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, 2018 |
Item 1. Reports to Stockholders
Table of Contents
Fixed income mutual fund
Delaware Diversified Income Fund
April 30, 2018
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 delawarefunds.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 delawarefunds.com/edelivery.
Table of Contents
Experience Delaware Funds® by Macquarie
Macquarie Investment Management (MIM) is a global asset manager with offices throughout the United States, Europe, Asia, and Australia. We are active managers who prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for our clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 75 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus for Delaware Diversified Income Fund at delawarefunds.com/literature.
Manage your account online
· | Check your account balance and transactions |
· | View statements and tax forms |
· | Make purchases and redemptions |
Visit delawarefunds.com/account-access.
Macquarie Asset Management (MAM) offers a diverse range of product including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. Macquarie Investment Management (MIM) is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following registered investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Limited, Macquarie Investment Management Europe Limited, and Macquarie Capital Investment Management LLC.
The Fund is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted 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 MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Fund is governed by US laws and regulations.
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Unless otherwise noted, views expressed herein are current as of April 30, 2018, and subject to change for events occurring after such date.
The Fund is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
© 2018 Macquarie Management Holdings, Inc.
Table of Contents
For the six-month period from November 1, 2017 to April 30, 2018 (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, 2017 to April 30, 2018.
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.
1
Table of Contents
Disclosure of Fund expenses
For the six-month period from November 1, 2017 to April 30, 2018 (Unaudited)
Delaware Diversified Income Fund
Expense analysis of an investment of $1,000
Beginning
Account Value
11/1/17 | Ending
Account Value
4/30/18 | Annualized
Expense Ratio | Expenses
Paid During Period
11/1/17 to 4/30/18* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $1,000.00 | $986.40 | 0.85% | $4.19 | ||||||||||||
Class C | 1,000.00 | 982.80 | 1.60% | 7.87 | ||||||||||||
Class R | 1,000.00 | 986.30 | 1.10% | 5.42 | ||||||||||||
Institutional Class | 1,000.00 | 988.80 | 0.60% | 2.96 | ||||||||||||
Class R6 | 1,000.00 | 989.20 | 0.51% | 2.52 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $1,000.00 | $1,020.58 | 0.85% | $4.26 | ||||||||||||
Class C | 1,000.00 | 1,016.86 | 1.60% | 8.00 | ||||||||||||
Class R | 1,000.00 | 1,019.34 | 1.10% | 5.51 | ||||||||||||
Institutional Class | 1,000.00 | 1,021.82 | 0.60% | 3.01 | ||||||||||||
Class R6 | 1,000.00 | 1,022.27 | 0.51% | 2.56 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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 | ||
Delaware Diversified Income Fund | As of April 30, 2018 (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 | 9.62% | |
Agency Commercial Mortgage-Backed Securities | 1.38% | |
Agency Mortgage-Backed Securities | 3.39% | |
Collateralized Debt Obligations | 5.02% | |
Convertible Bonds | 3.55% | |
Corporate Bonds | 43.93% | |
Banking | 9.78% | |
Basic Industry | 4.73% | |
Brokerage | 0.74% | |
Capital Goods | 1.13% | |
Communications | 4.31% | |
Consumer Cyclical | 2.21% | |
Consumer Non-Cyclical | 3.99% | |
Electric | 4.34% | |
Energy | 5.76% | |
Finance Companies | 1.03% | |
Healthcare | 0.54% | |
Insurance | 1.46% | |
Media | 0.75% | |
Real Estate | 1.07% | |
Services | 0.32% | |
Technology | 0.95% | |
Transportation | 0.57% | |
Utilities | 0.25% | |
Loan Agreements | 9.53% | |
Municipal Bonds | 0.18% | |
Non-Agency Asset-Backed Securities | 1.72% | |
Non-Agency Collateralized Mortgage Obligations | 2.12% | |
Non-Agency Commercial Mortgage-Backed Securities | 5.68% | |
Regional Bonds | 0.56% | |
Sovereign Bonds | 5.61% | |
Supranational Banks | 1.78% | |
US Treasury Obligations | 1.94% | |
Common Stock | 0.00% | |
Convertible Preferred Stock | 0.76% | |
Preferred Stock | 0.48% | |
Options Purchased | 0.01% |
3
Table of Contents
Security type / sector allocation
Delaware Diversified Income Fund
Security type / sector | Percentage of net assets | |||
Short-Term Investments | 3.11% | |||
Securities Lending Collateral | 2.13% | |||
Total Value of Securities | 102.52% | |||
Obligation to Return Securities Lending Collateral | (2.12% | ) | ||
Liabilities Net of Receivables and Other Assets | (0.40% | ) | ||
Total Net Assets | 100.00% |
4
Table of Contents
Schedule of investments | ||
Delaware Diversified Income Fund | April 30, 2018 (Unaudited) |
Principal amount° | Value (US $) | |||||||
Agency Asset-Backed Securities – 0.02% | ||||||||
Fannie Mae Grantor Trust | ||||||||
Series 2003-T4 2A5 4.733% 9/26/33 ● | 643,019 | $ | 685,311 | |||||
Fannie Mae REMIC Trust | ||||||||
Series 2001-W2 AS5 6.473% 10/25/31 f | 157 | 156 | ||||||
Series 2002-W11 AV1 2.237% (LIBOR01M + 0.34%) 11/25/32 ● | 3,215 | 3,147 | ||||||
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Total Agency Asset-Backed Securities (cost $622,576) | 688,614 | |||||||
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Agency Collateralized Mortgage Obligations – 9.62% | ||||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2016-C03 1M1 3.897% (LIBOR01M + 2.00%) 10/25/28 ● | 3,422,841 | 3,469,919 | ||||||
Series 2016-C04 1M1 3.347% (LIBOR01M + 1.45%) 1/25/29 ● | 2,123,385 | 2,140,316 | ||||||
Series 2017-C01 1M1 3.197% (LIBOR01M + 1.30%) 7/25/29 ● | 2,014,265 | 2,031,115 | ||||||
Series 2017-C04 2M2 4.747% (LIBOR01M + 2.85%) 11/25/29 ● | 1,860,000 | 1,948,736 | ||||||
Series 2018-C01 1M2 4.147% (LIBOR01M + 2.25%, Floor 2.25%) 7/25/30 ● | 2,915,000 | 2,983,329 | ||||||
Series 2018-C02 2M2 4.097% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 ● | 2,620,000 | 2,651,952 | ||||||
Fannie Mae Grantor Trust | ||||||||
Series 1999-T2 A1 7.50% 1/19/39 ● | 8,702 | 9,410 | ||||||
Series 2002-T1 A2 7.00% 11/25/31 | 737,327 | 838,522 | ||||||
Series 2002-T4 A3 7.50% 12/25/41 | 91,817 | 101,002 | ||||||
Series 2002-T19 A1 6.50% 7/25/42 | 78,634 | 88,376 | ||||||
Series 2004-T1 1A2 6.50% 1/25/44 | 32,918 | 36,573 | ||||||
Fannie Mae Interest Strip | ||||||||
Series 413 167 4.50% 7/25/42 S● | 166,443 | 43,173 | ||||||
Series 418 C12 3.00% 8/25/33 S | 9,933,236 | 1,305,485 | ||||||
Series 419 C2 3.00% 5/25/29 S | 2,013,185 | 189,398 | ||||||
Series 419 C3 3.00% 11/25/43 S | 1,862,310 | 371,830 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series 2002-W1 2A 7.50% 2/25/42 ● | 465,012 | 505,220 | ||||||
Series 2002-W6 2A 7.50% 6/25/42 ● | 20,290 | 21,999 | ||||||
Series 2003-W1 2A 6.019% 12/25/42 ● | 11,307 | 12,340 | ||||||
Series 2004-W11 1A2 6.50% 5/25/44 | 222,966 | 246,697 | ||||||
Fannie Mae REMICs | ||||||||
Series 2002-63 EZ 6.00% 10/25/32 | 30,021 | 32,824 | ||||||
Series 2002-84 DZ 5.50% 12/25/32 | 607,669 | 661,354 | ||||||
Series 2002-90 A1 6.50% 6/25/42 | 729 | 816 | ||||||
Series 2003-11 BY 5.50% 2/25/33 | 21,479 | 23,381 | ||||||
Series 2003-78 B 5.00% 8/25/23 | 69,822 | 72,631 |
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Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICs | ||||||||
Series 2008-15 SB 4.703% (6.60% minus LIBOR01M, Cap 6.60%) 8/25/36 S● | 632,960 | $ | 104,415 | |||||
Series 2009-11 MP 7.00% 3/25/49 | 2,564 | 2,871 | ||||||
Series 2010-41 PN 4.50% 4/25/40 | 33,000 | 34,271 | ||||||
Series 2010-96 DC 4.00% 9/25/25 | 5,492,950 | 5,806,076 | ||||||
Series 2010-129 SM 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 11/25/40 S● | 4,690,012 | 626,050 | ||||||
Series 2011-101 EI 3.50% 10/25/26 S | 20,149 | 1,924 | ||||||
Series 2012-19 HB 4.00% 1/25/42 | 481,548 | 483,814 | ||||||
Series 2012-19 NI 3.50% 10/25/31 S | 2,564,141 | 348,595 | ||||||
Series 2012-98 DI 3.50% 9/25/27 S | 5,698,621 | 583,555 | ||||||
Series 2012-98 IY 3.00% 9/25/27 S | 2,562,715 | 237,733 | ||||||
Series 2012-98 MI 3.00% 8/25/31 S | 6,396,644 | 731,918 | ||||||
Series 2012-99 AI 3.50% 5/25/39 S | 2,127,636 | 234,686 | ||||||
Series 2012-115 MI 3.50% 3/25/42 S | 1,129,133 | 140,590 | ||||||
Series 2012-118 AI 3.50% 11/25/37 S | 126,637 | 14,626 | ||||||
Series 2012-120 WI 3.00% 11/25/27 S | 4,932,576 | 482,308 | ||||||
Series 2012-122 SD 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 11/25/42 S● | 10,310,632 | 1,828,208 | ||||||
Series 2012-125 MI 3.50% 11/25/42 S | 53,550 | 11,678 | ||||||
Series 2012-128 IC 3.00% 11/25/32 S | 8,605,132 | 1,130,072 | ||||||
Series 2012-137 AI 3.00% 12/25/27 S | 2,227,766 | 204,388 | ||||||
Series 2012-139 NS 4.803% (6.70% minus LIBOR01M, Cap 6.70%) 12/25/42 S● | 5,103,773 | 1,128,225 | ||||||
Series 2012-144 EI 3.00% 1/25/28 S | 2,870,122 | 251,162 | ||||||
Series 2012-144 PI 3.50% 6/25/42 S | 1,641,775 | 222,114 | ||||||
Series 2012-146 IO 3.50% 1/25/43 S | 7,555,456 | 1,520,044 | ||||||
Series 2012-149 IC 3.50% 1/25/28 S | 5,639,120 | 603,733 | ||||||
Series 2012-150 KC 2.50% 1/25/43 | 596,433 | 566,000 | ||||||
Series 2013-1 YI 3.00% 2/25/33 S | 6,826,343 | 917,164 | ||||||
Series 2013-2 CS 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 2/25/43 S● | 5,792,826 | 1,022,820 | ||||||
Series 2013-2 DA 2.00% 11/25/42 | 832 | 721 | ||||||
Series 2013-2 LZ 3.00% 2/25/43 | 857,728 | 783,195 | ||||||
Series 2013-7 EI 3.00% 10/25/40 S | 3,811,360 | 517,553 | ||||||
Series 2013-7 GP 2.50% 2/25/43 | 2,000 | 1,755 | ||||||
Series 2013-20 IH 3.00% 3/25/33 S | 2,105,363 | 300,669 | ||||||
Series 2013-23 IL 3.00% 3/25/33 S | 1,926,224 | 272,763 | ||||||
Series 2013-26 ID 3.00% 4/25/33 S | 8,751,197 | 1,249,767 | ||||||
Series 2013-31 MI 3.00% 4/25/33 S | 3,025,087 | 434,807 | ||||||
Series 2013-35 IB 3.00% 4/25/33 S | 4,978,475 | 656,537 | ||||||
Series 2013-35 IG 3.00% 4/25/28 S | 3,724,380 | 345,325 | ||||||
Series 2013-38 AI 3.00% 4/25/33 S | 8,711,565 | 1,180,961 |
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Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICs | ||||||||
Series 2013-41 HI 3.00% 2/25/33 S | 6,214,517 | $ | 693,683 | |||||
Series 2013-43 IX 4.00% 5/25/43 S | 20,304,407 | 4,958,562 | ||||||
Series 2013-44 DI 3.00% 5/25/33 S | 25,378,034 | 3,647,004 | ||||||
Series 2013-44 Z 3.00% 5/25/43 | 145,465 | 131,728 | ||||||
Series 2013-45 PI 3.00% 5/25/33 S | 710,991 | 101,500 | ||||||
Series 2013-51 PI 3.00% 11/25/32 S | 110,828 | 13,210 | ||||||
Series 2013-55 AI 3.00% 6/25/33 S | 8,237,139 | 1,192,871 | ||||||
Series 2013-59 PY 2.50% 6/25/43 | 524,000 | 458,984 | ||||||
Series 2013-62 PY 2.50% 6/25/43 | 117,000 | 101,433 | ||||||
Series 2013-64 KI 3.00% 2/25/33 S | 139,504 | 18,965 | ||||||
Series 2013-69 IJ 3.00% 7/25/33 S | 1,544,798 | 218,745 | ||||||
Series 2013-71 ZA 3.50% 7/25/43 | 10,656 | 10,412 | ||||||
Series 2013-72 ZL 3.50% 7/25/43 | 157,267 | 148,344 | ||||||
Series 2013-75 JI 3.00% 9/25/32 S | 57,040 | 7,117 | ||||||
Series 2013-92 SA 4.053% (5.95% minus LIBOR01M, Cap 5.95%) 9/25/43 S● | 9,000,245 | 1,663,060 | ||||||
Series 2013-101 HS 4.603% (6.50% minus LIBOR01M, Cap 6.50%) 10/25/43 S● | 2,824,067 | 618,058 | ||||||
Series 2013-103 SK 4.023% (5.92% minus LIBOR01M, Cap 5.92%) 10/25/43 S● | 8,041,233 | 1,580,326 | ||||||
Series 2014-5 JL 4.00% 2/25/44 | 78,000 | 81,995 | ||||||
Series 2014-21 ID 3.50% 6/25/33 S | 81,233 | 11,744 | ||||||
Series 2014-36 ZE 3.00% 6/25/44 | 4,588,028 | 4,092,378 | ||||||
Series 2014-46 IK 3.00% 9/25/40 S | 120,894 | 14,447 | ||||||
Series 2014-63 KI 3.50% 11/25/33 S | 46,290 | 6,003 | ||||||
Series 2014-68 BS 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 11/25/44 S● | 6,664,078 | 1,241,796 | ||||||
Series 2014-72 ZJ 3.00% 11/25/44 | 439,890 | 410,803 | ||||||
Series 2014-77 AI 3.00% 10/25/40 S | 338,519 | 43,349 | ||||||
Series 2014-85 IB 3.00% 12/25/44 S | 1,253,064 | 238,565 | ||||||
Series 2014-90 SA 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 1/25/45 S● | 31,135,606 | 5,665,279 | ||||||
Series 2014-94 AI 3.00% 10/25/32 S | 51,413 | 5,009 | ||||||
Series 2015-27 SA 4.553% (6.45% minus LIBOR01M, Cap 6.45%) 5/25/45 S● | 2,518,782 | 496,385 | ||||||
Series 2015-31 ZD 3.00% 5/25/45 | 704,569 | 593,640 | ||||||
Series 2015-34 OK 0.939% 3/25/44 W | 2,280,667 | 1,835,357 | ||||||
Series 2015-40 GZ 3.50% 5/25/45 | 2,074,414 | 1,974,833 | ||||||
Series 2015-43 PZ 3.50% 6/25/45 | 2,170,835 | 2,079,142 | ||||||
Series 2015-44 Z 3.00% 9/25/43 | 9,367,257 | 8,771,677 | ||||||
Series 2015-45 AI 3.00% 1/25/33 S | 57,382 | 6,658 | ||||||
Series 2015-56 MI 3.50% 10/25/41 S | 2,204,943 | 352,136 | ||||||
Series 2015-57 LI 3.50% 8/25/35 S | 7,424,522 | 1,191,569 |
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Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICs | ||||||||
Series 2015-59 CI 3.50% 8/25/30 S | 2,854,947 | $ | 280,882 | |||||
Series 2015-66 KI 3.00% 9/25/45 S | 2,078,835 | 357,062 | ||||||
Series 2015-71 PI 4.00% 3/25/43 S | 160,143 | 27,312 | ||||||
Series 2015-89 AZ 3.50% 12/25/45 | 1,556,025 | 1,451,732 | ||||||
Series 2015-90 AZ 3.00% 6/25/41 | 598,837 | 537,159 | ||||||
Series 2015-95 SH 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 1/25/46 S● | 6,015,091 | 1,135,626 | ||||||
Series 2016-2 HI 3.00% 12/25/41 S | 69,136 | 10,132 | ||||||
Series 2016-6 AI 3.50% 4/25/34 S | 4,747,812 | 607,632 | ||||||
Series 2016-17 BI 4.00% 2/25/43 S | 241,346 | 40,417 | ||||||
Series 2016-23 AI 3.50% 2/25/41 S | 2,053,237 | 311,954 | ||||||
Series 2016-33 DI 3.50% 6/25/36 S | 9,574,096 | 1,446,807 | ||||||
Series 2016-33 EL 3.00% 6/25/46 | 45,000 | 40,165 | ||||||
Series 2016-36 SB 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 3/25/43 S● | 3,164,749 | 422,457 | ||||||
Series 2016-40 IO 3.50% 7/25/36 S | 1,262,734 | 211,126 | ||||||
Series 2016-40 ZC 3.00% 7/25/46 | 1,636,469 | 1,464,516 | ||||||
Series 2016-55 SK 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 8/25/46 S● | 5,041,193 | 978,694 | ||||||
Series 2016-61 ML 3.00% 9/25/46 | 2,000 | 1,835 | ||||||
Series 2016-62 SA 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 9/25/46 S● | 9,966,582 | 1,979,433 | ||||||
Series 2016-64 CI 3.50% 7/25/43 S | 4,700,824 | 649,302 | ||||||
Series 2016-71 PI 3.00% 10/25/46 S | 2,889,550 | 444,236 | ||||||
Series 2016-72 AZ 3.00% 10/25/46 | 41,943 | 37,657 | ||||||
Series 2016-74 GS 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 10/25/46 S● | 6,982,191 | 1,512,509 | ||||||
Series 2016-79 AZ 3.00% 11/25/46 | 1,045,969 | 943,472 | ||||||
Series 2016-79 JS 4.153% (6.05% minus LIBOR01M, Cap 6.05%) 11/25/46 S● | 11,457,549 | 2,335,125 | ||||||
Series 2016-80 BZ 3.00% 11/25/46 | 55,436 | 47,137 | ||||||
Series 2016-80 CZ 3.00% 11/25/46 | 48,115 | 40,909 | ||||||
Series 2016-80 JZ 3.00% 11/25/46 | 5,230 | 4,615 | ||||||
Series 2016-85 SA 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 11/25/46 S● | 10,140,567 | 2,050,660 | ||||||
Series 2016-90 CI 3.00% 2/25/45 S | 1,034,823 | 158,795 | ||||||
Series 2016-95 IO 3.00% 12/25/46 S | 496,362 | 89,636 | ||||||
Series 2016-95 LZ 2.50% 12/25/46 | 875,784 | 727,947 | ||||||
Series 2016-95 US 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 12/25/46 S● | 462,164 | 83,773 | ||||||
Series 2016-99 DI 3.50% 1/25/46 S | 2,874,176 | 522,045 | ||||||
Series 2016-101 ZP 3.50% 1/25/47 | 3,143 | 2,947 |
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Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICs | ||||||||
Series 2016-105 SA 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 1/25/47 S● | 6,344,293 | $ | 1,214,034 | |||||
Series 2017-4 BI 3.50% 5/25/41 S | 2,844,224 | 438,254 | ||||||
Series 2017-6 NI 3.50% 3/25/46 S | 582,847 | 109,076 | ||||||
Series 2017-8 BZ 3.00% 2/25/47 | 5,170,054 | 4,525,587 | ||||||
Series 2017-8 SG 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 2/25/47 S● | 8,287,950 | 1,603,574 | ||||||
Series 2017-11 EI 3.00% 3/25/42 S | 8,316,076 | 1,320,301 | ||||||
Series 2017-16 SM 4.153% (6.05% minus LIBOR01M, Cap 6.05%) 3/25/47 S● | 9,944,584 | 1,913,857 | ||||||
Series 2017-16 WI 3.00% 1/25/45 S | 1,807,395 | 275,635 | ||||||
Series 2017-16 YT 3.00% 7/25/46 | 1,329,000 | 1,274,966 | ||||||
Series 2017-21 ZD 3.50% 4/25/47 | 1,840,377 | 1,731,033 | ||||||
Series 2017-25 BL 3.00% 4/25/47 | 726,000 | 672,273 | ||||||
Series 2017-25 GS 4.803% (6.70% minus LIBOR01M, Cap 6.70%) 4/25/47 S● | 9,248,356 | 1,358,295 | ||||||
Series 2017-26 VZ 3.00% 4/25/47 | 4,069,988 | 3,576,473 | ||||||
Series 2017-27 EM 3.00% 4/25/47 | 5,000 | 4,574 | ||||||
Series 2017-28 Z 3.50% 4/25/47 | 5,193 | 4,988 | ||||||
Series 2017-39 CY 3.50% 5/25/47 | 4,178,523 | 4,092,742 | ||||||
Series 2017-40 GZ 3.50% 5/25/47 | 1,599,951 | 1,531,032 | ||||||
Series 2017-45 JZ 3.00% 6/25/47 | 542,703 | 458,552 | ||||||
Series 2017-45 ZK 3.50% 6/25/47 | 1,161,625 | 1,066,070 | ||||||
Series 2017-46 BI 3.00% 4/25/47 S | 83,711 | 13,974 | ||||||
Series 2017-46 VG 3.50% 4/25/38 | 928,000 | 909,904 | ||||||
Series 2017-55 HY 3.00% 7/25/47 | 16,000 | 14,591 | ||||||
Series 2017-61 SB 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 8/25/47 S● | 13,509,198 | 2,667,606 | ||||||
Series 2017-61 TB 3.00% 8/25/44 | 1,232,000 | 1,139,806 | ||||||
Series 2017-66 QY 3.00% 9/25/43 | 3,000 | 2,840 | ||||||
Series 2017-67 BZ 3.00% 9/25/47 | 1,020 | 873 | ||||||
Series 2017-69 SG 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 9/25/47 S● | 6,545,651 | 1,288,018 | ||||||
Series 2017-77 HZ 3.50% 10/25/47 | 2,154,479 | 2,088,106 | ||||||
Series 2017-88 EI 3.00% 11/25/47 S | 5,181,064 | 1,002,958 | ||||||
Series 2017-94 CZ 3.50% 11/25/47 | 1,341,234 | 1,280,410 | ||||||
Series 2017-96 EZ 3.50% 12/25/47 | 2,354,031 | 2,266,968 | ||||||
Series 2017-99 IE 3.00% 12/25/47 S | 4,024,110 | 824,298 | ||||||
Series 2018-8 MU 3.00% 2/25/48 | 3,720,000 | 3,428,823 | ||||||
Series 2018-21 IO 3.00% 4/25/48 S | 9,773,092 | 1,950,656 | ||||||
Freddie Mac REMICs | ||||||||
Series 2708 ZD 5.50% 11/15/33 | 254,077 | 276,949 | ||||||
Series 2981 NE 5.00% 5/15/35 | 41,424 | 44,537 |
9
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICs | ||||||||
Series 3139 HC 6.00% 4/15/36 | 59,532 | $ | 66,086 | |||||
Series 3139 ZT 5.50% 4/15/36 | 92,985 | 102,602 | ||||||
Series 3574 D 5.00% 9/15/39 | 3,517 | 3,775 | ||||||
Series 3578 EO 0.481% 5/15/37 W | 522,819 | 470,436 | ||||||
Series 3656 PM 5.00% 4/15/40 | 461,621 | 492,600 | ||||||
Series 3939 EI 3.00% 3/15/26 S | 42,782 | 2,818 | ||||||
Series 4016 AI 3.00% 9/15/25 S | 6,824,985 | 251,703 | ||||||
Series 4050 EI 4.00% 2/15/39 S | 4,964,524 | 532,974 | ||||||
Series 4065 DE 3.00% 6/15/32 | 1,631,000 | 1,575,127 | ||||||
Series 4076 QB 1.75% 11/15/41 | 470,504 | 434,876 | ||||||
Series 4088 PI 3.00% 12/15/40 S | 41,543 | 5,505 | ||||||
Series 4097 VY 1.50% 8/15/42 | 341,521 | 282,994 | ||||||
Series 4100 EI 3.00% 8/15/27 S | 32,292 | 3,099 | ||||||
Series 4101 WI 3.50% 8/15/32 S | 2,613,378 | 447,687 | ||||||
Series 4109 AI 3.00% 7/15/31 S | 11,953,086 | 1,485,299 | ||||||
Series 4120 IK 3.00% 10/15/32 S | 10,461,141 | 1,514,287 | ||||||
Series 4122 LI 3.00% 10/15/27 S | 496,347 | 48,939 | ||||||
Series 4123 DI 3.00% 10/15/27 S | 13,747,578 | 1,199,688 | ||||||
Series 4135 AI 3.50% 11/15/42 S | 4,692,876 | 989,385 | ||||||
Series 4136 EZ 3.00% 11/15/42 | 2,813,018 | 2,648,137 | ||||||
Series 4139 IP 3.50% 4/15/42 S | 1,628,779 | 213,744 | ||||||
Series 4142 HA 2.50% 12/15/32 | 819,606 | 796,256 | ||||||
Series 4142 IO 3.00% 12/15/27 S | 3,019,793 | 276,783 | ||||||
Series 4146 AI 3.00% 12/15/27 S | 3,472,452 | 305,004 | ||||||
Series 4146 IA 3.50% 12/15/32 S | 5,385,995 | 851,798 | ||||||
Series 4150 IO 3.50% 1/15/43 S | 6,426,777 | 1,333,365 | ||||||
Series 4150 PQ 2.50% 1/15/43 | 183,734 | 162,934 | ||||||
Series 4150 UI 3.50% 8/15/32 S | 7,697,312 | 861,801 | ||||||
Series 4152 GW 2.50% 1/15/43 | 1,000 | 871 | ||||||
Series 4153 IB 2.50% 1/15/28 S | 2,690,454 | 231,436 | ||||||
Series 4156 AI 3.00% 10/15/31 S | 2,626,766 | 298,486 | ||||||
Series 4158 ZT 3.00% 1/15/43 | 242,765 | 216,926 | ||||||
Series 4159 KS 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 1/15/43 S● | 4,888,667 | 958,203 | ||||||
Series 4161 IM 3.50% 2/15/43 S | 1,484,379 | 338,648 | ||||||
Series 4161 UI 2.50% 2/15/28 S | 2,393,829 | 181,773 | ||||||
Series 4171 MN 3.00% 2/15/43 | 739,000 | 681,839 | ||||||
Series 4171 Z 3.00% 2/15/43 | 1,133,460 | 1,030,897 | ||||||
Series 4180 ZB 3.00% 3/15/43 | 706,907 | 668,532 | ||||||
Series 4181 DI 2.50% 3/15/33 S | 3,282,747 | 409,734 | ||||||
Series 4184 GS 4.223% (6.12% minus LIBOR01M, Cap 6.12%) 3/15/43 S● | 5,417,787 | 1,048,465 |
10
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICs | ||||||||
Series 4185 LI 3.00% 3/15/33 S | 6,418,267 | $ | 941,573 | |||||
Series 4186 IB 3.00% 3/15/33 S | 4,090,571 | 537,637 | ||||||
Series 4186 IE 3.00% 3/15/33 S | 381,008 | 54,995 | ||||||
Series 4188 JI 3.00% 4/15/33 S | 5,704,259 | 670,658 | ||||||
Series 4191 CI 3.00% 4/15/33 S | 2,624,746 | 376,737 | ||||||
Series 4197 LZ 4.00% 4/15/43 | 3,663 | 3,740 | ||||||
Series 4206 DZ 3.00% 5/15/33 | 477,527 | 460,906 | ||||||
Series 4216 KI 3.50% 6/15/28 S | 5,578,245 | 569,340 | ||||||
Series 4217 HI 2.50% 6/15/28 S | 1,070,830 | 95,755 | ||||||
Series 4223 HI 3.00% 4/15/30 S | 87,894 | 7,190 | ||||||
Series 4226 GZ 3.00% 7/15/43 | 538,427 | 487,348 | ||||||
Series 4251 KI 2.50% 4/15/28 S | 356,686 | 22,162 | ||||||
Series 4278 HI 4.00% 12/15/28 S | 324,614 | 34,295 | ||||||
Series 4342 CI 3.00% 11/15/33 S | 1,969,238 | 245,969 | ||||||
Series 4356 GZ 2.00% 1/15/43 | 149,572 | 120,513 | ||||||
Series 4366 DI 3.50% 5/15/33 S | 64,281 | 8,932 | ||||||
Series 4389 ZC 3.00% 9/15/44 | 893,732 | 842,026 | ||||||
Series 4391 GZ 2.50% 12/15/40 | 110,719 | 101,163 | ||||||
Series 4403 CZ 3.00% 10/15/44 | 127,950 | 113,313 | ||||||
Series 4433 DI 3.00% 8/15/32 S | 178,697 | 18,148 | ||||||
Series 4435 DY 3.00% 2/15/35 | 6,643,571 | 6,426,119 | ||||||
Series 4448 TS 1.632% 5/15/40 S● | 15,887,619 | 1,178,930 | ||||||
Series 4453 DI 3.50% 11/15/33 S | 2,366,326 | 328,038 | ||||||
Series 4464 DA 2.50% 1/15/43 | 2,268,221 | 2,043,707 | ||||||
Series 4476 GI 3.00% 6/15/41 S | 62,341 | 8,039 | ||||||
Series 4479 TI 4.00% 7/15/34 S | 1,074,253 | 180,340 | ||||||
Series 4487 ZC 3.50% 6/15/45 | 81,703 | 76,246 | ||||||
Series 4494 SA 4.283% (6.18% minus LIBOR01M, Cap 6.18%) 7/15/45 S● | 1,326,204 | 248,593 | ||||||
Series 4504 IO 3.50% 5/15/42 S | 2,236,893 | 265,763 | ||||||
Series 4518 CI 3.50% 6/15/42 S | 119,017 | 14,954 | ||||||
Series 4520 AI 3.50% 10/15/35 S | 1,419,832 | 274,563 | ||||||
Series 4527 CI 3.50% 2/15/44 S | 6,258,596 | 1,115,561 | ||||||
Series 4567 LI 4.00% 8/15/45 S | 416,187 | 81,337 | ||||||
Series 4574 AI 3.00% 4/15/31 S | 5,887,369 | 749,033 | ||||||
Series 4581 LI 3.00% 5/15/36 S | 2,346,533 | 329,575 | ||||||
Series 4592 WT 5.50% 6/15/46 | 77,400 | 84,175 | ||||||
Series 4594 SG 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 6/15/46 S● | 14,899,660 | 3,157,512 | ||||||
Series 4596 ZH 3.00% 11/15/45 | 2,709,841 | 2,461,516 | ||||||
Series 4601 IN 3.50% 7/15/46 S | 23,082,357 | 5,006,300 | ||||||
Series 4609 QZ 3.00% 8/15/46 | 2,065,213 | 1,780,697 |
11
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICs | ||||||||
Series 4610 IB 3.00% 6/15/41 S | 19,616,489 | $ | 2,490,551 | |||||
Series 4614 HB 2.50% 9/15/46 | 2,852,000 | 2,501,912 | ||||||
Series 4615 GW 2.50% 4/15/41 | 1,000 | 892 | ||||||
Series 4618 SA 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 9/15/46 S● | 5,856,001 | 1,287,697 | ||||||
Series 4623 LZ 2.50% 10/15/46 | 2,570,290 | 2,102,181 | ||||||
Series 4623 MS 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 10/15/46 S● | 2,217,679 | 478,964 | ||||||
Series 4623 MW 2.50% 10/15/46 | 2,955,000 | 2,615,631 | ||||||
Series 4623 WI 4.00% 8/15/44 S | 89,300 | 15,771 | ||||||
Series 4625 PZ 3.00% 6/15/46 | 1,303,278 | 1,162,590 | ||||||
Series 4627 PI 3.50% 5/15/44 S | 7,609,762 | 1,115,538 | ||||||
Series 4629 KB 3.00% 11/15/46 | 40,000 | 36,729 | ||||||
Series 4631 GS 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 11/15/46 S● | 10,365,502 | 1,831,063 | ||||||
Series 4631 LJ 3.00% 3/15/41 | 776,000 | 738,021 | ||||||
Series 4636 NZ 3.00% 12/15/46 | 3,215,945 | 2,851,544 | ||||||
Series 4643 QI 3.50% 9/15/45 S | 92,825 | 16,517 | ||||||
Series 4644 GI 3.50% 5/15/40 S | 3,588,412 | 517,591 | ||||||
Series 4648 MZ 3.00% 6/15/46 | 559,570 | 504,373 | ||||||
Series 4648 ND 3.00% 9/15/46 | 432,000 | 394,204 | ||||||
Series 4648 SA 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 1/15/47 S● | 7,612,519 | 1,577,785 | ||||||
Series 4650 JE 3.00% 7/15/46 | 524,000 | 490,083 | ||||||
Series 4655 WI 3.50% 8/15/43 S | 2,840,816 | 396,004 | ||||||
Series 4657 JZ 3.50% 2/15/47 | 626,012 | 593,023 | ||||||
Series 4657 NW 3.00% 4/15/45 | 682,000 | 649,794 | ||||||
Series 4657 PS 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 2/15/47 S● | 7,394,760 | 1,429,994 | ||||||
Series 4660 GI 3.00% 8/15/43 S | 2,172,733 | 392,196 | ||||||
Series 4663 AI 3.00% 3/15/42 S | 5,156,932 | 717,676 | ||||||
Series 4663 HZ 3.50% 3/15/47 | 730,127 | 696,889 | ||||||
Series 4664 ZC 3.00% 9/15/45 | 540,255 | 464,554 | ||||||
Series 4665 NI 3.50% 7/15/41 S | 14,820,073 | 1,983,516 | ||||||
Series 4673 WI 3.50% 9/15/43 S | 3,412,976 | 530,649 | ||||||
Series 4675 KS 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 4/15/47 S● | 5,795,996 | 1,100,378 | ||||||
Series 4676 KZ 2.50% 7/15/45 | 1,604,831 | 1,315,707 | ||||||
Series 4681 WI 1.461% 8/15/33 S● | 17,458,130 | 1,247,169 | ||||||
Series 4690 WI 3.50% 12/15/43 S | 4,605,996 | 754,123 | ||||||
Series 4693 EI 3.50% 8/15/42 S | 2,406,417 | 375,344 | ||||||
Series 4700 WI 3.50% 1/15/44 S | 4,078,494 | 695,437 | ||||||
Series 4703 CI 3.50% 7/15/42 S | 7,271,402 | 1,011,316 |
12
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac Strips | ||||||||
Series 267 S5 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 8/15/42 S● | 6,653,372 | $ | 1,166,478 | |||||
Series 284 S6 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 10/15/42 S● | 5,477,109 | 1,047,253 | ||||||
Series 299 S1 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 1/15/43 S● | 5,135,721 | 867,405 | ||||||
Series 303 151 4.297% 12/15/42 S● | 782,042 | 221,804 | ||||||
Series 304 C38 3.50% 12/15/27 S | 3,298,392 | 306,828 | ||||||
Series 319 S2 4.103% (6.00% minus LIBOR01M, Cap 6.00%) 11/15/43 S● | 1,976,198 | 363,497 | ||||||
Series 326 S2 4.053% (5.95% minus LIBOR01M, Cap 5.95%) 3/15/44 S● | 5,153,376 | 854,102 | ||||||
Series 337 S1 4.153% (6.05% minus LIBOR01M, Cap 6.05%) 9/15/44 S● | 4,380,695 | 776,603 | ||||||
Series 350 S5 1.389% 9/15/40 S● | 8,151,372 | 463,381 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2015-DNA3 M2 4.747% (LIBOR01M + 2.85%) 4/25/28 ● | 2,250,465 | 2,334,503 | ||||||
Series 2015-HQA1 M2 4.547% (LIBOR01M + 2.65%) 3/25/28 ● | 1,249,259 | 1,273,498 | ||||||
Series 2015-HQA2 M2 4.697% (LIBOR01M + 2.80%) 5/25/28 ● | 1,594,475 | 1,640,041 | ||||||
Series 2016-DNA1 M2 4.772% (LIBOR01M + 2.90%) 7/25/28 ● | 1,552,382 | 1,593,699 | ||||||
Series 2016-DNA3 M2 3.897% (LIBOR01M + 2.00%) 12/25/28 ● | 1,485,000 | 1,510,385 | ||||||
Series 2016-DNA4 M2 3.197% (LIBOR01M + 1.30%, Floor 1.30%) 3/25/29 ● | 1,225,000 | 1,239,786 | ||||||
Series 2016-HQA2 M2 4.147% (LIBOR01M + 2.25%) 11/25/28 ● | 1,660,465 | 1,700,126 | ||||||
Series 2017-DNA1 M2 5.147% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 ● | 4,500,000 | 4,870,751 | ||||||
Series 2017-DNA3 M2 4.397% (LIBOR01M + 2.50%) 3/25/30 ● | 1,420,000 | 1,472,807 | ||||||
Series 2017-HQA3 M2 4.247% (LIBOR01M + 2.35%) 4/25/30 ● | 3,480,000 | 3,565,173 | ||||||
Series 2018-DNA1 M2 3.697% (LIBOR01M + 1.80%) 7/25/30 ● | 4,400,000 | 4,380,177 | ||||||
Series 2018-HQA1 M2 4.197% (LIBOR01M + 2.30%) 9/25/30 ● | 1,455,000 | 1,476,442 | ||||||
Freddie Mac Structured Pass Through Certificates | ||||||||
Series T-42 A5 7.50% 2/25/42 ¨ | 62,292 | 70,103 | ||||||
Series T-54 2A 6.50% 2/25/43 ¨ | 18,426 | 20,771 | ||||||
Series T-58 2A 6.50% 9/25/43 ¨ | 395,543 | 439,811 |
13
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
GNMA | ||||||||
Series 2010-113 KE 4.50% 9/20/40 | 190,000 | $ | 200,280 | |||||
Series 2011-157 SG 4.703% (6.60% minus LIBOR01M, Cap 6.60%) 12/20/41 S● | 4,272,488 | 850,778 | ||||||
Series 2012-108 PB 2.75% 9/16/42 | 1,000 | 905 | ||||||
Series 2012-136 MX 2.00% 11/20/42 | 1,210,000 | 1,033,091 | ||||||
Series 2012-145 PY 2.00% 12/20/42 | 1,923,000 | 1,648,533 | ||||||
Series 2013-88 LZ 2.50% 6/16/43 | 15,796 | 13,516 | ||||||
Series 2013-113 AZ 3.00% 8/20/43 | 4,890,110 | 4,634,628 | ||||||
Series 2013-113 LY 3.00% 5/20/43 | 862,000 | 833,272 | ||||||
Series 2013-182 CZ 2.50% 12/20/43 | 1,596,783 | 1,401,903 | ||||||
Series 2014-12 ZB 3.00% 1/16/44 | 2,272 | 2,082 | ||||||
Series 2015-64 GZ 2.00% 5/20/45 | 3,081,469 | 2,317,538 | ||||||
Series 2015-76 MZ 3.00% 5/20/45 | 1,869,436 | 1,766,900 | ||||||
Series 2015-111 IH 3.50% 8/20/45 S | 7,108,140 | 1,028,436 | ||||||
Series 2015-127 LM 3.00% 9/20/45 | 514,000 | 470,699 | ||||||
Series 2015-133 AL 3.00% 5/20/45 | 9,661,978 | 9,270,432 | ||||||
Series 2015-139 EY 2.50% 9/16/45 | 1,548,000 | 1,375,403 | ||||||
Series 2015-142 AI 4.00% 2/20/44 S | 1,527,357 | 209,232 | ||||||
