NPORT-EX 2 ADE0DELimitedTermDivIncomeFd.htm de_del-ltdif.htm - Generated by SEC Publisher for SEC Filing

Schedule of investments

Delaware Limited-Term Diversified Income Fund March 31, 2020 (Unaudited)

  Principal amount°    Value (US $) 
Agency Asset-Backed Securities – 0.00%       
Fannie Mae REMIC Trust       
Series 2001-W2 AS5 6.473% 10/25/31 f  41  $  42 
Freddie Mac Structured Pass Through Certificates       
Series T-30 A5 8.61% 12/25/30 ⯁ •  3,535    3,768 
Total Agency Asset-Backed Securities (cost $3,736)      3,810 
Agency Collateralized Mortgage Obligations – 4.34%       
Fannie Mae Grantor Trust       
Series 2001-T5 A2 6.979% 6/19/41 •  19,596    23,112 
Fannie Mae REMICs       
Series 2011-105 FP 1.347% (LIBOR01M + 0.40%, Cap       
6.50%, Floor 0.40%) 6/25/41 •  1,226,963    1,216,440 
Series 2012-128 NP 2.50% 11/25/42  474,968    493,759 
Series 2013-4 PL 2.00% 2/25/43  76,000    78,849 
Series 2013-52 ZA 3.00% 6/25/43  229,274    238,050 
Series 2013-71 ZA 3.50% 7/25/43  312,716    336,376 
Series 2015-31 ZD 3.00% 5/25/45  486,662    516,466 
Series 2015-89 EZ 3.00% 12/25/45  70,596    71,617 
Series 2016-61 ML 3.00% 9/25/46  61,000    66,803 
Series 2016-80 JZ 3.00% 11/25/46  154,067    163,676 
Series 2016-101 ZP 3.50% 1/25/47  101,946    117,430 
Series 2017-16 UW 3.00% 7/25/45  1,225,000    1,348,779 
Series 2017-40 GZ 3.50% 5/25/47  39,863    44,774 
Series 2017-67 BZ 3.00% 9/25/47  16,207    17,618 
Series 2017-94 CZ 3.50% 11/25/47  34,820    39,028 
Series 2017-99 DZ 3.50% 12/25/47  287,516    323,577 
Freddie Mac REMICs       
Series 3067 FA 1.055% (LIBOR01M + 0.35%, Cap       
7.00%, Floor 0.35%) 11/15/35 •  1,551,269    1,529,326 
Series 3800 AF 1.205% (LIBOR01M + 0.50%, Cap       
7.00%, Floor 0.50%) 2/15/41 •  936,039    931,189 
Series 4015 MY 3.50% 3/15/42  90,000    99,306 
Series 4197 LZ 4.00% 4/15/43  329,530    370,005 
Series 4210 Z 3.00% 5/15/43  874,887    869,716 
Series 4531 PZ 3.50% 11/15/45  152,421    165,455 
Series 4623 YT 2.50% 3/15/46  1,442,246    1,596,795 
Series 4625 PZ 3.00% 6/15/46  37,665    40,571 
Series 4650 JG 3.00% 11/15/46  1,997,000    2,213,981 
Series 4657 JZ 3.50% 2/15/47  24,503    28,124 
Series 4695 OZ 3.00% 6/15/47  616,784    665,729 
Freddie Mac Structured Pass Through Certificates       
Series T-54 2A 6.50% 2/25/43 ⯁ 616    750 
Series T-58 2A 6.50% 9/25/43 ⯁ 379,349    438,913 

 

