226) | |||||
| CITI | EUR | (1,918,000) | USD | 2,092,386 | 8/23/24 | 32,568 | — | |||||
| CITI | GBP | (1,860,000) | USD | 2,365,962 | 8/23/24 | 13,745 | — | |||||
| JPMCB | EUR | (3,739,000) | USD | 3,997,781 | 7/12/24 | — | (9,173) | |||||
| JPMCB | INR | 100,068,180 | USD | (1,195,815) | 7/12/24 | 3,903 | — | |||||
| JPMCB | JPY | (1,437,515,000) | USD | 9,336,896 | 8/23/24 | 322,352 | — | |||||
| MS | AUD | (44,931,214) | USD | 30,069,815 | 8/23/24 | 49,725 | — | |||||
| MS | CAD | (260,000) | USD | 191,306 | 8/23/24 | 998 | — | |||||
| MS | GBP | (28,265,000) | USD | 35,945,186 | 8/23/24 | 200,324 | — | |||||
| TD | CAD | (465,000) | USD | 338,905 | 8/23/24 | — | (1,454) | |||||
| TD | EUR | (100,947,659) | USD | 110,121,887 | 8/23/24 | 1,710,060 | — | |||||
| TD | JPY | 125,600,000 | USD | (806,455) | 8/23/24 | — | (18,827) | |||||
| Total Forward Foreign Currency Exchange Contracts | $2,333,675 | $(151,487) | ||||||||||
| 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 | |||||||
| 314 | Australian Treasury 3 yr Bonds | $22,089,971 | $22,226,240 | 9/16/24 | $136,269 | $— | $53,719 | ||||||
| (55) | Australian Treasury 10 yr Bonds | (4,166,902) | (4,205,437) | 9/16/24 | — | (38,535) | (31,530) | ||||||
| 296 | Canadian Treasury 10 yr Bonds | 25,979,109 | 26,135,951 | 9/18/24 | 156,842 | — | (67,165) | ||||||
| 774 | Euro-Bobl | 96,518,897 | 95,787,012 | 9/6/24 | — | (731,885) | (123,858) | ||||||
| (43) | Euro-BTP | (5,309,203) | (5,366,694) | 9/6/24 | — | (57,491) | 15,220 | ||||||
| (53) | Euro-Bund | (7,470,797) | (7,482,703) | 9/6/24 | — | (11,906) | 23,833 | ||||||
| 18 | Euro-Buxl | 2,510,650 | 2,466,728 | 9/6/24 | — | (43,922) | (25,792) | ||||||
| (151) | Euro-OAT | (19,910,160) | (20,014,431) | 9/6/24 | — | (104,271) | 45,313 | ||||||
| 699 | Euro-Schatz | 79,126,391 | 78,771,208 | 9/6/24 | — | (355,183) | (25,987) | ||||||
| 4 | Japanese Treasury 10 yr Bonds | 3,551,743 | 3,551,005 | 9/12/24 | — | (738) | 4,477 | ||||||
NQ- IV054 [0624] 0824 (3775132) 9
Schedule of investments
Delaware Ivy Global 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 | |||||||
| (54) | Long 10 yr Gilt | $(6,660,265) | $(6,590,789) | 9/26/24 | $69,476 | $— | $29,329 | ||||||
| (162) | Short Euro-BTP | (18,218,594) | (18,220,057) | 9/6/24 | — | (1,463) | 3,469 | ||||||
| 168 | SONIA 3mn Index | 50,697,742 | 50,676,809 | 6/17/25 | — | (20,933) | 2,659 | ||||||
| (169) | SONIA 3mn Index | (50,656,366) | (50,705,463) | 9/17/24 | — | (49,097) | 1,346 | ||||||
| 262 | US Treasury 2 yr Notes | 53,505,313 | 53,540,639 | 9/30/24 | 35,326 | — | (6,141) | ||||||
| 325 | US Treasury 5 yr Notes | 34,637,890 | 34,681,625 | 9/30/24 | 43,735 | — | (35,545) | ||||||
| (793) | US Treasury 10 yr Notes | (87,217,609) | (86,441,197) | 9/19/24 | 776,412 | — | 210,637 | ||||||
| (342) | US Treasury 10 yr Ultra Notes | (38,827,688) | (38,450,091) | 9/19/24 | 377,597 | — | 165,658 | ||||||
| 71 | US Treasury Long Bonds | 8,400,187 | 8,304,317 | 9/19/24 | — | (95,870) | (71,000) | ||||||
| (45) | US Treasury Ultra Bonds | (5,640,469) | (5,689,583) | 9/19/24 | — | (49,114) | 74,531 | ||||||
| Total Futures Contracts | $132,975,089 | $1,595,657 | $(1,560,408) | $243,173 | |||||||||
Swap Contracts
| CDS Contracts1 | ||||||||||||
| Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | ||||||
| Over-The-Counter: | ||||||||||||
| Protection Purchased/Moody’s Ratings: | ||||||||||||
| JPMCB Republic of Indonesia 1.00% 12/20/28 Baa2 6/20/28- Quarterly | 4,033,000 | 1.000% | $(52,052) | $(18,411) | $— | $(33,641) | ||||||
| JPMCB Republic of South Africa 1.00% 12/20/28 Ba2 6/20/28- Quarterly | 2,272,000 | 1.000% | 57,116 | 104,514 | — | (47,398) | ||||||
| JPMCB Republic of South Africa 1.00% 9/20/28 Ba2 6/20/28- Quarterly | 1,494,000 | 1.000% | 37,557 | 72,636 | — | (35,079) | ||||||