Series 2015-157 HZ 3.00% 10/20/45 | 510,471 | 439,300 | ||||||
Series 2015-185 PZ 3.00% 12/20/45 | 1,122,818 | 1,054,531 | ||||||
Series 2016-5 GL 3.00% 7/20/45 | 296,000 | 278,700 | ||||||
Series 2016-46 DZ 3.00% 4/20/46 | 416,209 | 357,355 | ||||||
Series 2016-49 PZ 3.00% 11/16/45 | 334,453 | 289,908 | ||||||
Series 2016-74 PL 3.00% 5/20/46 | 1,227,000 | 1,141,665 | ||||||
Series 2016-75 JI 3.00% 9/20/43 S | 18,201,418 | 2,696,611 | ||||||
Series 2016-80 JZ 3.00% 6/20/46 | 367,651 | 315,171 | ||||||
Series 2016-83 MB 3.00% 10/20/45 | 1,000 | 952 | ||||||
Series 2016-89 QS 4.153% (6.05% minus LIBOR01M, Cap 6.05%) 7/20/46 S● | 4,612,145 | 945,428 | ||||||
Series 2016-101 QL 3.00% 7/20/46 | 117,000 | 108,574 | ||||||
Series 2016-103 DY 2.50% 8/20/46 | 22,000 | 18,820 | ||||||
Series 2016-108 YL 3.00% 8/20/46 | 1,395,000 | 1,304,082 | ||||||
Series 2016-111 PB 2.50% 8/20/46 | 2,739,000 | 2,381,413 | ||||||
Series 2016-115 SA 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 8/20/46 S● | 13,148,352 | 2,506,703 | ||||||
Series 2016-118 DI 3.50% 3/20/43 S | 10,559,513 | 1,652,220 | ||||||
Series 2016-118 ES 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 9/20/46 S● | 5,432,141 | 1,089,769 | ||||||
Series 2016-120 MW 2.00% 9/20/46 | 1,614,000 | 1,308,364 | ||||||
Series 2016-120 NS 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 9/20/46 S● | 11,074,065 | 2,209,937 | ||||||
Series 2016-121 JS 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 9/20/46 S● | 8,093,085 | 1,616,653 |
14
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
GNMA | ||||||||
Series 2016-126 NS 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 9/20/46 S● | 5,347,914 | $ | 1,086,436 | |||||
Series 2016-134 MW 3.00% 10/20/46 | 567,000 | 548,513 | ||||||
Series 2016-134 MZ 3.00% 10/20/46 | 3,294,803 | 2,998,603 | ||||||
Series 2016-135 Z 3.00% 10/20/46 | 2,092 | 1,853 | ||||||
Series 2016-146 KS 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 10/20/46 S● | 3,137,205 | 635,607 | ||||||
Series 2016-147 ST 4.153% (6.05% minus LIBOR01M, Cap 6.05%) 10/20/46 S● | 7,228,864 | 1,419,664 | ||||||
Series 2016-149 GI 4.00% 11/20/46 S | 4,885,138 | 1,124,806 | ||||||
Series 2016-156 PB 2.00% 11/20/46 | 1,707,124 | 1,331,805 | ||||||
Series 2016-160 GI 3.50% 11/20/46 S | 6,487,583 | 1,526,435 | ||||||
Series 2016-160 VZ 2.50% 11/20/46 | 842,279 | 667,141 | ||||||
Series 2016-163 MI 3.50% 11/20/46 S | 4,737,965 | 625,256 | ||||||
Series 2016-163 XI 3.00% 10/20/46 S | 7,371,665 | 1,117,583 | ||||||
Series 2016-171 IO 3.00% 7/20/44 S | 10,567,501 | 1,473,058 | ||||||
Series 2016-171 IP 3.00% 3/20/46 S | 6,682,667 | 1,076,000 | ||||||
Series 2017-4 BW 3.00% 1/20/47 | 499,000 | 470,602 | ||||||
Series 2017-10 IB 4.00% 1/20/47 S | 6,075,845 | 1,322,083 | ||||||
Series 2017-10 KZ 3.00% 1/20/47 | 570,990 | 514,144 | ||||||
Series 2017-17 BZ 3.00% 2/20/47 | 1,084,246 | 1,007,573 | ||||||
Series 2017-18 GM 2.50% 2/20/47 | 421,000 | 373,030 | ||||||
Series 2017-18 QS 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 2/16/47 S● | 6,127,782 | 1,159,325 | ||||||
Series 2017-25 CZ 3.50% 2/20/47 | 2,197,451 | 2,143,655 | ||||||
Series 2017-25 WZ 3.00% 2/20/47 | 2,904,786 | 2,700,061 | ||||||
Series 2017-26 SA 4.203% (6.10% minus LIBOR01M, Cap 6.10%) 2/20/47 S● | 6,098,966 | 1,146,401 | ||||||
Series 2017-33 PZ 3.00% 2/20/47 | 1,387,670 | 1,300,739 | ||||||
Series 2017-34 AZ 3.00% 1/20/47 | 85,738 | 75,320 | ||||||
Series 2017-34 DY 3.50% 3/20/47 | 1,103,995 | 1,096,949 | ||||||
Series 2017-36 ZB 3.00% 3/20/47 | 1,032,992 | 885,312 | ||||||
Series 2017-36 ZC 3.00% 3/20/47 | 6,198 | 5,324 | ||||||
Series 2017-52 LE 3.00% 1/16/47 | 19,000 | 17,466 | ||||||
Series 2017-56 QS 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 4/20/47 S● | 7,944,973 | 1,472,513 | ||||||
Series 2017-68 SB 4.253% (6.15% minus LIBOR01M, Cap 6.15%) 5/20/47 S● | 11,819,110 | 2,024,846 | ||||||
Series 2017-80 AS 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 5/20/47 S● | 8,941,894 | 1,697,190 | ||||||
Series 2017-91 SM 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 6/20/47 S● | 5,385,299 | 1,046,447 | ||||||
Series 2017-101 AI 4.00% 7/20/47 S | 3,790,851 | 751,079 |
15
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
GNMA | ||||||||
Series 2017-101 HD 3.00% 1/20/47 | 3,000 | $ | 2,794 | |||||
Series 2017-101 KS 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 7/20/47 S● | 6,137,925 | 1,153,377 | ||||||
Series 2017-101 ND 3.00% 1/20/47 | 3,000 | 2,822 | ||||||
Series 2017-101 SK 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 7/20/47 S● | 15,456,599 | 2,897,803 | ||||||
Series 2017-101 TI 4.00% 3/20/44 S | 5,776,063 | 947,305 | ||||||
Series 2017-107 QZ 3.00% 8/20/45 | 1,007,637 | 864,670 | ||||||
Series 2017-107 T 3.00% 1/20/47 | 2,696,000 | 2,589,216 | ||||||
Series 2017-113 LB 3.00% 7/20/47 | 2,620,000 | 2,432,565 | ||||||
Series 2017-114 IK 4.00% 10/20/44 S | 8,477,623 | 1,838,399 | ||||||
Series 2017-116 ZL 3.00% 6/20/47 | 1,991,248 | 1,735,030 | ||||||
Series 2017-117 C 3.00% 8/20/47 | 5,000 | 4,601 | ||||||
Series 2017-117 SD 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 8/20/47 S● | 5,207,994 | 1,014,152 | ||||||
Series 2017-120 QS 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 8/20/47 S● | 6,648,791 | 1,330,674 | ||||||
Series 2017-121 CW 3.00% 8/20/47 | 2,000 | 1,829 | ||||||
Series 2017-130 YJ 2.50% 8/20/47 | 1,210,000 | 1,073,402 | ||||||
Series 2017-134 KI 4.00% 5/20/44 S | 4,518,372 | 791,914 | ||||||
Series 2017-134 VD 3.00% 4/20/38 | 135,000 | 130,297 | ||||||
Series 2017-137 CZ 3.00% 9/20/47 | 7,262,838 | 6,873,470 | ||||||
Series 2017-137 IO 3.00% 6/20/45 S | 8,444,930 | 1,401,894 | ||||||
Series 2017-144 EI 3.00% 12/20/44 S | 7,914,826 | 1,266,998 | ||||||
Series 2017-144 MZ 2.50% 9/20/47 | 2,029 | 1,573 | ||||||
Series 2017-147 AI 3.50% 3/20/44 S | 2,936,388 | 353,480 | ||||||
Series 2017-156 LP 2.50% 10/20/47 | 694,000 | 592,989 | ||||||
Series 2017-163 HS 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 11/20/47 S● | 12,810,704 | 2,328,044 | ||||||
Series 2017-164 IG 3.50% 4/20/44 S | 14,393,146 | 1,786,569 | ||||||
Series 2017-170 SQ 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 11/20/47 S● | 19,391,951 | 3,054,131 | ||||||
Series 2017-174 HI 3.00% 7/20/45 S | 7,059,870 | 1,200,255 | ||||||
Series 2017-184 AL 3.00% 6/20/47 | 1,437,000 | 1,395,042 | ||||||
Series 2018-1 SA 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 1/20/48 S● | 5,517,308 | 1,012,089 | ||||||
Series 2018-1 ST 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 1/20/48 S● | 11,427,268 | 2,239,782 | ||||||
Series 2018-8 VZ 3.00% 3/20/47 | 1,873,985 | 1,809,278 | ||||||
Series 2018-11 AI 3.00% 1/20/46 S | 4,769,626 | 845,522 | ||||||
Series 2018-18 CZ 3.00% 2/20/48 | 3,924,549 | 3,405,756 | ||||||
Series 2018-22 LZ 3.00% 2/20/48 | 628,129 | 545,092 | ||||||
Series 2018-24 HZ 3.00% 2/20/48 | 474,363 | 423,142 |
16
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
GNMA | ||||||||
Series 2018-34 TY 3.50% 3/20/48 | 827,000 | $ | 789,379 | |||||
Series 2018-37 SA 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 3/20/48 S● | 3,874,290 | 743,514 | ||||||
Series 2018-46 AS 4.303% (6.20% minus LIBOR01M, Cap 6.20%) 3/20/48 S● | 13,543,234 | 2,782,907 | ||||||
Series 2018-63 BZ 3.00% 4/20/48 = | 2,034,000 | 1,741,613 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations (cost $440,775,550) | 423,482,309 | |||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities – 1.38% | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K057 A2 2.57% 7/25/26 ¨ | 5,910,000 | 5,586,255 | ||||||
Series KS03 A4 3.161% 5/25/25 ¨● | 4,270,000 | 4,209,151 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2010-K8 B 144A 5.444% 9/25/43 #● | 4,520,000 | 4,707,155 | ||||||
Series 2011-K12 B 144A 4.493% 1/25/46 #● | 3,186,000 | 3,269,120 | ||||||
Series 2011-K14 B 144A 5.341% 2/25/47 #● | 3,345,000 | 3,518,485 | ||||||
Series 2011-K15 B 144A 5.116% 8/25/44 #● | 485,000 | 508,513 | ||||||
Series 2011-K704 B 144A 4.649% 10/25/30 #● | 1,580,000 | 1,582,513 | ||||||
Series 2012-K22 B 144A 3.811% 8/25/45 #● | 4,300,000 | 4,306,370 | ||||||
Series 2012-K23 B 144A 3.781% 10/25/45 #● | 7,400,000 | 7,290,785 | ||||||
Series 2013-K33 B 144A 3.616% 8/25/46 #● | 4,295,000 | 4,243,612 | ||||||
Series 2013-K712 B 144A 3.477% 5/25/45 #● | 2,220,000 | 2,227,008 | ||||||
Series 2013-K713 B 144A 3.272% 4/25/46 #● | 1,355,000 | 1,354,594 | ||||||
Series 2013-K713 C 144A 3.272% 4/25/46 #● | 4,425,000 | 4,402,544 | ||||||
Series 2014-K717 B 144A 3.753% 11/25/47 #● | 1,925,000 | 1,935,880 | ||||||
Series 2015-K49 B 144A 3.848% 10/25/48 #● | 3,660,000 | 3,534,233 | ||||||
Series 2015-K721 C 144A 3.681% 11/25/47 #● | 2,225,000 | 2,130,044 | ||||||
Series 2016-K53 B 144A 4.156% 3/25/49 #● | 1,465,000 | 1,449,401 | ||||||
Series 2016-K722 B 144A 3.966% 7/25/49 #● | 2,175,000 | 2,175,168 | ||||||
Series 2016-K723 B 144A 3.704% 11/25/23 #● | 2,600,000 | 2,562,310 | ||||||
|
| |||||||
Total Agency Commercial Mortgage-Backed Securities (cost $62,252,232) | 60,993,141 | |||||||
|
| |||||||
Agency Mortgage-Backed Securities – 3.39% | ||||||||
Fannie Mae ARM | ||||||||
2.528% (LIBOR12M + 1.608%, Cap 7.528%) 12/1/46 ● | 7,073,531 | 6,891,193 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
4.50% 4/1/39 | 558,233 | 587,074 | ||||||
4.50% 8/1/40 | 778,345 | 818,447 | ||||||
4.50% 10/1/43 | 2,664,691 | 2,807,783 | ||||||
4.50% 12/1/43 | 351,781 | 370,712 | ||||||
4.50% 10/1/44 | 1,097,263 | 1,156,312 |
17
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Fannie Mae S.F. 30 yr | ||||||||
4.50% 2/1/46 | 61,195 | $ | 64,366 | |||||
4.50% 5/1/46 | 3,732,863 | 3,916,115 | ||||||
5.00% 7/1/47 | 156,845 | 166,866 | ||||||
5.50% 1/1/34 | 2,150 | 2,370 | ||||||
5.50% 4/1/35 | 1,403 | 1,522 | ||||||
5.50% 3/1/38 | 409,915 | 450,159 | ||||||
5.50% 6/1/39 | 4,605 | 5,037 | ||||||
5.50% 12/1/39 | 937,877 | 1,024,588 | ||||||
5.50% 7/1/40 | 1,421,861 | 1,555,059 | ||||||
5.50% 6/1/41 | 3,786,941 | 4,154,519 | ||||||
5.50% 9/1/41 | 2,217,847 | 2,478,021 | ||||||
5.50% 5/1/44 | 37,321,611 | 40,913,336 | ||||||
6.00% 5/1/36 | 13,477 | 15,018 | ||||||
6.00% 6/1/36 | 28,420 | 31,862 | ||||||
6.00% 9/1/36 | 667,211 | 757,602 | ||||||
6.00% 12/1/36 | 134,062 | 149,625 | ||||||
6.00% 5/1/37 | 11,813 | 13,185 | ||||||
6.00% 6/1/37 | 74,643 | 83,508 | ||||||
6.00% 7/1/37 | 55,396 | 61,593 | ||||||
6.00% 3/1/38 | 222,460 | 249,350 | ||||||
6.00% 6/1/38 | 209,502 | 234,419 | ||||||
6.00% 10/1/38 | 557,710 | 621,990 | ||||||
6.00% 11/1/38 | 347,357 | 389,257 | ||||||
6.00% 12/1/38 | 177,313 | 197,538 | ||||||
6.00% 2/1/39 | 28,848 | 32,079 | ||||||
6.00% 9/1/39 | 73,127 | 83,159 | ||||||
6.00% 10/1/39 | 5,653,854 | 6,336,494 | ||||||
6.00% 11/1/40 | 217,064 | 243,500 | ||||||
6.00% 7/1/41 | 10,510,516 | 11,711,469 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
5.00% 5/1/48 | 6,650,000 | 7,057,573 | ||||||
Freddie Mac ARM | ||||||||
2.559% (LIBOR12M + 1.63%, Cap 7.559%) 10/1/46 ● | 1,929,138 | 1,881,355 | ||||||
3.116% (LIBOR12M + 1.62%, Cap 8.117%) 3/1/46 ● | 3,162,033 | 3,147,452 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
4.50% 4/1/39 | 327,328 | 343,366 | ||||||
4.50% 8/1/44 | 1,314,429 | 1,380,323 | ||||||
4.50% 11/1/45 | 2,500,416 | 2,606,578 | ||||||
5.00% 12/1/41 | 1,810,455 | 1,946,766 | ||||||
5.00% 4/1/44 | 2,053,287 | 2,204,814 | ||||||
5.00% 12/1/44 | 2,478,106 | 2,663,758 | ||||||
5.50% 3/1/34 | 167,341 | 183,328 |
18
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac S.F. 30 yr | ||||||||
5.50% 12/1/34 | 157,099 | $ | 172,116 | |||||
5.50% 12/1/35 | 178,842 | 195,918 | ||||||
5.50% 9/1/37 | 205,081 | 223,976 | ||||||
5.50% 4/1/38 | 663,995 | 725,339 | ||||||
5.50% 1/1/39 | 687,992 | 750,099 | ||||||
5.50% 6/1/39 | 144,831 | 158,191 | ||||||
5.50% 4/1/40 | 986,543 | 1,078,413 | ||||||
5.50% 6/1/41 | 5,041,284 | 5,494,538 | ||||||
6.00% 5/1/35 | 2,597 | 2,896 | ||||||
6.00% 2/1/36 | 989,576 | 1,103,249 | ||||||
6.00% 3/1/36 | 574,515 | 642,640 | ||||||
6.00% 9/1/37 | 333,169 | 370,361 | ||||||
6.00% 8/1/38 | 1,852,333 | 2,071,130 | ||||||
6.00% 5/1/40 | 8,429,950 | 9,396,574 | ||||||
6.00% 7/1/40 | 3,003,702 | 3,348,237 | ||||||
6.50% 12/1/31 | 228,511 | 257,360 | ||||||
6.50% 8/1/38 | 59,995 | 67,569 | ||||||
GNMA I S.F. 30 yr | ||||||||
5.50% 2/15/41 | 1,111,430 | 1,208,219 | ||||||
GNMA II S.F. 30 yr | ||||||||
5.50% 5/20/37 | 908,897 | 971,847 | ||||||
6.00% 2/20/39 | 802,921 | 878,291 | ||||||
6.00% 10/20/39 | 2,920,340 | 3,190,529 | ||||||
6.00% 2/20/40 | 3,374,196 | 3,708,754 | ||||||
6.00% 4/20/46 | 1,028,093 | 1,127,972 | ||||||
6.50% 6/20/39 | 4,753 | 5,193 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities (cost $152,418,935) | 149,139,851 | |||||||
|
| |||||||
Collateralized Debt Obligations – 5.02% | ||||||||
AMMC CLO 21 | ||||||||
Series 2017-21A A 144A 3.613% (LIBOR03M + 1.25%) 11/2/30 #● | 2,750,000 | 2,776,609 | ||||||
AMMC CLO 22 | ||||||||
Series 2018-22A A 144A 3.37% (LIBOR03M + 1.03%, Floor 1.03%) 4/25/31 #● | 4,400,000 | 4,397,681 | ||||||
Apex Credit CLO | ||||||||
Series 2018-1A A2 144A 3.325% (LIBOR03M + 1.03%) 4/25/31 #● | 11,200,000 | 11,194,120 | ||||||
Atlas Senior Loan Fund X | ||||||||
Series 2018-10A A 144A 3.438% (LIBOR03M + 1.09%) 1/15/31 #● | 5,900,000 | 5,901,906 |
19
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) | ||||||||
Battalion CLO | ||||||||
Series 2017-11A 144A 5.042% (LIBOR03M + 1.07%) 5/17/31 #● | 4,400,000 | $ | 4,400,000 | |||||
Benefit Street Partners CLO II | ||||||||
Series 2013-IIA A1R 144A 3.598% (LIBOR03M + 1.25%) 7/15/29 #● | 4,000,000 | 4,021,784 | ||||||
Benefit Street Partners CLO IV | ||||||||
Series 2014-IVA A1R 144A 3.849% (LIBOR03M + 1.49%) 1/20/29 #● | 14,000,000 | 14,067,970 | ||||||
Black Diamond CLO | ||||||||
Series 2015-1A A2R 144A 3.358% (LIBOR03M + 1.05%, Floor 1.05%) 10/3/29 #● | 3,000,000 | 3,002,688 | ||||||
Series 2017-1A A1A 144A 3.031% (LIBOR03M + 1.29%) 4/24/29 #● | 4,000,000 | 4,021,784 | ||||||
Series 2017-2A A2 144A 0.00% (1.30% minus LIBOR03M) 1/20/32 #● | 2,800,000 | 2,811,589 | ||||||
BlueMountain CLO | ||||||||
Series 2015-2A A1 144A 3.785% (LIBOR03M + 1.43%, Floor 1.43%) 7/18/27 #● | 2,450,000 | 2,454,067 | ||||||
Catamaran CLO | ||||||||
Series 2014-1A A1BR 144A 3.749% (LIBOR03M + 1.39%) 4/22/30 #● | 5,000,000 | 5,011,855 | ||||||
Cedar Funding IV CLO | ||||||||
Series 2014-4A AR 144A 3.592% (LIBOR03M + 1.23%) 7/23/30 #● | 4,000,000 | 4,020,484 | ||||||
Cedar Funding VI CLO | ||||||||
Series 2016-6A A1 144A 3.215% (LIBOR03M + 1.47%) 10/20/28 #● | 5,210,000 | 5,227,662 | ||||||
Cedar Funding VIII CLO | ||||||||
Series 2017-8A A1 144A 3.603% (LIBOR03M + 1.25%) 10/17/30 #● | 5,330,000 | 5,359,491 | ||||||
CFIP CLO | ||||||||
Series 2017-1A A 144A 3.575% (LIBOR03M + 1.22%) 1/18/30 #● | 10,800,000 | 10,871,032 | ||||||
ECP CLO | ||||||||
Series 2015-7A A1R 144A 3.499% (LIBOR03M + 1.14%) 4/22/30 #● | 14,000,000 | 14,006,272 | ||||||
Galaxy XXI CLO | ||||||||
Series 2015-21A AR 144A 3.379% (LIBOR03M + 1.02%) 4/20/31 #● | 5,000,000 | 5,002,260 | ||||||
GoldenTree Loan Management US CLO 1 | ||||||||
Series 2017-1A A 144A 3.579% (LIBOR03M + 1.22%) 4/20/29 #● | 5,005,000 | 5,032,492 | ||||||
Hull Street CLO | ||||||||
Series 2014-1A AR 144A 3.575% (LIBOR03M + 1.22%) 10/18/26 #● | 3,000,000 | 3,000,894 |
20
Table of Contents
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) | ||||||||
KVK CLO | ||||||||
Series 2015-1A AR 144A 3.135% (LIBOR03M + 1.25%) 5/20/27 #● | 2,000,000 | $ | 1,999,562 | |||||
Mariner CLO 5 | ||||||||
Series 2018-5A A 144A 3.324% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #● | 8,000,000 | 8,003,192 | ||||||
Midocean Credit CLO VIII | ||||||||
Series 2018-8A A1 144A 3.036% (LIBOR03M + 1.15%) 2/20/31 #● | 5,830,000 | 5,846,021 | ||||||
MP CLO IV | ||||||||
Series 2013-2A ARR 144A 3.64% (LIBOR03M + 1.28%) 7/25/29 #● | 7,000,000 | 7,009,212 | ||||||
Northwoods Capital XVII | ||||||||
Series 2018-17A A 144A 3.308% (LIBOR03M + 1.06%, Floor 1.06%) 4/22/31 #● | 7,800,000 | 7,803,112 | ||||||
OCP CLO | ||||||||
Series 2017-13A A1A 144A 3.608% (LIBOR03M + 1.26%) 7/15/30 #● | 5,750,000 | 5,803,216 | ||||||
OZLM XVIII | ||||||||
Series 2018-18A A 144A 3.35% (LIBOR03M + 1.02%, Floor 1.02%) 4/15/31 #● | 6,250,000 | 6,246,625 | ||||||
Saranac CLO VII | ||||||||
Series 2014-2A A1AR 144A 3.115% (LIBOR03M + 1.23%) 11/20/29 #● | 6,500,000 | 6,546,098 | ||||||
Shackleton CLO | ||||||||
Series 2013-3A AR 144A 2.842% (LIBOR03M + 1.12%, Floor 1.12%) 7/15/30 #● | 5,500,000 | 5,512,650 | ||||||
Sound Point CLO II | ||||||||
Series 2013-1A A1R 144A 3.432% (LIBOR03M + 1.07%, Floor 1.07%) 1/26/31 #● | 3,200,000 | 3,203,837 | ||||||
Sounds Point CLO IV-R | ||||||||
Series 2013-3RA A 144A 3.651% (LIBOR03M + 1.15%, Floor 1.15%) 4/18/31 #● | 6,000,000 | 6,000,000 | ||||||
Steele Creek CLO | ||||||||
Series 2017-1A A 144A 2.884% (LIBOR03M + 1.25%) 1/15/30 #● | 3,000,000 | 3,005,835 | ||||||
TIAA CLO II | ||||||||
Series 2017-1A A 144A 3.639% (LIBOR03M + 1.28%) 4/20/29 #● | 4,185,000 | 4,206,352 | ||||||
Venture 31 CLO | ||||||||
Series 2018-31A A1 144A 3.342% (LIBOR03M + 1.03%, Floor 1.03%) 4/20/31 #● | 7,150,000 | 7,146,125 | ||||||
Venture CDO | ||||||||
Series 2016-25A A1 144A 3.849% (LIBOR03M + 1.49%) 4/20/29 #● | 2,085,000 | 2,095,823 |
21
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) | ||||||||
Venture XXII CLO | ||||||||
Series 2015-22A AR 144A 3.428% (LIBOR03M + 1.08%) 1/15/31 #● | 7,000,000 | $ | 7,002,261 | |||||
Venture XXIV CLO | ||||||||
Series 2016-24A A1D 144A 3.779% (LIBOR03M + 1.42%) 10/20/28 #● | 5,335,000 | 5,345,206 | ||||||
Venture XXVIII CLO | ||||||||
Series 2017-28A A2 144A 3.469% (LIBOR03M + 1.11%) 7/20/30 #● | 7,550,000 | 7,557,105 | ||||||
Zais CLO 6 | ||||||||
Series 2017-1A A1 144A 3.718% (LIBOR03M + 1.37%) 7/15/29 #● | 4,000,000 | 4,020,324 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (cost $220,241,515) | 220,935,196 | |||||||
|
| |||||||
Convertible Bonds – 3.55% | ||||||||
Aerojet Rocketdyne Holdings 2.25% exercise price $26.00,maturity date 12/15/23 | 1,085,000 | 1,377,733 | ||||||
Alaska Communications Systems Group 6.25% exercise price $10.28, maturity date 5/1/18 | 1,222,000 | 1,226,575 | ||||||
Ares Capital 3.75% exercise price $19.39, maturity date 2/1/22 * | 891,000 | 916,314 | ||||||
BioMarin Pharmaceutical 1.50% exercise price $94.15,maturity date 10/15/20 | 4,152,000 | 4,681,143 | ||||||
Blackhawk Network Holdings 1.50% exercise price $49.83, maturity date 1/15/22 | 4,429,000 | 4,914,387 | ||||||
Blackstone Mortgage Trust 4.375% exercise price $35.67,maturity date 5/5/22 | 3,355,000 | 3,296,593 | ||||||
Blackstone Mortgage Trust 4.75% exercise price $36.23,maturity date 3/15/23 * | 1,282,000 | 1,255,900 | ||||||
Blackstone Mortgage Trust 5.25% exercise price $27.36,maturity date 12/1/18 | 4,203,000 | 4,705,074 | ||||||
Booking Holdings 0.35% exercise price $1,315.10,maturity date 6/15/20 | 3,396,000 | 5,686,398 | ||||||
Brookdale Senior Living 2.75% exercise price $29.33,maturity date 6/15/18 | 3,502,000 | 3,506,377 | ||||||
Cemex 3.72% exercise price $11.01, maturity date 3/15/20 * | 7,159,000 | 7,377,393 | ||||||
Chart Industries 144A 1.00% exercise price $58.73,maturity date 11/15/24 # | 3,446,000 | 3,983,524 | ||||||
Cheniere Energy 4.25% exercise price $138.38, maturity date 3/15/45 | 5,730,000 | 4,497,127 | ||||||
Ciena 3.75% exercise price $20.17, maturity date 10/15/18 | 1,095,000 | 1,432,671 | ||||||
DISH Network 2.375% exercise price $82.22, maturity date 3/15/24 | 1,943,000 | 1,686,254 |
22
Table of Contents
Principal amount° | Value (US $) | |||||||
Convertible Bonds (continued) | ||||||||
DISH Network 3.375% exercise price $65.18, maturity date 8/15/26 * | 4,229,000 | $ | 3,848,479 | |||||
Electronics For Imaging 0.75% exercise price $52.72, maturity date 9/1/19 | 2,394,000 | 2,313,983 | ||||||
Empire State Realty OP 144A 2.625% exercise price $19.32, maturity date 8/15/19 # | 2,631,000 | 2,717,823 | ||||||
GAIN Capital Holdings 144A 5.00% exercise price $8.20, maturity date 8/15/22 # | 3,400,000 | 4,136,318 | ||||||
Helix Energy Solutions Group 4.125% exercise price $9.47, maturity date 9/15/23 | 165,000 | 190,854 | ||||||
Helix Energy Solutions Group 4.25% exercise price $13.89, maturity date 5/1/22 | 3,601,000 | 3,700,107 | ||||||
Huron Consulting Group 1.25% exercise price $79.89, maturity date 10/1/19 | 1,141,000 | 1,077,595 | ||||||
IAC FinanceCo. 144A 0.875% exercise price $152.18, maturity date 10/1/22 # | 2,460,000 | 3,018,462 | ||||||
Infinera 1.75% exercise price $12.58, maturity date 6/1/18 | 1,793,000 | 1,798,558 | ||||||
Insulet 1.25% exercise price $58.37, maturity date 9/15/21 | 3,317,000 | 5,126,838 | ||||||
Insulet 144A 1.375% exercise price $93.18, maturity date 11/15/24 # | 1,949,000 | 2,209,679 | ||||||
Kaman 144A 3.25% exercise price $65.26, maturity date 5/1/24 # | 4,078,000 | 4,593,308 | ||||||
Knowles 3.25% exercise price $18.43, maturity date 11/1/21 * | 2,351,000 | 2,476,779 | ||||||
Liberty Interactive 144A 1.75% exercise price $341.10, maturity date 9/30/46 # | 3,581,000 | 3,763,631 | ||||||
Liberty Media 2.25% exercise price $104.55, maturity date 9/30/46 | 512,000 | 539,109 | ||||||
Live Nation Entertainment 144A 2.50% exercise price $68.02, maturity date 3/15/23 # | 641,000 | 634,276 | ||||||
Medicines 2.75% exercise price $48.97, maturity date 7/15/23 | 5,388,000 | 5,009,692 | ||||||
Microchip Technology 1.625% exercise price $98.85, maturity date 2/15/27 | 2,991,000 | 3,380,727 | ||||||
Neurocrine Biosciences 0.253% exercise price $75.92, maturity date 5/15/24 | 4,010,000 | 5,194,931 | ||||||
New Mountain Finance 5.00% exercise price $15.80, maturity date 6/15/19 | 2,076,000 | 2,127,130 | ||||||
Novellus Systems 2.625% exercise price $33.36, maturity date 5/15/41 | 625,000 | 3,454,559 | ||||||
ON Semiconductor 1.00% exercise price $18.50, maturity date 12/1/20 | 1,489,000 | 1,976,446 | ||||||
Pacira Pharmaceuticals 2.375% exercise price $66.89, maturity date 4/1/22 * | 4,922,000 | 4,648,155 |
23
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Convertible Bonds (continued) | ||||||||
PDC Energy 1.125% exercise price $85.39, maturity date 9/15/21 * | 3,831,000 | $ | 3,853,603 | |||||
PROS Holdings 2.00% exercise price $33.79, maturity date 12/1/19 | 3,202,000 | 3,441,740 | ||||||
Quotient Technology 144A 1.75% exercise price $17.36, maturity date 12/1/22 # | 1,923,000 | 2,029,088 | ||||||
RPM International 2.25% exercise price $52.19, maturity date 12/15/20 * | 1,921,000 | 2,177,934 | ||||||
Sarepta Therapeutics 144A 1.50% exercise price $73.42, maturity date 11/15/24 # | 417,000 | 535,236 | ||||||
Spectrum Pharmaceuticals 2.75% exercise price $10.53, maturity date 12/15/18 | 469,000 | 736,149 | ||||||
Spirit Realty Capital 3.75% exercise price $12.91, maturity date 5/15/21 * | 1,556,000 | 1,565,531 | ||||||
Supernus Pharmaceuticals 144A 0.625% exercise price $59.33, maturity date 4/1/23 # | 431,000 | 469,681 | ||||||
Synaptics 144A 0.50% exercise price $73.02, maturity date 6/15/22 # | 2,677,000 | 2,507,270 | ||||||
Synchronoss Technologies 0.75% exercise price $53.17, maturity date 8/15/19 * | 1,481,000 | 1,407,245 | ||||||
Team 144A 5.00% exercise price $21.70, maturity date 8/1/23 # | 2,723,000 | 2,948,464 | ||||||
Tesla Energy Operations 1.625% exercise price $759.35, maturity date 11/1/19 | 2,703,000 | 2,517,031 | ||||||
Vector Group 1.75% exercise price $22.35, maturity date 4/15/20 ● | 2,295,000 | 2,445,323 | ||||||
Vector Group 2.50% exercise price $14.50, maturity date 1/15/19 *● | 3,300,000 | 4,489,650 | ||||||
VEREIT 3.75% exercise price $14.99, maturity date 12/15/20 * | 3,308,000 | 3,326,733 | ||||||
Verint Systems 1.50% exercise price $64.46, maturity date 6/1/21 | 3,751,000 | 3,651,220 | ||||||
|
| |||||||
Total Convertible Bonds (cost $150,738,577) | 156,582,800 | |||||||
|
| |||||||
Corporate Bonds – 43.93% | ||||||||
Banking – 9.78% | ||||||||
Akbank Turk 144A 7.20% 3/16/27 #*µ | 4,060,000 | 4,138,886 | ||||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 1,300,000 | 1,292,843 | ||||||
Banco de Credito e Inversiones 144A 3.50% 10/12/27 # | 2,575,000 | 2,386,703 | ||||||
Banco do Brasil 144A 4.875% 4/19/23 # | 5,950,000 | 5,920,250 | ||||||
Banco Santander | ||||||||
3.80% 2/23/28 | 400,000 | 378,996 | ||||||
3.848% 4/12/23 | 4,400,000 | 4,369,868 | ||||||
4.379% 4/12/28 | 3,600,000 | 3,561,639 |
24
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Banking (continued) | ||||||||||||
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero 144A 4.125% 11/9/22 # | 3,260,000 | $ | 3,255,925 | |||||||||
Bancolombia 4.875% 10/18/27 *µ | 4,400,000 | 4,240,500 | ||||||||||
Banistmo 144A 3.65% 9/19/22 # | 1,160,000 | 1,112,440 | ||||||||||
Bank Nederlandse Gemeenten 3.50% 7/19/27 | AUD | 1,736,000 | 1,323,772 | |||||||||
Bank of America | ||||||||||||
3.30% 8/5/21 | AUD | 1,420,000 | 1,076,956 | |||||||||
3.97% 3/5/29 µ | 1,140,000 | 1,119,597 | ||||||||||
4.183% 11/25/27 | 15,235,000 | 14,813,688 | ||||||||||
5.625% 7/1/20 | 1,405,000 | 1,479,895 | ||||||||||
Bank of China 144A 5.00% 11/13/24 # | 3,800,000 | 3,885,333 | ||||||||||
Bank of Montreal 3.803% 12/15/32 µ | 7,240,000 | 6,828,478 | ||||||||||
Bank of New York Mellon | ||||||||||||
2.20% 3/4/19 | 7,005,000 | 6,990,914 | ||||||||||
4.625% µy | 7,155,000 | 6,922,463 | ||||||||||
Barclays 8.25% µy | 7,590,000 | 7,814,937 | ||||||||||
BBVA Bancomer 144A 7.25% 4/22/20 # | 935,000 | 984,461 | ||||||||||
BGEO Group 144A 6.00% 7/26/23 # | 3,380,000 | 3,413,530 | ||||||||||
Branch Banking & Trust 2.25% 6/1/20 | 7,145,000 | 7,028,536 | ||||||||||
Citigroup 3.75% 10/27/23 | AUD | 2,222,000 | 1,683,004 | |||||||||
Citizens Bank | ||||||||||||
2.55% 5/13/21 | 1,975,000 | 1,933,361 | ||||||||||
3.70% 3/29/23 | 8,810,000 | 8,806,645 | ||||||||||
Citizens Financial Group | ||||||||||||
2.375% 7/28/21 * | 485,000 | 469,370 | ||||||||||
4.30% 12/3/25 | 4,810,000 | 4,804,850 | ||||||||||
Compass Bank | ||||||||||||
2.875% 6/29/22 | 5,190,000 | 4,999,774 | ||||||||||
3.875% 4/10/25 | 5,505,000 | 5,341,807 | ||||||||||
Cooperatieve Rabobank | ||||||||||||
2.50% 9/4/20 | NOK | 8,100,000 | 1,033,706 | |||||||||
3.375% 2/2/23 | NZD | 1,463,000 | 1,028,695 | |||||||||
Credit Suisse Group 144A 6.25% #µy | 10,305,000 | 10,576,980 | ||||||||||
Credit Suisse Group Funding Guernsey 4.55% 4/17/26 | 2,035,000 | 2,056,769 | ||||||||||
Fifth Third Bancorp | ||||||||||||
2.60% 6/15/22 | 2,260,000 | 2,185,182 | ||||||||||
2.875% 7/27/20 | 5,835,000 | 5,814,039 | ||||||||||
3.95% 3/14/28 | 4,250,000 | 4,213,853 | ||||||||||
Fifth Third Bank | ||||||||||||
2.30% 3/15/19 | 3,935,000 | 3,926,561 | ||||||||||
3.85% 3/15/26 | 2,435,000 | 2,388,495 |
25
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Banking (continued) | ||||||||||||
Goldman Sachs Group | ||||||||||||
3.065% (BBSW3M + 1.30%) 8/21/19 ● | AUD | 2,390,000 | $ | 1,811,887 | ||||||||
3.55% 2/12/21 | CAD | 1,500,000 | 1,191,448 | |||||||||
4.223% 5/1/29 µ | 4,205,000 | 4,164,313 | ||||||||||
4.411% 4/23/39 µ | 2,175,000 | 2,121,652 | ||||||||||
5.15% 5/22/45 | 1,250,000 | 1,294,171 | ||||||||||
5.20% 12/17/19 | NZD | 1,444,000 | 1,050,839 | |||||||||
6.00% 6/15/20 | 10,020,000 | 10,600,482 | ||||||||||
HSBC Holdings 6.50% µ | 3,900,000 | 3,968,250 | ||||||||||
Huntington National Bank 2.50% 8/7/22 | 2,745,000 | 2,637,861 | ||||||||||
ICICI Bank 144A 4.00% 3/18/26 # | 5,100,000 | 4,857,556 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
3.50% 12/18/26 | GBP | 986,000 | 1,485,361 | |||||||||
3.559% 4/23/24 µ | 650,000 | 646,455 | ||||||||||
3.897% 1/23/49 µ | 2,430,000 | 2,190,370 | ||||||||||
4.005% 4/23/29 µ | 6,115,000 | 6,007,093 | ||||||||||
4.35% 8/15/21 | 2,335,000 | 2,413,738 | ||||||||||
6.75% µy | 4,475,000 | 4,866,563 | ||||||||||
KeyBank | ||||||||||||
2.30% 9/14/22 | 3,505,000 | 3,349,497 | ||||||||||
2.40% 6/9/22 | 1,845,000 | 1,777,326 | ||||||||||
3.375% 3/7/23 | 2,870,000 | 2,863,187 | ||||||||||
6.95% 2/1/28 | 17,740,000 | 21,489,195 | ||||||||||
Landwirtschaftliche Rentenbank 5.375% 4/23/24 | NZD | 2,457,000 | 1,915,323 | |||||||||
Lloyds Banking Group | ||||||||||||
3.574% 11/7/28 µ | 7,415,000 | 6,913,040 | ||||||||||
7.50% µy | 4,670,000 | 5,050,605 | ||||||||||
Manufacturers & Traders Trust 2.50% 5/18/22 | 2,850,000 | 2,750,198 | ||||||||||
Morgan Stanley | ||||||||||||
3.125% 8/5/21 | CAD | 999,000 | 784,051 | |||||||||
3.737% 4/24/24 µ | 6,460,000 | 6,456,568 | ||||||||||
4.375% 1/22/47 | 2,615,000 | 2,540,220 | ||||||||||
4.457% 4/22/39 µ | 3,105,000 | 3,055,293 | ||||||||||
5.00% 9/30/21 | AUD | 1,489,000 | 1,190,531 | |||||||||
5.00% 11/24/25 | 6,020,000 | 6,248,106 | ||||||||||
5.50% 1/26/20 | 3,645,000 | 3,793,754 | ||||||||||
Nationwide Building Society 144A 4.125% 10/18/32 #µ | 7,950,000 | 7,460,812 | ||||||||||
Nederlandse Waterschapsbank 144A 2.145% (LIBOR03M +0.02%) 3/15/19 #● | 1,145,000 | 1,144,981 | ||||||||||
Northern Trust 3.375% 5/8/32 µ | 1,290,000 | 1,212,277 | ||||||||||
PNC Bank | ||||||||||||
2.00% 5/19/20 | 4,165,000 | 4,082,511 |
26
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Banking (continued) | ||||||||||||
PNC Bank | ||||||||||||
2.70% 11/1/22 | 725,000 | $ | 696,947 | |||||||||
PNC Financial Services Group 5.00% µy | 5,800,000 | 5,742,000 | ||||||||||
Popular 7.00% 7/1/19 | 3,170,000 | 3,241,325 | ||||||||||
Regions Financial 2.75% 8/14/22 | 2,140,000 | 2,065,058 | ||||||||||
Royal Bank of Scotland Group | ||||||||||||
3.875% 9/12/23 | 3,720,000 | 3,660,619 | ||||||||||
8.625% µy | 8,640,000 | 9,482,400 | ||||||||||
Santander UK 144A 5.00% 11/7/23 # | 9,890,000 | 10,175,376 | ||||||||||
