UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-07972 | |
Exact name of registrant as specified in charter: | Delaware Group® Adviser Funds | |
Address of principal executive offices: | 2005 Market Street | |
Philadelphia, PA 19103 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
2005 Market Street | ||
Philadelphia, PA 19103 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | October 31 | |
Date of reporting period: | April 30, 2016 |
Item 1. Reports to Stockholders
Table of Contents
Semiannual report
Fixed income mutual fund
Delaware Diversified Income Fund
April 30, 2016
Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and its summary prospectus, which may be obtained by visiting delawareinvestments.com/literature or calling 800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail.
Visit delawareinvestments.com/edelivery.
Table of Contents
Experience Delaware Investments
Delaware Investments is committed to the pursuit of consistently superior asset management and unparalleled client service. We believe in our investment processes, which seek to deliver consistent results, and in convenient services that help add value for our clients.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Investments or obtain a prospectus for Delaware Diversified Income Fund at delawareinvestments.com/literature.
Manage your investments online
● | 24-hour access to your account information |
● | Obtain share prices |
● | Check your account balance and recent transactions |
● | Request statements or literature |
● | Make purchases and redemptions |
Delaware Management Holdings, Inc. and its subsidiaries (collectively known by the marketing name of Delaware Investments) are wholly owned subsidiaries of Macquarie Group Limited, a global provider of banking, financial, advisory, investment and funds management services.
Neither Delaware Investments nor its affiliates noted in this document are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of Macquarie Bank Limited (MBL). MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
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Unless otherwise noted, views expressed herein are current as of April 30, 2016, and subject to change for events occurring after such date.
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Fund’s distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
©2016 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
For the six-month period from November 1, 2015 to April 30, 2016 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Nov. 1, 2015 to April 30, 2016.
Actual expenses
The first section of the table shown, “Actual Fund return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The expenses shown in the table assume reinvestment of all dividends and distributions.
1
Table of Contents
Disclosure of Fund expenses
For the six-month period from November 1, 2015 to April 30, 2016 (Unaudited)
Delaware Diversified Income Fund
Expense analysis of an investment of $1,000
Beginning
Account Value
11/1/15 | Ending
Account Value
4/30/16 | Annualized
Expense Ratio | Expenses
Paid During Period
11/1/15 to 4/30/16* | |||||||||||||||||
Actual Fund return† | ||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.00 | 0.90 | % | $ | 4.51 | ||||||||||||
Class C | 1,000.00 | 1,013.20 | 1.65 | % | 8.26 | |||||||||||||||
Class R | 1,000.00 | 1,015.70 | 1.15 | % | 5.76 | |||||||||||||||
Institutional Class | 1,000.00 | 1,018.30 | 0.65 | % | 3.26 | |||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,020.39 | 0.90 | % | $ | 4.52 | ||||||||||||
Class C | 1,000.00 | 1,016.66 | 1.65 | % | 8.27 | |||||||||||||||
Class R | 1,000.00 | 1,019.14 | 1.15 | % | 5.77 | |||||||||||||||
Institutional Class | 1,000.00 | 1,021.63 | 0.65 | % | 3.27 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
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Table of Contents
Security type / sector allocation | ||
Delaware Diversified Income Fund | As of April 30, 2016 (Unaudited) |
Sector designations may be different than the sector designations presented in other fund materials. The sector designations may represent the investment manager’s internal sector classifications.
Security type / sector | Percentage of net assets | ||||
Agency Asset-Backed Securities | 0.02 | % | |||
Agency Collateralized Mortgage Obligations | 3.69 | % | |||
Agency Mortgage-Backed Securities | 24.38 | % | |||
Collateralized Debt Obligations | 1.68 | % | |||
Commercial Mortgage-Backed Securities | 6.66 | % | |||
Convertible Bonds | 1.41 | % | |||
Corporate Bonds | 39.40 | % | |||
Automotive | 0.35 | % | |||
Banking | 7.05 | % | |||
Basic Industry | 3.13 | % | |||
Brokerage | 0.41 | % | |||
Capital Goods | 0.79 | % | |||
Communications | 6.30 | % | |||
Consumer Cyclical | 2.18 | % | |||
Consumer Non-Cyclical | 3.82 | % | |||
Electric | 5.98 | % | |||
Energy | 2.36 | % | |||
Finance Companies | 0.57 | % | |||
Healthcare | 0.49 | % | |||
Insurance | 1.97 | % | |||
Real Estate | 1.29 | % | |||
Services | 0.44 | % | |||
Technology | 1.16 | % | |||
Transportation | 0.92 | % | |||
Utilities | 0.19 | % | |||
Municipal Bonds | 0.61 | % | |||
Non-Agency Asset-Backed Securities | 3.57 | % | |||
Non-Agency Collateralized Mortgage Obligations | 1.80 | % | |||
Regional Bonds | 0.57 | % | |||
Senior Secured Loans | 7.21 | % | |||
Sovereign Bonds | 2.94 | % | |||
Supranational Banks | 0.94 | % | |||
U.S. Treasury Obligations | 3.68 | % | |||
Common Stock | 0.00 | % | |||
Convertible Preferred Stock | 0.25 | % | |||
Preferred Stock | 0.68 | % | |||
Options Purchased | 0.00 | % | |||
Short-Term Investments | 10.57 | % |
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Table of Contents
Security type / sector allocation
Delaware Diversified Income Fund
Security type / sector | Percentage of net assets | ||||
Securities Lending Collateral | 1.00 | % | |||
Total Value of Securities | 111.06 | % | |||
Obligation to Return Securities Lending Collateral | (1.00 | %) | |||
Liabilities Net of Receivables and Other Assets | (10.06 | %) | |||
Total Net Assets | 100.00 | % |
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Table of Contents
Schedule of investments | ||
Delaware Diversified Income Fund | April 30, 2016 (Unaudited) |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Asset-Backed Securities – 0.02% | ||||||||
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Fannie Mae Grantor Trust | ||||||||
Series 2003-T4 2A5 5.027% 9/26/33 f | 836,656 | $ | 939,620 | |||||
Fannie Mae REMIC Trust | ||||||||
Series 2001-W2 AS5 6.473% 10/25/31 f | 2,512 | 2,543 | ||||||
Series 2002-W11 AV1 0.779% 11/25/32 ● | 5,671 | 5,533 | ||||||
|
| |||||||
Total Agency Asset-Backed Securities (cost $813,920) | 947,696 | |||||||
|
| |||||||
| ||||||||
Agency Collateralized Mortgage Obligations – 3.69% | ||||||||
| ||||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2016-C03 1M1 2.439% 10/25/28 ● | 6,430,000 | 6,467,625 | ||||||
Fannie Mae Grantor Trust | ||||||||
Series 1999-T2 A1 7.50% 1/19/39 ● | 12,268 | 14,035 | ||||||
Series 2002-T4 A3 7.50% 12/25/41 | 130,623 | 152,928 | ||||||
Series 2002-T19 A1 6.50% 7/25/42 | 97,395 | 113,249 | ||||||
Series 2004-T1 1A2 6.50% 1/25/44 | 43,225 | 49,282 | ||||||
Fannie Mae Interest Strip | ||||||||
Series 265 2 9.00% 3/25/24 | 5,069 | 6,131 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series 2002-W1 2A 6.267% 2/25/42 ● | 13,404 | 15,756 | ||||||
Series 2002-W6 2A 6.719% 6/25/42 ● | 26,236 | 30,593 | ||||||
Series 2003-W1 2A 6.338% 12/25/42 ● | 14,455 | 16,999 | ||||||
Series 2003-W10 1A4 4.505% 6/25/43 | 18,881 | 20,336 | ||||||
Series 2003-W15 2A7 5.55% 8/25/43 | 20,104 | 21,444 | ||||||
Series 2004-W11 1A2 6.50% 5/25/44 | 282,907 | 337,944 | ||||||
Fannie Mae REMICs | ||||||||
Series 1990-92 C 7.00% 8/25/20 | 548 | 587 | ||||||
Series 1996-46 ZA 7.50% 11/25/26 | 113,471 | 128,233 | ||||||
Series 2001-50 BA 7.00% 10/25/41 | 61,326 | 71,450 | ||||||
Series 2002-77 Z 5.50% 12/25/32 | 1,233,039 | 1,389,172 | ||||||
Series 2002-83 GH 5.00% 12/25/17 | 43,375 | 44,381 | ||||||
Series 2002-90 A2 6.50% 11/25/42 | 181,522 | 205,447 | ||||||
Series 2003-11 BY 5.50% 2/25/33 | 91,045 | 102,385 | ||||||
Series 2003-26 AT 5.00% 11/25/32 | 698,026 | 704,759 | ||||||
Series 2003-38 MP 5.50% 5/25/23 | 1,481,970 | 1,617,535 | ||||||
Series 2003-78 B 5.00% 8/25/23 | 42,496 | 45,913 | ||||||
Series 2005-70 PA 5.50% 8/25/35 | 444,692 | 503,311 | ||||||
Series 2005-110 MB 5.50% 9/25/35 | 607,242 | 647,853 | ||||||
Series 2007-40 PT 5.50% 5/25/37 | 21,035 | 23,616 | ||||||
Series 2008-15 SB 6.161% 8/25/36 ●S | 903,503 | 189,791 | ||||||
Series 2009-11 MP 7.00% 3/25/49 | 23,110 | 26,693 | ||||||
Series 2009-94 AC 5.00% 11/25/39 | 3,669,786 | 4,044,632 | ||||||
Series 2010-35 AB 5.00% 11/25/49 | 152,737 | 167,409 | ||||||
Series 2010-41 PN 4.50% 4/25/40 | 7,623,413 | 8,318,363 |
5
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
Fannie Mae REMICs | ||||||||
Series 2010-43 HJ 5.50% 5/25/40 | 1,144,715 | $ | 1,293,385 | |||||
Series 2010-75 NA 4.00% 9/25/28 | 190,772 | 192,783 | ||||||
Series 2010-96 DC 4.00% 9/25/25 | 10,432,873 | 11,097,669 | ||||||
Series 2010-129 SM 5.561% 11/25/40 ●S | 7,135,074 | 1,161,021 | ||||||
Series 2011-15 SA 6.621% 3/25/41 ●S | 7,191,134 | 1,537,810 | ||||||
Series 2011-105 FP 0.839% 6/25/41 ● | 26,481 | 26,523 | ||||||
Series 2011-113 CP 5.00% 9/25/39 | 1,049,162 | 1,163,252 | ||||||
Series 2012-19 HB 4.00% 1/25/42 | 770,113 | 810,827 | ||||||
Series 2012-19 NI 3.50% 10/25/31 S | 3,996,647 | 500,319 | ||||||
Series 2012-98 MI 3.00% 8/25/31 S | 9,648,726 | 929,143 | ||||||
Series 2012-122 SD 5.661% 11/25/42 ●S | 14,567,704 | 3,362,809 | ||||||
Series 2013-2 LZ 3.00% 2/25/43 | 1,598,444 | 1,567,623 | ||||||
Series 2013-20 IH 3.00% 3/25/33 S | 5,500,828 | 714,054 | ||||||
Series 2013-31 MI 3.00% 4/25/33 S | 27,946,801 | 3,666,002 | ||||||
Series 2013-43 IX 4.00% 5/25/43 S | 26,835,878 | 5,890,430 | ||||||
Series 2013-44 DI 3.00% 5/25/33 S | 34,844,788 | 4,602,209 | ||||||
Series 2013-55 AI 3.00% 6/25/33 S | 11,007,883 | 1,456,386 | ||||||
Series 2013-72 ZL 3.50% 7/25/43 | 391,784 | 394,428 | ||||||
Series 2014-36 ZE 3.00% 6/25/44 | 4,307,397 | 4,097,120 | ||||||
Series 2014-68 BS 5.711% 11/25/44 ●S | 9,813,609 | 1,970,032 | ||||||
Series 2014-72 ZJ 3.00% 11/25/44 | 414,304 | 375,076 | ||||||
Series 2014-77 AI 3.00% 10/25/40 S | 493,975 | 56,344 | ||||||
Series 2014-90 SA 5.711% 1/25/45 ●S | 27,539,211 | 5,907,232 | ||||||
Series 2015-27 SA 6.011% 5/25/45 ●S | 3,678,793 | 808,776 | ||||||
Series 2015-44 Z 3.00% 9/25/43 | 8,036,224 | 7,901,822 | ||||||
Series 2015-90 AZ 3.00% 6/25/41 | 564,006 | 553,354 | ||||||
Freddie Mac REMICs | ||||||||
Series 1730 Z 7.00% 5/15/24 | 129,265 | 145,383 | ||||||
Series 2326 ZQ 6.50% 6/15/31 | 392,000 | 442,748 | ||||||
Series 2557 WE 5.00% 1/15/18 | 527,336 | 540,240 | ||||||
Series 2621 QH 5.00% 5/15/33 | 52,059 | 57,619 | ||||||
Series 2624 QH 5.00% 6/15/33 | 40,618 | 45,147 | ||||||
Series 2717 MH 4.50% 12/15/18 | 20,151 | 20,736 | ||||||
Series 2809 DC 4.50% 6/15/19 | 370,129 | 380,647 | ||||||
Series 2981 NE 5.00% 5/15/35 | 13,243 | 14,648 | ||||||
Series 3123 HT 5.00% 3/15/26 | 22,722 | 24,787 | ||||||
Series 3139 ZT 5.50% 4/15/36 | 165,966 | 186,391 | ||||||
Series 3150 EQ 5.00% 5/15/26 | 29,645 | 32,206 | ||||||
Series 3232 KF 0.883% 10/15/36 ● | 54,683 | 54,553 | ||||||
Series 3239 EF 0.783% 11/15/36 ● | 10,062 | 10,111 | ||||||
Series 3290 PE 5.50% 3/15/37 | 234,445 | 264,429 | ||||||
Series 3574 D 5.00% 9/15/39 | 158,166 | 175,668 |
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Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
Freddie Mac REMICs | ||||||||
Series 3578 EO 0.00% 5/15/37 ^ | 1,168,207 | $ | 1,099,761 | |||||
Series 3656 PM 5.00% 4/15/40 | 7,224,766 | 8,005,215 | ||||||
Series 3662 ZB 5.50% 8/15/36 | 269,553 | 302,244 | ||||||
Series 3804 EH 3.50% 7/15/40 | 72,886 | 76,014 | ||||||
Series 4065 DE 3.00% 6/15/32 | 1,626,000 | 1,703,238 | ||||||
Series 4097 VY 1.50% 8/15/42 | 341,521 | 288,044 | ||||||
Series 4109 AI 3.00% 7/15/31 S | 17,854,038 | 1,831,790 | ||||||
Series 4120 IK 3.00% 10/15/32 S | 14,811,638 | 1,935,789 | ||||||
Series 4122 LI 3.00% 10/15/27 S | 765,851 | 77,650 | ||||||
Series 4136 EZ 3.00% 11/15/42 | 4,049,512 | 3,991,449 | ||||||
Series 4142 HA 2.50% 12/15/32 | 554,811 | 559,442 | ||||||
Series 4146 IA 3.50% 12/15/32 S | 7,884,486 | 1,188,279 | ||||||
Series 4150 PQ 2.50% 1/15/43 | 672,786 | 633,359 | ||||||
Series 4158 ZT 3.00% 1/15/43 | 228,645 | 228,261 | ||||||
Series 4159 KS 5.717% 1/15/43 ●S | 6,766,178 | 1,670,088 | ||||||
Series 4171 MN 3.00% 2/15/43 | 739,000 | 730,706 | ||||||
Series 4180 ZB 3.00% 3/15/43 | 1,048,822 | 1,033,387 | ||||||
Series 4181 DI 2.50% 3/15/33 S | 4,479,380 | 511,782 | ||||||
Series 4185 LI 3.00% 3/15/33 S | 8,524,640 | 1,146,393 | ||||||
Series 4191 CI 3.00% 4/15/33 S | 3,560,497 | 472,227 | ||||||
Series 4217 HI 2.50% 6/15/28 S | 754,875 | 69,124 | ||||||
Series 4251 KI 2.50% 4/15/28 S | 601,693 | 36,739 | ||||||
Series 4389 ZC 3.00% 9/15/44 | 841,748 | 773,645 | ||||||
Series 4391 GZ 2.50% 12/15/40 | 105,324 | 100,748 | ||||||
Series 4403 CZ 3.00% 10/15/44 | 120,508 | 104,744 | ||||||
Series 4435 DY 3.00% 2/15/35 | 6,624,571 | 6,756,695 | ||||||
Series 4453 DI 3.50% 11/15/33 S | 3,674,248 | 451,470 | ||||||
Series 4479 TI 4.00% 7/15/34 S | 1,506,044 | 217,150 | ||||||
Series 4520 AI 3.50% 10/15/35 S | 2,141,706 | 329,518 | ||||||
Freddie Mac Strips | ||||||||
Series 19 F 1.223% 6/1/28 ● | 2,263 | 2,234 | ||||||
Series 267 S5 5.567% 8/15/42 ●S | 9,462,035 | 2,032,264 | ||||||
Series 299 S1 5.567% 1/15/43 ●S | 7,218,120 | 1,598,011 | ||||||
Series 326 S2 5.517% 3/15/44 ●S | 4,781,028 | 1,091,095 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2014-DN4 M2 2.839% 10/25/24 ● | 1,968,300 | 1,989,142 | ||||||
Series 2015-DNA1 M2 2.289% 10/25/27 ● | 895,000 | 889,038 | ||||||
Series 2015-DNA3 M2 3.289% 4/25/28 ● | 3,390,000 | 3,451,524 | ||||||
Series 2015-HQ2 M2 2.389% 5/25/25 ● | 2,830,000 | 2,761,725 | ||||||
Series 2015-HQA2 M2 3.239% 5/25/28 ● | 3,795,000 | 3,867,307 | ||||||
Series 2016-DNA1 M2 3.339% 7/25/28 ● | 2,515,000 | 2,559,410 |
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Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-42 A5 7.50% 2/25/42 ¨ | 80,796 | $ | 96,708 | |||||
Series T-54 2A 6.50% 2/25/43 ¨ | 22,663 | 27,152 | ||||||
Series T-58 2A 6.50% 9/25/43 ¨ | 492,571 | 580,301 | ||||||
GNMA | ||||||||
Series 2010-113 KE 4.50% 9/20/40 | 20,442,264 | 23,031,594 | ||||||
Series 2012-145 PY 2.00% 12/20/42 | 1,923,000 | 1,743,106 | ||||||
Series 2013-113 AZ 3.00% 8/20/43 | 7,803,221 | 7,611,848 | ||||||
Series 2015-133 AL 3.00% 5/20/45 | 8,757,978 | 8,663,754 | ||||||
Series 2015-139 EY 2.50% 9/16/45 | 1,548,000 | 1,444,474 | ||||||
Vendee Mortgage Trust | ||||||||
Series 2000-1 1A 6.424% 1/15/30 ● | 16,970 | 19,488 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations (cost $191,570,536) | 189,694,720 | |||||||
|
| |||||||
| ||||||||
Agency Mortgage-Backed Securities – 24.38% | ||||||||
| ||||||||
Fannie Mae ARM | ||||||||
1.94% 7/1/33 ● | 56,448 | 58,150 | ||||||
2.162% 11/1/24 ● | 1,660 | 1,737 | ||||||
2.196% 1/1/36 ● | 70,644 | 73,642 | ||||||
2.288% 8/1/34 ● | 17,847 | 18,790 | ||||||
2.327% 9/1/38 ● | 327,418 | 349,712 | ||||||
2.385% 3/1/38 ● | 7,269 | 7,600 | ||||||
2.406% 8/1/36 ● | 20,952 | 22,035 | ||||||
2.408% 6/1/37 ● | 8,048 | 8,525 | ||||||
2.411% 5/1/43 ● | 5,526,583 | 5,663,437 | ||||||
2.446% 4/1/37 ● | 1,086,736 | 1,133,632 | ||||||
2.461% 6/1/36 ● | 80,553 | 85,535 | ||||||
2.486% 12/1/33 ● | 9,895 | 10,494 | ||||||
2.496% 11/1/35 ● | 298,374 | 316,079 | ||||||
2.518% 7/1/36 ● | 2,103 | 2,234 | ||||||
2.522% 6/1/34 ● | 42,159 | 44,653 | ||||||
2.527% 6/1/34 ● | 978 | 1,038 | ||||||
2.527% 7/1/36 ● | 55,050 | 57,939 | ||||||
2.543% 11/1/35 ● | 84,368 | 89,311 | ||||||
2.553% 6/1/43 ● | 1,267,163 | 1,302,245 | ||||||
2.576% 8/1/35 ● | 68,789 | 72,531 | ||||||
2.59% 11/1/32 ● | 419 | 439 | ||||||
2.652% 4/1/36 ● | 164,325 | 174,409 | ||||||
2.697% 4/1/36 ● | 284,489 | 301,748 | ||||||
2.834% 4/1/36 ● | 512 | 542 | ||||||
2.913% 7/1/45 ● | 1,510,975 | 1,558,791 | ||||||
2.993% 5/1/36 ● | 109,897 | 116,193 | ||||||
3.207% 4/1/44 ● | 2,295,383 | 2,397,093 |
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Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae ARM | ||||||||
3.242% 3/1/44 ● | 4,049,824 | $ | 4,237,849 | |||||
3.28% 9/1/43 ● | 3,416,485 | 3,575,605 | ||||||
6.10% 8/1/37 ● | 174,522 | 175,004 | ||||||
Fannie Mae Relocation 30 yr | ||||||||
5.00% 11/1/33 | 18,757 | 20,341 | ||||||
5.00% 1/1/34 | 1,509 | 1,599 | ||||||
5.00% 11/1/34 | 29,351 | 31,985 | ||||||
5.00% 4/1/35 | 37,158 | 39,915 | ||||||
5.00% 10/1/35 | 51,985 | 56,968 | ||||||
5.00% 1/1/36 | 65,599 | 71,705 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
3.00% 9/1/30 | 4,366,855 | 4,575,845 | ||||||
3.00% 12/1/30 | 5,286,877 | 5,548,059 | ||||||
3.00% 2/1/31 | 1,406,632 | 1,474,252 | ||||||
3.00% 3/1/31 | 4,900,133 | 5,129,129 | ||||||
3.50% 7/1/26 | 3,305,598 | 3,496,015 | ||||||
3.50% 11/1/27 | 670,568 | 712,074 | ||||||
3.50% 11/1/28 | 316,770 | 336,987 | ||||||
4.00% 5/1/25 | 1,289,946 | 1,375,630 | ||||||
4.00% 11/1/25 | 9,197,331 | 9,814,440 | ||||||
4.00% 1/1/27 | 15,767,408 | 16,818,733 | ||||||
4.00% 5/1/27 | 5,026,292 | 5,377,886 | ||||||
4.50% 4/1/23 | 43,087 | 45,501 | ||||||
4.50% 9/1/24 | 157,394 | 164,941 | ||||||
4.50% 11/1/24 | 50,941 | 54,645 | ||||||
Fannie Mae S.F. 15 yr TBA | ||||||||
2.50% 7/1/46 | 7,500,000 | 7,677,098 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
3.00% 10/1/32 | 18,635 | 19,480 | ||||||
3.00% 2/1/33 | 346,136 | 360,547 | ||||||
3.00% 8/1/33 | 150,762 | 157,227 | ||||||
3.00% 4/1/34 | 113,100 | 117,941 | ||||||
3.00% 8/1/34 | 1,043,036 | 1,087,292 | ||||||
3.00% 1/1/36 | 10,977,703 | 11,400,446 | ||||||
3.50% 8/1/32 | 507,436 | 537,066 | ||||||
3.50% 10/1/34 | 2,166,495 | 2,288,705 | ||||||
3.50% 9/1/35 | 43,389 | 45,772 | ||||||
4.00% 1/1/31 | 838,158 | 902,816 | ||||||
4.00% 2/1/31 | 2,028,642 | 2,185,323 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 7/1/42 | 2,872,959 | 2,952,000 | ||||||
3.00% 10/1/42 | 1,914,720 | 1,970,468 |
9
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 12/1/42 | 8,183,743 | $ | 8,408,873 | |||||
3.00% 1/1/43 | 13,633,745 | 14,006,398 | ||||||
3.00% 2/1/43 | 1,714,838 | 1,762,003 | ||||||
3.00% 5/1/43 | 2,693,032 | 2,766,630 | ||||||
4.00% 5/1/43 | 450,735 | 486,414 | ||||||
4.00% 7/1/44 | 12,788,438 | 13,793,801 | ||||||
4.50% 7/1/36 | 1,472,364 | 1,607,241 | ||||||
4.50% 6/1/38 | 2,211,492 | 2,424,469 | ||||||
4.50% 3/1/39 | 2,095,221 | 2,325,070 | ||||||
4.50% 4/1/39 | 5,057,013 | 5,526,838 | ||||||
4.50% 5/1/39 | 651,012 | 721,553 | ||||||
4.50% 6/1/39 | 1,757,388 | 1,918,320 | ||||||
4.50% 7/1/39 | 1,080,230 | 1,187,508 | ||||||
4.50% 8/1/39 | 73,542 | 81,260 | ||||||
4.50% 9/1/39 | 824,677 | 899,555 | ||||||
4.50% 10/1/39 | 158,164 | 175,571 | ||||||
4.50% 11/1/39 | 2,546,678 | 2,813,473 | ||||||
4.50% 12/1/39 | 1,184,046 | 1,309,653 | ||||||
4.50% 1/1/40 | 364,163 | 402,754 | ||||||
4.50% 5/1/40 | 3,484,017 | 3,850,076 | ||||||
4.50% 6/1/40 | 101,241 | 111,978 | ||||||
4.50% 9/1/40 | 12,709,710 | 13,944,404 | ||||||
4.50% 11/1/40 | 4,953,178 | 5,427,151 | ||||||
4.50% 12/1/40 | 1,213,355 | 1,323,366 | ||||||
4.50% 2/1/41 | 8,325,665 | 9,084,930 | ||||||
4.50% 3/1/41 | 4,603,068 | 5,037,264 | ||||||
4.50% 4/1/41 | 6,527,706 | 7,132,370 | ||||||
4.50% 5/1/41 | 1,152,350 | 1,260,598 | ||||||
4.50% 7/1/41 | 1,559,002 | 1,701,070 | ||||||
4.50% 8/1/41 | 1,705,897 | 1,864,126 | ||||||
4.50% 10/1/41 | 3,029,887 | 3,308,444 | ||||||
4.50% 12/1/41 | 7,491,847 | 8,172,762 | ||||||
4.50% 1/1/42 | 62,343,619 | 68,084,859 | ||||||
4.50% 4/1/42 | 3,218,155 | 3,511,042 | ||||||
4.50% 9/1/42 | 7,211,536 | 7,881,168 | ||||||
4.50% 1/1/43 | 4,467,470 | 4,872,182 | ||||||
4.50% 9/1/43 | 3,708,856 | 4,045,028 | ||||||
4.50% 10/1/43 | 1,621,923 | 1,772,569 | ||||||
4.50% 11/1/43 | 1,674,500 | 1,829,979 | ||||||
4.50% 1/1/44 | 12,066,027 | 13,125,968 | ||||||
4.50% 2/1/44 | 824,703 | 899,638 | ||||||
4.50% 4/1/44 | 8,254,103 | 8,982,237 |
10
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
4.50% 6/1/44 | 15,833,916 | $ | 17,260,018 | |||||
4.50% 8/1/44 | 977,536 | 1,064,700 | ||||||
4.50% 10/1/44 | 6,578,886 | 7,205,609 | ||||||
4.50% 1/1/45 | 15,241,571 | 16,595,253 | ||||||
4.50% 2/1/45 | 385,378 | 420,292 | ||||||
5.00% 4/1/33 | 77,402 | 86,120 | ||||||
5.00% 7/1/33 | 85,990 | 95,657 | ||||||
5.00% 11/1/33 | 96,042 | 106,827 | ||||||
5.00% 3/1/34 | 44,430 | 49,419 | ||||||
5.00% 4/1/34 | 210,574 | 235,972 | ||||||
5.00% 2/1/35 | 3,827 | 4,257 | ||||||
5.00% 4/1/35 | 453,574 | 503,621 | ||||||
5.00% 5/1/35 | 17,242 | 19,131 | ||||||
5.00% 6/1/35 | 2,662 | 2,954 | ||||||
5.00% 8/1/35 | 429,178 | 476,013 | ||||||
5.00% 9/1/35 | 3,469 | 3,858 | ||||||
5.00% 10/1/35 | 2,272,491 | 2,520,660 | ||||||
5.00% 11/1/35 | 1,156,045 | 1,281,916 | ||||||
5.00% 8/1/36 | 4,760 | 5,281 | ||||||
5.00% 2/1/37 | 46,715 | 51,922 | ||||||
5.00% 4/1/37 | 660,791 | 733,223 | ||||||
5.00% 8/1/37 | 1,523,120 | 1,688,346 | ||||||
5.00% 6/1/39 | 212,402 | 235,625 | ||||||
5.50% 12/1/32 | 122,080 | 137,997 | ||||||
5.50% 2/1/33 | 1,754,985 | 1,981,833 | ||||||
5.50% 6/1/33 | 1,475,248 | 1,668,111 | ||||||
5.50% 8/1/33 | 111,903 | 126,534 | ||||||
5.50% 3/1/34 | 162,261 | 183,210 | ||||||
5.50% 4/1/34 | 1,565,204 | 1,769,637 | ||||||
5.50% 7/1/34 | 161,583 | 182,844 | ||||||
5.50% 8/1/34 | 25,295 | 28,625 | ||||||
5.50% 9/1/34 | 2,062,226 | 2,333,012 | ||||||
5.50% 11/1/34 | 1,650,926 | 1,866,141 | ||||||
5.50% 12/1/34 | 960,711 | 1,086,771 | ||||||
5.50% 1/1/35 | 1,916,366 | 2,168,161 | ||||||
5.50% 2/1/35 | 825,799 | 933,501 | ||||||
5.50% 3/1/35 | 376,948 | 425,842 | ||||||
5.50% 4/1/35 | 2,130 | 2,407 | ||||||
5.50% 5/1/35 | 1,910,155 | 2,161,557 | ||||||
5.50% 6/1/35 | 470,331 | 531,692 | ||||||
5.50% 8/1/35 | 144,544 | 163,382 | ||||||
5.50% 9/1/35 | 2,106 | 2,382 |
11
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
5.50% 10/1/35 | 2,063,753 | $ | 2,329,677 | |||||
5.50% 12/1/35 | 325,813 | 368,601 | ||||||
5.50% 1/1/36 | 2,652,884 | 2,997,259 | ||||||
5.50% 4/1/36 | 1,739,553 | 1,960,304 | ||||||
5.50% 7/1/36 | 3,013,766 | 3,409,319 | ||||||
5.50% 9/1/36 | 5,777,184 | 6,529,462 | ||||||
5.50% 11/1/36 | 1,348,491 | 1,512,856 | ||||||
5.50% 1/1/37 | 2,391,437 | 2,686,015 | ||||||
5.50% 2/1/37 | 35,117 | 39,465 | ||||||
5.50% 3/1/37 | 986,580 | 1,108,761 | ||||||
5.50% 4/1/37 | 4,257,412 | 4,784,964 | ||||||
5.50% 8/1/37 | 9,079,595 | 10,267,935 | ||||||
5.50% 9/1/37 | 2,504,915 | 2,813,809 | ||||||
5.50% 11/1/37 | 24,498 | 27,506 | ||||||
5.50% 1/1/38 | 1,001,936 | 1,132,042 | ||||||
5.50% 2/1/38 | 1,637,634 | 1,847,654 | ||||||
5.50% 3/1/38 | 1,430,405 | 1,619,090 | ||||||
5.50% 6/1/38 | 4,989,572 | 5,603,315 | ||||||
5.50% 7/1/38 | 847,071 | 953,235 | ||||||
5.50% 9/1/38 | 328,380 | 371,017 | ||||||
5.50% 12/1/38 | 374,565 | 423,288 | ||||||
5.50% 1/1/39 | 5,967,563 | 6,751,105 | ||||||
5.50% 2/1/39 | 8,546,510 | 9,660,521 | ||||||
5.50% 6/1/39 | 2,407,724 | 2,730,805 | ||||||
5.50% 10/1/39 | 1,763,092 | 1,980,822 | ||||||
5.50% 12/1/39 | 766,618 | 867,663 | ||||||
5.50% 3/1/40 | 11,786,223 | 13,328,551 | ||||||
5.50% 7/1/40 | 4,242,768 | 4,793,834 | ||||||
5.50% 3/1/41 | 12,316,393 | 13,923,089 | ||||||
5.50% 9/1/41 | 29,653,822 | 33,345,577 | ||||||
6.00% 4/1/32 | 11,309 | 13,061 | ||||||
6.00% 8/1/34 | 249,054 | 287,027 | ||||||
6.00% 11/1/34 | 11,971 | 13,739 | ||||||
6.00% 12/1/34 | 2,582 | 2,960 | ||||||
6.00% 7/1/35 | 59,634 | 68,126 | ||||||
6.00% 9/1/35 | 76,222 | 87,333 | ||||||
6.00% 10/1/35 | 36,300 | 41,645 | ||||||
6.00% 11/1/35 | 21,892 | 25,349 | ||||||
6.00% 12/1/35 | 405,296 | 464,648 | ||||||
6.00% 6/1/36 | 250,779 | 286,458 | ||||||
6.00% 7/1/36 | 20,387 | 23,330 | ||||||
6.00% 9/1/36 | 106,756 | 121,753 |
12
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
6.00% 12/1/36 | 216,738 | $ | 246,782 | |||||
6.00% 2/1/37 | 725,761 | 828,578 | ||||||
6.00% 3/1/37 | 24,001 | 27,401 | ||||||
6.00% 5/1/37 | 1,742,298 | 1,984,961 | ||||||
6.00% 6/1/37 | 123,617 | 142,511 | ||||||
6.00% 7/1/37 | 115,082 | 131,034 | ||||||
6.00% 8/1/37 | 1,131,632 | 1,292,128 | ||||||
6.00% 9/1/37 | 529,084 | 603,347 | ||||||
6.00% 10/1/37 | 376,769 | 430,018 | ||||||
6.00% 11/1/37 | 37,900 | 43,248 | ||||||
6.00% 1/1/38 | 897,740 | 1,022,538 | ||||||
6.00% 3/1/38 | 807 | 931 | ||||||
6.00% 5/1/38 | 4,259,027 | 4,859,437 | ||||||
6.00% 6/1/38 | 307,464 | 354,230 | ||||||
6.00% 8/1/38 | 237,184 | 270,891 | ||||||
6.00% 9/1/38 | 844,515 | 964,354 | ||||||
6.00% 10/1/38 | 500,352 | 572,423 | ||||||
6.00% 11/1/38 | 586,122 | 674,861 | ||||||
6.00% 12/1/38 | 320,839 | 369,752 | ||||||
6.00% 1/1/39 | 1,147,578 | 1,309,519 | ||||||
6.00% 9/1/39 | 53,831 | 62,548 | ||||||
6.00% 10/1/39 | 9,213,063 | 10,633,869 | ||||||
6.00% 1/1/40 | 9,116 | 10,495 | ||||||
6.00% 3/1/40 | 1,000,681 | 1,142,592 | ||||||
6.00% 7/1/40 | 3,575,169 | 4,076,849 | ||||||
6.00% 9/1/40 | 874,763 | 996,845 | ||||||
6.00% 11/1/40 | 357,918 | 412,958 | ||||||
6.00% 5/1/41 | 9,234,949 | 10,544,233 | ||||||
6.00% 6/1/41 | 3,743,521 | 4,274,537 | ||||||
6.00% 7/1/41 | 21,581,507 | 24,678,098 | ||||||
6.50% 3/1/32 | 191 | 219 | ||||||
6.50% 8/1/34 | 5,025 | 5,762 | ||||||
6.50% 1/1/36 | 27,481 | 31,749 | ||||||
6.50% 2/1/36 | 843,203 | 1,018,838 | ||||||
6.50% 3/1/36 | 40,158 | 46,494 | ||||||
6.50% 8/1/36 | 25,228 | 28,972 | ||||||
6.50% 9/1/36 | 37,464 | 42,984 | ||||||
6.50% 11/1/36 | 307,899 | 357,157 | ||||||
6.50% 3/1/37 | 532,203 | 651,338 | ||||||
6.50% 8/1/37 | 65,508 | 77,952 | ||||||
6.50% 11/1/37 | 1,132 | 1,336 | ||||||
6.50% 12/1/37 | 222,957 | 256,485 |
13
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
6.50% 10/1/38 | 28,235 | $ | 32,700 | |||||
6.50% 1/1/39 | 13,507 | 15,691 | ||||||
6.50% 3/1/40 | 779,528 | 918,620 | ||||||
7.00% 8/1/32 | 50,197 | 54,378 | ||||||
