N-CSR 1 delenhanglobaldiv_ncsr.htm CERTIFIED SHAREHOLDER REPORT delenhanglobaldiv_ncsr.htm
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: 811-22050
 
Exact name of registrant as specified in charter:
Delaware Enhanced Global Dividend and Income Fund
 
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: November 30
 
Date of reporting period: November 30, 2010
 

 

Item 1. Reports to Stockholders
 
   
   
   
   
Annual Report
Delaware
Enhanced Global
Dividend and Income
Fund
 
 
  November 30, 2010 
   
 
   
 
 
 
 
 
 
 
The figures in the annual report for Delaware Enhanced Global Dividend and Income Fund represent past results, which are not a guarantee of future results. A rise or fall in interest rates can have a significant impact on bond prices. Funds that invest in bonds can lose their value as interest rates rise.
 
 
 
 
  Closed-end fund
   
 
 
 

 

Table of contents
 
      Portfolio management review 1
     
  Performance summary 4
     
  Security type and country allocations 6
     
  Statement of net assets 8
     
  Statement of operations 23
     
  Statements of changes in net assets 24
     
  Statement of cash flows 25
     
  Financial highlights 26
     
  Notes to financial statements 27
     
  Report of independent registered public accounting firm 34
     
  Other Fund information 35
     
  Board of trustees/directors and officers addendum 39
     
  About the organization 42





Unless otherwise noted, views expressed herein are current as of Nov. 30, 2010, and are subject to change.
 
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
 
Mutual fund advisory services are provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
 
Investments in Delaware Enhanced Global Dividend and Income Fund are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including their subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Fund, the repayment of capital from the Fund, or any particular rate of return.
 
© 2011 Delaware Management Holdings, Inc.
 
All third-party trademarks cited are the property of their respective owners.
 

 

Portfolio management review
 
Delaware Enhanced Global Dividend and Income Fund
December 7, 2010
 
Performance preview (for the year ended Nov. 30, 2010)
Delaware Enhanced Global Dividend and Income Fund @ market price       1-year return       +10.92%
Delaware Enhanced Global Dividend and Income Fund @ NAV   1-year return   +13.13%
Lipper Closed-end Global Funds Average @ market price   1-year return   +13.97%
Lipper Closed-end Global Funds Average @ NAV   1-year return   +9.96%
Past performance does not guarantee future results.
 
For complete, annualized performance for Delaware Enhanced Global Dividend and Income Fund, please see the table on page 4.
 
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
 
Delaware Enhanced Global Dividend and Income Fund returned +13.13% at net asset value and +10.92% at market price (both figures reflect all distributions reinvested) for the fiscal year ended Nov. 30, 2010. Complete annualized performance information for the Fund is shown in the table on page 4.
 
Relatively favorable market results, despite sovereign debt concerns
 
The MSCI ACWI (All Country World Index), a broad measure of equity markets around the world, experienced uneven performance during the fiscal year. Despite its fluctuations, the MSCI ACWI (net) gained 7% for the 12 months ended Nov. 30, 2010, trailing the S&P 500 Index, a measure of the broad stock market in the United States, which rose nearly 10% during the same time frame.
 
Equity-market volatility was precipitated by mounting fears about debt levels in European countries with the biggest financial challenges. The first concerns began in Greece in January 2010, as many investors became worried about the ability of the heavily indebted country to repay its financial obligations. Although the markets resumed their upward momentum in early February, an even steeper decline in global stock prices began in late April. The drop accelerated throughout the rest of the spring, as fears about Greece’s financial situation increased and many investors began to question whether the problems could spread to other economically troubled European nations with outsized debt levels, such as Portugal, Italy, Ireland, and Spain. The European Union and International Monetary Fund eventually came to the Greek government’s rescue, with a 110 billion euro (approximately $140 billion) loan package designed to keep the government afloat while it implements a series of austerity programs.
 
Other factors also dampened global financial markets during this time, including new economic data from the U.S. that seemed to indicate an increased potential for a stalled recovery, and the Chinese government’s efforts to slow the pace of that country’s fast-growing economy.
 
Beginning in early summer 2010, equities bounced back, enjoying very strong gains between early July and early November, as fears about a return to recession in the U.S. eased and confidence in the strength of European banks grew. In the final month of the Fund’s fiscal year, however, financial markets encountered renewed difficulties, with Ireland’s government appearing to be on the brink of bankruptcy. European monetary policy makers implemented emergency rescue measures in an effort to stave off the spread of this “contagion” to other challenged economies in the region.
 
Fixed income assets saw a generally positive backdrop during the fiscal year. Bonds were a key beneficiary of the U.S. Federal Reserve’s efforts to stimulate economic growth by keeping interest rates down. The Fed sought to accomplish this goal through several rounds of quantitative easing, in which the U.S. central bank bought back debt securities in an attempt to generally drive down yields, providing more economic stimulus through lowered cost of credit.
 
Global real estate investment trusts (REITs) also experienced a highly supportive environment during the fiscal year as credit was widely available and grew less expensive as the year went on. REITs often finance new investment and development projects through debt, and when credit is affordable it can provide issuing companies such as REITs with increased financial flexibility. Global
 
Unless otherwise noted, views expressed herein are current as of Nov. 30, 2010, and are subject to change.
 
(continues)       1
 

 

Portfolio management review
 
Delaware Enhanced Global Dividend and Income Fund
 
 
 
REITs rose 17% during the 12-month period ended Nov. 30, 2010, as measured by the FTSE EPRA/NAREIT Developed Index, formerly known as the FTSE EPRA/NAREIT Global Real Estate Index, which tracks the performance of listed real estate companies and REITs worldwide.
 
Meanwhile, low interest rates led to healthy results from high yield bonds, as many investors seemed willing to take on additional credit risk in exchange for higher levels of income. As such, credit spreads narrowed throughout most of the period, extending a trend of the past several years. Credit spreads are the difference between yields of Treasury bonds and riskier securities of varying credit qualities, and they provide a measure of the market’s outlook for riskier assets. The narrowing of credit spreads can generally be taken to signal a more normalized market environment. (Source: Barclays Capital.)
 
Fund positioning: An emphasis on credit
 
The Fund’s primary investment objective is to seek current income, with a secondary objective of capital appreciation. In managing the Fund, we pursue these goals by investing broadly in a range of income-generating securities from around the globe. These include “core” fixed income holdings (such as Treasury and agency securities), as well as investment grade and high yield corporate bonds, convertible bonds, REITs, large-cap value stocks, convertible preferred stocks, international value stocks, emerging market equities, emerging market debt securities, and international currencies.
 
With several notable exceptions, the Fund’s positioning remained relatively stable throughout the past fiscal year. As the Fund’s fiscal year began, the Fund had a modest overweighting in credit-oriented investments. Credit exposure is most obvious in the fixed income asset class, but it also runs through a variety of other asset classes, including REITs and convertible bonds.
 
For much of the Fund’s fiscal year, we felt that credit-oriented investments had good total-return characteristics, and we emphasized high yield bonds in particular. At the end of the Fund’s fiscal year, high yield bonds were the Fund’s largest asset-class weighting at roughly 30% of the portfolio, up from 19% a year earlier. The increased allocation resulted partially from market movements, but also reflected our additional investments in the asset class. We favored these securities for their attractive yields and because we felt that high yield bonds could be supported by increasingly favorable economic conditions. We also maintained a healthy overweighting in higher yielding convertible bonds, which we believed offered solid return potential. To a lesser extent, we looked to REITs for their credit-sensitive nature. Over time, however, as REITs gained in value and as we anticipated less-favorable credit costs going forward, we were more cautious about adding to our holdings in this asset class.
 
At the same time, we generally maintained sizable positions in investments nearer the top of issuers’ capital structures. In light of macroeconomic risks such as European sovereign debt troubles and the potential for higher interest rates down the road, we believed it would be prudent to own defensive income-oriented investments that would be among the first to be paid back if the issuers encountered financial problems. This approach enabled us to capture relatively attractive yields while maintaining what we believed to be greater downside protection by avoiding lower-credit-rated securities.
 
Our emphasis on credit was helpful for the Fund’s performance until late in the fiscal year. When the Fed announced its second round of quantitative easing in October 2010, equity investors generally became more optimistic, and equities began outperforming (source: Bloomberg). The Fund had less exposure to stocks than to high yield and other more credit-sensitive investments. In hindsight, our decision to maintain an overweight position in high yield was too defensive and did not allow the Fund to take full advantage of the equity market rally.
 
In addition, we lowered the Fund’s allocation to emerging-market fixed income securities during the period. After a long upswing in this asset class that benefited Fund performance, our team felt that it offered limited future performance potential and that the risk-reward trade-off had become less favorable.
 
2
 

 

A recent shift toward equities
 
As the Fund’s fiscal year closed, we were gradually seeing more investment opportunities in stocks, so we began to shift the Fund’s portfolio holdings in this direction. The U.S. economy appears to be slowly expanding and credit-oriented securities, following a long run upward, have started to give back some of their gains.
 
In this environment, we began favoring shares of large-cap companies with good cash flow and lower debt levels, because they are less credit sensitive and we believe they could benefit from an improving economy.
 
3
 

 

Performance summary
 
Delaware Enhanced Global Dividend and Income Fund
 
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 523-1918.
 