Santander UK Group Holdings 3.823% 11/3/28 µ | 3,765,000 | 3,535,375 | ||||||||||
State Street 2.653% 5/15/23 µ | 2,375,000 | 2,302,584 | ||||||||||
SunTrust Banks | ||||||||||||
2.45% 8/1/22 | 3,070,000 | 2,950,092 | ||||||||||
2.70% 1/27/22 | 5,605,000 | 5,459,696 | ||||||||||
3.00% 2/2/23 * | 2,050,000 | 2,005,682 | ||||||||||
3.30% 5/15/26 | 2,845,000 | 2,694,793 | ||||||||||
5.05% µy | 485,000 | 479,568 | ||||||||||
Swiss Insured Brazil Power Finance 144A 9.85% 7/16/32 # | BRL | 17,800,000 | 5,208,095 | |||||||||
Turkiye Garanti Bankasi | ||||||||||||
144A 5.25% 9/13/22 # | 610,000 | 605,202 | ||||||||||
144A 6.25% 4/20/21 # | 3,965,000 | 4,085,187 | ||||||||||
Turkiye Is Bankasi 144A 7.00% 6/29/28 #µ | 3,690,000 | 3,624,576 | ||||||||||
UBS Group 6.875% µy | 5,250,000 | 5,530,849 | ||||||||||
UBS Group Funding Switzerland | ||||||||||||
144A 2.859% 8/15/23 #µ | 4,775,000 | 4,579,384 | ||||||||||
144A 3.491% 5/23/23 # | 4,485,000 | 4,409,290 | ||||||||||
144A 4.125% 9/24/25 # | 5,345,000 | 5,318,604 | ||||||||||
144A 4.125% 4/15/26 # | 4,570,000 | 4,530,953 | ||||||||||
US Bancorp | ||||||||||||
3.10% 4/27/26 | 7,010,000 | 6,597,370 | ||||||||||
3.15% 4/27/27 | 2,610,000 | 2,474,904 | ||||||||||
USB Capital IX 3.50% (LIBOR03M + 1.02%) y● | 27,182,000 | 24,700,283 | ||||||||||
Wells Fargo & Co. | ||||||||||||
3.00% 7/27/21 | AUD | 2,492,000 | 1,870,722 | |||||||||
3.50% 9/12/29 | GBP | 1,700,000 | 2,534,617 | |||||||||
Wells Fargo Capital X 5.95% 12/15/36 | 470,000 | 509,950 | ||||||||||
Westpac Banking 5.00% µy | 1,345,000 | 1,226,666 |
27
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Banking (continued) | ||||||||
Woori Bank 144A 4.75% 4/30/24 # | 3,670,000 | $ | 3,714,895 | |||||
Zions Bancorporation 4.50% 6/13/23 | 3,460,000 | 3,495,584 | ||||||
|
| |||||||
430,497,861 | ||||||||
|
| |||||||
Basic Industry – 4.73% | ||||||||
Allegheny Technologies 7.875% 8/15/23 * | 965,000 | 1,049,245 | ||||||
Anglo American Capital | ||||||||
144A 4.75% 4/10/27 # | 7,875,000 | 7,874,857 | ||||||
144A 4.875% 5/14/25 # | 9,280,000 | 9,415,828 | ||||||
Barrick North America Finance 5.75% 5/1/43 | 7,338,000 | 8,403,550 | ||||||
Beacon Roofing Supply 144A 4.875% 11/1/25 # | 3,060,000 | 2,907,000 | ||||||
BHP Billiton Finance USA 144A 6.25% 10/19/75 #µ | 12,410,000 | 13,024,295 | ||||||
BMC East 144A 5.50% 10/1/24 # | 1,200,000 | 1,192,500 | ||||||
Boise Cascade 144A 5.625% 9/1/24 # | 3,705,000 | 3,769,837 | ||||||
Braskem Netherlands Finance | ||||||||
144A 3.50% 1/10/23 # | 610,000 | 577,219 | ||||||
144A 4.50% 1/10/28 # | 4,220,000 | 3,961,525 | ||||||
Builders FirstSource 144A 5.625% 9/1/24 # | 3,430,000 | 3,408,563 | ||||||
Chemours 5.375% 5/15/27 | 865,000 | 858,513 | ||||||
CK Hutchison International 17 144A 2.875% 4/5/22 # | 4,320,000 | 4,203,337 | ||||||
CSN Resources 144A 7.625% 2/13/23 #* | 3,845,000 | 3,681,587 | ||||||
Cydsa 144A 6.25% 10/4/27 # | 3,825,000 | 3,695,906 | ||||||
Dow Chemical 8.55% 5/15/19 | 33,171,000 | 35,134,037 | ||||||
Equate Petrochemical 144A 3.00% 3/3/22 # | 3,055,000 | 2,925,163 | ||||||
First Quantum Minerals | ||||||||
144A 6.50% 3/1/24 # | 2,320,000 | 2,209,800 | ||||||
144A 7.25% 4/1/23 # | 3,845,000 | 3,844,231 | ||||||
FMG Resources August 2006 | ||||||||
144A 4.75% 5/15/22 # | 1,085,000 | 1,079,846 | ||||||
144A 5.125% 5/15/24 #* | 2,910,000 | 2,884,537 | ||||||
Freeport-McMoRan | ||||||||
4.55% 11/14/24 * | 3,040,000 | 2,948,800 | ||||||
6.875% 2/15/23 | 1,985,000 | 2,138,837 | ||||||
Georgia-Pacific 8.00% 1/15/24 | 15,521,000 | 19,014,622 | ||||||
Hudbay Minerals | ||||||||
144A 7.25% 1/15/23 # | 30,000 | 31,425 | ||||||
144A 7.625% 1/15/25 # | 1,590,000 | 1,691,855 | ||||||
Joseph T Ryerson & Son 144A 11.00% 5/15/22 # | 800,000 | 888,000 | ||||||
Koppers 144A 6.00% 2/15/25 # | 285,000 | 290,700 | ||||||
Kraton Polymers 144A 7.00% 4/15/25 # | 560,000 | 581,000 | ||||||
Mexichem 144A 5.50% 1/15/48 # | 4,225,000 | 3,860,594 | ||||||
Nexa Resources 144A 5.375% 5/4/27 # | 4,760,000 | 4,783,800 |
28
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Basic Industry (continued) | ||||||||
NOVA Chemicals | ||||||||
144A 5.00% 5/1/25 # | 2,470,000 | $ | 2,383,550 | |||||
144A 5.25% 6/1/27 # | 860,000 | 829,900 | ||||||
Novelis 144A 6.25% 8/15/24 # | 1,225,000 | 1,251,031 | ||||||
Novolipetsk Steel Via Steel Funding 144A 4.00% 9/21/24 # | 3,360,000 | 3,135,787 | ||||||
Nucor 3.95% 5/1/28 | 2,885,000 | 2,879,064 | ||||||
OCP | ||||||||
144A 4.50% 10/22/25 # | 3,665,000 | 3,530,102 | ||||||
144A 6.875% 4/25/44 # | 2,310,000 | 2,505,126 | ||||||
Olin 5.125% 9/15/27 | 1,725,000 | 1,694,813 | ||||||
Petkim Petrokimya Holding 144A 5.875% 1/26/23 # | 3,150,000 | 3,025,008 | ||||||
Phosagro OAO Via Phosagro Bond Funding 144A 3.95% 11/3/21 # | 4,650,000 | 4,481,437 | ||||||
PolyOne 5.25% 3/15/23 | 2,470,000 | 2,541,013 | ||||||
PulteGroup 5.00% 1/15/27 | 355,000 | 347,101 | ||||||
Standard Industries 144A 5.00% 2/15/27 # | 2,410,000 | 2,307,575 | ||||||
Suzano Austria 144A 7.00% 3/16/47 # | 3,550,000 | 3,976,000 | ||||||
Syngenta Finance | ||||||||
144A 3.933% 4/23/21 #* | 2,540,000 | 2,539,079 | ||||||
144A 4.441% 4/24/23 # | 1,560,000 | 1,555,949 | ||||||
144A 5.182% 4/24/28 # | 6,570,000 | 6,469,378 | ||||||
US Concrete 6.375% 6/1/24 | 2,955,000 | 3,073,200 | ||||||
Vedanta Resources | ||||||||
144A 6.125% 8/9/24 # | 1,590,000 | 1,533,679 | ||||||
144A 6.375% 7/30/22 # | 2,210,000 | 2,229,227 | ||||||
WestRock 144A 3.00% 9/15/24 # | 2,165,000 | 2,049,670 | ||||||
WR Grace & Co. 144A 5.625% 10/1/24 # | 1,051,000 | 1,089,099 | ||||||
Zekelman Industries 144A 9.875% 6/15/23 # | 440,000 | 485,100 | ||||||
|
| |||||||
208,242,897 | ||||||||
|
| |||||||
Brokerage – 0.74% | ||||||||
Charles Schwab 5.00% µy | 1,740,000 | 1,696,500 | ||||||
E*TRADE Financial | ||||||||
3.80% 8/24/27 | 3,095,000 | 2,964,808 | ||||||
5.875% *µy | 4,760,000 | 4,879,000 | ||||||
Jefferies Group | ||||||||
4.15% 1/23/30 | 1,585,000 | 1,455,421 | ||||||
6.45% 6/8/27 | 3,815,000 | 4,219,127 | ||||||
6.50% 1/20/43 | 2,455,000 | 2,623,561 | ||||||
Lazard Group 3.75% 2/13/25 | 15,330,000 | 14,833,914 | ||||||
|
| |||||||
32,672,331 | ||||||||
|
|
29
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Capital Goods – 1.13% | ||||||||||||
Allegion US Holding 3.20% 10/1/24 | 6,315,000 | $ | 6,030,825 | |||||||||
Ardagh Packaging Finance | ||||||||||||
144A 6.00% 2/15/25 # | 2,645,000 | 2,681,369 | ||||||||||
144A 7.25% 5/15/24 # | 585,000 | 620,831 | ||||||||||
BWAY Holding 144A 5.50% 4/15/24 # | 2,165,000 | 2,184,918 | ||||||||||
CCL Industries 144A 3.25% 10/1/26 # | 3,480,000 | 3,195,281 | ||||||||||
Crane 4.20% 3/15/48 | 2,585,000 | 2,501,133 | ||||||||||
Eaton 3.103% 9/15/27 | 250,000 | 232,369 | ||||||||||
Grupo Cementos de Chihuahua 144A 5.25% 6/23/24 # | 3,405,000 | 3,379,463 | ||||||||||
Lennox International 3.00% 11/15/23 | 3,730,000 | 3,573,382 | ||||||||||
Martin Marietta Materials 4.25% 12/15/47 | 3,280,000 | 2,961,589 | ||||||||||
New Enterprise Stone & Lime 144A 10.125% 4/1/22 # | 1,780,000 | 1,904,600 | ||||||||||
Northrop Grumman | ||||||||||||
2.55% 10/15/22 | 6,300,000 | 6,075,098 | ||||||||||
3.25% 8/1/23 | 2,550,000 | 2,516,848 | ||||||||||
Nvent Finance 144A 4.55% 4/15/28 # | 10,470,000 | 10,332,942 | ||||||||||
StandardAero Aviation Holdings 144A 10.00% 7/15/23 # | 35,000 | 38,106 | ||||||||||
TransDigm 6.375% 6/15/26 | 1,670,000 | 1,682,525 | ||||||||||
|
| |||||||||||
49,911,279 | ||||||||||||
|
| |||||||||||
Communications – 4.31% | ||||||||||||
American Tower 3.60% 1/15/28 | 1,620,000 | 1,514,342 | ||||||||||
American Tower Trust #1 144A 3.07% 3/15/23 # | 10,235,000 | 10,031,043 | ||||||||||
AT&T | ||||||||||||
3.40% 8/14/24 | 1,170,000 | 1,182,349 | ||||||||||
3.90% 8/14/27 | 3,640,000 | 3,679,043 | ||||||||||
144A 4.30% 2/15/30 # | 3,245,000 | 3,144,117 | ||||||||||
4.90% 8/14/37 | 10,655,000 | 10,786,451 | ||||||||||
144A 5.15% 11/15/46 # | 720,000 | 712,138 | ||||||||||
5.25% 3/1/37 | 2,260,000 | 2,305,898 | ||||||||||
Bell Canada 3.35% 3/22/23 | CAD | 2,132,000 | 1,681,656 | |||||||||
Charter Communications Operating | ||||||||||||
5.375% 4/1/38 | 1,905,000 | 1,871,111 | ||||||||||
5.75% 4/1/48 | 4,255,000 | 4,241,659 | ||||||||||
Comcel Trust 144A 6.875% 2/6/24 # | 3,805,000 | 3,964,277 | ||||||||||
Crown Castle International | ||||||||||||
3.80% 2/15/28 | 1,465,000 | 1,392,729 | ||||||||||
5.25% 1/15/23 | 4,275,000 | 4,513,295 | ||||||||||
Crown Castle Towers 144A 4.883% 8/15/20 # | 25,785,000 | 26,618,492 | ||||||||||
Deutsche Telekom International Finance 6.50% 4/8/22 | GBP | 1,270,000 | 2,072,819 | |||||||||
Digicel Group | ||||||||||||
144A 7.125% 4/1/22 #* | 4,290,000 | 3,504,244 | ||||||||||
144A 8.25% 9/30/20 # | 2,200,000 | 1,974,500 |
30
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Communications (continued) | ||||||||||||
Discovery Communications 5.20% 9/20/47 | 9,455,000 | $ | 9,281,293 | |||||||||
Equinix 5.375% 5/15/27 | 1,680,000 | 1,713,600 | ||||||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 2,605,000 | 2,568,697 | ||||||||||
Level 3 Financing | ||||||||||||
5.25% 3/15/26 | 215,000 | 208,485 | ||||||||||
5.375% 5/1/25 | 4,060,000 | 4,008,032 | ||||||||||
Myriad International Holdings 144A 4.85% 7/6/27 # | 1,405,000 | 1,415,327 | ||||||||||
SBA Communications 4.875% 9/1/24 | 2,665,000 | 2,568,394 | ||||||||||
SBA Tower Trust 144A 2.898% 10/8/19 # | 405,000 | 405,063 | ||||||||||
Sirius XM Radio 144A 5.375% 4/15/25 # | 5,327,000 | 5,313,683 | ||||||||||
Sprint | ||||||||||||
7.125% 6/15/24 | 245,000 | 252,887 | ||||||||||
7.875% 9/15/23 | 2,639,000 | 2,836,925 | ||||||||||
Sprint Communications 7.00% 8/15/20 | 270,000 | 286,200 | ||||||||||
Sprint Spectrum 144A 4.738% 3/20/25 # | 3,190,000 | 3,229,875 | ||||||||||
Telecom Italia 144A 5.303% 5/30/24 # | 1,285,000 | 1,313,591 | ||||||||||
Telefonica Emisiones 4.895% 3/6/48 | 11,130,000 | 11,047,538 | ||||||||||
Time Warner Cable 7.30% 7/1/38 | 9,865,000 | 11,753,748 | ||||||||||
Time Warner Entertainment 8.375% 3/15/23 | 5,470,000 | 6,447,034 | ||||||||||
T-Mobile USA | ||||||||||||
6.375% 3/1/25 | 250,000 | 263,125 | ||||||||||
6.50% 1/15/26 | 3,725,000 | 3,967,125 | ||||||||||
VEON Holdings | ||||||||||||
144A 4.95% 6/16/24 # | 2,425,000 | 2,306,878 | ||||||||||
144A 5.95% 2/13/23 # | 2,540,000 | 2,590,800 | ||||||||||
Verizon Communications | ||||||||||||
3.25% 2/17/26 | EUR | 2,606,000 | 3,582,170 | |||||||||
4.125% 8/15/46 | 6,295,000 | 5,525,471 | ||||||||||
4.50% 8/17/27 | AUD | 2,230,000 | 1,704,586 | |||||||||
4.50% 8/10/33 | 8,835,000 | 8,684,422 | ||||||||||
5.50% 3/16/47 | 1,805,000 | 1,913,516 | ||||||||||
Viacom 4.375% 3/15/43 | 5,580,000 | 4,950,948 | ||||||||||
Zayo Group | ||||||||||||
144A 5.75% 1/15/27 # | 3,865,000 | 3,845,675 | ||||||||||
6.375% 5/15/25 | 520,000 | 540,254 | ||||||||||
|
| |||||||||||
189,715,505 | ||||||||||||
|
| |||||||||||
Consumer Cyclical – 2.21% | ||||||||||||
Alibaba Group Holding 4.00% 12/6/37 | 3,160,000 | 2,974,324 | ||||||||||
AMC Entertainment Holdings 6.125% 5/15/27 * | 1,930,000 | 1,876,925 | ||||||||||
American Axle & Manufacturing 6.25% 3/15/26 | 1,620,000 | 1,607,850 | ||||||||||
American Tire Distributors 144A 10.25% 3/1/22 # | 254,000 | 135,255 | ||||||||||
Atento Luxco 1 144A 6.125% 8/10/22 # | 3,430,000 | 3,444,235 |
31
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Consumer Cyclical (continued) | ||||||||||||
BMW US Capital 144A 3.10% 4/12/21 # | 3,910,000 | $ | 3,897,228 | |||||||||
Boyd Gaming 6.375% 4/1/26 | 4,285,000 | 4,496,979 | ||||||||||
Daimler 2.75% 12/10/18 | NOK | 14,510,000 | 1,827,859 | |||||||||
Daimler Finance North America 144A 3.35% 2/22/23 # | 5,125,000 | 5,056,776 | ||||||||||
Dollar Tree | ||||||||||||
3.70% 5/15/23 | 3,050,000 | 3,024,110 | ||||||||||
4.00% 5/15/25 | 5,630,000 | 5,580,630 | ||||||||||
4.20% 5/15/28 | 4,440,000 | 4,371,396 | ||||||||||
Ford Motor Credit 4.14% 2/15/23 | 9,420,000 | 9,420,000 | ||||||||||
General Motors 6.75% 4/1/46 | 1,230,000 | 1,400,633 | ||||||||||
General Motors Financial | ||||||||||||
3.55% 4/9/21 * | 4,005,000 | 4,001,663 | ||||||||||
4.35% 4/9/25 | 4,745,000 | 4,708,352 | ||||||||||
5.25% 3/1/26 | 4,005,000 | 4,170,082 | ||||||||||
GLP Capital 5.375% 4/15/26 | 3,025,000 | 3,055,250 | ||||||||||
JD.com 3.125% 4/29/21 | 3,905,000 | 3,817,300 | ||||||||||
KFC Holding 144A 5.25% 6/1/26 # | 1,700,000 | 1,712,750 | ||||||||||
Lithia Motors 144A 5.25% 8/1/25 # | 1,660,000 | 1,647,550 | ||||||||||
Live Nation Entertainment 144A 5.625% 3/15/26 # | 1,005,000 | 1,005,000 | ||||||||||
Marriott International 4.50% 10/1/34 | 1,035,000 | 1,037,454 | ||||||||||
MGM Resorts International 4.625% 9/1/26 | 3,040,000 | 2,891,800 | ||||||||||
New Red Finance 144A 5.00% 10/15/25 # | 1,495,000 | 1,445,949 | ||||||||||
Penn National Gaming 144A 5.625% 1/15/27 #* | 4,515,000 | 4,334,400 | ||||||||||
Penske Automotive Group 5.50% 5/15/26 | 2,430,000 | 2,363,175 | ||||||||||
Royal Caribbean Cruises 3.70% 3/15/28 | 6,840,000 | 6,457,911 | ||||||||||
Scientific Games International 10.00% 12/1/22 | 2,745,000 | 2,968,059 | ||||||||||
Toyota Motor Credit 2.80% 7/13/22 | 2,820,000 | 2,774,748 | ||||||||||
|
| |||||||||||
97,505,643 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 3.99% | ||||||||||||
Abbott Laboratories | ||||||||||||
3.40% 11/30/23 | 5,165,000 | 5,103,479 | ||||||||||
3.75% 11/30/26 | 630,000 | 621,708 | ||||||||||
Air Medical Group Holdings 144A 6.375% 5/15/23 #* | 550,000 | 529,375 | ||||||||||
Albertsons | ||||||||||||
5.75% 3/15/25 | 1,428,000 | 1,251,285 | ||||||||||
6.625% 6/15/24 | 176,000 | 164,998 | ||||||||||
Amgen 4.00% 9/13/29 | GBP | 1,271,000 | 1,963,247 | |||||||||
Anheuser-Busch InBev Finance | ||||||||||||
3.30% 2/1/23 | 2,580,000 | 2,562,098 | ||||||||||
3.65% 2/1/26 | 7,581,000 | 7,413,811 | ||||||||||
Anheuser-Busch InBev Worldwide 4.60% 4/15/48 | 3,370,000 | 3,336,806 | ||||||||||
BAT Capital 144A 3.222% 8/15/24 # | 9,140,000 | 8,686,519 |
32
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Non-Cyclical (continued) | ||||||||
Becton Dickinson and Co. 3.363% 6/6/24 | 11,105,000 | $ | 10,694,719 | |||||
Boston Scientific 4.00% 3/1/28 | 5,980,000 | 5,924,790 | ||||||
Campbell Soup | ||||||||
3.30% 3/15/21 * | 1,625,000 | 1,627,535 | ||||||
3.65% 3/15/23 | 10,305,000 | 10,247,683 | ||||||
Celgene | ||||||||
3.90% 2/20/28 | 8,135,000 | 7,863,050 | ||||||
4.55% 2/20/48 | 2,745,000 | 2,592,966 | ||||||
Cott Holdings 144A 5.50% 4/1/25 # | 1,205,000 | 1,198,975 | ||||||
CVS Health | ||||||||
3.35% 3/9/21 | 3,130,000 | 3,138,129 | ||||||
3.70% 3/9/23 | 4,350,000 | 4,338,055 | ||||||
4.10% 3/25/25 | 4,790,000 | 4,776,159 | ||||||
4.30% 3/25/28 | 3,930,000 | 3,881,132 | ||||||
4.78% 3/25/38 | 4,830,000 | 4,779,396 | ||||||
ESAL 144A 6.25% 2/5/23 #* | 2,180,000 | 2,087,350 | ||||||
General Mills | ||||||||
3.20% 4/16/21 | 1,075,000 | 1,074,249 | ||||||
3.70% 10/17/23 | 10,730,000 | 10,711,476 | ||||||
JBS USA 144A 6.75% 2/15/28 # | 2,280,000 | 2,191,650 | ||||||
JBS USA LUX 144A 5.75% 6/15/25 # | 395,000 | 373,157 | ||||||
Kernel Holding 144A 8.75% 1/31/22 # | 4,410,000 | 4,551,561 | ||||||
Marfrig Holdings Europe 144A 8.00% 6/8/23 # | 4,535,000 | 4,603,025 | ||||||
MHP | ||||||||
144A 6.95% 4/3/26 # | 1,660,000 | 1,623,065 | ||||||
144A 7.75% 5/10/24 # | 3,030,000 | 3,138,807 | ||||||
Molson Coors Brewing 4.20% 7/15/46 | 165,000 | 150,360 | ||||||
Mylan 144A 4.55% 4/15/28 # | 3,330,000 | 3,266,607 | ||||||
New York-Presbyterian Hospital 4.063% 8/1/56 | 3,760,000 | 3,648,216 | ||||||
Paratek Pharmaceuticals 144A 4.75% 5/1/24 # | 2,192,000 | 2,190,630 | ||||||
Pernod Ricard 144A 4.45% 1/15/22 # | 7,270,000 | 7,523,378 | ||||||
Rede D’or Finance 144A 4.95% 1/17/28 #* | 4,415,000 | 4,086,634 | ||||||
Rio Energy 144A 6.875% 2/1/25 # | 4,140,000 | 4,046,850 | ||||||
Teva Pharmaceutical Finance Netherlands III | ||||||||
144A 6.00% 4/15/24 #* | 1,450,000 | 1,408,196 | ||||||
144A 6.75% 3/1/28 #* | 3,585,000 | 3,543,797 | ||||||
Thermo Fisher Scientific 3.00% 4/15/23 | 6,880,000 | 6,671,156 | ||||||
Zimmer Biomet Holdings 4.625% 11/30/19 | 15,621,000 | 15,973,060 | ||||||
|
| |||||||
175,559,139 | ||||||||
|
| |||||||
Electric – 4.34% | ||||||||
AES Gener 144A 8.375% 12/18/73 #*µ | 1,945,000 | 2,027,818 | ||||||
Ameren Illinois 9.75% 11/15/18 | 16,210,000 | 16,809,209 |
33
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) | ||||||||||||
Electric (continued) | ||||||||||||
American Transmission Systems 144A 5.25% 1/15/22 # | 14,260,000 | $ | 15,053,860 | |||||||||
Ausgrid Finance | ||||||||||||
144A 3.85% 5/1/23 # | 4,440,000 | 4,450,131 | ||||||||||
144A 4.35% 8/1/28 # | 3,265,000 | 3,268,776 | ||||||||||
Avangrid 3.15% 12/1/24 | 6,790,000 | 6,523,723 | ||||||||||
Cerro del Aguila 144A 4.125% 8/16/27 # | 4,195,000 | 3,922,325 | ||||||||||
Cleveland Electric Illuminating 5.50% 8/15/24 | 290,000 | 316,703 | ||||||||||
CMS Energy 6.25% 2/1/20 | 7,695,000 | 8,089,868 | ||||||||||
ComEd Financing III 6.35% 3/15/33 | 8,344,000 | 8,907,220 | ||||||||||
Dominion Energy 3.625% 12/1/24 | 4,495,000 | 4,426,912 | ||||||||||
DTE Energy | ||||||||||||
3.30% 6/15/22 | 5,245,000 | 5,189,782 | ||||||||||
4.05% 5/15/48 | 360,000 | 358,384 | ||||||||||
Emera 6.75% 6/15/76 *µ | 6,710,000 | 7,293,770 | ||||||||||
Enel 144A 8.75% 9/24/73 #µ | 7,060,000 | 8,374,925 | ||||||||||
Enel Finance International 144A 3.625% 5/25/27 # | 11,360,000 | 10,736,952 | ||||||||||
Entergy Louisiana | ||||||||||||
4.05% 9/1/23 | 14,030,000 | 14,377,060 | ||||||||||
4.95% 1/15/45 | 685,000 | 692,745 | ||||||||||
Exelon 3.497% 6/1/22 | 2,810,000 | 2,768,145 | ||||||||||
Fortis 3.055% 10/4/26 | 3,640,000 | 3,341,260 | ||||||||||
Great Plains Energy 4.85% 6/1/21 | 2,805,000 | 2,894,257 | ||||||||||
Israel Electric 144A 4.25% 8/14/28 # | 3,570,000 | 3,422,441 | ||||||||||
Kansas City Power & Light 3.65% 8/15/25 | 7,975,000 | 7,910,981 | ||||||||||
Mississippi Power 3.95% 3/30/28 | 3,750,000 | 3,714,419 | ||||||||||
National Rural Utilities Cooperative Finance | ||||||||||||
4.75% 4/30/43 µ | 5,585,000 | 5,699,394 | ||||||||||
5.25% 4/20/46 µ | 6,060,000 | 6,326,259 | ||||||||||
Nevada Power 2.75% 4/15/20 | 4,115,000 | 4,103,924 | ||||||||||
Newfoundland & Labrador Hydro 3.60% 12/1/45 | CAD | 1,500,000 | 1,194,509 | |||||||||
NextEra Energy Capital Holdings 3.625% 6/15/23 | 4,318,000 | 4,307,193 | ||||||||||
NV Energy 6.25% 11/15/20 | 10,391,000 | 11,170,070 | ||||||||||
Pennsylvania Electric 5.20% 4/1/20 | 398,000 | 409,544 | ||||||||||
Perusahaan Listrik Negara | ||||||||||||
144A 4.125% 5/15/27 # | 1,675,000 | 1,580,865 | ||||||||||
144A 5.25% 5/15/47 # | 1,995,000 | 1,909,756 | ||||||||||
Public Service Co. of Oklahoma 5.15% 12/1/19 | 3,340,000 | 3,440,640 | ||||||||||
Southwestern Electric Power 3.85% 2/1/48 | 4,055,000 | 3,821,561 | ||||||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 2,505,000 | 2,497,373 | ||||||||||
|
| |||||||||||
191,332,754 | ||||||||||||
|
|
34
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy – 5.76% | ||||||||
Abu Dhabi Crude Oil Pipeline | ||||||||
144A 3.65% 11/2/29 # | 3,105,000 | $ | 2,899,576 | |||||
144A 4.60% 11/2/47 # | 3,555,000 | 3,354,683 | ||||||
Alta Mesa Holdings 7.875% 12/15/24 | 370,000 | 384,800 | ||||||
AmeriGas Partners 5.875% 8/20/26 | 2,865,000 | 2,857,837 | ||||||
Anadarko Petroleum 6.60% 3/15/46 | 6,985,000 | 8,638,334 | ||||||
Andeavor Logistics 5.25% 1/15/25 | 1,935,000 | 1,990,631 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
5.875% 3/31/25 | 1,465,000 | 1,515,850 | ||||||
7.00% 6/30/24 | 170,000 | 186,363 | ||||||
Crestwood Midstream Partners 5.75% 4/1/25 | 1,950,000 | 1,937,813 | ||||||
Diamondback Energy 4.75% 11/1/24 | 3,750,000 | 3,744,187 | ||||||
Ecopetrol | ||||||||
5.875% 9/18/23 | 915,000 | 977,677 | ||||||
7.375% 9/18/43 | 2,250,000 | 2,573,437 | ||||||
Enbridge | ||||||||
3.70% 7/15/27 | 4,645,000 | 4,382,680 | ||||||
4.00% 10/1/23 | 2,535,000 | 2,538,435 | ||||||
6.00% 1/15/77 µ | 2,745,000 | 2,679,806 | ||||||
6.25% 3/1/78 µ | 1,975,000 | 1,928,391 | ||||||
Energy Transfer Equity | ||||||||
5.50% 6/1/27 | 230,000 | 230,575 | ||||||
7.50% 10/15/20 | 2,395,000 | 2,571,631 | ||||||
Energy Transfer Partners | ||||||||
6.125% 12/15/45 | 9,420,000 | 9,650,178 | ||||||
6.625% *µy | 5,985,000 | 5,671,236 | ||||||
EnLink Midstream Partners 6.00% *µy | 2,040,000 | 1,919,242 | ||||||
Gazprom OAO Via Gaz Capital 144A 4.95% 3/23/27 # | 5,155,000 | 5,097,006 | ||||||
Genesis Energy 6.75% 8/1/22 | 3,315,000 | 3,381,300 | ||||||
Geopark 144A 6.50% 9/21/24 # | 3,105,000 | 3,097,237 | ||||||
Gran Tierra Energy International Holdings 144A 6.25% 2/15/25 # | 2,645,000 | 2,532,587 | ||||||
Gulfport Energy | ||||||||
6.00% 10/15/24 | 2,565,000 | 2,449,575 | ||||||
6.625% 5/1/23 | 1,140,000 | 1,151,400 | ||||||
Hilcorp Energy I 144A 5.75% 10/1/25 # | 170,000 | 169,150 | ||||||
Holly Energy Partners 144A 6.00% 8/1/24 # | 200,000 | 201,500 | ||||||
KazMunayGas National JSC 144A 6.375% 10/24/48 # | 3,555,000 | 3,639,911 | ||||||
KazTransGas JSC 144A 4.375% 9/26/27 # | 2,955,000 | 2,819,809 | ||||||
Kinder Morgan 4.30% 3/1/28 | 4,520,000 | 4,403,725 | ||||||
Laredo Petroleum 6.25% 3/15/23 * | 1,380,000 | 1,407,600 | ||||||
Marathon Oil 5.20% 6/1/45 * | 4,660,000 | 4,879,215 |
35
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
MPLX | ||||||||
4.50% 4/15/38 | 1,865,000 | $ | 1,804,834 | |||||
4.70% 4/15/48 | 6,005,000 | 5,687,829 | ||||||
4.875% 12/1/24 | 8,490,000 | 8,803,610 | ||||||
5.20% 3/1/47 | 680,000 | 695,969 | ||||||
Murphy Oil 6.875% 8/15/24 | 5,025,000 | 5,332,781 | ||||||
Murphy Oil USA 6.00% 8/15/23 | 4,629,000 | 4,796,801 | ||||||
Nabors Industries 144A 5.75% 2/1/25 # | 1,485,000 | 1,408,894 | ||||||
Newfield Exploration | ||||||||
5.375% 1/1/26 * | 260,000 | 270,140 | ||||||
5.75% 1/30/22 | 2,505,000 | 2,642,775 | ||||||
Noble Energy | ||||||||
3.85% 1/15/28 * | 5,055,000 | 4,877,463 | ||||||
4.95% 8/15/47 | 740,000 | 751,946 | ||||||
5.05% 11/15/44 | 2,410,000 | 2,499,030 | ||||||
NuStar Logistics 5.625% 4/28/27 * | 1,385,000 | 1,317,052 | ||||||
Oasis Petroleum | ||||||||
144A 6.25% 5/1/26 # | 1,220,000 | 1,220,000 | ||||||
6.50% 11/1/21 * | 1,220,000 | 1,253,550 | ||||||
6.875% 3/15/22 | 200,000 | 206,500 | ||||||
Occidental Petroleum 4.20% 3/15/48 | 6,630,000 | 6,545,287 | ||||||
ONEOK 7.50% 9/1/23 | 6,425,000 | 7,449,764 | ||||||
Pertamina Persero | ||||||||
144A 4.875% 5/3/22 # | 355,000 | 364,501 | ||||||
144A 5.625% 5/20/43 # | 1,980,000 | 1,978,291 | ||||||
Perusahaan Gas Negara Persero 144A 5.125% 5/16/24 #* | 2,975,000 | 3,053,019 | ||||||
Petrobras Global Finance | ||||||||
6.75% 1/27/41 | 2,350,000 | 2,236,025 | ||||||
7.25% 3/17/44 | 1,265,000 | 1,261,205 | ||||||
7.375% 1/17/27 | 2,470,000 | 2,652,780 | ||||||
Petroleos Mexicanos | ||||||||
6.50% 3/13/27 | 775,000 | 801,544 | ||||||
6.75% 9/21/47 | 3,140,000 | 3,044,230 | ||||||
Precision Drilling | ||||||||
144A 7.125% 1/15/26 #* | 775,000 | 784,687 | ||||||
7.75% 12/15/23 * | 1,125,000 | 1,177,031 | ||||||
QEP Resources 5.25% 5/1/23 | 2,750,000 | 2,695,000 | ||||||
Raizen Fuels Finance 144A 5.30% 1/20/27 # | 945,000 | 952,087 | ||||||
Sabine Pass Liquefaction | ||||||||
5.625% 3/1/25 | 7,775,000 | 8,288,052 | ||||||
5.75% 5/15/24 | 6,095,000 | 6,549,087 | ||||||
5.875% 6/30/26 | 3,225,000 | 3,504,672 |
36
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
Sempra Energy | ||||||||
3.40% 2/1/28 | 1,695,000 | $ | 1,602,329 | |||||
3.80% 2/1/38 | 3,205,000 | 2,968,166 | ||||||
Shell International Finance 4.375% 5/11/45 | 822,000 | 852,417 | ||||||
Southwestern Energy | ||||||||
4.10% 3/15/22 * | 1,085,000 | 1,057,875 | ||||||
6.70% 1/23/25 | 465,000 | 456,717 | ||||||
Summit Midstream Holdings 5.75% 4/15/25 | 2,040,000 | 1,956,319 | ||||||
Targa Resources Partners 5.375% 2/1/27 | 3,350,000 | 3,224,375 | ||||||
Tecpetrol 144A 4.875% 12/12/22 # | 6,390,000 | 6,214,275 | ||||||
Tengizchevroil Finance Co. International 144A 4.00% 8/15/26 # | 3,820,000 | 3,619,190 | ||||||
Transcanada Trust 5.875% 8/15/76 µ | 2,885,000 | 2,978,763 | ||||||
Transcontinental Gas Pipe Line | ||||||||
144A 4.00% 3/15/28 # | 1,905,000 | 1,849,233 | ||||||
144A 4.60% 3/15/48 # | 2,225,000 | 2,132,756 | ||||||
Transocean 144A 9.00% 7/15/23 # | 330,000 | 357,241 | ||||||
Transocean Proteus 144A 6.25% 12/1/24 # | 1,449,000 | 1,494,281 | ||||||
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 2,850,000 | 2,851,425 | ||||||
Tullow Oil 144A 7.00% 3/1/25 # | 4,595,000 | 4,664,155 | ||||||
WildHorse Resource Development 6.875% 2/1/25 | 380,000 | 387,600 | ||||||
Williams Partners 4.85% 3/1/48 | 1,740,000 | 1,672,881 | ||||||
Woodside Finance 144A 8.75% 3/1/19 # | 10,841,000 | 11,347,725 | ||||||
YPF | ||||||||
144A 7.00% 12/15/47 #* | 2,670,000 | 2,374,965 | ||||||
144A 26.563% (BADLARPP + 4.00%) 7/7/20 #● | 6,260,000 | 4,831,969 | ||||||
|
| |||||||
253,664,470 | ||||||||
|
| |||||||
Finance Companies – 1.03% | ||||||||
AerCap Global Aviation Trust 144A 6.50% 6/15/45 #µ | 7,385,000 | 7,865,025 | ||||||
AerCap Ireland Capital 3.65% 7/21/27 | 8,998,000 | 8,347,331 | ||||||
Air Lease | ||||||||
3.00% 9/15/23 | 6,125,000 | 5,848,220 | ||||||
3.625% 4/1/27 | 3,575,000 | 3,338,945 | ||||||
Aviation Capital Group | ||||||||
144A 3.50% 11/1/27 # | 2,830,000 | 2,628,832 | ||||||
144A 4.875% 10/1/25 # | 4,855,000 | 5,033,236 | ||||||
BOC Aviation 144A 2.375% 9/15/21 # | 4,235,000 | 4,051,540 | ||||||
International Lease Finance 8.625% 1/15/22 | 3,082,000 | 3,586,776 | ||||||
Temasek Financial I 144A 2.375% 1/23/23 # | 4,915,000 | 4,723,001 | ||||||
|
| |||||||
45,422,906 | ||||||||
|
| |||||||
Healthcare – 0.54% | ||||||||
DaVita 5.00% 5/1/25 | 2,503,000 | 2,378,351 |
37
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Healthcare (continued) | ||||||||
Encompass Health | ||||||||
5.125% 3/15/23 | 920,000 | $ | 938,400 | |||||
5.75% 11/1/24 | 3,367,000 | 3,438,549 | ||||||
5.75% 9/15/25 | 1,280,000 | 1,315,200 | ||||||
HCA | ||||||||
5.375% 2/1/25 | 4,580,000 | 4,568,550 | ||||||
7.58% 9/15/25 | 160,000 | 175,200 | ||||||
Hill-Rom Holdings | ||||||||
144A 5.00% 2/15/25 # | 1,185,000 | 1,182,666 | ||||||
144A 5.75% 9/1/23 # | 1,555,000 | 1,613,313 | ||||||
MPH Acquisition Holdings 144A 7.125% 6/1/24 # | 1,582,000 | 1,614,289 | ||||||
Tenet Healthcare 144A 5.125% 5/1/25 # | 5,600,000 | 5,481,000 | ||||||
Universal Health Services 144A 5.00% 6/1/26 # | 1,135,000 | 1,115,137 | ||||||
|
| |||||||
23,820,655 | ||||||||
|
| |||||||
Insurance – 1.46% | ||||||||
Acrisure 144A 7.00% 11/15/25 # | 4,464,000 | 4,230,533 | ||||||
AssuredPartners 144A 7.00% 8/15/25 # | 4,901,000 | 4,851,990 | ||||||
AXA Equitable Holdings | ||||||||
144A 3.90% 4/20/23 # | 1,735,000 | 1,728,816 | ||||||
144A 4.35% 4/20/28 # | 1,710,000 | 1,669,098 | ||||||
144A 5.00% 4/20/48 # | 2,815,000 | 2,690,389 | ||||||
AXIS Specialty Finance 4.00% 12/6/27 | 870,000 | 825,399 | ||||||
HUB International 144A 7.00% 5/1/26 # | 385,000 | 386,925 | ||||||
MetLife | ||||||||
6.40% 12/15/36 | 40,000 | 43,700 | ||||||
144A 9.25% 4/8/38 # | 8,985,000 | 12,264,525 | ||||||
NFP 144A 6.875% 7/15/25 # | 4,553,000 | 4,484,705 | ||||||
Nuveen Finance | ||||||||
144A 2.95% 11/1/19 # | 4,670,000 | 4,655,200 | ||||||
144A 4.125% 11/1/24 # | 2,790,000 | 2,801,485 | ||||||
Prudential Financial | ||||||||
4.50% 11/15/20 | 3,385,000 | 3,497,142 | ||||||
5.375% 5/15/45 µ | 4,135,000 | 4,186,687 | ||||||
USIS Merger Sub 144A 6.875% 5/1/25 # | 6,305,000 | 6,368,050 | ||||||
Voya Financial 144A 4.70% 1/23/48 #µ | 3,740,000 | 3,376,239 | ||||||
XLIT | ||||||||
4.805% (LIBOR03M + 2.458%) *y● | 2,639,000 | 2,642,299 | ||||||
5.50% 3/31/45 | 3,555,000 | 3,751,300 | ||||||
|
| |||||||
64,454,482 | ||||||||
|
| |||||||
Media – 0.75% | ||||||||
Altice France 144A 6.25% 5/15/24 # | 3,510,000 | 3,356,437 | ||||||
AMC Networks 4.75% 8/1/25 | 2,115,000 | 2,004,174 |
38
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Media (continued) | ||||||||
CCO Holdings | ||||||||
144A 5.125% 5/1/27 # | 1,190,000 | $ | 1,117,969 | |||||
144A 5.50% 5/1/26 # | 2,435,000 | 2,377,047 | ||||||
144A 5.75% 2/15/26 # | 390,000 | 388,050 | ||||||
144A 5.875% 5/1/27 # | 300,000 | 294,000 | ||||||
Cequel Communications Holdings I 144A 7.75% 7/15/25 # | 330,000 | 348,975 | ||||||
Gray Television 144A 5.875% 7/15/26 # | 1,920,000 | 1,852,800 | ||||||
Nexstar Broadcasting 144A 5.625% 8/1/24 # | 3,190,000 | 3,150,125 | ||||||
Nielsen Co. Luxembourg 144A 5.00% 2/1/25 #* | 3,890,000 | 3,836,513 | ||||||
Tribune Media 5.875% 7/15/22 | 1,080,000 | 1,098,900 | ||||||
UPCB Finance IV 144A 5.375% 1/15/25 # | 2,849,000 | 2,799,143 | ||||||
Virgin Media Secured Finance 144A 5.25% 1/15/26 # | 4,530,000 | 4,331,813 | ||||||
VTR Finance 144A 6.875% 1/15/24 # | 5,815,000 | 6,027,306 | ||||||
|
| |||||||
32,983,252 | ||||||||
|
| |||||||
Real Estate – 1.07% | ||||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 6,545,000 | 6,352,139 | ||||||
5.25% 2/15/24 | 5,315,000 | 5,541,378 | ||||||
Education Realty Operating Partnership 4.60% 12/1/24 | 5,440,000 | 5,442,832 | ||||||
ESH Hospitality 144A 5.25% 5/1/25 # | 2,360,000 | 2,312,800 | ||||||
Growthpoint Properties International 144A 5.872% 5/2/23 # | 3,270,000 | 3,316,854 | ||||||
Hospitality Properties Trust 4.50% 3/15/25 | 5,010,000 | 4,967,489 | ||||||
Host Hotels & Resorts | ||||||||
3.75% 10/15/23 | 4,180,000 | 4,087,092 | ||||||
3.875% 4/1/24 | 705,000 | 687,350 | ||||||
4.50% 2/1/26 | 1,525,000 | 1,519,496 | ||||||
Hudson Pacific Properties 3.95% 11/1/27 | 900,000 | 844,119 | ||||||
Kilroy Realty 3.45% 12/15/24 | 3,485,000 | 3,336,998 | ||||||
Life Storage | ||||||||
3.50% 7/1/26 | 3,750,000 | 3,494,806 | ||||||
3.875% 12/15/27 | 470,000 | 445,805 | ||||||