NQ-022 [3/20] 5/20 (1179311) 1

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

  Principal amount°    Value (US $) 
Agency Collateralized Mortgage Obligations (continued)       
GNMA       
     Series 2013-113 LY 3.00% 5/20/43  17,000  $  18,480 
     Series 2016-49 PZ 3.00% 11/16/45  247,394    267,038 
     Series 2016-160 VZ 2.50% 11/20/46  32,604    33,051 
     Series 2017-19 AY 3.00% 2/20/47  30,000    33,399 
     Series 2017-36 ZC 3.00% 3/20/47  195,835    211,956 
     Series 2017-52 LE 3.00% 1/16/47  474,000    532,981 
     Series 2017-56 GZ 3.50% 4/20/47  15,502    18,316 
     Series 2017-88 PB 3.00% 1/20/47  304,000    332,161 
     Series 2017-163 KH 3.50% 3/20/44  455,000    485,195 
     Series 2017-180 MJ 3.00% 12/20/47  298,000    323,839 
     Series 2018-1 QG 3.00% 6/20/47  829,072    897,579 
     Series 2018-1 QH 3.00% 12/20/47  466,373    489,609 
Total Agency Collateralized Mortgage Obligations (cost $15,824,310)      17,689,818 
 
Agency Commercial Mortgage-Backed Securities – 0.35%       
FREMF Mortgage Trust       
     Series 2011-K15 B 144A 4.961% 8/25/44 #•  95,000    94,769 
     Series 2014-K717 B 144A 3.63% 11/25/47 #•  245,000    243,301 
     Series 2014-K717 C 144A 3.63% 11/25/47 #•  80,000    79,618 
     Series 2016-K722 B 144A 3.843% 7/25/49 #•  430,000    425,373 
NCUA Guaranteed Notes Trust       
     Series 2011-C1 2A 1.546% (LIBOR01M + 0.53%, Cap       
     8.00%, Floor 0.53%) 3/9/21 •  577,355    573,651 
Total Agency Commercial Mortgage-Backed Securities (cost $1,445,782)      1,416,712 
 
Agency Mortgage-Backed Securities – 13.10%       
Fannie Mae S. F. 30 yr       
     3.00% 9/1/47  2,581,570    2,720,211 
     3.00% 4/1/48  1,902,941    1,995,613 
     3.00% 1/1/50  3,139,517    3,291,148 
     3.50% 11/1/48  332,226    351,692 
     3.50% 6/1/49  794,456    839,831 
     3.50% 2/1/50  3,859,153    4,078,234 
     3.50% 3/1/50  104,829    111,779 
     4.00% 10/1/48  972,611    1,058,034 
     4.50% 5/1/46  21,695    23,754 
     4.50% 11/1/47  539,483    591,009 
     4.50% 9/1/48  3,154,748    3,421,040 
     4.50% 11/1/49  1,682,461    1,809,067 
     5.00% 1/1/40  44,935    50,399 
     5.00% 8/1/49  5,250,877    5,820,114 
     5.50% 4/1/33  50,973    57,285 

 

2 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)       
 
  Principal amount°    Value (US $) 
Agency Mortgage-Backed Securities (continued)       
Fannie Mae S. F. 30 yr       
     5.50% 6/1/33  47,320  $  53,217 
     5.50% 10/1/33  20,882    22,842 
     5.50% 12/1/33  202,724    229,070 
     5.50% 2/1/34  92,163    105,230 
     5.50% 9/1/34  127,345    142,888 
     5.50% 8/1/37  259,799    293,649 
     5.50% 1/1/38  265,220    299,746 
     5.50% 7/1/41  43,629    49,423 
     5.50% 5/1/44  4,761,878    5,389,069 
     6.00% 6/1/41  446,825    514,289 
     6.00% 7/1/41  5,176,474    5,956,743 
     6.00% 1/1/42  281,810    324,149 
Fannie Mae S. F. 30 yr TBA       
     4.00% 4/1/50  677,000    722,842 
     5.00% 4/1/50  3,936,000    4,250,111 
Freddie Mac ARM       
     4.555% (LIBOR12M + 1.93%, Cap 10.015%, Floor       
     1.93%) 8/1/38 •  4,976    5,018 
Freddie Mac S. F. 30 yr       
     3.00% 12/1/48  2,238,398    2,362,792 
     4.50% 8/1/48  1,914,858    2,072,363 
     4.50% 4/1/49  418,051    451,533 
     5.00% 12/1/44  1,616,476    1,791,932 
     5.00% 7/1/45  454,669    504,270 
     5.50% 1/1/34  31,008    35,390 
     5.50% 6/1/34  277,059    311,173 
     5.50% 6/1/35  72,465    81,922 
     5.50% 7/1/37  108,438    122,885 
     5.50% 8/1/37  93,659    105,879 
     5.50% 10/1/37  92,717    105,067 
     5.50% 7/1/38  200,617    231,270 
     5.50% 11/1/38  194,149    222,652 
     5.50% 4/1/40  39,529    44,003 
     5.50% 6/1/41  229,792    260,510 
     6.00% 5/1/39  29,183    33,730 
Total Agency Mortgage-Backed Securities (cost $52,296,926)      53,314,867 