Fund performance                        
Average annual total returns                        
through Nov. 30, 2010       1 year       3 years       Lifetime
At market price (inception date June 29, 2007)     +10.92%       +6.12%       -0.32%  
At net asset value (inception date June 29, 2007)     +13.13%       +1.37%       -0.29%  

Diversification may not protect against market risk.
 
Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise. They also may be affected by economic conditions that hinder an issuer’s ability to make interest and principal payments on its debt.
 
The Fund may also be subject to prepayment risk, the risk that the principal of a fixed income security that is held by Fund may be prepaid prior to maturity, potentially forcing the Fund to reinvest that money at a lower interest rate.
 
High yielding, noninvestment grade bonds (junk bonds) involve higher risk than investment grade bonds.
 
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivative transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
 
International investments entail risks not ordinarily associated with U.S. investments including fluctuation in currency values, differences in accounting principles, or economic or political instability in other nations. Investing in emerging markets can be riskier than investing in established foreign markets due to increased volatility and lower trading volume.
 
If and when the Fund invests in forward foreign currency contracts or uses other investments to hedge against currency risks, the Fund will be subject to special risks, including counterparty risk.
 
The Fund borrows through a line of credit for purposes of leveraging. Leveraging may result in higher degrees of volatility because the Fund’s net asset value could be subject to fluctuations in short-term interest rates and changes in market value of portfolio securities attributable to leverage.
 
Narrowly focused investments may exhibit higher volatility than investments in multiple industry sectors.
 
REIT investments are subject to many of the risks associated with direct real estate ownership, including changes in economic conditions, credit risk, and interest rate fluctuations.
 
The “Fund performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
 
Returns reflect the reinvestment of all distributions. Dividends and distributions, if any, are assumed, for the purpose of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment policy. Shares of the Fund were initially offered with a sales charge of 4.50%. Performance since inception does not include the sales charge or any other brokerage commission for purchases made since inception. Past performance is not a guarantee of future results.
 
Fund basics
As of Nov. 30, 2010
 
Fund objective
The Fund’s primary investment objective is to seek current income. Capital appreciation is a secondary objective.
 
Total Fund net assets
$160 million
 
Number of holdings
689

Fund start date
June 29, 2007
 
NYSE symbol
DEX

4
 

 

Market price versus net asset value (see notes below)
Nov. 30, 2009, through Nov. 30, 2010
 
 
        Starting value (Nov. 30, 2009)       Ending value (Nov. 30, 2010)

  Delaware Enhanced Global Dividend and Income Fund @ NAV $12.06   $12.32

  Delaware Enhanced Global Dividend and Income Fund @ Market Price $12.29   $12.31

Past performance is not a guarantee of future results.
 
Performance of a $10,000 Investment
Average annual total returns from June 29, 2007 (Fund’s inception) through Nov. 30, 2010
 
 
        Starting value (June 29, 2007)       Ending value (Nov. 30, 2010)

  Delaware Enhanced Global Dividend and Income Fund @ NAV $10,000   $9,900

  Delaware Enhanced Global Dividend and Income Fund @ Market Price $10,000   $9,892


  Lipper Closed-end Global Funds Average @ Market Price $10,000   $9,015


  Lipper Closed-end Global Funds Average @ NAV $10,000   $8,734

The chart assumes $10,000 invested in the Fund on June 29, 2007, and includes the reinvestment of all distributions at market value. The chart assumes $10,000 in the Lipper Closed-end Global Funds Average at market price and at NAV. Performance of the Fund and the Lipper class at market value is based on market performance during the period. Performance of the Fund and Lipper class at NAV is based on the fluctuations in NAV during the period. Delaware Enhanced Global Dividend and Income Fund was initially offered with a sales charge of 4.50%. Performance shown in both charts above does not include fees, the initial sales charge, or any brokerage commissions for purchases. Investments in the Fund are not available at NAV.
 
The Lipper Closed-end Global Funds Average represents the average return of closed-end global mutual funds tracked by Lipper (source: Lipper).
 
Market price is the price an investor would pay for shares of the Fund on the secondary market. NAV is the total value of one fund share, generally equal to a fund’s net assets divided by the number of shares outstanding.
 
Past performance is not a guarantee of future results.
 
5
 

 

Security type and country allocations
 
Delaware Enhanced Global Dividend and Income Fund
As of November 30, 2010
 
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, which may result in the sector designations for one fund being different than another fund’s sector designations.
 
  Percentage
Security Type of Net Assets
Common Stock 48.70 %
Consumer Discretionary 6.97 %
Consumer Staples 4.46 %
Diversified REITs 1.01 %
Energy 4.44 %
Financials 6.25 %
Healthcare 3.93 %
Healthcare REITs 0.12 %
Hotel REIT 0.09 %
Industrial REITs 0.44 %
Industrials 6.55 %
Information Technology 4.20 %
Malls REITs 0.63 %
Manufactured Housing REIT 0.08 %
Materials 2.64 %
Mortgage REITs 0.10 %
Multifamily REIT 0.12 %
Office REITs 0.45 %
Real Estate Management & Development 0.36 %
Shopping Center REITs 0.85 %
Single Tenant REIT 0.15 %
Telecommunications 2.50 %
Utilities 2.36 %
Convertible Preferred Stock 1.28 %
Agency Collateralized Mortgage Obligations 0.28 %
Agency Mortgage-Backed Securities 1.93 %
Commercial Mortgage-Backed Securities 1.85 %
Convertible Bonds 12.16 %
Aerospace & Defense 0.26 %
Automobiles & Automotive Parts 0.24 %
Banking, Finance & Insurance 0.62 %
Basic Materials 1.22 %
Cable, Media & Publishing 0.48 %
Computers & Technology 2.17 %
Energy 0.80 %
Healthcare & Pharmaceuticals 1.98 %
Leisure, Lodging & Entertainment 1.11 %
Real Estate 0.61 %
Telecommunications 2.12 %
Transportation 0.55 %
Corporate Bonds 40.08 %
Banking 1.48 %
Basic Industry 3.54 %
Brokerage 0.47 %
Capital Goods 2.16 %
Consumer Cyclical 3.35 %
Consumer Non-Cyclical 3.23 %
Energy 7.89 %
Finance & Investments 1.87 %
Media 2.95 %
Real Estate 0.84 %
Services Cyclical 2.91 %
Services Non-Cyclical 1.76 %
Technology 0.98 %
Telecommunications 5.20 %
Utilities 1.45 %
Non-Agency Asset-Backed Securities 0.32 %
Non-Agency Collateralized Mortgage Obligations 0.30 %
Senior Secured Loans 0.69 %
Sovereign Debt 4.11 %
Supranational Banks 2.00 %
U.S. Treasury Obligations 0.27 %
Leveraged Non-Recourse Security 0.00 %
Residual Interest Trust Certificate 0.00 %
Exchange-Traded Funds 2.78 %
Preferred Stock 0.43 %
Warrant 0.00 %
Discount Note 5.27 %
Securities Lending Collateral 13.14 %
Total Value of Securities 135.59 %
Obligation to Return Securities Lending Collateral (13.34 %)
Borrowing Under Line of Credit (24.93 %)
Receivables and Other Assets Net of Liabilities 2.68 %
Total Net Assets 100.00 %

6
 

 

  Percentage
Country of Net Assets
Australia 1.22 %
Austria 0.09 %
Barbados 0.19 %
Belgium 0.01 %
Bermuda 2.07 %
Brazil 1.27 %
Canada 2.83 %
Cayman Islands 0.81 %
China/Hong Kong 3.08 %
Colombia 0.67 %
Finland 0.38 %
France 4.90 %
Germany 1.59 %
Indonesia 3.07 %
Ireland 0.15 %
Italy 1.50 %
Japan 2.94 %
Liberia 0.08 %
Luxembourg 3.30 %
Marshall Island 0.49 %
Mexico 0.13 %
Netherlands 1.30 %
Philippines 0.68 %
Qatar 0.51 %
Republic of Korea 0.52 %
Singapore 0.72 %
Supranational 2.00 %
Spain 1.13 %
Sweden 1.27 %
Switzerland 1.33 %
Taiwan 1.13 %
United Kingdom 2.37 %
United States 73.45 %
Total 117.18 %

The percentage of net assets exceeds 100% because the Fund utilizes a line of credit with the Bank of New York Mellon, as described in note 7 in “Note to financial statements.” The Fund utilizes leveraging techniques in an attempt to obtain a higher return for the Fund. There is no assurance that the Fund will achieve its investment objective through the use of such techniques.
 