WP Carey 4.60% 4/1/24 | 4,645,000 | 4,695,835 | ||||||
|
| |||||||
47,044,993 | ||||||||
|
| |||||||
Services – 0.32% | ||||||||
Advanced Disposal Services 144A 5.625% 11/15/24 # | 380,000 | 383,800 | ||||||
Avis Budget Car Rental 144A 6.375% 4/1/24 # | 1,115,000 | 1,134,513 | ||||||
Covanta Holding 5.875% 7/1/25 | 1,105,000 | 1,077,375 | ||||||
GEO Group | ||||||||
5.125% 4/1/23 | 860,000 | 853,550 | ||||||
5.875% 1/15/22 * | 500,000 | 515,625 |
39
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Services (continued) | ||||||||
Herc Rentals 144A 7.75% 6/1/24 # | 1,412,000 | $ | 1,530,255 | |||||
Iron Mountain US Holdings 144A 5.375% 6/1/26 # | 1,780,000 | 1,726,600 | ||||||
KAR Auction Services 144A 5.125% 6/1/25 # | 875,000 | 850,937 | ||||||
Prime Security Services Borrower 144A 9.25% 5/15/23 # | 2,692,000 | 2,897,265 | ||||||
United Rentals North America 5.50% 5/15/27 | 3,200,000 | 3,200,000 | ||||||
|
| |||||||
14,169,920 | ||||||||
|
| |||||||
Technology – 0.95% | ||||||||
Baidu 4.375% 3/29/28 | 3,905,000 | 3,893,262 | ||||||
Broadcom 3.50% 1/15/28 | 4,470,000 | 4,112,890 | ||||||
CDK Global | ||||||||
4.875% 6/1/27 | 1,450,000 | 1,399,250 | ||||||
5.00% 10/15/24 | 4,350,000 | 4,426,125 | ||||||
CDW Finance 5.00% 9/1/25 | 1,425,000 | 1,428,135 | ||||||
CommScope Technologies 144A 5.00% 3/15/27 # | 3,110,000 | 2,985,600 | ||||||
Corning 4.375% 11/15/57 | 2,275,000 | 2,026,689 | ||||||
Dell International | ||||||||
144A 6.02% 6/15/26 # | 8,675,000 | 9,201,756 | ||||||
144A 8.10% 7/15/36 # | 140,000 | 165,546 | ||||||
First Data 144A 5.75% 1/15/24 # | 2,575,000 | 2,620,371 | ||||||
Genesys Telecommunications Laboratories 144A 10.00% 11/30/24 # | 90,000 | 99,675 | ||||||
Infor US 6.50% 5/15/22 | 320,000 | 326,400 | ||||||
NXP 144A 4.625% 6/1/23 # | 3,230,000 | 3,259,716 | ||||||
Solera 144A 10.50% 3/1/24 # | 230,000 | 257,025 | ||||||
Symantec 144A 5.00% 4/15/25 # | 2,485,000 | 2,501,321 | ||||||
Tencent Holdings 144A 3.925% 1/19/38 #* | 3,270,000 | 3,081,371 | ||||||
|
| |||||||
41,785,132 | ||||||||
|
| |||||||
Transportation – 0.57% | ||||||||
Adani Abbot Point Terminal 144A 4.45% 12/15/22 # | 6,770,000 | 6,252,955 | ||||||
CH Robinson Worldwide 4.20% 4/15/28 | 2,660,000 | 2,631,792 | ||||||
Penske Truck Leasing 144A 4.20% 4/1/27 # | 4,020,000 | 3,973,345 | ||||||
Transnet SOC 144A 4.00% 7/26/22 # | 3,370,000 | 3,277,443 | ||||||
United Airlines 2014-1 Class A Pass Through Trust 4.00% 4/11/26 ¨ | 1,907,356 | 1,915,176 | ||||||
United Airlines 2014-2 Class A Pass Through Trust 3.75% 9/3/26 ¨ | 1,783,170 | 1,773,630 | ||||||
United Airlines 2016-1 Class AA Pass Through Trust 3.10% 7/7/28 ¨ | 3,378,441 | 3,239,645 | ||||||
XPO Logistics 144A 6.125% 9/1/23 # | 1,839,000 | 1,910,261 | ||||||
|
| |||||||
24,974,247 | ||||||||
|
| |||||||
Utilities – 0.25% | ||||||||
Aegea Finance 144A 5.75% 10/10/24 #* | 3,570,000 | 3,543,225 |
40
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Utilities (continued) | ||||||||
AES Andres 144A 7.95% 5/11/26 # | 4,100,000 | $ | 4,412,625 | |||||
Calpine 144A 5.25% 6/1/26 # | 2,555,000 | 2,454,397 | ||||||
Vistra Energy 144A 8.00% 1/15/25 # | 685,000 | 745,794 | ||||||
|
| |||||||
11,156,041 | ||||||||
|
| |||||||
Total Corporate Bonds (cost $1,945,264,466) | 1,934,913,507 | |||||||
|
| |||||||
Loan Agreements – 9.53% | ||||||||
Acrisure Tranche B 1st Lien 6.609% (LIBOR03M + 4.25%) 11/22/23 ● | 3,541,103 | 3,579,835 | ||||||
Air Medical Group Holdings Tranche B 1st Lien 5.128% (LIBOR03M + 3.25%) 4/28/22 ● | 6,076,906 | 6,110,669 | ||||||
Albertson’s Tranche B4 1st Lien 4.651% (LIBOR03M + 2.75%) 8/25/21 ● | 4,819,315 | 4,784,375 | ||||||
Alpha 3 Tranche B1 1st Lien 5.302% (LIBOR03M + 3.00%) 1/31/24 ● | 1,002,425 | 1,009,735 | ||||||
Altice France Tranche B11 1st Lien 4.651% (LIBOR03M + 2.75%) 7/18/25 ● | 4,281,750 | 4,245,621 | ||||||
Altice France Tranche B12 1st Lien 5.348% (LIBOR03M + 3.00%) 1/31/26 ● | 1,863,291 | 1,846,406 | ||||||
American Airlines Tranche B 1st Lien 3.897% (LIBOR03M + 2.00%) 12/14/23 ● | 3,530,500 | 3,539,326 | ||||||
Applied Systems 2nd Lien 9.302% (LIBOR03M + 7.00%) 9/19/25 ● | 3,735,000 | 3,865,725 | ||||||
Aramark Services Tranche B1 1st Lien 3.901% (LIBOR03M + 2.00%) 3/11/25 ● | 1,865,325 | 1,879,897 | ||||||
AssuredPartners Tranche B 1st Lien 5.151% (LIBOR03M + 3.25%) 10/22/24 ● | 4,795,396 | 4,822,370 | ||||||
ATI Holdings Acquisition Tranche B 1st Lien 5.831% (LIBOR03M + 3.50%) | 3,598,856 | 3,617,598 | ||||||
ATS Consolidated Tranche B 1st Lien 5.659% (LIBOR03M + 3.75%) 2/28/25 ● | 3,660,000 | 3,703,463 | ||||||
Avis Budget Car Rental Tranche B 1st Lien 4.31% (LIBOR03M + 2.00%) 2/13/25 ● | 2,603,475 | 2,611,611 | ||||||
Blue Ribbon 1st Lien 5.894% (LIBOR03M + 4.00%) 11/13/21 ● | 3,858,620 | 3,857,011 | ||||||
Builders FirstSource 1st Lien 5.302% (LIBOR03M + 3.00%) 2/29/24 ● | 5,422,115 | 5,459,392 | ||||||
BWAY Tranche B 1st Lien 5.587% (LIBOR03M + 3.25%) 4/3/24 ● | 3,419,163 | 3,444,095 | ||||||
CH Hold 2nd Lien 9.151% (LIBOR03M + 7.25%) 2/1/25 ● | 1,977,418 | 2,016,966 | ||||||
Change Healthcare Holdings Tranche B 1st Lien 4.651% (LIBOR03M + 2.75%) 3/1/24 ● | 4,871,598 | 4,896,336 |
41
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
Charter Communications Operating Tranche B 1st Lien 3.91% (LIBOR03M + 2.00%) 4/30/25 ● | 2,508,713 | $ | 2,523,536 | |||||
Chemours 1st Lien 3.66% (LIBOR03M + 1.75%) 3/30/25 ● | 5,468,526 | 5,480,492 | ||||||
Chesapeake Energy 1st Lien 9.444% (LIBOR03M + 7.50%) 8/23/21 ● | 6,260,000 | 6,639,513 | ||||||
CityCenter Holdings Tranche B 1st Lien 4.401% (LIBOR03M + 2.50%) 4/18/24 ● | 3,857,134 | 3,882,750 | ||||||
Community Health Systems Tranche G 1st Lien 4.984% (LIBOR03M + 3.00%) 12/31/19 ● | 2,090,000 | 2,059,827 | ||||||
Community Health Systems Tranche H 1st Lien 5.234% (LIBOR03M + 3.25%) 1/27/21 ● | 1,045,000 | 1,014,956 | ||||||
Constellis Holdings 1st Lien 7.302% (LIBOR03M + 5.00%) 4/21/24 ● | 2,093,183 | 2,107,138 | ||||||
Constellis Holdings 2nd Lien 11.302% (LIBOR03M + 9.00%) 4/21/25 ● | 1,208,000 | 1,220,080 | ||||||
Core & Main Tranche B 1st Lien 5.006% (LIBOR03M + 3.00%) 8/1/24 ● | 2,603,459 | 2,619,730 | ||||||
CROWN Americas Tranche B 1st Lien 4.312% (LIBOR03M + 2.00%) 4/3/25 ● | 2,690,000 | 2,717,952 | ||||||
CSC Holdings 1st Lien 4.147% (LIBOR03M + 2.25%) 7/17/25 ● | 1,846,350 | 1,848,427 | ||||||
CSC Holdings Tranche B 1st Lien 4.397% (LIBOR03M + 2.50%) 1/25/26 ● | 1,390,000 | 1,395,792 | ||||||
Dakota Holdings Tranche B 1st Lien 5.552% (LIBOR03M + 3.25%) 2/13/25 ● | 2,145,000 | 2,151,435 | ||||||
DaVita Tranche B 1st Lien 4.651% (LIBOR03M + 2.75%) 6/24/21 ● | 622,413 | 628,971 | ||||||
Deck Chassis Acquisition 2nd Lien 7.901% (LIBOR03M + 6.00%) 6/15/23 ● | 1,325,000 | 1,351,500 | ||||||
Delek US Holdings Tranche B 1st Lien 4.401% (LIBOR03M + 2.50%) 3/30/25 ● | 1,565,000 | 1,572,825 | ||||||
DG Investment Intermediate Holdings 2 1st Lien 5.302% (LIBOR03M + 3.00%) 1/29/25 ● | 2,361,935 | 2,364,888 | ||||||
DG Investment Intermediate Holdings 2 Tranche DD 1st Lien 4.773% (LIBOR03M + 3.00%) 1/29/25 ● | 253,065 | 253,381 | ||||||
Digicel International Finance Tranche B 1st Lien 5.61% (LIBOR03M + 3.25%) 5/10/24 ● | 4,398,950 | 4,394,366 | ||||||
Energy Transfer Equity Tranche B 1st Lien 3.898% (LIBOR03M + 2.00%) 2/2/24 ● | 1,325,000 | 1,327,393 | ||||||
ESH Hospitality Tranche B 1st Lien 4.151% (LIBOR03M + 2.25%) 8/30/23 ● | 2,292,554 | 2,307,497 | ||||||
ExamWorks Group Tranche B1 1st Lien 5.151% (LIBOR03M + 3.25%) 7/27/23 ● | 5,589,183 | 5,632,846 | ||||||
First Data 1st Lien 4.147% (LIBOR03M + 2.25%) 7/10/22 ● | 1,196,460 | 1,202,000 |
42
Table of Contents
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
First Data 1st Lien 4.147% (LIBOR03M + 2.25%) 4/26/24 ● | 7,280,438 | $ | 7,315,115 | |||||
First Eagle Holdings Tranche B 1st Lien 5.302% (LIBOR03M + 3.00%) 12/1/22 ● | 1,401,602 | 1,415,181 | ||||||
Flex Acquisition 1st Lien 5.308% (LIBOR03M + 3.00%) 12/29/23 ● | 2,133,450 | 2,147,317 | ||||||
Flying Fortress Holdings Tranche B 1st Lien 4.052% (LIBOR03M + 1.75%) 10/30/22 ● | 1,150,209 | 1,158,323 | ||||||
Frontier Communications Tranche B1 1st Lien 5.66% (LIBOR03M + 3.75%) 6/15/24 ● | 2,569,032 | 2,541,736 | ||||||
Gardner Denver Tranche B1 1st Lien 5.052% (LIBOR03M + 2.75%) 7/30/24 ● | 5,089,950 | 5,125,589 | ||||||
Gates Global Tranche B2 1st Lien 5.302% (LIBOR03M + 3.00%) 3/31/24 ● | 2,909,876 | 2,931,246 | ||||||
Genoa a Qol Healthcare 1st Lien 5.151% (LIBOR03M + 3.25%) 10/28/23 ● | 3,945,150 | 3,980,901 | ||||||
GEO Group Tranche B 1st Lien 4.337% (LIBOR03M + 2.00%) 3/23/24 ● | 815,000 | 818,821 | ||||||
Gopher Resource 1st Lien 5.478% (LIBOR03M + 3.25%) 2/9/25 ● | 2,610,000 | 2,640,994 | ||||||
Gray Television Tranche B2 1st Lien 4.417% (LIBOR03M + 2.50%) 2/7/24 ● | 2,159,533 | 2,171,231 | ||||||
Greeneden US Holdings II Tranche B3 1st Lien 5.802% (LIBOR03M + 3.50%) 12/1/23 ● | 3,718,126 | 3,746,342 | ||||||
Greenhill & Co. Tranche B 1st Lien 5.621% (LIBOR03M + 3.75%) 10/12/22 ● | 2,611,938 | 2,634,792 | ||||||
GVC Holdings Tranche B2 1st Lien 4.401% (LIBOR03M + 2.50%) 3/16/24 ● | 3,555,000 | 3,559,444 | ||||||
HCA Tranche B10 1st Lien 3.901% (LIBOR03M + 2.00%) 3/13/25 ● | 6,260,000 | 6,331,295 | ||||||
Heartland Dental 1st Lien 6.116% (LIBOR03M + 3.75%) 4/30/25 ● | 4,555,000 | 4,576,354 | ||||||
Hilton Worldwide Finance Tranche B2 1st Lien 3.647% (LIBOR03M + 1.75%) 10/25/23 ● | 1,361,907 | 1,374,864 | ||||||
Hoya Midco Tranche B 1st Lien 5.901% (LIBOR03M + 4.00%) 6/30/24 ● | 2,372,075 | 2,383,935 | ||||||
HUB International Tranche B 1st Lien 5.36% (LIBOR03M + 3.00%) 4/25/25 ● | 3,500,000 | 3,526,989 | ||||||
HVSC Merger Sub 2nd Lien 10.151% (LIBOR03M + 8.25%) 10/26/25 ● | 1,230,000 | 1,233,075 | ||||||
HVSC Merger Sub Tranche B 1st Lien 6.302% (LIBOR03M + 4.00%) 10/20/24 ● | 2,403,975 | 2,431,020 | ||||||
Hyperion Insurance Group Tranche B 1st Lien 5.438% (LIBOR03M + 3.50%) 12/20/24 ● | 4,678,275 | 4,722,719 |
43
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
INEOS US Finance Tranche B 1st Lien 3.901% (LIBOR03M + 2.00%) 3/31/24 ● | 3,331,650 | $ | 3,347,529 | |||||
Iron Mountain Tranche B 1st Lien 3.648% (LIBOR03M + 1.75%) 1/2/26 ● | 6,320,000 | 6,306,172 | ||||||
Isagenix International 1st Lien 8.087% (LIBOR03M + 5.75%) 4/26/25 ● | 1,315,000 | 1,315,000 | ||||||
JBS USA Tranche B 1st Lien 4.678% (LIBOR03M + 2.50%) 10/30/22 ● | 5,510,307 | 5,512,374 | ||||||
Jeld-Wen Tranche B4 1st Lien 4.302% (LIBOR03M + 2.00%) 12/14/24 ● | 2,608,463 | 2,625,172 | ||||||
Kingpin Intermediate Holdings Tranche B 1st Lien 6.15% (LIBOR03M + 4.25%) 7/3/24 ● | 1,245,588 | 1,267,510 | ||||||
Kloeckner Pentaplast of America Tranche B 1st Lien 6.151% (LIBOR03M + 4.25%) 6/30/22 ● | 1,779,520 | 1,694,993 | ||||||
Kraton Polymers Tranche B 1st Lien 4.401% (LIBOR03M + 2.50%) 3/8/25 ● | 1,273,474 | 1,284,418 | ||||||
Kronos 2nd Lien 10.608% (LIBOR03M + 8.25%) 11/1/24 ● | 2,730,000 | 2,839,200 | ||||||
Kronos Tranche B 1st Lien 5.358% (LIBOR03M + 3.00%) 11/1/23 ● | 1,960,237 | 1,980,314 | ||||||
Lucid Energy Group II Borrower 1st Lien 4.897% (LIBOR03M + 3.00%) 2/18/25 ● | 4,510,000 | 4,498,725 | ||||||
LUX HOLDCO III 1st Lien 4.901% (LIBOR03M + 3.00%) 3/28/25 ● | 2,620,000 | 2,643,334 | ||||||
Marketo Tranche B 1st Lien 5.043% (LIBOR03M + 3.25%) 2/7/25 ● | 1,570,000 | 1,567,793 | ||||||
MGM Growth Properties Operating Partnership Tranche B 1st Lien 3.901% (LIBOR03M + 2.00%) 3/25/25 ● | 2,603,359 | 2,623,696 | ||||||
MPH Acquisition Holdings Tranche B 1st Lien 5.302% (LIBOR03M + 3.00%) 6/7/23 ● | 5,631,154 | 5,668,106 | ||||||
NCI Building Systems Tranche B 1st Lien 3.901% (LIBOR03M + 2.00%) 2/8/25 ● | 2,680,000 | 2,686,700 | ||||||
NFP Tranche B 1st Lien 4.901% (LIBOR03M + 3.00%) 1/8/24 ● | 2,817,866 | 2,835,185 | ||||||
Nielsen Finance Tranche B4 1st Lien 3.895% (LIBOR03M + 2.00%) 10/4/23 ● | 2,603,426 | 2,620,509 | ||||||
OCI Partners Tranche B 1st Lien 6.552% (LIBOR03M + 4.25%) 3/13/25 ● | 785,000 | 795,794 | ||||||
ON Semiconductor Tranche B 1st Lien 3.901% (LIBOR03M + 2.00%) 3/31/23 ● | 2,551,060 | 2,569,874 | ||||||
Panda Hummel Tranche B1 1st Lien 7.901% (LIBOR03M + 6.00%) 10/27/22 ● | 2,105,000 | 2,031,325 | ||||||
Panda Stonewall Tranche B1 1st Lien 7.802% (LIBOR03M + 5.50%) 11/13/21 =● | 2,251,685 | 2,206,651 | ||||||
Patriot Container 1st Lien 5.397% (LIBOR03M + 3.50%) 3/20/25 ● | 792,000 | 797,940 |
44
Table of Contents
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
Patriot Container 2nd Lien 9.647% (LIBOR03M + 7.75%) 3/20/26 ● | 790,000 | $ | 776,175 | |||||
Penn National Gaming Tranche B 1st Lien 4.401% (LIBOR03M + 2.50%) | 3,468,650 | 3,495,747 | ||||||
PharMerica Tranche B 1st Lien 5.395% (LIBOR03M + 3.50%) 12/6/24 ● | 2,550,000 | 2,567,531 | ||||||
PharMerica Tranche B 2nd Lien 9.645% (LIBOR03M + 7.75%) 12/7/25 ● | 1,320,000 | 1,326,600 | ||||||
Phoenix Services Merger Sub Tranche B 1st Lien 5.659% (LIBOR03M + 3.75%) 3/1/25 ● | 1,570,000 | 1,591,588 | ||||||
Pisces Midco Tranche B 1st Lien 6.089% (LIBOR03M + 3.75%) 4/12/25 ● | 3,115,000 | 3,146,773 | ||||||
Plastipak Holdings Tranche B 1st Lien 7.50% (LIBOR03M + 2.75%) 10/14/24 ● | 2,608,446 | 2,623,526 | ||||||
PQ Tranche B 1st Lien 4.401% (LIBOR03M + 2.50%) 2/8/25 ● | 5,386,189 | 5,425,438 | ||||||
Prestige Brands Tranche B4 1st Lien 4.222% (LIBOR03M + 2.00%) 1/26/24 ● | 2,419,559 | 2,436,409 | ||||||
Radiate Holdco Tranche B 1st Lien 4.901% (LIBOR03M + 3.00%) 2/1/24 ● | 4,138,200 | 4,109,320 | ||||||
Republic of Angola 8.032% (LIBOR06M + 6.25%) 12/16/23 =● | 6,641,571 | 6,043,830 | ||||||
Ring Container Technologies Group 1st Lien 4.651% (LIBOR03M + 2.75%) 10/31/24 ● | 2,149,613 | 2,159,017 | ||||||
Russell Investments US Institutional Holdco Tranche B 1st Lien 6.552% (LIBOR03M + 4.25%) 6/1/23 ● | 6,969,258 | 7,030,239 | ||||||
Sable International Finance Tranche B4 1st Lien 5.151% (LIBOR03M + 3.25%) 2/2/26 ● | 950,000 | 957,941 | ||||||
SBA Senior Finance II Tranche B 1st Lien 4.337% (LIBOR03M + 2.00%) | 3,385,000 | 3,397,927 | ||||||
Scientific Games International Tranche B5 1st Lien 4.744% (LIBOR03M + 2.75%) 8/14/24 ● | 7,409,575 | 7,465,658 | ||||||
Sigma US Tranche B 1st Lien 5.035% (LIBOR03M + 3.00%) 3/7/25 ● | 4,330,000 | 4,335,413 | ||||||
Sinclair Television Group Tranche B 1st Lien 4.311% (LIBOR03M + 2.50%) 12/12/24 ● | 2,130,000 | 2,142,203 | ||||||
Sinclair Television Group Tranche B2 1st Lien 4.16% (LIBOR03M + 2.25%) | 2,160,788 | 2,171,987 | ||||||
SMG US Midco 2 1st Lien 5.151% (LIBOR03M + 3.25%) 1/23/25 ● | 1,055,000 | 1,065,990 | ||||||
SMG US Midco 2 2nd Lien 8.901% (LIBOR03M + 7.00%) 1/23/26 ● | 1,055,000 | 1,077,419 | ||||||
Sprint Communications Tranche B 1st Lien 4.438% (LIBOR03M + 2.50%) | 5,437,768 | 5,458,160 |
45
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
SS&C European Holdings Tranche B4 1st Lien 4.401% (LIBOR03M + 2.50%) 4/16/25 ● | 968,916 | $ | 976,452 | |||||
SS&C Technologies Tranche B3 1st Lien 4.397% (LIBOR03M + 2.50%) | 5,073,765 | 5,113,228 | ||||||
StandardAero Aviation Holdings 1st Lien 5.65% (LIBOR03M + 3.75%) 7/7/22 ● | 3,721,832 | 3,756,058 | ||||||
Staples 1st Lien 6.358% (LIBOR03M + 4.00%) 9/12/24 ● | 1,285,778 | 1,274,814 | ||||||
Stars Group Holdings Tranche B 1st Lien 5.325% (LIBOR03M + 3.00%) | 6,246,644 | 6,284,904 | ||||||
Summit Materials Tranche B 1st Lien 4.151% (LIBOR03M + 2.25%) | 2,558,588 | 2,576,979 | ||||||
Summit Midstream Partners Holdings Tranche B 1st Lien 7.901% (LIBOR03M + 6.00%) 5/21/22 ● | 3,902,035 | 3,950,810 | ||||||
Surgery Center Holdings 1st Lien 5.16% (LIBOR03M + 3.25%) 8/31/24 ● | 3,983,666 | 3,997,111 | ||||||
Syneos Health Tranche B 1st Lien 4.151% (LIBOR03M + 2.25%) 8/1/24 ● | 1,918,548 | 1,926,643 | ||||||
Team Health Holdings Tranche B 1st Lien 4.651% (LIBOR03M + 2.75%) | 1,268,372 | 1,234,682 | ||||||
Telenet Financing USD Tranche AL 1st Lien 4.397% (LIBOR03M + 2.50%) | 2,535,000 | 2,549,964 | ||||||
TerraForm Power Operating Tranche B 1st Lien 4.651% (LIBOR03M + 2.75%) 11/8/22 ● | 2,603,475 | 2,623,001 | ||||||
Titan Acquisition Tranche B 1st Lien 5.056% (LIBOR03M + 3.00%) 3/28/25 ● | 3,915,000 | 3,925,093 | ||||||
TMS International Tranche B2 1st Lien 4.651% (LIBOR03M + 2.75%) | 1,042,388 | 1,046,948 | ||||||
TransDigm Tranche F 1st Lien 5.052% (LIBOR03M + 2.75%) 6/9/23 ● | 3,005,390 | 3,022,644 | ||||||
Tribune Media Tranche B 1st Lien 4.901% (LIBOR03M + 3.00%) 12/27/20 ● | 159,116 | 159,512 | ||||||
Tribune Media Tranche C 1st Lien 4.901% (LIBOR03M + 3.00%) 1/27/24 ● | 1,983,178 | 1,988,136 | ||||||
Trident TPI Holdings 1st Lien 5.151% (LIBOR03M + 3.25%) 10/5/24 ● | 1,995,000 | 2,008,716 | ||||||
Tronox Blocked Borrower Tranche B 1st Lien 5.302% (LIBOR03M + 3.00%) 9/22/24 ● | 376,962 | 381,304 | ||||||
Tronox Finance Tranche B 1st Lien 5.302% (LIBOR03M + 3.00%) 9/22/24 ● | 869,913 | 879,932 | ||||||
Unitymedia Finance Tranche D 1st Lien 4.147% (LIBOR03M + 2.25%) | 1,025,000 | 1,025,747 | ||||||
Univision Communications Tranche C5 1st Lien 4.651% (LIBOR03M + 2.75%) 3/15/24 ● | 2,812,693 | 2,778,316 | ||||||
UPC Financing Partnership Tranche AR 1st Lien 4.397% (LIBOR03M + 2.50%) 1/15/26 ● | 1,000,000 | 1,003,125 |
46
Table of Contents
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
USI Tranche B 1st Lien | ||||||||
5.302% (LIBOR03M + 3.00%) 5/16/24 ● | 5,537,175 | $ | 5,567,330 | |||||
5.337% (LIBOR03M + 3.00%) 5/16/24 ● | 531,000 | 532,991 | ||||||
USIC Holdings 1st Lien 5.802% (LIBOR03M + 3.50%) 12/9/23 ● | 3,703,125 | 3,726,270 | ||||||
USS Ultimate Holdings 2nd Lien 9.651% (LIBOR03M + 7.75%) 8/25/25 ● | 555,000 | 562,631 | ||||||
Utz Quality Foods 1st Lien 5.398% (LIBOR03M + 3.50%) 11/21/24 ● | 1,605,975 | 1,624,543 | ||||||
Valeant Pharmaceuticals International Tranche BF4 1st Lien 5.394% (LIBOR03M + 3.50%) 4/1/22 ● | 1,989,209 | 2,013,736 | ||||||
VC GB Holdings 2nd Lien 9.901% (LIBOR03M + 8.00%) 2/28/25 =● | 1,000,333 | 1,011,587 | ||||||
Virgin Media Bristol Tranche K 1st Lien 4.397% (LIBOR03M + 2.50%) | 1,520,000 | 1,529,395 | ||||||
Vistra Energy Tranche C2 1st Lien 4.648% (LIBOR03M + 2.75%) 2/7/24 ● | 2,994,987 | 3,018,642 | ||||||
Western Digital Tranche B3 1st Lien 3.90% (LIBOR03M + 2.00%) 4/29/23 ● | 957,617 | 964,884 | ||||||
WideOpenWest Finance Tranche B 1st Lien 5.146% (LIBOR03M + 3.25%) | 4,576,040 | 4,468,503 | ||||||
Wink Holdco 2nd Lien 8.66% (LIBOR03M + 6.75%) 12/1/25 ● | 1,169,000 | 1,171,923 | ||||||
WP CPP Holdings Tranche B 1st Lien 6.087% (LIBOR03M + 3.75%) 4/30/25 ● | 1,575,000 | 1,589,438 | ||||||
Wyndham Hotels & Resorts Tranche B 1st Lien 3.928% (LIBOR03M + 1.75%) 3/29/25 ● | 2,010,000 | 2,027,797 | ||||||
XPO Logistics Tranche B 1st Lien 3.92% (LIBOR03M + 2.00%) 2/24/25 ● | 5,220,000 | 5,255,600 | ||||||
Zayo Group Tranche B2 1st Lien 4.151% (LIBOR03M + 2.25%) 1/19/24 ● | 3,268,537 | 3,295,509 | ||||||
Zekelman Industries 1st Lien 4.999% (LIBOR03M + 2.75%) 6/14/21 ● | 3,677,493 | 3,701,242 | ||||||
|
| |||||||
Total Loan Agreements (cost $416,751,776) | 419,824,354 | |||||||
|
| |||||||
Municipal Bonds – 0.18% | ||||||||
Buckeye, Ohio Tobacco Settlement Financing Authority | ||||||||
(Asset-Backed Senior Turbo) Series A-2 5.875% 6/1/47 | 760,000 | 760,000 | ||||||
Commonwealth of Massachusetts | ||||||||
Series C 5.00% 10/1/25 | 280,000 | 327,925 | ||||||
Oregon State Taxable Pension | ||||||||
(Build America Bonds) 5.892% 6/1/27 | 150,000 | 175,399 | ||||||
South Carolina Public Service Authority | ||||||||
Series D 4.77% 12/1/45 | 790,000 | 832,921 |
47
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Municipal Bonds (continued) | ||||||||
State of California Various Purposes | ||||||||
(Build America Bonds) 7.55% 4/1/39 | 2,195,000 | $ | 3,287,934 | |||||
Texas Water Development Board | ||||||||
Series A 5.00% 10/15/45 | 670,000 | 749,395 | ||||||
(State Water Implementation Revenue) 5.00% 10/15/46 | 1,745,000 | 1,981,517 | ||||||
|
| |||||||
Total Municipal Bonds (cost $8,286,921) | 8,115,091 | |||||||
|
| |||||||
Non-Agency Asset-Backed Securities – 1.72% | ||||||||
American Express Credit Account Master Trust | ||||||||
Series 2017-2 A 2.347% (LIBOR01M + 0.45%) 9/16/24 ● | 205,000 | 206,513 | ||||||
Series 2017-5 A 2.277% (LIBOR01M + 0.38%) 2/18/25 ● | 1,990,000 | 2,000,126 | ||||||
Series 2018-3 A 2.217% (LIBOR01M + 0.32%) 10/15/25 ● | 2,720,000 | 2,724,306 | ||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2014-1A A 144A 2.46% 7/20/20 # | 6,297,000 | 6,268,936 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
Series 2017-1 A 2.227% (LIBOR01M + 0.33%, Floor 0.33%) 3/15/23 ● | 980,000 | 983,201 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2017-A5 A5 2.518% (LIBOR01M + 0.62%, Floor 0.62%) 4/22/26 ● | 1,465,000 | 1,483,211 | ||||||
Series 2017-A6 A6 2.667% (LIBOR01M + 0.77%) 5/14/29 ● | 1,750,000 | 1,768,510 | ||||||
Series 2017-A7 A7 2.265% (LIBOR01M + 0.37%) 8/8/24 ● | 3,530,000 | 3,539,870 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
Series 2006-3 1A9 5.75% 6/25/36 | 345,002 | 343,643 | ||||||
Contimortgage Home Equity Loan Trust | ||||||||
Series 1996-4 A8 7.22% 1/15/28 | 2,957 | 2,789 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2017-A5 A5 2.497% (LIBOR01M + 0.60%) 12/15/26 ● | 6,080,000 | 6,118,153 | ||||||
Series 2017-A7 A7 2.257% (LIBOR01M + 0.36%) 4/15/25 ● | 2,730,000 | 2,737,018 | ||||||
Ford Credit Auto Owner Trust | ||||||||
Series 2018-1 A 144A 3.19% 7/15/31 # | 5,805,000 | 5,696,474 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2017-1 A2 2.317% (LIBOR01M + 0.42%) 5/15/22 ● | 1,350,000 | 1,354,098 | ||||||
Golden Credit Card Trust | ||||||||
Series 2014-2A A 144A 2.347% (LIBOR01M + 0.45%) 3/15/21 #● | 2,715,000 | 2,720,863 |
48
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
HOA Funding | ||||||||
Series 2014-1A A2 144A 4.846% 8/20/44 # | 7,551,600 | $ | 7,324,523 | |||||
Hyundai Auto Lease Securitization Trust | ||||||||
Series 2016-C A3 144A 1.49% 2/18/20 # | 4,425,000 | 4,408,470 | ||||||
Mercedes-Benz Master Owner Trust | ||||||||
Series 2016-AA A 144A 2.477% (LIBOR01M + 0.58%) 5/15/20 #● | 4,000,000 | 4,000,748 | ||||||
Navistar Financial Dealer Note Master Owner Trust II | ||||||||
Series 2016-1 A 144A 3.247% (LIBOR01M + 1.35%) 9/27/21 #● | 2,490,000 | 2,499,314 | ||||||
Nissan Auto Lease Trust | ||||||||
Series 2016-B A3 1.50% 7/15/19 | 4,500,000 | 4,485,451 | ||||||
PFS Financing | ||||||||
Series 2018-A A 144A 2.177% (LIBOR01M + 0.40%) 2/15/22 #● | 1,865,000 | 1,864,783 | ||||||
Popular ABS Mortgage Pass Through Trust | ||||||||
Series 2006-C A4 2.147% (LIBOR01M + 0.25%, Cap 14.00%, Floor 0.25%) 7/25/36 ¨ ● | 3,557,474 | 3,525,222 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2018-1 A1 144A 3.00% 1/25/58 #● | 1,254,869 | 1,240,498 | ||||||
Trafigura Securitisation Finance | ||||||||
Series 2017-1A A1 144A 2.747% (LIBOR01M + 0.85%) 12/15/20 #● | 3,200,000 | 3,214,058 | ||||||
Verizon Owner Trust | ||||||||
Series 2016-2A A 144A 1.68% 5/20/21 # | 3,190,000 | 3,153,052 | ||||||
Series 2018-1A A1B 144A 2.01% (LIBOR01M + 0.26%) 9/20/22 #● | 100,000 | 99,930 | ||||||
Wendys Funding | ||||||||
Series 2018-1A A2I 144A 3.573% 3/15/48 # | 2,074,800 | 2,020,959 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities | 75,784,719 | |||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 2.12% | ||||||||
Agate Bay Mortgage Trust | ||||||||
Series 2015-1 B1 144A 3.82% 1/25/45 #● | 2,392,676 | 2,356,474 | ||||||
Series 2015-1 B2 144A 3.82% 1/25/45 #● | 1,352,907 | 1,327,287 | ||||||
Banc of America Mortgage Trust | ||||||||
Series 2004-K 2A1 3.585% 12/25/34 ● | 631,405 | 629,034 | ||||||
Bank of America Alternative Loan Trust | ||||||||
Series 2005-1 2A1 5.50% 2/25/20 | 68,360 | 65,878 | ||||||
Series 2005-6 7A1 5.50% 7/25/20 | 187,036 | 177,208 | ||||||
CHL Mortgage Pass Through Trust | ||||||||
Series 2004-HYB2 2A 4.116% 7/20/34 ¨ ● | 62,159 | 57,673 | ||||||
Citicorp Residential Mortgage Trust | ||||||||
Series 2006-3 A5 5.386% 11/25/36 ● | 5,800,000 | 5,989,217 |
49
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
Series 2005-5 6A3 5.00% 7/25/35 | 1,571,231 | $ | 1,569,368 | |||||
First Horizon Mortgage Pass Through Trust | ||||||||
Series 2004-7 1A3 5.50% 1/25/35 ¨ | 560,911 | 572,966 | ||||||
Flagstar Mortgage Trust | ||||||||
Series 2018-1 A5 144A 3.50% 3/25/48 #● | 2,626,592 | 2,594,170 | ||||||
Galton Funding Mortgage Trust | ||||||||
Series 2018-1 A43 144A 3.50% 11/25/57 #● | 2,168,486 | 2,164,428 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2004-9 4A1 3.465% 8/25/34 ● | 333,516 | 327,561 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2005-A8 1A1 3.534% 11/25/35 ● | 205,695 | 198,428 | ||||||
Series 2006-S1 1A1 6.00% 4/25/36 | 2,196,555 | 2,330,010 | ||||||
Series 2007-A1 7A4 3.727% 7/25/35 ● | 41,641 | 37,556 | ||||||
Series 2014-2 B1 144A 3.42% 6/25/29 #● | 1,746,599 | 1,718,171 | ||||||
Series 2014-2 B2 144A 3.42% 6/25/29 #● | 650,749 | 636,053 | ||||||
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● | 2,470,000 | 2,472,137 | ||||||
Series 2015-1 B1 144A 2.722% 12/25/44 #● | 3,317,287 | 3,304,728 | ||||||
Series 2015-1 B2 144A 2.722% 12/25/44 #● | 2,781,455 | 2,763,192 | ||||||
Series 2015-4 B1 144A 3.623% 6/25/45 #● | 2,523,943 | 2,449,507 | ||||||
Series 2015-4 B2 144A 3.623% 6/25/45 #● | 1,811,917 | 1,723,362 | ||||||
Series 2015-5 B2 144A 2.89% 5/25/45 #● | 2,840,335 | 2,793,948 | ||||||
Series 2015-6 B1 144A 3.615% 10/25/45 #● | 1,757,512 | 1,722,631 | ||||||
Series 2015-6 B2 144A 3.615% 10/25/45 #● | 1,701,570 | 1,655,044 | ||||||
Series 2016-4 B1 144A 3.901% 10/25/46 #● | 1,122,752 | 1,107,481 | ||||||
Series 2016-4 B2 144A 3.901% 10/25/46 #● | 1,922,748 | 1,885,371 | ||||||
Series 2017-1 B2 144A 3.553% 1/25/47 #● | 3,334,729 | 3,186,691 | ||||||
Series 2017-2 A3 144A 3.50% 5/25/47 #● | 1,517,089 | 1,487,222 | ||||||
Series 2017-6 B1 144A 3.856% 12/25/48 #● | 2,019,122 | 1,968,334 | ||||||
Series 2018-3 A5 144A 3.50% 9/25/48 #● | 4,431,401 | 4,382,239 | ||||||
Series 2018-4 A15 144A 3.50% 10/25/48 #=● | 1,920,000 | 1,910,514 | ||||||
MASTR ARM Trust | ||||||||
Series 2004-10 2A2 3.694% 10/25/34 ● | 36,907 | 34,593 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2013-4 B2 3.488% 4/25/43 ● | 1,461,051 | 1,417,919 | ||||||
Series 2013-12 B3 144A 4.194% 12/25/43 #● | 3,991,372 | 3,968,225 | ||||||
Series 2014-2 A4 144A 3.50% 7/25/44 #● | 1,607,624 | 1,589,036 | ||||||
Series 2015-1 B2 144A 3.876% 1/25/45 #● | 1,966,059 | 1,961,335 | ||||||
Series 2017-4 A1 144A 3.50% 7/25/47 #● | 1,622,455 | 1,590,514 | ||||||
Series 2018-5 A4 144A 3.50% 5/25/48 #=● | 2,665,000 | 2,635,445 | ||||||
Structured Asset Securities Trust | ||||||||
Series 2005-1 4A1 5.00% 2/25/20 | 274,536 | 276,213 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
Series 2007-4 1A1 3.376% 9/25/37 ● | 1,101,582 | 1,110,501 |
50
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
Towd Point Mortgage Trust | ||||||||
Series 2015-5 A1B 144A 2.75% 5/25/55 #● | 2,366,129 | $ | 2,343,705 | |||||
Series 2015-6 A1B 144A 2.75% 4/25/55 #● | 2,595,298 | 2,558,043 | ||||||
Series 2016-1 A1B 144A 2.75% 2/25/55 #● | 1,599,913 | 1,580,763 | ||||||
Series 2016-2 A1 144A 3.00% 8/25/55 #● | 1,529,738 | 1,511,689 | ||||||
Series 2016-3 A1 144A 2.25% 4/25/56 #● | 2,027,866 | 1,987,953 | ||||||
Series 2017-1 A1 144A 2.75% 10/25/56 #● | 1,539,730 | 1,516,278 | ||||||
Series 2017-2 A1 144A 2.75% 4/25/57 #● | 834,387 | 822,151 | ||||||
Series 2017-4 M1 144A 3.25% 6/25/57 #● | 2,705,000 | 2,552,071 | ||||||
Washington Mutual Mortgage Pass Through Certificates Trust | ||||||||
Series 2005-1 5A2 6.00% 3/25/35 ¨ | 117,911 | 26,355 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2005-3 A4 5.50% 5/25/35 | 1,990,795 | 2,055,178 | ||||||
Series 2006-2 3A1 5.75% 3/25/36 | 787,305 | 767,710 | ||||||
Series 2006-3 A11 5.50% 3/25/36 | 1,061,313 | 1,084,246 | ||||||
Series 2006-20 A1 5.50% 12/25/21 | 200,690 | 202,456 | ||||||
Series 2006-AR5 2A1 4.185% 4/25/36 ● | 920,565 | 873,185 | ||||||
Series 2007-AR10 2A1 3.745% 1/25/38 ● | 1,479,116 | 1,439,504 | ||||||
|
| |||||||
Total Non-Agency Collateralized Mortgage Obligations (cost $92,715,806) | 93,468,951 | |||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 5.68% | ||||||||
Banc of America Commercial Mortgage Trust | ||||||||
Series 2017-BNK3 B 3.879% 2/15/50 ● | 30,000 | 29,622 | ||||||
Series 2017-BNK3 C 4.352% 2/15/50 ● | 1,520,000 | 1,502,110 | ||||||
BANK | ||||||||
Series 2017-BNK4 XA 1.612% 5/15/50 ● | 19,049,386 | 1,738,996 | ||||||
Series 2017-BNK5 A5 3.39% 6/15/60 | 6,515,000 | 6,346,436 | ||||||
Series 2017-BNK5 B 3.896% 6/15/60 ● | 2,775,000 | 2,735,105 | ||||||
Series 2017-BNK7 A5 3.435% 9/15/60 | 3,180,000 | 3,118,500 | ||||||
Series 2017-BNK8 A4 3.488% 11/15/50 | 2,260,000 | 2,212,629 | ||||||
BENCHMARK Mortgage Trust | ||||||||
Series 2018-B1 A5 3.666% 1/15/51 ● | 2,950,000 | 2,934,022 | ||||||
Caesars Palace Las Vegas Trust | ||||||||
Series 2017-VICI B 144A 3.835% 10/15/34 # | 3,680,000 | 3,701,005 | ||||||
CD Mortgage Trust | ||||||||
Series 2016-CD2 A3 3.248% 11/10/49 | 5,440,000 | 5,282,237 | ||||||
Series 2016-CD2 A4 3.526% 11/10/49 ● | 3,000,000 | 2,963,057 | ||||||
Series 2017-CD6 B 3.911% 11/13/50 ● | 1,925,000 | 1,883,602 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
Series 2011-C2 C 144A 5.946% 12/15/47 #● | 1,745,000 | 1,855,034 | ||||||
Series 2016-C7 A3 3.839% 12/10/54 | 4,835,000 | 4,867,605 |
51
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | ||||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2014-GC25 A4 3.635% 10/10/47 | 3,550,000 | $ | 3,562,508 | |||||
Series 2016-P3 A4 3.329% 4/15/49 | 6,330,000 | 6,187,245 | ||||||
Series 2017-C4 A4 3.471% 10/12/50 | 2,710,000 | 2,653,260 | ||||||