7.00% 9/1/32 | 37,009 | 39,012 | ||||||
7.00% 2/1/36 | 8,351 | 9,301 | ||||||
7.00% 12/1/37 | 4,398 | 4,737 | ||||||
7.50% 1/1/31 | 931 | 1,096 | ||||||
7.50% 3/1/32 | 12,381 | 14,678 | ||||||
7.50% 4/1/32 | 14,145 | 16,658 | ||||||
7.50% 6/1/34 | 21,112 | 24,765 | ||||||
7.50% 10/1/34 | 11,814 | 13,957 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
3.00% 6/1/46 | 470,084,000 | 480,862,838 | ||||||
5.50% 5/1/46 | 4,700,000 | 5,263,450 | ||||||
Freddie Mac ARM | ||||||||
2.404% 10/1/36 ● | 47,483 | 50,178 | ||||||
2.441% 5/1/35 ● | 174,862 | 184,444 | ||||||
2.498% 7/1/36 ● | 189,843 | 199,438 | ||||||
2.51% 8/1/37 ● | 6,374 | 6,721 | ||||||
2.513% 1/1/44 ● | 3,287,451 | 3,386,373 | ||||||
2.565% 2/1/37 ● | 485,460 | 510,800 | ||||||
2.57% 4/1/34 ● | 13,237 | 14,030 | ||||||
2.574% 10/1/37 ● | 2,330 | 2,456 | ||||||
2.592% 12/1/33 ● | 217,122 | 228,398 | ||||||
2.65% 10/1/37 ● | 46,637 | 49,071 | ||||||
2.676% 3/1/36 ● | 47,813 | 50,515 | ||||||
2.775% 10/1/45 ● | 1,892,105 | 1,948,232 | ||||||
2.807% 4/1/33 ● | 2,926 | 3,032 | ||||||
2.828% 9/1/45 ● | 11,802,209 | 12,189,346 | ||||||
2.944% 10/1/45 ● | 3,014,338 | 3,108,883 | ||||||
2.953% 11/1/44 ● | 1,117,059 | 1,158,553 | ||||||
3.107% 3/1/46 ● | 4,070,643 | 4,208,250 | ||||||
3.462% 5/1/42 ● | 549,782 | 574,040 | ||||||
4.852% 8/1/38 ● | 55,293 | 58,315 | ||||||
Freddie Mac Relocation 30 yr | ||||||||
5.00% 9/1/33 | 118,904 | 129,742 | ||||||
6.50% 10/1/30 | 459 | 474 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
3.50% 10/1/26 | 820,373 | 875,433 | ||||||
4.00% 5/1/25 | 350,282 | 373,600 | ||||||
4.00% 11/1/26 | 1,239,269 | 1,323,511 |
14
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Freddie Mac S.F. 15 yr | ||||||||
4.50% 9/1/24 | 42,127 | $ | 43,758 | |||||
4.50% 9/1/26 | 1,407,715 | 1,501,339 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
3.50% 1/1/34 | 3,778,428 | 3,987,758 | ||||||
3.50% 9/1/35 | 2,649,398 | 2,796,835 | ||||||
4.00% 10/1/35 | 3,323,537 | 3,577,102 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 10/1/42 | 3,674,043 | 3,778,688 | ||||||
3.00% 11/1/42 | 4,377,536 | 4,528,917 | ||||||
4.50% 4/1/39 | 521,428 | 574,966 | ||||||
4.50% 7/1/39 | 710,153 | 774,977 | ||||||
4.50% 10/1/39 | 1,658,612 | 1,810,024 | ||||||
4.50% 4/1/41 | 7,620,943 | 8,325,236 | ||||||
4.50% 3/1/42 | 7,422,826 | 8,123,520 | ||||||
4.50% 10/1/44 | 1,244,030 | 1,357,691 | ||||||
5.50% 3/1/34 | 259,345 | 291,871 | ||||||
5.50% 12/1/34 | 250,419 | 282,969 | ||||||
5.50% 6/1/36 | 169,412 | 190,097 | ||||||
5.50% 11/1/36 | 263,391 | 293,605 | ||||||
5.50% 12/1/36 | 74,418 | 83,475 | ||||||
5.50% 1/1/37 | 18,605 | 20,845 | ||||||
5.50% 5/1/37 | 18,423 | 20,848 | ||||||
5.50% 9/1/37 | 347,438 | 389,288 | ||||||
5.50% 11/1/37 | 14,292 | 16,011 | ||||||
5.50% 4/1/38 | 1,130,035 | 1,266,831 | ||||||
5.50% 6/1/38 | 164,314 | 184,621 | ||||||
5.50% 7/1/38 | 1,241,602 | 1,392,880 | ||||||
5.50% 6/1/39 | 1,193,734 | 1,341,589 | ||||||
5.50% 3/1/40 | 951,394 | 1,065,313 | ||||||
5.50% 8/1/40 | 749,758 | 840,521 | ||||||
5.50% 1/1/41 | 729,421 | 819,094 | ||||||
5.50% 6/1/41 | 29,024,386 | 32,619,489 | ||||||
6.00% 11/1/34 | 40,657 | 46,046 | ||||||
6.00% 2/1/36 | 3,430,570 | 3,944,526 | ||||||
6.00% 3/1/36 | 1,567,746 | 1,800,218 | ||||||
6.00% 10/1/36 | 1,597 | 1,827 | ||||||
6.00% 7/1/38 | 9,984 | 11,308 | ||||||
6.00% 8/1/38 | 3,195,471 | 3,683,037 | ||||||
6.00% 10/1/38 | 90,681 | 104,188 | ||||||
6.00% 3/1/40 | 17,896 | 20,344 | ||||||
6.00% 5/1/40 | 1,783,335 | 2,037,734 | ||||||
6.00% 7/1/40 | 2,988,579 | 3,412,642 |
15
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Freddie Mac S.F. 30 yr | ||||||||
6.50% 10/1/32 | 963 | $ | 1,129 | |||||
6.50% 6/1/37 | 6,169 | 7,277 | ||||||
6.50% 8/1/38 | 183,712 | 209,243 | ||||||
6.50% 4/1/39 | 410,441 | 467,482 | ||||||
7.00% 11/1/33 | 141,287 | 171,046 | ||||||
GNMA I S.F. 30 yr | ||||||||
5.00% 6/15/40 | 474,425 | 526,166 | ||||||
7.00% 12/15/34 | 1,704,538 | 2,064,750 | ||||||
7.50% 2/15/32 | 1,461 | 1,794 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities (cost $1,246,216,817) | 1,252,747,584 | |||||||
|
| |||||||
| ||||||||
Collateralized Debt Obligations – 1.68% | ||||||||
| ||||||||
Avery Point III CLO | ||||||||
Series 2013-3A A 144A 2.033% 1/18/25 #● | 5,500,000 | 5,438,779 | ||||||
Benefit Street Partners CLO IV | ||||||||
Series 2014-IVA A1A 144A 2.124% 7/20/26 #● | 14,000,000 | 13,909,616 | ||||||
BlueMountain CLO | ||||||||
Series 2014-3A A1 144A 2.108% 10/15/26 #● | 2,980,000 | 2,967,842 | ||||||
Series 2014-4A A1 144A 2.136% 11/30/26 #● | 5,700,000 | 5,671,927 | ||||||
Carlyle Global Market Strategies CLO | ||||||||
Series 2014-2A A 144A 2.088% 5/15/25 #● | 3,940,000 | 3,920,493 | ||||||
Cedar Funding III CLO | ||||||||
Series 2014-3A A1 144A 2.148% 5/20/26 #● | 5,330,000 | 5,318,407 | ||||||
Cent CLO 21 | ||||||||
Series 2014-21A A1B 144A 2.024% 7/27/26 #● | 5,500,000 | 5,406,473 | ||||||
CIFC Funding | ||||||||
Series 2013-2A A1L 144A 1.783% 4/21/25 #● | 10,000,000 | 9,861,140 | ||||||
Magnetite IX | ||||||||
Series 2014-9A A1 144A 2.058% 7/25/26 #● | 13,880,000 | 13,859,152 | ||||||
Neuberger Berman CLO XVII | ||||||||
Series 2014-17A A 144A 2.089% 8/4/25 #● | 5,120,000 | 5,103,206 | ||||||
Neuberger Berman CLO XIX | ||||||||
Series 2015-19A A1 144A 2.048% 7/15/27 #● | 8,000,000 | 7,953,040 | ||||||
Shackleton CLO | ||||||||
Series 2014-5A A 144A 2.12% 5/7/26 #● | 7,115,000 | 7,054,821 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (cost $86,789,474) | 86,464,896 | |||||||
|
| |||||||
| ||||||||
Commercial Mortgage-Backed Securities – 6.66% | ||||||||
| ||||||||
Banc of America Commercial Mortgage Trust | ||||||||
Series 2006-4 A4 5.634% 7/10/46 | 129,556 | 129,567 | ||||||
Series 2007-4 AM 6.001% 2/10/51 ● | 3,670,000 | 3,843,573 | ||||||
Bear Stearns Commercial Mortgage Securities Trust | ||||||||
Series 2007-PW18 A4 5.70% 6/11/50 | 3,140,000 | 3,255,101 |
16
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2007-C6 AM 5.899% 12/10/49 ● | 2,950,000 | $ | 2,964,976 | |||||
Series 2014-GC25 A4 3.635% 10/10/47 | 5,655,000 | 6,044,371 | ||||||
Series 2015-GC27 A5 3.137% 2/10/48 | 6,497,146 | 6,679,265 | ||||||
Series 2016-P3 A4 3.329% 4/15/49 | 4,000,000 | 4,141,849 | ||||||
COMM Mortgage Trust | ||||||||
Series 2013-CR6 AM 144A 3.147% 3/10/46 # | 4,205,000 | 4,306,667 | ||||||
Series 2014-CR16 A4 4.051% 4/10/47 | 7,210,000 | 7,944,933 | ||||||
Series 2014-CR19 A5 3.796% 8/10/47 | 6,890,000 | 7,471,295 | ||||||
Series 2014-CR20 A4 3.59% 11/10/47 | 2,305,000 | 2,468,399 | ||||||
Series 2014-CR20 AM 3.938% 11/10/47 | 10,325,000 | 11,072,034 | ||||||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 9,890,000 | 10,239,081 | ||||||
Series 2015-CR23 A4 3.497% 5/10/48 | 8,305,000 | 8,777,053 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2007-GG9 AM 5.475% 3/10/39 | 3,375,000 | 3,438,355 | ||||||
DB-JPM | ||||||||
Series 2016-C1 A4 3.276% 5/10/49 | 3,700,000 | 3,841,653 | ||||||
DB-UBS Mortgage Trust | ||||||||
Series 2011-LC1A A3 144A 5.002% 11/10/46 # | 4,494,000 | 5,066,303 | ||||||
Series 2011-LC1A C 144A 5.867% 11/10/46 #● | 5,320,000 | 5,850,217 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2011-K10 B 144A 4.79% 11/25/49 #● | 1,745,000 | 1,881,334 | ||||||
Series 2011-K13 B 144A 4.767% 1/25/48 #● | 1,380,000 | 1,490,302 | ||||||
Series 2011-K14 B 144A 5.341% 2/25/47 #● | 2,540,000 | 2,816,573 | ||||||
Series 2011-K15 B 144A 5.116% 8/25/44 #● | 485,000 | 534,181 | ||||||
Series 2012-K18 B 144A 4.40% 1/25/45 #● | 2,450,000 | 2,619,006 | ||||||
Series 2012-K22 B 144A 3.811% 8/25/45 #● | 4,285,000 | 4,405,605 | ||||||
Series 2012-K22 C 144A 3.811% 8/25/45 #● | 3,450,000 | 3,286,608 | ||||||
Series 2012-K23 C 144A 3.782% 10/25/45 #● | 1,871,000 | 1,767,321 | ||||||
Series 2012-K708 B 144A 3.883% 2/25/45 #● | 5,475,000 | 5,615,753 | ||||||
Series 2012-K708 C 144A 3.883% 2/25/45 #● | 1,380,000 | 1,371,055 | ||||||
Series 2013-K25 C 144A 3.743% 11/25/45 #● | 3,480,000 | 3,232,370 | ||||||
Series 2013-K26 C 144A 3.722% 12/25/45 #● | 2,150,000 | 1,980,493 | ||||||
Series 2013-K30 C 144A 3.668% 6/25/45 #● | 4,100,000 | 3,706,915 | ||||||
Series 2013-K31 C 144A 3.741% 7/25/46 #● | 6,105,000 | 5,618,373 | ||||||
Series 2013-K33 B 144A 3.618% 8/25/46 #● | 3,285,000 | 3,287,601 | ||||||
Series 2013-K35 C 144A 4.077% 8/25/23 #● | 825,000 | 740,553 | ||||||
Series 2013-K712 B 144A 3.484% 5/25/45 #● | 8,000,000 | 8,123,295 | ||||||
Series 2013-K712 C 144A 3.484% 5/25/45 #● | 380,000 | 382,637 | ||||||
Series 2013-K713 B 144A 3.274% 4/25/46 #● | 6,160,000 | 6,202,487 | ||||||
Series 2013-K713 C 144A 3.274% 4/25/46 #● | 5,765,000 | 5,674,443 | ||||||
Series 2014-K716 C 144A 4.085% 8/25/47 #● | 2,755,000 | 2,781,918 |
17
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
GRACE Mortgage Trust | ||||||||
Series 2014-GRCE A 144A 3.369% 6/10/28 # | 17,610,000 | $ | 18,645,475 | |||||
GS Mortgage Securities Trust | ||||||||
Series 2010-C1 A2 144A 4.592% 8/10/43 # | 9,975,000 | 10,879,832 | ||||||
Series 2010-C1 C 144A 5.635% 8/10/43 #● | 4,765,000 | 5,178,629 | ||||||
Series 2014-GC24 A5 3.931% 9/10/47 | 7,000,000 | 7,628,926 | ||||||
Series 2015-GC32 A4 3.764% 7/10/48 | 3,086,000 | 3,322,219 | ||||||
Hilton USA Trust | ||||||||
Series 2013-HLT AFX 144A 2.662% 11/5/30 # | 3,018,000 | 3,031,016 | ||||||
Series 2013-HLT BFX 144A 3.367% 11/5/30 # | 9,470,000 | 9,510,485 | ||||||
Houston Galleria Mall Trust | ||||||||
Series 2015-HGLR A1A2 144A 3.087% 3/5/37 # | 9,610,000 | 9,769,682 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18 A1 1.254% 2/15/47 | 1,861,924 | 1,856,005 | ||||||
Series 2014-C22 B 4.713% 9/15/47 ● | 1,625,000 | 1,738,256 | ||||||
Series 2015-C33 A4 3.77% 12/15/48 | 6,825,000 | 7,349,746 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2005-CB11 E 5.674% 8/12/37 ● | 1,765,000 | 1,905,205 | ||||||
Series 2005-LDP5 D 5.737% 12/15/44 ● | 2,895,000 | 2,887,226 | ||||||
Series 2006-LDP8 AM 5.44% 5/15/45 | 12,218,000 | 12,289,833 | ||||||
Series 2011-C5 C 144A 5.50% 8/15/46 #● | 3,780,000 | 4,066,354 | ||||||
Series 2013-LC11 B 3.499% 4/15/46 | 3,720,000 | 3,810,872 | ||||||
Series 2015-JP1 A5 3.914% 1/15/49 | 3,745,000 | 4,078,073 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
Series 2004-C1 A4 4.568% 1/15/31 | 296,607 | 297,717 | ||||||
Series 2006-C6 AJ 5.452% 9/15/39 ● | 6,325,000 | 6,285,860 | ||||||
Series 2006-C6 AM 5.413% 9/15/39 | 5,285,000 | 5,334,883 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C23 A4 3.719% 7/15/50 | 9,640,000 | 10,352,826 | ||||||
Series 2015-C26 A5 3.531% 10/15/48 | 5,655,000 | 5,983,261 | ||||||
Series 2016-C29 A4 3.325% 5/15/49 | 1,440,000 | 1,479,882 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2005-HQ7 C 5.359% 11/14/42 ● | 2,036,784 | 2,034,171 | ||||||
Series 2006-HQ10 B 5.448% 11/12/41 ● | 5,699,000 | 5,544,476 | ||||||
Series 2006-TOP21 B 144A 5.308% 10/12/52 #● | 2,000,000 | 1,995,612 | ||||||
Series 2006-TOP23 A4 6.12% 8/12/41 ● | 708,717 | 709,152 | ||||||
TimberStar Trust I | ||||||||
Series 2006-1A A 144A 5.668% 10/15/36 # | 7,090,000 | 7,183,541 | ||||||
Series 2006-1A C 144A 5.884% 10/15/36 # | 4,500,000 | 4,542,576 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2012-LC5 A3 2.918% 10/15/45 | 2,935,000 | 3,039,532 | ||||||
Series 2014-LC18 A5 3.405% 12/15/47 | 2,655,000 | 2,800,930 | ||||||
Series 2015-NXS3 A4 3.617% 9/15/57 | 3,730,000 | 3,966,467 |
18
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
| ||||||||
WF-RBS Commercial Mortgage Trust | ||||||||
Series 2012-C10 A3 2.875% 12/15/45 | 7,645,115 | $ | 7,891,999 | |||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (cost $342,815,245) | 342,444,234 | |||||||
|
| |||||||
| ||||||||
Convertible Bonds – 1.41% | ||||||||
| ||||||||
Alaska Communications Systems Group 6.25% exercise price $10.28, maturity date 5/1/18 @ | 4,024,000 | 3,852,980 | ||||||
BGC Partners 4.50% exercise price $9.84, maturity date 7/15/16 | 2,794,000 | 2,828,925 | ||||||
Blackstone Mortgage Trust 5.25% exercise price $28.36, maturity date 12/1/18 | 3,590,000 | 3,794,181 | ||||||
Blucora 4.25% exercise price $21.66, maturity date 4/1/19 | 845,000 | 714,553 | ||||||
Cardtronics 1.00% exercise price $52.35, maturity date 12/1/20 | 2,770,000 | 2,783,850 | ||||||
Cemex 3.72% exercise price $11.45, maturity date 3/15/20 | 2,027,000 | 1,991,527 | ||||||
Chart Industries 2.00% exercise price $69.03, maturity date 8/1/18 @ | 3,081,000 | 2,844,148 | ||||||
Ciena 144A 3.75% exercise price $20.17, maturity date 10/15/18 # | 1,468,000 | 1,655,170 | ||||||
Clearwire Communications 144A 8.25% exercise price $7.08, maturity date 12/1/40 #@ | 1,427,000 | 1,455,540 | ||||||
GAIN Capital Holdings 4.125% exercise price $12.00, maturity date 12/1/18 @ | 1,667,000 | 1,564,896 | ||||||
General Cable 4.50% exercise price $32.77, maturity date 11/15/29 @f | 3,050,000 | 2,028,250 | ||||||
Gilead Sciences 1.625% exercise price $22.33, maturity date 5/1/16 | 668,000 | 2,639,669 | ||||||
HealthSouth 2.00% exercise price $37.59, maturity date 12/1/43 | 2,382,000 | 2,847,979 | ||||||
Helix Energy Solutions Group 3.25% exercise price $25.02, maturity date 3/15/32 | 2,154,000 | 1,993,796 | ||||||
Hologic 2.00% exercise price $31.18, maturity date 3/1/42 f | 1,198,000 | 1,517,716 | ||||||
inContact 144A 2.50% exercise price $14.23, maturity date 4/1/22 # | 2,569,000 | 2,390,776 | ||||||
Infinera 1.75% exercise price $12.58, maturity date 6/1/18 | 1,519,000 | 1,767,736 | ||||||
Jefferies Group 3.875% exercise price $44.35, maturity date 11/1/29 | 2,476,000 | 2,483,737 | ||||||
Liberty Interactive 144A 1.00% exercise price $64.20, maturity date 9/30/43 # | 2,878,000 | 2,476,879 | ||||||
Meritor 4.00% exercise price $26.73, maturity date 2/15/27 f | 3,237,000 | 3,119,659 | ||||||
Microchip Technology 1.625% exercise price $66.05, maturity date 2/15/25 | 1,248,000 | 1,300,260 |
19
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bonds (continued) | ||||||||
| ||||||||
New Mountain Finance 5.00% exercise price $15.93, maturity date 6/15/19 @ | 479,000 | $ | 469,420 | |||||
Novellus Systems 2.625% exercise price $34.23, maturity date 5/15/41 | 1,581,000 | 3,603,692 | ||||||
NXP Semiconductors 1.00% exercise price $102.84, maturity date 11/27/19 * | 1,530,000 | 1,740,375 | ||||||
PROS Holdings 2.00% exercise price $33.79, maturity date 12/1/19 | 2,587,000 | 2,056,665 | ||||||
Spectrum Pharmaceuticals 2.75% exercise price $10.53, maturity date 12/15/18 @ | 2,004,000 | 1,863,720 | ||||||
Spirit Realty Capital 3.75% exercise price $13.10, maturity date 5/15/21 *@ | 2,735,000 | 2,969,198 | ||||||
Synchronoss Technologies 0.75% exercise price $53.17, maturity date 8/15/19 | 2,495,000 | 2,438,863 | ||||||
Titan Machinery 3.75% exercise price $43.17, maturity date 5/1/19 *@ | 525,000 | 441,000 | ||||||
TPG Specialty Lending 4.50% exercise price $25.83, maturity date 12/15/19 @ | 1,856,000 | 1,873,400 | ||||||
Vector Group 1.75% exercise price $24.64, maturity date 4/15/20 ● | 2,229,000 | 2,382,244 | ||||||
Vector Group 2.50% exercise price $15.98, maturity date 1/15/19 ● | 978,000 | 1,376,868 | ||||||
VEREIT 3.75% exercise price $14.99, maturity date 12/15/20 @ | 3,047,000 | 2,972,745 | ||||||
|
| |||||||
Total Convertible Bonds (cost $70,861,424) | 72,240,417 | |||||||
|
| |||||||
| ||||||||
Corporate Bonds – 39.40% | ||||||||
| ||||||||
Automotive – 0.35% | ||||||||
American Axle & Manufacturing 6.25% 3/15/21 * | 2,815,000 | 2,938,156 | ||||||
Ford Motor 7.45% 7/16/31 | 9,269,000 | 12,331,709 | ||||||
Lear 5.25% 1/15/25 | 2,725,000 | 2,908,937 | ||||||
|
| |||||||
18,178,802 | ||||||||
|
| |||||||
Banking – 7.05% | ||||||||
Akbank TAS 144A 5.00% 10/24/22 # | 1,800,000 | 1,818,972 | ||||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 1,300,000 | 1,325,447 | ||||||
Banco Nacional de Costa Rica 144A 5.875% 4/25/21 # | 5,320,000 | 5,339,950 | ||||||
Bank Nederlandse Gemeenten | ||||||||
144A 1.625% 4/19/21 # | 6,982,000 | 6,985,917 | ||||||
5.25% 5/20/24 | AUD | 1,736,000 | 1,519,588 | |||||
Bank of America 4.45% 3/3/26 | 27,550,000 | 28,564,198 | ||||||
Bank of New York Mellon | ||||||||
2.50% 4/15/21 | 11,505,000 | 11,798,113 | ||||||
2.80% 5/4/26 | 2,410,000 | 2,430,793 |
20
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Banking (continued) | ||||||||
Banque Ouest Africaine de Developpement 144A 5.50% 5/6/21 # | 2,415,000 | $ | 2,389,232 | |||||
Barclays 4.375% 1/12/26 | 6,422,000 | 6,493,136 | ||||||
BBVA Bancomer | ||||||||
144A 6.50% 3/10/21 # | 3,130,000 | 3,433,923 | ||||||
144A 7.25% 4/22/20 # | 935,000 | 1,035,980 | ||||||
Branch Banking & Trust | ||||||||
3.625% 9/16/25 | 14,280,000 | 14,997,170 | ||||||
3.80% 10/30/26 | 560,000 | 599,591 | ||||||
Citizens Financial Group 4.30% 12/3/25 | 4,810,000 | 4,972,506 | ||||||
City National 5.25% 9/15/20 | 5,680,000 | 6,368,751 | ||||||
Compass Bank 3.875% 4/10/25 | 5,505,000 | 5,218,966 | ||||||
Cooperatieve Rabobank | ||||||||
2.50% 9/4/20 | NOK | 8,100,000 | 1,049,559 | |||||
2.50% 1/19/21 | 3,095,000 | 3,145,049 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
144A 3.125% 12/10/20 # | 7,860,000 | 7,881,796 | ||||||
3.75% 3/26/25 | 3,080,000 | 3,012,505 | ||||||
144A 4.55% 4/17/26 # | 5,050,000 | 5,166,175 | ||||||
Export Credit Bank of Turkey 144A 5.375% 2/8/21 # | 3,380,000 | 3,480,825 | ||||||
Export-Import Bank of Korea | ||||||||
2.125% 2/11/21 | 4,195,000 | 4,206,196 | ||||||
144A 2.711% 12/5/19 # | CAD | 790,000 | 649,686 | |||||
144A 3.00% 5/22/18 # | NOK | 1,400,000 | 178,808 | |||||
Fifth Third Bancorp 2.875% 7/27/20 | 2,295,000 | 2,333,785 | ||||||
Fifth Third Bank 3.85% 3/15/26 | 2,435,000 | 2,514,164 | ||||||
Goldman Sachs Group | ||||||||
3.55% 2/12/21 | CAD | 1,500,000 | 1,256,667 | |||||
3.577% 8/21/19 ● | AUD | 2,390,000 | 1,810,589 | |||||
5.20% 12/17/19 | NZD | 1,444,000 | 1,052,036 | |||||
Huntington Bancshares 3.15% 3/14/21 | 2,645,000 | 2,713,357 | ||||||
ICICI Bank 144A 4.00% 3/18/26 #* | 5,100,000 | 5,109,180 | ||||||
JPMorgan Chase | ||||||||
1.264% 1/28/19 ● | 2,985,000 | 2,972,532 | ||||||
3.30% 4/1/26 | 3,060,000 | 3,102,451 | ||||||
3.50% 12/18/26 | GBP | 986,000 | 1,504,119 | |||||
4.25% 11/2/18 | NZD | 5,735,000 | 4,084,957 | |||||
4.25% 10/1/27 | 13,065,000 | 13,666,630 | ||||||
KeyBank 6.95% 2/1/28 | 17,740,000 | 22,011,952 | ||||||
Lloyds Banking Group | ||||||||
144A 4.582% 12/10/25 # | 3,880,000 | 3,897,654 | ||||||
4.65% 3/24/26 | 3,100,000 | 3,154,572 |
21
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Banking (continued) | ||||||||
Morgan Stanley | ||||||||
1.488% 1/24/19 ● | 3,119,000 | $ | 3,113,732 | |||||
2.50% 4/21/21 | 1,600,000 | 1,604,885 | ||||||
3.125% 8/5/21 | CAD | 999,000 | 821,677 | |||||
3.875% 1/27/26 | 10,000,000 | 10,397,380 | ||||||
3.95% 4/23/27 | 1,095,000 | 1,095,814 | ||||||
5.00% 9/30/21 | AUD | 1,489,000 | 1,199,472 | |||||
PNC Bank | ||||||||
1.85% 7/20/18 | 4,630,000 | 4,671,860 | ||||||
2.30% 6/1/20 | 8,920,000 | 9,041,223 | ||||||
2.45% 11/5/20 | 505,000 | 514,574 | ||||||
2.60% 7/21/20 | 4,635,000 | 4,765,104 | ||||||
3.25% 6/1/25 | 6,790,000 | 7,045,766 | ||||||
Royal Bank of Scotland Group 4.80% 4/5/26 | 7,640,000 | 7,803,802 | ||||||
Santander UK Group Holdings | ||||||||
2.875% 10/16/20 | 2,465,000 | 2,458,192 | ||||||
3.125% 1/8/21 | 2,430,000 | 2,451,493 | ||||||
State Street | ||||||||
2.55% 8/18/20 | 5,230,000 | 5,391,377 | ||||||
3.55% 8/18/25 | 6,620,000 | 7,123,828 | ||||||
SunTrust Banks 2.90% 3/3/21 | 4,925,000 | 5,015,792 | ||||||
Swedbank 144A 2.65% 3/10/21 # | 6,150,000 | 6,282,446 | ||||||
Toronto-Dominion Bank | ||||||||
2.125% 4/7/21 | 4,390,000 | 4,405,804 | ||||||
2.50% 12/14/20 | 5,775,000 | 5,898,181 | ||||||
Turkiye Garanti Bankasi 144A 4.75% 10/17/19 # | 1,500,000 | 1,543,365 | ||||||
Turkiye Is Bankasi 144A 5.375% 10/6/21 # | 3,965,000 | 4,030,105 | ||||||
UBS Group Funding Jersey | ||||||||
144A 3.00% 4/15/21 # | 1,925,000 | 1,933,281 | ||||||
144A 4.125% 9/24/25 # | 5,345,000 | 5,494,569 | ||||||
144A 4.125% 4/15/26 # | 6,300,000 | 6,484,262 | ||||||
US Bancorp 3.10% 4/27/26 | 7,010,000 | 7,062,477 | ||||||
USB Capital IX 3.50% 10/29/49 @● | 27,182,000 | 20,590,365 | ||||||
Wells Fargo | ||||||||
2.50% 3/4/21 * | 1,500,000 | 1,524,967 | ||||||
3.50% 9/12/29 | GBP | 1,700,000 | 2,558,829 | |||||
Woori Bank | ||||||||
144A 2.875% 10/2/18 # | 7,180,000 | 7,354,833 | ||||||
144A 4.75% 4/30/24 # | 2,070,000 | 2,142,183 | ||||||
Zions Bancorporation 4.50% 6/13/23 | 5,380,000 | 5,450,182 | ||||||
|
| |||||||
362,519,297 | ||||||||
|
|
22
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Basic Industry – 3.13% | ||||||||
Ball 5.25% 7/1/25 | 2,070,000 | $ | 2,185,154 | |||||
BHP Billiton Finance | ||||||||
3.00% 3/30/20 | AUD | 2,010,000 | 1,497,442 | |||||
3.25% 9/25/24 | GBP | 472,000 | 708,374 | |||||
BHP Billiton Finance USA 144A 6.25% 10/19/75 #*● | 3,450,000 | 3,613,875 | ||||||
CF Industries 6.875% 5/1/18 | 9,229,000 | 10,061,004 | ||||||
Cia Brasileira de Aluminio 144A 6.75% 4/5/21 # | 3,410,000 | 3,444,100 | ||||||
Corp Nacional del Cobre de Chile 144A 3.875% 11/3/21 #* | 5,995,000 | 6,297,340 | ||||||
Dow Chemical 8.55% 5/15/19 | 33,171,000 | 39,638,881 | ||||||
Eastman Chemical 4.65% 10/15/44 | 4,930,000 | 4,960,630 | ||||||
Georgia-Pacific 8.00% 1/15/24 | 16,386,000 | 21,394,676 | ||||||
Gerdau Trade 144A 4.75% 4/15/23 #* | 1,005,000 | 870,581 | ||||||
GTL Trade Finance 144A 5.893% 4/29/24 #* | 2,730,000 | 2,440,074 | ||||||
International Paper 5.15% 5/15/46 | 5,620,000 | 6,050,228 | ||||||
INVISTA Finance 144A 4.25% 10/15/19 # | 6,085,000 | 5,906,040 | ||||||
Lundin Mining 144A 7.50% 11/1/20 # | 2,945,000 | 2,989,175 | ||||||
Methanex 4.25% 12/1/24 | 3,605,000 | 3,100,650 | ||||||
Mexichem 144A 5.875% 9/17/44 # | 3,690,000 | 3,362,513 | ||||||
MMC Norilsk Nickel | ||||||||
144A 5.55% 10/28/20 # | 2,706,000 | 2,844,001 | ||||||
144A 6.625% 10/14/22 # | 2,900,000 | 3,140,477 | ||||||
NOVA Chemicals 144A 5.00% 5/1/25 # | 6,493,000 | 6,379,373 | ||||||
OCP | ||||||||
144A 4.50% 10/22/25 # | 5,635,000 | 5,489,899 | ||||||
144A 6.875% 4/25/44 # | 2,310,000 | 2,415,627 | ||||||
PolyOne 5.25% 3/15/23 | 2,470,000 | 2,488,525 | ||||||
PPG Industries 2.30% 11/15/19 | 4,430,000 | 4,488,410 | ||||||
Rio Tinto Finance USA 3.75% 6/15/25 * | 6,035,000 | 6,197,776 | ||||||
Southern Copper 5.875% 4/23/45 | 4,880,000 | 4,494,470 | ||||||
Suzano Trading 144A 5.875% 1/23/21 # | 3,395,000 | 3,479,875 | ||||||
WR Grace 144A 5.125% 10/1/21 # | 740,000 | 776,630 | ||||||
|
| |||||||
160,715,800 | ||||||||
|
| |||||||
Brokerage – 0.41% | ||||||||
Jefferies Group | ||||||||
6.45% 6/8/27 | 3,815,000 | 4,098,279 | ||||||
6.50% 1/20/43 | 2,455,000 | 2,298,504 | ||||||
Lazard Group 3.75% 2/13/25 | 15,330,000 | 14,460,574 | ||||||
|
| |||||||
20,857,357 | ||||||||
|
| |||||||
Capital Goods – 0.79% | ||||||||
Cemex | ||||||||
144A 6.50% 12/10/19 # | 3,405,000 | 3,596,531 |
23
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Capital Goods (continued) | ||||||||
Cemex | ||||||||
144A 7.25% 1/15/21 # | 2,375,000 | $ | 2,541,250 | |||||
144A 7.75% 4/16/26 #* | 2,630,000 | 2,807,525 | ||||||
Embraer Netherlands Finance 5.05% 6/15/25 | 3,915,000 | 3,934,575 | ||||||
Fortune Brands Home & Security 3.00% 6/15/20 | 3,100,000 | 3,155,589 | ||||||
General Electric 144A 3.80% 6/18/19 # | 6,510,000 | 6,949,360 | ||||||
Lockheed Martin | ||||||||
2.50% 11/23/20 | 1,815,000 | 1,869,212 | ||||||
3.55% 1/15/26 * | 3,850,000 | 4,135,543 | ||||||
Masco 3.50% 4/1/21 | 6,634,000 | 6,766,680 | ||||||
Owens-Brockway Glass Container 144A 5.875% 8/15/23 #* | 1,395,000 | 1,502,241 | ||||||
Union Andina de Cementos 144A 5.875% 10/30/21 # | 3,200,000 | 3,296,000 | ||||||
|
| |||||||
40,554,506 | ||||||||
|
| |||||||
Communications – 6.30% | ||||||||
21st Century Fox America 4.95% 10/15/45 | 5,655,000 | 6,296,990 | ||||||
Altice U.S. Finance I | ||||||||
144A 5.375% 7/15/23 # | 3,025,000 | 3,100,020 | ||||||
144A 5.50% 5/15/26 #* | 2,695,000 | 2,728,687 | ||||||
America Movil 5.00% 3/30/20 | 2,365,000 | 2,617,130 | ||||||
American Tower | ||||||||
4.00% 6/1/25 | 4,755,000 | 4,985,018 | ||||||
4.40% 2/15/26 | 450,000 | 485,962 | ||||||
American Tower Trust I 144A 3.07% 3/15/23 # | 10,235,000 | 10,288,833 | ||||||
AT&T | ||||||||
3.60% 2/17/23 | 10,765,000 | 11,249,220 | ||||||
5.65% 2/15/47 | 4,065,000 | 4,597,003 | ||||||
Bell Canada 3.35% 3/22/23 | CAD | 2,132,000 | 1,786,245 | |||||
CC Holdings GS V 3.849% 4/15/23 | 4,980,000 | 5,279,059 | ||||||
CCO Holdings | ||||||||
144A 5.125% 5/1/23 # | 2,785,000 | 2,847,663 | ||||||
144A 5.50% 5/1/26 # | 2,405,000 | 2,459,113 | ||||||
CCO Safari II | ||||||||
144A 4.464% 7/23/22 # | 1,525,000 | 1,623,163 | ||||||
144A 4.908% 7/23/25 # | 13,400,000 | 14,466,921 | ||||||
CenturyLink | ||||||||
5.80% 3/15/22 | 8,005,000 | 7,934,956 | ||||||
6.75% 12/1/23 | 3,240,000 | 3,203,550 | ||||||
Colombia Telecomunicaciones 144A 5.375% 9/27/22 # | 4,885,000 | 4,701,813 | ||||||
Columbus International 144A 7.375% 3/30/21 # | 3,825,000 | 4,077,259 | ||||||
Comcast 3.15% 3/1/26 | 27,985,000 | 29,343,056 |
24
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Communications (continued) | ||||||||
Crown Castle International | ||||||||
3.70% 6/15/26 | 870,000 | $ | 885,188 | |||||
4.45% 2/15/26 | 5,105,000 | 5,494,369 | ||||||
Crown Castle Towers 144A 4.883% 8/15/20 # | 25,785,000 | 27,605,957 | ||||||
CSC Holdings 5.25% 6/1/24 * | 7,153,000 | 6,527,113 | ||||||
Deutsche Telekom International Finance 6.50% 4/8/22 | GBP | 1,270,000 | 2,311,654 | |||||
Digicel 144A 6.00% 4/15/21 # | 2,780,000 | 2,557,600 | ||||||
Digicel Group 144A 8.25% 9/30/20 # | 5,450,000 | 5,000,375 | ||||||
DISH DBS 5.00% 3/15/23 | 3,215,000 | 2,949,763 | ||||||
Equinix 5.375% 4/1/23 | 6,550,000 | 6,877,500 | ||||||
Frontier Communications 144A 8.875% 9/15/20 # | 4,465,000 | 4,744,063 | ||||||
Gray Television 7.50% 10/1/20 | 3,900,000 | 4,104,750 | ||||||
Grupo Televisa 6.125% 1/31/46 | 2,930,000 | 3,181,980 | ||||||