| Total CDS Contracts | $42,621 | $158,739 | $— | $(116,118) | ||||||||
10 NQ- IV054 [0624] 0824 (3775132)
(Unaudited)
| IRS Contracts5 | ||||||||||||||
| Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount | Fixed/ Floating Interest Rate Paid (Received) | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
| Centrally Cleared: | ||||||||||||||
| 1 yr IRS5 10/22/25- (Annually / At Maturity) | GBP 12,300,000 | 4.657%/ (5.269)% | $23,748 | $39,358 | $— | $(15,610) | $(505) | |||||||
| 1 yr IRS6 6/19/25- (Quarterly / Quarterly) | AUD 184,700,000 | (4.0947)%/ 4.3768% | (423,486) | — | — | (423,486) | 55,556 | |||||||
| 12 yr IRS5 3/7/36- (Annually/At Maturity) | GBP 3,525,000 | (4.001)%/ 5.2% | 56,058 | (834) | 56,892 | — | (18,164) | |||||||
| 2 yr IRS7 3/15/26- (Annually/At Maturity) | 22,940,000 | (4.401)%/ 5.345% | (100,267) | (18,718) | — | (81,549) | 1,095 | |||||||
| 2 yr IRS8 3/19/26- (Annually/ At Maturity) | EUR 27,200,000 | 3.105%/ (3.690)% | (11,563) | — | — | (11,564) | 9,469 | |||||||
| 30 yr IRS7 4/23/54- (Annually/ At Maturity) | 2,720,000 | 3.932%/ (5.345)% | (89,106) | — | — | (89,106) | 45,989 | |||||||
| 30 yr IRS7 4/23/54- (Annually/ At Maturity) | 1,350,000 | 3.940%/ (5.345)% | (46,128) | — | — | (46,128) | 22,846 | |||||||
| 4 yr IRS5 1/31/28- (Annually/At Maturity) | GBP 2,430,000 | 4.092%/ (5.2)% | 6,539 | — | 6,539 | — | 1,231 | |||||||
| 4 yr IRS5 1/31/28- (Annually/At Maturity) | GBP 3,190,000 | 4.093%/ (5.203)% | 8,556 | (7,604) | 16,160 | — | 1,617 | |||||||
| 4 yr IRS5 6/19/28- (Annually/Annually) | GBP 2,200,000 | (4.033)%/ 5.2% | (7,403) | — | — | (7,403) | (1,422) | |||||||
| 4 yr IRS5 6/21/28- (Annually/At Maturity) | GBP 2,930,000 | (4.030)%/ 5.202% | (10,116) | 6,678 | — | (16,794) | (1,903) | |||||||
| 5 yr IRS5 6/25/29- (Annually/ At Maturity) | GBP 22,000,000 | (3.886)%/ 5.201% | (127,830) | — | — | (127,830) | (23,608) | |||||||
| 5 yr IRS7 4/23/29- (Annually/ At Maturity) | 10,650,000 | (4.397)%/ 5.346% | 141,212 | — | 141,212 | — | (17,001) | |||||||
| 9 yr IRS8 2/15/33- (Annually/ At Maturity) | EUR 6,100,000 | (2.604)%/ 3.690% | (35,941) | — | — | (35,941) | (17,387) | |||||||
| Total IRS Contracts | $(615,727) | $18,880 | $220,803 | $(855,411) | $57,813 | |||||||||
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.
NQ- IV054 [0624] 0824 (3775132) 11
Schedule of investments
Delaware Ivy Global 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 $(2,383). |
| 4 | 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. |
| 5 | Rates reset based on SONIA. |
| 6 | Rates reset based on AUS BANK BILL. |
| 7 | Rates reset based on SOFR. |
| 8 | Rates reset based on ESTR. |
| Summary of abbreviations: |
| BTP – Buoni del Tesoro Poliennali |
| CITI – Citigroup |
| Summary of abbreviations: (continued) |
| DAC – Designated Activity Company |
| ESTR – Euro Short-Term Rate |
| GNMA – Government National Mortgage Association |
| JPMCB – JPMorgan Chase Bank |
| JSC – Joint Stock Company |
| MS – Morgan Stanley |
| OAT – Obligations Assimilables du Trésor |
| S.F. – Single Family |
| SOFR – Secured Overnight Financing Rate |
| SOFR01M – Secured Overnight Financing Rate 1 Month |
| SOFR03M – Secured Overnight Financing Rate 3 Month |
| SONIA – Sterling Overnight Indexed Average |
| TD – TD Bank |
| yr – Year |
| Summary of currencies: |
| AUD – Australian Dollar |
| BRL – Brazilian Real |
| CAD – Canadian Dollar |
| DOP – Dominican Peso |
| EUR – European Monetary Unit |
| GBP – British Pound Sterling |
| IDR – Indonesian Rupiah |
| INR – Indian Rupee |
| JPY – Japanese Yen |
| KZT – Kazakhstani Tenge |
| MXN – Mexican Peso |
| USD – US Dollar |
| UYU – Uruguayan Peso |
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