 

NQ-022 [3/20] 5/20 (1179311) 3

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

    Principal amount°    Value (US $) 
Collateralized Debt Obligation – 0.14%        
AMMC CLO        
Series 2015-16A XR 144A 2.888% (LIBOR03M + 1.05%)        
     4/14/29 #•  570,000  $  560,567 
Total Collateralized Debt Obligation (cost $570,000)       560,567 
Convertible Bond – 0.01%        
Cheniere Energy 144A 4.875% exercise price $93.64,        
maturity date 5/28/21 # ❆   37,000    35,891 
Total Convertible Bond (cost $37,324)       35,891 
 
Corporate Bonds – 28.96%        
Banking - 10.51%        
Banco de Credito del Peru 144A 2.70% 1/11/25 #   200,000    183,750 
Banco de Credito e Inversiones 144A 4.00% 2/11/23 #   200,000    201,307 
Banco del Estado de Chile 144A 2.704% 1/9/25 #   220,000    205,757 
Banco Internacional del Peru 144A 3.375% 1/18/23 #   205,000    195,518 
Banco Santander 3.50% 4/11/22   1,600,000    1,583,825 
Banco Santander Mexico 144A 4.125% 11/9/22 #   150,000    146,550 
Bancolombia 3.00% 1/29/25   215,000    193,448 
Bank of America        
     3.458% 3/15/25 µ   2,845,000    2,938,558 
     5.625% 7/1/20   645,000    649,081 
Bank of Georgia 144A 6.00% 7/26/23 #   200,000    208,091 
BBVA Bancomer 144A 6.75% 9/30/22 #   150,000    149,676 
Citigroup 4.044% 6/1/24 µ   2,430,000    2,570,296 
Citizens Financial Group 2.85% 7/27/26   1,545,000    1,510,366 
Credit Suisse Group 144A 2.593% 9/11/25 #µ   2,295,000    2,184,313 
Emirates NBD Bank 3.25% 11/14/22   300,000    294,750 
Goldman Sachs Group        
     3.50% 4/1/25   180,000    182,856 
     6.00% 6/15/20   2,295,000    2,308,901 
ICICI Bank 3.25% 9/9/22   320,000    316,059 
JPMorgan Chase & Co.        
     4.023% 12/5/24 µ   4,240,000    4,499,116 
     4.60%µy  405,000    354,962 
KEB Hana Bank 144A 3.375% 1/30/22 #   500,000    517,885 
KeyBank        
     2.40% 6/9/22   250,000    250,984 
     3.18% 5/22/22   1,335,000    1,340,054 
Kookmin Bank 144A 2.875% 3/25/23 #   200,000    207,761 
Morgan Stanley        
     2.75% 5/19/22   1,075,000    1,087,287 

 

4 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)       
 