GTH Finance 144A 7.25% 4/26/23 # | 2,155,000 | 2,181,937 | ||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 2,605,000 | 2,602,004 | ||||||
Level 3 Financing 5.375% 5/1/25 | 4,135,000 | 4,222,869 | ||||||
Millicom International Cellular | ||||||||
144A 6.00% 3/15/25 #* | 2,540,000 | 2,441,575 | ||||||
144A 6.625% 10/15/21 # | 4,645,000 | 4,720,481 | ||||||
Mobile Telesystems | ||||||||
144A 5.00% 5/30/23 # | 3,175,000 | 3,186,906 | ||||||
144A 8.625% 6/22/20 # | 2,300,000 | 2,668,274 | ||||||
Myriad International Holdings 144A 5.50% 7/21/25 # | 4,450,000 | 4,559,826 | ||||||
Numericable-SFR 144A 6.00% 5/15/22 # | 4,535,000 | 4,557,902 | ||||||
Omnicom Group 3.60% 4/15/26 | 4,515,000 | 4,710,391 | ||||||
SBA Tower Trust | ||||||||
144A 2.24% 4/16/18 # | 7,270,000 | 7,230,313 | ||||||
144A 2.898% 10/15/19 # | 405,000 | 406,361 | ||||||
Sirius XM Radio 144A 5.375% 4/15/25 # | 5,327,000 | 5,460,175 | ||||||
Sky 144A 3.75% 9/16/24 # | 18,610,000 | 19,315,152 | ||||||
Sprint Communications | ||||||||
144A 7.00% 3/1/20 #* | 1,425,000 | 1,469,531 | ||||||
144A 9.00% 11/15/18 # | 4,110,000 | 4,361,737 | ||||||
Time Warner 4.85% 7/15/45 | 6,525,000 | 7,058,132 | ||||||
T-Mobile USA | ||||||||
6.125% 1/15/22 | 2,765,000 | 2,918,817 | ||||||
6.836% 4/28/23 | 2,355,000 | 2,519,850 | ||||||
Tribune Media 144A 5.875% 7/15/22 # | 3,500,000 | 3,491,250 | ||||||
UPCB Finance IV 144A 5.375% 1/15/25 # | 2,849,000 | 2,913,103 | ||||||
Verizon Communications | ||||||||
3.25% 2/17/26 | EUR | 2,606,000 | 3,490,818 | |||||
4.862% 8/21/46 | 5,484,000 | 5,901,245 |
25
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Communications (continued) | ||||||||
Vimpel Communications 144A 7.748% 2/2/21 # | 3,257,000 | $ | 3,561,591 | |||||
Virgin Media Secured Finance 144A 5.25% 1/15/26 # | 5,040,000 | 5,079,715 | ||||||
VTR Finance 144A 6.875% 1/15/24 # | 7,675,000 | 7,684,594 | ||||||
Wind Acquisition Finance 144A 7.375% 4/23/21 # | 3,435,000 | 3,074,325 | ||||||
WPP Finance 2010 5.625% 11/15/43 | 1,285,000 | 1,387,670 | ||||||
Zayo Group 6.00% 4/1/23 | 4,030,000 | 4,160,975 | ||||||
|
| |||||||
323,649,492 | ||||||||
|
| |||||||
Consumer Cyclical – 2.18% | ||||||||
AutoZone 3.125% 4/21/26 | 1,230,000 | 1,243,765 | ||||||
BMW U.S. Capital | ||||||||
144A 2.00% 4/11/21 # | 6,830,000 | 6,866,957 | ||||||
144A 2.80% 4/11/26 # | 13,705,000 | 13,960,955 | ||||||
Cencosud 144A 5.15% 2/12/25 #* | 4,785,000 | 4,873,513 | ||||||
CVS Health | ||||||||
3.875% 7/20/25 | 3,555,000 | 3,844,647 | ||||||
144A 5.00% 12/1/24 # | 1,393,000 | 1,613,485 | ||||||
Daimler 2.75% 12/10/18 | NOK | 14,510,000 | 1,864,062 | |||||
Ford Motor Credit 3.096% 5/4/23 | 845,000 | 845,000 | ||||||
General Motors Financial | ||||||||
3.45% 4/10/22 | 6,605,000 | 6,638,018 | ||||||
4.375% 9/25/21 | 2,265,000 | 2,397,933 | ||||||
5.25% 3/1/26 | 1,060,000 | 1,165,047 | ||||||
Gruposura Finance 144A 5.50% 4/29/26 # | 3,760,000 | 3,828,620 | ||||||
Home Depot | ||||||||
2.00% 4/1/21 | 3,175,000 | 3,215,573 | ||||||
3.00% 4/1/26 | 2,655,000 | 2,779,981 | ||||||
Hyundai Capital America | ||||||||
144A 2.125% 10/2/17 # | 6,005,000 | 6,033,710 | ||||||
144A 2.55% 2/6/19 #* | 275,000 | 277,945 | ||||||
144A 3.00% 3/18/21 # | 1,835,000 | 1,891,424 | ||||||
Lowe’s | ||||||||
2.50% 4/15/26 | 6,905,000 | 6,846,411 | ||||||
3.70% 4/15/46 | 8,315,000 | 8,253,569 | ||||||
Nemak 144A 5.50% 2/28/23 #* | 4,275,000 | 4,462,031 | ||||||
O’Reilly Automotive 3.55% 3/15/26 | 2,625,000 | 2,739,413 | ||||||
Sally Holdings 5.75% 6/1/22 | 99,000 | 104,197 | ||||||
Signet UK Finance 4.70% 6/15/24 | 6,430,000 | 6,345,992 | ||||||
Starwood Hotels & Resorts Worldwide | ||||||||
3.75% 3/15/25 @ | 4,250,000 | 4,409,915 | ||||||
4.50% 10/1/34 @ | 1,035,000 | 1,030,649 | ||||||
Target | ||||||||
2.50% 4/15/26 | 1,260,000 | 1,262,104 |
26
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Consumer Cyclical (continued) | ||||||||
Target | ||||||||
3.625% 4/15/46 | 5,480,000 | $ | 5,464,037 | |||||
Toyota Credit Canada 2.05% 5/20/20 | CAD | 1,500,000 | 1,201,004 | |||||
Toyota Finance Australia | ||||||||
2.25% 8/31/16 | NOK | 1,710,000 | 212,841 | |||||
3.04% 12/20/16 | NZD | 2,810,000 | 1,958,321 | |||||
Toyota Motor Credit 2.80% 7/13/22 | 2,820,000 | 2,957,438 | ||||||
Tupy Overseas 144A 6.625% 7/17/24 #@ | 1,607,000 | 1,510,580 | ||||||
|
| |||||||
112,099,137 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 3.82% | ||||||||
Amgen 4.00% 9/13/29 | GBP | 1,271,000 | 2,005,901 | |||||
Anacor Pharmaceuticals 144A 2.00% 4/15/23 # | 789,000 | 908,336 | ||||||
Anheuser-Busch InBev Finance 3.65% 2/1/26 | 31,360,000 | 33,096,278 | ||||||
AstraZeneca 3.375% 11/16/25 | 6,710,000 | 7,000,395 | ||||||
Becton Dickinson 6.375% 8/1/19 | 18,375,000 | 20,849,837 | ||||||
Biogen | ||||||||
4.05% 9/15/25 | 6,550,000 | 7,055,745 | ||||||
5.20% 9/15/45 | 4,820,000 | 5,514,017 | ||||||
Celgene | ||||||||
3.875% 8/15/25 | 5,650,000 | 5,963,778 | ||||||
5.00% 8/15/45 | 1,575,000 | 1,736,524 | ||||||
ENA Norte Trust 144A 4.95% 4/25/23 # | 3,941,251 | 4,029,930 | ||||||
JB y Cia 144A 3.75% 5/13/25 # | 7,935,000 | 8,063,245 | ||||||
JBS Investments 144A 7.75% 10/28/20 # | 2,860,000 | 2,952,950 | ||||||
JBS USA 144A 5.75% 6/15/25 # | 1,675,000 | 1,549,375 | ||||||
Johnson & Johnson 3.70% 3/1/46 | 1,065,000 | 1,134,208 | ||||||
Mallinckrodt International Finance 144A 5.50% 4/15/25 # | 4,886,000 | 4,434,045 | ||||||
NuVasive 144A 2.25% 3/15/21 # | 1,350,000 | 1,526,344 | ||||||
PepsiCo | ||||||||
2.85% 2/24/26 | 6,700,000 | 6,909,100 | ||||||
4.45% 4/14/46 | 1,925,000 | 2,154,040 | ||||||
Perrigo 4.00% 11/15/23 | 7,125,000 | 7,310,656 | ||||||
Perrigo Finance Unlimited 3.50% 12/15/21 | 2,085,000 | 2,127,484 | ||||||
Prestige Brands 144A 5.375% 12/15/21 # | 1,504,000 | 1,545,360 | ||||||
Reynolds American | ||||||||
4.00% 6/12/22 | 6,050,000 | 6,587,996 | ||||||
4.45% 6/12/25 | 11,970,000 | 13,280,883 | ||||||
Sigma Alimentos 144A 4.125% 5/2/26 # | 4,850,000 | 4,867,509 | ||||||
Sysco 3.30% 7/15/26 | 15,440,000 | 15,865,048 | ||||||
Thermo Fisher Scientific 3.00% 4/15/23 | 10,700,000 | 10,861,163 | ||||||
Zimmer Biomet Holdings 4.625% 11/30/19 | 15,621,000 | 16,985,963 | ||||||
|
| |||||||
196,316,110 | ||||||||
|
|
27
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Electric – 5.98% | ||||||||
AES 5.50% 4/15/25 * | 6,301,000 | $ | 6,348,257 | |||||
AES Gener | ||||||||
144A 5.00% 7/14/25 # | 1,220,000 | 1,244,621 | ||||||
144A 5.25% 8/15/21 # | 2,310,000 | 2,464,359 | ||||||
144A 8.375% 12/18/73 #*@● | 3,007,000 | 3,142,315 | ||||||
Alabama Power 4.30% 1/2/46 | 4,030,000 | 4,446,009 | ||||||
Ameren Illinois | ||||||||
4.15% 3/15/46 | 885,000 | 945,837 | ||||||
9.75% 11/15/18 | 16,210,000 | 19,358,436 | ||||||
American Transmission Systems 144A 5.25% 1/15/22 # | 14,260,000 | 15,962,202 | ||||||
Appalachian Power 4.45% 6/1/45 | 3,170,000 | 3,295,082 | ||||||
Black Hills 3.95% 1/15/26 @ | 1,685,000 | 1,771,243 | ||||||
Cleveland Electric Illuminating 5.50% 8/15/24 | 290,000 | 336,244 | ||||||
CMS Energy 6.25% 2/1/20 | 7,715,000 | 8,836,337 | ||||||
ComEd Financing III 6.35% 3/15/33 @ | 8,849,000 | 9,339,863 | ||||||
Commonwealth Edison 4.35% 11/15/45 | 5,520,000 | 6,037,036 | ||||||
Consumers Energy 4.10% 11/15/45 | 1,545,000 | 1,671,923 | ||||||
Dominion Resources 3.90% 10/1/25 | 2,390,000 | 2,519,043 | ||||||
DTE Energy 144A 3.30% 6/15/22 # | 5,955,000 | 6,181,564 | ||||||
Duke Energy | ||||||||
3.75% 4/15/24 | 6,485,000 | 6,923,872 | ||||||
4.80% 12/15/45 | 6,040,000 | 6,645,015 | ||||||
Duke Energy Carolinas 3.875% 3/15/46 | 2,665,000 | 2,785,951 | ||||||
Electricite de France 144A 5.25% 1/29/49 #● | 7,705,000 | 7,455,743 | ||||||
Enel 144A 8.75% 9/24/73 #● | 8,765,000 | 10,134,531 | ||||||
Enel Finance International 144A 6.00% 10/7/39 # | 3,080,000 | 3,730,441 | ||||||
Entergy 4.00% 7/15/22 | 550,000 | 586,950 | ||||||
Entergy Louisiana | ||||||||
4.05% 9/1/23 | 14,030,000 | 15,518,541 | ||||||
4.95% 1/15/45 | 685,000 | 702,866 | ||||||
Exelon 144A 3.95% 6/15/25 # | 1,605,000 | 1,714,914 | ||||||
Great Plains Energy 4.85% 6/1/21 | 2,805,000 | 3,059,307 | ||||||
Indiana Michigan Power 4.55% 3/15/46 | 1,150,000 | 1,217,255 | ||||||
IPALCO Enterprises 5.00% 5/1/18 | 4,135,000 | 4,357,256 | ||||||
Kansas City Power & Light 3.65% 8/15/25 | 7,975,000 | 8,360,368 | ||||||
LG&E & KU Energy 4.375% 10/1/21 | 15,345,000 | 16,666,205 | ||||||
Louisville Gas & Electric 4.375% 10/1/45 | 2,555,000 | 2,869,385 | ||||||
MidAmerican Energy 4.25% 5/1/46 | 12,840,000 | 14,269,606 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
2.70% 2/15/23 | 5,640,000 | 5,798,969 | ||||||
4.75% 4/30/43 ● | 9,740,000 | 9,326,050 | ||||||
5.25% 4/20/46 ● | 2,325,000 | 2,338,422 |
28
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Electric (continued) | ||||||||
NextEra Energy Capital Holdings 3.625% 6/15/23 | 5,625,000 | $ | 5,809,331 | |||||
NV Energy 6.25% 11/15/20 | 10,391,000 | 12,221,957 | ||||||
Pennsylvania Electric 5.20% 4/1/20 | 9,048,000 | 9,503,060 | ||||||
Perusahaan Listrik Negara 144A 5.50% 11/22/21 # | 5,890,000 | 6,346,475 | ||||||
Public Service Electric & Gas 3.80% 3/1/46 | 535,000 | 554,839 | ||||||
Public Service of Oklahoma 5.15% 12/1/19 | 13,585,000 | 15,082,244 | ||||||
Puget Energy 6.00% 9/1/21 | 4,685,000 | 5,345,749 | ||||||
SCANA 4.125% 2/1/22 | 7,385,000 | 7,554,486 | ||||||
Southern 2.75% 6/15/20 | 16,115,000 | 16,548,671 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 2,905,000 | 3,050,546 | ||||||
WEC Energy Group 3.55% 6/15/25 | 2,015,000 | 2,128,416 | ||||||
Wisconsin Electric Power 4.30% 12/15/45 | 3,090,000 | 3,359,219 | ||||||
Xcel Energy 3.30% 6/1/25 | 1,145,000 | 1,188,416 | ||||||
|
| |||||||
307,055,427 | ||||||||
|
| |||||||
Energy – 2.36% | ||||||||
BP Capital Markets 3.119% 5/4/26 | 2,530,000 | 2,559,353 | ||||||
CNOOC Finance 2015 Australia 2.625% 5/5/20 | 3,325,000 | 3,323,407 | ||||||
Dominion Gas Holdings 4.60% 12/15/44 | 8,075,000 | 8,070,736 | ||||||
Energy Transfer Partners | ||||||||
4.75% 1/15/26 | 2,020,000 | 1,963,491 | ||||||
9.70% 3/15/19 | 6,978,000 | 7,896,591 | ||||||
EnLink Midstream Partners 2.70% 4/1/19 | 1,985,000 | 1,833,537 | ||||||
Enterprise Products Operating | ||||||||
3.95% 2/15/27 | 4,670,000 | 4,846,666 | ||||||
7.034% 1/15/68 ● | 1,094,000 | 1,124,085 | ||||||
8.375% 8/1/66 ● | 1,492,000 | 1,244,492 | ||||||
Lukoil International Finance 144A 3.416% 4/24/18 # | 2,760,000 | 2,767,030 | ||||||
Murphy Oil USA 6.00% 8/15/23 | 4,319,000 | 4,537,628 | ||||||
Noble Energy 5.05% 11/15/44 | 4,480,000 | 4,256,829 | ||||||
Occidental Petroleum 3.40% 4/15/26 | 3,365,000 | 3,485,544 | ||||||
Pertamina Persero | ||||||||
144A 4.30% 5/20/23 # | 3,085,000 | 3,078,343 | ||||||
144A 5.625% 5/20/43 # | 3,085,000 | 2,862,590 | ||||||
Petrobras Global Finance | ||||||||
4.875% 3/17/20 | 1,640,000 | 1,459,600 | ||||||
7.875% 3/15/19 * | 4,815,000 | 4,808,981 | ||||||
Petroleos Mexicanos | ||||||||
3.50% 7/23/20 | 910,000 | 893,620 | ||||||
144A 6.375% 2/4/21 # | 795,000 | 860,413 | ||||||
6.625% 6/15/35 | 3,250,000 | 3,315,000 | ||||||
144A 6.875% 8/4/26 # | 1,135,000 | 1,255,310 | ||||||
Petronas Global Sukuk 144A 2.707% 3/18/20 #* | 2,445,000 | 2,463,550 |
29
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Energy (continued) | ||||||||
Plains All American Pipeline 8.75% 5/1/19 | 13,279,000 | $ | 14,966,495 | |||||
Regency Energy Partners 5.875% 3/1/22 | 5,050,000 | 5,166,705 | ||||||
Williams Partners 7.25% 2/1/17 | 12,393,000 | 12,776,241 | ||||||
Woodside Finance | ||||||||
144A 3.65% 3/5/25 # | 335,000 | 316,999 | ||||||
144A 8.75% 3/1/19 #* | 10,841,000 | 12,482,924 | ||||||
YPF | ||||||||
144A 8.50% 3/23/21 #* | 2,990,000 | 3,132,025 | ||||||
144A 8.75% 4/4/24 # | 3,225,000 | 3,378,187 | ||||||
|
| |||||||
121,126,372 | ||||||||
|
| |||||||
Finance Companies – 0.57% | ||||||||
AerCap Ireland Capital 4.625% 7/1/22 * | 3,595,000 | 3,734,306 | ||||||
Affiliated Managers Group 3.50% 8/1/25 | 5,290,000 | 5,193,061 | ||||||
Aviation Capital Group | ||||||||
144A 2.875% 9/17/18 # | 225,000 | 224,883 | ||||||
144A 4.875% 10/1/25 # | 2,435,000 | 2,390,866 | ||||||
144A 6.75% 4/6/21 # | 4,655,000 | 5,283,425 | ||||||
Corp Financiera de Desarrollo 144A 4.75% 7/15/25 # | 2,205,000 | 2,315,250 | ||||||
General Electric 4.25% 1/17/18 | NZD | 1,010,000 | 717,421 | |||||
Peachtree Corners Funding Trust 144A 3.976% 2/15/25 # | 4,575,000 | 4,633,258 | ||||||
Temasek Financial I 144A 2.375% 1/23/23 # | 4,915,000 | 4,980,954 | ||||||
|
| |||||||
29,473,424 | ||||||||
|
| |||||||
Healthcare – 0.49% | ||||||||
Brookdale Senior Living 2.75% 6/15/18 | 1,123,000 | 1,120,894 | ||||||
DaVita HealthCare Partners 5.00% 5/1/25 | 9,388,000 | 9,411,470 | ||||||
HCA 5.375% 2/1/25 | 8,654,000 | 8,859,533 | ||||||
HealthSouth | ||||||||
5.125% 3/15/23 | 1,480,000 | 1,491,100 | ||||||
5.75% 11/1/24 | 1,117,000 | 1,158,887 | ||||||
5.75% 9/15/25 | 980,000 | 1,018,710 | ||||||
Tenet Healthcare 4.50% 4/1/21 | 2,130,000 | 2,167,275 | ||||||
|
| |||||||
25,227,869 | ||||||||
|
| |||||||
Insurance – 1.97% | ||||||||
American International Group 3.30% 3/1/21 | 3,600,000 | 3,715,423 | ||||||
Berkshire Hathaway | ||||||||
2.75% 3/15/23 | 3,155,000 | 3,257,134 | ||||||
3.125% 3/15/26 | 10,605,000 | 11,057,462 | ||||||
Five Corners Funding Trust 144A 4.419% 11/15/23 # | 2,660,000 | 2,828,375 | ||||||
Highmark | ||||||||
144A 4.75% 5/15/21 #@ | 5,340,000 | 5,474,771 | ||||||
144A 6.125% 5/15/41 #@ | 2,000,000 | 2,029,240 | ||||||
MetLife 6.40% 12/15/36 | 40,000 | 42,724 |
30
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Insurance (continued) | ||||||||
MetLife Capital Trust X 144A 9.25% 4/8/38 # | 11,520,000 | $ | 15,753,600 | |||||
Principal Life Global Funding II 144A 3.00% 4/18/26 # | 4,030,000 | 4,042,360 | ||||||
Prudential Financial | ||||||||
4.50% 11/15/20 | 3,385,000 | 3,713,220 | ||||||
5.375% 5/15/45 ● | 4,135,000 | 4,208,396 | ||||||
5.625% 6/15/43 ● | 4,620,000 | 4,821,062 | ||||||
5.875% 9/15/42 ● | 4,100,000 | 4,436,200 | ||||||
TIAA Asset Management Finance | ||||||||
144A 2.95% 11/1/19 # | 4,670,000 | 4,767,393 | ||||||
144A 4.125% 11/1/24 # | 9,485,000 | 9,816,264 | ||||||
Trinity Acquisition | ||||||||
3.50% 9/15/21 | 1,000,000 | 1,021,622 | ||||||
4.40% 3/15/26 | 1,775,000 | 1,814,135 | ||||||
USI 144A 7.75% 1/15/21 # | 879,000 | 882,296 | ||||||
Voya Financial 5.65% 5/15/53 ● | 5,340,000 | 5,007,585 | ||||||
XLIT | ||||||||
4.45% 3/31/25 | 5,381,000 | 5,417,322 | ||||||
5.50% 3/31/45 | 5,145,000 | 5,049,051 | ||||||
6.50% 10/29/49 ● | 2,969,000 | 2,085,723 | ||||||
|
| |||||||
101,241,358 | ||||||||
|
| |||||||
Real Estate – 1.29% | ||||||||
CBL & Associates | ||||||||
4.60% 10/15/24 | 2,260,000 | 2,074,865 | ||||||
5.25% 12/1/23 | 1,050,000 | 1,012,203 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 6,545,000 | 6,210,642 | ||||||
5.25% 2/15/24 | 5,315,000 | 5,565,703 | ||||||
DDR | ||||||||
7.50% 4/1/17 | 4,950,000 | 5,204,381 | ||||||
7.875% 9/1/20 | 7,224,000 | 8,723,262 | ||||||
Education Realty Operating Partnership 4.60% 12/1/24 | 5,440,000 | 5,459,290 | ||||||
Hospitality Properties Trust 4.50% 3/15/25 | 5,010,000 | 4,886,378 | ||||||
Host Hotels & Resorts | ||||||||
3.75% 10/15/23 | 4,180,000 | 4,143,973 | ||||||
4.50% 2/1/26 | 1,525,000 | 1,579,322 | ||||||
Kimco Realty 3.40% 11/1/22 | 980,000 | 1,004,654 | ||||||
PLA Administradora Industrial 144A 5.25% 11/10/22 # | 5,720,000 | 5,691,400 | ||||||
Regency Centers 5.875% 6/15/17 | 1,524,000 | 1,594,243 | ||||||
Simon Property Group | ||||||||
2.50% 7/15/21 | 1,470,000 | 1,512,996 | ||||||
3.30% 1/15/26 | 1,255,000 | 1,321,411 | ||||||
Trust F/1401 144A 5.25% 1/30/26 # | 3,485,000 | 3,563,413 | �� |
31
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Real Estate (continued) | ||||||||
UDR 4.00% 10/1/25 | 1,670,000 | $ | 1,780,728 | |||||
WP Carey 4.60% 4/1/24 | 4,645,000 | 4,703,638 | ||||||
|
| |||||||
66,032,502 | ||||||||
|
| |||||||
Services – 0.44% | ||||||||
AECOM 5.875% 10/15/24 | 6,762,000 | 7,133,910 | ||||||
GEO Group | ||||||||
5.125% 4/1/23 | 1,690,000 | 1,668,875 | ||||||
5.875% 10/15/24 | 1,645,000 | 1,686,125 | ||||||
MGM Resorts International 6.00% 3/15/23 * | 4,488,000 | 4,673,130 | ||||||
United Rentals North America | ||||||||
5.50% 7/15/25 * | 7,278,000 | 7,265,001 | ||||||
5.75% 11/15/24 | 170,000 | 173,187 | ||||||
|
| |||||||
22,600,228 | ||||||||
|
| |||||||
Technology – 1.16% | ||||||||
Apple 3.25% 2/23/26 | 13,135,000 | 13,758,321 | ||||||
CDK Global 4.50% 10/15/24 | 3,910,000 | 3,951,731 | ||||||
Fidelity National Information Services 5.00% 10/15/25 | 4,475,000 | 4,950,062 | ||||||
First Data | ||||||||
144A 5.00% 1/15/24 # | 1,060,000 | 1,074,575 | ||||||
144A 5.75% 1/15/24 # | 6,390,000 | 6,509,813 | ||||||
144A 7.00% 12/1/23 # | 2,537,000 | 2,616,281 | ||||||
Jabil Circuit 7.75% 7/15/16 | 1,178,000 | 1,191,982 | ||||||
JD.com | ||||||||
3.125% 4/29/21 | 2,615,000 | 2,572,284 | ||||||
3.875% 4/29/26 | 1,800,000 | 1,711,427 | ||||||
Knowles 144A 3.25% 11/1/21 # | 271,000 | 271,000 | ||||||
Oracle 3.25% 5/15/30 * | 5,440,000 | 5,597,744 | ||||||
Samsung Electronics America 144A 1.75% 4/10/17 # | 10,895,000 | 10,920,211 | ||||||
Tencent Holdings 144A 3.375% 5/2/19 # | 2,045,000 | 2,116,510 | ||||||
Total System Services | ||||||||
3.80% 4/1/21 | 1,250,000 | 1,298,996 | ||||||
4.80% 4/1/26 | 1,050,000 | 1,100,363 | ||||||
|
| |||||||
59,641,300 | ||||||||
|
| |||||||
Transportation – 0.92% | ||||||||
Air Canada 2015-1 Class A Pass Through Trust 144A 3.60% 3/15/27 #¿ | 3,238,571 | 3,291,198 | ||||||
American Airlines 2014-1 Class A Pass Through Trust 3.70% 10/1/26 ¿ | 2,502,693 | 2,552,747 | ||||||
American Airlines 2015-1 Class A Pass Through Trust 3.375% 5/1/27 ¿ | 2,297,586 | 2,326,305 | ||||||
American Airlines 2015-2 Class AA Pass Through Trust 3.60% 9/22/27 ¿ | 1,350,000 | 1,397,250 |
32
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Transportation (continued) | ||||||||
American Airlines 2016-1 Class AA Pass Through Trust 3.575% 1/15/28 ¿ | 2,870,000 | $ | 2,967,149 | |||||
Burlington Northern Santa Fe 4.70% 9/1/45 | 7,785,000 | 8,901,392 | ||||||
CSX 3.35% 11/1/25 | 6,220,000 | 6,514,169 | ||||||
DP World 144A 6.85% 7/2/37 # | 310,000 | 322,977 | ||||||
FedEx 4.75% 11/15/45 | 1,860,000 | 2,046,711 | ||||||
Penske Truck Leasing | ||||||||
144A 3.30% 4/1/21 # | 4,320,000 | 4,371,006 | ||||||
144A 3.375% 2/1/22 # | 8,415,000 | 8,474,822 | ||||||
United Airlines 2014-1 Class A Pass Through Trust 4.00% 4/11/26 ¿ | 2,158,850 | 2,266,792 | ||||||
United Airlines 2014-2 Class A Pass Through Trust 3.75% 9/3/26 ¿ | 2,019,479 | 2,072,490 | ||||||
|
| |||||||
47,505,008 | ||||||||
|
| |||||||
Utilities – 0.19% | ||||||||
American Water Capital | ||||||||
3.40% 3/1/25 | 1,250,000 | 1,318,133 | ||||||
4.30% 9/1/45 | 4,765,000 | 5,091,617 | ||||||
Calpine | ||||||||
5.375% 1/15/23 * | 2,390,000 | 2,422,863 | ||||||
5.50% 2/1/24 | 913,000 | 926,695 | ||||||
|
| |||||||
9,759,308 | ||||||||
|
| |||||||
Total Corporate Bonds (cost $1,958,340,077) | 2,024,553,297 | |||||||
|
| |||||||
| ||||||||
Municipal Bonds – 0.61% | ||||||||
| ||||||||
Atlanta, Georgia Water & Wastewater Revenue 5.00% 11/1/40 | 2,520,000 | 2,978,388 | ||||||
Commonwealth of Massachusetts | ||||||||
Series A 5.00% 3/1/46 | 1,790,000 | 2,099,759 | ||||||
Dallas, Texas Area Rapid Transit | ||||||||
Series A 5.00% 12/1/46 | 4,125,000 | 4,906,357 | ||||||
New Jersey Turnpike Authority | ||||||||
Series E 5.00% 1/1/45 | 4,060,000 | 4,695,958 | ||||||
New York City Water & Sewer System Second Generation Resolution 5.00% 6/15/46 | 1,590,000 | 1,882,639 | ||||||
New York City, New York | ||||||||
Series C 5.00% 8/1/26 | 1,980,000 | 2,518,461 | ||||||
Series C 5.00% 8/1/27 | 1,100,000 | 1,386,594 | ||||||
North Carolina State | ||||||||
Series A 5.00% 6/1/27 | 2,660,000 | 3,470,901 | ||||||
Oregon State Taxable Pension 5.892% 6/1/27 | 305,000 | 380,076 |
33
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Municipal Bonds (continued) | ||||||||
| ||||||||
Texas State Transportation Commission | ||||||||
(Senior Lien Mobility Fund) Series A 5.00% 10/1/44 | 1,700,000 | $ | 2,020,943 | |||||
Texas Water Development Board | ||||||||
Series A 5.00% 10/15/45 | 3,985,000 | 4,786,264 | ||||||
|
| |||||||
Total Municipal Bonds (cost $30,534,037) | 31,126,340 | |||||||
|
| |||||||
| ||||||||
Non-Agency Asset-Backed Securities – 3.57% | ||||||||
| ||||||||
AEP Texas Central Transition Funding II | ||||||||
Series 2006-A A4 5.17% 1/1/18 | 98,399 | 101,931 | ||||||
Ally Master Owner Trust | ||||||||
Series 2012-5 A 1.54% 9/15/19 | 7,602,000 | 7,612,663 | ||||||
Series 2014-4 A2 1.43% 6/17/19 | 8,000,000 | 7,998,296 | ||||||
American Express Credit Account Secured Note Trust | ||||||||
Series 2012-4 A 0.673% 5/15/20 ● | 9,100,000 | 9,104,117 | ||||||
Ameriquest Mortgage Securities Asset-Backed Pass Through Certificates | ||||||||
Series 2003-8 AF4 5.286% 10/25/33 f | 55,716 | 55,752 | ||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2011-3A A 144A 3.41% 11/20/17 # | 4,435,000 | 4,462,801 | ||||||
Series 2013-1A A 144A 1.92% 9/20/19 # | 6,115,000 | 6,084,080 | ||||||
Series 2014-1A A 144A 2.46% 7/20/20 # | 4,587,000 | 4,625,262 | ||||||
Bank of America Credit Card Trust | ||||||||
Series 2014-A3 A 0.723% 1/15/20 ● | 4,310,000 | 4,313,878 | ||||||
Series 2015-A1 A 0.763% 6/15/20 ● | 15,975,000 | 16,008,551 | ||||||
California Republic Auto Receivables Trust | ||||||||
Series 2013-1 A2 144A 1.41% 9/17/18 # | 796,238 | 796,325 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2007-A1 A1 0.483% 11/15/19 ● | 1,700,000 | 1,698,181 | ||||||
Series 2007-A5 A5 0.473% 7/15/20 ● | 6,855,000 | 6,855,000 | ||||||
Chase Issuance Trust | ||||||||
Series 2014-A5 A5 0.803% 4/15/21 ● | 5,000,000 | 5,001,497 | ||||||
Chesapeake Funding | ||||||||
Series 2012-2A A 144A 0.889% 5/7/24 #● | 23,492 | 23,485 | ||||||
CIT Equipment Collateral | ||||||||
Series 2014-VT1 A2 144A 0.86% 5/22/17 # | 1,461,327 | 1,459,387 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2014-A6 A6 2.15% 7/15/21 | 6,765,000 | 6,924,747 | ||||||
Series 2014-A9 A9 0.689% 11/23/18 ● | 12,390,000 | 12,393,572 | ||||||
Contimortgage Home Equity Loan Trust | ||||||||
Series 1996-4 A8 7.22% 1/15/28 @ | 3,744 | 3,611 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2013-A1 A1 0.733% 8/17/20 ● | 2,390,000 | 2,388,744 | ||||||
Series 2014-A1 A1 0.863% 7/15/21 ● | 3,690,000 | 3,690,000 | ||||||
Series 2015-A3 A 1.45% 3/15/21 | 4,855,000 | 4,871,395 |
34
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
| ||||||||
Discover Card Execution Note Trust | ||||||||
Series 2016-A3 A3 1.85% 10/16/23 | 3,445,000 | $ | 3,433,711 | |||||
FirstKey Lending Trust | ||||||||
Series 2015-SFR1 A 144A 2.553% 3/9/47 # | 2,676,399 | 2,650,549 | ||||||
Ford Credit Auto Lease Trust | ||||||||
Series 2015-A A3 1.13% 6/15/18 | 3,995,000 | 3,995,629 | ||||||
Golden Credit Card Trust | ||||||||
Series 2014-2A A 144A 0.883% 3/15/21 #● | 2,815,000 | 2,790,801 | ||||||
Series 2015-2A A 144A 2.02% 4/15/22 # | 3,480,000 | 3,500,737 | ||||||
GreatAmerica Leasing Receivables Funding | ||||||||
Series 2013-1 B 144A 1.44% 5/15/18 # | 1,045,000 | 1,043,242 | ||||||
HOA Funding | ||||||||
Series 2014-1A A2 144A 4.846% 8/20/44 # | 7,391,400 | 6,436,511 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
Series 2015-3 A3 1.27% 4/18/19 | 4,480,000 | 4,494,661 | ||||||
Mercedes-Benz Auto Lease Trust | ||||||||
Series 2016-A A2B 0.993% 7/16/18 ● | 3,135,000 | 3,135,365 | ||||||
Mid-State Trust XI | ||||||||
Series 11 A1 4.864% 7/15/38 | 332,523 | 353,236 | ||||||
Morgan Stanley ABS Capital I Trust | ||||||||
Series 2005-HE5 M1 1.069% 9/25/35 ● | 3,712,277 | �� | 3,695,980 | |||||
New Century Home Equity Loan Trust | ||||||||
Series 2005-2 M1 0.869% 6/25/35 ● | 4,087,731 | 4,051,536 | ||||||
Nissan Auto Lease Trust | ||||||||
Series 2015-B A2B 0.963% 12/15/17 ● | 3,000,000 | 3,002,460 | ||||||
Penarth Master Issuer | ||||||||
Series 2015-1A A1 144A 0.836% 3/18/19 #● | 2,100,000 | 2,093,030 | ||||||
Popular ABS Mortgage Pass Through Trust | ||||||||
Series 2006-C A4 0.689% 7/25/36 ¿● | 5,665,000 | 5,436,195 | ||||||
Porsche Innovative Lease Owner Trust | ||||||||
Series 2015-1 A3 144A 1.19% 7/23/18 # | 4,170,000 | 4,164,376 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
Series 2012-6 A 1.36% 8/17/20 | 3,800,000 | 3,802,229 | ||||||
Series 2015-2 A 1.60% 4/15/21 | 6,915,000 | 6,927,853 | ||||||
Volkswagen Credit Auto Master Trust | ||||||||
Series 2014-1A A2 144A 1.40% 7/22/19 # | 11,885,000 | 11,754,906 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities | 183,236,282 | |||||||
|
| |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations – 1.80% | ||||||||
| ||||||||
Agate Bay Mortgage Trust | ||||||||
Series 2015-1 B1 144A 3.824% 1/25/45 #● | 2,508,022 | 2,512,085 | ||||||
Series 2015-1 B2 144A 3.824% 1/25/45 #● | 1,418,128 | 1,397,107 |
35
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
American Home Mortgage Investment Trust | ||||||||
Series 2005-2 5A1 5.064% 9/25/35 f | 337,404 | $ | 336,213 | |||||
Banc of America Alternative Loan Trust | ||||||||
Series 2005-1 2A1 5.50% 2/25/20 | 145,829 | 146,493 | ||||||
Series 2005-3 2A1 5.50% 4/25/20 | 118,847 | 118,633 | ||||||
Series 2005-6 7A1 5.50% 7/25/20 | 463,415 | 452,789 | ||||||
Banc of America Mortgage Trust | ||||||||
Series 2003-E 2A2 2.794% 6/25/33 ● | 67,655 | 67,213 | ||||||
Series 2004-K 2A1 2.879% 12/25/34 ● | 1,134,480 | 1,111,978 | ||||||
ChaseFlex Trust | ||||||||
Series 2006-1 A4 4.706% 6/25/36 ● | 6,119,000 | 5,124,580 | ||||||
CHL Mortgage Pass Through Trust | ||||||||
Series 2003-21 A1 2.861% 5/25/33 ¿● | 20,316 | 20,424 | ||||||
Series 2004-HYB2 2A 3.116% 7/20/34 ¿● | 74,320 | 67,997 | ||||||
Series 2004-HYB5 3A1 2.774% 4/20/35 ¿● | 111,048 | 97,254 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
Series 2006-3 1A9 5.75% 6/25/36 | 546,695 | 549,978 | ||||||
Citicorp Residential Mortgage Trust | ||||||||
Series 2006-3 A5 5.942% 11/25/36 f | 5,800,000 | 5,748,945 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