COMM Mortgage Trust | ||||||||
Series 2013-CR6 AM 144A 3.147% 3/10/46 # | 4,220,000 | 4,135,055 | ||||||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,550,000 | 1,563,926 | ||||||
Series 2014-CR19 A5 3.796% 8/10/47 | 2,895,000 | 2,934,432 | ||||||
Series 2014-CR20 AM 144A 3.938% 11/10/47 # | 10,355,000 | 10,441,247 | ||||||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 10,890,000 | 10,603,591 | ||||||
Series 2015-CR23 A4 3.497% 5/10/48 | 5,510,000 | 5,459,036 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
Series 2016-CR28 A4 3.762% 2/10/49 ¨ | 3,290,000 | 3,306,485 | ||||||
DB-JPM Mortgage Trust | ||||||||
Series 2016-C1 A4 3.276% 5/10/49 | 8,835,000 | 8,608,297 | ||||||
Series 2016-C3 A5 2.89% 9/10/49 | 4,500,000 | 4,242,746 | ||||||
DB-UBS Mortgage Trust | ||||||||
Series 2011-LC1A C 144A 5.884% 11/10/46 #● | 5,960,000 | 6,235,341 | ||||||
GRACE Mortgage Trust | ||||||||
Series 2014-GRCE A 144A 3.369% 6/10/28 # | 7,820,000 | 7,856,434 | ||||||
Series 2014-GRCE B 144A 3.52% 6/10/28 # | 3,000,000 | 2,981,057 | ||||||
GS Mortgage Securities II | ||||||||
Series 2018-GS9 C 4.51% 3/10/51 ● | 700,000 | 700,137 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2010-C1 C 144A 5.635% 8/10/43 #● | 4,765,000 | 4,890,638 | ||||||
Series 2014-GC24 A5 3.931% 9/10/47 | 20,000 | 20,424 | ||||||
Series 2015-GC32 A4 3.764% 7/10/48 | 3,096,000 | 3,121,609 | ||||||
Series 2017-GS5 A4 3.674% 3/10/50 | 6,835,000 | 6,812,731 | ||||||
Series 2017-GS5 XA 0.969% 3/10/50 ● | 57,681,883 | 3,450,611 | ||||||
Series 2017-GS6 A3 3.433% 5/10/50 | 3,380,000 | 3,304,145 | ||||||
Series 2018-GS9 A4 3.992% 3/10/51 | 2,375,000 | 2,423,759 | ||||||
JPM-BB Commercial Mortgage Securities Trust | ||||||||
Series 2015-C31 A3 3.801% 8/15/48 | 4,980,000 | 5,036,791 | ||||||
Series 2015-C33 A4 3.77% 12/15/48 | 7,550,000 | 7,592,601 | ||||||
JPM-DB Commercial Mortgage Securities Trust | ||||||||
Series 2016-C2 A4 3.144% 6/15/49 | 9,280,000 | 8,933,298 | ||||||
Series 2017-C7 A5 3.409% 10/15/50 | 6,140,000 | 5,980,952 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2005-CB11 E 5.717% 8/12/37 ● | 1,775,000 | 1,790,865 | ||||||
Series 2013-LC11 B 3.499% 4/15/46 | 8,420,000 | 8,235,215 | ||||||
Series 2015-JP1 A5 3.914% 1/15/49 | 3,755,000 | 3,811,706 | ||||||
Series 2016-JP3 B 3.397% 8/15/49 ● | 1,545,000 | 1,467,631 | ||||||
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 3,260,000 | 3,191,882 |
52
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||||
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 3,260,000 | $ | 3,198,271 | |||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||||
Series 2006-C6 AJ 5.452% 9/15/39 ● | 4,754,830 | 3,613,671 | ||||||||||
Morgan Stanley BAML Trust | ||||||||||||
Series 2014-C17 A5 3.741% 8/15/47 | 3,256,000 | 3,295,362 | ||||||||||
Series 2015-C26 A5 3.531% 10/15/48 | 3,925,000 | 3,887,229 | ||||||||||
Series 2016-C29 A4 3.325% 5/15/49 | 2,500,000 | 2,434,555 | ||||||||||
Morgan Stanley Capital I Trust | ||||||||||||
Series 2006-HQ10 B 5.448% 11/12/41 ● | 5,379,000 | 5,106,456 | ||||||||||
Series 2006-T21 B 144A 5.218% 10/12/52 #● | 2,000,000 | 1,996,160 | ||||||||||
Series 2016-BNK2 B 3.485% 11/15/49 | 1,500,000 | 1,444,380 | ||||||||||
UBS Commercial Mortgage Trust | ||||||||||||
Series 2012-C1 A3 3.40% 5/10/45 | 3,827,281 | 3,835,033 | ||||||||||
Series 2018-C9 A4 4.117% 3/15/51 ● | 4,100,000 | 4,194,005 | ||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||
Series 2012-LC5 B 4.142% 10/15/45 | 205,000 | 205,818 | ||||||||||
Series 2014-LC18 A5 3.405% 12/15/47 | 2,415,029 | 2,382,662 | ||||||||||
Series 2015-C30 XA 1.098% 9/15/58 ● | 29,589,139 | 1,562,570 | ||||||||||
Series 2015-NXS3 A4 3.617% 9/15/57 | 2,270,000 | 2,260,655 | ||||||||||
Series 2016-BNK1 A3 2.652% 8/15/49 | 5,790,000 | 5,360,069 | ||||||||||
Series 2016-BNK1 B 2.967% 8/15/49 | 380,000 | 351,257 | ||||||||||
Series 2017-C38 A5 3.453% 7/15/50 | 4,140,000 | 4,042,683 | ||||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
Series 2012-C10 A3 2.875% 12/15/45 | 8,414,577 | 8,249,929 | ||||||||||
|
| |||||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $263,467,177) |
| 250,126,380 | ||||||||||
|
| |||||||||||
Regional Bonds – 0.56%D | ||||||||||||
Argentina – 0.11% | ||||||||||||
Provincia de Cordoba | ||||||||||||
144A 7.125% 8/1/27 # | 3,165,000 | 3,069,227 | ||||||||||
144A 7.45% 9/1/24 # | 1,810,000 | 1,879,685 | ||||||||||
|
| |||||||||||
4,948,912 | ||||||||||||
|
| |||||||||||
Australia – 0.14% | ||||||||||||
New South Wales Treasury 4.00% 5/20/26 | AUD | 2,363,900 | 1,912,836 | |||||||||
Queensland Treasury | ||||||||||||
144A 2.75% 8/20/27 # | AUD | 2,839,000 | 2,058,817 | |||||||||
144A 3.25% 7/21/28 # | AUD | 2,933,000 | 2,205,314 | |||||||||
|
| |||||||||||
6,176,967 | ||||||||||||
|
| |||||||||||
Canada – 0.31% | ||||||||||||
Province of Ontario Canada | ||||||||||||
2.60% 6/2/27 | CAD | 1,092,000 | 828,260 | |||||||||
3.45% 6/2/45 | CAD | 2,594,000 | 2,117,728 |
53
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||||||
Regional BondsD (continued) | ||||||||||||
Canada (continued) | ||||||||||||
Province of Quebec Canada | ||||||||||||
2.75% 4/12/27 | CAD | 8,840,000 | $ | 8,441,276 | ||||||||
6.00% 10/1/29 | CAD | 1,985,000 | 1,991,400 | |||||||||
|
| |||||||||||
13,378,664 | ||||||||||||
|
| |||||||||||
Total Regional Bonds (cost $25,765,886) | 24,504,543 | |||||||||||
|
| |||||||||||
Sovereign Bonds – 5.61%D | ||||||||||||
Argentina – 0.63% | ||||||||||||
Argentine Bonos del Tesoro | ||||||||||||
16.00% 10/17/23 | ARS | 98,941,000 | 4,503,347 | |||||||||
21.20% 9/19/18 | ARS | 145,255,000 | 7,062,728 | |||||||||
Argentine Republic Government International Bond | ||||||||||||
2.26% 12/31/38 ~ | EUR | 10,403,000 | 8,643,112 | |||||||||
5.625% 1/26/22 | 4,380,000 | 4,428,180 | ||||||||||
6.875% 1/11/48 | 3,730,000 | 3,321,099 | ||||||||||
|
| |||||||||||
27,958,466 | ||||||||||||
|
| |||||||||||
Azerbaijan – 0.06% | ||||||||||||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 2,985,000 | 2,460,183 | ||||||||||
|
| |||||||||||
2,460,183 | ||||||||||||
|
| |||||||||||
Bermuda – 0.07% | ||||||||||||
Bermuda Government International Bond 144A 3.717% 1/25/27 # | 3,200,000 | 3,136,000 | ||||||||||
|
| |||||||||||
3,136,000 | ||||||||||||
|
| |||||||||||
Brazil – 0.64% | ||||||||||||
Brazil Notas do Tesouro Nacional Series F | ||||||||||||
10.00% 1/1/23 | BRL | 16,576,000 | 4,923,557 | |||||||||
10.00% 1/1/25 | BRL | 71,162,000 | 20,923,570 | |||||||||
10.00% 1/1/27 | BRL | 7,579,000 | 2,210,833 | |||||||||
|
| |||||||||||
28,057,960 | ||||||||||||
|
| |||||||||||
Canada – 0.02% | ||||||||||||
Canadian Government Bond 2.75% 12/1/48 | CAD | 1,202,000 | 1,008,353 | |||||||||
|
| |||||||||||
1,008,353 | ||||||||||||
|
| |||||||||||
Chile – 0.22% | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos 4.50% 3/1/21 | CLP | 5,690,000,000 | 9,594,500 | |||||||||
|
| |||||||||||
9,594,500 | ||||||||||||
|
| |||||||||||
Colombia – 0.59% | ||||||||||||
Colombian TES 7.00% 6/30/32 | COP | 71,053,000,000 | 25,815,620 | |||||||||
|
| |||||||||||
25,815,620 | ||||||||||||
|
|
54
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) | ||||||||||||
Costa Rica – 0.05% | ||||||||||||
Costa Rica Government International Bond 144A 4.25% 1/26/23 # | 2,540,000 | $ | 2,439,670 | |||||||||
|
| |||||||||||
2,439,670 | ||||||||||||
|
| |||||||||||
Ecuador – 0.10% | ||||||||||||
Ecuador Government International Bond 144A 8.875% 10/23/27 # | 4,800,000 | 4,542,000 | ||||||||||
|
| |||||||||||
4,542,000 | ||||||||||||
|
| |||||||||||
Egypt – 0.11% | ||||||||||||
Egypt Government International Bond | ||||||||||||
144A 5.577% 2/21/23 # | 2,285,000 | 2,297,396 | ||||||||||
144A 7.903% 2/21/48 # | 2,600,000 | 2,642,357 | ||||||||||
|
| |||||||||||
4,939,753 | ||||||||||||
|
| |||||||||||
Indonesia – 0.03% | ||||||||||||
Indonesia Government International Bond 144A 5.125% 1/15/45 # | 1,200,000 | 1,218,485 | ||||||||||
|
| |||||||||||
1,218,485 | ||||||||||||
|
| |||||||||||
Ivory Coast – 0.11% | ||||||||||||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 5,150,000 | 4,885,033 | ||||||||||
|
| |||||||||||
4,885,033 | ||||||||||||
|
| |||||||||||
Jordan – 0.09% | ||||||||||||
Jordan Government International Bond 144A 5.75% 1/31/27 # | 3,980,000 | 3,790,047 | ||||||||||
|
| |||||||||||
3,790,047 | ||||||||||||
|
| |||||||||||
Mexico – 0.68% | ||||||||||||
Mexican Bonos | ||||||||||||
5.75% 3/5/26 | MXN | 183,586,800 | 8,845,656 | |||||||||
6.50% 6/9/22 | MXN | 281,030,000 | 14,570,935 | |||||||||
10.00% 12/5/24 | MXN | 67,412,000 | 4,104,580 | |||||||||
Mexico Government International Bond | ||||||||||||
4.15% 3/28/27 | 1,615,000 | 1,594,005 | ||||||||||
4.35% 1/15/47 | 1,155,000 | 1,023,907 | ||||||||||
|
| |||||||||||
30,139,083 | ||||||||||||
|
| |||||||||||
Mongolia – 0.09% | ||||||||||||
Mongolia Government International Bond 144A 5.625% 5/1/23 # | 4,045,000 | 3,933,479 | ||||||||||
|
| |||||||||||
3,933,479 | ||||||||||||
|
| |||||||||||
Nigeria – 0.11% | ||||||||||||
Nigeria Government International Bond 144A 7.875% 2/16/32 # | 4,600,000 | 4,966,022 | ||||||||||
|
| |||||||||||
4,966,022 | ||||||||||||
|
|
55
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) | ||||||||||||
Peru – 0.35% | ||||||||||||
Peruvian Government International Bond | ||||||||||||
144A 6.85% 2/12/42 # | PEN | 21,848,000 | $ | 7,389,057 | ||||||||
144A 8.20% 8/12/26 # | PEN | 21,786,000 | 8,149,397 | |||||||||
|
| |||||||||||
15,538,454 | ||||||||||||
|
| |||||||||||
Poland – 0.08% | ||||||||||||
Republic of Poland Government Bond | ||||||||||||
2.50% 1/25/23 | PLN | 2,712,000 | 777,937 | |||||||||
3.25% 7/25/25 | PLN | 9,401,000 | 2,749,575 | |||||||||
|
| |||||||||||
3,527,512 | ||||||||||||
|
| |||||||||||
Qatar – 0.09% | ||||||||||||
Qatar Government International Bond 144A 3.875% 4/23/23 # | 3,790,000 | 3,780,173 | ||||||||||
|
| |||||||||||
3,780,173 | ||||||||||||
|
| |||||||||||
Republic of Korea – 0.34% | ||||||||||||
Export-Import Bank of Korea | ||||||||||||
144A 3.00% 5/22/18 # | NOK | 1,400,000 | 174,643 | |||||||||
4.00% 6/7/27 | AUD | 1,660,000 | 1,243,801 | |||||||||
144A 7.25% 12/7/24 # | IDR | 66,600,000,000 | 4,784,621 | |||||||||
Inflation Linked Korea Treasury Bond 1.125% 6/10/23 | KRW | 9,204,123,426 | 8,690,604 | |||||||||
|
| |||||||||||
14,893,669 | ||||||||||||
|
| |||||||||||
Senegal – 0.10% | ||||||||||||
Senegal Government International Bond 144A 6.75% 3/13/48 # | 4,585,000 | 4,338,556 | ||||||||||
|
| |||||||||||
4,338,556 | ||||||||||||
|
| |||||||||||
South Africa – 0.31% | ||||||||||||
Republic of South Africa Government Bond 8.75% 1/31/44 | ZAR | 174,402,000 | 13,563,802 | |||||||||
|
| |||||||||||
13,563,802 | ||||||||||||
|
| |||||||||||
Sri Lanka – 0.12% | ||||||||||||
Sri Lanka Government International Bond | ||||||||||||
144A 5.75% 1/18/22 # | 2,485,000 | 2,509,629 | ||||||||||
144A 5.75% 4/18/23 # | 2,710,000 | 2,696,249 | ||||||||||
|
| |||||||||||
5,205,878 | ||||||||||||
|
| |||||||||||
Turkey – 0.41% | ||||||||||||
Turkey Government Bond | ||||||||||||
10.50% 8/11/27 | TRY | 18,524,000 | 4,150,355 | |||||||||
11.10% 5/15/19 | TRY | 45,364,000 | 10,880,615 | |||||||||
Turkey Government International Bond 3.25% 3/23/23 * | 3,200,000 | 2,958,144 | ||||||||||
|
| |||||||||||
17,989,114 | ||||||||||||
|
| |||||||||||
Ukraine – 0.16% | ||||||||||||
Ukraine Government International Bond 144A 7.375% 9/25/32 # | 2,970,000 | 2,748,171 |
56
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) | ||||||||||||
Ukraine (continued) | ||||||||||||
Ukraine Government International Bond 144A 7.75% 9/1/26 # | 4,500,000 | $ | 4,450,005 | |||||||||
|
| |||||||||||
7,198,176 | ||||||||||||
|
| |||||||||||
United Kingdom – 0.05% | ||||||||||||
United Kingdom Gilt 3.50% 1/22/45 | GBP | 1,169,100 | 2,168,479 | |||||||||
|
| |||||||||||
2,168,479 | ||||||||||||
|
| |||||||||||
Total Sovereign Bonds (cost $257,169,142) | 247,088,467 | |||||||||||
|
| |||||||||||
Supranational Banks – 1.78% | ||||||||||||
Asian Development Bank 3.50% 5/30/24 | NZD | 1,775,000 | 1,263,614 | |||||||||
Banque Ouest Africaine de Developpement 144A 5.00% 7/27/27 # | 4,640,000 | 4,568,080 | ||||||||||
European Bank for Reconstruction & Development 6.00% 5/4/20 | INR | 389,000,000 | 5,769,038 | |||||||||
European Investment Bank 1.00% 9/21/26 | GBP | 649,000 | 850,305 | |||||||||
Inter-American Development Bank | ||||||||||||
5.50% 8/23/21 | INR | 656,000,000 | 9,491,152 | |||||||||
6.25% 6/15/21 | IDR | 171,050,000,000 | 12,230,385 | |||||||||
7.875% 3/14/23 | IDR | 157,170,000,000 | 12,032,777 | |||||||||
International Bank for Reconstruction & Development | ||||||||||||
1.966% (LIBOR01M + 0.07%) 4/17/19 ● | 1,269,000 | 1,269,727 | ||||||||||
2.50% 11/25/24 | 2,469,000 | 2,390,266 | ||||||||||
3.00% 2/2/23 | NZD | 5,266,000 | 3,697,240 | |||||||||
3.375% 1/25/22 | NZD | 1,980,000 | 1,419,136 | |||||||||
4.625% 10/6/21 | NZD | 2,649,000 | 1,976,071 | |||||||||
4.75% 1/15/21 | COP | 14,500,000,000 | 5,176,000 | |||||||||
International Finance | ||||||||||||
3.625% 5/20/20 | NZD | 1,035,000 | 745,245 | |||||||||
3.75% 8/9/27 | NZD | 1,795,000 | 1,263,264 | |||||||||
6.30% 11/25/24 | INR | 465,280,000 | 6,873,581 | |||||||||
7.00% 7/20/27 | MXN | 145,950,000 | 7,391,440 | |||||||||
|
| |||||||||||
Total Supranational Banks (cost $81,407,182) | 78,407,321 | |||||||||||
|
| |||||||||||
US Treasury Obligations – 1.94% | ||||||||||||
US Treasury Bond | ||||||||||||
3.00% 2/15/48 | 1,705,000 | 1,667,170 | ||||||||||
US Treasury Inflation | ||||||||||||
Indexed Bond | ||||||||||||
0.125% 4/15/22 ¥ | 68,043,742 | 66,645,722 | ||||||||||
US Treasury Notes | ||||||||||||
2.50% 3/31/23 | 7,455,000 | 7,355,406 |
57
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
US Treasury Obligations (continued) | ||||||||
US Treasury Notes | ||||||||
2.75% 2/15/28 | 9,955,000 | $ | 9,787,982 | |||||
|
| |||||||
Total US Treasury Obligations (cost $86,040,521) | 85,456,280 | |||||||
|
| |||||||
Number of shares | ||||||||
Common Stock – 0.00% | ||||||||
Century Communications =† | 7,875,000 | 0 | ||||||
|
| |||||||
Total Common Stock (cost $238,403) | 0 | |||||||
|
| |||||||
Convertible Preferred Stock – 0.76% | ||||||||
A Schulman 1.92% exercise price $52.33 y | 4,679 | 4,805,309 | ||||||
AMG Capital Trust II 5.15% exercise price $200.00, maturity date 10/15/37 | 52,740 | 3,181,767 | ||||||
Assurant 2.48% exercise price $106.91, maturity date 3/15/21 | 4,227 | 446,202 | ||||||
Bank of America 7.25% exercise price $50.00 y | 1,984 | 2,525,632 | ||||||
Becton Dickinson and Co. 1.32% exercise price $211.80, maturity date 5/1/20 | 82,251 | 4,963,848 | ||||||
Crown Castle International 6.875% exercise price $115.20, maturity date 8/1/20 | 1,390 | 1,425,712 | ||||||
DTE Energy 3.28% exercise price $116.31, maturity date 10/1/19 | 45,354 | 2,380,631 | ||||||
El Paso Energy Capital Trust I 4.75% exercise price $34.49, maturity date 3/31/28 | 58,382 | 2,787,741 | ||||||
Kinder Morgan 3.57% exercise price $32.38, maturity date 10/26/18 * | 110,462 | 3,435,368 | ||||||
NextEra Energy | ||||||||
2.49% exercise price $159.03, maturity date 9/1/19 | 27,900 | 1,612,620 | ||||||
6.371% exercise price $113.33, maturity date 9/1/18 | 15,286 | 1,121,228 | ||||||
South Jersey Industries 3.53% exercise price $35.40, maturity date 4/15/21 | 8,534 | 443,768 | ||||||
Wells Fargo & Co. 7.50% exercise price $156.71 y | 1,605 | 2,055,379 | ||||||
Welltower 6.19% exercise price $57.42 y | 44,875 | 2,512,103 | ||||||
|
| |||||||
Total Convertible Preferred Stock (cost $33,689,336) | 33,697,308 | |||||||
|
|
58
Table of Contents
Number of shares | Value (US $) | |||||||
Preferred Stock – 0.48% | ||||||||
Bank of America 6.50% µy | 5,975,000 | $ | 6,340,969 | |||||
General Electric 5.11% µy | 4,412,000 | 4,373,395 | ||||||
Integrys Holdings 6.00% 8/1/73 µ | 205,350 | 5,313,431 | ||||||
Morgan Stanley 1.95% µy | 1,050,000 | 1,077,563 | ||||||
USB Realty 144A 3.495% (LIBOR03M + 1.147%) #y● | 4,485,000 | 4,058,925 | ||||||
|
| |||||||
Total Preferred Stock (cost $20,738,885) | 21,164,283 | |||||||
|
| |||||||
Number of contracts | ||||||||
Options Purchased – 0.01% | ||||||||
Currency Call Options – 0.01% | ||||||||
USD vs CLP strike price CLP 630, expiration date 8/31/18, notional amount CLP 5,557,010,192 (CITI) | 27,735,280 | 273,732 | ||||||
USD vs CNH strike price CNH 6.45, expiration date 8/31/18, notional amount CNH 60,226,794 (BNP) | 27,500,000 | 167,165 | ||||||
|
| |||||||
Total Options Purchased (cost $360,158) | 440,897 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 3.11% | ||||||||
Discount Notes – 0.95%≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.00% 5/1/18 | 26,046,693 | 26,046,693 | ||||||
1.58% 5/4/18 | 5,692,302 | 5,691,499 | ||||||
1.62% 5/2/18 | 10,121,340 | 10,120,865 | ||||||
|
| |||||||
41,859,057 | ||||||||
|
| |||||||
Repurchase Agreements – 2.16% | ||||||||
Bank of America Merrill Lynch | ||||||||
1.64%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $13,023,955 (collateralized by US government obligations 1.143%–2.625% 4/30/19–5/15/25; market value $13,283,841) | 13,023,362 | 13,023,362 | ||||||
Bank of Montreal | ||||||||
1.57%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $39,071,790 (collateralized by US government obligations 0.00%–3.625% 5/24/18–1/15/26; market value $39,851,499) | 39,070,086 | 39,070,086 |
59
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Short-Term Investments (continued) | ||||||||
Repurchase Agreements (continued) | ||||||||
BNP Paribas | ||||||||
1.66%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $42,814,844 (collateralized by US government obligations 0.00%–2.875% 9/27/18–11/15/45; market value $43,669,136) | 42,812,870 | $ | 42,812,870 | |||||
|
| |||||||
94,906,318 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $136,765,449) | 136,765,375 | |||||||
|
| |||||||
Total Value of Securities Before Securities Lending Collateral – 100.39% | 4,421,579,387 | |||||||
|
| |||||||
Security Lending Collateral – 2.13%** | ||||||||
Certificates of Deposit – 0.11%≠ | ||||||||
Australia & New Zealand Banking Group 1.71% 5/1/18 | 1,993,000 | 1,993,000 | ||||||
Royal Bank of Canada (Toranto) 1.71% 5/1/18 | 2,694,000 | 2,694,000 | ||||||
|
| |||||||
4,687,000 | ||||||||
|
| |||||||
Discounted Commercial Paper – 0.27%≠ | ||||||||
BASF SE | ||||||||
1.87% 5/17/18 ³ | 951,000 | 950,184 | ||||||
1.88% 5/14/18 ³ | 485,000 | 484,660 | ||||||
1.88% 5/21/18 ³ | 548,000 | 547,415 | ||||||
1.94% 6/4/18 ³ | 477,000 | 476,131 | ||||||
Exxon Mobile | ||||||||
1.76% 5/14/18 | 1,067,000 | 1,066,266 | ||||||
1.84% 5/29/18 | 969,000 | 967,597 | ||||||
IBM 1.95% 6/27/18 ³ | 573,000 | 571,232 | ||||||
Novartis Finance | ||||||||
1.84% 5/22/18 ³ | 375,000 | 374,584 | ||||||
1.92% 5/30/18 ³ | 762,000 | 760,832 | ||||||
1.93% 5/29/18 ³ | 847,000 | 845,746 | ||||||
Roche Holdings | ||||||||
1.86% 6/15/18 ³ | 942,000 | 939,734 | ||||||
1.87% 6/1/18 ³ | 848,000 | 846,609 | ||||||
Total Capital (Canada) 2.17% 7/24/18 | 930,000 | 925,415 | ||||||
Unilever Capital 1.83% 5/25/18 | 1,011,000 | 1,009,706 | ||||||
Wall-Mart Stores 1.80% 5/16/18 ³ | 1,068,000 | 1,067,130 | ||||||
|
| |||||||
11,833,241 | ||||||||
|
|
60
Table of Contents
Principal amount° | Value (US $) | |||||||
Security Lending Collateral** (continued) | ||||||||
Repurchase Agreements – 1.25% | ||||||||
Bank of Montreal | ||||||||
1.70%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $18,288,069 (collateralized by US government obligations 0.000%–2.375% 5/31/18–9/9/49; market value $18,652,975) | 18,287,205 | $ | 18,287,205 | |||||
Bank of Nova Scotia | ||||||||
1.71%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $18,288,074 (collateralized by US government obligations 0.000%–2.750% 5/15/18–9/9/49; market value $18,653,873) | 18,287,205 | 18,287,205 | ||||||
JPMorgan Securities | ||||||||
1.71%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $5,152,846 (collateralized by US government obligations 1.250% 7/15/20; market value $5,255,835) | 5,152,601 | 5,152,601 | ||||||
Merrill Lynch, Pierce, Fenner & Smith | ||||||||
1.69%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $13,287,829 (collateralized by US government obligations 1.500%–1.875% 12/31/18–5/31/22; market value $13,552,982) | 13,287,205 | 13,287,205 | ||||||
|
| |||||||
55,014,216 | ||||||||
|
| |||||||
Short-Term Floating Rate Notes – 0.50% | ||||||||
American Honda Finance 2.27% (LIBOR03M + 0.07%) 9/20/18 ● | 900,000 | 899,926 | ||||||
Australia & New Zealand Banking Group | ||||||||
2.05% (LIBOR01M + 0.16%) 9/7/18 ³● | 1,021,000 | 1,020,527 | ||||||
2.05% (LIBOR01M + 0.17%) 9/5/18 ³● | 1,238,000 | 1,237,488 | ||||||
Bank of Montreal (Chicago) | ||||||||
2.10% (LIBOR01M + 0.20%) 11/9/18 ● | 912,000 | 911,250 | ||||||
2.28% (LIBOR03M + 0.40%) 6/18/18 ● | 1,125,000 | 1,125,398 | ||||||
Bank of Nova Scotia (Houston) | ||||||||
1.87% (LIBOR03M + 0.08%) 5/4/18 ● | 800,000 | 800,010 | ||||||
2.07% (LIBOR03M + 0.18%) 2/21/19 ● | 700,000 | 701,156 | ||||||
2.09% (LIBOR01M + 0.20%) 7/6/18 ● | 431,000 | 431,091 | ||||||
2.19% (LIBOR03M + 0.21%) 2/28/19 ● | 269,000 | 269,065 | ||||||
2.25% (LIBOR03M + 0.20%) 3/6/19 ● | 342,000 | 341,335 | ||||||
Canadian Imperial Bank (New York) | ||||||||
2.07% (LIBOR01M + 0.17%) 7/11/18 ● | 909,000 | 909,113 | ||||||
2.57% (LIBOR03M + 0.22%) 1/28/19 ● | 798,000 | 798,412 | ||||||
Commonwealth Bank of Australia | ||||||||
2.06% (LIBOR01M + 0.17%) 6/1/18 ³● | 800,000 | 800,159 | ||||||
2.09% (LIBOR01M + 0.19%) 9/13/18 ³● | 1,037,000 | 1,036,543 | ||||||
2.10% (LIBOR01M + 0.20%) 11/9/18 ³● | 369,000 | 368,766 | ||||||
2.32% (LIBOR03M + 0.20%) 3/18/19 ● | 571,000 | 572,067 |
61
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | |||||||
Security Lending Collateral** (continued) | ||||||||
Short-Term Floating Rate Notes (continued) | ||||||||
National Australia Bank 144A 2.47% (LIBOR03M + 0.64%) 7/23/18 #● | 900,000 | $ | 901,165 | |||||
National Australia Bank (New York) 2.04% (LIBOR01M + 0.14%) | 553,000 | 552,998 | ||||||
Royal Bank of Canada (New York) | ||||||||
2.31% (LIBOR01M + 0.25%) 11/6/18 ● | 579,000 | 578,653 | ||||||
2.53% (LIBOR03M + 0.17%) 4/18/19 ● | 980,000 | 979,905 | ||||||
Toronto-Dominion Bank (New York) | ||||||||
1.87% (LIBOR03M + 0.08%) 5/3/18 ● | 730,000 | 730,007 | ||||||
2.07% (LIBOR01M + 0.17%) 5/23/18 ● | 561,000 | 561,090 | ||||||
2.10% (LIBOR01M + 0.20%) 8/10/18 ● | 741,000 | 740,939 | ||||||
US Bank (Cincinnati) 2.04% 7/23/18 ● | 816,000 | 815,966 | ||||||
Wells Fargo Bank | ||||||||
2.08% (LIBOR01M + 0.19%) 6/1/18 ● | 600,000 | 600,130 | ||||||
2.11% (LIBOR01M + 0.21%) 11/13/18 ● | 752,000 | 751,580 | ||||||
2.12% (LIBOR01M + 0.22%) 10/5/18 ● | 369,000 | 368,834 | ||||||
2.30% (LIBOR01M + 0.40%) 10/15/18 ● | 667,000 | 667,266 | ||||||
Westpac Banking (New York) | ||||||||
2.04% (LIBOR01M + 0.15%) 7/18/18 ● | 329,000 | 329,013 | ||||||
2.06% (LIBOR01M + 0.16%) 8/10/18 ● | 530,000 | 529,911 | ||||||
2.07% (LIBOR01M + 0.17%) 5/24/18 >● | 739,000 | 739,078 | ||||||
|
| |||||||
22,068,841 | ||||||||
|
| |||||||
Total Securities Lending Collateral (cost $93,603,804) | 93,603,298 | |||||||
|
| |||||||
Total Value of Securities – 102.52% | $ | 4,515,182,685∎ | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2018, the aggregate value of Rule 144A securities was $1,293,134,508, which represents 29.36% 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. |
t | 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. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
62
Table of Contents
> | Commercial paper exempt from registration under Section 4(a)(2) and/or Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At April 30, 2018, the aggregate value of these securities was $13,619,816, which represented 0.31% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
∎ | Includes $90,366,660 of securities loaned. |
° | Principal amount shown is stated in US dollars unless noted that the security is denominated in another currency. |
D | Securities have been classified by country of origin. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at April 30, 2018. Rate will reset at a future date. |
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. |
Y | No contractual maturity date. |
W | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
† | Non-income producing security. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at April 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their description above. |
f | Step coupon bond. Stated rate in effect at April 30, 2018 through maturity date. |
¥ | Fully or partially pledged as collateral for futures contracts. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at April 30, 2018. |
63
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at April 30, 2018:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
BAML | AUD | 4,738,428 | USD | (3,557,869 | ) | 5/18/18 | $ | 9,571 | $ | — | ||||||||||||
BAML | CAD | 8,750,265 | USD | (6,845,167 | ) | 5/18/18 | — | (27,524 | ) | |||||||||||||
BAML | EUR | (3,308,127 | ) | USD | 4,088,088 | 5/18/18 | 87,811 | — | ||||||||||||||
BAML | JPY | (1,976,423,532 | ) | USD | 18,637,170 | 5/18/18 | 535,799 | — | ||||||||||||||
BAML | NZD | (70,039 | ) | USD | 165,533 | 5/18/18 | 116,256 | — | ||||||||||||||
BNP | AUD | (1,970,630 | ) | USD | 1,513,237 | 5/18/18 | 29,600 | — | ||||||||||||||
BNP | MXN | 16,553,022 | USD | (899,855 | ) | 5/18/18 | — | (17,384 | ) | |||||||||||||
BNP | NOK | (23,773,164 | ) | USD | 3,029,316 | 5/18/18 | 64,034 | — | ||||||||||||||
CITI | MXN | (15,884,423 | ) | USD | 850,311 | 5/18/18 | 3,485 | — | ||||||||||||||
DB | BRL | 39,954,522 | USD | (11,965,104 | ) | 5/18/18 | — | (581,006 | ) | |||||||||||||
DB | RUB | 155,188,924 | USD | (2,493,796 | ) | 5/18/18 | — | (35,013 | ) | |||||||||||||
HSBC | EUR | (5,478,581 | ) | USD | 6,767,361 | 5/18/18 | 142,515 | — | ||||||||||||||
HSBC | GBP | (9,164,169 | ) | USD | 12,861,021 | 5/18/18 | 233,940 | — | ||||||||||||||
JPMC | KRW | (9,424,747,250 | ) | USD | 8,870,350 | 5/18/18 | 68,041 | — | ||||||||||||||
JPMC | PLN | (9,818,851 | ) | USD | 2,877,108 | 5/18/18 | 79,070 | — | ||||||||||||||
TD | JPY | 2,927,279,919 | USD | (27,631,462 | ) | 5/18/18 | — | (821,529 | ) | |||||||||||||
|
|
|
| |||||||||||||||||||
Total Foreign Currency Exchange Contracts | $ | 1,370,122 | $ | (1,482,456 | ) | |||||||||||||||||
|
|
|
|
Futures Contracts
Variation | ||||||||||||||||||||||||||
Margin | ||||||||||||||||||||||||||
Notional | Value/ | Value/ | Due from | |||||||||||||||||||||||
Notional | Cost | Expiration | Unrealized | Unrealized | (Due to) | |||||||||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Depreciation | Brokers | ||||||||||||||||||||
US Treasury 10 | ||||||||||||||||||||||||||
40 | yr Notes | $ | 4,785,000 | $ | 4,810,113 | 6/20/18 | $ | — | $ | (25,113 | ) | $ | 5,000 | |||||||||||||
US Treasury 10 | ||||||||||||||||||||||||||
(605) | yr Notes | (72,373,125 | ) | (72,418,682 | ) | 6/20/18 | 45,557 | — | (75,625 | ) | ||||||||||||||||
US Treasury | ||||||||||||||||||||||||||
1,484 | Long Bond | 213,464,125 | 215,577,445 | 6/21/18 | — | (2,113,320 | ) | 881,125 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Futures Contracts | $ | 147,968,876 | $ | 45,557 | $ | (2,138,433 | ) | $ | 810,500 | |||||||||||||||||
|
|
|
|
|
|
|
|
64
Table of Contents
Swap Contracts
CDS Contracts2
Counterparty/ | Upfront | |||||||||||||||||||||||
Reference Obligation/ | Annual | Payments | ||||||||||||||||||||||
Termination Date/ | Notional | Protection | Paid | Unrealized | Unrealized | |||||||||||||||||||
Payment Frequency | Amount3 | Payments | Value | (Received) | Appreciation5 | Depreciation4 | ||||||||||||||||||
Over-The-Counter/Protection Purchased: | ||||||||||||||||||||||||
HSBC-CDX.EM.295 6/20/23-Quarterly | $ | 10,445,000 | 1.00% | $ | 201,773 | $ | 189,198 | $ | 12,575 | $ | — | |||||||||||||
Over-The-Counter/Protection Sold/Moody’s Ratings: | ||||||||||||||||||||||||
MSC-CMBX.NA.BBB-.66 5/11/63-Monthly | 24,970,000 | 3.00% | (3,118,666 | ) | (2,943,634 | ) | — | (175,032 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total CDS Contracts | $ | (2,916,893 | ) | $ | (2,754,436 | ) | $ | 12,575 | $ | (175,032 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
IRS Contracts7 |
Variation | ||||||||||||||||||
Reference Obligation/ | Margin | |||||||||||||||||
Termination Date/ | Fixed / Floating | Due from | ||||||||||||||||
Payment Frequency | Notional | Interest Rate | Unrealized | (Due to) | ||||||||||||||
(Fixed Rate / Floating Rate) | Amount3 | Paid (Received) | Value | Appreciation4 | Brokers | |||||||||||||
Centrally Cleared: | ||||||||||||||||||
30 yr IRS 12/21/46-(Semiannually/Quarterly) | $ | 9,220,000 | 2.767%/2.362% | $ | 499,360 | $ | 499,360 | $ | (42,646 | ) | ||||||||
30 yr IRS 1/27/47-(Semiannually/Quarterly) | 2,290,000 | 2.661%/2.362% | 152,469 | 152,469 | (11,473 | ) | ||||||||||||
30 yr IRS 1/30/47-(Semiannually/Quarterly) | 3,655,000 | 2.687%/2.362% | 224,610 | 224,610 | (18,373 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
Total IRS Contracts | $ | 876,439 | $ | 876,439 | $ | (72,492 | ) | |||||||||||
|
|
|
|
|
|
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 amounts 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 reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued
65
Table of Contents
Schedule of investments
Delaware Diversified Income Fund
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 amount shown is stated in US Dollars unless noted that the swap is denominated in another currency.
4Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(116,979).
5Markit’s CDX.EM Index is composed of 15 sovereign issuers from the following countries: Argentina, Brazil, Chile, China, Colombia, Indonesia, Malaysia, Mexico, Panama, Peru, Philippines, Russia, South Africa, Turkey, and Venezuela, which have S&P credit quality rating of CCC and above.
6Markit’s CMBX.NA Index is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed securities in North America. Credit-quality ratings are measured on a scale that ranges from AAA (highest) to BB (lowest). US Agency and US Agency mortgage-backed securities appear under US Government.
7An IRS agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts.
8Rate resets based on LIBOR03M.
Summary of abbreviations:
ABS – Asset-Backed Security
ARM – Adjustable Rate Mortgage
ARS – Argentine Peso
AUD – Australian Dollar
BADLARPP – Argentina Term Deposit Rate
BAML – Bank of America Merrill Lynch
BB – Barclays Bank
BBSW3M – Bank Bill Swap 3 Months
BNP – BNP Paribas
BRL – Brazilian Real
CAD – Canadian Dollar
CDO – Collateralized Debt Obligation
CDS – Credit Default Swap
CDX.EM – Credit Default Swap Index Emerging Markets
CITI – Citigroup Global Markets
CLO – Collateralized Loan Obligation
CLP – Chilean Peso
CMBX.NA – Commercial Mortgaged-Backed Securities Index North America
CNH – Chinese Yuan
COP – Colombian Peso
DB – Deutsche Bank
66
Table of Contents
Summary of abbreviations (continued): |
EUR – European Monetary Unit |
FREMF – Freddie Mac Multifamily |
GBP – British Pound Sterling |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
HSBC – Hong Kong Shanghai Bank |
ICE – Intercontinental Exchange |
IDR – Indonesian Rupiah |
INR – Indian Rupee |
IRS – Interest Rate Swap |
JPM – JPMorgan |
JPMC – JPMorgan Chase Bank |
JPY – Japanese Yen |
KRW – South Korean Won |
LB – Lehman Brothers |
LIBOR – London Interbank Offered Rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
LIBOR12M – ICE LIBOR USD 12 Month |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
MSC – Morgan Stanley Capital |
MXN – Mexican Peso |
NOK – Norwegian Krone |
NZD – New Zealand Dollar |
PEN – Peruvian Nuevo Sol |
PLN – Polish Zloty |
RBS – Royal Bank of Scotland |
REMIC – Real Estate Mortgage Investment Conduit |
RUB – Russian Ruble |
S&P – Standard & Poor’s Financial Services LLC |
S.F. – Single Family |
TBA – To be announced |
TD – Toronto Dominion Bank |
TRY – Turkish Lira |
USD – US Dollar |
WF – Wells Fargo |
yr – Year |
ZAR – South African Rand |
See accompanying notes, which are an integral part of the financial statements.
67
Table of Contents
Statement of assets and liabilities | ||
Delaware Diversified Income Fund | April 30, 2018 (Unaudited) |
Assets: | ||||
Investments, at value1,2 | $ | 4,421,579,387 | ||
Short-term investments held as collateral for loaned securities, at value3 | 93,603,298 | |||
Foreign currencies, at value4 | 29,407,040 | |||
Cash | 1,640,818 | |||
Dividends and interest receivable | 39,527,826 | |||
Receivable for securities sold | 15,802,240 | |||
Receivable for fund shares sold | 13,196,522 | |||
Cash collateral due from brokers on derivatives | 6,184,519 | |||
Unrealized appreciation on foreign currency exchange contracts | 1,370,122 | |||
Variation margin due from broker on futures contracts | 810,500 | |||
Upfront payments paid on credit default swap contracts | 189,198 | |||
Securities lending income receivable | 65,335 | |||
Swap payments receivable | 42,960 | |||
Unrealized appreciation on credit default swap contracts | 12,575 | |||
Other assets5 | 4,787,750 | |||
|
| |||
Total assets | $ | 4,628,220,090 | ||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 96,559,244 | |||
Obligation to return securities lending collateral | 93,500,552 | |||
Contingent liabilities5 | 15,959,167 | |||
Distribution payable | 4,016,920 | |||
Payable for fund shares redeemed | 4,016,282 | |||
Upfront payments received on credit default swap contracts | 2,943,634 | |||
Cash collateral due to brokers on derivatives | 2,020,000 | |||
Unrealized depreciation on foreign currency exchange contracts | 1,482,456 | |||
Other accrued expenses | 1,175,929 | |||
Investment management fees payable to affiliates | 1,002,017 | |||
Distribution fees payable to affiliates | 637,746 | |||
Unrealized depreciation on credit default swap contracts | 175,032 | |||
Swap payments payable | 130,682 | |||
Variation margin due to brokers on centrally cleared interest rate swap contracts | 72,492 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 70,607 | |||
Custodian fees payable | 55,272 | |||
Audit and tax fees payable | 26,291 | |||
Accounting and administration expenses payable to affiliates | 14,055 | |||
Trustees’ fees and expenses payable to affiliates | 11,383 | |||
Legal fees payable to affiliates | 11,211 | |||
Reports and statements to shareholders expenses payable to affiliates | 2,964 | |||
Other liabilities | 149,080 | |||
|
| |||
Total Liabilities | 224,033,016 | |||
|
| |||
Total Net Assets | $ | 4,404,187,074 | ||
|
|
68
Table of Contents
Net Assets Consist of: | ||||
Paid-in capital | $ | 4,628,958,100 | ||
Distributions in excess of net investment income | (9,225,883 | ) | ||
Accumulated net realized loss | (163,327,949 | ) | ||
Net unrealized depreciation of investments | (50,205,976 | ) | ||
Net unrealized depreciation of foreign currencies | (483,750 | ) | ||
Net unrealized depreciation of foreign currency exchange contracts | (112,334 | ) | ||
Net unrealized depreciation of futures contracts | (2,092,876 | ) | ||
Net unrealized appreciation of options purchased | 80,739 | |||
Net unrealized appreciation of swap contracts | 597,003 | |||
|
| |||
Total Net Assets | $ | 4,404,187,074 | ||
|
| |||
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 790,765,452 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 93,325,856 | |||
Net asset value per share | $ | 8.47 | ||
Sales charge | 4.50 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 8.87 | ||
Class C: | ||||
Net assets | $ | 537,879,130 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 63,487,999 | |||
Net asset value per share | $ | 8.47 | ||
Class R: | ||||
Net assets | $ | 54,580,866 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 6,444,942 | |||
Net asset value per share | $ | 8.47 | ||
Institutional Class: | ||||
Net assets | $ | 3,007,295,187 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 354,657,342 | |||
Net asset value per share | $ | 8.48 | ||
Class R6: | ||||
Net assets | $ | 13,666,439 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 1,611,940 | |||
Net asset value per share | $ | 8.48 | ||
| ||||
1Investments, at cost | $ | 4,471,704,118 | ||
2Including securities on loan | 90,366,660 | |||
3Short-term investments held as collateral for loaned securities, at cost | 93,603,804 | |||
4Foreign currencies, at cost | 29,738,129 | |||
5See Note 11 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
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Table of Contents
Statement of operations | ||
Delaware Diversified Income Fund | Six months ended April 30, 2018 (Unaudited) |
Investment Income: | ||||
Interest | $ | 88,449,195 | ||
Dividends | 1,162,625 | |||
Securities lending income | 363,080 | |||
Foreign tax withheld | (7,443 | ) | ||
|
| |||
89,967,457 | ||||
|
| |||
Expenses: | ||||
Management fees | 9,905,082 | |||
Distribution expenses – Class A | 1,045,391 | |||
Distribution expenses – Class C | 2,887,031 | |||
Distribution expenses – Class R | 143,377 | |||
Dividend disbursing and transfer agent fees and expenses | 2,571,837 | |||
Accounting and administration expenses | 403,699 | |||
Reports and statements to shareholders expenses | 204,832 | |||
Legal fees | 146,011 | |||
Custodian fees | 121,156 | |||
Trustees’ fees and expenses | 103,760 | |||
Registration fees | 85,775 | |||
Audit and tax fees | 28,324 | |||
Other | 127,815 | |||
|
| |||
17,774,090 | ||||
Less expenses waived | (649,719 | ) | ||
Less expenses paid indirectly | (45,453 | ) | ||
|
| |||
Total operating expenses | 17,078,918 | |||
|
| |||
Net Investment Income | 72,888,539 | |||
|
|
70
Table of Contents
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | $ (16,612,296 | ) | ||
Foreign currencies | (4,520,412 | ) | ||
Foreign currency exchange contracts | (3,410,426 | ) | ||
Futures contracts | 6,807,193 | |||
Options purchased | 201,457 | |||
Swap contracts | (753,179 | ) | ||
|
| |||
Net realized loss | (18,287,663 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | (114,138,872 | ) | ||
Foreign currencies | (82,763 | ) | ||
Foreign currency exchange contracts | 893,880 | |||
Futures contracts | 1,173,974 | |||
Options purchased | 135,977 | |||
Swap contracts | 2,406,308 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | (109,611,496 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (127,899,159 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ (55,010,620 | ) | ||
|
|
See accompanying notes, which are an integral part of the financial statements.
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Table of Contents
Statements of changes in net assets
Delaware Diversified Income Fund
Six months ended 4/30/18 | Year ended 10/31/17 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 72,888,539 | $ | 147,786,914 | ||||
Net realized loss | (18,287,663 | ) | (11,473,348 | ) | ||||
Net change in unrealized appreciation (depreciation) | (109,611,496 | ) | (14,358,109 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (55,010,620 | ) | 121,955,457 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Class A | (14,917,991 | ) | (35,719,780 | ) | ||||
Class C | (8,135,584 | ) | (20,671,479 | ) | ||||
Class R | (950,578 | ) | (2,184,123 | ) | ||||
Institutional Class | (54,696,016 | ) | (103,732,622 | ) | ||||
Class R6 | (257,410 | ) | (129,659 | ) | ||||
Return of capital: | ||||||||
Class A | — | (811,257 | ) | |||||
Class C | — | (563,918 | ) | |||||
Class R | — | (55,969 | ) | |||||
Institutional Class | — | (2,560,569 | ) | |||||
Class R6 | — | (11,747 | ) | |||||
|
|
|
| |||||
(78,957,579 | ) | (166,441,123 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 72,816,878 | 143,375,898 | ||||||
Class C | 13,665,394 | 24,968,862 | ||||||
Class R | 5,146,065 | 14,221,329 | ||||||
Institutional Class | 602,549,852 | 921,870,328 | ||||||
Class R6 | 1,797,403 | 13,462,002 |
72
Table of Contents
Six months ended 4/30/18 | Year ended 10/31/17 | |||||||
Capital Share Transactions (continued): | ||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | $ | 14,300,100 | $ | 35,097,067 | ||||
Class C | 7,618,578 | 19,703,738 | ||||||
Class R | 945,191 | 2,238,458 | ||||||
Institutional Class | 49,810,576 | 98,334,237 | ||||||
Class R6 | 254,342 | 130,937 | ||||||
|
|
|
| |||||
768,904,379 | 1,273,402,856 | |||||||
|
|
|
| |||||
Cost of shares redeemed: | ||||||||
Class A | (164,392,725 | ) | (530,755,749 | ) | ||||
Class C | (86,925,605 | ) | (294,678,417 | ) | ||||
Class R | (11,428,932 | ) | (31,475,251 | ) | ||||
Institutional Class | (375,476,125 | ) | (852,537,719 | ) | ||||
Class R6 | (911,115 | ) | (654,239 | ) | ||||
|
|
|
| |||||
(639,134,502 | ) | (1,710,101,375 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in net assets derived from capital share transactions | 129,769,877 | (436,698,519 | ) | |||||
|
|
|
| |||||
Net Decrease in Net Assets | (4,198,322 | ) | (481,184,185 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 4,408,385,396 | 4,889,569,581 | ||||||
|
|
|
| |||||
End of period | $ | 4,404,187,074 | $ | 4,408,385,396 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (9,225,883 | ) | $ | (3,156,843 | ) | ||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
73
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 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 waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived5 |
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 | For the year ended Oct. 31, 2017, return of capital distributions of $811,257 were made by the Fund’s Class A shares, which calculated to a de minimis amount of $0.00 per share. |
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 some of the periods shown reflects a waiver by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
74
Table of Contents
Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||
$ | 8.74 | $ | 8.81 | $ | 8.74 | $ | 9.09 | $ | 8.96 | $ | 9.45 | |||||||||||||||||||
0.14 | 0.28 | 0.22 | 0.26 | 0.30 | 0.28 | |||||||||||||||||||||||||
(0.26 | ) | (0.03 | ) | 0.12 | (0.27 | ) | 0.17 | (0.35 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.12 | ) | 0.25 | 0.34 | (0.01 | ) | 0.47 | (0.07 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.15 | ) | (0.32 | ) | (0.26 | ) | (0.29 | ) | (0.34 | ) | (0.25 | ) | |||||||||||||||||||
— | — | — | (0.03 | ) | — | (0.09 | ) | |||||||||||||||||||||||
— | — | 3 | (0.01 | ) | (0.02 | ) | — | (0.08 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.15 | ) | (0.32 | ) | (0.27 | ) | (0.34 | ) | (0.34 | ) | (0.42 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 8.47 | $ | 8.74 | $ | 8.81 | $ | 8.74 | $ | 9.09 | $ | 8.96 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(1.36% | ) | 2.89% | 3.96% | (0.11% | ) | 5.25% | (0.66% | ) | ||||||||||||||||||||||
$ | 790,766 | $ | 893,311 | $ | 1,259,472 | $ | 1,658,922 | $ | 2,048,203 | $ | 3,244,801 | |||||||||||||||||||
0.85% | 0.89% | 0.89% | 0.91% | 0.90% | 0.90% | |||||||||||||||||||||||||
0.88% | 0.89% | 0.89% | 0.91% | 0.90% | 0.95% | |||||||||||||||||||||||||
3.30% | 3.24% | 2.54% | 2.95% | 3.34% | 3.03% | |||||||||||||||||||||||||
3.27% | 3.24% | 2.54% | 2.95% | 3.34% | 2.98% | |||||||||||||||||||||||||
52% | 125% | 240% | 218% | 189% | 238% |
75
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 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 waived5 | ||
Ratio of net investment income to average net assets | ||
Ratio of net investment income to average net assets prior to fees waived5 | ||
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 | For the year ended Oct. 31, 2017, return of capital distributions of $563,918 were made by the Fund’s Class C shares, which calculated to a de minimis amount of $0.00 per share. |
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 some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
76
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/181 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||
$ | 8.74 | $ | 8.81 | $ | 8.74 | $ | 9.09 | $ | 8.96 | $ | 9.45 | |||||||||||||||||||
0.11 | 0.22 | 0.16 | 0.20 | 0.23 | 0.21 | |||||||||||||||||||||||||
(0.26 | ) | (0.04 | ) | 0.11 | (0.28 | ) | 0.18 | (0.35 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.15 | ) | 0.18 | 0.27 | (0.08 | ) | 0.41 | (0.14 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.12 | ) | (0.25 | ) | (0.19 | ) | (0.22 | ) | (0.28 | ) | (0.20 | ) | |||||||||||||||||||
— | — | — | (0.03 | ) | — | (0.09 | ) | |||||||||||||||||||||||
— | — | 3 | (0.01 | ) | (0.02 | ) | — | (0.06 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.12 | ) | (0.25 | ) | (0.20 | ) | (0.27 | ) | (0.28 | ) | (0.35 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 8.47 | $ | 8.74 | $ | 8.81 | $ | 8.74 | $ | 9.09 | $ | 8.96 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(1.72% | ) | 2.13% | 3.19% | (0.85% | ) | 4.59% | (1.51% | ) | ||||||||||||||||||||||
$ | 537,879 | $ | 620,954 | $ | 879,706 | $ | 1,007,163 | $ | 1,177,575 | $ | 1,471,553 | |||||||||||||||||||
1.60% | 1.64% | 1.64% | 1.66% | 1.65% | 1.65% | |||||||||||||||||||||||||
1.63% | 1.64% | 1.64% | 1.66% | 1.65% | 1.65% | |||||||||||||||||||||||||
2.55% | 2.49% | 1.79% | 2.20% | 2.59% | 2.28% | |||||||||||||||||||||||||
2.52% | 2.49% | 1.79% | 2.20% | 2.59% | 2.28% | |||||||||||||||||||||||||
52% | 125% | 240% | 218% | 189% | 238% |
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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 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 waived5 | ||||
Ratio of net investment income to average net assets | ||||
Ratio of net investment income to average net assets prior to fees waived5 | ||||
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 | For the year ended Oct. 31, 2017, return of capital distributions of $55,969 were made by the Fund’s Class R shares, which calculated to a de minimis amount of $0.00 per share. |
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 some of the periods shown reflects a waiver by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
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Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||||||
$ | 8.73 | $ | 8.81 | $ | 8.73 | $ | 9.09 | $ | 8.96 | $ | 9.45 | |||||||||||||||||||||||
0.13 | 0.26 | 0.20 | 0.24 | 0.28 | 0.26 | |||||||||||||||||||||||||||||
(0.25 | ) | (0.04 | ) | 0.13 | (0.28 | ) | 0.17 | (0.35 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.12 | ) | 0.22 | 0.33 | (0.04 | ) | 0.45 | (0.09 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.14 | ) | (0.30 | ) | (0.24 | ) | (0.27 | ) | (0.32 | ) | (0.23 | ) | |||||||||||||||||||||||
— | — | — | (0.03 | ) | — | (0.09 | ) | |||||||||||||||||||||||||||
— | — | 3 | (0.01 | ) | (0.02 | ) | — | (0.08 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.14 | ) | (0.30 | ) | (0.25 | ) | (0.32 | ) | (0.32 | ) | (0.40 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 8.47 | $ | 8.73 | $ | 8.81 | $ | 8.73 | $ | 9.09 | $ | 8.96 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(1.37% | ) | 2.52% | 3.82% | (0.47% | ) | 5.11% | (1.02% | ) | ||||||||||||||||||||||||||
$ | 54,581 | $ | 61,630 | $ | 77,484 | $ | 101,732 | $ | 116,840 | $ | 124,586 | |||||||||||||||||||||||
1.10% | 1.14% | 1.14% | 1.16% | 1.15% | 1.15% | |||||||||||||||||||||||||||||
1.13% | 1.14% | 1.14% | 1.16% | 1.15% | 1.24% | |||||||||||||||||||||||||||||
3.05% | 2.99% | 2.29% | 2.70% | 3.09% | 2.78% | |||||||||||||||||||||||||||||
3.02% | 2.99% | 2.29% | 2.70% | 3.09% | 2.69% | |||||||||||||||||||||||||||||
52% | 125% | 240% | 218% | 189% | 238% |
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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 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 waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived5 |
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 | For the year ended Oct. 31, 2017, return of capital distributions of $2,560,569 were made by the Fund’s Institutional Class, which calculated to a de minimis amount of $0.00 per share. |
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 some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
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Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||||||
$ | 8.74 | $ | 8.82 | $ | 8.74 | $ | 9.10 | $ | 8.97 | $ | 9.46 | |||||||||||||||||||||||
0.15 | 0.30 | 0.24 | 0.29 | 0.33 | 0.30 | |||||||||||||||||||||||||||||
(0.25 | ) | (0.04 | ) | 0.13 | (0.29 | ) | 0.17 | (0.35 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.10 | ) | 0.26 | 0.37 | — | 0.50 | (0.05 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.16 | ) | (0.34 | ) | (0.28 | ) | (0.31 | ) | (0.37 | ) | (0.26 | ) | |||||||||||||||||||||||
— | — | — | (0.03 | ) | — | (0.09 | ) | |||||||||||||||||||||||||||
— | — | 3 | (0.01 | ) | (0.02 | ) | — | (0.09 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.16 | ) | (0.34 | ) | (0.29 | ) | (0.36 | ) | (0.37 | ) | (0.44 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 8.48 | $ | 8.74 | $ | 8.82 | $ | 8.74 | $ | 9.10 | $ | 8.97 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(1.12% | ) | 3.03% | 4.34% | 0.03% | 5.63% | (0.52% | ) | |||||||||||||||||||||||||||
$ | 3,007,295 | $ | 2,819,555 | $ | 2,672,906 | $ | 2,620,069 | $ | 2,394,335 | $ | 1,737,652 | |||||||||||||||||||||||
0.60% | 0.64% | 0.64% | 0.66% | 0.65% | 0.65% | |||||||||||||||||||||||||||||
0.63% | 0.64% | 0.64% | 0.66% | 0.65% | 0.65% | |||||||||||||||||||||||||||||
3.55% | 3.49% | 2.79% | 3.20% | 3.59% | 3.28% | |||||||||||||||||||||||||||||
3.52% | 3.49% | 2.79% | 3.20% | 3.59% | 3.28% | |||||||||||||||||||||||||||||
52% | 125% | 240% | 218% | 189% | 238% |
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Table of Contents
Financial highlights
Delaware Diversified Income Fund Class R6
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 |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return5 |
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 waived6 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived6 |
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 | For the year ended Oct. 31, 2017, return of capital distributions of $11,747 were made by the Fund’s Class R6 shares, which calculated to a de minimis amount of $0.00 per share. |
5 | 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. |
6 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
7 | Portfolio turnover is representative of the Fund for the entire year ended Oct. 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
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Six months ended 4/30/181 (Unaudited) | Year ended 10/31/17 | 5/2/162 to | |||||||||||||||||
$ | 8.74 | $ | 8.81 | $ | 8.750 | ||||||||||||||
0.16 | 0.31 | 0.12 | |||||||||||||||||
(0.25 | ) | (0.04 | ) | 0.08 | |||||||||||||||
|
|
|
|
|
| ||||||||||||||
(0.09 | ) | 0.27 | 0.20 | ||||||||||||||||
|
|
|
|
|
| ||||||||||||||
(0.17 | ) | (0.34 | ) | (0.13 | ) | ||||||||||||||
— | — | 4 | (0.01 | ) | |||||||||||||||
|
|
|
|
|
| ||||||||||||||
(0.17 | ) | (0.34 | ) | (0.14 | ) | ||||||||||||||
|
|
|
|
|
| ||||||||||||||
$ | 8.48 | $ | 8.74 | $ | 8.81 | ||||||||||||||
|
|
|
|
|
| ||||||||||||||
(1.08% | ) | 3.14% | 2.50% | ||||||||||||||||
$ | 13,666 | $ | 12,935 | $ | 2 | ||||||||||||||
0.51% | 0.55% | 0.55% | |||||||||||||||||
0.54% | 0.55% | 0.55% | |||||||||||||||||
3.64% | 3.57% | 2.75% | |||||||||||||||||
3.61% | 3.57% | 2.75% | |||||||||||||||||
52% | 125% | 240% | 7 |
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Table of Contents
Delaware Diversified Income Fund | April 30, 2018 (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 (1940 Act), and offers Class A, Class C, Class R, Institutional Class, and Class R6 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) instead of a front-end sales charge 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. In addition, Class R6 shares do not pay any service fees, sub-accounting fees, and/or sub-transfer agency fees to any brokers, dealers, or other financial intermediaries.
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 US generally accepted accounting principles (US 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. Open-end investment company securities are valued at net asset value (NAV) per share, as reported by the underlying investment company. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap options contracts (swaptions) 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. 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 US 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. Foreign currency exchange contracts and foreign cross currency exchange contracts are
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Table of Contents
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. 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. Restricted securities are valued at fair value using methods approved by the Board.
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 or to be taken on the Fund’s federal income tax returns through the six months ended April 30, 2018 and for all open tax years (years ended Oct. 31, 2015–Oct. 31, 2017), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in other expenses on the “Statement of operations.” During the six months ended April 30, 2018, the Fund did not incur any interest or tax penalties. 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. Class R6 shares will not be allocated any expenses related to service fees, sub-accounting fees, and/or sub-transfer agency fees paid to brokers, dealers, or other financial intermediaries.
Repurchase Agreements – The Fund may purchase certain US 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 30, 2018, 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
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Table of Contents
Notes to financial statements
Delaware Diversified Income Fund
1. Significant Accounting Policies (continued)
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.
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 US dollars at the exchange rate of such currencies against the US 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 US GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with US 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 Funds® by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain 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 will accrue such taxes as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. The Fund declares dividends daily from net investment income and pays
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Table of Contents
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.
The Fund receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement is included on the “Statement of operations” under “Custodian fees” with the corresponding expense offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2018, the Fund earned $44,161 under this agreement.
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 $1, 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 included under “Less expenses paid indirectly.” For the six months ended April 30, 2018, the Fund earned $1,292 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 Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly 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.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any distribution and service (12b-1) fees, taxes, interest, acquired fund fees and expenses, short sale, dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) do not exceed 0.45% of the Fund’s Class A, Class C, Class R, and Institutional Class average daily net assets and 0.36% of the Fund’s Class R6 shares average daily net assets from April 1, 2018 through April 30, 2018.* These waivers and reimbursements 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 daily and paid monthly based on the aggregate daily net assets of the Delaware Funds at the following annual rate: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund in the Delaware Funds then pays its relative portion of the remainder of the Total Fee on a relative NAV basis. For the six months ended April 30, 2018, the Fund was charged $84,194 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 daily and paid monthly based on the aggregate daily net assets of the retail funds within the Delaware Funds at the following annual rate: 0.025% of the first $20 billion; 0.020% of the next
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Table of Contents
Notes to financial statements
Delaware Diversified Income Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
$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 Funds on a relative NAV basis. For the six months ended April 30, 2018, the Fund was charged $423,689 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 12b-1 fees 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 Class R shares. The fees are calculated daily and paid monthly. Institutional Class and Class R6 shares pay no 12b-1 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, 2018, the Fund was charged $44,601 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, 2018, DDLP earned $20,902 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2018, DDLP received gross CDSC commissions of $2 and $7,426 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, 2018 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
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compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended April 30, 2018, the Fund engaged in securities purchased of $5,188,685 and sales of $393,642, which resulted in net realized losses of $(11,900).
*The aggregate contractual waiver period covering this report is from April 1, 2018, through April 1, 2019.
3. Investments
For the six months ended April 30, 2018, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than US government securities | $ | 1,836,504,553 | ||
Purchases of US government securities | 524,104,862 | |||
Sales other than US government securities | 1,741,416,096 | |||
Sales of US government securities | 493,982,056 |
At April 30, 2018, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2018, the cost and unrealized appreciation (depreciation) of investments and derivatives for the Fund were as follows:
Cost of investments and derivatives | $ | 4,587,730,291 | ||
|
| |||
Aggregate unrealized appreciation of investments and derivatives | $ | 62,765,253 | ||
Aggregate unrealized depreciation of investments and derivatives | (136,804,087 | ) | ||
|
| |||
Net unrealized depreciation of investments and derivatives | $ | (74,038,834 | ) | |
|
|
Under the Regulated Investment Company Modernization Act of 2010 (Act), net capital losses recognized for the tax years beginning after Dec. 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses.
At Oct. 31, 2017, capital loss carryforwards available to offset future realized capital gains were as follows:
Short-term | Loss carryforward character Long-term | Total | ||||
$35,030,895 | $74,382,116 | $109,413,011 |
US 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
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Notes to financial statements
Delaware Diversified Income Fund
3. Investments (continued)
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.
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The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of April 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Agency, Asset-& Mortgage-Backed Securities1 | $ | — | $ | 1,268,331,589 | $ | 6,287,572 | $ | 1,274,619,161 | ||||||||
Corporate Debt | — | 2,091,496,307 | — | 2,091,496,307 | ||||||||||||
Municipal Bonds | — | 8,115,091 | — | 8,115,091 | ||||||||||||
Foreign Debt | — | 350,000,331 | — | 350,000,331 | ||||||||||||
Loan Agreements1 | — | 410,562,286 | 9,262,068 | 419,824,354 | ||||||||||||
US Treasury Obligation | — | 85,456,280 | — | 85,456,280 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Convertible Preferred Stock1 | 22,478,723 | 11,218,585 | — | 33,697,308 | ||||||||||||
Preferred Stock | — | 21,164,283 | — | 21,164,283 | ||||||||||||
Options Purchased | — | 440,897 | — | 440,897 | ||||||||||||
Short-Term Investments | — | 136,765,375 | — | 136,765,375 | ||||||||||||
Securities Lending Collateral | — | 93,603,298 | — | 93,603,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | 22,478,723 | $ | 4,477,154,322 | $ | 15,549,640 | $ | 4,515,182,685 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives:2 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign Currency Exchange Contracts | — | 1,370,122 | — | 1,370,122 | ||||||||||||
Futures Contracts | 45,557 | — | — | 45,557 | ||||||||||||
Swap Contracts | — | 889,014 | — | 889,014 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Exchange Contracts | — | (1,482,456 | ) | — | (1,482,456 | ) | ||||||||||
Futures Contracts | (2,138,433 | ) | — | — | (2,138,433 | ) | ||||||||||
Swap Contracts | — | (175,032 | ) | — | (175,032 | ) |
The security that has been valued at zero on the “Schedule of investments” is considered to be Level 3 investment in this table.
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Notes to financial statements
Delaware Diversified Income Fund
3. Investments (continued)
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 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 | — | 99.51 | % | 0.49 | % | 100.00 | % | |||||||||
Loan Agreements | — | 97.79 | % | 2.21 | % | 100.00 | % | |||||||||
Convertible Preferred Stock | 66.71 | % | 33.29 | % | — | 100.00 | % |
2Foreign currency exchange contracts, futures contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
During the six months ended April 30, 2018, 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 based on fair value 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 a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to the Fund’s net assets at the beginning, interim, or end of the period. 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.
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4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 4/30/18 | Year ended 10/31/17 | |||||||
Shares sold: | ||||||||
Class A | 8,424,191 | 16,474,509 | ||||||
Class C | 1,580,556 | 2,869,327 | ||||||
Class R | 594,984 | 1,632,764 | ||||||
Institutional Class | 69,824,873 | 106,070,006 | ||||||
Class R6 | 208,194 | 1,539,327 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 1,657,922 | 4,038,452 | ||||||
Class C | 883,373 | 2,266,960 | ||||||
Class R | 109,604 | 257,591 | ||||||
Institutional Class | 5,771,440 | 11,291,356 | ||||||
Class R6 | 29,481 | 14,933 | ||||||
|
|
|
| |||||
89,084,618 | 146,455,225 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Class A | (18,999,418 | ) | (61,225,045 | ) | ||||
Class C | (10,055,388 | ) | (33,918,115 | ) | ||||
Class R | (1,317,142 | ) | (3,632,184 | ) | ||||
Institutional Class | (43,407,989 | ) | (98,054,617 | ) | ||||
Class R6 | (105,297 | ) | (74,930 | ) | ||||
|
|
|
| |||||
(73,885,234 | ) | (196,904,891 | ) | |||||
|
|
|
| |||||
Net increase (decrease) | 15,199,384 | (50,449,666 | ) | |||||
|
|
|
|
Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table above and the “Statements of changes in net assets.” For the six months ended April 30, 2018 and the year ended Oct. 31, 2017, the Fund had the following exchange transactions.
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||
Class A Shares | Class C Shares | Class A Shares |
Institutional | Value | ||||||||||||||||
Six months ended 4/30/18 | 115,913 | 101,357 | 3,786 | 213,549 | $ | 1,877,227 | ||||||||||||||
Year ended 10/31/17 | 6,462,318 | 710,034 | 44,559 | 7,133,891 | 62,150,647 |
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Notes to financial statements
Delaware Diversified Income Fund
5. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), was a participant in a $155,000,000 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 0.15%, which was generally allocated across the Participants based on a weighted average of the respective net assets of each participant. 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. 7, 2017.
On Nov. 7, 2017, the Fund, along with the other Participants, entered into an amendment to the agreement for a $155,000,000 revolving line of credit. 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. 5, 2018.
The Fund had no amounts outstanding as of April 30, 2018, or at any time during the period then ended.
6. Derivatives
US 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 US 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 enter these contracts to hedge the US dollar value of 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.
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During the six months ended April 30, 2018, the Fund entered into foreign currency exchange contracts to hedge the US 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 US 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, 2018, the Fund posted $3,129,302 in securities as margin for open futures contracts. Securities collateral are presented on the “Schedule of investments.”
During the six months ended April 30, 2018, the Fund entered into futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
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 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
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Notes to financial statements
Delaware Diversified Income Fund
6. Derivatives (continued)
risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
During the six months ended April 30, 2018, the Fund entered into option contracts to manage the Fund’s exposure to changes in securities 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 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, 2018, 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
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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, 2018, the Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. 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 are posted to central counterparties for centrally cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedule of investments,” at April 30, 2018, the notional value of the protection sold was $24,970,000, which reflects the maximum potential amount the Fund would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement has been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At April 30, 2018, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Fund and other third parties which the Fund can obtain occurrence of a credit event. At April 30, 2018, net unrealized depreciation of the protection sold was $(175,032).
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, 2018, the Fund entered into CDS contracts to hedge against credit events and to gain exposure to certain securities or markets.
Swaps Generally. For centrally cleared swaps, 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 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
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Notes to financial statements
Delaware Diversified Income Fund
6. Derivatives (continued)
time it was closed. 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 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, 2018, for bilateral derivative contracts, the Fund posted $4,870,000 in cash collateral for certain open derivatives, which is included in “Cash collateral due from brokers on derivatives” on the “Statement of assets and liabilities.” the Fund received $2,020,000 in cash collateral, which is included in as “Cash collateral due to brokers on derivatives” on the “Statement of assets and liabilities.” The Fund also posted $1,314,519 in cash collateral for centrally cleared derivatives, which is included in “Cash collateral due from brokers on derivatives” on the “Statement of assets and liabilities.”
Fair values of derivative instruments as of April 30, 2018 were as follows:
Asset Derivatives Fair Value | ||||||||||||||||
Interest | ||||||||||||||||
Statements of Assets and | Currency | Rate | Credit | |||||||||||||
Liabilities Location | Contracts | Contracts | Contracts | Total | ||||||||||||
Unrealized appreciation on foreign currency exchange contracts | $ | 1,370,122 | $ | — | $ | — | $ | 1,370,122 | ||||||||
Variation margin due from broker on futures contracts* | — | 45,557 | — | 45,557 | ||||||||||||
Variation margin due from broker on centrally cleared interest rate swap contracts** | — | — | 876,439 | 876,439 | ||||||||||||
Unrealized appreciation on credit default swap contracts | — | 12,575 | — | 12,575 | ||||||||||||
Options purchased, at value*** | 440,897 | — | — | 440,897 | ||||||||||||
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|
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|
|
| |||||||||
Total | $ | 1,811,019 | $ | 58,132 | $ | 876,439 | $ | 2,745,590 | ||||||||
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Fair values of derivative instruments as of April 30, 2018 were as follows (continued):
Liability Derivatives Fair Value | ||||||||||||||||
Interest | ||||||||||||||||
Statements of Assets and | Currency | Rate | Credit | |||||||||||||
Liabilities Location | Contracts | Contracts | Contracts | Total | ||||||||||||
Unrealized depreciation on foreign currency exchange contracts | $ | (1,482,456 | ) | $ | — | $ | — | $ | (1,482,456 | ) | ||||||
Variation margin due to broker on futures contracts* | — | (2,138,433 | ) | — | (2,138,433 | ) | ||||||||||
Unrealized depreciation on credit default swap contracts | — | — | (175,032 | ) | (175,032 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | (1,482,456 | ) | $ | (2,138,433 | ) | $ | (175,032 | ) | $ | (3,795,921 | ) | ||||
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|
|
|
|
|
|
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through April 30, 2018. Only current day variation margin is reported on the “Statement of assets and liabilities.” |
**Includes cumulative appreciation (depreciation) of centrally cleared swap contracts from the date the contracts were opened through April 30, 2018. Only current day variation margin is reported on the “Statement of assets and liabilities.” |
***Included in Investments, at value. |
The effect of derivative instruments on the “Statement of operations” for the six months ended April 30, 2018 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Foreign | ||||||||||||||||||||
Currency | ||||||||||||||||||||
Exchange | Futures | Options | Swap | |||||||||||||||||
Contracts | Contracts | Purchased | Contracts | Total | ||||||||||||||||
Currency contracts | $ | 3,410,426 | $ | — | $ | (950,601 | ) | $ | — | $ | 2,459,825 | |||||||||
Interest rate contracts | — | 6,274,586 | 1,152,058 | (95,147 | ) | 7,331,497 | ||||||||||||||
Equity contracts | — | 532,607 | — | 532,607 | ||||||||||||||||
Credit contracts | — | — | — | (658,032 | ) | (658,032 | ) | |||||||||||||
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|
| |||||||||||
Total | $ | 3,410,426 | $ | 6,807,193 | $ | 201,457 | $ | (753,179 | ) | $ | 9,665,897 | |||||||||
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Notes to financial statements
Delaware Diversified Income Fund
6. Derivatives (continued)
The effect of derivative instruments on the “Statement of operations” for the six months ended April 30, 2018 was as follows (continued):
Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Foreign | ||||||||||||||||||||
Currency | ||||||||||||||||||||
Exchange | Futures | Options | Swap | |||||||||||||||||
Contracts | Contracts | Purchased | Contracts | Total | ||||||||||||||||
Currency contracts | $ | 893,880 | $ | 135,977 | $ | — | $ | 1,029,857 | ||||||||||||
Interest rate contracts | — | 1,173,974 | 1,272,693 | 2,446,667 | ||||||||||||||||
Credit contracts | — | — | — | 1,133,615 | 1,133,615 | |||||||||||||||
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|
|
|
|
|
| |||||||||||
Total | $ | 893,880 | $ | 1,173,974 | $ | 135,977 | $ | 2,406,308 | $ | 4,610,139 | ||||||||||
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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, 2018:
Long Derivative | Short Derivative | |||||||||||||||
Volume | Volume | |||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 106,671,121 | USD | 148,454,291 | ||||||||||||
Futures contracts (average notional value) | 160,923,997 | 392,946,428 | ||||||||||||||
Options contracts (average value) | 337,108 | — | ||||||||||||||
CDS contracts (average notional value)* | 19,985,319 | 23,028,008 | ||||||||||||||
Interest rate swap contracts (average notional value)** | — | 15,165,000 |
*Long represents buying protection and short represents selling protection.