  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Banking (continued)       
Morgan Stanley       
2.954% (LIBOR03M + 1.22%) 5/8/24 •  1,605,000  $  1,539,790 
3.622% 4/1/31 µ  305,000    318,091 
PNC Bank 1.206% (LIBOR03M + 0.31%) 6/10/21 •  3,875,000    3,810,266 
Popular 6.125% 9/14/23  500,000    466,873 
QNB Finance 3.50% 3/28/24  330,000    327,525 
Regions Financial       
2.75% 8/14/22  370,000    366,321 
3.80% 8/14/23  1,070,000    1,085,268 
Royal Bank of Scotland Group 8.625%µy  1,285,000    1,259,718 
Truist Bank 2.636% 9/17/29 µ  1,465,000    1,405,140 
Truist Financial 2.70% 1/27/22  2,785,000    2,802,336 
Turkiye Garanti Bankasi 144A 5.25% 9/13/22 #  235,000    219,871 
UBS Group 144A 3.00% 4/15/21 #  2,700,000    2,706,033 
US Bank       
2.05% 10/23/20  450,000    449,672 
3.40% 7/24/23  360,000    379,372 
USB Capital IX 3.50% (LIBOR03M + 1.02%) y•  1,860,000    1,388,946 
      42,806,373 
  Basic Industry - 2.29%       
BMC East 144A 5.50% 10/1/24 #  500,000    486,873 
Chemours       
6.625% 5/15/23  500,000    428,128 
7.00% 5/15/25  100,000    83,876 
Equate Petrochemical 144A 3.00% 3/3/22 #  265,000    255,591 
First Quantum Minerals 144A 7.50% 4/1/25 #  500,000    419,223 
Georgia-Pacific 144A 5.40% 11/1/20 #  3,090,000    3,119,835 
Gold Fields Orogen Holdings BVI 144A 5.125% 5/15/24 #  250,000    237,186 
Hudbay Minerals 144A 7.25% 1/15/23 #  375,000    329,529 
Inversiones CMPC 144A 4.75% 9/15/24 #  200,000    194,134 
Joseph T Ryerson & Son 144A 11.00% 5/15/22 #  500,000    468,740 
Kraton Polymers 144A 7.00% 4/15/25 #  250,000    223,358 
New Enterprise Stone & Lime 144A 10.125% 4/1/22 #  500,000    502,968 
Novolipetsk Steel Via Steel Funding DAC 144A       
4.50% 6/15/23 #  250,000    253,913 
Sociedad Quimica y Minera de Chile 144A       
3.625% 4/3/23 #  200,000    191,749 
Steel Dynamics 2.80% 12/15/24  1,455,000    1,358,284 
Syngenta Finance       
144A 3.933% 4/23/21 #  620,000    584,419 
144A 4.441% 4/24/23 #  200,000    188,631 
      9,326,437 

 