7
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
November 30, 2010
 
      Number of   Value
                 Shares      (U.S. $)
Common Stock – 48.70%          
Consumer Discretionary – 6.97%          
* Autoliv   6,100   $ 447,862
  Bayerische Motoren Werke   12,442     935,683
  Comcast Class A   26,000     520,000
DIRECTV Class A   1,900     78,907
  Disney (Walt)   14,400     525,744
* Don Quijote   29,600     852,978
  Esprit Holdings   67,832     326,497
  Home Depot   16,400     495,444
* KB HOME   17,000     192,100
  Lowe's   23,600     535,720
  Mattel   21,800     563,312
  McGraw-Hill   14,000     482,860
* PPR   2,979     473,239
* Publicis Groupe   9,292     415,163
  Target   9,300     529,542
* Techtronic Industries   872,500     946,956
  Toyota Motor   28,784     1,115,818
  Vivendi   35,802     871,807
* Yue Yuen Industrial Holdings   243,000     878,157
            11,187,789
Consumer Staples – 4.46%          
  Archer-Daniels-Midland   15,900     460,941
  Aryzta   20,193     855,335
* Chaoda Modern          
            Agriculture Holdings   1,004,000     805,963
  Coca-Cola Amatil   62,675     668,423
  CVS Caremark   16,100     499,100
@ Greggs   86,683     591,927
  Kimberly-Clark   7,900     488,931
  Kraft Foods Class A   16,800     508,200
  Metro   11,888     851,671
  Parmalat   348,409     866,632
* Safeway   24,500     563,255
            7,160,378
Diversified REITs – 1.01%          
* Digital Realty Trust   8,100     425,411
  Duke Realty   8,600     95,718
  Entertainment Properties Trust   8,236     381,327
  Goodman Group   247,237     151,491
  Investors Real Estate Trust   10,260     90,801
  Lexington Reality Trust   28,070     220,350
  Stockland   70,059     246,121
            1,611,219
Energy – 4.44%          
  Anadarko Petroleum   7,900     506,864
  Chevron   6,500     526,305
  CNOOC   392,000     843,652
  ConocoPhillips   8,700     523,479
  Devon Energy   7,700     543,389
  Exxon Mobil   8,300     577,348
  Marathon Oil   14,300     478,621
  National Oilwell Varco   9,500     582,255
  Occidental Petroleum   6,000     529,020
  Petroleo Brasileiro ADR   21,600     632,448
* Total   16,528     802,339
  Williams   25,600     583,936
            7,129,656
Financials – 6.25%          
  Allstate   17,000     494,870
* AXA   29,912     428,386
  Banco Santander   76,993     734,020
  Bank of New York Mellon   18,500     499,315
  BB&T   17,700     410,640
  Comerica   12,600     459,774
* Fifth Street Finance   26,754     308,474
  JPMorgan Chase   12,200     456,036
  Marsh & McLennan   21,400     536,712
* Mitsubishi UFJ Financial Group   165,389     784,244
  Nordea Bank   78,385     782,174
  Solar Capital   43,539     1,022,295
  Standard Chartered   33,719     908,204
  State Street   12,300     531,360
  SunTrust Banks   19,400     453,184
  Travelers   9,600     518,304
  UniCredit   364,400     704,413
            10,032,405
Healthcare – 3.93%          
  Abbott Laboratories   10,300     479,053
*† Alliance HealthCare Services   6,522     24,458
  Baxter International   9,900     480,645
  Bristol-Myers Squibb   19,700     497,228
  Cardinal Health   13,800     491,004
  Johnson & Johnson   8,100     498,555
  Meda Class A   108,017     808,449
  Merck   13,600     468,792
Mylan   1     20
  Novartis   15,998     851,957
  Pfizer   30,244     492,675
  Quest Diagnostics   9,500     468,540
  Sanofi-Aventis   12,322     747,004
            6,308,380
Healthcare REITs – 0.12%          
  Cogdell Spencer   15,000     85,800
  Nationwide Health Properties   2,800     100,940
            186,740
Hotel REIT – 0.09%          
DiamondRock Hospitality   14,282     150,389
            150,389
Industrial REITs – 0.44%          
  Cambridge Industrial Trust   1,170,000     473,951
  DCT Industrial Trust   16,877     83,372
* ING Industrial Fund   307,371     151,605
            708,928

8
 

 

      Number of   Value
                 Shares      (U.S. $)
Common Stock (continued)          
Industrials – 6.55%          
* Alstom   16,360   $ 673,064
  Asahi Glass   69,000     767,267
  Compagnie de Saint-Gobain   13,190     589,886
  Deutsche Post   46,933     758,224
  Finmeccanica   73,715     832,149
Flextronics International   6,400     46,400
  Fluor   9,900     572,517
  General Electric   29,700     470,151
  Honeywell International   11,800     586,578
  ITOCHU   100,398     929,835
  Koninklijke Philips Electronics   12,895     348,685
*† Mobile Mini   2,394     43,260
  Northrop Grumman   8,200     505,776
* Pitney Bowes   19,600     430,024
  Singapore Airlines   55,000     641,803
  Teleperformance   34,196     1,018,636
  Vallourec   8,199     776,627
* Waste Management   14,900     510,325
            10,501,207
Information Technology – 4.20%          
CGI Group Class A   112,398     1,762,891
  HTC   50,450     1,395,574
  Intel   23,100     487,872
  International Business Machines   3,500     495,110
Motorola   60,500     463,430
  Nokia   66,270     612,887
*† Sohu.com   14,300     992,849
  Xerox   45,600     522,576
            6,733,189
Malls REITs – 0.63%          
  General Growth Properties   12,496     202,310
  Simon Property Group   8,264     814,004
            1,016,314
Manufactured Housing REIT – 0.08%          
  Equity Lifestyle Properties   2,300     123,924
            123,924
Materials – 2.64%          
* ArcelorMittal   13,998     441,262
  Dow Chemical   16,200     505,116
  duPont (E.I.) deNemours   11,800     554,482
* Lafarge   11,707     637,236
* Nucor   12,500     471,750
  Rexam   167,200     784,523
* Vale ADR   26,400     836,352
            4,230,721
Mortgage REITs – 0.10%          
  Chimera Investment   12,100     48,400
  Cypress Sharpridge Investments   8,200     111,930
            160,330
Multifamily REITs – 0.12%          
  *Camden Property Trust   3,900     199,173
            199,173
Office REITs – 0.45%          
  Government Properties          
            Income Trust   3,852     98,804
  Mack-Cali Realty   8,300     263,525
  Orix JREIT   17     94,564
* Parkway Properties   3,500     55,615
  SL Green Realty   3,300     215,820
            728,328
Real Estate Management & Development – 0.36%      
  Mitsubishi Estate   10,549     177,814
  Renhe Commercial Holdings   264,000     47,794
* Starwood Property Trust   17,700     353,292
            578,900
Shopping Center REITs – 0.85%          
  Charter Hall Retail REIT   71,117     194,365
  Corio   2,648     152,480
* Kimco Realty   8,157     135,896
* Link REIT   33,000     103,296
  Ramco-Gershenson          
            Properties Trust   13,783     158,505
* Regency Centers   3,900     158,808
* Unibail-Rodamco   1,399     242,947
  Westfield Group   16,989     197,501
= Westfield Retail          
            Trust - Placement Shares   4,123     10,866
            1,354,664
Single Tennant REIT – 0.15%          
* National Retail Properties   9,337     242,855
            242,855
Telecommunications – 2.50%          
  AT&T   18,500     514,115
  Chunghwa Telecom ADR   17,301     417,127
  Frontier Communications   65,000     591,500
GeoEye   500     19,930
  Telefonica   38,494     817,584
* TELUS   14,317     649,949
  Verizon Communications   16,500     528,165
  Vodafone Group   191,777     478,404
            4,016,774
Utilities – 2.36%          
  American Electric Power   13,300     473,480
  Duke Energy   29,100     510,705
  Edison International   14,400     531,936
  National Grid   80,917     714,574
  NorthWestern   3,800     109,478
  Progress Energy   11,400     498,066
  Public Service          
            Enterprise Group   14,700     453,201
  Sempra Energy   10,000     500,900
            3,792,340
Total Common Stock (cost $81,610,437)         78,154,603

(continues)       9
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
 
      Number of   Value
              Shares      (U.S. $)
Convertible Preferred Stock – 1.28%               
Automobiles & Automotive Parts – 0.01%      
* General Motors 4.75%            
            exercise price $39.60,            
            expiration date 12/1/13     186   $ 9,430
              9,430
Banking, Finance & Insurance – 0.20%            
  Aspen Insurance Holdings            
            5.625% exercise price            
            $29.28, expiration            
            date 12/31/49     2,400     132,450
  Citigroup 7.50%            
            exercise price $3.94,            
            expiration date 12/15/12     1,400     175,000
@ Fannie Mae 8.75%            
            exercise price $32.45,            
            expiration date 5/13/11     20,000     9,000
              316,450
Energy – 0.36%            
* Apache 6.00%            
            exercise price $109.12,            
            expiration date 8/1/13     2,200     133,430
  SandRidge Energy 8.50%            
            exercise price $8.01,            
            expiration date 12/31/49     4,440     439,294
              572,724
Healthcare Providers & Pharmaceuticals – 0.17%      
  HealthSouth 6.50%            
            exercise price $30.50,            
            expiration date 12/31/49     310     281,015
              281,015
Telecommunications – 0.54%            
  Lucent Technologies            
            Capital Trust I 7.75%            
            exercise price $24.80,            
            expiration date 3/15/17     1,000     875,000
              875,000
Total Convertible Preferred Stock            
  (cost $3,064,550)           2,054,619
               