Series 2005-5 6A3 5.00% 7/25/35 | 2,548,342 | 2,534,139 | ||||||
First Horizon Mortgage Pass Through Trust | ||||||||
Series 2004-7 1A3 5.50% 1/25/35 ¿ | 1,342,449 | 1,375,461 | ||||||
Series 2005-4 1A8 5.50% 8/25/35 ¿ | 753,201 | 701,736 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
Series 1998-3 A 144A 7.75% 9/19/27 #● | 34,911 | 36,349 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2004-9 4A1 2.851% 8/25/34 ● | 454,396 | 439,723 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2005-A8 1A1 2.668% 11/25/35 ● | 338,598 | 318,410 | ||||||
Series 2006-S1 1A1 6.00% 4/25/36 | 3,209,998 | 3,283,608 | ||||||
Series 2007-A1 7A4 2.775% 7/25/35 ● | 71,736 | 63,111 | ||||||
Series 2014-2 B1 144A 3.428% 6/25/29 #● | 2,145,015 | 2,200,303 | ||||||
Series 2014-2 B2 144A 3.428% 6/25/29 #● | 799,191 | 807,509 | ||||||
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● | 2,470,000 | 2,495,560 | ||||||
Series 2015-1 B1 144A 2.663% 12/25/44 #● | 3,372,903 | 3,331,464 | ||||||
Series 2015-1 B2 144A 2.663% 12/25/44 #● | 2,828,088 | 2,740,528 | ||||||
Series 2015-4 B1 144A 3.636% 6/25/45 #● | 2,650,193 | 2,579,496 | ||||||
Series 2015-4 B2 144A 3.636% 6/25/45 #● | 1,902,551 | 1,813,608 | ||||||
Series 2015-5 B2 144A 2.892% 5/25/45 #● | 2,678,187 | 2,501,743 | ||||||
Series 2015-6 B1 144A 3.65% 10/25/45 #● | 1,860,899 | 1,910,643 | ||||||
Series 2015-6 B2 144A 3.65% 10/25/45 #● | 1,801,666 | 1,814,438 | ||||||
MASTR ARM Trust | ||||||||
Series 2003-6 1A2 2.70% 12/25/33 ● | 39,966 | 39,333 |
36
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
| ||||||||
MASTR ARM Trust | ||||||||
Series 2004-10 2A2 3.279% 10/25/34 ● | 56,773 | $ | 36,332 | |||||
New Residential Mortgage Loan Trust | ||||||||
Series 2015-2A A1 3.75% 8/25/55 ● | 4,243,365 | 4,371,754 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2013-4 B2 3.501% 4/25/43 ● | 1,549,072 | 1,522,869 | ||||||
Series 2013-11 B1 144A 3.673% 9/25/43 #● | 2,577,372 | 2,563,210 | ||||||
Series 2014-2 A4 144A 3.50% 7/25/44 #● | 3,077,069 | 3,141,497 | ||||||
Series 2015-1 B2 144A 3.891% 1/25/45 #● | 2,070,575 | 2,083,509 | ||||||
Structured Asset Securities Mortgage Pass Through Certificates | ||||||||
Series 2004-20 2A1 5.50% 11/25/34 ¿ | 2,572,165 | 2,614,009 | ||||||
Structured Asset Securities Trust | ||||||||
Series 2005-1 4A1 5.00% 2/25/20 | 1,925,061 | 1,946,189 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
Series 2007-4 1A1 2.409% 9/25/37 ● | 2,000,538 | 1,898,905 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2015-5 A1B 144A 2.75% 5/25/55 #● | 4,033,615 | 4,036,726 | ||||||
Series 2015-6 A1B 144A 2.75% 4/25/55 #● | 4,113,790 | 4,112,805 | ||||||
Series 2016-1 A1B 144A 2.75% 2/25/55 #● | 3,208,028 | 3,218,614 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
Series 2003-S10 A2 5.00% 10/25/18 ¿ | 86,932 | 81,604 | ||||||
Washington Mutual Mortgage Pass Through Trust | ||||||||
Series 2005-1 5A2 6.00% 3/25/35 ¿ | 245,574 | 112,142 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2005-3 A4 5.50% 5/25/35 | 3,720,459 | 3,834,558 | ||||||
Series 2006-2 3A1 5.75% 3/25/36 | 1,764,208 | 1,790,564 | ||||||
Series 2006-3 A11 5.50% 3/25/36 | 1,612,758 | 1,637,781 | ||||||
Series 2006-20 A1 5.50% 12/25/21 | 529,492 | 535,290 | ||||||
Series 2006-AR5 2A1 3.156% 4/25/36 ● | 1,471,185 | 1,374,569 | ||||||
Series 2007-14 1A1 6.00% 10/25/37 | 90,923 | 89,146 | ||||||
WinWater Mortgage Loan Trust | ||||||||
Series 2015-3 B1 144A 3.915% 3/20/45 #● | 2,779,597 | 2,825,856 | ||||||
|
| |||||||
Total Non-Agency Collateralized Mortgage Obligations (cost $88,879,700) | 92,566,780 | |||||||
|
| |||||||
| ||||||||
Regional Bonds – 0.57%D | ||||||||
| ||||||||
Argentina – 0.06% | ||||||||
Provincia de Buenos Aires 144A 9.95% 6/9/21 # | 2,780,000 | 3,037,150 | ||||||
|
| |||||||
3,037,150 | ||||||||
|
| |||||||
Australia – 0.17% | ||||||||
New South Wales Treasury 4.00% 5/20/26 | AUD 4,880,900 | 4,130,613 | ||||||
Queensland Treasury | ||||||||
144A 3.25% 7/21/28 # | AUD 2,933,000 | 2,246,409 |
37
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Regional BondsD (continued) | ||||||||
| ||||||||
Australia (continued) | ||||||||
Queensland Treasury | ||||||||
144A 3.25% 7/21/26 # | AUD 2,839,000 | $ | 2,203,997 | |||||
|
| |||||||
8,581,019 | ||||||||
|
| |||||||
Canada – 0.19% | ||||||||
Province of Ontario Canada | ||||||||
2.50% 4/27/26 | 2,970,000 | 2,967,838 | ||||||
3.45% 6/2/45 | CAD 2,594,000 | 2,219,010 | ||||||
Province of Quebec Canada | ||||||||
2.50% 4/20/26 | 2,490,000 | 2,490,237 | ||||||
6.00% 10/1/29 | CAD 1,985,000 | 2,158,836 | ||||||
|
| |||||||
9,835,921 | ||||||||
|
| |||||||
Japan – 0.15% | ||||||||
Japan Finance Organization For Municipalities 144A | ||||||||
2.125% 4/13/21 # | 7,928,000 | 7,895,123 | ||||||
|
| |||||||
7,895,123 | ||||||||
|
| |||||||
Total Regional Bonds (cost $29,185,478) | 29,349,213 | |||||||
|
| |||||||
| ||||||||
Senior Secured Loans – 7.21%« | ||||||||
| ||||||||
Air Medical Group Holdings Tranche B 1st Lien 4.25% 4/28/22 | 8,138,530 | 8,059,179 | ||||||
Albertson’s Tranche B4 1st Lien 5.50% 8/25/21 | 4,790,160 | 4,813,115 | ||||||
Altice Financing Tranche B 1st Lien 5.25% 2/4/22 | 6,828,400 | 6,847,069 | ||||||
Amaya Holdings 1st Lien 5.00% 8/1/21 | 6,014,770 | 5,778,564 | ||||||
Applied Systems 1st Lien 5.75% 1/23/21 | 2,481,539 | 2,477,921 | ||||||
Applied Systems 2nd Lien 7.50% 1/23/22 @ | 5,821,373 | 5,719,499 | ||||||
Ardagh Group USA Tranche B 1st Lien 4.00% 12/17/19 | 2,990,000 | 2,991,869 | ||||||
Arnhold & S Bleichroeder Holdings Tranche B 1st Lien 4.75% 12/31/22 | 2,847,863 | 2,830,063 | ||||||
Atkore International 2nd Lien 7.75% 10/9/21 | 1,179,000 | 1,105,313 | ||||||
Avago Technologies Cayman Finance Tranche B 1st Lien 4.25% 2/1/23 | 8,305,000 | 8,325,189 | ||||||
Berry Plastics Group 1st Lien 4.00% 10/1/22 | 4,614,483 | 4,634,095 | ||||||
BJ’s Wholesale Club 2nd Lien 8.50% 3/31/20 | 4,299,422 | 4,181,188 | ||||||
Blue Ribbon 1st Lien 5.50% 11/13/21 | 3,914,430 | 3,906,277 | ||||||
Blue Ribbon 2nd Lien 9.25% 11/13/22 | 1,610,000 | 1,615,031 | ||||||
Builders FirstSource Tranche B 1st Lien 6.00% 7/31/22 | 7,002,756 | 7,006,041 | ||||||
BWAY Holding Tranche B 1st Lien 5.50% 8/14/20 | 2,690,000 | 2,685,293 | ||||||
Caesars Growth Properties Holdings Tranche B 1st Lien 6.25% 5/8/21 | 4,409,204 | 3,957,260 | ||||||
CCO Safari III Tranche H 1st Lien 3.25% 8/24/21 | 791,000 | 792,854 | ||||||
CCO Safari III Tranche I 1st Lien 3.50% 1/21/23 | 2,373,000 | 2,385,923 | ||||||
Change Healthcare Holdings 1st Lien 3.75% 11/2/18 | 2,263,838 | 2,262,423 |
38
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) | ||||||||
| ||||||||
CityCenter Holdings Tranche B 1st Lien 4.25% 10/16/20 | 2,630,597 | $ | 2,641,285 | |||||
Community Health Systems Tranche G 1st Lien 3.75% 12/31/19 | 2,070,971 | 2,042,926 | ||||||
Community Health Systems Tranche H 1st Lien 4.00% 1/27/21 | 5,238,954 | 5,168,883 | ||||||
DAE Aviation Holdings 1st Lien 5.25% 7/7/22 | 3,821,800 | 3,821,800 | ||||||
DaVita Healthcare Partners Tranche B 1st Lien 3.50% 6/24/21 | 3,871,050 | 3,890,808 | ||||||
First Data Tranche B 1st Lien | ||||||||
4.189% 7/10/22 | 2,580,000 | 2,582,304 | ||||||
4.439% 3/24/21 | 10,442,810 | 10,480,665 | ||||||
Flying Fortress tranche B 1st Lien 3.50% 4/30/20 | 1,225,209 | 1,232,101 | ||||||
FMG Resources August 2006 Pty 1st Lien 4.25% 6/30/19 | 3,580,087 | 3,388,105 | ||||||
Gardner Denver 1st Lien 4.25% 7/30/20 | 4,824,031 | 4,521,024 | ||||||
Gates Global 1st Lien 4.25% 7/6/21 | 5,156,430 | 4,956,618 | ||||||
GCP Applied Technologies Tranche B 1st Lien 5.25% 2/3/22 | 2,025,000 | 2,036,812 | ||||||
Green Energy Partners Tranche B 1st Lien 6.50% 11/13/21 | 2,263,000 | 2,195,110 | ||||||
HCA Tranche B6 1st Lien 3.685% 3/18/23 | 923,775 | 931,281 | ||||||
Hilton Worldwide Finance 1st Lien 3.50% 10/25/20 | 7,468,783 | 7,498,658 | ||||||
Houghton International 1st Lien 4.25% 12/20/19 | 1,848,885 | 1,802,663 | ||||||
Houghton International 2nd Lien 9.75% 12/21/20 | 2,605,000 | 2,494,287 | ||||||
Hyperion Insurance Group Tranche B 1st Lien 5.50% 4/30/22 | 4,311,450 | 4,286,301 | ||||||
IASIS Healthcare Tranche B 1st Lien 4.50% 5/3/18 | 5,310,935 | 5,302,640 | ||||||
IBC Capital 1st Lien 4.75% 9/15/21 | 856,903 | 818,343 | ||||||
Ineos U.S. Finance Tranche B 1st Lien | ||||||||
3.75% 12/15/20 | 5,011,931 | 4,971,209 | ||||||
4.25% 3/31/22 | 1,296,893 | 1,293,766 | ||||||
J.C. Penney 1st Lien 6.00% 5/22/18 | 9,594,731 | 9,615,120 | ||||||
Keurig Green Mountain Tranche B 1st Lien 5.25% 3/3/23 | 4,558,200 | 4,585,700 | ||||||
KIK Custom Products 1st Lien 6.00% 8/26/22 @ | 6,330,507 | 6,152,461 | ||||||
Kinetic Concepts Tranche E1 1st Lien 4.50% 5/4/18 | 1,401,341 | 1,402,567 | ||||||
Kraton Polymers Tranche B 1st Lien 6.00% 1/6/22 | 4,980,000 | 4,800,511 | ||||||
Landry’s Tranche B 1st Lien 4.00% 4/24/18 | 2,583,273 | 2,588,926 | ||||||
Level 3 Financing 1st Lien 4.00% 1/15/20 | 3,740,000 | 3,757,765 | ||||||
LTS Buyer 2nd Lien 8.00% 4/1/21 | 3,141,138 | 3,125,432 | ||||||
MacDermid Tranche B 1st Lien 5.50% 6/7/20 | 1,101,931 | 1,083,767 | ||||||
Marina District Tranche B 1st Lien 6.50% 8/15/18 | 4,128,474 | 4,137,507 | ||||||
Mauser Holding Sarl 2nd Lien 8.75% 7/31/22 | 557,000 | 504,085 | ||||||
MGM Growth Properties Operating Partnership Tranche B 1st Lien 4.00% 4/7/23 | 5,055,000 | 5,092,913 | ||||||
Micron Technology Tranche B 1st Lien 6.00% 4/26/22 | 990,000 | 996,806 |
39
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) | ||||||||
| ||||||||
Microsemi Tranche B 1st Lien 5.25% 1/15/23 | 2,542,235 | $ | 2,563,844 | |||||
Mohegan Tribal Gaming Authority Tranche B 1st Lien 5.50% 6/15/18 | 9,054,040 | 8,971,993 | ||||||
MPH Acquisition Holdings Tranche B 1st Lien 3.75% 3/31/21 | 6,897,427 | 6,875,873 | ||||||
NBTY Tranche B 1st Lien 5.00% 5/5/23 | 7,140,000 | 7,171,238 | ||||||
Neptune Finco Tranche B 1st Lien 5.00% 10/9/22 | 2,830,000 | 2,847,334 | ||||||
Numericable U.S. Tranche B 1st Lien 5.00% 1/31/24 | 6,455,000 | 6,506,104 | ||||||
NXP Tranche B1 1st Lien 3.75% 12/7/20 | 5,436,375 | 5,461,861 | ||||||
ON Semiconductor Tranche B 1st Lien 5.25% 3/31/23 | 3,230,000 | 3,251,399 | ||||||
Panda Hummel Tranche B1 1st Lien 7.00% 10/27/22 | 1,280,000 | 1,212,800 | ||||||
Panda Liberty Tranche B 1st Lien 7.50% 8/21/20 | 4,668,000 | 4,574,640 | ||||||
PET Acquisition Merger Sub Tranche B1 1st Lien 5.75% 1/26/23 | 5,067,300 | 5,104,398 | ||||||
PQ 1st Lien 5.75% 11/4/22 | 7,653,000 | 7,708,806 | ||||||
Prime Security Services Borrower 1st Lien 5.50% 5/2/22 | 4,150,000 | 4,170,103 | ||||||
Prime Security Services Borrower 2nd Lien 9.75% 7/1/22 | 7,195,000 | 7,216,585 | ||||||
Republic of Angola (Unsecured) 7.045% 12/16/23 @ | 11,720,000 | 10,313,600 | ||||||
Reynolds Group Holdings Tranche B 1st Lien 4.50% 12/1/18 | 2,922,858 | 2,935,645 | ||||||
Sable International Finance Tranche B1 1st Lien 5.50% 12/2/22 | 4,820,000 | 4,847,113 | ||||||
Sable International Finance Tranche B2 1st Lien 5.50% 12/2/22 | 3,940,000 | 3,948,621 | ||||||
SAM Finance Lux Sarl Tranche B 1st Lien 4.25% 12/17/20 | 2,174,972 | 2,179,502 | ||||||
Scientific Games International 1st Lien 6.00% 10/18/20 | 1,505,000 | 1,486,187 | ||||||
Sinclair Television Group Tranche B1 1st Lien 3.50% 7/31/21 | 937,015 | 937,015 | ||||||
Solera Tranche B 1st Lien 5.75% 3/3/23 | 5,105,000 | 5,138,729 | ||||||
Spectrum Brands 1st Lien 3.50% 6/23/22 | 2,226,862 | 2,239,388 | ||||||
Stardust Finance Holdings Tranche B 1st Lien 6.50% 3/13/22 @ | 5,965,858 | 5,955,913 | ||||||
Summit Materials Tranche B 1st Lien 4.00% 7/17/22 | 2,620,200 | 2,623,200 | ||||||
Surgical Care Affiliates Tranche B 1st Lien 4.25% 3/17/22 | 1,517,630 | 1,518,263 | ||||||
Team Health Tranche B 1st Lien 4.50% 11/23/22 | 5,117,175 | 5,142,761 | ||||||
T-Mobile USA Tranche B 1st Lien 3.50% 11/9/22 | 9,310,138 | 9,376,472 | ||||||
TransDigm Tranche E 1st Lien 3.50% 5/14/22 | 906,051 | 898,689 | ||||||
Tribune Media Tranche B 1st Lien 3.75% 12/27/20 | 2,620,200 | 2,614,058 | ||||||
Univar USA Tranche B 1st Lien 4.25% 7/1/22 | 840,556 | 831,450 | ||||||
Univision Communications 1st Lien 4.00% 3/1/20 | 2,103,681 | 2,104,809 | ||||||
Univision Communications Tranche C4 1st Lien 4.00% 3/1/20 | 7,111,263 | 7,118,879 | ||||||
USI 1st Lien 4.25% 12/27/19 | 7,138,495 | 7,060,421 | ||||||
Western Digital Tranche B 1st Lien 6.25% 3/30/23 | 2,485,000 | 2,449,278 |
40
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) | ||||||||
| ||||||||
WideOpenWest Finance Tranche B 1st Lien 4.50% 4/1/19 | 5,033,434 | $ | 5,018,333 | |||||
Windstream Services Tranche B6 1st Lien 5.75% 3/29/21 | 1,737,000 | 1,739,896 | ||||||
|
| |||||||
Total Senior Secured Loans (cost $371,169,918) | 370,690,515 | |||||||
|
| |||||||
| ||||||||
Sovereign Bonds – 2.94%D | ||||||||
| ||||||||
Argentina – 0.11% | ||||||||
Argentine Republic Government International Bond | ||||||||
144A 6.25% 4/22/19 # | 2,400,000 | 2,494,800 | ||||||
144A 6.875% 4/22/21 # | 3,160,000 | 3,262,700 | ||||||
|
| |||||||
5,757,500 | ||||||||
|
| |||||||
Australia – 0.04% | ||||||||
Australia Government Bond 3.75% 4/21/37 | AUD 2,743,000 | 2,281,142 | ||||||
|
| |||||||
2,281,142 | ||||||||
|
| |||||||
Brazil – 0.08% | ||||||||
Brazilian Government International Bond 5.00% 1/27/45 | 5,200,000 | 4,225,000 | ||||||
|
| |||||||
4,225,000 | ||||||||
|
| |||||||
Canada – 0.02% | ||||||||
Canadian Government Bond 2.75% 12/1/48 | CAD 1,202,000 | 1,106,114 | ||||||
|
| |||||||
1,106,114 | ||||||||
|
| |||||||
Colombia – 0.14% | ||||||||
Colombia Government International Bond | ||||||||
4.50% 1/28/26 * | 3,100,000 | 3,178,275 | ||||||
5.00% 6/15/45 | 4,269,000 | 4,087,567 | ||||||
|
| |||||||
7,265,842 | ||||||||
|
| |||||||
Croatia – 0.09% | ||||||||
Croatia Government International Bond 144A 6.375% 3/24/21 # | 4,215,000 | 4,624,129 | ||||||
|
| |||||||
4,624,129 | ||||||||
|
| |||||||
Dominican Republic – 0.18% | ||||||||
Dominican Republic International Bond | ||||||||
144A 6.875% 1/29/26 # | 3,400,000 | 3,663,500 | ||||||
144A 7.50% 5/6/21 # | 4,850,000 | 5,322,875 | ||||||
|
| |||||||
8,986,375 | ||||||||
|
| |||||||
Guatemala – 0.06% | ||||||||
Guatemala Government Bond 144A 4.50% 5/3/26 # | 3,085,000 | 3,094,085 | ||||||
|
| |||||||
3,094,085 | ||||||||
|
| |||||||
Hungary – 0.12% | ||||||||
Hungary Government International Bond 6.375% 3/29/21 | 5,600,000 | 6,385,064 | ||||||
|
| |||||||
6,385,064 | ||||||||
|
| |||||||
Indonesia – 0.18% | ||||||||
Indonesia Government International Bond 144A 4.875% 5/5/21 # | 4,280,000 | 4,645,893 |
41
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) | ||||||||
| ||||||||
Indonesia (continued) | ||||||||
Indonesia Government International Bond | ||||||||
144A 5.125% 1/15/45 # | 1,200,000 | $ | 1,219,429 | |||||
144A 5.95% 1/8/46 # | 2,900,000 | 3,273,160 | ||||||
|
| |||||||
9,138,482 | ||||||||
|
| |||||||
Japan – 0.10% | ||||||||
Japan Bank For International Cooperation 2.375% 4/20/26 | 4,904,000 | 4,923,131 | ||||||
|
| |||||||
4,923,131 | ||||||||
|
| |||||||
Kazakhstan – 0.06% | ||||||||
Kazakhstan Government International Bond 144A 5.125% 7/21/25 # | 2,770,000 | 2,938,277 | ||||||
|
| |||||||
2,938,277 | ||||||||
|
| |||||||
Mexico – 0.47% | ||||||||
Mexican Bonos | ||||||||
5.75% 3/5/26 | MXN 349,536,200 | 20,199,906 | ||||||
6.50% 6/9/22 | MXN 19,585,000 | 1,199,393 | ||||||
Mexico Government International Bond | ||||||||
3.60% 1/30/25 | 1,637,000 | 1,667,694 | ||||||
4.60% 1/23/46 | 1,200,000 | 1,190,700 | ||||||
|
| |||||||
24,257,693 | ||||||||
|
| |||||||
Mongolia – 0.06% | ||||||||
Mongolia Government International Bond | ||||||||
144A 5.125% 12/5/22 # | 2,055,000 | 1,629,060 | ||||||
144A 10.875% 4/6/21 # | 1,545,000 | 1,575,854 | ||||||
|
| |||||||
3,204,914 | ||||||||
|
| |||||||
Namibia – 0.07% | ||||||||
Namibia International Bonds 144A 5.25% 10/29/25 # | 3,800,000 | 3,753,032 | ||||||
|
| |||||||
3,753,032 | ||||||||
|
| |||||||
New Zealand – 0.01% | ||||||||
New Zealand Government Bond 4.50% 4/15/27 | NZD 527,000 | 425,117 | ||||||
|
| |||||||
425,117 | ||||||||
|
| |||||||
Norway – 0.02% | ||||||||
Norway Government Bond 144A 1.50% 2/19/26 # | NOK 8,835,000 | 1,098,854 | ||||||
|
| |||||||
1,098,854 | ||||||||
|
| |||||||
Panama – 0.09% | ||||||||
Panama Government International Bond 3.875% 3/17/28 | 4,405,000 | 4,526,137 | ||||||
|
| |||||||
4,526,137 | ||||||||
|
| |||||||
Paraguay – 0.08% | ||||||||
Paraguay Government International Bond 144A 5.00% 4/15/26 # | 3,900,000 | 3,987,750 | ||||||
|
| |||||||
3,987,750 | ||||||||
|
|
42
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) | ||||||||
| ||||||||
Philippines – 0.06% | ||||||||
Philippine Government International Bond 6.25% 1/14/36 | PHP | 118,000,000 | $ | 2,842,255 | ||||
|
| |||||||
2,842,255 | ||||||||
|
| |||||||
Poland – 0.31% | ||||||||
Poland Government Bond | ||||||||
2.50% 7/25/26 | PLN | 42,290,000 | 10,535,234 | |||||
3.25% 7/25/25 | PLN | 20,561,000 | 5,532,420 | |||||
|
| |||||||
16,067,654 | ||||||||
|
| |||||||
Portugal – 0.02% | ||||||||
Portugal Government International Bond 144A 5.125% 10/15/24 # | 1,045,000 | 1,046,624 | ||||||
|
| |||||||
1,046,624 | ||||||||
|
| |||||||
Republic of Korea – 0.15% | ||||||||
Inflation Linked Korea Treasury Bond 1.125% 6/10/23 | KRW | 8,977,504,272 | 7,895,910 | |||||
|
| |||||||
7,895,910 | ||||||||
|
| |||||||
Serbia – 0.09% | ||||||||
Serbia International Bond 144A 4.875% 2/25/20 # | 4,350,000 | 4,461,208 | ||||||
|
| |||||||
4,461,208 | ||||||||
|
| |||||||
Sri Lanka – 0.13% | ||||||||
Sri Lanka Government International Bond 144A 6.125% 6/3/25 # | 6,900,000 | 6,521,652 | ||||||
|
| |||||||
6,521,652 | ||||||||
|
| |||||||
United Kingdom – 0.10% | ||||||||
United Kingdom Gilt | ||||||||
3.25% 1/22/44 | GBP | 1,752,900 | 2,995,464 | |||||
3.50% 1/22/45 | GBP | 1,169,100 | 2,094,120 | |||||
|
| |||||||
5,089,584 | ||||||||
|
| |||||||
Uruguay – 0.10% | ||||||||
Uruguay Government International Bond 4.375% 10/27/27 | 4,804,000 | 4,966,135 | ||||||
|
| |||||||
4,966,135 | ||||||||
|
| |||||||
Total Sovereign Bonds (cost $148,632,033) | 150,869,660 | |||||||
|
| |||||||
| ||||||||
Supranational Banks – 0.94% | ||||||||
| ||||||||
Asian Development Bank | ||||||||
0.50% 3/24/20 | AUD | 1,750,000 | 1,220,550 | |||||
2.00% 4/24/26 | 6,755,000 | 6,721,928 | ||||||
European Bank for Reconstruction & Development 7.375% 4/15/19 | IDR | 49,290,000,000 | 3,690,209 | |||||
Inter-American Development Bank 6.00% 9/5/17 | INR | 377,950,000 | 5,647,894 | |||||
International Bank for Reconstruction & Development 0.506% 4/17/19 ● | 2,469,000 | 2,464,222 |
43
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Supranational Banks (continued) | ||||||||
| ||||||||
International Bank for Reconstruction & Development | ||||||||
1.625% 3/9/21 | 6,770,000 | $ | 6,821,682 | |||||
2.50% 11/25/24 | 2,469,000 | 2,573,291 | ||||||
3.50% 1/22/21 | NZD | 17,861,000 | 12,761,591 | |||||
3.75% 2/10/20 | NZD | 3,300,000 | 2,381,557 | |||||
4.625% 10/6/21 | NZD | 2,649,000 | 1,997,009 | |||||
International Finance | ||||||||
3.00% 5/6/21 | NZD | 1,795,000 | 1,253,609 | |||||
3.625% 5/20/20 | NZD | 1,035,000 | 743,913 | |||||
|
| |||||||
Total Supranational Banks (cost $48,107,552) | 48,277,455 | |||||||
|
| |||||||
| ||||||||
U.S. Treasury Obligations – 3.68% | ||||||||
| ||||||||
U.S. Treasury Bond | ||||||||
2.875% 8/15/45 | 35,760,000 | 37,313,343 | ||||||
U.S. Treasury Notes | ||||||||
1.25% 3/31/21 ¥ | 147,840,000 | 147,620,605 | ||||||
1.625% 2/15/26 | 4,240,000 | 4,166,627 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (cost $189,255,325) | 189,100,575 | |||||||
|
| |||||||
Number of Shares | ||||||||
| ||||||||
Common Stock – 0.00% | ||||||||
| ||||||||
Century Communications @=† | 7,875,000 | 0 | ||||||
|
| |||||||
Total Common Stock (cost $238,403) | 0 | |||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 0.25% | ||||||||
| ||||||||
Bank of America 7.25% exercise price $50.00, expiration date 12/31/49 | 1,477 | 1,740,349 | ||||||
Crown Castle International 4.50% exercise price $85.77, expiration date 11/1/16 | 5,995 | 636,759 | ||||||
Exelon 6.50% exercise price $43.75, expiration date 6/1/17 * | 38,450 | 1,863,287 | ||||||
Halcon Resources 5.75% exercise price $30.78, expiration date 12/31/49 @ | 1,625 | 65,000 | ||||||
Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49 @ | 1,768 | 2,421,267 | ||||||
Maiden Holdings 7.25% exercise price $15.11, expiration date 9/15/16 * | 43,033 | 2,038,043 | ||||||
T-Mobile U.S. 5.50% exercise price $31.02, expiration date 12/15/17 | 20,274 | 1,374,780 | ||||||
Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49 | 2,210 | 2,753,660 | ||||||
|
| |||||||
Total Convertible Preferred Stock (cost $13,809,216) | 12,893,145 | |||||||
|
|
44
Table of Contents
Number of Shares | Value (U.S. $) | |||||||
| ||||||||
Preferred Stock – 0.68% | ||||||||
| ||||||||
General Electric 5.00% ● | 13,537,000 | $ | 14,078,480 | |||||
Integrys Energy Group 6.00% @● | 205,350 | 5,358,362 | ||||||
PNC Preferred Funding Trust II 144A 1.856% #● | 13,900,000 | 11,988,750 | ||||||
USB Realty 144A 1.775% #@● | 4,485,000 | 3,663,707 | ||||||
|
| |||||||
Total Preferred Stock (cost $33,332,911) | 35,089,299 | |||||||
|
| |||||||
Number of Contracts | ||||||||
| ||||||||
Options Purchased – 0.00% | ||||||||
| ||||||||
Futures Put Option – 0.00% | ||||||||
U.S. Treasury 2 yr Notes exercise price $108.63, expiration date 6/24/16 |
| 1,646
|
|
| 154,313
|
| ||
|
| |||||||
Total Options Purchased (cost $287,566) | 154,313 | |||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 10.57% | ||||||||
| ||||||||
Discount Notes – 8.49%≠ | ||||||||
Federal Home Loan Bank | �� | |||||||
0.103% 7/13/16 | 27,284,450 | 27,267,534 | ||||||
0.104% 7/25/16 | 16,876,980 | 16,864,777 | ||||||
0.146% 5/2/16 | 58,657,741 | 58,657,741 | ||||||
0.277% 5/19/16 | 7,010,286 | 7,009,494 | ||||||
0.291% 5/20/16 | 35,888,005 | 35,883,698 | ||||||
0.307% 5/18/16 | 111,905,876 | 111,893,902 | ||||||
0.307% 8/15/16 | 29,648,335 | 29,619,784 | ||||||
0.32% 6/8/16 | 47,242,130 | 47,228,760 | ||||||
0.324% 7/22/16 | 12,996,667 | 12,987,595 | ||||||
0.33% 5/27/16 | 66,988,543 | 66,977,356 | ||||||
0.359% 7/18/16 | 21,600,289 | 21,585,968 | ||||||
|
| |||||||
435,976,609 | ||||||||
|
| |||||||
Repurchase Agreements – 2.08% | ||||||||
Bank of America Merrill Lynch | ||||||||
0.24%, dated 4/29/16, to be repurchased on 5/2/16, repurchase price $25,235,241 (collateralized by U.S. government obligations 2.00%–2.50% 2/15/22–11/15/24; market value $25,739,445) | 25,234,736 | 25,234,736 | ||||||
Bank of Montreal | ||||||||
0.27%, dated 4/29/16, to be repurchased on 5/2/16, repurchase price $42,058,839 (collateralized by U.S. government obligations 0.00%–8.75% 10/13/16–2/15/46; market value $42,899,053) | 42,057,893 | 42,057,893 |
45
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) | ||||||||
| ||||||||
Repurchase Agreements (continued) | ||||||||
BNP Paribas | ||||||||
0.28%, dated 4/29/16, to be repurchased on 5/2/16, repurchase price $39,709,298 (collateralized by U.S. government obligations 0.00%–4.75% 5/31/17–2/15/45; market value $40,502,545) | 39,708,371 | $ | 39,708,371 | |||||
|
| |||||||
107,001,000 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $542,979,155) | 542,977,609 | |||||||
|
| |||||||
Total Value of Securities Before Securities Lending Collateral – 110.06% | 5,655,424,030 | |||||||
|
| |||||||
Number of Shares | ||||||||
| ||||||||
Securities Lending Collateral – 1.00%** | ||||||||
| ||||||||
Separate Account | ||||||||
Delaware Diversified Income Fund | 51,605,540 | 51,605,540 | ||||||
|
| |||||||
Total Securities Lending Collateral (cost $51,605,540) | 51,605,540 | |||||||
|
| |||||||
Total Value of Securities – 111.06% | $ | 5,707,029,570n | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2016, the aggregate value of Rule 144A securities was $1,071,020,946, which represents 20.84% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
* | Fully or partially on loan. |
** | See Note 8 in “Notes to financial statements” for additional information on securities lending collateral. |
@ | Illiquid security. At April 30, 2016, the aggregate value of illiquid securities was $111,287,658, which represents 2.17% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
¿ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At April 30, 2016, the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
n | Includes $49,943,123 of securities loaned. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
46
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† | Non-income-producing security. |
● | Variable rate security. The rate shown is the rate as of April 30, 2016. Interest rates reset periodically. |
¥ | Fully or partially pledged as collateral for futures contracts. |
D | Securities have been classified by country of origin. |
S | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
^ | Zero coupon security. The rate shown is the yield at the time of purchase. |
« | Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at April 30, 2016. |
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at April 30, 2016. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at April 30, 2016:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized | ||||||||||||||
BAML | AUD | (13,969,612 | ) | USD | 10,645,731 | 5/13/16 | $ | 30,159 | ||||||||||
BAML | CAD | (14,210,853 | ) | USD | 10,887,379 | 5/13/16 | (438,654 | ) | ||||||||||
BAML | EUR | 6,271,436 | USD | (7,155,647 | ) | 5/13/16 | 28,411 | |||||||||||
BAML | JPY | (391,809,231 | ) | USD | 3,453,075 | 5/13/16 | (230,482 | ) | ||||||||||
BAML | NZD | (22,423,290 | ) | USD | 15,353,695 | 5/13/16 | (291,301 | ) | ||||||||||
BNP | AUD | (8,296,448 | ) | USD | 6,319,570 | 5/13/16 | 15,061 | |||||||||||
BNP | INR | 186,465,887 | USD | (2,806,107 | ) | 5/13/16 | (8,110 | ) | ||||||||||
BNP | NOK | (9,426,852 | ) | USD | 1,137,060 | 5/13/16 | (33,645 | ) | ||||||||||