**Long represents receiving fixed interest payments and short represents paying fixed interest payments.
7. Offsetting
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 in order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk. 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.
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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, 2018, the Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Gross Value of | Gross Value of | ||||||||||||||
Counterparty | Derivative Asset | Derivative Liability | Net Position | ||||||||||||
Bank of America Merrill Lynch | $ | 749,437 | $ | (27,524 | ) | $ | 721,913 | ||||||||
BNP Paribas | 93,634 | (26,677 | ) | 66,957 | |||||||||||
Citigroup Global Markets | 93,517 | — | 93,517 | ||||||||||||
Deutsche Bank | — | (616,019 | ) | (616,019 | ) | ||||||||||
Hong Kong Shanghai Bank | 389,030 | — | 389,030 | ||||||||||||
JPMorgan Chase Bank | 147,111 | — | 147,111 | ||||||||||||
Morgan Stanley Capital | — | (175,032 | ) | (175,032 | ) | ||||||||||
Toronto Dominion Bank | — | (821,529 | ) | (821,529 | ) | ||||||||||
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| ||||||||||
Total | $ | 1,472,729 | $ | (1,666,781 | ) | $ | (194,052 | ) | |||||||
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Fair Value of | Fair Value of | Cash | ||||||||||||||||||||||||||||
Non-Cash | Cash Collateral | Non-Cash | Collateral | |||||||||||||||||||||||||||
Counterparty | Net Position | Collateral Received | Received(a) | Collateral Pledged | Pledged | Net Exposure(b) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | 721,913 | $ | — | $ | (721,913 | ) | $ | — | $ | — | $ | — | |||||||||||||||||
BNP Paribas | 66,957 | — | — | — | — | 66,957 | ||||||||||||||||||||||||
Citigroup Global Markets | 93,517 | — | (93,517 | ) | — | — | — | |||||||||||||||||||||||
Deutsche Bank | (616,019 | ) | — | — | — | 616,019 | — | |||||||||||||||||||||||
Hong Kong Shanghai Bank | 389,030 | — | (389,030 | ) | — | — | — | |||||||||||||||||||||||
JPMorgan Chase Bank | 147,111 | — | (147,111 | ) | — | — | — | |||||||||||||||||||||||
Morgan Stanley Capital | (175,032 | ) | — | — | — | 175,032 | — | |||||||||||||||||||||||
Toronto Dominion Bank | (821,529 | ) | — | — | — | 821,529 | — | |||||||||||||||||||||||
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|
|
| |||||||||||||||||||
Total | $ | (194,052 | ) | $ | — | $ | (1,351,571 | ) | $ | — | $ | 1,612,580 | $ | 66,957 | ||||||||||||||||
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Master Repurchase Agreements
Repurchase agreements are entered into by the Fund under Master Repurchase Agreements (each, an MRA). The MRA permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a
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Notes to financial statements
Delaware Diversified Income Fund
7. Offsetting (continued)
bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral. The liability reflects the Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of April 30, 2018, the following table is a summary of the Fund’s repurchase agreements by counterparty which are subject to offset under an MRA:
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | ||||||||||||||||||||
Bank of America Merrill Lynch | $13,023,362 | $(13,023,362) | $— | $(13,023,362) | $— | ||||||||||||||||||||
Bank of Montreal | 39,070,086 | (39,070,086) | — | (39,070,086) | — | ||||||||||||||||||||
BNP Paribas | 42,812,870 | (42,812,870) | — | (42,812,870) | — | ||||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $94,906,318 | $(94,906,318) | $— | $(94,906,318) | $— | ||||||||||||||||||||
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Security Lending
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (each, an MSLA) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral (See also Note 8).
As of April 30, 2018, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Received | Net Collateral Received | Net Exposure(b) | ||||||||||||||||||||
The Bank of New York Mellon | $90,366,660 | $(90,366,660) | $— | $(90,366,660) | $— |
(a) The value of the related collateral exceeded the value of the net position, purchase agreements and securities lending transactions as of April 30, 2018.
(b) 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 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
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of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US 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 that 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. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each Fund is generally invested in 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 US 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 as disclosed on the “Schedule of investments.” Securities purchased with cash collateral are valued at the market value. A Fund can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
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 is 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 would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
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Notes to financial statements
Delaware Diversified Income Fund
8. Securities Lending (continued)
The following table reflects a breakdown of security lending collateral accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2018:
Securities Lending Collateral | Overnight and Continuous | Under 30 days | Between 30 & 90 days | Over 90 days | Total | ||||||||||||||||||||
Certificates of Deposit, Discounted Commercial Paper, Repurchased Agreements, and Short-Term Floating Rate Notes | $93,603,298 | $— | $— | $— | $93,603,298 |
At April 30, 2018, the value of securities on loan was $90,366,660, for which the Fund received cash collateral of $93,603,298. At April 30, 2018, the value of invested collateral was $93,499,482. 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 US 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
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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 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. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
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 (1933 Act), and other securities which may not be readily marketable. The Fund may also invest in securities exempt from registration under Section (4)(a)(2) of the
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Notes to financial statements
Delaware Diversified Income Fund
9. Credit and Market Risk (continued)
1933 Act, which exempts from registration transactions by an issuer not involving any public offering. 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 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 (4)(a)(2) securities have been identified on the “Schedule of investments.” Restricted securities are valued pursuant to the security valuation procedures noted in Note 1.
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 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. 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 US 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 contingent liability of $15,959,167 and an asset of $4,787,750 based on the expected recoveries to unsecured creditors as of April 30, 2018 that resulted in a decrease in the Fund’s NAV to reflect this likely recovery.
12. Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (ASU) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
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13. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to April 30, 2018, that would require recognition or disclosure in the Fund’s financial statements.
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Other Fund information (Unaudited)
Delaware Diversified Income Fund
Board consideration of sub-advisory agreements for Delaware Diversified Income Fund at a meeting held November 15-16, 2017
At a meeting held on Nov. 15-16, 2017, the Board of Trustees of Delaware Group® Adviser Funds, including a majority of non-interested or independent Trustees (the “Independent Trustees”), approved a new Sub-Advisory Agreement between Delaware Management Company (“DMC” or “Management”) and each of Macquarie Investment Management Europe Limited (“MIMEL”) and Macquarie Investment Management Global Limited (“MIMGL”) for Delaware Diversified Income Fund (the “Fund”). MIMEL and MIMGL may also be referenced as “sub-advisor(s)” below.
In reaching the decision to approve the Sub-Advisory Agreements, the Board considered and reviewed information about each of MIMEL and MIMGL, including its personnel, operations, and financial condition, which had been provided by MIMEL and MIMGL, respectively. The Board also reviewed material furnished by DMC, including: a memorandum from DMC reviewing the Sub-Advisory Agreements and the various services proposed to be rendered by MIMEL and MIMGL; information concerning MIMEL’s and MIMGL’s organizational structure and the experience of their key investment management personnel; copies of MIMEL’s and MIMGL’s Form ADV, financial statements, compliance policies and procedures, and Codes of Ethics; relevant performance information provided with respect to MIMEL and MIMGL; and a copy of the Sub-Advisory Agreements.
In considering such information and materials, the Independent Trustees received assistance and advice from and met separately with independent counsel. The materials prepared by Management in connection with the approval of the Sub-Advisory Agreements were sent to the Independent Trustees in advance of the meeting. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, extent, and quality of service. The Board considered the nature, quality, and extent of services that MIMEL and MIMGL each would provide as a sub-advisor to the Funds. The Trustees considered the investment process to be employed by MIMEL and MIMGL in connection with DMC’s collaboration with MIMEL and MIMGL in managing the Funds, and the qualifications and experience of MIMEL and MIMGL’s fixed income teams with regard to implementing the Funds’ investment mandates. The Board considered MIMEL and MIMGL’s organization, personnel, and operations. The Trustees also considered Management’s review and recommendation process with respect to MIMEL and MIMGL, and Management’s favorable assessment as to the nature, quality, and extent of the sub-advisory services expected to be provided by MIMEL and MIMGL to the Funds. Based on their consideration and review of the foregoing factors, the Board concluded that the nature, quality, and extent of the sub-advisory services to be provided by MIMEL and MIMGL, as well as MIMEL and MIMGL’s ability to render such services based on its experience, organization and resources, were appropriate for the Fund, in light of the Fund’s investment objective, strategies, and policies.
In discussing the nature of the services proposed to be provided by the sub-advisors, several Board members observed that, unlike traditional sub-advisors, who make the investment-related decisions with
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respect to the sub-advised portfolio, the relationship contemplated in this case is more like a collaborative effort between the advisor and sub-advisors and a cross-pollination of investment ideas. Moreover, the Board noted the advisor’s and sub-advisors’ stated intention that the former retain the decision-making authority with respect to purchases and sales of securities in the sub-advised Funds.
Sub-advisory fees. The Board considered that DMC would not pay MIMEL and MIMGL fees in conjunction with the services that would be rendered to the sub-advised Funds. The Board concluded that, in light of the quality and extent of the services to be provided and the business relationships between the advisor and sub-advisors, the proposed fee arrangement was understandable and reasonable.
Investment performance. In evaluating performance, the Board considered that MIMEL and MIMGL would provide investment advice and recommendations, including with respect to specific securities, for consideration and evaluation by DMC’s portfolio managers, but that DMC’s portfolio managers for the Funds would retain final portfolio management discretion over the Funds.
Economies of scale and fall-out benefits. The Board considered whether the proposed fee arrangement would reflect economies of scale for the benefit of Fund investors as assets in the Funds increased, as applicable. The Board also considered that DMC and its affiliates may benefit by marketing a global approach to the portfolio management of its fixed income investment strategies.
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Board of trustees
Shawn K. Lytle President and Chief Executive Officer Delaware Funds® by Macquarie Philadelphia, PA
Thomas L. Bennett Chairman of the Board Delaware Funds by Macquarie 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 Former 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 Company St. Paul, MN | |||
Affiliated officers
David F. Connor Senior Vice President, General Counsel, and Secretary Delaware Funds by Macquarie Philadelphia, PA |
Daniel V. Geatens Vice President and Treasurer Delaware Funds by Macquarie Philadelphia, PA |
Richard Salus Senior Vice President and Chief Financial Officer Delaware Funds by Macquarie 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 Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
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 delawarefunds.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 delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
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US equity mutual fund
Delaware U.S. Growth Fund
April 30, 2018
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 delawarefunds.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 delawarefunds.com/edelivery. |
Table of Contents
Experience Delaware Funds® by Macquarie
Macquarie Investment Management (MIM) is a global asset manager with offices throughout the United States, Europe, Asia, and Australia. We are active managers who prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for our clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 75 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus for Delaware U.S. Growth Fund at delawarefunds.com/literature.
Manage your account online
· | Check your account balance and transactions |
· | View statements and tax forms |
· | Make purchases and redemptions |
Visit delawarefunds.com/account-access.
Macquarie Asset Management (MAM) offers a diverse range of products including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. Macquarie Investment Management (MIM) is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following registered investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Limited, Macquarie Investment Management Europe Limited, and Macquarie Capital Investment Management LLC.
The Fund is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted 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 MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Fund is governed by US laws and regulations.
1 | ||||
Security type / sector allocation and top 10 equity holdings | 3 | |||
4 | ||||
6 | ||||
8 | ||||
10 | ||||
12 | ||||
21 | ||||
31 |
Unless otherwise noted, views expressed herein are current as of April 30, 2018, and subject to change for events occurring after such date.
The Fund is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
© 2018 Macquarie Management Holdings, Inc.
Table of Contents
For the six-month period from November 1, 2017 to April 30, 2018 (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, 2017 to April 30, 2018.
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, 2017 to April 30, 2018 (Unaudited)
Delaware U.S. Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During Period 11/1/17 to 4/30/18* | |||||||||||||||||
Actual Fund return† | ||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,027.80 | 1.13 | % | $ | 5.68 | ||||||||||||
Class C | 1,000.00 | 1,023.90 | 1.88 | % | 9.43 | |||||||||||||||
Class R | 1,000.00 | 1,026.50 | 1.38 | % | 6.93 | |||||||||||||||
Institutional Class | 1,000.00 | 1,029.00 | 0.88 | % | 4.43 | |||||||||||||||
Class R6 | 1,000.00 | 1,029.90 | 0.65 | % | 3.27 | |||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.19 | 1.13 | % | $ | 5.66 | ||||||||||||
Class C | 1,000.00 | 1,015.47 | 1.88 | % | 9.39 | |||||||||||||||
Class R | 1,000.00 | 1,017.95 | 1.38 | % | 6.90 | |||||||||||||||
Institutional Class | 1,000.00 | 1,020.43 | 0.88 | % | 4.41 | |||||||||||||||
Class R6 | 1,000.00 | 1,021.57 | 0.65 | % | 3.26 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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, 2018 (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 | 97.59 | % | |||
Consumer Discretionary | 13.82 | % | |||
Financials | 9.73 | % | |||
Healthcare | 15.75 | % | |||
Industrials | 4.14 | % | |||
Real Estate | 4.57 | % | |||
Technology | 49.58 | % | |||
Short-Term Investments | 2.63 | % | |||
Total Value of Securities | 100.22 | % | |||
Liabilities Net of Receivables and Other Assets | (0.22 | %) | |||
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 Technology sector (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 Technology sector consisted of commercial services, diversified financial services, Internet, semiconductors, software, and telecommunications. As of April 30, 2018 such amounts, as a percentage of total net assets, were 6.45%, 12.28%, 10.07%, 4.64%, 13.90%, and 2.24%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Technology sector for financial reporting purposes may exceed 25%.
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 | ||||
Microsoft | 7.00 | % | |||
Visa Class A | 6.53 | % | |||
PayPal Holdings | 6.45 | % | |||
Mastercard Class A | 5.75 | % | |||
Alphabet Class A and Class C | 5.54 | % | |||
FedEx | 4.14 | % | |||
Charles Schwab | 3.76 | % | |||
Biogen | 3.74 | % | |||
Intercontinental Exchange | 3.62 | % | |||
Liberty Global Class A and Class C | 3.59 | % |
3
Table of Contents
Delaware U.S. Growth Fund | April 30, 2018 (Unaudited) |
Number of shares | Value (US $) | |||||
Common Stock – 97.59%² | ||||||
Consumer Discretionary – 13.82% | ||||||
Dollar General | 1,009,862 | $ 97,481,979 | ||||
Domino’s Pizza | 265,063 | 64,073,679 | ||||
Liberty Global Class A † | 629,165 | 18,963,033 | ||||
Liberty Global Class C † | 2,975,449 | 86,585,566 | ||||
Qurate Retail Group QVC Group Class A † | 3,211,284 | 75,176,158 | ||||
TripAdvisor† | 1,703,929 | 63,761,023 | ||||
| ||||||
406,041,438 | ||||||
| ||||||
Financials – 9.73% | ||||||
Charles Schwab | 1,980,846 | 110,293,505 | ||||
CME Group | 438,707 | 69,175,320 | ||||
Intercontinental Exchange | 1,466,972 | 106,296,791 | ||||
| ||||||
285,765,616 | ||||||
| ||||||
Healthcare – 15.75% | ||||||
Allergan | 232,599 | 35,738,836 | ||||
Biogen† | 401,188 | 109,765,037 | ||||
DENTSPLY SIRONA | 1,346,684 | 67,792,073 | ||||
Illumina† | 248,118 | 59,779,070 | ||||
IQVIA Holdings † | 1,073,984 | 102,844,708 | ||||
UnitedHealth Group | 366,117 | 86,550,059 | ||||
| ||||||
462,469,783 | ||||||
| ||||||
Industrials – 4.14% | ||||||
FedEx | 492,212 | 121,674,806 | ||||
| ||||||
121,674,806 | ||||||
| ||||||
Real Estate – 4.57% | ||||||
Crown Castle International | 796,483 | 80,341,240 | ||||
Equinix | 128,074 | 53,892,258 | ||||
| ||||||
134,233,498 | ||||||
| ||||||
Technology – 49.58% | ||||||
Alphabet Class A † | 107,294 | 109,287,523 | ||||
Alphabet Class C † | 52,517 | 53,427,119 | ||||
Applied Materials | 1,711,062 | 84,988,450 | ||||
Arista Networks † | 248,231 | 65,669,511 | ||||
ASML Holding | 272,098 | 51,276,868 | ||||
Autodesk† | 198,746 | 25,022,121 | ||||
eBay† | 2,683,242 | 101,641,207 | ||||
Electronic Arts † | 676,710 | 79,838,246 | ||||
Mastercard Class A | 946,698 | 168,767,852 | ||||
Microsoft | 2,197,620 | 205,521,422 | ||||
PayPal Holdings † | 2,539,032 | 189,437,178 | ||||
Symantec | 1,130,032 | 31,403,589 | ||||
Take-Two Interactive Software † | 981,715 | 97,886,803 |
4
Table of Contents
Number of shares | Value (US $) | |||||||
Common Stock² (continued) | ||||||||
Technology (continued) | ||||||||
Visa Class A | 1,512,571 | $ | 191,915,009 | |||||
|
| |||||||
1,456,082,898 | ||||||||
|
| |||||||
Total Common Stock (cost $2,258,954,962) | 2,866,268,039 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 2.63% | ||||||||
Discount Notes – 0.88%≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.00% 5/1/18 | 14,066,155 | 14,066,155 | ||||||
1.58% 5/4/18 | 6,486,852 | 6,485,937 | ||||||
1.62% 5/2/18 | 5,387,644 | 5,387,391 | ||||||
|
| |||||||
25,939,483 | ||||||||
|
| |||||||
Repurchase Agreements – 1.75% | ||||||||
Bank of America Merrill Lynch | ||||||||
1.64%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $7,033,342 (collateralized by US government obligations 1.143%–2.625% 4/30/19–5/15/25; market value $7,173,689) | 7,033,022 | 7,033,022 | ||||||
Bank of Montreal | ||||||||
1.57%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $21,099,985 (collateralized by US government obligations 0.00%–3.625% 5/24/18–1/15/26; market value $21,521,053) | 21,099,065 | 21,099,065 | ||||||
BNP Paribas | ||||||||
1.66%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $23,121,351 (collateralized by US government obligations 0.00%–2.875% 9/27/18–11/15/45; market value $23,582,695) | 23,120,285 | 23,120,285 | ||||||
|
| |||||||
51,252,372 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $77,191,926) | 77,191,855 | |||||||
|
| |||||||
Total Value of Securities – 100.22% | $ | 2,943,459,894 | ||||||
|
|
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 US dollars unless noted that the security is denominated in another currency. |
† | Non-income producing security. |
See accompanying notes, which are an integral part of the financial statements.
5
Table of Contents
Statement of assets and liabilities | ||
Delaware U.S. Growth Fund | April 30, 2018 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 2,943,459,894 | ||
Receivable for securities sold | 24,224,565 | |||
Receivable for fund shares sold | 3,496,372 | |||
Dividends and interest receivable | 641,351 | |||
Foreign tax reclaims receivable | 319,313 | |||
|
| |||
Total assets | 2,972,141,495 | |||
|
| |||
Liabilities: | ||||
Cash due to custodian | 4,777 | |||
Payable for securities purchased | 29,532,317 | |||
Payable for fund shares redeemed | 2,498,092 | |||
Other accrued expenses | 1,709,356 | |||
Investment management fees payable to affiliates | 1,383,793 | |||
Distribution fees payable to affiliates | 82,257 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 47,562 | |||
Accounting and administration expenses payable to affiliates | 9,575 | |||
Trustees’ fees and expenses payable to affiliates | 7,747 | |||
Legal fees payable to affiliates | 7,615 | |||
Reports and statements to shareholders expenses payable to affiliates | 1,979 | |||
|
| |||
Total liabilities | 35,285,070 | |||
|
| |||
Total Net Assets | $ | 2,936,856,425 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 2,204,557,070 | ||
Accumulated net investment loss | (1,945,373 | ) | ||
Accumulated net realized gain on investments | 126,931,722 | |||
Net unrealized appreciation of investments | 607,313,006 | |||
|
| |||
Total Net Assets | $ | 2,936,856,425 | ||
|
|
6
Table of Contents
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 129,417,150 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 5,410,401 | |||
Net asset value per share | $ | 23.92 | ||
Sales charge | 5.75 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 25.38 | ||
Class C: | ||||
Net assets | $ | 57,460,945 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,785,670 | |||
Net asset value per share | $ | 20.63 | ||
Class R: | ||||
Net assets | $ | 16,084,751 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 702,491 | |||
Net asset value per share | $ | 22.90 | ||
Institutional Class: | ||||
Net assets | $ | 2,731,294,939 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 104,699,828 | |||
Net asset value per share | $ | 26.09 | ||
Class R6: | ||||
Net assets | $ | 2,598,640 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 99,481 | |||
Net asset value per share | $ | 26.12 |
1Investments, at cost | $ | 2,336,146,888 |
See accompanying notes, which are an integral part of the financial statements.
7
Table of Contents
Statement of operations | ||
Delaware U.S. Growth Fund | Six months ended April 30, 2018 (Unaudited) |
Investment Income: | ||||
Dividends | $ | 12,545,307 | ||
Interest | 213,992 | |||
Foreign tax withheld | (70,123 | ) | ||
|
| |||
12,689,176 | ||||
|
| |||
Expenses: | ||||
Management fees | 8,564,655 | |||
Distribution expenses – Class A | 176,016 | |||
Distribution expenses – Class C | 307,865 | |||
Distribution expenses – Class R | 43,148 | |||
Dividend disbursing and transfer agent fees and expenses | 3,988,064 | |||
Accounting and administration expenses | 286,039 | |||
Reports and statements to shareholders expenses | 135,435 | |||
Registration fees | 112,775 | |||
Legal fees | 88,411 | |||
Trustees’ fees and expenses | 72,573 | |||
Custodian fees | 24,107 | |||
Audit and tax fees | 18,144 | |||
Other | 36,695 | |||
|
| |||
13,853,927 | ||||
Less expenses paid indirectly | (1,092 | ) | ||
|
| |||
Total operating expenses | 13,852,835 | |||
|
| |||
Net Investment Loss | (1,163,659 | ) | ||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments | 153,558,458 | |||
Net change in unrealized appreciation (depreciation) of investments | (62,897,578 | ) | ||
|
| |||
Net Realized and Unrealized Gain | 90,660,880 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 89,497,221 | ||
|
|
See accompanying notes, which are an integral part of the financial statements.
8
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Table of Contents
Statements of changes in net assets
Delaware U.S. Growth Fund
Six months ended 4/30/18 (Unaudited) | Year ended 10/31/17 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (1,163,659 | ) | $ | (2,764,752 | ) | ||
Net realized gain | 153,558,458 | 318,717,295 | ||||||
Net change in unrealized appreciation (depreciation) | (62,897,578 | ) | 281,309,238 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 89,497,221 | 597,261,781 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Institutional Class | (778,570 | ) | (4,320,824 | ) | ||||
Class R6 | (3,144 | ) | (353 | ) | ||||
Net realized gain: | ||||||||
Class A | (17,001,490 | ) | (12,628,512 | ) | ||||
Class C | (8,467,815 | ) | (6,105,441 | ) | ||||
Class R | (2,113,241 | ) | (1,577,029 | ) | ||||
Institutional Class | (308,021,581 | ) | (165,799,057 | ) | ||||
Class R6 | (226,176 | ) | (8,818 | ) | ||||
|
|
|
| |||||
(336,612,017 | ) | (190,440,034 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 6,844,900 | 20,520,887 | ||||||
Class C | 2,290,947 | 4,237,808 | ||||||
Class R | 1,778,395 | 3,429,606 | ||||||
Institutional Class | 295,259,695 | 1,119,023,497 | ||||||
Class R6 | 774,509 | 17,005,462 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 16,748,733 | 12,332,480 | ||||||
Class C | 8,314,280 | 5,938,501 | ||||||
Class R | 2,111,675 | 1,576,018 | ||||||
Institutional Class | 306,144,354 | 167,203,248 | ||||||
Class R6 | 229,320 | 9,171 | ||||||
|
|
|
| |||||
640,496,808 | 1,351,276,678 | |||||||
|
|
|
|
10
Table of Contents
Six months ended 4/30/18 (Unaudited)
| Year ended 10/31/17
| |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (30,349,431 | ) | $ | (103,806,821 | ) | ||
Class C | (10,562,777 | ) | (34,239,932 | ) | ||||
Class R | (3,361,000 | ) | (11,503,839 | ) | ||||
Institutional Class | (424,510,054 | ) | (1,417,578,844 | ) | ||||
Class R6 | (286,325 | ) | (17,103,573 | ) | ||||
|
|
|
| |||||
(469,069,587 | ) | (1,584,233,009 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets derived from capital share transactions | 171,427,221 | (232,956,331 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (75,687,575 | ) | 173,865,416 | |||||
Net Assets: | ||||||||
Beginning of period | 3,012,544,000 | 2,838,678,584 | ||||||
|
|
|
| |||||
End of period | $ | 2,936,856,425 | $ | 3,012,544,000 | ||||
|
|
|
| |||||
Accumulated net investment loss | $ | (1,945,373 | ) | $ | – | |||
|
|
|
|
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 waived4 |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived4 |
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. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
12
Table of Contents
Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||
$ | 26.37 | $ | 22.99 | $ | 26.84 | $ | 25.66 | $ | 21.97 | $ | 17.31 | |||||||||||||||||||
(0.04 | ) | (0.07 | ) | (0.01 | ) | 0.07 | 0.06 | (0.01 | ) | |||||||||||||||||||||
0.76 | 5.10 | (0.81 | ) | 1.87 | 3.63 | 4.67 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
0.72 | 5.03 | (0.82 | ) | 1.94 | 3.69 | 4.66 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
— | — | (0.08 | ) | (0.06 | ) | — | — | |||||||||||||||||||||||
(3.17 | ) | (1.65 | ) | (2.95 | ) | (0.70 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(3.17 | ) | (1.65 | ) | (3.03 | ) | (0.76 | ) | — | — | |||||||||||||||||||||
|
|
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|
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|
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| |||||||||||||||||||
$ | 23.92 | $ | 26.37 | $ | 22.99 | $ | 26.84 | $ | 25.66 | $ | 21.97 | |||||||||||||||||||
|
|
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|
|
|
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|
| |||||||||||||||||||
2.78% | 23.66% | (3.48% | ) | 7.63% | 16.80% | 26.92% | ||||||||||||||||||||||||
$ | 129,417 | $ | 148,867 | $ | 200,191 | $ | 412,893 | $ | 351,388 | $ | 290,303 | |||||||||||||||||||
1.13% | 1.06% | 1.05% | 1.05% | 1.06% | 1.09% | |||||||||||||||||||||||||
1.13% | 1.06% | 1.05% | 1.05% | 1.06% | 1.13% | |||||||||||||||||||||||||
(0.29% | ) | (0.31% | ) | (0.06% | ) | 0.26% | 0.26% | (0.06% | ) | |||||||||||||||||||||
(0.29% | ) | (0.31% | ) | (0.06% | ) | 0.26% | 0.26% | (0.10% | ) | |||||||||||||||||||||
16% | 43% | 22% | 40% | 25% | 23% |
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 waived4 |
Ratio of net investment loss to average net assets |
Ratio of net investment loss to average net assets prior to fees waived4 |
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. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
14
Table of Contents
Six months ended | |||||||||||||||||||||||||||||||||
4/30/181 | Year ended | ||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||||||||||||||||
$ | 23.25 | $ | 20.60 | $ | 24.46 | $ | 23.56 | $ | 20.33 | $ | 16.13 | ||||||||||||||||||||||
(0.11 | ) | (0.22 | ) | (0.17 | ) | (0.12 | ) | (0.11 | ) | (0.15 | ) | ||||||||||||||||||||||
0.66 | 4.52 | (0.74 | ) | 1.72 | 3.34 | 4.35 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
0.55 | 4.30 | (0.91 | ) | 1.60 | 3.23 | 4.20 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
(3.17 | ) | (1.65 | ) | (2.95 | ) | (0.70 | ) | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
(3.17 | ) | (1.65 | ) | (2.95 | ) | (0.70 | ) | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
$ | 20.63 | $ | 23.25 | $ | 20.60 | $ | 24.46 | $ | 23.56 | $ | 20.33 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
2.39% | 22.80% | (4.24% | ) | 6.86% | 15.89% | 26.04% | |||||||||||||||||||||||||||
$ | 57,461 | $ | 64,233 | $ | 80,537 | $ | 106,775 | $ | 90,104 | $ | 67,898 | ||||||||||||||||||||||
1.88% | 1.81% | 1.80% | 1.80% | 1.81% | 1.84% | ||||||||||||||||||||||||||||
1.88% | 1.81% | 1.80% | 1.80% | 1.81% | 1.84% | ||||||||||||||||||||||||||||
(1.05% | ) | (1.06% | ) | (0.81% | ) | (0.49% | ) | (0.49% | ) | (0.81% | ) | ||||||||||||||||||||||
(1.05% | ) | (1.06% | ) | (0.81% | ) | (0.49% | ) | (0.49% | ) | (0.81% | ) | ||||||||||||||||||||||
| 16%
|
|
| 43%
|
|
| 22%
|
|
| 40%
|
|
| 25%
|
|
| 23%
|
|
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 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 waived5 |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived5 |
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 | The amount is less than $0.005 per share. |
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 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. |
5 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
16
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/181 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||
$ | 25.41 | $ | 22.26 | $ | 26.08 | $ | 24.96 | $ | 21.43 | $ | 16.92 | |||||||||||||||||||
(0.06 | ) | (0.13 | ) | (0.07 | ) | — | 3 | — | 3 | (0.06 | ) | |||||||||||||||||||
0.72 | 4.93 | (0.79 | ) | 1.82 | 3.53 | 4.57 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
0.66 | 4.80 | (0.86 | ) | 1.82 | 3.53 | 4.51 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
— | — | (0.01 | ) | — | — | — | ||||||||||||||||||||||||
(3.17 | ) | (1.65 | ) | (2.95 | ) | (0.70 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(3.17 | ) | (1.65 | ) | (2.96 | ) | (0.70 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 22.90 | $ | 25.41 | $ | 22.26 | $ | 26.08 | $ | 24.96 | $ | 21.43 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
2.65% | 23.39% | (3.72% | ) | 7.36% | 16.47% | 26.66% | ||||||||||||||||||||||||
$ | 16,085 | $ | 17,200 | $ | 21,358 | $ | 27,920 | $ | 27,053 | $ | 23,815 | |||||||||||||||||||
1.38% | 1.31% | 1.30% | 1.30% | 1.31% | 1.34% | |||||||||||||||||||||||||
1.38% | 1.31% | 1.30% | 1.30% | 1.31% | 1.43% | |||||||||||||||||||||||||
(0.54% | ) | (0.56% | ) | (0.31% | ) | 0.01% | 0.01% | (0.31% | ) | |||||||||||||||||||||
(0.54% | ) | (0.56% | ) | (0.31% | ) | 0.01% | 0.01% | (0.40% | ) | |||||||||||||||||||||
| 16%
|
|
| 43%
|
|
| 22%
|
|
| 40%
|
|
| 25%
|
|
| 23%
|
|
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 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 waived4 |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived4 |
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. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
18
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/181 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||
$ | 28.46 | $ | 24.66 | $ | 28.57 | $ | 27.26 | $ | 23.31 | $ | 18.34 | |||||||||||||||||||
(0.01 | ) | (0.02 | ) | 0.05 | 0.14 | 0.13 | 0.04 | |||||||||||||||||||||||
0.82 | 5.51 | (0.87 | ) | 1.99 | 3.84 | 4.96 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
0.81 | 5.49 | (0.82 | ) | 2.13 | 3.97 | 5.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.01 | ) | (0.04 | ) | (0.14 | ) | (0.12 | ) | (0.02 | ) | (0.03 | ) | |||||||||||||||||||
(3.17 | ) | (1.65 | ) | (2.95 | ) | (0.70 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(3.18 | ) | (1.69 | ) | (3.09 | ) | (0.82 | ) | (0.02 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 26.09 | $ | 28.46 | $ | 24.66 | $ | 28.57 | $ | 27.26 | $ | 23.31 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
2.90% | 24.00% | (3.24% | ) | 7.90% | 17.04% | 27.29% | ||||||||||||||||||||||||
$ | 2,731,295 | $ | 2,780,191 | $ | 2,536,591 | $ | 3,253,926 | $ | 2,983,439 | $ | 2,203,909 | |||||||||||||||||||
0.88% | 0.81% | 0.80% | 0.80% | 0.81% | 0.84% | |||||||||||||||||||||||||
0.88% | 0.81% | 0.80% | 0.80% | 0.81% | 0.84% | |||||||||||||||||||||||||
(0.04% | ) | (0.06% | ) | 0.19% | 0.51% | 0.51% | 0.19% | |||||||||||||||||||||||
(0.04% | ) | (0.06% | ) | 0.19% | 0.51% | 0.51% | 0.19% | |||||||||||||||||||||||
| 16%
|
|
| 43%
|
|
| 22%
|
|
| 40%
|
|
| 25%
|
|
| 23%
|
|
19
Table of Contents
Financial highlights
Delaware U.S. Growth Fund Class R6
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 4/30/181 (Unaudited) | Year ended 10/31/17 | 5/2/162 to 10/31/16 | |||||||||||||
Net asset value, beginning of period |
$ |
28.50 |
|
$ |
24.68 |
|
$ |
23.75 |
| ||||||
Income from investment operations: | |||||||||||||||
Net investment income3 | 0.03 | 0.02 | 0.04 | ||||||||||||
Net realized and unrealized gain | 0.80 | 5.52 | 0.89 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.83 | 5.54 | 0.93 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.04 | ) | (0.07 | ) | — | ||||||||||
Net realized gain | (3.17 | ) | (1.65 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (3.21 | ) | (1.72 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 26.12 | $ | 28.50 | $ | 24.68 | |||||||||
|
|
|
|
|
| ||||||||||
Total return4 | 2.99% | 24.19% | 3.92% | ||||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $ | 2,598 | $ | 2,053 | $ | 2 | |||||||||
Ratio of expenses to average net assets5 | 0.65% | 0.67% | 0.66% | ||||||||||||
Ratio of net investment income to average net assets5 | 0.19% | 0.08% | 0.34% | ||||||||||||
Portfolio turnover
|
| 16%
|
|
| 43%
|
|
| 22%
| 6
|
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 a net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
5 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
6 | Portfolio turnover is representative of the Fund for the entire year ended Oct. 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
20
Table of Contents
Delaware U.S. Growth Fund | April 30, 2018 (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, Institutional Class, and Class R6 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) instead of a front-end sales charge 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. In addition, Class R6 shares do not pay any service fees, sub-accounting fees, and/or sub-transfer agency fees to any brokers, dealers, or other financial intermediaries.
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 US generally accepted accounting principles (US 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. US 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. Restricted securities are valued at fair value using methods approved by the Board.
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 or to be taken on the Fund’s federal income tax returns through the six months ended April 30, 2018 and for all open tax years (years ended Oct. 31, 2015–Oct. 31, 2017), and has concluded that no provision for federal income tax is required in the Fund’s financial statements.
21
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
1. Significant Accounting Policies (continued)
If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in other expenses on the “Statement of operations.” During the six months ended April 30, 2018, the Fund did not incur any interest or tax penalties.
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. Class R6 shares will not be allocated any expenses related to service fees, sub-accounting fees, and/or sub-transfer agency fees paid to brokers, dealers, or other financial intermediaries.
Repurchase Agreements – The Fund may purchase certain US 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 30, 2018, and matured on the next business day.
Use of Estimates – The Fund is an investment company, whose financial statements are prepared in conformity with US GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with US 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 Funds® by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain 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 and distributions from net realized gain on investments, if any, annually. The Fund may distribute
22
Table of Contents
more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Fund receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expense paid under this arrangement is included on the “Statement of operations” under “Custodian fees” with the corresponding expense offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2018, the Fund earned $483 under this agreement.
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 $1, 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 included under “Less expenses paid indirectly.” For the six months ended April 30, 2018, the Fund earned $609 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 Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly 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: 0.39% of the first $500 million; 0.36% of the next $500 million; 0.33% of the next $1.5 billion; and 0.30% 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 daily and paid monthly based on the aggregate daily net assets of the Delaware Funds at the following annual rate: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund in the Delaware Funds then pays its relative portion of the remainder of the Total Fee on a relative net asset value (NAV) basis. For the six months ended April 30, 2018, the Fund was charged $59,353 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 daily and paid monthly based on the aggregate daily net assets of the retail funds within the Delaware 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 Funds on a relative NAV basis. This amount is included on the “Statement of
23
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended April 30, 2018, the Fund was charged $295,663 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 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 (12b-1) 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. The fees are calculated daily and paid monthly. Institutional Class and Class R6 shares pay no 12b-1 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, 2018, the Fund was charged $30,602 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, 2018, DDLP earned $7,598 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2018, DDLP received gross CDSC commissions of $7 and $630 on redemption of the Fund’s Class A and Class C shares, respectively, and these commissions were entirely used to offset up-front 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, 2018, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 495,859,358 | ||
Sales | 711,303,595 |
24
Table of Contents
At April 30, 2018, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2018, the cost and unrealized appreciation (depreciation) of investments for the Fund were as follows:
Cost of investments | $ | 2,336,146,888 | ||
|
| |||
Aggregate unrealized appreciation of investments | $ | 673,293,282 | ||
Aggregate unrealized depreciation of investments | (65,980,276 | ) | ||
|
| |||
Net unrealized appreciation of investments | $ | 607,313,006 | ||
|
|
US 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.
25
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
3. Investments (continued)
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of April 30, 2018:
Level 1 | Level 2 | Total | ||||||||||
Assets: | ||||||||||||
Common Stock | $ | 2,866,268,039 | $ | — | $ | 2,866,268,039 | ||||||
Short-Term Investments | — | 77,191,855 | 77,191,855 | |||||||||
|
|
|
|
|
| |||||||
Total Value of Securities | $ | 2,866,268,039 | $ | 77,191,855 | $ | 2,943,459,894 | ||||||
|
|
|
|
|
|
During the six months ended April 30, 2018, 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 based on the fair value 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. During the six months ended April 30, 2018, there were no Level 3 investments.
26
Table of Contents
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended | Year ended | |||||||
4/30/18 | 10/31/17 | |||||||
Shares sold: | ||||||||
Class A | 273,324 | 881,320 | ||||||
Class C | 106,108 | 207,085 | ||||||
Class R | 74,285 | 154,240 | ||||||
Institutional Class | 10,773,965 | 42,865,417 | ||||||
Class R6 | 29,102 | 690,451 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 704,320 | 583,924 | ||||||
Class C | 404,408 | 316,889 | ||||||
Class R | 92,698 | 77,294 | ||||||
Institutional Class | 11,815,683 | 7,352,825 | ||||||
Class R6 | 8,844 | 403 | ||||||
|
|
|
| |||||
24,282,737 | 53,129,848 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Class A | (1,211,636 | ) | (4,529,928 | ) | ||||
Class C | (487,692 | ) | (1,670,030 | ) | ||||
Class R | (141,456 | ) | (514,122 | ) | ||||
Institutional Class | (15,581,948 | ) | (55,398,802 | ) | ||||
Class R6 | (10,499 | ) | (618,904 | ) | ||||
|
|
|
| |||||
(17,433,231 | ) | (62,731,786 | ) | |||||
|
|
|
| |||||
Net increase (decrease) | 6,849,506 | (9,601,938 | ) | |||||
|
|
|
|
Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table above and on the “Statements of changes in net assets.” For the six months ended April 30, 2018 and the year ended Oct. 31, 2017, the Fund had the following exchange transactions.