      Principal      
      Amount°      
Agency Collateralized Mortgage Obligations – 0.28%      
  Fannie Mae REMICs            
            Series 2001-50 BA            
            7.00% 10/25/41 USD   144,532     162,500
            Series 2003-122            
            4.50% 2/25/28     78,368     81,286
  Freddie Mac REMICs            
            Series 2557 WE            
            5.00% 1/15/18     60,000     65,708
            Series 3131 MC            
            5.50% 4/15/33     40,000     44,153
  Freddie Mac REMICs            
            Series 3173 PE            
            6.00% 4/15/35     65,000     73,045
            Series 3337 PB            
            5.50% 7/15/30     25,000     25,889
Total Agency Collateralized            
  Mortgage Obligations (cost $413,702)     452,581
       
Agency Mortgage-Backed Securities – 1.93%      
Fannie Mae ARM            
            5.066% 3/1/38     33,942     35,923
            5.131% 11/1/35     21,281     22,569
            5.318% 4/1/36     74,391     79,797
            6.002% 10/1/36     18,921     19,994
            6.022% 10/1/36     10,414     11,022
            6.272% 4/1/36     19,315     20,322
  Fannie Mae S.F. 15 yr            
            5.50% 1/1/23     48,248     52,453
  Fannie Mae S.F. 15 yr            
            TBA 4.00% 12/1/25     500,000     520,000
  Fannie Mae S.F. 30 yr            
            5.00% 12/1/36     170,360     181,207
            5.00% 12/1/37     21,171     22,473
            5.00% 2/1/38     16,480     17,489
            6.50% 6/1/36     33,259     37,212
            6.50% 10/1/36     26,436     29,555
            6.50% 12/1/37     39,334     44,403
  Freddie Mac 6.00% 1/1/17     50,814     54,625
Freddie Mac ARM            
            5.681% 7/1/36     16,478     17,316
            5.789% 10/1/36     41,723     44,594
  Freddie Mac S.F. 15 yr            
            5.00% 6/1/18     18,956     20,264
            5.00% 12/1/22     109,300     116,613
  Freddie Mac S.F. 30 yr            
            5.00% 1/1/34     875,089     930,127
            7.00% 11/1/33     50,476     58,223
            9.00% 9/1/30     54,344     65,005
  GNMA I S.F. 30 yr            
            7.50% 12/15/23     104,082     121,041
            7.50% 1/15/32     79,033     91,573
            9.50% 9/15/17     74,207     85,408
            12.00% 5/15/15     43,315     49,582
  GNMA II S.F. 30 yr            
            6.00% 11/20/28     90,526     99,987
            6.50% 2/20/30     218,528     250,038
Total Agency Mortgage-Backed            
  Securities (cost $2,867,864)           3,098,815

10
 

 

      Principal   Value
              Amount°      (U.S. $)
Commercial Mortgage-Backed Securities – 1.85%      
# American Tower Trust 144A               
            Series 2007-1A AFX            
            5.42% 4/15/37 USD   75,000   $ 81,998
  Bank of America Commercial            
            Mortgage Securities            
          Series 2004-3 A5            
            5.595% 6/10/39     50,000     53,923
            Series 2004-5 A3            
            4.561% 11/10/41     475,000     483,520
            Series 2005-1 A3            
            4.877% 11/10/42     47,803     47,984
          Series 2005-6 A4            
            5.369% 9/10/47     180,000     197,102
  Bear Stearns Commercial            
            Mortgage Securities            
          Series 2005-PW10 A4            
            5.405% 12/11/40     100,000     108,541
          Series 2005-T20 A4A            
            5.298% 10/12/42     230,000     250,874
          Series 2006-PW12 A4            
            5.906% 9/11/38     25,000     27,526
          Series 2006-PW14 A4            
            5.405% 12/11/38     60,000     63,535
            Series 2007-PW15 A4            
            5.331% 2/11/44     75,000     78,189
w Commercial Mortgage Pass            
            Through Certificates            
            Series 2005-C6 A5A            
            5.116% 6/10/44     95,000     102,461
  Goldman Sachs Mortgage            
            Securities II            
          Series 2004-GG2 A6            
            5.396% 8/10/38     60,000     64,839
            Series 2005-GG4 A4A            
            4.751% 7/10/39     420,000     448,160
          Series 2006-GG6 A4            
            5.553% 4/10/38     60,000     64,137
Greenwich Capital            
            Commercial Funding            
            Series 2004-GG1 A7            
            5.317% 6/10/36     25,000     27,165
JPMorgan Chase Commercial            
            Mortgage Securities            
            Series 2005-LDP3 A4A            
            4.936% 8/15/42     35,000     37,580
LB-UBS Commercial            
            Mortgage Trust Series            
            2004-C4 A4            
            5.433% 6/15/29     475,000     506,279
Merrill Lynch/Countrywide            
            Commercial Mortgage            
            Trust Series 2007-7 A4            
            5.81% 6/12/50     150,000     154,149
Morgan Stanley Capital I            
            Series 2007-T27 A4            
            5.802% 6/11/42     160,000     174,775
Total Commercial Mortgage-Backed            
  Securities (cost $2,663,201)           2,972,737
               
Convertible Bonds – 12.16%            
Aerospace & Defense – 0.26%            
  AAR 1.75%            
            exercise price $29.43,            
            expiration date 2/1/26     392,000     412,580
              412,580
Automobiles & Automotive Parts – 0.24%      
  ArvinMeritor 4.00%            
            exercise price $26.73,            
            expiration date 2/15/27     380,000     383,325
              383,325
Banking, Finance & Insurance – 0.62%            
  Jefferies Group 3.875%            
            exercise price $38.72            
            expiration date 11/1/29     615,000     631,912
# SVB Financial            
            Group 144A 3.875%            
            exercise price $53.04            
            expiration date 4/15/11     351,000     361,969
              993,881
Basic Materials – 1.22%            
# Owens-Brockway Glass            
            Container 144A 3.00%            
            exercise price $47.47,            
            expiration date 5/28/15     525,000     515,813
  Rayonier TRS Holdings 3.75%            
            exercise price $54.81,            
            expiration date 10/15/12     910,000     996,450
# Sino-Forest 144A 5.00%            
            exercise price $20.29,            
            expiration date 8/1/13     360,000     450,450
              1,962,713
Cable, Media & Publishing – 0.48%            
ϕ General Cable 4.50%            
            exercise price $36.75,            
            expiration date 11/15/29     196,000     224,665
  VeriSign 3.25%            
            exercise price $34.37,            
            expiration date 8/15/37     480,000     547,800
              772,465
Computers & Technology – 2.17%            
* Advanced Micro Devices 6.00%            
            exercise price $28.08,            
            expiration date 5/1/15     321,000     323,006
  Euronet Worldwide 3.50%            
            exercise price $40.48,            
            expiration date 10/15/25     900,000     888,750
* Intel 3.25% exercise price $22.68,            
            expiration date 8/1/39     338,000     412,783
  Linear Technology 3.00%            
            exercise price $45.36            
            expiration date 5/1/27     670,000     696,800
# Rovi 144A 2.625% exercise            
            price $47.36, expiration            
            date 2/15/40     385,000     512,531
  SanDisk 1.00% exercise price            
            $82.35, expiration date 5/15/13     695,000     654,169
              3,488,039

(continues)       11
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
 
              Principal   Value
              Amount°      (U.S. $)
Convertible Bonds (continued)               
Energy – 0.80%            
  Chesapeake Energy 2.25%            
            exercise price $85.89,            
            expiration date 12/15/38 USD   750,000   $ 568,124
* Peabody Energy exercise 4.75%            
            price $58.40, expiration            
            date 12/15/41     245,000     307,169
  Transocean            
          *1.50% exercise price $168.61,            
            expiration date 12/15/37     414,000     400,168
            1.625% exercise price            
            $168.61, expiration            
            date 12/15/37     10,000     9,925
              1,285,386
Healthcare & Pharmaceuticals – 1.98%            
  Alere 3.00%            
            exercise price $43.98,            
            expiration date 5/15/16     613,000     607,636
  Amgen 0.375%            
            exercise price $79.48,            
            expiration date 2/1/13     510,000     510,638
ϕ Hologic 2.00%            
            exercise price $38.59,            
            expiration date 12/15/37     910,000     848,575
  LifePoint Hospitals 3.50%            
            exercise price $51.79,            
            expiration date 5/15/14     675,000     682,594
  Medtronic 1.625%            
            exercise price $54.79            
            expiration date 4/15/13     525,000     528,281
              3,177,724
Leisure, Lodging & Entertainment – 1.11%      
# Gaylord Entertainment            
            144A 3.75%            
            exercise price $27.25,            
            expiration date 10/1/14     310,000     440,588
  International Game            
            Technology 3.25%            
            exercise price $19.97,            
            expiration date 5/1/14     540,000     591,975
  Live Nation            
            Entertainment 2.875%            
            exercise price $27.14,            
            expiration date 7/15/27     837,000     747,022
              1,779,585
Real Estate – 0.61%            
# Digital Realty Trust 144A 5.50%            
            exercise price $42.49,            
            expiration date 4/15/29     380,000     518,462
  Health Care REIT 3.00%            
            exercise price $51.27,            
            expiration date 12/1/29     190,000     205,438
# Lexington Realty            
            Trust 144A 6.00%            
            exercise price $7.09,            
            expiration date 1/15/30     206,000     250,548
              974,448
Telecommunications – 2.12%            
  Alaska Communications            
            Systems Group 5.75%            
            exercise price $12.90,            
            expiration date 3/1/13 USD   795,000     826,800
# Ciena 144A 3.75%            
            exercise price $20.17,            
            expiration date 10/15/18     229,000     233,294
* Leap Wireless            
            International 4.50%            
            exercise price $93.21,            
            expiration date 7/15/14     970,000     880,274
  Level 3 Communications            
            5.25% exercise price            
            $3.98, expiration            
            date 12/15/11     135,000     135,675
          *6.50% exercise price            
            $1.23, expiration            
            date 10/1/16     200,000     219,250
  NII Holdings 3.125% exercise            
            price $118.32, expiration            
            date 6/15/12     700,000     683,375
  SBA Communications 4.00%            
            exercise price $30.38,            
            expiration date 10/1/14     285,000     413,606
              3,392,274
Transportation – 0.55%            
  Bristow Group 3.00%            
            exercise price $77.34,            
            expiration date 6/15/38     317,000     313,434
  DryShips 5.00% exercise            
            price $7.19 expiration            
            date 12/1/14     570,000     569,287
              882,721
Total Convertible Bonds            
  (cost $16,964,466)           19,505,141
               