BNYM | NZD | (121,868 | ) | USD | 85,110 | 5/2/16 | 30 | |||||||||||
HSBC | GBP | (4,627,733 | ) | USD | 6,624,507 | 5/13/16 | (137,556 | ) | ||||||||||
JPMC | KRW | (8,525,381,610 | ) | USD | 7,411,764 | 5/13/16 | (23,453 | ) | ||||||||||
JPMC | PLN | (8,143,900 | ) | USD | 2,188,112 | 5/13/16 | 55,220 | |||||||||||
JPMC | SEK | 5,329,174 | USD | (657,204 | ) | 5/13/16 | 6,744 | |||||||||||
TD | JPY | 412,077,475 | USD | (3,707,567 | ) | 5/13/16 | 166,541 | |||||||||||
|
| |||||||||||||||||
$ | (861,035 | ) | ||||||||||||||||
|
|
47
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Futures Contracts
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||||||
(464) | E-mini S&P 500® Index | $ | (47,072,197 | ) | $ | (47,771,120 | ) | 6/20/16 | $ | (698,923 | ) | |||||
255 | U.S. Treasury 10 yr Notes | 33,023,202 | 33,165,938 | 6/22/16 | 142,736 | |||||||||||
582 | U.S. Treasury Long Bonds | 96,265,140 | 95,047,875 | 6/22/16 | (1,217,265 | ) | ||||||||||
|
|
|
| |||||||||||||
$ | 82,216,145 | $ | (1,773,452 | ) | ||||||||||||
|
|
|
|
Swap Contracts
CDS Contracts2
Counterparty | Swap Referenced Obligation | Notional Value3 | Annual | Termination Date | Upfront Paid (Received) | Unrealized | ||||||||||||||
Protection Purchased: | ||||||||||||||||||||
JPMC - | ||||||||||||||||||||
ICE | CDX.NA.HY.265 JPMC - iTraxx Europe Crossover Series | 27,405,000 | 5.00% | 6/20/21 | $ | (852,763 | ) | $ | 74,858 | |||||||||||
ICE | 25.16 | EUR | 8,900,000 | 5.00% | 6/20/21 | (811,201 | ) | (65,539 | ) | |||||||||||
JPMC | CDX.EM.257 | 27,982,000 | 1.00% | 6/20/21 | 2,331,248 | 22,618 | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 667,284 | $ | 31,937 | |||||||||||||||||
|
|
|
|
Interest Rate Swap Contracts8
Counterparty & Referenced Obligation | Notional Value3 | Fixed Interest Rate Received (Paid) | Floating Interest Rate Received (Paid) | Termination Date | Unrealized Appreciation (Depreciation) | |||||||||
CME - BOA 10 yr IRS | 40,640,000 | 2.049% | 0.637% | 1/12/26 | $ | 1,300,566 | ||||||||
CME - BOA 30 yr IRS | 25,090,000 | 2.485% | 0.637% | 1/14/46 | 1,492,436 | |||||||||
CME - BOA 30 yr IRS | 18,380,000 | 2.504% | 0.637% | 1/12/46 | 1,173,339 | |||||||||
CME - BOA 30 yr IRS | 23,170,000 | 2.524% | 0.637% | 1/12/46 | 1,587,062 | |||||||||
|
| |||||||||||||
$ | 5,553,403 | |||||||||||||
|
|
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 these financial statements. The notional values and foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 6 in “Notes to financial statements.”
2A 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
48
Table of Contents
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 agreement.
3Notional value shown is stated in U.S. Dollars unless noted that the swap is denominated in another currency.
4Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in the amount of $617,359.
5Markit’s CDX.NA.HY Index is composed of one hundred (100) of the most liquid North American entities with high yield credit ratings that trade in the CDS market.
6Markit’s iTraxx® Europe Crossover index is composed of up to fifty (50) European entities with non-investment grade credit ratings that trade in the CDS market.
7Markit’s CDX.EM Index is composed of fourteen sovereign issuers from the following regions: Latin America, Middle East, Eastern Europe, Africa and Asia.
8An interest rate swap 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:
ABS – Asset-Backed Security
ARM – Adjustable Rate Mortgage
AUD – Australian Dollar
BAML – Bank of America Merrill Lynch
BNP – Banque Paribas
BNYM – Bank of New York Mellon
BOA – Bank of America
CAD – Canadian Dollar
CDS – Credit Default Swap
CDX.EM – Credit Default Swap Index Emerging Markets
CDX.NA.HY – Credit Default Swap Index North America High Yield
CLO – Collateralized Loan Obligation
CME – Chicago Mercantile Exchange Inc.
DB – Deutsche Bank
EUR – European Monetary Unit
GBP – British Pound Sterling
GNMA – Government National Mortgage Association
GS – Goldman Sachs
GSMPS – Goldman Sachs Reperforming Mortgage Securities
HSBC – Hong Kong Shanghai Bank
ICE – Intercontinental Exchange, Inc.
49
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Summary of abbreviations (continued):
IDR – Indonesian Rupiah
INR – Indian Rupee
IRS – Interest Rate Swap
JPMBB – JPMorgan Barclays Bank
JPMC – JPMorgan Chase Bank
JPY – Japanese Yen
KRW – South Korean Won
LB – Lehman Brothers
MASTR – Mortgage Asset Securitization Transactions, Inc.
MXN – Mexican Peso
NOK – Norwegian Krone
NZD – New Zealand Dollar
PHP – Philippine Peso
PLN – Polish Zloty
RBS – Royal Bank of Scotland
REMIC – Real Estate Mortgage Investment Conduit
SEK – Swedish Krona
S.F. – Single Family
TBA – To be announced
TD – Toronto Dominion Bank
UBS – Union Bank of Switzerland
USD – U.S. Dollar
WaMu – Washington Mutual
WF – Wells Fargo
See accompanying notes, which are an integral part of the financial statements.
50
Table of Contents
Statement of assets and liabilities | ||
Delaware Diversified Income Fund | April 30, 2016 (Unaudited) |
Assets: | ||||
Investments, at value1,2 | $5,112,446,421 | |||
Short-term investments, at value3 | 542,977,609 | |||
Short-term investments held as collateral for loaned securities, at value4 | 51,605,540 | |||
Cash | 11,824,488 | |||
Cash collateral due from brokers | 11,018,516 | |||
Foreign currencies, at value5 | 7,219,981 | |||
Receivable for securities sold | 690,944,203 | |||
Dividends and interest receivable | 33,551,467 | |||
Receivable for fund shares sold | 8,314,935 | |||
Unrealized appreciation on interest rate swap contracts | 5,213,773 | |||
Upfront payments paid on credit default swap contracts | 2,331,249 | |||
Swap payments receivable | 753,196 | |||
Variation margin due from broker on futures contracts | 663,824 | |||
Variation margin due to brokers on centrally cleared interest rate swap contracts | 339,630 | |||
Unrealized appreciation on foreign currency exchange contracts | 302,166 | |||
Variation margin due to brokers on centrally cleared credit default swap contracts | 84,285 | |||
Unrealized appreciation on credit default swap contracts | 31,580 | |||
Securities lending income receivable | 29,900 | |||
Other assets6 | 4,787,750 | |||
Total assets | 6,484,440,513 | |||
Liabilities: | ||||
Payable for securities purchased | 1,252,059,896 | |||
Obligation to return securities lending collateral | 51,605,540 | |||
Bond proceeds payable6 | 15,959,167 | |||
Payable for fund shares redeemed | 11,276,357 | |||
Income distribution payable | 3,319,519 | |||
Cash collateral due to brokers | 3,192,000 | |||
Other accrued expenses | 2,007,040 | |||
Investment management fees payable | 1,902,899 | |||
Upfront payments received on credit default swap contracts | 1,663,964 | |||
Unrealized depreciation on foreign currency exchange contracts | 1,163,201 | |||
Distribution fees payable to affiliates | 1,110,662 | |||
Swap payments payable | 279,576 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 87,208 | |||
Unrealized depreciation on credit default swap contracts | 83,928 | |||
Audit fees and tax payable | 25,317 | |||
Accounting and Administration expenses payable to affiliates | 19,987 | |||
Trustees’ fees and expenses payable | 16,124 | |||
Legal fees payable to affiliates | 12,010 | |||
Reports and statements to shareholders expenses payable to affiliates | 2,001 | |||
Other liabilities | 11,610 | |||
Total liabilities | 1,345,798,006 | |||
Total Net Assets | $5,138,642,507 |
51
Table of Contents
Statement of assets and liabilities
Delaware Diversified Income Fund
Net Assets Consist of: | ||||
Paid-in capital | $ | 5,228,939,607 | ||
Distributions in excess of net investment income | (18,262,189 | ) | ||
Accumulated net realized loss on investments | (152,928,434 | ) | ||
Net unrealized appreciation of investments | 77,401,431 | |||
Net unrealized appreciation of foreign currencies | 57,133 | |||
Net unrealized depreciation of foreign currency exchange contracts | (861,035 | ) | ||
Net unrealized depreciation of futures contracts | (1,773,452 | ) | ||
Net unrealized depreciation of options purchased | (133,253 | ) | ||
Net unrealized depreciation of swap contracts | 6,202,699 | |||
|
| |||
Total Net Assets | $ | 5,138,642,507 | ||
|
| |||
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 1,484,741,662 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 169,530,115 | |||
Net asset value per share | $ | 8.76 | ||
Sales charge | 4.50 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 9.17 | ||
Class C: | ||||
Net assets | $ | 933,888,182 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 106,643,607 | |||
Net asset value per share | $ | 8.76 | ||
Class R: | ||||
Net assets | $ | 89,222,647 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 10,192,945 | |||
Net asset value per share | $ | 8.75 | ||
Institutional Class: | ||||
Net assets | $ | 2,630,790,016 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 300,162,322 | |||
Net asset value per share | �� | $ | 8.76 | |
| ||||
1Investments, at cost | $ | 5,035,165,087 | ||
2Including securities on loan | 49,943,123 | |||
3Short-term investments, at cost | 542,979,155 | |||
4Short-term investments held as collateral for loaned securities, at cost | 51,605,540 | |||
5Foreign currencies, at cost | 7,183,115 | |||
6See Note 12 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
52
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Table of Contents
Statement of operations | ||
Delaware Diversified Income Fund | Six months ended April 30, 2016 (Unaudited) |
Investment Income: | ||||
Interest | $ | 85,666,869 | ||
Dividends | 822,658 | |||
Securities lending income | 275,834 | |||
Foreign tax withheld | (6,552 | ) | ||
|
| |||
86,758,809 | ||||
|
| |||
Expenses: | ||||
Management fees | 11,614,006 | |||
Distribution expenses – Class A | 1,928,677 | |||
Distribution expenses – Class C | 4,746,184 | |||
Distribution expenses – Class R | 235,363 | |||
Dividend disbursing and transfer agent fees and expenses | 3,349,211 | |||
Accounting and administration expenses | 842,405 | |||
Reports and statements to shareholders expenses | 231,276 | |||
Legal fees | 187,815 | |||
Custodian fees | 147,072 | |||
Trustees’ fees and expenses | 132,549 | |||
Registration fees | 124,142 | |||
Audit and tax fees | 27,649 | |||
Other | 120,017 | |||
|
| |||
23,686,366 | ||||
Less expense paid indirectly | (1,434 | ) | ||
|
| |||
Total operating expenses | 23,684,932 | |||
|
| |||
Net Investment Income | 63,073,877 | |||
|
|
54
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Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments1 | $ | (76,914,809 | ) | |
Foreign currencies | (4,655,434 | ) | ||
Foreign currency exchange contracts | (508,240 | ) | ||
Futures contracts | 3,026,619 | |||
Options purchased | (1,228,920 | ) | ||
Swap contracts | (2,448,710 | ) | ||
|
| |||
Net realized loss | (82,729,494 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments2 | 99,016,480 | |||
Foreign currencies | 217,065 | |||
Foreign currency exchange contracts | (1,299,850 | ) | ||
Futures contracts | (610,447 | ) | ||
Options purchased | (133,253 | ) | ||
Swap contracts | 6,773,769 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | 103,963,764 | |||
|
| |||
Net Realized and Unrealized Gain | 21,234,270 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 84,308,147 | ||
|
|
1Includes $7,853 capital gains taxes paid.
2Includes $11,610 capital gains taxes accrued.
See accompanying notes, which are an integral part of the financial statements.
55
Table of Contents
Statements of changes in net assets
Delaware Diversified Income Fund
Six months 4/30/16 | Year ended 10/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 63,073,877 | $ | 165,015,698 | ||||
Net realized loss | (82,729,494 | ) | (13,188,147 | ) | ||||
Net change in unrealized appreciation (depreciation) | 103,963,764 | (160,113,032 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 84,308,147 | (8,285,481 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Class A | (22,644,645 | ) | (61,612,345 | ) | ||||
Class C | (10,376,215 | ) | (27,592,570 | ) | ||||
Class R | (1,262,659 | ) | (3,399,488 | ) | ||||
Institutional Class | (40,725,716 | ) | (88,904,722 | ) | ||||
Net realized gain: | ||||||||
Class A | — | (7,212,371 | ) | |||||
Class C | — | (4,089,727 | ) | |||||
Class R | — | (409,856 | ) | |||||
Institutional Class | — | (8,547,257 | ) | |||||
Return of capital: | ||||||||
Class A | — | (3,982,476 | ) | |||||
Class C | — | (2,418,089 | ) | |||||
Class R | — | (244,352 | ) | |||||
Institutional Class | — | (6,285,187 | ) | |||||
|
|
|
| |||||
(75,009,235 | ) | (214,698,440 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 106,119,062 | 378,195,209 | ||||||
Class C | 36,388,220 | 75,847,898 | ||||||
Class R | 14,639,445 | 31,430,722 | ||||||
Institutional Class | 439,262,272 | 889,312,529 |
56
Table of Contents
Six months ended 4/30/16 | Year ended 10/31/15 | |||||||
Capital Share Transactions (continued): | ||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | $ | 22,024,952 | $ | 69,858,108 | ||||
Class C | 9,701,299 | 31,402,737 | ||||||
Class R | 1,282,031 | 4,050,199 | ||||||
Institutional Class | 39,233,838 | 98,839,952 | ||||||
|
|
|
| |||||
668,651,119 | 1,578,937,354 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Class A | (303,912,744 | ) | (765,044,640 | ) | ||||
Class C | (120,813,746 | ) | (234,458,838 | ) | ||||
Class R | (28,519,819 | ) | (46,143,068 | ) | ||||
Institutional Class | (473,946,853 | ) | (659,373,785 | ) | ||||
|
|
|
| |||||
(927,193,162 | ) | (1,705,020,331 | ) | |||||
|
|
|
| |||||
Decrease in net assets derived from capital share transactions | (258,542,043 | ) | (126,082,977 | ) | ||||
|
|
|
| |||||
Net Decrease in Net Assets | (249,243,131 | ) | (349,066,898 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 5,387,885,638 | 5,736,952,536 | ||||||
|
|
|
| |||||
End of period | $ | 5,138,642,507 | $ | 5,387,885,638 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (18,262,189 | ) | $ | (6,326,831 | ) | ||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
57
Table of Contents
Delaware Diversified Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
58
Table of Contents
Six months ended 4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ 8.740 | $ | 9.090 | $ | 8.960 | $ | 9.450 | $ | 9.330 | $ | 9.770 | ||||||||||||||
0.106 | 0.264 | 0.302 | 0.278 | 0.304 | 0.359 | |||||||||||||||||||
0.040 | (0.272 | ) | 0.171 | (0.350 | ) | 0.396 | (0.033 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
0.146 | (0.008 | ) | 0.473 | (0.072 | ) | 0.700 | 0.326 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.126) | (0.289 | ) | (0.343 | ) | (0.248 | ) | (0.346 | ) | (0.399 | ) | ||||||||||||||
— | (0.032 | ) | — | (0.089 | ) | (0.234 | ) | (0.367 | ) | |||||||||||||||
— | (0.021 | ) | — | (0.081 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.126) | (0.342 | ) | (0.343 | ) | (0.418 | ) | (0.580 | ) | (0.766 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| $ 8.760 |
| $ | 8.740 | $ | 9.090 | $ | 8.960 | $ | 9.450 | $ | 9.330 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
1.70% | (0.11% | ) | 5.25% | (0.66% | ) | 7.82% | 3.64% | |||||||||||||||||
$1,484,742 | $ | 1,658,922 | $ | 2,048,203 | $ | 3,244,801 | $ | 4,890,056 | $ | 4,370,224 | ||||||||||||||
0.90% | 0.91% | 0.90% | 0.90% | 0.90% | 0.92% | |||||||||||||||||||
0.90% | 0.91% | 0.90% | 0.95% | 0.95% | 0.97% | |||||||||||||||||||
2.47% | 2.95% | 3.34% | 3.03% | 3.26% | 3.84% | |||||||||||||||||||
2.47% | 2.95% | 3.34% | 2.98% | 3.21% | 3.79% | |||||||||||||||||||
164% | 218% | 189% | 238% | 238% | 237% | |||||||||||||||||||
|
59
Table of Contents
Financial highlights
Delaware Diversified Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover |
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
See accompanying notes, which are an integral part of the financial statements.
60
Table of Contents
Six months ended | ||||||||||||||||||||||||
4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ 8.740 | $ | 9.090 | $ | 8.960 | $ | 9.450 | $ | 9.330 | $ | 9.760 | ||||||||||||||
0.074 | 0.197 | 0.234 | 0.209 | 0.234 | 0.289 | |||||||||||||||||||
0.040 | (0.272 | ) | 0.172 | (0.349 | ) | 0.397 | (0.023 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
0.114 | (0.075 | ) | 0.406 | (0.140 | ) | 0.631 | 0.266 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.094) | (0.222 | ) | (0.276 | ) | (0.197 | ) | (0.277 | ) | (0.329 | ) | ||||||||||||||
— | (0.032 | ) | — | (0.089 | ) | (0.234 | ) | (0.367 | ) | |||||||||||||||
— | (0.021 | ) | — | (0.064 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.094) | (0.275 | ) | (0.276 | ) | (0.350 | ) | (0.511 | ) | (0.696 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ 8.760 | $ | 8.740 | $ | 9.090 | $ | 8.960 | $ | 9.450 | $ | 9.330 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
1.32% | (0.85% | ) | 4.59% | (1.51% | ) | 7.01% | 2.98% | |||||||||||||||||
$933,888 | $ | 1,007,163 | $ | 1,177,575 | $ | 1,471,553 | $ | 2,230,985 | $ | 2,012,603 | ||||||||||||||
1.65% | 1.66% | 1.65% | 1.65% | 1.65% | 1.67% | |||||||||||||||||||
1.72% | 2.20% | 2.59% | 2.28% | 2.51% | 3.09% | |||||||||||||||||||
164% | 218% | 189% | 238% | 238% | 237% | |||||||||||||||||||
|
61
Table of Contents
Financial highlights
Delaware Diversified Income Fund Class R
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the distributor. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
62
Table of Contents
Six months ended 4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ 8.730 | $ | 9.090 | $ | 8.960 | $ | 9.450 | $ | 9.330 | $ | 9.760 | ||||||||||||||
0.095 | 0.241 | 0.279 | 0.255 | 0.280 | 0.336 | |||||||||||||||||||
0.040 | (0.282 | ) | 0.171 | (0.350 | ) | 0.397 | (0.023 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
0.135 | (0.041 | ) | 0.450 | (0.095 | ) | 0.677 | 0.313 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.115) | (0.266 | ) | (0.320 | ) | (0.231 | ) | (0.323 | ) | (0.376 | ) | ||||||||||||||
— | (0.032 | ) | — | (0.089 | ) | (0.234 | ) | (0.367 | ) | |||||||||||||||
— | (0.021 | ) | — | (0.075 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.115) | (0.319 | ) | (0.320 | ) | (0.395 | ) | (0.557 | ) | (0.743 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ 8.750 | $ | 8.730 | $ | 9.090 | $ | 8.960 | $ | 9.450 | $ | 9.330 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
1.57% | (0.47% | ) | 5.11% | (1.02% | ) | 7.55% | 3.49% | |||||||||||||||||
$89,223 | $ | 101,732 | $ | 116,840 | $ | 124,586 | $ | 160,695 | $ | 146,620 | ||||||||||||||
1.15% | 1.16% | 1.15% | 1.15% | 1.15% | 1.17% | |||||||||||||||||||
1.15% | 1.16% | 1.15% | 1.24% | 1.25% | 1.27% | |||||||||||||||||||
2.22% | 2.70% | 3.09% | 2.78% | 3.01% | 3.59% | |||||||||||||||||||
2.22% | 2.70% | 3.09% | 2.69% | 2.91% | 3.49% | |||||||||||||||||||
164% | 218% | 189% | 238% | 238% | 237% | |||||||||||||||||||
|
63
Table of Contents
Financial highlights
Delaware Diversified Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover |
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
See accompanying notes, which are an integral part of the financial statements.
64
Table of Contents
Six months ended | ||||||||||||||||||||||||
4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ 8.740 | $ | 9.100 | $ | 8.970 | $ | 9.460 | $ | 9.340 | $ | 9.770 | ||||||||||||||
0.117 | 0.286 | 0.325 | 0.301 | 0.327 | 0.383 | |||||||||||||||||||
0.040 | (0.282 | ) | 0.171 | (0.350 | ) | 0.397 | (0.023 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
0.157 | 0.004 | 0.496 | (0.049 | ) | 0.724 | 0.360 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.137) | (0.311 | ) | (0.366 | ) | (0.265 | ) | (0.370 | ) | (0.423 | ) | ||||||||||||||
— | (0.032 | ) | — | (0.089 | ) | (0.234 | ) | (0.367 | ) | |||||||||||||||
— | (0.021 | ) | — | (0.087 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.137) | (0.364 | ) | (0.366 | ) | (0.441 | ) | (0.604 | ) | (0.790 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ 8.760 | $ | 8.740 | $ | 9.100 | $ | 8.970 | $ | 9.460 | $ | 9.340 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
1.83% | 0.03% | 5.63% | (0.52% | ) | 8.08% | 4.01% | ||||||||||||||||||
$2,630,790 | $ | 2,620,069 | $ | 2,394,335 | $ | 1,737,652 | $ | 2,238,906 | $ | 1,620,249 | ||||||||||||||
0.65% | 0.66% | 0.65% | 0.65% | 0.65% | 0.67% | |||||||||||||||||||
2.72% | 3.20% | 3.59% | 3.28% | 3.51% | 4.09% | |||||||||||||||||||
164% | 218% | 189% | 238% | 238% | 237% | |||||||||||||||||||
|
65
Table of Contents
Notes to financial statements | ||
Delaware Diversified Income Fund | April 30, 2016 (Unaudited) |
Delaware Group® Adviser Funds (Trust) is organized as a Delaware statutory trust and offers three series: Delaware Diversified Income Fund, Delaware Global Real Estate Opportunities Fund, and Delaware U.S. Growth Fund. These financial statements and related notes pertain to Delaware Diversified Income Fund (Fund). The Trust is an open-end investment company. The Fund is considered diversified under the Investment Company Act of 1940, as amended, and offers Class A, Class C, Class R, Class R6, and Institutional Class shares. Class A shares are sold with a maximum front-end sales charge of 4.50%. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) of 1.00% if redeemed during the first year, and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, if redeemed during the first 12 months. Class R, Class R6, and Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. Class R6 commenced operations on May 2, 2016.
The investment objective of the Fund is to seek maximum long-term total return, consistent with reasonable risk.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Fund.
Security Valuation – Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Other debt securities, credit default swap (CDS) contracts, and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Open-end investment company securities are valued at net asset value (NAV) per share, as reported by the underlying investment company. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of
66
Table of Contents
the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security.
Federal and Foreign Income Taxes – No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken for all open federal income tax years (Oct. 31, 2012–Oct. 31, 2015), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. In regard to foreign taxes only, the Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of the Fund.
Class Accounting – Investment income and common expenses are allocated to the various classes of the Fund on the basis of “settled shares” of each class in relation to the net assets of the Fund. Realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements – The Fund may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund’s custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on April 29, 2016, and matured on the next business day.
To Be Announced Trades (TBA) – The Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Fund on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery. The
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Notes to financial statements
Delaware Diversified Income Fund
1. Significant Accounting Policies (continued)
Fund received $3,192,000 cash collateral for TBA trades as of April 30, 2016, which is shown as “Cash collateral due to brokers” on the “Statement of assets and liabilities.”
Foreign Currency Transactions – Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Fund’s prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Fund generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates, is included on the “Statement of operations” under “Net realized gain (loss) on foreign currencies.” The Fund reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates – The Fund is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other – Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Withholding taxes and reclaims on foreign interest have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The Fund may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Fund declares dividends daily from net investment income and pays the dividends monthly and declares and pays dividends from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
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The Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended April 30, 2016.
The Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expense offset shown under “Less expense paid indirectly.” For the six months ended April 30, 2016, the Fund earned $1,434 under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.55% on the first $500 million of the average daily net assets of the Fund; 0.50% on the next $500 million; 0.45% on the next $1.5 billion; and 0.425% on average daily net assets in excess $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Fund. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all Funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended April 30, 2016, the Fund was charged $122,553 for these services. This amount is included on the “Statement of operations” under “Accounting and administration expenses.”
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the retail funds within the Delaware Investments Family of Funds at the following annual rate: 0.025% of the first $20 billion; 0.020% of the next $5 billion; 0.015% of the next $5 billion; and 0.013% of average daily net assets in excess of $30 billion. The fees payable to DIFSC under the service agreement described above are allocated among all retail funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended April 30, 2016, the Fund was charged $539,115 for these services. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Fund. Sub-transfer agency fees are paid by the Fund and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.”