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||||||
Institutional |
Institutional | |||||||||||||||||||||||
Class A | Class C | Class | Class A | Class | ||||||||||||||||||||
Shares | Shares | Shares | Shares | Shares | Value | |||||||||||||||||||
Six months ended 4/30/18 | 454 | 10,538 | — | 99 | 8,705 | $ | 236,259 | |||||||||||||||||
Year ended 10/31/17 | 549,079 | 4,423 | 212 | 4,029 | 509,937 | 12,244,531 |
27
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
5. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), was a participant in a $155,000,000 revolving line of credit 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 0.15%, which was generally allocated across the Participants based on a weighted average of the respective net assets of each Participant. 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. 6, 2017.
On Nov. 6, 2017, the Fund, along with the other Participants, entered into an amendment to the agreement for a $155,000,000 revolving line of credit. 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. 5, 2018.
The Fund had no amounts outstanding as of April 30, 2018, or at any time during the period then ended.
6. Offsetting
Master Repurchase Agreements
Repurchase agreements are entered into by the Fund under Master Repurchase Agreements (each, an MRA). The MRA permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral. The liability reflects the Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of April 30, 2018, the following table is a summary of the Fund’s repurchase agreements by counterparty which are subject to offset under an MRA:
Fair Value of | |||||||||||||||||||||||||
Repurchase | Non-Cash | Cash Collateral | Net Collateral | Net | |||||||||||||||||||||
Counterparty | Agreements | Collateral Received(a) | Received | Received | Exposure(b) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 7,033,022 | $ | (7,033,022 | ) | $ | — | $ | (7,033,022 | ) | $— | ||||||||||||||
Bank of Montreal | 21,099,065 | (21,099,065 | ) | — | (21,099,065 | ) | — | ||||||||||||||||||
BNP Paribas | 23,120,285 | (23,120,285 | ) | — | (23,120,285 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 51,252,372 | $ | (51,252,372 | ) | $ | — | $ | (51,252,372 | ) | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a)The value of the related collateral received exceeded the value of the repurchase agreements as of April 30, 2018
(b)Net exposure represents the net receivable (payable) that would be due from (to) the counterparty in the event of default.
28
Table of Contents
7. Securities Lending
The Fund, along with other funds in the Delaware 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 US securities and foreign securities that are denominated and payable in US 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. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each fund is generally invested in 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 US 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. A fund can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
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 is 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
29
Table of Contents
Notes to financial statements
Delaware U.S. Growth Fund
7. Securities Lending (continued)
circumstances, the value of the 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, 2018, the Fund had no securities out on loan.
8. Credit and Market Risk
The Fund invested in growth stocks (such as those in the technology sector), which reflect projections of future earnings and revenue. These prices may rise or fall dramatically depending on whether those projections are met. These companies’ stock prices may be more volatile, particularly over the short term.
The Fund invests a significant portion of its assets in small companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small sized companies may be more volatile than investments in larger companies for a number of reasons, which include limited financial resources or a dependence on narrow product lines.
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, 2018, there were no Rule 144A securities held by the Fund. Restricted securities are valued pursuant to the security valuation procedures noted in Note 1.
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. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to April 30, 2018, that would require recognition or disclosure in the Fund’s financial statements.
30
Table of Contents
Board of trustees | ||||||
Shawn K. Lytle | Ann D. Borowiec | John A. Fry | Frances A. | |||
President and | Former Chief Executive | President | Sevilla-Sacasa | |||
Chief Executive Officer | Officer | Drexel University | Former Chief Executive | |||
Delaware Funds® | Private Wealth Management | Philadelphia, PA | Officer | |||
by Macquarie | J.P. Morgan Chase & Co. | Lucinda S. Landreth | Banco Itaú International | |||
Philadelphia, PA | New York, NY | Miami, FL | ||||
Former Chief Investment | ||||||
Thomas L. Bennett | Joseph W. Chow | Officer | Thomas K. Whitford | |||
Chairman of the Board | Former Executive Vice | Assurant, Inc. | Former Vice Chairman | |||
Delaware Funds | President | New York, NY | PNC Financial Services Group | |||
by Macquarie | State Street Corporation | Pittsburgh, PA | ||||
Private Investor | Boston, MA | |||||
Rosemont, PA | Janet L. Yeomans | |||||
Former Vice President and | ||||||
Treasurer | ||||||
3M Company | ||||||
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 Funds | Delaware Funds | ||||
Delaware Funds | by Macquarie | by Macquarie | ||||
by Macquarie | 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 Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
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 delawarefunds.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 delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
31
Table of Contents
Alternative / specialty mutual fund
Delaware Global Real Estate Opportunities Fund
April 30, 2018
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 delawarefunds.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 delawarefunds.com/edelivery.
Table of Contents
Experience Delaware Funds® by Macquarie
Macquarie Investment Management (MIM) is a global asset manager with offices throughout the United States, Europe, Asia, and Australia. We are active managers who prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for our clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 75 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus for Delaware Global Real Estate Opportunities Fund at delawarefunds.com/literature.
Manage your account online
· | Check your account balance and transactions |
· | View statements and tax forms |
· | Make purchases and redemptions |
Visit delawarefunds.com/account-access.
Macquarie Asset Management (MAM) offers a diverse range of products including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. Macquarie Investment Management (MIM) is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following registered investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Limited, Macquarie Investment Management Europe Limited, and Macquarie Capital Investment Management LLC.
The Fund is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted 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 MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Fund is governed by US laws and regulations.
Table of contents | ||||
| 1 | |||
3 | ||||
4 | ||||
8 | ||||
10 | ||||
12 | ||||
14 | ||||
22 | ||||
36 |
Unless otherwise noted, views expressed herein are current as of April 30, 2018, and subject to change for events occurring after such date.
The Fund is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
© 2018 Macquarie Management Holdings, Inc.
Table of Contents
For the six-month period from November 1, 2017 to April 30, 2018 (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, 2017 to April 30, 2018.
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.
1
Table of Contents
Disclosure of Fund expenses
For the six-month period from November 1, 2017 to April 30, 2018 (Unaudited)
Delaware Global Real Estate Opportunities Fund
Expense analysis of an investment of $1,000
Beginning Account Value 11/1/17 | Ending Account Value | Annualized Expense Ratio | Expenses Paid During Period 11/1/17 to 4/30/18* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $1,000.00 | $1,007.60 | 1.40% | $6.97 | ||||||||||||
Class C | 1,000.00 | 1,003.70 | 2.15% | 10.68 | ||||||||||||
Class R | 1,000.00 | 1,004.70 | 1.65% | 8.20 | ||||||||||||
Institutional Class | 1,000.00 | 1,007.50 | 1.15% | 5.72 | ||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||||
Class A | $1,000.00 | $1,017.85 | 1.40% | $7.00 | ||||||||||||
Class C | 1,000.00 | 1,014.13 | 2.15% | 10.74 | ||||||||||||
Class R | 1,000.00 | 1,016.61 | 1.65% | 8.25 | ||||||||||||
Institutional Class | 1,000.00 | 1,019.09 | 1.15% | 5.76 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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, 2018 (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 | |||
Common Stock by Country | 97.46% | |||
Australia | 3.14% | |||
Canada | 1.73% | |||
China/Hong Kong | 7.44% | |||
France | 2.43% | |||
Germany | 4.80% | |||
Ireland | 1.27% | |||
Japan | 10.88% | |||
Singapore | 3.34% | |||
Spain | 2.87% | |||
Sweden | 0.91% | |||
United Kingdom | 7.09% | |||
United States | 51.56% | |||
Short-Term Investments | 2.13% | |||
Total Value of Securities | 99.59% | |||
Receivables and Other Assets Net of Liabilities | 0.41% | |||
Total Net Assets | 100.00% | |||
Common stock by sector | Percentage of net assets | |||
Diversified REITs | 12.23% | |||
Healthcare | 3.01% | |||
Healthcare REITs | 2.19% | |||
Hotel REITs | 4.28% | |||
Industrial REITs | 7.14% | |||
Information Technology REITs | 4.41% | |||
Mall REITs | 3.50% | |||
Manufactured Housing REITs | 2.46% | |||
Multifamily REITs | 21.04% | |||
Office REITs | 13.71% | |||
Office/Diversified REITs | 2.63% | |||
Office/Industrial REIT | 1.68% | |||
Real Estate Operating Companies/Developer | 5.59% | |||
Retail REITs | 3.54% | |||
Self-Storage REITs | 4.19% | |||
Shopping Center REITs | 2.24% | |||
Single Tenant REITs | 2.00% | |||
Specialty REIT | 1.62% | |||
Total | 97.46% |
3
Table of Contents
Delaware Global Real Estate Opportunities Fund | April 30, 2018 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stock – 97.46%D | ||||||||
Australia – 3.14% | ||||||||
Dexus | 77,044 | $ | 550,444 | |||||
Goodman Group | 148,533 | 1,014,235 | ||||||
GPT Group-In Specie =† | 1,377,200 | 0 | ||||||
|
| |||||||
1,564,679 | ||||||||
|
| |||||||
Canada – 1.73% | ||||||||
Killam Apartment Real Estate Investment Trust | 44,400 | 490,356 | ||||||
RioCan Real Estate Investment Trust | 20,400 | 370,996 | ||||||
|
| |||||||
861,352 | ||||||||
|
| |||||||
China/Hong Kong – 7.44% | ||||||||
CK Asset Holdings | 148,500 | 1,287,537 | ||||||
Hongkong Land Holdings | 71,109 | 515,540 | ||||||
Link REIT | 96,000 | 851,306 | ||||||
Sun Hung Kai Properties | 26,724 | 431,743 | ||||||
Wharf Real Estate Investment | 82,000 | 616,412 | ||||||
|
| |||||||
3,702,538 | ||||||||
|
| |||||||
France – 2.43% | ||||||||
Gecina | 3,877 | 672,316 | ||||||
Unibail-Rodamco | 2,246 | 539,470 | ||||||
|
| |||||||
1,211,786 | ||||||||
|
| |||||||
Germany – 4.80% | ||||||||
alstria office REIT | 27,378 | 411,948 | ||||||
Aroundtown | 60,375 | 482,657 | ||||||
Deutsche Wohnen | 31,679 | 1,497,323 | ||||||
|
| |||||||
2,391,928 | ||||||||
|
| |||||||
Ireland – 1.27% | ||||||||
Green REIT | 344,427 | 631,382 | ||||||
|
| |||||||
631,382 | ||||||||
|
| |||||||
Japan – 10.88% | ||||||||
Daiwa Office Investment | 111 | 656,862 | ||||||
Japan Prime Realty Investment | 90 | 326,411 | ||||||
Japan Rental Housing Investments | 829 | 644,833 | ||||||
Kenedix Office Investment | 90 | 552,090 | ||||||
Mitsui Fudosan | 55,500 | 1,421,657 | ||||||
Sumitomo Realty & Development | 28,000 | 1,112,250 | ||||||
Tokyo Tatemono | 16,400 | 249,758 | ||||||
United Urban Investment | 296 | 454,638 | ||||||
|
| |||||||
5,418,499 | ||||||||
|
| |||||||
Singapore – 3.34% | ||||||||
CapitaLand | 186,900 | 529,973 |
4
Table of Contents
Number of shares | Value (US $) | |||||||
Common StockD (continued) | ||||||||
Singapore (continued) | ||||||||
City Developments | 50,400 | $ 481,575 | ||||||
Mapletree Commercial Trust | 533,701 | 652,033 | ||||||
|
| |||||||
1,663,581 | ||||||||
|
| |||||||
Spain – 2.87% | ||||||||
Inmobiliaria Colonial Socimi | 64,450 | 750,279 | ||||||
Merlin Properties Socimi | 43,838 | 677,616 | ||||||
|
| |||||||
1,427,895 | ||||||||
|
| |||||||
Sweden – 0.91% | ||||||||
Fabege | 38,944 | 450,518 | ||||||
|
| |||||||
450,518 | ||||||||
|
| |||||||
United Kingdom – 7.09% | ||||||||
Assura | 873,991 | 717,121 | ||||||
Capital & Counties Properties | 19,404 | 77,015 | ||||||
Grainger | 367,299 | 1,584,740 | ||||||
Great Portland Estates | 34,688 | 333,043 | ||||||
UNITE Group | 71,306 | 818,222 | ||||||
|
| |||||||
3,530,141 | ||||||||
|
| |||||||
United States – 51.56% | ||||||||
Alexandria Real Estate Equities | 5,007 | 623,722 | ||||||
Apartment Investment & Management | 15,422 | 626,133 | ||||||
AvalonBay Communities | 5,940 | 968,220 | ||||||
Boston Properties | 3,733 | 453,224 | ||||||
Brandywine Realty Trust | 11,019 | 177,516 | ||||||
Brookdale Senior Living † | 207,051 | 1,499,049 | ||||||
Camden Property Trust | 7,650 | 653,310 | ||||||
Columbia Property Trust | 30,329 | 647,827 | ||||||
Crown Castle International | 10,938 | 1,103,316 | ||||||
CubeSmart | 25,675 | 755,872 | ||||||
DCT Industrial Trust | 7,019 | 460,236 | ||||||
Douglas Emmett | 9,582 | 357,121 | ||||||
Duke Realty | 30,841 | 835,791 | ||||||
Equinix | 1,073 | 451,508 | ||||||
Equity LifeStyle Properties | 6,530 | 582,215 | ||||||
Equity Residential | 7,867 | 485,473 | ||||||
Essex Property Trust | 4,931 | 1,181,911 | ||||||
Extra Space Storage | 9,356 | 838,204 | ||||||
HCP | 15,932 | 372,172 | ||||||
Host Hotels & Resorts | 37,621 | 735,867 | ||||||
Invitation Homes | 34,913 | 807,887 | ||||||
Kilroy Realty | 7,638 | 547,416 | ||||||
Liberty Property Trust | 9,560 | 399,799 |
5
Table of Contents
Schedule of investments
Delaware Global Real Estate Opportunities Fund
Number of shares | Value (US $) | |||||||
Common StockD (continued) | ||||||||
United States (continued) | ||||||||
Macerich | 3,471 | $ 199,999 | ||||||
MGM Growth Properties Class A | 12,400 | 346,828 | ||||||
National Retail Properties | 4,397 | 167,262 | ||||||
Park Hotels & Resorts | 13,918 | 400,560 | ||||||
Prologis | 19,115 | 1,240,755 | ||||||
Public Storage | 2,430 | 490,325 | ||||||
Regency Centers | 7,575 | 445,789 | ||||||
Retail Properties of America | 22,404 | 258,542 | ||||||
Rexford Industrial Realty | 14,386 | 439,492 | ||||||
SBA Communications † | 3,995 | 640,119 | ||||||
Simon Property Group | 9,874 | 1,543,701 | ||||||
SL Green Realty | 5,616 | 548,908 | ||||||
STORE Capital | 32,834 | 828,402 | ||||||
Sun Communities | 6,864 | 644,186 | ||||||
Sunstone Hotel Investors | 41,489 | 647,228 | ||||||
UDR | 23,552 | 851,405 | ||||||
Urban Edge Properties | 9,271 | 190,704 | ||||||
Weingarten Realty Investors | 8,072 | 221,738 | ||||||
|
| |||||||
25,669,732 | ||||||||
|
| |||||||
Total Common Stock (cost $48,119,651) | 48,524,031 | |||||||
|
| |||||||
Principal amount° | ||||||||
Short-Term Investments – 2.13% | ||||||||
Discount Notes – 1.00%≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.00% 5/1/18 | 154,562 | 154,562 | ||||||
1.579% 5/4/18 | 71,279 | 71,269 | ||||||
1.62% 5/2/18 | 272,504 | 272,491 | ||||||
|
| |||||||
Repurchase Agreements – 1.13% | 498,322 | |||||||
|
| |||||||
Bank of America Merrill Lynch | ||||||||
1.64%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $77,284 (collateralized by US government obligations 1.143%–2.625% 4/30/19–5/15/25; market value $78,826) | 77,281 | 77,281 | ||||||
Bank of Montreal | ||||||||
1.57%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $231,852 (collateralized by US government obligations 0.00%–3.625% 5/24/18–1/15/26; market value $236,479) | 231,842 | 231,842 |
6
Table of Contents
Principal amount° | Value (US $) | |||||||
Short-Term Investments (continued) | ||||||||
Repurchase Agreements (continued) | ||||||||
BNP Paribas | ||||||||
1.66%, dated 4/30/18, to be repurchased on 5/1/18, repurchase price $254,063 (collateralized by US government obligations 0.00%–2.875% 9/27/18–11/15/45; market value $259,133) | 254,051 | $ | 254,051 | |||||
|
| |||||||
563,174 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $1,061,497) | 1,061,496 | |||||||
|
| |||||||
Total Value of Securities – 99.59% | $ | 49,585,527 | ||||||
|
|
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in US dollars unless noted that the security is denominated in another currency. |
D | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 3 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
The following foreign currency exchange contracts were outstanding at April 30, 20181:
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||||||||||
BNYM | JPY | 12,449,005 | USD | (114,083 | ) | 5/1/18 | $ | (202 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The 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.”
Summary of abbreviations:
BNYM – BNY Mellon
JPY – Japanese Yen
REIT – Real Estate Investment Trust
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
7
Table of Contents
Statement of assets and liabilities
Delaware Global Real Estate Opportunities Fund | April 30, 2018 |
Assets: | ||||
Investments, at value1 | $ | 49,585,527 | ||
Cash | 326,680 | |||
Foreign currencies, at value2 | 7,473 | |||
Receivable for securities sold | 366,429 | |||
Receivable for fund shares sold | 257,334 | |||
Dividends and interest receivable | 88,059 | |||
Foreign tax reclaims receivable | 57,794 | |||
|
| |||
Total assets | 50,689,296 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 763,890 | |||
Other accrued expenses | 51,620 | |||
Payable for fund shares redeemed | 28,358 | |||
Audit and tax fees payable | 20,036 | |||
Investment management fees payable to affiliates | 15,426 | |||
Custody fees payable | 11,849 | |||
Distribution fees payable to affiliates | 3,064 | |||
BNY Mellon administration fees payable | 2,626 | |||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 787 | |||
Accounting and administration expenses payable to affiliates | 482 | |||
Unrealized depreciation of foreign currency exchange contracts | 202 | |||
Trustees’ fees and expenses payable | 126 | |||
Legal fees payable to affiliates | 123 | |||
Reports and statements to shareholders expenses payable to affiliates | 33 | |||
|
| |||
Total liabilities | 898,622 | |||
|
| |||
Total Net Assets | $ | 49,790,674 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 55,174,666 | ||
Undistributed net investment income | 94,253 | |||
Accumulated net realized loss on investments | (5,883,531 | ) | ||
Net unrealized appreciation of investments | 404,713 | |||
Net unrealized appreciation of foreign currencies | 775 | |||
Net unrealized depreciation of foreign currency exchange contracts | (202 | ) | ||
|
| |||
Total Net Assets | $ | 49,790,674 | ||
|
|
8
Table of Contents
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 6,295,337 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 849,468 | |||
Net asset value per share | $ | 7.41 | ||
Sales charge | 5.75 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 7.86 | ||
Class C: | ||||
Net assets | $ | 2,029,359 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 274,216 | |||
Net asset value per share | $ | 7.40 | ||
Class R: | ||||
Net assets | $ | 117,501 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 15,868 | |||
Net asset value per share | $ | 7.40 | ||
Institutional Class: | ||||
Net assets | $ | 41,348,477 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 5,584,562 | |||
Net asset value per share | $ | 7.40 | ||
| ||||
1Investments, at cost | $ | 49,181,148 | ||
2Foreign currencies, at cost | 7,873 |
See accompanying notes, which are an integral part of the financial statements.
9
Table of Contents
Delaware Global Real Estate Opportunities Fund | Six months ended April 30, 2018 |
Investment Income: | ||||
Dividends | $ | 951,612 | ||
Foreign tax withheld | (21,180 | ) | ||
|
| |||
930,432 | ||||
|
| |||
Expenses: | ||||
Management fees | 271,288 | |||
Distribution expenses – Class A | 8,132 | |||
Distribution expenses – Class C | 11,576 | |||
Distribution expenses – Class R | 333 | |||
Registration fees | 43,706 | |||
Dividend disbursing and transfer agent fees and expenses | 32,308 | |||
Audit and tax fees | 21,095 | |||
Custodian fees | 20,655 | |||
Accounting and administration expenses | 19,297 | |||
Reports and statements to shareholders expenses | 17,642 | |||
Legal fees | 1,967 | |||
Trustee’s fees and expenses | 1,328 | |||
Other | 8,288 | |||
|
| |||
457,615 | ||||
Less expense waived | (121,525 | ) | ||
Less expenses paid indirectly | (64 | ) | ||
|
| |||
Total operating expenses | 336,026 | |||
|
| |||
Net Investment Income | 594,406 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (255,374 | ) | ||
Foreign currencies | (10,817 | ) | ||
Foreign currency exchange contracts | 5,105 | |||
|
| |||
Net realized loss | (261,086 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | 63,997 | |||
Foreign currencies | 939 | |||
Foreign currency exchange contracts | (23 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | 64,913 | |||
|
| |||
Net Realized and Unrealized Loss | (196,173 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 398,233 | ||
|
|
See accompanying notes, which are an integral part of the financial statements.
10
Table of Contents
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Table of Contents
Statements of changes in net assets
Delaware Global Real Estate Opportunities Fund
Six months ended 4/30/18 (Unaudited) | Year ended 10/31/17 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 594,406 | $ | 923,260 | ||||
Net realized loss | (261,086 | ) | (119,736 | ) | ||||
Net change in unrealized appreciation | 64,913 | 2,442,774 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 398,233 | 3,246,298 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Class A | (76,185 | ) | (565,264 | ) | ||||
Class C | (18,521 | ) | (51,576 | ) | ||||
Class R | (1,342 | ) | (4,563 | ) | ||||
Institutional Class | (589,145 | ) | (1,200,930 | ) | ||||
|
|
|
| |||||
(685,193 | ) | (1,822,333 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 655,558 | 2,914,901 | ||||||
Class C | 152,395 | 398,458 | ||||||
Class R | 18,436 | 32,278 | ||||||
Institutional Class | 11,755,067 | 46,334,816 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 73,054 | 542,235 | ||||||
Class C | 18,178 | 49,206 | ||||||
Class R | 1,342 | 4,563 | ||||||
Institutional Class | 499,504 | 916,836 | ||||||
|
|
|
| |||||
13,173,534 | 51,193,293 | |||||||
|
|
|
|
12
Table of Contents
Six months ended 4/30/18 (Unaudited) | Year ended 10/31/17 | |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (1,058,346 | ) | $ | (25,368,284 | ) | ||
Class C | (593,567 | ) | (867,806 | ) | ||||
Class R | (38,249 | ) | (103,222 | ) | ||||
Institutional Class | (20,917,480 | ) | (33,470,957 | ) | ||||
|
|
|
| |||||
(22,607,642 | ) | (59,810,269 | ) | |||||
|
|
|
| |||||
Decrease in net assets derived from capital share transactions | (9,434,108 | ) | (8,616,976 | ) | ||||
|
|
|
| |||||
Net Decrease in Net Assets | (9,721,068 | ) | (7,193,011 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 59,511,742 | 66,704,753 | ||||||
|
|
|
| |||||
End of period | $ | 49,790,674 | $ | 59,511,742 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 94,253 | $ | 185,040 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
13
Table of Contents
Delaware Global Real Estate Opportunities 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 |
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 waived4 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived4 |
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 all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
14
Table of Contents
Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||||||
$ | 7.44 | $ | 7.31 | $ | 7.22 | $ | 7.20 | $ | 6.65 | $ | 6.06 | |||||||||||||||||||||||
0.07 | 0.09 | 0.07 | 0.08 | 0.12 | 0.08 | |||||||||||||||||||||||||||||
(0.01 | ) | 0.24 | 0.09 | 0.07 | 0.64 | 0.70 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.06 | 0.33 | 0.16 | 0.15 | 0.76 | 0.78 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.09 | ) | (0.20 | ) | (0.07 | ) | (0.13 | ) | (0.21 | ) | (0.19 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.09 | ) | (0.20 | ) | (0.07 | ) | (0.13 | ) | (0.21 | ) | (0.19 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 7.41 | $ | 7.44 | $ | 7.31 | $ | 7.22 | $ | 7.20 | $ | 6.65 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.76% | 4.69% | 2.20% | 2.16% | 11.80% | 13.11% | |||||||||||||||||||||||||||||
$ | 6,295 | $ | 6,654 | $ | 28,247 | $ | 8,481 | $ | 6,571 | $ | 4,340 | |||||||||||||||||||||||
1.40% | 1.40% | 1.40% | 1.41% | 1.40% | 1.40% | |||||||||||||||||||||||||||||
1.85% | 1.71% | 1.72% | 1.73% | 1.78% | 1.66% | |||||||||||||||||||||||||||||
1.99% | 1.28% | 0.98% | 1.07% | 1.72% | 1.21% | |||||||||||||||||||||||||||||
1.55% | 0.97% | 0.66% | 0.75% | 1.34% | 0.95% | |||||||||||||||||||||||||||||
102% | 217% | 193% | 116% | 107% | 112% |
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 income2 |
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 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 waived4 |
Ratio of net investment income to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived4 |
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 all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
16
Table of Contents
Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||||||
$ 7.43 | $ | 7.28 | $ | 7.21 | $ | 7.19 | $ | 6.64 | $ | 6.06 | ||||||||||||||||||||||||
0.05 | 0.04 | 0.02 | 0.02 | 0.07 | 0.03 | |||||||||||||||||||||||||||||
(0.02 | ) | 0.25 | 0.07 | 0.08 | 0.63 | 0.71 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
0.03 | 0.29 | 0.09 | 0.10 | 0.70 | 0.74 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
(0.06) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.15 | ) | (0.16 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
(0.06) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.15 | ) | (0.16 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
$ 7.40 | $ | 7.43 | $ | 7.28 | $ | 7.21 | $ | 7.19 | $ | 6.64 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
0.37% | 4.05% | 1.24% | 1.41% | 11.06% | 12.23% | |||||||||||||||||||||||||||||
$ 2,029 | $ | 2,469 | $ | 2,838 | $ | 2,850 | $ | 2,119 | $ | 572 | ||||||||||||||||||||||||
2.15% | 2.15% | 2.15% | 2.16% | 2.15% | 2.15% | |||||||||||||||||||||||||||||
2.60% | 2.46% | 2.47% | 2.48% | 2.53% | 2.41% | |||||||||||||||||||||||||||||
1.24% | 0.53% | 0.23% | 0.32% | 0.97% | 0.46% | |||||||||||||||||||||||||||||
0.80% | 0.22% | (0.09% | ) | 0.00% | 0.59% | 0.20% | ||||||||||||||||||||||||||||
102% | 217% | 193% | 116% | 107% | 112% |
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 income2 |
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 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 waived4 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived4 |
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 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. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
18
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||||||
4/30/181 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||||||
$ | 7.43 | $ | 7.30 | $ | 7.22 | $ | 7.19 | $ | 6.64 | $ | 6.06 | |||||||||||||||||||||||
0.06 | 0.08 | 0.05 | 0.06 | 0.10 | 0.06 | |||||||||||||||||||||||||||||
(0.01 | ) | 0.23 | 0.08 | 0.09 | 0.64 | 0.70 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.05 | 0.31 | 0.13 | 0.15 | 0.74 | 0.76 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.08 | ) | (0.18 | ) | (0.05 | ) | (0.12 | ) | (0.19 | ) | (0.18 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.08 | ) | (0.18 | ) | (0.05 | ) | (0.12 | ) | (0.19 | ) | (0.18 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 7.40 | $ | 7.43 | $ | 7.30 | $ | 7.22 | $ | 7.19 | $ | 6.64 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.47% | 4.42% | 1.84% | 2.03% | 11.48% | 12.87% | |||||||||||||||||||||||||||||
$ | 118 | $ | 138 | $ | 201 | $ | 286 | $ | 121 | $ | 24 | |||||||||||||||||||||||
1.65% | 1.65% | 1.65% | 1.66% | 1.65% | 1.65% | |||||||||||||||||||||||||||||
2.10% | 1.96% | 1.97% | 1.98% | 2.03% | 2.00% | |||||||||||||||||||||||||||||
1.74% | 1.03% | 0.73% | 0.82% | 1.47% | 0.96% | |||||||||||||||||||||||||||||
1.30% | 0.72% | 0.41% | 0.50% | 1.09% | 0.61% | |||||||||||||||||||||||||||||
102% | 217% | 193% | 116% | 107% | 112% |
19
Table of Contents
Financial highlights
Delaware Global Real Estate Opportunities 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 |
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 waived4 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived4 |
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 all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | Expenses paid indirectly were not material and had no impact on the ratios disclosed. Expenses paid indirectly for the six months ended April 30, 2018 are reflected on the “Statement of operations.” |
See accompanying notes, which are an integral part of the financial statements.
20
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Six months ended 4/30/181 | Year ended | |||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | 10/31/13 | |||||||||||||||||||||||||||||
$ | 7.44 | $ | 7.30 | $ | 7.22 | $ | 7.19 | $ | 6.65 | $ | 6.06 | |||||||||||||||||||||||
0.08 | 0.11 | 0.09 | 0.10 | 0.13 | 0.09 | |||||||||||||||||||||||||||||
(0.02 | ) | 0.25 | 0.08 | 0.08 | 0.63 | 0.71 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.06 | 0.36 | 0.17 | 0.18 | 0.76 | 0.80 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.10 | ) | (0.22 | ) | (0.09 | ) | (0.15 | ) | (0.22 | ) | (0.21 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
(0.10 | ) | (0.22 | ) | (0.09 | ) | (0.15 | ) | (0.22 | ) | (0.21 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 7.40 | $ | 7.44 | $ | 7.30 | $ | 7.22 | $ | 7.19 | $ | 6.65 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
0.75% | 5.11% | 2.32% | 2.55% | 11.93% | 13.58% | |||||||||||||||||||||||||||||
$41,349 | $ | 50,251 | $ | 35,419 | $ | 26,182 | $ | 44,999 | $ | 49,291 | ||||||||||||||||||||||||
1.15% | 1.15% | 1.15% | 1.16% | 1.15% | 1.15% | |||||||||||||||||||||||||||||
1.60% | 1.46% | 1.47% | 1.48% | 1.53% | 1.41% | |||||||||||||||||||||||||||||
2.24% | 1.53% | 1.23% | 1.32% | 1.97% | 1.46% | |||||||||||||||||||||||||||||
1.80% | 1.22% | 0.91% | 1.00% | 1.59% | 1.20% | |||||||||||||||||||||||||||||
102% | 217% | 193% | 116% | 107% | 112% |
21
Table of Contents
Delaware Global Real Estate Opportunities Fund | April 30, 2018 (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) instead of a front-end sales charge 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 US generally accepted accounting principles (US 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. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities are valued based upon valuations provided by an independent pricing service or broker 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. 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. 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-US markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00pm 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
22
Table of Contents
interim. Whenever such a significant event occurs, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing). Restricted securities are valued at fair value using methods approved by the Board.
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 or to be taken on the Fund’s federal income tax returns through the six months ended April 30, 2018 and for all open federal income tax years (Oct. 31, 2015–Oct. 31, 2017), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in other expenses on the “Statement of operations.” During the six months ended April 30, 2018, the Fund did not incur any interest or tax penalties. 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 US 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 30, 2018, 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 US dollars at the exchange rate of such currencies against the US 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.
23
Table of Contents
Notes to financial statements
Delaware Global Real Estate Opportunities Fund
1. Significant Accounting Policies (continued)
Use of Estimates – The Fund is an investment company, whose financial statements are prepared in conformity with US GAAP. Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with US 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 Funds® by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain 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. The financial statements reflect an estimate of the reclassification of the distribution character. 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 receives 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, 2018.
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 $1, 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, 2018, the Fund earned $64 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 Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rate of 0.99% on
24
Table of Contents
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 investment advisory fees and/or pay/reimburse the Fund to the extent necessary to ensure that total annual operating expenses (excluding any distribution and service (12b-1) fees, acquired funds fees and expenses, taxes, interest, short sale and dividend interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, 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, 2017 through April 30, 2018.* 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 daily and paid monthly based on the aggregate daily net assets of the Delaware Funds at the following annual rate: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund in the Delaware Funds then pays its relative portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended April 30, 2018, the Fund was charged $3,022 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of the retail funds within the Delaware 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 Funds on a relative NAV basis. For the six months ended April 30, 2018, the Fund was charged $5,351 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 12b-1 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. The fees are calculated daily and paid monthly. Institutional Class shares pay no 12b-1 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
25
Table of Contents
Notes to financial statements
Delaware Global Real Estate Opportunities Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
April 30, 2018, the Fund was charged $563 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, 2018, DDLP earned $820 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2018, DDLP received gross CDSC commissions of $215 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.
* The aggregate contractual waiver period covering this report is from Nov. 1, 2017, through Feb. 28, 2019.
3. Investments
For the six months ended April 30, 2018, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 54,785,840 | ||
Sales | 60,724,082 |
At April 30, 2018, 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, 2018, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes for the Fund were as follows:
Cost of investments and derivatives | $ | 49,180,814 | ||
|
| |||
Aggregate unrealized appreciation of investments and derivatives | $ | 1,911,452 | ||
Aggregate unrealized depreciation of investments and derivatives | (1,506,739 | ) | ||
|
| |||
Net unrealized appreciation of investments and derivatives | $ | 404,713 | ||
|
|
US 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
26
Table of Contents
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, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | — | $ | 1,564,679 | $— | $ | 1,564,679 | |||||||||
Canada | 861,352 | — | — | 861,352 | ||||||||||||
China/Hong Kong | 616,412 | 3,086,126 | — | 3,702,538 | ||||||||||||
France | 672,316 | 539,470 | — | 1,211,786 | ||||||||||||
Germany | — | 2,391,928 | — | 2,391,928 | ||||||||||||
Ireland | — | 631,382 | — | 631,382 | ||||||||||||
Japan | 1,196,923 | 4,221,576 | — | 5,418,499 | ||||||||||||
Singapore | — | 1,663,581 | — | 1,663,581 | ||||||||||||
Spain | — | 1,427,895 | — | 1,427,895 | ||||||||||||
Sweden | 450,518 | — | — | 450,518 | ||||||||||||
United Kingdom | 1,050,164 | 2,479,977 | — | 3,530,141 | ||||||||||||
United States | 25,669,732 | — | — | 25,669,732 | ||||||||||||
Short-Term Investments | — | 1,061,496 | — | 1,061,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | 30,517,417 | $ | 19,068,110 | $— | $ | 49,585,527 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives:* | ||||||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | (202 | ) | $ | — | $— | $ | (202 | ) |
*Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end.
During the six months ended April 30, 2018, 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 year. 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 based on fair value at the beginning of the reporting period.
28
Table of Contents
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 determined not to provide a reconciliation of Level 3 investments as they were not considered significant to the Fund’s net assets at the beginning, interim, or end of the period. 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 4/30/18 | Year ended 10/31/17 | |||||||
Shares sold: | ||||||||
Class A | 87,818 | 402,298 | ||||||
Class C | 20,383 | 54,479 | ||||||
Class R | 2,530 | 4,387 | ||||||
Institutional Class | 1,571,125 | 6,313,652 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 9,892 | 76,948 | ||||||
Class C | 2,454 | 6,915 | ||||||
Class R | 182 | 642 | ||||||
Institutional Class | 67,794 | 126,749 | ||||||
|
|
|
| |||||
1,762,178 | 6,986,070 | |||||||
|
|
|
| |||||
Shares redeemed: | ||||||||
Class A | (142,382 | ) | (3,451,670 | ) | ||||
Class C | (80,895 | ) | (118,676 | ) | ||||
Class R | (5,336 | ) | (14,054 | ) | ||||
Institutional Class | (2,812,933 | ) | (4,534,337 | ) | ||||
|
|
|
| |||||
(3,041,546 | ) | (8,118,737 | ) | |||||
|
|
|
| |||||
Net decrease | (1,279,368 | ) | (1,132,667 | ) | ||||
|
|
|
|
29
Table of Contents
Notes to financial statements
Delaware Global Real Estate Opportunities Fund
4. Capital Shares (continued)
Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table above and the “Statements of changes in net assets.” For the six months ended April 30, 2018 and year ended Oct. 31, 2017, the Fund had the following exchange transactions:
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||
Class A Shares | Class C Shares | Institutional Class Shares | Value | |||||||||||||
Six months ended 4/30/18 | — | — | — | $ | — | |||||||||||
Year ended 10/31/17 | 522,232 | 449 | 522,728 | 3,802,129 |
5. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), was a participant in a $155,000,000 revolving line of credit 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 0.15%, which was generally allocated across the Participants based on a weighted average of the respective net assets of each Participant. 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. 6, 2017.
On Nov. 6, 2017, the Fund, along with the other Participants, entered into an amendment to the agreement for a $155,000,000 revolving line of credit. 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. 5, 2018.
The Fund had no amount outstanding as of April 30, 2018, or at any time during the six months then ended.
6. Derivatives
US 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 enter into these contracts to fix the US 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 US dollar value of 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
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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, 2018, the Fund used foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
During the six months ended April 30, 2018, the Fund experienced net realized gains or losses attributable to foreign currency holdings, which are disclosed as “Net realized gain (loss) on foreign currency exchange contracts” on the “Statement of operations.”
Fair values of derivative instruments as of April 30, 2018 was as follows:
Statement of Assets and Liabilities Location | Liability Derivatives Fair Value Foreign Currency Exchange Contracts | |
Unrealized depreciation of foreign currency exchange contracts | $(202) |
The effect of derivative instruments on the “Statement of operations” for the six months ended April 30, 2018 was as follows:
Net Realized Gain on: Foreign Currency Exchange Contracts | ||
Currency contracts | $5,105 | |
Net Change in Unrealized Depreciation of: Foreign Currency Exchange Contracts | ||
Currency contracts | $(23) |
Derivatives generally. The table below summarizes the average balance of derivative holdings by the Fund during the six months ended April 30, 2018:
Long Derivative Volume | Short Derivative Volume | |||||||
Foreign currency exchange contracts (average cost) | USD | 159,523 | USD | 183,165 |
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
7. Offsetting
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 in order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk. 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, 2018, 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 | $(202) | — | $(202) |
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 | $(202) | $— | $— | $— | $— | $(202) |
Master Repurchase Agreements
Repurchase agreements are entered into by the Fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral. The liability reflects the Fund’s obligation under bankruptcy law to return the
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excess to the counterparty. As of April 30, 2018, the following table is a summary of the Fund’s repurchase agreements by counterparty which are subject to offset under an MRA:
Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(b) | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 77,281 | $ | (77,281 | ) | $ | — | $ | (77,281 | ) | $ | — | |||||||||||||
Bank of Montreal | 231,842 | (231,842 | ) | — | (231,842 | ) | |||||||||||||||||||
BNP Paribas | 254,051 | (254,051 | ) | — | (254,051 | ) | — | ||||||||||||||||||
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Total | $ | 563,174 | $ | (563,174 | ) | $ | — | $ | (563,174 | ) | $ | — | |||||||||||||
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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.
(b)The value of the related collateral received exceeded the value of the repurchase agreements as of April 30, 2018.
8. Securities Lending
The Fund, along with other funds in the Delaware 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 US securities and foreign securities that are denominated and payable in US 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 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. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each Fund of the Trust is generally invested in 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 US 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
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Notes to financial statements
Delaware Global Real Estate Opportunities Fund
8. Securities Lending (continued)
deposit, time deposits, and other bank obligations; and asset-backed securities. A Fund can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
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 is 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 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, 2018, 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 US. 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 is a nondiversified fund that 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.
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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, 2018, there were no Rule 144A securities held by the Fund.
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 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. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to April 30, 2018, 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 Funds® by Macquarie Philadelphia, PA
Thomas L. Bennett Chairman of the Board Delaware Funds by Macquarie 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 Former 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 Company St. Paul, MN | |||
Affiliated officers | ||||||
David F. Connor Senior Vice President, General Counsel, and Secretary Delaware Funds by Macquarie Philadelphia, PA | Daniel V. Geatens Vice President and Treasurer Delaware Funds by Macquarie Philadelphia, PA | Richard Salus Senior Vice President and Chief Financial Officer Delaware Funds by Macquarie 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 Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
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 delawarefunds.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 delawarefunds.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
Not applicable.
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. 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 | |
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | July 5, 2018 |
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.
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | July 5, 2018 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | July 5, 2018 |