Corporate Bonds – 40.08%            
Banking – 1.48%            
* Ally Financial            
            8.00% 12/31/18     231,000     235,620
  Bank of America            
          *3.70% 9/1/15     20,000     19,767
            5.625% 7/1/20     5,000     5,036
  City National            
            5.25% 9/15/20     15,000     15,207
Fifth Third Capital Trust IV            
            6.50% 4/15/37     185,000     173,437
  *Goldman Sachs Group            
          *3.70% 8/1/15     5,000     5,113
            5.375% 3/15/20     40,000     41,127
# HBOS Capital Funding 144A            
            6.071% 6/29/49     225,000     198,562
  JPMorgan Chase            
            4.40% 7/22/20     45,000     44,506
  JPMorgan Chase Capital XXV            
            6.80% 10/1/37     55,000     55,135

12
 

 

      Principal   Value
              Amount°      (U.S. $)
Corporate Bonds (continued)               
Banking (continued)            
# Morgan Stanley 144A            
            10.09% 5/3/17 BRL   2,000,000   $ 1,148,105
  PNC Funding            
            5.125% 2/8/20 USD   30,000     32,101
            5.25% 11/15/15     60,000     65,748
            5.625% 2/1/17     35,000     38,029
  Rabobank Nederland            
            2.125% 10/13/15     5,000     4,936
         #144A 11.00% 12/29/49     90,000     117,572
  SVB Financial Group            
            5.375% 9/15/20     25,000     25,017
USB Capital IX            
            6.189% 10/29/49     80,000     63,200
  Wachovia 5.625% 10/15/16     55,000     61,736
Wells Fargo Capital XIII            
            7.70% 12/29/49     5,000     5,188
  Zions Bancorp            
            5.65% 5/15/14     18,000     17,609
              2,372,751
Basic Industry – 3.54%            
  AK Steel 7.625% 5/15/20     246,000     246,615
  Alcoa 6.15% 8/15/20     13,000     13,464
# Algoma Acquisition 144A            
            9.875% 6/15/15     248,000     221,650
*# Appleton Papers 144A            
            10.50% 6/15/15     188,000     185,180
  ArcelorMittal            
            9.85% 6/1/19     20,000     25,357
  Century Aluminum            
            8.00% 5/15/14     177,100     184,848
  Cliffs Natural Resources            
            4.80% 10/1/20     5,000     5,002
            6.25% 10/1/40     15,000     14,364
  Dow Chemical            
            4.25% 11/15/20     5,000     4,897
            8.55% 5/15/19     30,000     37,941
# Drummond 144A            
            9.00% 10/15/14     206,000     218,360
  duPont (E.I.) deNemours            
            3.625% 1/15/21     15,000     15,025
# FMG Resources            
            August 2006 144A            
            7.00% 11/1/15     290,000     295,075
# Georgia-Pacific 144A            
            5.40% 11/1/20     10,000     9,913
# Hexion US/Nova Scotia            
            Finance 144A            
            9.00% 11/15/20     222,000     220,890
*# Huntsman International 144A            
            8.625% 3/15/21     84,000     89,460
* International Coal Group            
            9.125% 4/1/18     189,000     205,065
  International Paper            
            9.375% 5/15/19     50,000     65,389
  Lyondell Chemical            
            11.00% 5/1/18     325,000     363,187
# MacDermid 144A            
            9.50% 4/15/17     288,000     303,120
  Millar Western            
            Forest Products            
            7.75% 11/15/13     198,000     187,110
  Momentive Performance Materials            
            11.50% 12/1/16     291,000     307,004
           #144A 9.00% 1/15/21     171,000     170,573
Noranda Aluminium            
            Acquisition PIK            
            5.193% 5/15/15     242,280     215,629
  Novelis            
            7.25% 2/15/15     60,000     62,025
            11.50% 2/15/15     88,000     108,240
*# PE Paper Escrow GmbH 144A            
            12.00% 8/1/14     120,000     138,208
  Reliance Steel & Aluminum            
            6.85% 11/15/36     24,000     22,951
  Ryerson            
           7.662% 11/1/14     141,000     132,188
            12.00% 11/1/15     166,000     171,188
*# Steel Dynamics 144A            
            7.625% 3/15/20     168,000     180,600
  Teck Resources            
            9.75% 5/15/14     13,000     16,063
@ Vale Overseas            
            6.875% 11/21/36     979,000     1,088,720
* Verso Paper Holdings            
            11.375% 8/1/16     155,000     152,094
              5,677,395
Brokerage – 0.47%            
  E Trade Financial PIK            
            12.50% 11/30/17     566,000     655,145
  Jefferies Group            
            6.25% 1/15/36     5,000     4,545
            6.45% 6/8/27     60,000     58,021
  Lazard Group            
            6.85% 6/15/17     30,000     31,901
            7.125% 5/15/15     4,000     4,404
              754,016
Capital Goods – 2.16%            
  Alion Science &            
            Technology PIK            
            12.00% 11/1/14     146,702     149,636
# Associated Materials 144A            
            9.125% 11/1/17     150,000     153,375
# Berry Plastics 144A            
            9.75% 1/15/21     267,000     256,988
*# Cemex Espana            
            Luxembourg 144A            
            9.25% 5/12/20     279,000     266,445

(continues)       13
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
 
      Principal   Value
              Amount°      (U.S. $)
Corporate Bonds (continued)               
Capital Goods (continued)            
# DAE Aviation Holdings 144A            
            11.25% 8/1/15 USD   184,000   $ 191,360
# Graham Packaging 144A            
            8.25% 10/1/18     185,000     188,700
  Intertape Polymer            
            8.50% 8/1/14     134,000     112,560
  L-3 Communications            
            4.75% 7/15/20     15,000     15,538
* Manitowoc            
            9.50% 2/15/18     215,000     231,125
*# Nortek 144A            
            10.00% 12/1/18     150,000     150,750
* NXP BV/NXP Funding            
            9.50% 10/15/15     265,000     272,288
# Plastipak Holdings 144A            
            10.625% 8/15/19     136,000     151,640
  Ply Gem Industries            
            13.125% 7/15/14     230,000     242,650
# Polypore International 144A            
            7.50% 11/15/17     245,000     249,288
  Pregis 12.375% 10/15/13     254,000     254,000
* RBS Global/Rexnord            
            11.75% 8/1/16     302,000     320,119
# TriMas 144A            
            9.75% 12/15/17     180,000     193,500
# USG 144A 9.75% 8/1/14     63,000     66,465
              3,466,427
Consumer Cyclical – 3.35%            
* #Allison Transmission 144A            
            11.00% 11/1/15     246,000     267,525
* American Axle &            
            Manufacturing            
            7.875% 3/1/17     395,000     393,025
  ArvinMeritor            
            8.125% 9/15/15     246,000     252,765
            10.625% 3/15/18     119,000     134,173
  Beazer Homes USA            
            8.125% 6/15/16     176,000     170,720
          *9.125% 6/15/18     65,000     62,725
          #144A 9.125% 5/15/19     190,000     179,550
  Burlington Coat Factory            
            Investment Holdings            
            14.50% 10/15/14     336,000     351,120
*# CKE Restaurants 144A            
            11.375% 7/15/18     171,000     182,970
w# CVS Pass Through Trust 144A            
            8.353% 7/10/31     78,191     96,694
  Dave & Buster’s            
            11.00% 6/1/18     145,000     157,325
*# Dunkin Finance 144A            
            9.625% 12/1/18     262,000     264,948
  Express Finance            
            8.75% 3/1/18     93,000     99,045
* Ford Motor            
            7.45% 7/16/31     385,000     415,800
  Ford Motor Credit            
            12.00% 5/15/15     195,000     241,776
* Goodyear Tire & Rubber            
            8.25% 8/15/20     90,000     90,900
  Interface            
            9.50% 2/1/14     20,000     20,650
            11.375% 11/1/13     52,000     64,090
          #144A 7.625% 12/1/18     175,000     179,375
  K Hovnanian Enterprises            
            6.25% 1/15/15     148,000     109,150
            7.50% 5/15/16     97,000     65,960
  Landry’s Restaurants            
            11.625% 12/1/15     94,000     100,110
# M/I Homes 144A            
            8.625% 11/15/18     421,000     421,525
  Norcraft Finance            
            10.50% 12/15/15     151,000     160,815
  Norcraft Holdings            
            9.75% 9/1/12     140,000     139,650
* OSI Restaurant Partners            
            10.00% 6/15/15     189,000     195,615
  Quiksilver            
            6.875% 4/15/15     250,000     238,750
* Standard Pacific            
            10.75% 9/15/16     119,000     136,255
  Susser Holdings & Finance            
            8.50% 5/15/16     174,000     185,310
              5,378,316
Consumer Non-Cyclical – 3.23%            
  Alere 9.00% 5/15/16     201,000     206,025
  Alliance One International            
            10.00% 7/15/16     265,000     278,250
  Anheuser-Busch            
            InBev Worldwide            
          *5.00% 4/15/20     5,000     5,475
          #144A 5.375% 11/15/14     45,000     50,366
  Baxter International            
            4.50% 8/15/19     35,000     38,111
# Brambles USA 144A            
            3.95% 4/1/15     10,000     10,368
            5.35% 4/1/20     20,000     21,103
  Celgene 3.95% 10/15/20     15,000     14,920
  Cott Beverages            
            8.375% 11/15/17     132,000     140,910
  Covidien International Finance            
            4.20% 6/15/20     20,000     20,846
* Dean Foods 7.00% 6/1/16     364,000     335,790
# Delhaize Group 144A            
            5.70% 10/1/40     17,000     16,818
  Diversey Holdings            
            10.50% 5/15/20     337,643     389,556
  Dole Food 13.875% 3/15/14     91,000     110,793
  Iron Mountain 8.375% 8/15/21     140,000     154,000
  Kraft Foods 5.375% 2/10/20     10,000     11,158