Pursuant to a distribution agreement and distribution plan, the Fund pays DDLP, the distributor and an affiliate of DMC, an annual distribution and service fee of 0.25% of the average daily net assets of the
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Notes to financial statements
Delaware Diversified Income Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Class A shares, 1.00% of the average daily net assets of the Class C shares, and 0.50% of the average daily net assets of the Class R shares. Class R6 and Institutional Class shares pay no distribution and service fee.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended April 30, 2016, the Fund was charged $56,529 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
For the six months ended April 30, 2016, DDLP earned $31,856 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2016, DDLP received gross CDSC commissions of $1,642 and $14,461 on redemptions of the Fund’s Class A and Class C shares, respectively, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
Cross trades for the six months ended April 30, 2016 were executed by the Fund pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended April 30, 2016, the Fund engaged in securities purchased of $134,587,522, and sales of $2,884,181, which resulted in net realized losses of $(196,613).
3. Investments
For the six months ended April 30, 2016, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than U.S. government securities | $ | 4,678,125,032 | ||
Purchases of U.S. government securities | 2,391,883,106 | |||
Sales other than U.S. government securities | 4,518,676,891 | |||
Sales of U.S. government securities | 2,775,335,783 |
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At April 30, 2016, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2016, the cost and unrealized appreciation (depreciation) of investments were as follows:
Cost of investments | $ | 5,654,769,065 | ||
|
| |||
Aggregate unrealized appreciation of investments | $ | 108,013,704 | ||
Aggregate unrealized depreciation investments | (55,753,199 | ) | ||
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| |||
Net unrealized appreciation investments | $ | 52,260,505 | ||
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|
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Losses incurred that will be carried forward under the Act as of Oct. 31, 2015 were as follows:
Loss carryforward character
| ||
Short-term | Long-term | |
$5,177,814 | $20,968,403 |
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts) | ||
Level 2 | – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) |
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Notes to financial statements
Delaware Diversified Income Fund
3. Investments (continued)
Level 3 | – | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of April 30, 2016:
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Agency, Asset- & Mortgage-Backed Securities1 | $ | — | $ | 2,146,622,310 | $ | 1,479,882 | $ | 2,148,102,192 | ||||||||
Corporate Debt | — | 2,096,793,714 | — | 2,096,793,714 | ||||||||||||
Municipal Bonds | — | 31,126,340 | — | 31,126,340 | ||||||||||||
Foreign Debt | — | 228,496,328 | — | 228,496,328 | ||||||||||||
Senior Secured Loans1 | — | 360,376,915 | 10,313,600 | 370,690,515 | ||||||||||||
U.S. Treasury Obligations | — | 189,100,575 | — | 189,100,575 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Convertible Preferred Stock1 | 11,087,796 | 1,805,349 | — | 12,893,145 | ||||||||||||
Preferred Stock | — | 35,089,299 | — | 35,089,299 | ||||||||||||
Options Purchased | 154,313 | — | — | 154,313 | ||||||||||||
Short-Term Investments | — | 542,977,609 | — | 542,977,609 | ||||||||||||
Securities Lending Collateral | — | 51,605,540 | — | 51,605,540 | ||||||||||||
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| |||||||||
Total Value of Securities | $ | 11,242,109 | $ | 5,683,993,979 | $ | 11,793,482 | $ | 5,707,029,570 | ||||||||
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| |||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (861,035 | ) | $ | — | $ | (861,035 | ) | ||||||
Futures Contracts | (1,773,452 | ) | — | — | (1,773,452 | ) | ||||||||||
Swap Contracts | — | 5,585,340 | — | 5,585,340 |
Securities valued at zero on the “Schedule of investments” are considered to be Level 3 investments in this table.
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable input or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts
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attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total value of these security types:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Agency, Asset- & Mortgage-Backed Securities | — | 99.93 | % | 0.07 | % | 100.00 | % | |||||||||
Senior Secured Loans | — | 97.22 | % | 2.78 | % | 100.00 | % | |||||||||
Convertible Preferred Stock | 86.00 | % | 14.00 | % | — | 100.00 | % |
During the six months ended April 30, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to the Fund’s net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Fund’s net assets at the end of the period.
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended | Year ended | |||||||||
4/30/16 | 10/31/15 | |||||||||
Shares sold: | ||||||||||
Class A | 12,271,139 | 42,153,447 | ||||||||
Class C | 4,210,118 | 8,453,164 | ||||||||
Class R | 1,694,664 | 3,513,077 | ||||||||
Institutional Class | 50,802,920 | 99,228,015 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Class A | 2,550,434 | 7,808,687 | ||||||||
Class C | 1,123,326 | 3,511,247 | ||||||||
Class R | 148,482 | 452,999 | ||||||||
Institutional Class | 4,538,399 | 11,049,343 | ||||||||
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| |||||||
77,339,482 | 176,169,979 | |||||||||
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| |||||||
Shares redeemed: | ||||||||||
Class A | (35,170,879 | ) | (85,391,214 | ) | ||||||
Class C | (13,981,245 | ) | (26,221,918 | ) | ||||||
Class R | (3,300,619 | ) | (5,174,904 | ) | ||||||
Institutional Class | (54,848,797 | ) | (73,793,622 | ) | ||||||
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| |||||||
(107,301,540 | ) | (190,581,658 | ) | |||||||
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| |||||||
Net decrease | (29,962,058 | ) | (14,411,679 | ) | ||||||
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Notes to financial statements
Delaware Diversified Income Fund
4. Capital Shares (continued)
Certain shareholders may exchange shares of one class for another class shares in the Fund. For the six months ended April 30, 2016 and the year ended Oct. 31, 2015, the Fund had the following exchange transactions. These exchange transactions are included as subscriptions and redemptions in the table on the previous page and the “Statements of changes in net assets.”
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||
Class A | Class C | Class A |
Institutional | |||||||||||||||||
Shares | Shares | Shares | Shares | Value | ||||||||||||||||
Six months ended 4/30/16 | 16,628 | 49,369 | — | 65,979 | $ | 572,302 | ||||||||||||||
Year ended 10/31/15 | 277,471 | 35,516 | 14,144 | 299,218 | 2,826,278 |
5. Line of Credit
The Fund, along with certain other funds in the Delaware Investments® Family of Funds (Participants), was a participant in a $275,000,000 revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the agreement, the Participants were charged an annual commitment fee of 0.08%, which was allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants were permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 9, 2015.
On Nov. 9, 2015, the Fund, along with the other Participants, entered into an amendment to the agreement for a $155,000,000 revolving line of credit. Under the amendment to the agreement, the Participants are charged an annual commitment fee of 0.10%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The line of credit is to be used as described above and operates in substantially the same manner as the original agreement. The line of credit available under the agreement expires on Nov. 7, 2016.
The Fund had no amounts outstanding as of April 30, 2016, or at any time during the six months then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — The Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Fund may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Fund may also use these contracts to hedge the U.S. dollar value of
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securities it already owns that are denominated in foreign currencies. In addition, the Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the six months ended April 30, 2016, the Fund entered into foreign currency exchange contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Fund may use futures contracts in the normal course of pursuing its investment objective. The Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. At April 30, 2016, the Fund posted securities, comprised of U.S. treasury obligations with a value of $5,456,890 as margin for open futures contracts, which is presented on the “Schedule of investments.”
During the six months ended April 30, 2016, the Fund used futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
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Notes to financial statements
Delaware Diversified Income Fund
6. Derivatives (continued)
Options Contracts — During the six months ended April 30, 2016, the Fund entered into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. There were no transactions in options written during the six months ended April 30, 2016.
During the six months ended April 30, 2016, the Fund used purchased option contracts to manage the Fund’s exposure to changes in security prices caused by interest rates or market conditions.
Swap Contracts — The Fund may enter into interest rate swap contracts and CDS contracts in the normal course of pursuing its investment objective. The Fund may invest in interest rate swaps to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at least BBB- by Standard & Poor’s Financial Services LLC. (S&P) or Baa3 by Moody’s Investors Service Inc.
(Moody’s) or is determined to be of equivalent credit quality by DMC.
Interest Rate Swaps. An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by the Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments 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 or losses on swap contracts. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be
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received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended April 30, 2016, the Fund entered into interest rate swap contracts to manage the Fund’s sensitivity to interest rate or to hedge against changes in interest rates.
Credit Default Swaps. 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). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended April 30, 2016, the Fund entered into CDS contracts as a purchaser of protection. 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 agreement. Initial margin and variation margin is posted to central counterparties for central cleared CDS basket trades, as determined by the applicable central counterparty. During the six months ended April 30, 2016, the Fund did not enter into any CDS contracts as a seller of protection.
CDS contracts may involve greater risks than if the Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Fund’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty, and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended April 30, 2016, the Fund used CDS contracts to hedge against credit events.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event the Fund terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument, or
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Notes to financial statements
Delaware Diversified Income Fund
6. Derivatives (continued)
basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedule of investments.”
At April 30, 2016, The Fund posted $10,148,516 in cash collateral for certain open centrally cleared swap contracts and $870,000 in cash collateral for certain open bilateral derivative contracts, which is presented as “Cash collateral due from brokers” on the “Statement of assets and liabilities.” At April 30, 2016, the Fund received $2,290,000 in securities collateral for certain open derivatives.
Fair values of derivative instruments as of April 30, 2016 were as follows:
Asset Derivatives Fair Value | ||||||||||||||||
Statements of Assets and Liabilities Location | Currency |
Interest Rate | Credit | |||||||||||||
Contracts | Contracts | Contracts | Total | |||||||||||||
Unrealized appreciation on foreign currency exchange contracts | $ | 302,166 | $ | — | $ | — | $ | 302,166 | ||||||||
Variation margin due from broker on futures contracts* | — | 142,736 | — | 142,736 | ||||||||||||
Unrealized appreciation on credit default swap contracts | — | — | 97,476 | 97,476 | ||||||||||||
Unrealized appreciation on interest rate swap contracts | — | 5,553,403 | — | 5,553,403 | ||||||||||||
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| |||||||||
Total | $ | 302,166 | $ | 5,696,139 | $ | 97,476 | $ | 6,095,781 | ||||||||
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Liability Derivatives Fair Value | ||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency | Equity |
Interest Rate | Credit | ||||||||||||||||
Contracts | Contracts | Contracts | Contracts | Total | ||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | $ | 1,163,201 | $ | — | $ | — | $ | — | $ | 1,163,201 | ||||||||||
Variation margin due from broker on futures contracts* | — | 698,923 | 1,217,265 | — | 1,916,188 | |||||||||||||||
Unrealized depreciation on credit default swap contracts | — | — | — | 65,539 | 65,539 | |||||||||||||||
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| |||||||||||
Total | $ | 1,163,201 | $ | 698,923 | $ | 1,217,265 | $ | 65,539 | $ | 3,144,928 | ||||||||||
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*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through April 30, 2016. Only current day variation margin is reported on the “Statement of assets and liabilities.”
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The effect of derivative instruments on the “Statement of operations” for the six months ended April 30, 2016 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Foreign Currency Exchange | Futures | Options | Swap | |||||||||||||||||
Contracts | Contracts | Purchased | Contracts | Total | ||||||||||||||||
Currency contracts | $ | (508,240 | ) | $ | — | $ | — | $ | — | $ | (508,240 | ) | ||||||||
Interest rate contracts | — | 5,979,822 | (1,228,920 | ) | (168,588 | ) | 4,582,314 | |||||||||||||
Equity contracts | — | (2,953,203 | ) | — | — | (2,953,203 | ) | |||||||||||||
Credit contracts | — | — | — | (2,280,122 | ) | (2,280,122 | ) | |||||||||||||
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| |||||||||||
Total | $ | (508,240 | ) | $ | 3,026,619 | $ | (1,228,920 | ) | $ | (2,448,710 | ) | $ | (1,159,251 | ) | ||||||
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Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Foreign Currency Exchange | Futures | Options | Swap | |||||||||||||||||
Contracts | Contracts | Purchased | Contracts | Total | ||||||||||||||||
Currency contracts | $ | (1,299,850 | ) | $ | — | $ | — | $ | — | $ | (1,299,850 | ) | ||||||||
Interest rate contracts | — | (5,390,462 | ) | (133,253 | ) | 6,271,054 | 747,339 | |||||||||||||
Equity contracts | — | 4,780,015 | — | — | 4,780,015 | |||||||||||||||
Credit contracts | — | — | — | 502,715 | 502,715 | |||||||||||||||
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| |||||||||||
Total | $ | (1,299,850 | ) | $ | (610,447 | ) | $ | (133,253 | ) | $ | 6,773,769 | $ | 4,730,219 | |||||||
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Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Fund during the six months ended April 30, 2016.
Long Derivative | Short Derivative | |||||||||||||
Volume | Volume | |||||||||||||
Foreign currency exchange contracts (average cost) | USD | 78,898,520 | USD | 123,749,905 | ||||||||||
Futures contracts (average notional value) | 276,960,833 | 184,250,477 | ||||||||||||
Options contracts (average notional value) | 14,807 | — | ||||||||||||
CDS contracts (average notional value)* | EUR | 16,943,226 | — | |||||||||||
CDS contracts (average notional value)* | USD | 101,598,509 | — | |||||||||||
Interest rate swap contracts (average notional value)** | 67,077,903 | — |
*Long represents buying protection and short represents selling protection.
**Long represents receiving fixed interest payments and short represents paying fixed interest payments.
7. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expanded disclosure requirements on the offsetting of certain assets and liabilities. The disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the “Statement of assets and liabilities” and require an entity to disclose both
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Notes to financial statements
Delaware Diversified Income Fund
7. Offsetting (continued)
gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarified which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At April 30, 2016, the Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of | Gross Value of | Net Position | ||||||||||||
Bank of America Merrill Lynch | $ | 58,570 | $ | (960,437 | ) | $ | (901,867 | ) | |||||||
BNP Paribas | 15,061 | (41,755 | ) | (41,755 | ) | ||||||||||
BNY Mellon | 30 | — | 30 | ||||||||||||
Hong Kong Shanghai Bank | — | (137,556 | ) | (137,556 | ) | ||||||||||
JPMorgan Chase Bank | 84,582 | (23,453 | ) | 61,129 | |||||||||||
Toronto Dominion Bank | 166,541 | — | 166,541 | ||||||||||||
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|
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| ||||||||||
Total | $ | 324,784 | $ | (1,163,201 | ) | $ | (838,417 | ) | |||||||
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Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities (continued)
Fair Value of Non-Cash | Cash Collateral | Fair Value of Non-Cash | Cash Collateral | |||||||||||||||||||||||||||
Counterparty | Net Position | Collateral Received | Received | Collateral Pledged | Pledged | Net Exposure(a) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (901,867 | ) | $ | — | $ | — | $ | — | $ | 560,000 | $ | (341,867 | ) | ||||||||||||||||
BNP Paribas | (26,694 | ) | — | — | — | 26,694 | — | |||||||||||||||||||||||
BNY Mellon | 30 | — | — | — | — | 30 | ||||||||||||||||||||||||
Hong Kong Shanghai Bank | (137,556 | ) | — | — | — | 120,000 | (17,556 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank | 61,129 | (61,129 | ) | — | — | — | — | |||||||||||||||||||||||
Toronto Dominion Bank | 166,541 | (40,000 | ) | — | — | — | 126,541 | |||||||||||||||||||||||
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|
|
|
|
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|
|
|
|
|
| |||||||||||||||||||
Total | $ | (838,417 | ) | $ | (101,129 | ) | $ | — | $ | — | $ | 706,694 | $ | (232,852 | ) | |||||||||||||||
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Master Repurchase Agreements
Repurchase | Fair Value of Non-Cash | Cash Collateral | Net Collateral | Net | |||||||||||||||||||||
Counterparty | Agreements | Collateral Received | Received | Received | Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 25,234,736 | $ | (25,234,736 | ) | $ | — | $ | (25,234,736 | ) | $ | — | |||||||||||||
Bank of Montreal | 42,057,893 | (42,057,893 | ) | — | (42,057,893 | ) | — | ||||||||||||||||||
BNP Paribas | 39,708,371 | (39,708,371 | ) | — | (39,708,371 | ) | — | ||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 107,001,000 | $ | (107,001,000 | ) | $ | — | $ | (107,001,000 | ) | $ | — | |||||||||||||
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Security Lending
Securities Loaned | Cash Collateral | Fair Value of Non-Cash | Net | |||||||||||||||||
Counterparty | at Value | Received | Collateral Received | Exposure(a) | ||||||||||||||||
The Bank of New York Mellon | $ | 49,943,123 | $ | (51,605,540 | ) | $ | — | $ | (1,662,417 | ) |
(a)Net exposure represents the receivable/(payable) that would be due from/(to) the counterparty in the event of default.
8. Securities Lending
The Fund, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the
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Notes to financial statements
Delaware Diversified Income Fund
8. Securities Lending (continued)
collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan.
Prior to Dec. 29, 2015, cash collateral received was generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust), a pooled account established by BNY Mellon for the use of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust sought to maintain a NAV per unit of $1.00. Under the previous investment guidelines, the Collective Trust was permitted to invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust would generally have a dollar-weighted average portfolio maturity of 60 days or less.
On Dec. 29, 2015, the assets in the Collective Trust were transferred to a series of individual separate accounts, each corresponding to a Fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by U.S. Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations, commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; and asset-backed securities.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. The Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent, and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Fund’s cash collateral account may be less than the amount the Fund
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would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
Investments purchased with cash collateral are presented on the “Schedule of investments” under the caption “Securities Lending Collateral.”
9. Credit and Market Risk
The Fund invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages or consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
The Fund invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by S&P and Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Some countries in which the Fund may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited. In addition, a significant portion of the aggregate market value
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Notes to financial statements
Delaware Diversified Income Fund
9. Credit and Market Risk (continued)
of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Fund.
The Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments.
As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
The Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Fund’s Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Fund’s 15% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the “Schedule of investments.” When monitoring compliance with the Fund’s illiquid limit, certain holdings that are common to multiple clients of the investment manager may be aggregated and considered illiquid in the aggregate solely for monitoring purposes. For purposes of determining illiquidity for financial reporting purposes, only the holdings of this Fund will be considered.
10. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the
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Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In May 2015, the FASB issued Accounting Standards Update (ASU) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share.” The amendments in this update are effective for the Fund for fiscal years beginning after Dec. 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at NAV per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management is evaluating the impact, if any, of this guidance on the Fund’s financial statement disclosures.
12. General Motors Term Loan Litigation
The Fund received notice of a litigation proceeding related to a General Motors Corporation (G.M.) term loan participation previously held by the Fund in 2009. We believe the matter subject to the litigation notice will likely lead to a recovery from the Fund of certain amounts received by the Fund because a U.S. Court of Appeals has ruled that the Fund and similarly situated investors were unsecured creditors rather than secured lenders of G.M. as a result of an erroneous Uniform Commercial Code filing made by a third party. The Fund received the full principal on the loans in 2009 after the G.M. bankruptcy. However, based upon the court ruling the estate is seeking to recover such amounts arguing that, as unsecured creditors, the Fund should not have received payment in full. Based upon currently available information related to the litigation and the Fund’s potential exposure, the Fund recorded a liability of $15,959,167 and an asset of $4,787,750 based on the expected recoveries to unsecured creditors as of April 30, 2016 that resulted in a decrease in the Fund’s NAV to reflect this likely recovery.
13. Subsequent Events
The Fund commenced operations of the Class R6 share class on May 2, 2016.
Management has determined that no other material events or transactions occurred subsequent to April 30, 2016 that would require recognition or disclosure in the Fund’s financial statements.
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Board of trustees | ||||||
Shawn K. Lytle President and Chief Executive Officer Delaware Investments® Family of Funds Philadelphia, PA
Thomas L. Bennett Chairman of the Board Delaware Investments Family of Funds Private Investor Rosemont, PA |
Ann D. Borowiec Former Chief Executive Officer Private Wealth Management J.P. Morgan Chase & Co. New York, NY
Joseph W. Chow Former Executive Vice President State Street Corporation Boston, MA |
John A. Fry President Drexel University Philadelphia, PA
Lucinda S. Landreth Former Chief Investment Officer Assurant, Inc. New York, NY |
Frances A. Sevilla-Sacasa Chief Executive Officer Banco Itaú International Miami, FL
Thomas K. Whitford Former Vice Chairman PNC Financial Services Group Pittsburgh, PA
Janet L. Yeomans Former Vice President and Treasurer 3M Corporation St. Paul, MN | |||
Affiliated officers | ||||||
David F. Connor Senior Vice President, General Counsel, and Secretary Delaware Investments Family of Funds Philadelphia, PA | Daniel V. Geatens Vice President and Treasurer Delaware Investments Family of Funds Philadelphia, PA | Richard Salus Senior Vice President and Chief Financial Officer Delaware Investments Family of Funds Philadelphia, PA |
This semiannual report is for the information of Delaware Diversified Income Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Investments Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawareinvestments.com/literature.
Delaware Investments is the marketing name of Delaware Management Holdings, Inc. and its subsidiaries.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Fund’s most recent Form N-Q are available without charge on the Fund’s website at delawareinvestments.com/literature. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at delawareinvestments.com/proxy; and (ii) on the SEC’s website at sec.gov.
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Semiannual report
U.S. equity mutual fund
Delaware U.S. Growth Fund
April 30, 2016
Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and its summary prospectus, which may be obtained by visiting delawareinvestments.com/literature or calling 800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail.
Visit delawareinvestments.com/edelivery.
Table of Contents
Experience Delaware Investments
Delaware Investments is committed to the pursuit of consistently superior asset management and unparalleled client service. We believe in our investment processes, which seek to deliver consistent results, and in convenient services that help add value for our clients.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Investments or obtain a prospectus for Delaware U.S. Growth Fund at delawareinvestments.com/literature.
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● | Make purchases and redemptions |
Delaware Management Holdings, Inc. and its subsidiaries (collectively known by the marketing name of Delaware Investments) are wholly owned subsidiaries of Macquarie Group Limited, a global provider of banking, financial, advisory, investment, and funds management services.
Neither Delaware Investments nor its affiliates noted in this document are authorized deposit-taking institutions for the purpose of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of Macquarie Bank Limited (MBL). MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
1 | ||||
Security type / sector allocation and top 10 equity holdings | 3 | |||
5 | ||||
7 | ||||
9 | ||||
10 | ||||
12 | ||||
20 | ||||
31 |
Unless otherwise noted, views expressed herein are current as of April 30, 2016, and subject to change for events occurring after such date.
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Fund’s distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
© 2016 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
For the six-month period from November 1, 2015 to April 30, 2016 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Nov. 1, 2015 to April 30, 2016.
Actual expenses
The first section of the table shown, “Actual Fund return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The expenses shown in the table assume reinvestment of all dividends and distributions.
1
Table of Contents
Disclosure of Fund expenses
For the six-month period from November 1, 2015 to April 30, 2016 (Unaudited)
Delaware U.S. Growth Fund
Expense analysis of an investment of $1,000
Beginning
Account Value
11/1/15 | Ending
Account Value
4/30/16 | Annualized
Expense Ratio | Expenses
Paid During Period
11/1/15 to 4/30/16* | |||||
Actual Fund return† | ||||||||
Class A | $1,000.00 | $922.00 | 1.05% | $5.02 | ||||
Class C | 1,000.00 | 918.10 | 1.80% | 8.58 | ||||
Class R | 1,000.00 | 920.80 | 1.30% | 6.21 | ||||
Institutional Class | 1,000.00 | 922.90 | 0.80% | 3.82 | ||||
Hypothetical 5% return (5% return before expenses) | ||||||||
Class A | $1,000.00 | $1,019.64 | 1.05% | $5.27 | ||||
Class C | 1,000.00 | 1,015.91 | 1.80% | 9.02 | ||||
Class R | 1,000.00 | 1,018.40 | 1.30% | 6.52 | ||||
Institutional Class | 1,000.00 | 1,020.89 | 0.80% | 4.02 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
2
Table of Contents
Security type / sector allocation
and top 10 equity holdings
Delaware U.S. Growth Fund | As of April 30, 2016 (Unaudited) |
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager’s internal sector classifications.
Security type / sector | Percentage of net assets | |
Common Stock² | 98.75% | |
Consumer Discretionary | 20.61% | |
Consumer Staples | 4.47% | |
Financial Services | 26.62% | |
Healthcare | 20.92% | |
Technology | 26.13% | |
Short-Term Investments | 1.41% | |
Total Value of Securities | 100.16% | |
Liabilities Net of Receivables and Other Assets | (0.16%) | |
Total Net Assets | 100.00% |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
To monitor compliance with the Fund’s concentration guidelines as described in the Fund’s prospectus and statement of additional information, the Financial Services and Technology sectors (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940). The Financial Services sector consisted of commercial services, diversified financial services, and real estate investment trusts. As of April 30, 2016 such amounts, as a percentage of total net assets, were 4.98%, 13.73%, and 7.91%, respectively. The Technology sector consisted of Internet, semiconductors, and software. As of April 30, 2016 such amounts, as a percentage of total net assets, were 10.76%, 4.87%, and 10.50%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the “Financial Services sector and Technology sector” for financial reporting purposes may exceed 25%.
3
Table of Contents
Security type / sector allocation and top 10 equity holdings | ||
Delaware U.S. Growth Fund |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | ||||
Visa Class A | 5.86% | ||||
Celgene | 5.29% | ||||
PayPal Holdings | 4.98% | ||||
QUALCOMM | 4.87% | ||||
Crown Castle International | 4.67% | ||||
Liberty Interactive QVC Group Class A | 4.61% | ||||
MasterCard Class A | 4.53% | ||||
Allergan | 4.50% | ||||
Walgreens Boots Alliance | 4.47% | ||||
Microsoft | 4.45%
|
4
Table of Contents
Schedule of investments | ||
Delaware U.S. Growth Fund | April 30, 2016 (Unaudited) |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 98.75%² | ||||||||
| ||||||||
Consumer Discretionary – 20.61% | ||||||||
Discovery Communications Class A † | 928,239 | $ | 25,350,207 | |||||
Discovery Communications Class C † | 1,673,172 | 44,807,546 | ||||||
eBay † | 4,309,523 | 105,281,647 | ||||||
L Brands | 1,124,218 | 88,015,027 | ||||||
Liberty Global Class A † | 609,067 | 22,980,098 | ||||||
Liberty Global Class C † | 1,870,201 | 68,449,357 | ||||||
Liberty Interactive QVC Group Class A † | 5,862,117 | 153,587,465 | ||||||
Nielsen Holdings | 1,675,709 | 87,371,467 | ||||||
TripAdvisor † | 1,412,168 | 91,211,931 | ||||||
|
| |||||||
687,054,745 | ||||||||
|
| |||||||
Consumer Staples – 4.47% | ||||||||
Walgreens Boots Alliance | 1,878,392 | 148,918,918 | ||||||
|
| |||||||
148,918,918 | ||||||||
|
| |||||||
Financial Services – 26.62% | ||||||||
Crown Castle International | 1,792,563 | 155,737,874 | ||||||
Equinix | 326,566 | 107,881,078 | ||||||
Intercontinental Exchange | 462,868 | 111,102,206 | ||||||
MasterCard Class A | 1,557,310 | 151,043,497 | ||||||
PayPal Holdings † | 4,237,003 | 166,005,778 | ||||||
Visa Class A | 2,529,351 | 195,367,071 | ||||||
|
| |||||||
887,137,504 | ||||||||
|
| |||||||
Healthcare – 20.92% | ||||||||
Allergan † | 692,197 | 149,902,182 | ||||||
Biogen † | 487,606 | 134,086,774 | ||||||
Celgene † | 1,705,161 | 176,330,699 | ||||||
DENTSPLY SIRONA | 1,319,626 | 78,649,710 | ||||||
Novo Nordisk ADR | 2,144,446 | 119,638,642 | ||||||
Valeant Pharmaceuticals International † | 1,164,028 | 38,831,974 | ||||||
|
| |||||||
697,439,981 | ||||||||
|
| |||||||
Technology – 26.13% | ||||||||
Alphabet Class A † | 175,477 | 124,216,659 | ||||||
Alphabet Class C † | 141,241 | 97,881,425 | ||||||
Electronic Arts † | 2,099,606 | 129,860,631 | ||||||
Facebook Class A † | 1,161,670 | 136,589,159 | ||||||
Intuit | 714,452 | 72,081,062 | ||||||
Microsoft | 2,971,744 | 148,200,873 | ||||||
QUALCOMM | 3,212,210 | 162,280,849 | ||||||
|
| |||||||
871,110,658 | ||||||||
|
| |||||||
Total Common Stock (cost $2,899,479,979) | 3,291,661,806 | |||||||
|
|
5
Table of Contents
Schedule of investments
Delaware U.S. Growth Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments – 1.41% | ||||||||
| ||||||||
Discount Notes – 1.32%≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.168% 5/2/16 | 8,529,245 | $ | 8,529,246 | |||||
0.304% 5/20/16 | 4,446,168 | 4,445,634 | ||||||
0.322% 5/19/16 | 710,479 | 710,399 | ||||||
0.336% 7/22/16 | 1,400,802 | 1,399,824 | ||||||
0.344% 5/18/16 | 16,429,684 | 16,427,926 | ||||||
0.373% 5/27/16 | 1,673,107 | 1,672,828 | ||||||
0.375% 6/8/16 | 6,264,566 | 6,262,793 | ||||||
0.375% 7/18/16 | 2,676,062 | 2,674,287 | ||||||
0.525% 8/15/16 | 1,889,458 | 1,887,639 | ||||||
|
| |||||||
44,010,576 | ||||||||
|
| |||||||
Repurchase Agreements – 0.09% | ||||||||
Bank of America Merrill Lynch | ||||||||
0.24%, dated 4/29/16, to be repurchased on 5/2/16, | ||||||||
repurchase price $722,853 (collateralized by U.S. | ||||||||
government obligations 2.00%–2.50% | ||||||||
2/15/22–11/15/24; market value $737,296) | 722,839 | 722,839 | ||||||
Bank of Montreal | ||||||||
0.27%, dated 4/29/16, to be repurchased on 5/2/16, | ||||||||
repurchase price $1,204,758 (collateralized by U.S. | ||||||||
government obligations 0.00%–8.75% | ||||||||
10/13/16–2/15/46; market value $1,228,826) | 1,204,731 | 1,204,731 | ||||||
BNP Paribas | ||||||||
0.28%, dated 4/29/16, to be repurchased on 5/2/16, | ||||||||
repurchase price $1,137,457 (collateralized by U.S. | ||||||||
government obligations 0.00%–4.75% | ||||||||
5/31/17–2/15/45; market value $1,160,179) | 1,137,430 | 1,137,430 | ||||||
|
| |||||||
3,065,000 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $47,071,541) | 47,075,576 | |||||||
|
| |||||||
Total Value of Securities – 100.16% | $ | 3,338,737,382 | ||||||
|
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
6
Table of Contents
Statement of assets and liabilities | ||
Delaware U.S. Growth Fund | April 30, 2016 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 3,291,661,806 | ||
Short-term investments, at value2 | 47,075,576 | |||
Receivable for fund shares sold | 5,384,550 | |||
Receivable for securities sold | 4,185,540 | |||
Dividends and interest receivable | 858,056 | |||
|
| |||
Total assets | 3,349,165,528 | |||
|
| |||
Liabilities: | ||||
Cash overdraft | 8,738,289 | |||
Payable for fund shares redeemed | 3,708,828 | |||
Other accrued expenses | 1,628,997 | |||
Investment management fees payable | 1,558,934 | |||
Distribution fees payable | 145,978 | |||
Trustees’ fees and expenses payable | 10,869 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 57,763 | |||
Audit and tax fees payable | 17,294 | |||
Accounting and administration expenses payable to affiliates | 13,238 | |||
Legal fees payable to affiliates | 10,733 | |||
Reports and statements to shareholders expenses payable to affiliates | 1,297 | |||
|
| |||
Total liabilities | 15,892,220 | |||
|
| |||
Total Net Assets | $ | 3,333,273,308 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 2,912,572,043 | ||
Undistributed net investment income | 753,921 | |||
Accumulated net realized gain on investments | 27,761,482 | |||
Net unrealized appreciation of investments | 392,185,862 | |||
|
| |||
Total Net Assets | $ | 3,333,273,308 | ||
|
|
7
Table of Contents
Statement of assets and liabilities
Delaware U.S. Growth Fund
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 265,461,037 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 12,090,964 | |||
Net asset value per share | $ | 21.96 | ||
Sales charge | 5.75 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 23.30 | ||
Class C: | ||||
Net assets | $ | 93,333,490 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,724,810 | |||
Net asset value per share | $ | 19.75 | ||
Class R: | ||||
Net assets | $ | 25,637,486 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 1,204,373 | |||
Net asset value per share | $ | 21.29 | ||
Institutional Class: | ||||
Net assets | $ | 2,948,841,295 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 125,366,228 | |||
Net asset value per share | $ | 23.52 | ||
1Investments, at cost | $ | 2,899,479,979 | ||
2Short-term investments, at cost | 47,071,541 |
See accompanying notes, which are an integral part of the financial statements.
8
Table of Contents
Statement of operations | ||
Delaware U.S. Growth Fund | Six months ended April 30, 2016 (Unaudited) |
Investment Income: | ||||
Dividends | $ | 17,644,344 | ||
Interest | 70,122 | |||
Foreign tax withheld | (308,202 | ) | ||
|
| |||
17,406,264 | ||||
|
| |||
Expenses: | ||||
Management fees | 9,683,587 | |||
Distribution expenses — Class A | 376,977 | |||
Distribution expenses — Class C | 499,667 | |||
Distribution expenses — Class R | 66,040 | |||
Dividend disbursing and transfer agent fees and expenses | 3,106,317 | |||
Accounting and administration expenses | 569,059 | |||
Reports and statements to shareholders expenses | 150,447 | |||
Legal fees | 104,066 | |||
Custodian fees | 93,554 | |||
Registration fees | 92,892 | |||
Trustees’ fees and expenses | 90,883 | |||
Audit and tax fees | 17,301 | |||
Other | 47,509 | |||
|
| |||
14,898,299 | ||||
Less expense paid indirectly | (960 | ) | ||
|
| |||
Total operating expenses | 14,897,339 | |||
|
| |||
Net Investment Income | 2,508,925 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments | 32,851,283 | |||
Net change in unrealized appreciation (depreciation) of investments | (319,771,012 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (286,919,729 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (284,410,804 | ) | |
|
|
See accompanying notes, which are an integral part of the financial statements.
9
Table of Contents
Statements of changes in net assets
Delaware U.S. Growth Fund
Six months ended 4/30/16 (Unaudited) | Year ended 10/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 2,508,925 | $ | 16,762,938 | ||||
Net realized gain | 32,851,283 | 385,272,499 | ||||||
Net change in unrealized appreciation (depreciation) | (319,771,012 | ) | (132,482,356 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (284,410,804 | ) | 269,553,081 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Class A | (921,459 | ) | (812,023 | ) | ||||
Class R | (13,766 | ) | — | |||||
Institutional Class | (16,120,751 | ) | (12,926,364 | ) | ||||
Net realized gain: | ||||||||
Class A | (35,791,398 | ) | (9,901,170 | ) | ||||
Class C | (12,944,785 | ) | (2,699,044 | ) | ||||
Class R | (3,126,010 | ) | (642,640 | ) | ||||
Institutional Class | (335,129,981 | ) | (76,134,095 | ) | ||||
|
|
|
| |||||
(404,048,150 | ) | (103,115,336 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 44,464,439 | 170,052,277 | ||||||
Class C | 8,853,903 | 28,835,704 | ||||||
Class R | 4,237,067 | 13,207,911 | ||||||
Institutional Class | 401,201,834 | 795,722,253 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 35,873,416 | 10,441,837 | ||||||
Class C | 12,574,496 | 2,632,615 | ||||||
Class R | 3,135,456 | 641,565 | ||||||
Institutional Class | 344,353,506 | 87,416,483 | ||||||
|
|
|
| |||||
854,694,117 | 1,108,950,645 | |||||||
|
|
|
|
10
Table of Contents
Six months ended 4/30/16 (Unaudited) | Year ended 10/31/15 | |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (164,899,221 | ) | $ | (135,661,875 | ) | ||
Class C | (13,293,464 | ) | (18,418,934 | ) | ||||
Class R | (4,353,458 | ) | (14,220,426 | ) | ||||
Institutional Class | (451,930,171 | ) | (757,556,432 | ) | ||||
|
|
|
| |||||
(634,476,314 | ) | (925,857,667 | ) | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions | 220,217,803 | 183,092,978 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (468,241,151 | ) | 349,530,723 | |||||
Net Assets: | ||||||||
Beginning of period | 3,801,514,459 | 3,451,983,736 | ||||||
�� |
|
|
|
| ||||
End of period | $ | 3,333,273,308 | $ | 3,801,514,459 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 753,921 | $ | 15,300,972 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
11
Table of Contents
Delaware U.S. Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income (loss)2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived |
Portfolio turnover
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
12
Table of Contents
Six months ended | ||||||||||||||||||||||||
4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ 26.840 | $ | 25.660 | $ | 21.970 | $ | 17.310 | $ | 14.960 | $ | 13.450 | ||||||||||||||
(0.006) | 0.069 | 0.062 | (0.012 | ) | (0.031 | ) | 0.006 | |||||||||||||||||
(1.846) | 1.863 | 3.628 | 4.672 | 2.381 | 1.504 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(1.852) | 1.932 | 3.690 | 4.660 | 2.350 | 1.510 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.076) | (0.057 | ) | — | — | — | — | ||||||||||||||||||
(2.952) | (0.695 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(3.028) | (0.752 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
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|
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|
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| |||||||||||||||
$ 21.960 | $ | 26.840 | $ | 25.660 | $ | 21.970 | $ | 17.310 | $ | 14.960 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(7.80%) | 7.63% | 16.80% | 26.92% | 15.71% | 11.23% | |||||||||||||||||||
$265,461 | $ | 412,893 | $ | 351,388 | $ | 290,303 | $ | 146,112 | $ | 60,615 | ||||||||||||||
1.05% | 1.05% | 1.06% | 1.09% | 1.10% | 1.10% | |||||||||||||||||||
1.05% | 1.05% | 1.06% | 1.13% | 1.16% | 1.21% | |||||||||||||||||||
(0.05%) | 0.26% | 0.26% | (0.06% | ) | (0.19% | ) | 0.04% | |||||||||||||||||
(0.05%) | 0.26% | 0.26% | (0.10% | ) | (0.25% | ) | (0.07% | ) | ||||||||||||||||
| 12%
|
| 40% | 25% | 23% | 20% | 25% | |||||||||||||||||
|
13
Table of Contents
Financial highlights
Delaware U.S. Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment loss2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment loss to average net assets |
Ratio of net investment loss to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
14
Table of Contents
Six months ended 4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$24.460 | $ | 23.560 | $ | 20.330 | $ | 16.130 | $ | 14.050 | $ | 12.720 | ||||||||||||||
(0.085) | (0.118 | ) | (0.107 | ) | (0.147 | ) | (0.146 | ) | (0.098 | ) | ||||||||||||||
(1.673) | 1.713 | 3.337 | 4.347 | 2.226 | 1.428 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(1.758) | 1.595 | 3.230 | 4.200 | 2.080 | 1.330 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(2.952) | (0.695 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(2.952) | (0.695 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$19.750 | $ | 24.460 | $ | 23.560 | $ | 20.330 | $ | 16.130 | $ | 14.050 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(8.19%) | 6.86% | 15.89% | 26.04% | 14.80% | 10.46% | |||||||||||||||||||
$93,334 | $ | 106,775 | $ | 90,104 | $ | 67,898 | $ | 31,103 | $ | 13,456 | ||||||||||||||
1.80% | 1.80% | 1.81% | 1.84% | 1.85% | 1.85% | |||||||||||||||||||
1.80% | 1.80% | 1.81% | 1.84% | 1.86% | 1.91% | |||||||||||||||||||
(0.80%) | (0.49% | ) | (0.49% | ) | (0.81% | ) | (0.94% | ) | (0.71% | ) | ||||||||||||||
(0.80%) | (0.49% | ) | (0.49% | ) | (0.81% | ) | (0.95% | ) | (0.77% | ) | ||||||||||||||
12% | 40% | 25% | 23% | 20% | 25% | |||||||||||||||||||
|
15
Table of Contents
Financial highlights
Delaware U.S. Growth Fund Class R
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income (loss)2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
16
Table of Contents
Six months ended | ||||||||||||||||||||||||
4/30/16 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited)1 | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$26.080 | $ | 24.960 | $ | 21.430 | $ | 16.920 | $ | 14.660 | $ | 13.210 | ||||||||||||||
(0.034) | 0.002 | 0.004 | (0.059 | ) | (0.073 | ) | (0.030 | ) | ||||||||||||||||
(1.791) | 1.813 | 3.526 | 4.569 | 2.333 | 1.480 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(1.825) | 1.815 | 3.530 | 4.510 | 2.260 | 1.450 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.013) | — | — | — | — | — | |||||||||||||||||||
(2.952) | (0.695 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(2.965) | (0.695 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$21.290 | $ | 26.080 | $ | 24.960 | $ | 21.430 | $ | 16.920 | $ | 14.660 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(7.92%) | 7.35% | 16.47% | 26.66% | 15.42% | 10.98% | |||||||||||||||||||
$25,637 | $ | 27,920 | $ | 27,053 | $ | 23,815 | $ | 11,202 | $ | 1,697 | ||||||||||||||
1.30% | 1.30% | 1.31% | 1.34% | 1.35% | 1.35% | |||||||||||||||||||
1.30% | 1.30% | 1.31% | 1.43% | 1.46% | 1.51% | |||||||||||||||||||
(0.30%) | 0.01% | 0.01% | (0.31% | ) | (0.44% | ) | (0.21% | ) | ||||||||||||||||
(0.30%) | 0.01% | 0.01% | (0.40% | ) | (0.55% | ) | (0.37% | ) | ||||||||||||||||
| 12%
|
| 40% | 25% | 23% | 20% | 25% | |||||||||||||||||
|
17
Table of Contents
Financial highlights
Delaware U.S. Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
18
Table of Contents
Six months ended | ||||||||||||||||||||||||
4/30/161 | Year ended | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||
| ||||||||||||||||||||||||
$ 28.570 | $ | 27.260 | $ | 23.310 | $ | 18.340 | $ | 15.830 | $ | 14.220 | ||||||||||||||
0.025 | 0.143 | 0.130 | 0.039 | 0.011 | 0.045 | |||||||||||||||||||
(1.981) | 1.980 | 3.839 | 4.959 | 2.520 | 1.587 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(1.956) | 2.123 | 3.969 | 4.998 | 2.531 | 1.632 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(0.142) | (0.118 | ) | (0.019 | ) | (0.028 | ) | (0.021 | ) | (0.022 | ) | ||||||||||||||
(2.952) | (0.695 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(3.094) | (0.813 | ) | (0.019 | ) | (0.028 | ) | (0.021 | ) | (0.022 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ 23.520 | $ | 28.570 | $ | 27.260 | $ | 23.310 | $ | 18.340 | $ | 15.830 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
(7.71%) | 7.90% | 17.04% | 27.29% | 16.01% | 11.48% | |||||||||||||||||||
$2,948,841 | $ | 3,253,926 | $ | 2,983,439 | $ | 2,203,909 | $ | 922,606 | $ | 563,004 | ||||||||||||||
0.80% | 0.80% | 0.81% | 0.84% | 0.85% | 0.85% | |||||||||||||||||||
0.80% | 0.80% | 0.81% | 0.84% | 0.86% | 0.91% | |||||||||||||||||||
0.20% | 0.51% | 0.51% | 0.19% | 0.06% | 0.29% | |||||||||||||||||||
0.20% | 0.51% | 0.51% | 0.19% | 0.05% | 0.23% | |||||||||||||||||||
| 12%
|
|
| 40%
|
|
| 25%
|
|
| 23%
|
|
| 20%
|
|
| 25%
|
| |||||||
|
19
Table of Contents
Notes to financial statements | ||
Delaware U.S. Growth Fund | April 30, 2016 (Unaudited) |
Delaware Group® Adviser Funds (Trust) is organized as a Delaware statutory trust and offers three series: Delaware Diversified Income Fund, Delaware Global Real Estate Opportunities Fund, and Delaware U.S. Growth Fund. These financial statements and the related notes pertain to Delaware U.S. Growth Fund (Fund). The Trust is an open-end investment company. The Fund is considered diversified under the Investment Company Act of 1940, as amended, and offers Class A, Class C, Class R, Class R6, and Institutional Class shares. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) of 1.00% if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, if redeemed during the first 12 months. Class R, Institutional Class, and Class R6 shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. Class R6 commenced operations on May 2, 2016.
The investment objective of the Fund is to seek long-term capital appreciation by investing in equity securities of companies believed to have the potential for sustainable free cash flow growth.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Fund.
Security Valuation — Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security.
Federal Income Taxes — No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken for all open federal income tax years (Oct. 31, 2012–Oct. 31, 2015), and has concluded that no provision for federal income tax is required in the Fund’s financial statements.
20
Table of Contents
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — The Fund may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund’s custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on April 29, 2016, and matured on the next business day.
Use of Estimates — The Fund is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Fund is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The Fund declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Subject to seeking best execution, the Fund may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the Fund in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Fund on the transaction. There were no commission rebates for the six months ended April 30, 2016.
21
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
1. Significant Accounting Policies (continued)
The Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended April 30, 2016.
The Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expense offset shown under “Less expense paid indirectly.” For the six months ended April 30, 2016, the Fund earned $960 under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays
Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.65% on the first $500 million of average daily net assets of the Fund, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
Jackson Square Partners, LLC (JSP), a related party of DMC, furnishes investment sub-advisory services to the Fund. For these services, DMC, not the Fund, pays JSP fees based on the aggregate average daily net assets of the Fund at the following annual rate: 0.325% of the first $500 million; 0.300% of the next $500 million; 0.275% of the next $1.5 billion; and 0.250% of aggregate average daily net assets in excess of $2.5 billion.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Fund. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Delaware Investments Family of Funds on a relative net asset value (NAV) basis. For the six months ended April 30, 2016, the Fund was charged $82,806 for these services. This amount is included on the “Statement of operations” under “Accounting and administration expenses.”
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the retail funds within the Delaware Investments Family of Funds at the following annual rate: 0.025% of the first $20 billion; 0.020% of the next $5 billion; 0.015% of the next $5 billion; and 0.013% of average daily net assets in excess of $30 billion. The fees payable to DIFSC under the service agreement described above are allocated among all retail funds in the Delaware Investments Family of Funds on a relative NAV basis. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended April 30, 2016, the Fund was charged $364,235 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Fund.
22
Table of Contents
Sub-transfer agency fees are paid by the Fund and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.”
Pursuant to a distribution agreement and distribution plan, the Fund pays DDLP, the distributor and an affiliate of DMC, an annual distribution and service fee of 0.25% of the average daily net assets of the Class A shares, 1.00% of the average daily net assets of the Class C shares, and 0.50% of the average daily net assets of the Class R shares. Institutional Class and Class R6 shares pay no distribution and service fees.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended April 30, 2016, the Fund was charged $42,513 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
For the six months ended April 30, 2016, DDLP earned $20,330 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2016, DDLP received gross CDSC commissions of $619 and $4,844 on redemption of the Fund’s Class A and Class C shares, respectively, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
Cross trades for the six months ended April 30, 2016 were executed by the Fund pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended April 30, 2016, the Fund engaged in securities sales of $8,244,330, which resulted in net realized gain of $613.
3. Investments
For the six months ended April 30, 2016, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $353,876,044 | |||
Sales | 521,136,332 |
23
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
3. Investments (continued)
At April 30, 2016, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2016, the cost and unrealized appreciation (depreciation) of investments were as follows:
Cost of investments | $ | 2,946,551,520 | ||
|
| |||
Aggregate unrealized appreciation of investments | $ | 659,302,075 | ||
Aggregate unrealized depreciation of investments | (267,116,213 | ) | ||
|
| |||
Net unrealized appreciation of investments | $ | 392,185,862 | ||
|
|
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts) | ||
Level 2 | – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) | ||
Level 3 | – | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
24
Table of Contents
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of April 30, 2016:
Securities | Level 1 | Level 2 | Total | |||||||||
Common Stock | $ | 3,291,661,806 | $ | — | $ | 3,291,661,806 | ||||||
Short-Term Investments | — | 47,075,576 | 47,075,576 | |||||||||
|
|
|
|
|
| |||||||
Total Value of Securities | $ | 3,291,661,806 | $ | 47,075,576 | $ | 3,338,737,382 | ||||||
|
|
|
|
|
|
During the six months ended April 30, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At April 30, 2016, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 4/30/16 | Year ended 10/31/15 | |||||||
Shares sold: | ||||||||
Class A | 1,846,914 | 6,447,690 | ||||||
Class C | 411,151 | 1,193,515 | ||||||
Class R | 187,392 | 513,757 | ||||||
Institutional Class | 16,240,181 | 28,367,431 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 1,502,868 | 402,693 | ||||||
Class C | 583,774 | 110,710 | ||||||
Class R | 135,324 | 25,409 | ||||||
Institutional Class | 13,472,359 | 3,173,109 | ||||||
|
|
|
| |||||
34,379,963 | 40,234,314 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Class A | (6,642,487 | ) | (5,161,334 | ) | ||||
Class C | (635,728 | ) | (762,426 | ) | ||||
Class R | (188,848 | ) | (552,505 | ) | ||||
Institutional Class | (18,229,902 | ) | (27,095,831 | ) | ||||
|
|
|
| |||||
(25,696,965 | ) | (33,572,096 | ) | |||||
|
|
|
| |||||
Net increase | 8,682,998 | 6,662,218 | ||||||
|
|
|
|
25
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
4. Capital Shares (continued)
Certain shareholders may exchange shares of one class of shares for another class in the same Fund. For the six months ended April 30, 2016 and year ended Oct. 31, 2015, the Fund had the following exchange transactions. These exchange transactions are included as subscriptions and redemptions in the table on the previous page and the “Statements of changes in net assets.”
Exchange Redemptions
| Six months ended 4/30/16 Exchange Subscriptions Institutional | |||||||||
Class A Shares | Class C Shares | Class Shares | Value | |||||||
907 | 18,216 | 16,180 | $385,108 | |||||||
Exchange Redemptions
|
Year ended 10/31/15 Exchange Subscriptions Institutional | |||||||||
Class C Shares | Class Shares | Value | ||||||||
9,123 | 7,864 | $217,744 |
5. Line of Credit
The Fund, along with certain other funds in the Delaware Investments® Family of Funds (Participants), was a participant in a $275,000,000 revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the agreement, the Participants were charged an annual commitment fee of 0.08%, which was allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants were permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 9, 2015.
On Nov. 9, 2015, the Fund, along with the other Participants, entered into an amendment to the agreement for a $155,000,000 revolving line of credit. Under the amendment to the agreement, the Participants are charged an annual commitment fee of 0.10%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. Other than the annual commitment fee, the line of credit is to be used as described above and operates in substantially the same manner as the original agreement. The line of credit available under the agreement expires on Nov. 7, 2016.
The Fund had no amounts outstanding as of April 30, 2016, or at any time during the period then ended.
26
Table of Contents
6. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expanded disclosure requirements on the offsetting of certain assets and liabilities. The disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the “Statement of assets and liabilities” and require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarified which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At April 30, 2016, the Fund had the following assets and liabilities subject to offsetting provisions:
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ 722,839 | $ (722,839 | ) | $ — | $ (722,839 | ) | $ — | ||||||||||||||||||
Bank of Montreal | 1,204,731 | (1,204,731 | ) | — | (1,204,731 | ) | — | ||||||||||||||||||
BNP Paribas | 1,137,430 | (1,137,430 | ) | — | (1,137,430 | ) | — | ||||||||||||||||||
Total | $3,065,000 | $(3,065,000 | ) | $ — | $(3,065,000 | ) | $ — |
(a)Net exposure represents the net receivable (payable) that would be due from (to) the counterparty in the event of default.
27
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
7. Securities Lending
The Fund, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan.
Prior to Dec. 29, 2015, cash collateral received was generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust), a pooled account established by BNY Mellon for the use of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust sought to maintain a NAV per unit of $1.00. Under the previous investment guidelines, the Collective Trust was permitted to invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust would generally have a dollar-weighted average portfolio maturity of 60 days or less.
On Dec. 29, 2015, the assets in the Collective Trust were transferred to a series of individual separate accounts, each corresponding to a Fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by U.S. Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities or establishments; obligations of supranational organizations, commercial paper, notes, bonds and other debt obligations; certificates of deposit, time deposits and other bank obligations; and asset-backed securities.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. The Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect
28
Table of Contents
to security loans collateralized by non-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of a Fund’s cash collateral account may be less than the amount the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
During the six months ended April 30, 2016, the Fund had no securities out on loan.
8. Credit and Market Risk
The Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Fund’s Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Fund’s 15% limit on investments in illiquid securities. As of April 30, 2016, there were no Rule 144A securities held by the Fund and no securities have been determined to be illiquid under the Fund’s liquidity procedures. When monitoring compliance with the Fund’s illiquid limit, certain holdings that are common to multiple clients of the investment manager may be aggregated and considered illiquid in the aggregate solely for the monitoring purposes. For purposes of determining illiquidity for financial reporting purposes, only the holdings of this Fund will be considered.
9. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
10. Recent Accounting Pronouncements
In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share.” The amendments in this update are effective for the Fund for fiscal years beginning after Dec. 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at NAV per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management is evaluating the impact, if any, of this guidance on the Fund’s financial statement disclosure.
29
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
11. Subsequent Events
The Fund commenced operations of the Class R6 share class on May 2, 2016.
Management has determined that no other material events or transactions occurred subsequent to April 30, 2016 that would require recognition or disclosure in the Fund’s financial statements.
30
Table of Contents
Board of trustees
Shawn K. Lytle President and Chief Executive Officer Delaware Investments® Family of Funds Philadelphia, PA
Thomas L. Bennett Chairman of the Board Delaware Investments Family of Funds Private Investor Rosemont, PA | Ann D. Borowiec Former Chief Executive Officer Private Wealth Management J.P. Morgan Chase & Co. New York, NY
Joseph W. Chow Former Executive Vice President State Street Corporation Boston, MA | John A. Fry President Drexel University Philadelphia, PA
Lucinda S. Landreth Former Chief Investment Officer Assurant, Inc. New York, NY | Frances A. Sevilla-Sacasa Chief Executive Officer Banco Itaú International Miami, FL
Thomas K. Whitford Former Vice Chairman PNC Financial Services Group Pittsburgh, PA
Janet L. Yeomans Former Vice President and Treasurer 3M Corporation St. Paul, MN | |||
Affiliated officers | ||||||
David F. Connor | Daniel V. Geatens | Richard Salus | ||||
Senior Vice President, | Vice President and | Senior Vice President and | ||||
General Counsel, | Treasurer | Chief Financial Officer | ||||
and Secretary | Delaware Investments | Delaware Investments | ||||
Delaware Investments | Family of Funds | Family of Funds | ||||
Family of Funds | Philadelphia, PA | Philadelphia, PA | ||||
Philadelphia, PA |
This semiannual report is for the information of Delaware U.S. Growth Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Investments Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawareinvestments.com/literature.
Delaware Investments is the marketing name of Delaware Management Holdings, Inc. and its subsidiaries.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Fund’s most recent Form N-Q are available without charge on the Fund’s website at delawareinvestments.com/literature. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at delawareinvestments.com/proxy; and (ii) on the SEC’s website at sec.gov.
31
Table of Contents
Semiannual report
Alternative / specialty mutual fund
Delaware Global Real Estate Opportunities Fund
April 30, 2016
Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and its summary prospectus, which may be obtained by visiting delawareinvestments.com/literature or calling 800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail.
Visit delawareinvestments.com/edelivery.
Table of Contents
Experience Delaware Investments
Delaware Investments is committed to the pursuit of consistently superior asset management and unparalleled client service. We believe in our investment processes, which seek to deliver consistent results, and in convenient services that help add value for our clients.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Investments or obtain a prospectus for Delaware Global Real Estate Opportunities Fund at delawareinvestments.com/literature.
Manage your investments online
● | 24-hour access to your account information |
● | Obtain share prices |
● | Check your account balance and recent transactions |
● | Request statements or literature |
● | Make purchases and redemptions |
Delaware Management Holdings, Inc. and its subsidiaries (collectively known by the marketing name of Delaware Investments) are wholly owned subsidiaries of Macquarie Group Limited, a global provider of banking, financial, advisory, investment, and funds management services.
Neither Delaware Investments nor its affiliates noted in this document are authorized deposit-taking institutions for the purpose of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of Macquarie Bank Limited (MBL). MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
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| 9 | |||
| 11 | |||
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| 36 |
Unless otherwise noted, views expressed herein are current as of April 30, 2016, and subject to change for events occurring after such date.
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Fund’s distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
© 2016 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Table of Contents
For the six-month period from November 1, 2015 to April 30, 2016 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Nov. 1, 2015 to April 30, 2016.
Actual expenses
The first section of the table shown, “Actual Fund return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The Fund’s expenses shown in the table reflect fee waivers in effect. The expenses shown in the table assume reinvestment of all dividends and distributions.
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Table of Contents
Disclosure of Fund expenses
For the six-month period from November 1, 2015 to April 30, 2016 (Unaudited)
Delaware Global Real Estate Opportunities Fund
Expense analysis of an investment of $1,000
Beginning | Ending | Expenses | ||||||
Account Value | Account Value | Annualized | Paid During Period | |||||
11/1/15 | 4/30/16 | Expense Ratio | 11/1/15 to 4/30/16* | |||||
Actual Fund return† | ||||||||
Class A | $1,000.00 | $1,023.40 | 1.40% | $7.04 | ||||
Class C | 1,000.00 | 1,018.90 | 2.15% | 10.79 | ||||
Class R | 1,000.00 | 1,020.80 | 1.65% | 8.29 | ||||
Institutional Class | 1,000.00 | 1,023.40 | 1.15% | 5.79 | ||||
Hypothetical 5% return (5% return before expenses) | ||||||||
Class A | $1,000.00 | $1,017.90 | 1.40% | $7.02 | ||||
Class C | 1,000.00 | 1,014.17 | 2.15% | 10.77 | ||||
Class R | 1,000.00 | 1,016.66 | 1.65% | 8.27 | ||||
Institutional Class | 1,000.00 | 1,019.14 | 1.15% | 5.77 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
2
Table of Contents
Security type / country and sector allocations | ||
Delaware Global Real Estate Opportunities Fund | As of April 30, 2016 (Unaudited) |
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager’s internal sector classifications.
Security type / country
| Percentage of net assets
| |||||||
Convertible Bond |
|
0.65% |
| |||||
Common Stock by Country | 92.56% | |||||||
Australia | 5.77% | |||||||
Canada | 0.93% | |||||||
China/Hong Kong | 4.94% | |||||||
France | 3.26% | |||||||
Germany | 3.98% | |||||||
Japan | 6.41% | |||||||
Singapore | 1.46% | |||||||
Spain | 1.17% | |||||||
United Kingdom | 8.24% | |||||||
United States | 56.40% | |||||||
Short-Term Investments |
|
6.45% |
| |||||
Total Value of Securities | 99.66% | |||||||
Receivables and Other Assets Net of Liabilities | 0.34% | |||||||
Total Net Assets | 100.00% | |||||||
Common stock by sector
| Percentage of net assets
| |||||||
Diversified REITs |
|
11.55% |
| |||||
Healthcare REITs | 3.57% | |||||||
Hotel REITs | 3.78% | |||||||
Industrial REITs | 6.86% | |||||||
Mall REITs | 7.26% | |||||||
Mixed REIT | 0.80% | |||||||
Multifamily REITs | 12.25% | |||||||
Office REITs | 16.17% | |||||||
Office/Diversified REIT | 1.17% | |||||||
Real Estate Operating Companies/Developer | 4.40% | |||||||
Retail REITs | 6.81% | |||||||
Self-Storage REITs | 2.22% | |||||||
Shopping Center REITs | 13.05% | |||||||
Single Tenant REITs | 2.67% | |||||||
Total | 92.56% |
3
Table of Contents
Schedule of investments | ||
Delaware Global Real Estate Opportunities Fund | April 30, 2016 (Unaudited) |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bond – 0.65% | ||||||||
| ||||||||
VEREIT 3.75% exercise price $14.99, maturity date 12/15/20 @ | 390,000 | $ | 380,496 | |||||
|
| |||||||
Total Convertible Bond (cost $363,678) | 380,496 | |||||||
|
| |||||||
Number of shares | ||||||||
| ||||||||
Common Stock – 92.56%D | ||||||||
| ||||||||
Australia – 5.77% | ||||||||
Charter Hall Group | 126,907 | 462,205 | ||||||
Dexus Property Group | 46,197 | 295,760 | ||||||
Goodman Group | 119,512 | 626,101 | ||||||
GPT Group-In Specie @=† | 1,377,200 | 0 | ||||||
Scentre Group | 428,317 | 1,527,396 | ||||||
Westfield | 63,386 | 486,775 | ||||||
|
| |||||||
3,398,237 | ||||||||
|
| |||||||
Canada – 0.93% | ||||||||
RioCan Real Estate Investment Trust | 25,100 | 545,730 | ||||||
|
| |||||||
545,730 | ||||||||
|
| |||||||
China/Hong Kong – 4.94% | ||||||||
Hongkong Land Holdings | 113,600 | 721,360 | ||||||
Hysan Development | 158,072 | 699,993 | ||||||
Link REIT | 111,500 | 677,748 | ||||||
Sun Hung Kai Properties | 63,724 | 805,494 | ||||||
|
| |||||||
2,904,595 | ||||||||
|
| |||||||
France – 3.26% | ||||||||
Gecina | 5,075 | 733,946 | ||||||
Klepierre | 16,720 | 786,391 | ||||||
Unibail-Rodamco | 1,492 | 399,769 | ||||||
|
| |||||||
1,920,106 | ||||||||
|
| |||||||
Germany – 3.98% | ||||||||
alstria office REIT | 48,450 | 679,601 | ||||||
Deutsche Wohnen | 15,960 | 488,765 | ||||||
Vonovia | 34,860 | 1,172,945 | ||||||
|
| |||||||
2,341,311 | ||||||||
|
| |||||||
Japan – 6.41% | ||||||||
Japan Real Estate Investment | 87 | 541,750 | ||||||
Mitsubishi Estate | 58,642 | 1,114,351 | ||||||
Mitsui Fudosan | 60,446 | 1,476,238 | ||||||
Orix JREIT | 385 | 641,256 | ||||||
|
| |||||||
3,773,595 | ||||||||
|
| |||||||
Singapore – 1.46% | ||||||||
Mapletree Commercial Trust | 768,894 | 857,598 | ||||||
|
| |||||||
857,598 | ||||||||
|
|
4
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) | ||||||||
| ||||||||
Spain – 1.17% | ||||||||
Merlin Properties Socimi | 59,427 | $ | 690,676 | |||||
|
| |||||||
690,676 | ||||||||
|
| |||||||
United Kingdom – 8.24% | ||||||||
Derwent London | 16,783 | 805,318 | ||||||
Grainger | 165,290 | 537,609 | ||||||
Great Portland Estates | 99,663 | 1,103,819 | ||||||
Land Securities Group | 62,619 | 1,035,732 | ||||||
Shaftesbury | 83,400 | 1,108,925 | ||||||
Workspace Group | 21,174 | 258,336 | ||||||
|
| |||||||
4,849,739 | ||||||||
|
| |||||||
United States – 56.40% | ||||||||
Alexandria Real Estate Equities | 11,319 | 1,052,101 | ||||||
American Campus Communities | 10,566 | 472,830 | ||||||
Apartment Investment & Management | 18,927 | 758,216 | ||||||
AvalonBay Communities | 5,630 | 995,328 | ||||||
Boston Properties | 8,130 | 1,047,632 | ||||||
Brixmor Property Group | 45,336 | 1,144,734 | ||||||
CubeSmart | 15,395 | 455,846 | ||||||
DCT Industrial Trust | 20,720 | 836,466 | ||||||
DDR | 38,850 | 679,875 | ||||||
Digital Realty Trust | 12,905 | 1,135,382 | ||||||
Douglas Emmett | 23,948 | 777,113 | ||||||
Duke Realty | 46,632 | 1,019,842 | ||||||
Empire State Realty Trust | 41,671 | 771,330 | ||||||
Equinix | 1,616 | 533,846 | ||||||
Equity Commonwealth @† | 26,390 | 736,545 | ||||||
Equity One | 26,587 | 752,412 | ||||||
Equity Residential | 12,715 | 865,510 | ||||||
Essex Property Trust | 1,298 | 286,144 | ||||||
Federal Realty Investment Trust | 5,138 | 781,387 | ||||||
First Industrial Realty Trust | 29,274 | 671,546 | ||||||
General Growth Properties | 32,777 | 918,739 | ||||||
Host Hotels & Resorts | 51,404 | 813,211 | ||||||
Hudson Pacific Properties | 10,178 | 297,707 | ||||||
Kimco Realty | 28,756 | 808,619 | ||||||
Liberty Property Trust | 13,515 | 471,674 | ||||||
Macerich | 3,444 | 262,020 | ||||||
Mack-Cali Realty | 30,133 | 770,199 | ||||||
MGM Growth Properties † | 27,949 | 616,834 | ||||||
National Retail Properties | 9,491 | 415,326 | ||||||
Pebblebrook Hotel Trust | 14,858 | 410,675 | ||||||
Post Properties | 9,238 | 529,892 |
5
Table of Contents
Schedule of investments
Delaware Global Real Estate Opportunities Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) | ||||||||
| ||||||||
United States (continued) | ||||||||
Prologis | 19,490 | $ | 885,041 | |||||
Public Storage | 3,466 | 848,511 | ||||||
Regency Centers | 7,161 | 527,766 | ||||||
Retail Properties of America | 40,534 | 648,139 | ||||||
Simon Property Group | 13,446 | 2,704,932 | ||||||
SL Green Realty | 6,759 | 710,236 | ||||||
Spirit Realty Capital | 47,980 | 548,411 | ||||||
STORE Capital | 23,746 | 609,560 | ||||||
Sunstone Hotel Investors | 30,056 | 385,017 | ||||||
Taubman Centers | 5,540 | 384,753 | ||||||
UDR | 10,477 | 365,857 | ||||||
Urban Edge Properties | 31,210 | 809,587 | ||||||
Ventas | 7,920 | 491,990 | ||||||
Vornado Realty Trust | 6,554 | 627,414 | ||||||
Welltower | 7,983 | 554,180 | ||||||
|
| |||||||
33,190,375 | ||||||||
|
| |||||||
Total Common Stock (cost $53,150,826) | 54,471,962 | |||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 6.45% | ||||||||
| ||||||||
Discount Notes – 3.75%≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.304% 5/20/16 | 98,895 | 98,883 | ||||||
0.322% 5/18/16 | 1,067,300 | 1,067,185 | ||||||
0.322% 5/19/16 | 109,039 | 109,026 | ||||||
0.336% 7/22/16 | 251,011 | 250,836 | ||||||
0.34% 7/13/16 | 180,969 | 180,856 | ||||||
0.346% 7/25/16 | 111,939 | 111,858 | ||||||
0.373% 5/27/16 | 84,147 | 84,133 | ||||||
0.375% 6/8/16 | 126,424 | 126,388 | ||||||
0.375% 7/18/16 | 59,523 | 59,484 | ||||||
0.525% 8/15/16 | 118,293 | 118,179 | ||||||
|
| |||||||
2,206,828 | ||||||||
|
| |||||||
Repurchase Agreements – 2.70% | ||||||||
Bank of America Merrill Lynch | ||||||||
0.24%, dated 4/29/16, to be repurchased on 5/2/16, repurchase price $374,987 (collateralized by U.S. government obligations 2.00%–2.50% 2/15/22–11/15/24; market value $382,480) | 374,980 | 374,980 |
6
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) | ||||||||
| ||||||||
Repurchase Agreements (continued) | ||||||||
Bank of Montreal | ||||||||
0.27%, dated 4/29/16, to be repurchased on 5/2/16, repurchase price $624,981 (collateralized by U.S. government obligations 0.00%–8.75% 10/13/16–2/15/46; market value $637,466) | 624,967 | $ | 624,967 | |||||
BNP Paribas | ||||||||
0.28%, dated 4/29/16, to be repurchased on 5/2/16, repurchase price $590,067 (collateralized by U.S. government obligations 0.00%–4.75% 5/31/17–2/15/45; market value $601,855) | 590,053 | 590,053 | ||||||
|
| |||||||
1,590,000 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $3,796,611) | 3,796,828 | |||||||
|
| |||||||
Total Value of Securities – 99.66% | $58,649,286 | |||||||
|
|
@ | Illiquid security. At April 30, 2016, the aggregate value of illiquid securities was $1,117,041, which represents 1.90% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At April 30, 2016, the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars. |
† | Non-income-producing security. |
D | Securities have been classified by country of origin. Aggregate classification by business sectors has been presented on page 3 in “Security type / country and sector allocations.” |
The following foreign currency exchange contracts were outstanding at April 30, 20161:
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
BNYM | AUD | (247,916 | ) | USD | 189,115 | 5/2/16 | $ | 635 | ||||||||||||||||
BNYM | CAD | 114,360 | USD | (90,894 | ) | 5/2/16 | 251 | |||||||||||||||||
BNYM | EUR | 10,052 | USD | (11,514 | ) | 5/3/16 | (3 | ) | ||||||||||||||||
BNYM | JPY | 15,850,073 | USD | (142,591 | ) | 5/2/16 | 6,383 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 7,266 | |||||||||||||||||||||||
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The foreign currency exchange contracts presented
7
Table of Contents
Schedule of investments
Delaware Global Real Estate Opportunities Fund
above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1 See Note 6 in “Notes to financial statements.”