14
 

 

      Principal   Value
              Amount°      (U.S. $)
Corporate Bonds (continued)               
Consumer Non-Cyclical (continued)            
# Lantheus Medical Imaging 144A            
            9.75% 5/15/17 USD   201,000   $ 209,040
  LVB Acquisition            
            11.625% 10/15/17     194,000     214,855
  Medco Health Solutions            
            4.125% 9/15/20     20,000     20,079
            7.125% 3/15/18     10,000     12,186
# Mylan 144A            
            6.00% 11/15/18     250,000     244,375
# NBTY 144A 9.00% 10/1/18     263,000     277,465
# Novasep Holding 144A            
            9.75% 12/15/16     170,000     116,450
  Pfizer 6.20% 3/15/19     15,000     18,257
# PHH 144A 9.25% 3/1/16     186,000     191,580
  Pinnacle Foods Finance            
            10.625% 4/1/17     180,000     192,375
# Quintiles Transnational            
            PIK 144A            
            9.50% 12/30/14     106,000     107,855
# Reynolds Group Issuer 144A            
            9.00% 4/15/19     180,000     184,050
# ServiceMaster PIK 144A            
            10.75% 7/15/15     189,000     203,648
* Smithfield Foods            
            7.75% 7/1/17     154,000     156,310
* Supervalu 8.00% 5/1/16     255,000     251,813
  Tops Holdings/Markets            
            10.125% 10/15/15     131,000     140,170
# Viking Acquisition 144A            
            9.25% 11/1/18     290,000     290,725
# Viskase 144A 9.875%            
            1/15/18     228,000     237,120
# Woolworths 144A            
            4.00% 9/22/20     10,000     10,064
  Yale University            
            2.90% 10/15/14     45,000     47,361
* Yankee Acquisition            
            9.75% 2/15/17     210,000     218,400
  Zimmer Holdings            
            4.625% 11/30/19     30,000     31,905
              5,180,572
Energy – 7.89%            
# American Petroleum            
            Tankers 144A            
            10.25% 5/1/15     296,000     305,620
  Anadarko Petroleum            
            5.95% 9/15/16     20,000     21,367
  Antero Resources Finance            
            9.375% 12/1/17     156,000     161,460
  Aquilex Holdings            
            11.125% 12/15/16     178,000     179,780
* Chaparral Energy            
            8.50% 12/1/15     99,000     98,258
* Chesapeake Energy            
            6.50% 8/15/17     135,000     136,688
            9.50% 2/15/15     146,000     164,250
  Complete Production Services            
            8.00% 12/15/16     174,000     179,220
  Copano Energy            
            7.75% 6/1/18     169,000     169,845
* Crosstex Energy/Finance            
            8.875% 2/15/18     175,000     183,313
  Ecopetrol            
            7.625% 7/23/19     900,000     1,077,749
  El Paso            
            6.875% 6/15/14     44,000     47,578
            7.00% 6/15/17     205,000     217,022
  El Paso Pipeline            
            Partners Operating            
            4.10% 11/15/15     10,000     10,089
Enbridge Energy Partners            
            8.05% 10/1/37     20,000     21,011
  Energy Transfer Partners            
            9.70% 3/15/19     25,000     32,668
  Enterprise Products Operating            
          7.034% 1/15/68     35,000     36,319
            9.75% 1/31/14     45,000     54,866
  EOG Resources            
            4.10% 2/1/21     25,000     25,061
# Gazprom 144A            
            8.625% 4/28/34     1,000,000     1,180,299
  Global Geophysical Services            
            10.50% 5/1/17     95,000     94,525
  Headwaters            
            11.375% 11/1/14     194,000     209,763
# Helix Energy Solutions            
            Group 144A            
            9.50% 1/15/16     246,000     257,070
*# Hercules Offshore 144A            
            10.50% 10/15/17     187,000     149,600
# Hilcorp Energy I            
            144A 8.00% 2/15/20     226,000     237,865
  Holly 9.875% 6/15/17     171,000     186,818
* Key Energy Services            
            8.375% 12/1/14     321,000     341,063
  Kinder Morgan            
            Energy Partners            
            5.30% 9/15/20     10,000     10,655
            6.55% 9/15/40     5,000     5,232
            9.00% 2/1/19     20,000     25,854
# Linn Energy Finance 144A            
            8.625% 4/15/20     201,000     214,065
  Lukoil International Finance            
            6.356% 6/7/17     1,000,000     1,057,499
# Midcontinent Express            
            Pipeline 144A            
            5.45% 9/15/14     25,000     27,048

(continues)       15
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
 
             Principal       Value
    Amount°   (U.S. $)
Corporate Bonds (continued)            
Energy (continued)            
# Murray Energy 144A            
            10.25% 10/15/15 USD       230,000   $ 235,750
  Nexen 7.50% 7/30/39     20,000     24,051
*# NFR Energy/Finance 144A            
            9.75% 2/15/17     224,000     222,320
  Noble Energy            
            8.25% 3/1/19     20,000     25,861
  OPTI Canada            
            7.875% 12/15/14     334,000     231,295
            8.25% 12/15/14     121,000     84,700
          #144A 9.00% 12/15/12     200,000     200,000
* Pemex Project Funding            
            Master Trust            
            6.625% 6/15/35     1,000,000     1,049,908
  Petrohawk Energy            
            7.875% 6/1/15     198,000     204,930
  Petroleum Development            
            12.00% 2/15/18     217,000     244,125
  Pioneer Drilling            
            9.875% 3/15/18     106,000     112,360
* Plains All American            
            Pipeline 8.75% 5/1/19     15,000     19,162
  Pride International            
            6.875% 8/15/20     30,000     31,950
  Quicksilver Resources            
            7.125% 4/1/16     190,000     184,300
# SandRidge Energy 144A            
            9.875% 5/15/16     249,000     258,960
# Semco Energy 144A            
            5.15% 4/21/20     30,000     32,142
  TNK-BP Finance            
            7.875% 3/13/18     2,000,000     2,229,999
  Total Capital            
            2.30% 3/15/16     35,000     34,847
TransCanada Pipelines            
            6.35% 5/15/67     35,000     34,613
  Transocean            
            6.50% 11/15/20     10,000     10,910
  Weatherford            
            International Bermuda            
            5.125% 9/15/20     10,000     10,184
            6.75% 9/15/40     15,000     15,703
            9.625% 3/1/19     10,000     12,908
# Woodside Finance 144A            
            4.50% 11/10/14     20,000     21,391
            8.125% 3/1/14     15,000     17,522
              12,669,411
Finance & Investments – 1.87%            
American International Group I            
            8.175% 5/15/58     270,000     277,425
  Cardtronics 8.25% 9/1/18     84,000     88,200
Chubb 6.375% 3/29/67     15,000     15,750
  General Electric Capital            
            6.00% 8/7/19     105,000     116,235
Genworth Financial            
            6.15% 11/15/66     336,000     258,720
# Icahn Enterprises Finance            
            144A 8.00% 1/15/18     100,000     99,250
# ILFC E-Capital Trust II            
            144A 6.25% 12/21/65     355,000     279,119
# Liberty Mutual Group            
            144A 7.00% 3/15/37     355,000     322,142
  MetLife 6.40% 12/15/36     100,000     95,500
  Nuveen Investments            
            10.50% 11/15/15     773,000     773,966
# Pinafore 144A            
            9.00% 10/1/18     376,000     398,560
  Prudential Financial            
            3.875% 1/14/15     35,000     36,796
XL Capital            
            6.50% 12/31/49     280,000     241,500
              3,003,163
Media – 2.95%            
# Affinion Group 144A            
            7.875% 12/15/18     352,000     326,480
  Cablevision Systems            
            8.00% 4/15/20     19,000     20,473
            8.625% 9/15/17     91,000     99,418
# CCO Holdings Capital 144A            
            7.875% 4/30/18     48,000     49,920
          *8.125% 4/30/20     60,000     63,300
# Charter Communications            
            Operating 144A            
            10.875% 9/15/14     98,000     109,760
# Columbus International            
            144A 11.50% 11/20/14     270,000     299,700
  Comcast 5.875% 2/15/18     15,000     17,096
# COX Communications            
            144A 6.25% 6/1/18     15,000     17,260
  DIRECTV Holdings/Financing            
            4.60% 2/15/21     20,000     20,112
            7.625% 5/15/16     65,000     72,557
# Entravision Communications            
            144A 8.75% 8/1/17     350,000     367,499
  GXS Worldwide            
            9.75% 6/15/15     237,000     235,223
# inVentiv Health 144A            
            10.00% 8/15/18     210,000     206,850
  MDC Partners            
            11.00% 11/1/16     112,000     125,440
# NBC Universal 144A            
            2.875% 4/1/16     10,000     9,967
            4.375% 4/1/21     60,000     60,344
# Nexstar Broadcasting            
            144A 8.875% 4/15/17     200,000     209,500
  Nielsen Finance            
            11.50% 5/1/16     50,000     57,250
            11.625% 2/1/14     97,000     111,065
          #144A 7.75% 10/15/18     186,000     190,185