Summary of abbreviations:
AUD – Australian Dollar
BNYM – BNY Mellon
CAD – Canadian Dollar
EUR – European Monetary Unit
JPY – Japanese Yen
JREIT – Japanese Real Estate Investment Trust
REIT – Real Estate Investment Trust
USD – U.S. Dollar
See accompanying notes, which are an integral part of the financial statements.
8
Table of Contents
Statement of assets and liabilities | ||
Delaware Global Real Estate Opportunities Fund | April 30, 2016 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 54,852,458 | ||
Short-term investments, at value2 | 3,796,828 | |||
Foreign currencies, at value3 | 95,947 | |||
Receivable for securities sold | 1,182,558 | |||
Receivable for fund shares sold | 71,579 | |||
Dividends and interest receivable | 51,739 | |||
Unrealized appreciation of foreign currency exchange contracts | 7,269 | |||
|
| |||
Total assets | 60,058,378 | |||
|
| |||
Liabilities: | ||||
Cash overdraft | 24,274 | |||
Payable for securities purchased | 971,986 | |||
Payable for fund shares redeemed | 117,420 | |||
Investment management fees payable | 35,296 | |||
Other accrued expenses | 35,167 | |||
Audit and tax fees payable | 19,295 | |||
Distribution fees payable to affiliates | 6,737 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 931 | |||
Accounting and administration expenses payable to affiliates | 213 | |||
Trustees’ fees and expenses payable | 155 | |||
Legal fees payable to affiliates | 119 | |||
Income distribution payable | 102 | |||
Reports and statements to shareholders expenses payable to affiliates | 23 | |||
Unrealized depreciation of foreign currency exchange contracts | 3 | |||
|
| |||
Total liabilities | 1,211,721 | |||
|
| |||
Total Net Assets | $ | 58,846,657 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 148,798,344 | ||
Undistributed net investment income | 37,635 | |||
Accumulated net realized loss on investments | (91,327,412 | ) | ||
Net unrealized appreciation of investments | 1,338,171 | |||
Net unrealized depreciation of foreign currencies | (7,347 | ) | ||
Net unrealized appreciation of foreign currency exchange contracts | 7,266 | |||
|
| |||
Total Net Assets | $ | 58,846,657 | ||
|
|
9
Table of Contents
Statement of assets and liabilities
Delaware Global Real Estate Opportunities Fund
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 24,720,604 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 3,367,645 | |||
Net asset value per share | $ | 7.34 | ||
Sales charge | 5.75 | % | ||
Offering price per share, equal to net asset value per share / (1 — sales charge) | $ | 7.79 | ||
Class C: | ||||
Net assets | $ | 2,795,977 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 381,486 | |||
Net asset value per share | $ | 7.33 | ||
Class R: | ||||
Net assets | $ | 205,302 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 27,996 | |||
Net asset value per share | $ | 7.33 | ||
Institutional Class: | ||||
Net assets | $ | 31,124,774 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,244,002 | |||
Net asset value per share | $ | 7.33 | ||
1Investments, at cost | $ | 53,514,504 | ||
2Short-term investments, at cost | 3,796,611 | |||
3Foreign currencies, at cost | 96,022 |
See accompanying notes, which are an integral part of the financial statements.
10
Table of Contents
Statement of operations | ||
Delaware Global Real Estate Opportunities Fund | Six months ended April 30, 2016 (Unaudited) |
Investment Income: | ||||
Dividends | $ | 641,449 | ||
Interest | 6,905 | |||
Foreign tax withheld | (16,848 | ) | ||
|
| |||
631,506 | ||||
|
| |||
Expenses: | ||||
Management fees | 201,118 | |||
Registration fees | 30,462 | |||
Distribution expenses — Class A | 15,288 | |||
Distribution expenses — Class C | 13,770 | |||
Distribution expenses — Class R | 605 | |||
Dividend disbursing and transfer agent fees and expenses | 22,328 | |||
Audit and tax fees | 20,713 | |||
Reports and statements to shareholders expenses | 13,000 | |||
Custodian fees | 9,371 | |||
Accounting and administration expenses | 6,647 | |||
Legal fees | 1,481 | |||
Trustee’s fees and expenses | 991 | |||
Other | 7,506 | |||
|
| |||
343,280 | ||||
Less expenses waived | (81,246 | ) | ||
Less expense paid indirectly | (46 | ) | ||
|
| |||
Total operating expenses | 261,988 | |||
|
| |||
Net Investment Income | 369,518 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 502,806 | |||
Foreign currencies | 28,963 | |||
Foreign currency exchange contracts | (47,605 | ) | ||
Options written | 5,900 | |||
|
| |||
Net realized gain | 490,064 | |||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | 100,856 | |||
Foreign currencies | (2,333 | ) | ||
Foreign currency exchange contracts | 8,172 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | 106,695 | |||
|
| |||
Net Realized and Unrealized Gain | 596,759 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 966,277 | ||
|
|
See accompanying notes, which are an integral part of the financial statements.
11
Table of Contents
Statements of changes in net assets
Delaware Global Real Estate Opportunities Fund
Six months ended 4/30/16 (Unaudited) | Year ended 10/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 369,518 | $ | 630,746 | ||||
Net realized gain | 490,064 | 3,874,736 | ||||||
Net change in unrealized appreciation (depreciation) | 106,695 | (4,076,104 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 966,277 | 429,378 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Class A | (84,302 | ) | (137,457 | ) | ||||
Class C | (6,304 | ) | (24,824 | ) | ||||
Class R | (1,491 | ) | (2,606 | ) | ||||
Institutional Class | (206,489 | ) | (909,598 | ) | ||||
|
|
|
| |||||
(298,586 | ) | (1,074,485 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 17,108,493 | 5,329,594 | ||||||
Class C | 436,670 | 1,269,441 | ||||||
Class R | 43,119 | 217,676 | ||||||
Institutional Class | 14,202,423 | 12,635,818 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 80,029 | 130,874 | ||||||
Class C | 5,806 | 22,528 | ||||||
Class R | 1,491 | 2,606 | ||||||
Institutional Class | 184,509 | 340,357 | ||||||
|
|
|
| |||||
32,062,540 | 19,948,894 | |||||||
|
|
|
|
12
Table of Contents
Six months ended 4/30/16 (Unaudited) | Year ended 10/31/15 | |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (1,557,653 | ) | $ | (3,445,426 | ) | ||
Class C | (533,489 | ) | (567,760 | ) | ||||
Class R | (128,696 | ) | (50,962 | ) | ||||
Institutional Class | (9,462,757 | ) | (31,250,131 | ) | ||||
|
|
|
| |||||
(11,682,595 | ) | (35,314,279 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets derived from capital share transactions | 20,379,945 | (15,365,385 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 21,047,636 | (16,010,492 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 37,799,021 | 53,809,513 | ||||||
|
|
|
| |||||
End of period | $ | 58,846,657 | $ | 37,799,021 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | 37,635 | $ | (33,297 | ) | |||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
13
Table of Contents
Delaware Global Real Estate Opportunities Fund Class A1
Selected data for each share of the Fund outstanding throughout each period were as follows:
| ||
Net asset value, beginning of period | ||
Income (loss) from investment operations: | ||
Net investment income3 | ||
Net realized and unrealized gain (loss) | ||
Total from investment operations | ||
Less dividends and distributions from: | ||
Net investment income | ||
Total dividends and distributions | ||
Net asset value, end of period | ||
Total return4 | ||
Ratios and supplemental data: | ||
Net assets, end of period (000 omitted) | ||
Ratio of expenses to average net assets | ||
Ratio of expenses to average net assets prior to fees waived | ||
Ratio of net investment income to average net assets | ||
Ratio of net investment income to average net assets prior to fees waived | ||
Portfolio turnover | ||
|
1 | The Fund is the successor to The Global Real Estate Securities Portfolio, formerly a series of the Delaware Pooled® Trust, pursuant to the reorganization (Reorganization) of The Global Real Estate Securities Portfolio which occurred after the close of business on Sept. 28, 2012. Prior to the Reorganization, the Fund had no investment operations. The information shown for 2012 and earlier is historical information for The Global Real Estate Securities Portfolio. Because the Fund’s fees and expenses are higher than those of The Global Real Estate Securities Portfolio, the Fund’s performance would have been lower than that of The Global Real Estate Securities Portfolio. |
2 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | The average shares outstanding method has been applied for per share information. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
14
Table of Contents
Six months ended
4/30/162 | Year ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ |
7.220 |
| $ | 7.200 | $ | 6.650 | $ | 6.060 | $ | 5.370 | $ | 5.780 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
0.060 | 0.077 | 0.116 | 0.079 | 0.103 | 0.148 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
0.107 | 0.077 | 0.642 | 0.696 | 0.799 | (0.069 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
0.167 | 0.154 | 0.758 | 0.775 | 0.902 | 0.079 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(0.047 | ) | (0.134 | ) | (0.208 | ) | (0.185 | ) | (0.212 | ) | (0.489 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(0.047 | ) | (0.134 | ) | (0.208 | ) | (0.185 | ) | (0.212 | ) | (0.489 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 7.340 | $ | 7.220 | $ | 7.200 | $ | 6.650 | $ | 6.060 | $ | 5.370 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2.34% | 2.16% | 11.80% | 13.11% | 17.79% | 1.68% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 24,721 | $ | 8,481 | $ | 6,571 | $ | 4,340 | $ | 297 | $ | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1.40% | 1.41% | 1.40% | 1.40% | 1.38% | 1.39% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1.80% | 1.73% | 1.78% | 1.66% | 1.52% | 1.49% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1.72% | 1.07% | 1.72% | 1.21% | 1.65% | 2.69% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1.32% | 0.75% | 1.34% | 0.95% | 1.51% | 2.59% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
109% | 116% | 107% | 112% | 128% | 155% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
15
Table of Contents
Financial highlights
Delaware Global Real Estate Opportunities Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| ||
Net asset value, beginning of period | ||
Income (loss) from investment operations: | ||
Net investment income (loss)3 | ||
Net realized and unrealized gain | ||
Total from investment operations | ||
Less dividends and distributions from: | ||
Net investment income | ||
Total dividends and distributions | ||
Net asset value, end of period | ||
Total return4 | ||
Ratios and supplemental data: | ||
Net assets, end of period (000 omitted) | ||
Ratio of expenses to average net assets | ||
Ratio of expenses to average net assets prior to fees waived | ||
Ratio of net investment income (loss) to average net assets | ||
Ratio of net investment income (loss) to average net assets prior to fees waived | ||
Portfolio turnover | ||
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
3 | The average shares outstanding method has been applied for per share information. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Portfolio turnover is representative of the Fund for the entire annual period. |
See accompanying notes, which are an integral part of the financial statements.
16
Table of Contents
Six months ended 4/30/161 | Year ended | 10/1/122 to | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
$ | 7.210 | $ | 7.190 | $ | 6.640 | $ | 6.060 | $ | 5.960 | |||||||||||||||||||
0.034 | 0.023 | 0.066 | 0.030 | (0.005) | ||||||||||||||||||||||||
0.102 | 0.078 | 0.637 | 0.705 | 0.105 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
0.136 | 0.101 | 0.703 | 0.735 | 0.100 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.016 | ) | (0.081 | ) | (0.153 | ) | (0.155 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.016 | ) | (0.081 | ) | (0.153 | ) | (0.155 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 7.330 | $ | 7.210 | $ | 7.190 | $ | 6.640 | $ | 6.060 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
1.89% | 1.41% | 11.06% | 12.23% | 1.68% | ||||||||||||||||||||||||
$ | 2,796 | $ | 2,850 | $ | 2,119 | $ | 572 | $ | 25 | |||||||||||||||||||
2.15% | 2.16% | 2.15% | 2.15% | 2.15% | ||||||||||||||||||||||||
2.55% | 2.48% | 2.53% | 2.41% | 2.52% | ||||||||||||||||||||||||
0.97% | 0.32% | 0.97% | 0.46% | (0.93%) | ||||||||||||||||||||||||
0.57% | 0.00% | 0.59% | 0.20% | (1.30%) | ||||||||||||||||||||||||
109% | 116% | 107% | 112% | 128%5 | ||||||||||||||||||||||||
|
17
Table of Contents
Financial highlights
Delaware Global Real Estate Opportunities Fund Class R
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income (loss)3 |
Net realized and unrealized gain |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Total dividends and distributions |
Net asset value, end of period |
Total return4 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived |
Portfolio turnover |
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
3 | The average shares outstanding method has been applied for per share information. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Portfolio turnover is representative of the Fund for the entire annual period. |
See accompanying notes, which are an integral part of the financial statements.
18
Table of Contents
Six months ended | ||||||||||||||||||||
4/30/161 | Year ended | 10/1/122 to | ||||||||||||||||||
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(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | ||||||||||||||||
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$ 7.220 |
| $ | 7.190 | $ | 6.640 | $ | 6.060 | $ | 5.960 | ||||||||||
0.051 | 0.059 | 0.101 | 0.062 | (0.002) | ||||||||||||||||
0.098 | 0.086 | 0.637 | 0.699 | 0.102 | ||||||||||||||||
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0.149 | 0.145 | 0.738 | 0.761 | 0.100 | ||||||||||||||||
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(0.039) | (0.115 | ) | (0.188 | ) | (0.181 | ) | — | |||||||||||||
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(0.039) | (0.115 | ) | (0.188 | ) | (0.181 | ) | — | |||||||||||||
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$ 7.330 | $ | 7.220 | $ | 7.190 | $ | 6.640 | $ | 6.060 | ||||||||||||
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2.08% | 2.03% | 11.48% | 12.87% | 1.68% | ||||||||||||||||
$ 205 | $ | 286 | $ | 121 | $ | 24 | $ | 7 | ||||||||||||
1.65% | 1.66% | 1.65% | 1.65% | 1.65% | ||||||||||||||||
2.05% | 1.98% | 2.03% | 2.00% | 2.12% | ||||||||||||||||
1.47% | 0.82% | 1.47% | 0.96% | (0.43%) | ||||||||||||||||
1.07% | 0.50% | 1.09% | 0.61% | (0.90%) | ||||||||||||||||
109% | 116% | 107% | 112% | 128%5 | ||||||||||||||||
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19
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Financial highlights
Delaware Global Real Estate Opportunities Fund Institutional Class1
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income3 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Total dividends and distributions |
Net asset value, end of period |
Total return4 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
|
1 | The Fund is the successor to The Global Real Estate Securities Portfolio, formerly a series of the Delaware Pooled® Trust, pursuant to the reorganization (Reorganization) of The Global Real Estate Securities Portfolio which occurred after the close of business on Sept. 28, 2012. Prior to the Reorganization, the Fund had no investment operations. The information shown for 2012 and earlier is historical information for The Global Real Estate Securities Portfolio. Because the Fund’s fees and expenses are higher than those of The Global Real Estate Securities Portfolio, the Fund’s performance would have been lower than that of The Global Real Estate Securities Portfolio. |
2 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | The average shares outstanding method has been applied for per share information. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
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Six months ended | ||||||||||||||||||||||
4/30/162 | Year ended | |||||||||||||||||||||
| ||||||||||||||||||||||
(Unaudited) | 10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | |||||||||||||||||
| ||||||||||||||||||||||
$ 7.220 | $ 7.190 | $ 6.650 | $ 6.060 | $ 5.390 | $ 5.790 | |||||||||||||||||
0.068 | 0.095 | 0.132 | 0.094 | 0.105 | 0.163 | |||||||||||||||||
0.099 | 0.086 | 0.633 | 0.707 | 0.791 | (0.061) | |||||||||||||||||
0.167 | 0.181 | 0.765 | 0.801 | 0.896 | 0.102 | |||||||||||||||||
(0.057) | (0.151) | (0.225) | (0.211) | (0.226) | (0.502) | |||||||||||||||||
(0.057) | (0.151) | (0.225) | (0.211) | (0.226) | (0.502) | |||||||||||||||||
$ 7.330 | $ 7.220 | $ 7.190 | $ 6.650 | $ 6.060 | $ 5.390 | |||||||||||||||||
2.34% | 2.55% | 11.93% | 13.58% | 17.68% | 2.10% | |||||||||||||||||
$31,125 | $26,182 | $ 44,999 | $ 49,291 | $ 76,426 | $49,359 | |||||||||||||||||
1.15% | 1.16% | 1.15% | 1.15% | 1.13% | 1.14% | |||||||||||||||||
1.55% | 1.48% | 1.53% | 1.41% | 1.27% | 1.24% | |||||||||||||||||
1.97% | 1.32% | 1.97% | 1.46% | 1.90% | 2.94% | |||||||||||||||||
1.57% | 1.00% | 1.59% | 1.20% | 1.76% | 2.84% | |||||||||||||||||
109% | 116% | 107% | 112% | 128% | 155% | |||||||||||||||||
|
21
Table of Contents
Notes to financial statements | ||
Delaware Global Real Estate Opportunities Fund | April 30, 2016 (Unaudited) |
Delaware Group® Adviser Funds (Trust) is organized as a Delaware statutory trust and offers three series: Delaware Diversified Income Fund, Delaware Global Real Estate Opportunities Fund, and Delaware U.S. Growth Fund. These financial statements and related notes pertain to Delaware Global Real Estate Opportunities Fund (Fund). The Trust is an open-end investment company. The Fund is considered non-diversified under the Investment Company Act of 1940, as amended, and offers Class A, Class C, Class R, and Institutional Class shares. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) of 1.00%, if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, if redeemed during the first 12 months. Class R and Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors.
The investment objective of the Fund is to seek maximum long-term total return through a combination of current income and capital appreciation.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Fund.
Security Valuation — Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Foreign currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Fund may
22
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value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken for all open federal income tax years (Oct. 31, 2012–Oct. 31, 2015), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. In regard to foreign taxes only, the Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of the Fund.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — The Fund may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund’s custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on April 29, 2016, and matured on the next business day.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Fund’s prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Fund generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. These gains and losses are included on the “Statement of operations” under “Net realized and unrealized gain (loss) on investments.” The Fund reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates — The Fund is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the
23
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
1. Significant Accounting Policies (continued)
financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively over the lives of the respective securities using the effective interest method. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Fund is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The Fund declares and pays dividends from net investment income quarterly and distributions from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended April 30, 2016.
The Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expense offset shown under “Less expense paid indirectly.” For the six months ended April 30, 2016, the Fund earned $46 under this agreement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays Delaware Management Company (DMC), a series of Delaware Management Business Trust and the investment manager, an annual fee which is calculated daily at the rate of 0.99% on the first $100 million of the average daily net assets of the Fund, 0.90% on the next $150 million, and 0.80% on average daily net assets in excess of $250 million.
DMC has contractually agreed to waive that portion if any, of its management fee and/or pay/reimburse the Fund to the extent necessary to ensure that total annual fund operating expenses (excluding any 12b-1 fees, taxes, acquired funds fees and expenses, interest, short sale and dividend interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to,
24
Table of Contents
those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations (collectively nonroutine expenses)) do not exceed 1.15% of the Fund’s average daily net assets from Nov. 1, 2015 through April 30, 2016.* For purposes of this waiver and reimbursement, nonroutine expenses may also include such additional costs and expenses as may be agreed upon from time to time by the Fund’s Board and DMC. This expense waiver and reimbursement may only be terminated by agreement of DMC and the Fund.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Fund. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DIFSC under the service agreement described above are allocated among all retail funds in the Delaware Investments Family of Funds on a relative net asset value (NAV) basis. For the six months ended April 30, 2016, the Fund was charged $968 for these services. This amount is included on the “Statement of operations” under “Accounting and administration expenses.”
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated based on the aggregate daily net assets of the retail funds within the Delaware Investments Family of Funds at the following annual rate: 0.025% of the first $20 billion; 0.020% of the next $5 billion; 0.015% of the next $5 billion; and 0.013% of average daily net assets in excess of $30 billion. The fees payable to DIFSC under the service agreement described above are allocated among all retail funds in the Delaware Investments Family of Funds on a relative NAV basis. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended April 30, 2016, the Fund was charged $4,254 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Fund. Sub-transfer agency fees are paid by the Fund and are also included in the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.”
Pursuant to a distribution agreement and distribution plan, the Fund pays DDLP, the distributor and an affiliate of DMC, an annual distribution and service fee of 0.25% of the average daily net assets of the Class A shares, 1.00% of the average daily net assets of the Class C shares, and 0.50% of the average daily net assets of the Class R shares. Institutional Class shares pay no distribution and service fee.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended April 30, 2016, the Fund was charged $434 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
* The contractual waiver period is from Feb. 27, 2015, through Feb. 28, 2017.
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
For the six months ended April 30, 2016, DDLP earned $2,619 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2016, DDLP received gross CDSC commissions of $859 on redemptions of the Fund’s Class C shares, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
3. Investments
For the six months ended April 30, 2016, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 55,824,574 | ||
Sales | 37,313,138 |
At April 30, 2016, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2016, the cost and unrealized appreciation (depreciation) of investments were as follows:
Cost of investments | $ | 57,311,115 | ||
|
| |||
Aggregate unrealized appreciation of investments | $ | 2,057,480 | ||
Aggregate unrealized depreciation of investments | (719,309 | ) | ||
|
| |||
Net unrealized appreciation of investments | $ | 1,338,171 | ||
|
|
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at Oct. 31, 2015* will expire as follows: $36,862,417 expires in 2016, $50,784,384 expires in 2017, and $3,400,957 expires in 2018.
*The amount of this loss which can be utilized in subsequent years may be subject to an annual limitation in accordance with the Internal Revenue Code due to the Fund merger with Delaware Global Real Estate Securities Fund on Sept. 28, 2012.
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation. At Oct. 31, 2015, no capital loss carryforwards was incurred under the Act.
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U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts) | |
Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) | |
Level 3 – | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
27
Table of Contents
Notes to financial statements
Delaware Global Real Estate Opportunities Fund
3. Investments (continued)
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of April 30, 2016:
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Convertible Bond | $ | — | $ | 380,496 | $— | $ | 380,496 | |||||||||
Common Stock | ||||||||||||||||
Australia | — | 3,398,237 | — | 3,398,237 | ||||||||||||
Canada | 545,730 | — | — | 545,730 | ||||||||||||
China/Hong Kong | — | 2,904,595 | — | 2,904,595 | ||||||||||||
France | — | 1,920,106 | — | 1,920,106 | ||||||||||||
Germany | — | 2,341,311 | — | 2,341,311 | ||||||||||||
Japan | — | 3,773,595 | — | 3,773,595 | ||||||||||||
Singapore | — | 857,598 | — | 857,598 | ||||||||||||
Spain | — | 690,676 | — | 690,676 | ||||||||||||
United Kingdom | 537,609 | 4,312,130 | — | 4,849,739 | ||||||||||||
United States | 33,190,375 | — | — | 33,190,375 | ||||||||||||
Short-Term Investments | — | 3,796,828 | — | 3,796,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | 34,273,714 | $ | 24,375,572 | $— | $ | 58,649,286 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 7,266 | $— | $ | 7,266 |
A security that has been valued at zero on the “Schedule of investments” is considered to be a Level 3 investment in this table.
As a result of utilizing international fair value pricing at April 30, 2016, a portion of the Fund’s common stock was categorized as Level 2.
During the six months ended April 30, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in the Fund occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Fund’s NAV is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has
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determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Fund’s net assets at the end of the period.
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 4/30/16 | Year ended 10/31/15 | |||||||||
Shares sold: | ||||||||||
Class A | 2,406,358 | 726,942 | ||||||||
Class C | 61,853 | 176,261 | ||||||||
Class R | 6,179 | 29,537 | ||||||||
Institutional Class | 2,004,701 | 1,749,605 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Class A | 11,241 | 18,184 | ||||||||
Class C | 819 | 3,126 | ||||||||
Class R | 210 | 363 | ||||||||
Institutional Class | 26,034 | 47,539 | ||||||||
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|
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| |||||||
4,517,395 | 2,751,557 | |||||||||
|
|
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| |||||||
Shares redeemed: | ||||||||||
Class A | (224,159 | ) | (483,467 | ) | ||||||
Class C | (76,682 | ) | (78,756 | ) | ||||||
Class R | (17,989 | ) | (7,087 | ) | ||||||
Institutional Class | (1,414,672 | ) | (4,423,911 | ) | ||||||
|
|
|
| |||||||
(1,733,502 | ) | (4,993,221 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) | 2,783,893 | (2,241,664 | ) | |||||||
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|
|
|
5. Line of Credit
The Fund, along with certain other funds in the Delaware Investments® Family of Funds (Participants), was a participant in a $275,000,000 revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the agreement, the Participants were charged an annual commitment fee of 0.08%, which was allocated across the Participants on the basis of each Participant’s allocation of the entire facility. The Participants were permitted to borrow up to a maximum of one third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 9, 2015.
On Nov. 9, 2015, the Fund, along with the other Participants, entered into an amendment to the agreement for a $155,000,000 revolving line of credit . Under the amendment to the agreement, the Participants are charged an annual commitment fee of 0.10%, which is allocated across the Participants on the basis of each Participant’s allocation of the entire facility. Other than the annual commitment fee,
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
5. Line of Credit (continued)
the line of credit is to be used as described above and operates in substantially the same manner as the original agreement. The line of credit available under the agreement expires on Nov. 7, 2016.
The Fund had no amounts outstanding as of April 30, 2016, or at any time during the six months then ended.
6. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — The Fund may enter into foreign currency exchange contracts as a way of managing foreign exchange rate risk. The Fund may use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. The Fund may also enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. In addition, the Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the six months ended April 30, 2016, the Fund held foreign currency exchange contracts, which are reflected on the “Statement of operations” under “Net realized gain (loss) on foreign currency exchange contracts.”
During the six months ended April 30, 2016, the Fund used foreign currency exchange contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies.
Options Contracts — The Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and
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adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
Transactions in options written during the six months ended April 30, 2016 were as follows:
Number of Contracts | Premiums | |||||||||
Options outstanding Oct. 31, 2015 | — | $ | — | |||||||
Options written | 30 | 5,900 | ||||||||
Options expired | (30) | (5,900) | ||||||||
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Options outstanding April 30, 2016 | — | $ | — | |||||||
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During the six months ended April 30, 2016, the Fund used options contracts to protect the value of portfolio securities.
Derivatives generally. The table below summarizes the average balance of derivative holdings by the Fund during the six months ended April 30, 2016:
Long Derivative Volume | Short Derivative Volume | |||||||||
Foreign currency exchange contracts (average cost) | USD 171,727 | USD 100,842 | ||||||||
Options contracts (average notional value) | — | 326 |
7. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expanded disclosure requirements on the offsetting of certain assets and liabilities. The disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the “Statement of assets and liabilities” and requires an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarified which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
7. Offsetting (continued)
counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At April 30, 2016, the Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
BNY Mellon | $7,269 | $(3) | $7,266 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(a) | ||||||
BNY Mellon | $7,266 | $— | $— | $— | $— | $7,266 |
Master Repurchase Agreements
Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 374,980 | $ | (374,980 | ) | $ | — | $ | (374,980 | ) | $ | — | |||||||||||||
Bank of Montreal | 624,967 | (624,967 | ) | — | (624,967 | ) | — | ||||||||||||||||||
BNP Paribas | 590,053 | (590,053 | ) | — | (590,053 | ) | — | ||||||||||||||||||
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Total | $ | 1,590,000 | $ | (1,590,000 | ) | $ | — | $ | (1,590,000 | ) | $ | — | |||||||||||||
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(a)Net exposure represents the net receivable (payable) that would be due from (to) the counterparty in the event of default.
8. Securities Lending
The Fund, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on
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any business day, the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan.
Prior to Dec. 29, 2015, cash collateral received was generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust), a pooled account established by BNY Mellon for the use of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust sought to maintain a NAV per unit of $1.00. Under the previous investment guidelines, the Collective Trust was permitted to invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust would generally have a dollar-weighted average portfolio maturity of 60 days or less.
On Dec. 29, 2015, the assets in the Collective Trust were transferred to a series of individual separate accounts, each corresponding to a Fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by U.S. Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities or establishments; obligations of supranational organizations, commercial paper, notes, bonds and other debt obligations; certificates of deposit, time deposits and other bank obligations; and asset-backed securities.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. The Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
8. Security Lending (continued)
circumstances, the value of a Fund’s cash collateral account may be less than the amount the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
During the six months ended April 30, 2016, the Fund had no securities out on loan.
9. Credit and Market Risk
Some countries in which the Fund may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Fund.
The Fund concentrates its investments in the real estate industry and is subject to the risks associated with that industry. If the Fund holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. The Fund is also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations. Its investments may also tend to fluctuate more widely than that of a fund that invests in a broad range of industries.
The Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A, promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Fund’s Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Fund’s 15% limit on investments in illiquid securities. As of April 30, 2016, there were no Rule 144A securities held by the Fund. Illiquid securities have been identified on the “Schedule of investments.” When monitoring compliance with the Fund’s illiquid limit, certain holdings that are common to multiple clients of the investment manager may be aggregated and considered illiquid in the aggregate solely for the monitoring purposes. For purposes of determining illiquidity for financial reporting purposes, only the holdings of this Fund will be considered.
10. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the
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Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share.” The amendments in this update are effective for the Fund for fiscal years beginning after Dec. 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if the fair value is measured at NAV per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management is evaluating the impact, if any, of this guidance on the Fund’s financial statement disclosures.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to April 30, 2016 that would require recognition or disclosure in the Fund’s financial statements.
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Board of trustees
Shawn K. Lytle President and Chief Executive Officer Delaware Investments® Family of Funds Philadelphia, PA
Thomas L. Bennett Chairman of the Board Delaware Investments Family of Funds Private Investor Rosemont, PA | Ann D. Borowiec Former Chief Executive Officer Private Wealth Management J.P. Morgan Chase & Co. New York, NY
Joseph W. Chow Former Executive Vice President State Street Corporation Boston, MA | John A. Fry President Drexel University Philadelphia, PA
Lucinda S. Landreth Former Chief Investment Officer Assurant, Inc. New York, NY | Frances A. Sevilla-Sacasa Chief Executive Officer Banco Itaú International Miami, FL
Thomas K. Whitford Former Vice Chairman PNC Financial Services Group Pittsburgh, PA
Janet L. Yeomans Former Vice President and Treasurer 3M Corporation St. Paul, MN |
Affiliated officers
David F. Connor Senior Vice President, General Counsel, and Secretary Delaware Investments Family of Funds Philadelphia, PA | Daniel V. Geatens Vice President and Treasurer Delaware Investments Family of Funds Philadelphia, PA | Richard Salus Senior Vice President and Chief Financial Officer Delaware Investments Family of Funds Philadelphia, PA |
This semiannual report is for the information of Delaware Global Real Estate Opportunities Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Investments Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawareinvestments.com/literature.
Delaware Investments is the marketing name of Delaware Management Holdings, Inc. and its subsidiaries.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Fund’s most recent Form N-Q are available without charge on the Fund’s website at delawareinvestments.com/literature. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at delawareinvestments.com/proxy; and (ii) on the SEC’s website at sec.gov.
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
PricewaterhouseCoopers LLP (“PwC”), the Independent Accountant to the series portfolios of Delaware Group Adviser Funds (“Funds”), has advised the Audit Committee of the Board of Trustees of the Funds (“Audit Committee”) that, as of the date of the filing of this Annual Report on Form N-CSR, it is in discussions with the staff of the Securities and Exchange Commission (“SEC Staff”), or the SEC, regarding the interpretation and application of Rule 2-01(c)(1)(ii)(A) of Regulation S-X, or the Loan Rule.
The Loan Rule prohibits accounting firms, such as PwC, from having certain financial relationships with their audit clients and affiliated entities. Specifically, the Loan Rule provides, in relevant part, that an accounting firm generally would not be independent if it receives a loan from a lender that is a “record or beneficial owner of more than ten percent of the audit client’s equity securities.” Under the SEC Staff’s interpretation of the Loan Rule, based on information provided to us by PwC, some of PwC’s relationships with its lenders who also own shares of one or more funds within the Delaware Investments Family of Funds investment company complex implicate the Loan Rule, calling into question PwC’s independence with respect to the Funds. PwC believes that, in light of the facts of these lending relationships, its ability to exercise objective judgment with respect to the audit of the Funds has not been impaired.
The Audit Committee has considered the lending relationships described by PwC and has concluded that (1) the lending relationships did not affect PwC’s application of objective judgment in conducting its audits and issuing reports on the Funds’ financial statements; and (2) a reasonable investor with knowledge of the lending relationships described by PwC would reach the same conclusion. In making this determination, the Audit Committee considered, among other things, PwC’s description of the relevant lending relationships and PwC’s representation that its objectivity was not impaired in conducting its audit of the Funds’ financial statements. In connection with this determination, PwC advised the Audit Committee that it believes PwC is independent and it continues to have discussions with the SEC Staff.
If the SEC were ultimately to determine that PwC was not independent with respect to the Funds for certain time periods, the Funds’ filings with the SEC that contain the Funds’ financial statements for such periods would be non-compliant with the applicable securities laws. If the SEC determines that PwC was not independent, among other things, the Funds could be required to have independent audits conducted on the Funds’ previously audited financial statements by another registered public accounting firm for the affected periods. The time involved to conduct such independent audits may impair the Funds’ ability to issue shares. Any of the foregoing possible outcomes potentially could have a material adverse effect on the Funds.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by the report to stockholders included herein (i.e., the registrant’s second fiscal quarter) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) (1) Code of Ethics
Not applicable.
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
DELAWARE GROUP® ADVISER FUNDS
/s/ SHAWN LYTLE | ||
By: | Shawn Lytle | |
Title: | President and Chief Executive Officer | |
Date: | July 5, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ SHAWN LYTLE | ||
By: | Shawn Lytle | |
Title: | President and Chief Executive Officer | |
Date: | July 5, 2016 | |
/s/ RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer | |
Date: | July 5, 2016 |