16
 

 

             Principal   Value
    Amount°   (U.S. $)
Corporate Bonds (continued)            
Media (continued)            
# Sinclair Television Group            
            144A 9.25% 11/1/17 USD       147,000       $ 159,863
# Sitel Finance 144A            
            11.50% 4/1/18     207,000     176,985
  Symantec 4.20% 9/15/20     5,000     4,781
  Terremark Worldwide            
            12.00% 6/15/17     185,000     209,975
  Time Warner Cable            
            4.125% 2/15/21     15,000     14,639
            8.25% 4/1/19     20,000     25,495
# Univision Communications            
            144A 7.875% 11/1/20     177,000     181,868
# UPC Holding 144A            
            9.875% 4/15/18     120,000     129,600
 *# Visant 144A            
            10.00% 10/1/17     120,000     124,200
# Vivendi 144A            
            6.625% 4/4/18     25,000     28,758
# XM Satellite Radio 144A            
            7.625% 11/1/18     360,000     359,999
            13.00% 8/1/13     553,000     649,774
              4,735,336
Real Estate – 0.84%            
  Developers Diversified Realty            
            7.50% 4/1/17     5,000     5,619
          *7.875% 9/1/20     20,000     22,959
  Digital Realty Trust            
            5.875% 2/1/20     10,000     10,524
* Felcor Lodging            
            10.00% 10/1/14     195,000     216,694
  Host Marriott            
            6.375% 3/15/15     245,000     250,513
  Liberty Property            
            4.75% 10/1/20     5,000     5,124
# Qatari Diar Finance 144A            
            5.00% 7/21/20     800,000     817,444
* Regency Centers            
            5.875% 6/15/17     20,000     21,992
              1,350,869
Services Cyclical – 2.91%            
  ARAMARK 8.50% 2/1/15     150,000     156,000
# Ashtead Capital 144A            
            9.00% 8/15/16     130,000     136,175
  Burlington Northern Santa Fe            
            3.60% 9/1/20     5,000     4,994
            4.70% 10/1/19     30,000     32,487
            5.65% 5/1/17     5,000     5,717
  Canadian Pacific            
            4.45% 3/15/23     20,000     20,169
# Delta Air Lines 144A            
            12.25% 3/15/15     193,000     219,055
# Equinox Holdings 144A            
            9.50% 2/1/16     221,000     231,498
# ERAC USA Finance 144A            
            5.25% 10/1/20     40,000     42,335
* General Maritime            
            12.00% 11/15/17     214,000     215,070
* Harrah’s Operating            
            10.00% 12/15/18     457,000     388,450
# Icon Health & Fitness 144A            
            11.875% 10/15/16     108,000     107,730
  Kansas City            
            Southern de Mexico            
            8.00% 2/1/18     187,000     201,960
  Kansas City            
            Southern Railway            
            13.00% 12/15/13     2,000     2,410
*# Marina District Finance            
            144A 9.875% 8/15/18     268,000     257,950
*# MCE Finance 144A            
            10.25% 5/15/18     170,000     192,950
  MGM MIRAGE            
          *7.50% 6/1/16     29,000     25,593
            11.125% 11/15/17     2,000     2,270
          *11.375% 3/1/18     543,000     562,005
            13.00% 11/15/13     105,000     123,900
* Mohegan Tribal            
            Gaming Authority            
            6.875% 2/15/15     61,000     41,175
            7.125% 8/15/14     145,000     101,500
  NCL            
            11.75% 11/15/16     200,000     227,500
          #144A 9.50% 11/15/18     183,000     187,346
* Peninsula Gaming            
            10.75% 8/15/17     228,000     246,810
* Pinnacle Entertainment            
            8.75% 5/15/20     198,000     198,743
# Pokagon Gaming            
            Authority 144A            
            10.375% 6/15/14     10,000     10,425
  Royal Caribbean Cruises            
            6.875% 12/1/13     125,000     133,750
* RSC Equipment Rental            
            10.25% 11/15/19     5,000     5,556
# Shingle Springs Tribal            
            Gaming Authority            
            144A 9.375% 6/15/15     242,000     148,830
*# Swift Transportation 144A            
            12.50% 5/15/17     96,000     104,160
# United Air Lines 144A            
            12.00% 11/1/13     292,000     325,580
  Wyndham Worldwide            
            5.75% 2/1/18     5,000     5,160
              4,665,253
Services Non-Cyclical – 1.76%            
# Accellent 144A            
            10.00% 11/1/17     115,000     107,813
  Allied Waste North America            
            6.875% 6/1/17     40,000     44,409
            7.125% 5/15/16     10,000     10,624

(continues)       17
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
 
             Principal   Value
    Amount°   (U.S. $)
Corporate Bonds (continued)            
Services Non-Cyclical (continued)            
  Amgen 3.45% 10/1/20 USD       25,000       $ 24,660
  BioScrip 10.25% 10/1/15     196,000     201,635
  CareFusion            
            6.375% 8/1/19     65,000     76,124
  Casella Waste Systems            
            9.75% 2/1/13     387,000     392,804
  Community Health Systems            
            8.875% 7/15/15     135,000     141,581
# DJO Finance 144A            
            9.75% 10/15/17     239,000     240,793
  Genzyme            
            3.625% 6/15/15     100,000     105,078
            5.00% 6/15/20     20,000     21,879
  HCA 9.25% 11/15/16     185,000     198,413
  Hospira 6.40% 5/15/15     95,000     110,141
  Life Technologies            
            6.00% 3/1/20     35,000     38,890
# Multiplan 144A            
            9.875% 9/1/18     198,000     210,870
# Radiation Therapy Services            
            144A 9.875% 4/15/17     216,000     212,220
# Radnet Management            
            144A 10.375% 4/1/18     174,000     160,950
# Roche Holdings 144A            
            6.00% 3/1/19     20,000     23,925
* Select Medical            
            7.625% 2/1/15     272,000     272,000
US Oncology Holdings PIK            
            6.737% 3/15/12     237,000     238,185
              2,832,994
Technology – 0.98%            
# Allen Systems Group 144A            
            10.50% 11/15/16     285,000     285,000
# Aspect Software 144A            
            10.625% 5/15/17     194,000     196,910
  First Data 9.875% 9/24/15     186,000     159,030
  Hewlett-Packard            
            3.75% 12/1/20     20,000     20,108
# International Wire Group            
            144A 9.75% 4/15/15     155,000     161,394
  Magnachip Semiconductor            
            Finance 10.50% 4/15/18     156,000     166,920
# MedAssets 144A            
            8.00% 11/15/18     137,000     138,713
  National Semiconductor            
            6.60% 6/15/17     20,000     22,797
  Sanmina-SCI            
            8.125% 3/1/16     79,000     79,593
# Seagate Technology            
            International 144A            
            10.00% 5/1/14     10,000     11,800
* SunGard Data Systems            
            10.25% 8/15/15     314,000     326,559
              1,568,824
Telecommunications – 5.20%            
  American Tower            
            5.05% 9/1/20     25,000     25,804
# Clearwire Communications            
            144A 12.00% 12/1/15     1,006,000     1,071,765
  Cricket Communications            
            7.75% 5/15/16     130,000     133,575
# Crown Castle Towers            
            144A 4.883% 8/15/20     30,000     29,799
# Digicel Group 144A            
            8.875% 1/15/15     1,000,000     1,014,999
            9.125% 1/15/15     1,120,000     1,136,799
            10.50% 4/15/18     230,000     254,150
  Frontier Communications            
            7.125% 3/15/19     120,000     124,800
  Global Crossing            
            12.00% 9/15/15     297,000     335,610
  Intelsat 6.50% 11/1/13     155,000     155,000
  Intelsat Bermuda            
            11.25% 2/4/17     640,000     673,600
            PIK 11.50% 2/4/17     49,938     53,184
  Level 3 Financing            
            10.00% 2/1/18     217,000     200,725
  MetroPCS Wireless            
            6.625% 11/15/20     165,000     157,575
          *7.875% 9/1/18     90,000     93,713
  NII Capital            
            10.00% 8/15/16     271,000     302,165
* PAETEC Holding            
            9.50% 7/15/15     165,000     167,888
  Qwest 8.375% 5/1/16     40,000     48,200
  Qwest Communications            
            International            
            7.50% 2/15/14     85,000     86,275
  Sprint Capital            
            8.75% 3/15/32     453,000     450,735
# Telcordia Technologies            
            144A 11.00% 5/1/18     415,000     406,700
  Telecom Italia Capital            
            5.25% 10/1/15     35,000     37,157
            6.175% 6/18/14     55,000     59,597
  Telesat Canada            
            11.00% 11/1/15     158,000     176,565
            12.50% 11/1/17     164,000     191,060
  ViaSat 8.875% 9/15/16     113,000     120,628
  Virgin Media Finance            
            8.375% 10/15/19     120,000     132,300
* West 11.00% 10/15/16     219,000     235,973
# Wind Acquisition            
            Finance 144A            
            11.75% 7/15/17     370,000     412,550
  Windstream            
            7.875% 11/1/17     45,000     47,475
              8,336,366

18
 

 

             Principal   Value
    Amount°   (U.S. $)
Corporate Bonds (continued)            
Utilities – 1.45%            
  AES            
            7.75% 3/1/14 USD       129,000       $ 137,385
            8.00% 6/1/20     44,000     46,200
            9.75% 4/15/16     10,000     11,150
* Ameren Illinois            
            9.75% 11/15/18     80,000     105,477
# American Transmission            
            Systems 144A            
            5.25% 1/15/22     25,000     27,034
  Centerpoint Energy            
            5.95% 2/1/17     13,000     14,431
  CMS Energy            
            4.25% 9/30/15     5,000     5,087
            6.55% 7/17/17     10,000     10,885
            8.75% 6/15/19     15,000     18,026
  Commonwealth Edison            
            4.00% 8/1/20     30,000     30,798
            5.80% 3/15/18     5,000     5,796
  Dominion Resources            
            5.60% 11/15/16     5,000     5,781
            6.00% 11/30/17     10,000     11,694
  Duke Energy 5.05% 9/15/19     10,000     11,012
  Duke Energy Carolinas            
            5.30% 2/15/40     5,000     5,245
  Duke Energy Ohio            
            5.45% 4/1/19     15,000     17,366
  Dynegy Holdings            
            7.75% 6/1/19     157,000     103,228
  Elwood Energy            
            8.159% 7/5/26     166,028     161,048
  Energy Future Intermediate            
            10.00% 12/1/20     192,000     197,886
  Exelon Generation            
            4.00% 10/1/20     10,000     9,785
            5.75% 10/1/41     25,000     24,367
  Florida Power            
            5.65% 6/15/18     5,000     5,843
# GenOn Escrow 144A            
            9.50% 10/15/18     127,000     121,285
  Korea Southern Power            
            5.375% 4/18/13     630,000     670,306
# LG&E & KU Energy 144A            
            3.75% 11/15/20     20,000     19,609
* Mirant Americas Generation            
            8.50% 10/1/21     245,000     238,262
  Oncor Electric Delivery            
            7.00% 9/1/22     10,000     12,291
          #144A 5.00% 9/30/17     15,000     16,379
          #144A 5.25% 9/30/40     5,000     4,883
  Pennsylvania Electric            
            5.20% 4/1/20     45,000     48,369
  Public Service Oklahoma            
            5.15% 12/1/19     30,000     32,656
Puget Sound Energy            
            6.974% 6/1/67     165,000     161,973
  Sempra Energy            
            6.15% 6/15/18     10,000     11,763
  Southern California            
            Edison 5.50% 8/15/18     20,000     23,309
              2,326,609
Total Corporate Bonds (cost $61,821,838)     64,318,302
         
Non-Agency Asset-Backed Securities – 0.32%      
  Ally Auto Receivables            
            Trust Series 2010-2 A3            
            1.38% 7/15/14     10,000     10,050
Citibank Credit Card            
            Issuance Trust Series            
            2004-C1 C1            
            0.903% 7/15/13     10,000     9,933
Citicorp Residential            
            Mortgage Securities            
            Series 2006-3 A5            
            5.948% 11/25/36     100,000     86,536
  CNH Equipment Trust            
            Series 2008-A A4            
            4.93% 8/15/14     25,550     26,177
            Series 2008-B A3A            
            4.78% 7/16/12     2,709     2,716
            Series 2009-C A3            
            1.85% 12/16/13     15,000     15,124
  Discover Card Master            
            Trust Series 2007-A1            
            A1 5.65% 3/16/20     100,000     116,450
@# Dunkin Securitization            
            144A Series 2006-1 A2            
            5.779% 6/20/31     150,000     152,063
  Harley-Davidson            
            Motorcycle Trust            
            Series 2006-2            
            A2 5.35% 3/15/13     29,875     30,254
  John Deere Owner Trust            
            Series 2009-A A4            
            3.96% 5/16/16     25,000     26,128
            Series 2010-A 4A            
            2.13% 10/17/16     15,000     15,374
Merrill Auto Trust            
            Securitization            
            Series 2007-1 A4            
            0.313% 12/15/13     14,801     14,761
Total Non-Agency Asset-Backed            
  Securities (cost $486,298)           505,566

(continues)       19
 

 

Statement of net assets
 
Delaware Enhanced Global Dividend and Income Fund
 
             Principal   Value
    Amount°   (U.S. $)
Non-Agency Collateralized Mortgage Obligations – 0.30%
@ Bear Stearns ARM Trust            
            Series 2007-1 3A2            
            5.551% 2/25/47 USD   213,786       $ 23,642
  Citicorp Mortgage Securities          
            Series 2006-4 3A1            
            5.50% 8/25/21     16,426     16,481
            Series 2007-1 2A1            
            5.50% 1/25/22     107,654     104,474
          Series 2007-AR8 1A3A            
            5.729% 8/25/37     74,857     58,918
First Horizon            
            Asset Securities            
            Series 2007-AR2 1A1            
            5.786% 8/25/37     100,153     76,714
GSR Mortgage Loan Trust            
            Series 2006-AR1 3A1            
            5.143% 1/25/36     154,977     135,850
MASTR ARM Trust            
            Series 2006-2 4A1            
            4.969% 2/25/36     66,142     62,783
Total Non-Agency Collateralized          
  Mortgage Obligations            
  (cost $726,190)           478,862
               
«Senior Secured Loans – 0.69%            
  Clear Channel            
            Communication            
            Tranche B            
            3.65% 1/29/16     300,000     238,806
  CommScope Bridge            
            9.25% 10/26/11     265,000     264,999
  Energy Futures            
            Holdings Tranche B2            
            3.941% 10/10/14     340,612     263,594
  Harrahs Chester            
            Downs & Marina            
            12.375% 12/31/16     92,125     93,661
  PQ Tranche B            
            6.82% 7/30/15     165,000     156,682
  Syniverse Holdings Bridge            
            Loan 8.00% 10/28/11     88,000     88,028
Total Senior Secured Loans            
  (cost $1,083,622)           1,105,770
               
Sovereign Debt – 4.11%Δ            
Brazil – 0.35%            
  Banco Nacional de            
            Desenvolvimento            
            Economico e Social            
            6.369% 6/16/18     500,000     566,250
              566,250
Indonesia – 3.07%            
  Indonesia Treasury Bond            
            11.00% 11/15/20 IDR   35,825,000,000     4,930,823
              4,930,823
Philippines – 0.69%            
  Philippine Government            
            International Bond            
            6.375% 10/23/34 USD   1,000,000     1,100,000
              1,100,000
Total Sovereign Debt            
  (cost $6,220,923)           6,597,073
               
Supranational Banks – 2.00%            
  European Bank for            
            Reconstruction &            
            Development            
            7.00% 7/30/12 INR   41,000,000     935,033
  European Investment Bank            
            8.00% 10/21/13 ZAR   6,880,000     1,005,411
            9.625% 4/1/15 TRY   1,800,000     1,264,447
Total Supranational Banks            
  (cost $3,153,626)           3,204,891
               
U.S. Treasury Obligations – 0.27%            
  U.S. Treasury Bond            
            3.875% 8/15/40 USD   25,000     24,023
  U.S. Treasury Notes            
            1.375% 11/30/15     360,000     358,538
            2.25% 11/30/17     15,000     15,100
          *2.625% 11/15/20     40,000     39,419
Total U.S. Treasury Obligations            
  (cost $434,486)           437,080
         
Leveraged Non-Recourse Security – 0.00%      
@w# JPMorgan Pass Through            
            Trust Series 2007-B 144A            
            0.00% 1/15/87     500,000     0
Total Leveraged Non-Recourse            
  Security (cost $425,000)           0
         
Residual Interest Trust Certificate – 0.00%      
=@w# Freddie Mac Auction Pass            
            Through Trust Series            
            2007-6B 144A 0.00%     175,000     0
Total Residual Interest Trust            
  Certificate (cost $190,466)           0
               
    Number of      
    Shares      
Exchange-Traded Funds – 2.78%