NQ-022 [3/20] 5/20 (1179311) 5

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Capital Goods - 0.87%       
Bombardier 144A 6.00% 10/15/22 #  500,000  $  378,750 
Carrier Global 144A 2.242% 2/15/25 #  210,000    205,785 
Mauser Packaging Solutions Holding 144A       
   7.25% 4/15/25 #  250,000    191,258 
Otis Worldwide 144A 2.056% 4/5/25 #  530,000    519,924 
Roper Technologies 2.35% 9/15/24  2,295,000    2,235,459 
      3,531,176 
Communications - 2.83%       
AT&T 1.964% (LIBOR03M + 1.18%) 6/12/24 •  1,985,000    1,844,670 
Baidu 3.875% 9/29/23  200,000    207,685 
Charter Communications Operating 4.908% 7/23/25  1,515,000    1,635,015 
Crown Castle International 5.25% 1/15/23  965,000    1,024,772 
CSC Holdings 6.75% 11/15/21  375,000    388,781 
Fox 144A 4.03% 1/25/24 #  2,280,000    2,373,321 
IHS Netherlands Holdco 144A 7.125% 3/18/25 #  200,000    177,000 
Ooredoo International Finance 144A 5.00% 10/19/25 #  200,000    211,588 
Radiate Holdco 144A 6.625% 2/15/25 #  155,000    133,105 
Sirius XM Radio 144A 4.625% 7/15/24 #  250,000    255,296 
Sprint Spectrum 144A 4.738% 3/20/25 #  450,000    462,935 
Tencent Holdings 144A 3.28% 4/11/24 #  200,000    207,715 
Time Warner Entertainment 8.375% 3/15/23  1,795,000    1,973,067 
Turk Telekomunikasyon 144A 4.875% 6/19/24 #  200,000    181,080 
Verizon Communications 3.15% 3/22/30  155,000    167,034 
VTR Finance 144A 6.875% 1/15/24 #  300,000    274,124 
      11,517,188 
Consumer Cyclical - 1.08%       
El Puerto de Liverpool 144A 3.95% 10/2/24 #  200,000    196,151 
Ford Motor Credit 3.087% 1/9/23  1,460,000    1,321,300 
Future Retail 144A 5.60% 1/22/25 #  220,000    110,890 
General Motors Financial       
     3.45% 4/10/22  1,195,000    1,104,545 
     4.15% 6/19/23  1,390,000    1,265,908 
JD. com 3.125% 4/29/21  200,000    200,390 
Kia Motors 144A 3.00% 4/25/23 #  200,000    200,890 
      4,400,074 
Consumer Non-Cyclical - 2.39%       
AbbVie 144A 2.60% 11/21/24 #  2,400,000    2,443,152 
Amgen 2.20% 2/21/27  710,000    709,725 
Anheuser-Busch InBev Worldwide 4.15% 1/23/25  2,965,000    3,203,798 
Cigna 2.721% (LIBOR03M + 0.89%) 7/15/23 •  2,055,000    1,911,957 
CK Hutchison International 17 144A 2.875% 4/5/22 #  275,000    275,432 
DP World Crescent 144A 3.908% 5/31/23 #  200,000    191,307 

 

6 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)        
 
    Principal amount°    Value (US $) 
Corporate Bonds (continued)        
Consumer Non-Cyclical (continued)        
Global Payments 2.65% 2/15/25   535,000  $  531,385 
Kernel Holding 144A 8.75% 1/31/22 #   235,000    203,186 
Teva Pharmaceutical Finance Netherlands III        
     6.00% 4/15/24   250,000    247,186 
        9,717,128 
Electric - 4.92%        
  AEP Texas 2.40% 10/1/22   2,300,000    2,318,234 
Ameren 2.70% 11/15/20   3,665,000    3,654,626 
  Azure Power Energy 144A 5.50% 11/3/22 #   215,000    198,139 
  Cleveland Electric Illuminating 5.50% 8/15/24   1,430,000    1,668,316 
  CLP Power Hong Kong Financing 2.875% 4/26/23   200,000    207,038 
  Duke Energy        
     1.80% 9/1/21   1,050,000    1,043,650 
     4.875%µy  570,000    479,196 
Engie Energia Chile 144A 4.50% 1/29/25 #   200,000    197,955 
Entergy 4.00% 7/15/22   1,050,000    1,078,649 
Entergy Louisiana 4.05% 9/1/23   1,125,000    1,151,472 
    IPALCO Enterprises 3.45% 7/15/20   710,000    709,946 
ITC Holdings 2.70% 11/15/22   1,570,000    1,561,087 
   NRG Energy 144A 3.75% 6/15/24 #   1,200,000    1,191,273 
   NV Energy 6.25% 11/15/20   2,460,000    2,531,301 
  State Grid Overseas Investment 2016 144A        
     2.25% 5/4/20 #   500,000    500,258 
  Vistra Operations 144A 3.55% 7/15/24 #   1,650,000    1,556,032 
        20,047,172 
Energy - 2.41%        
     Cheniere Corpus Christi Holdings 7.00% 6/30/24   1,955,000    1,720,416 
     Continental Resources 3.80% 6/1/24   1,075,000    544,233 
     Energy Transfer Operating 5.25% 4/15/29   1,235,000    1,047,939 
     Greenko Mauritius 144A 6.25% 2/21/23 #   210,000    187,602 
     KazMunayGas National 144A 4.40% 4/30/23 #   200,000    197,423 
Marathon Oil 2.80% 11/1/22   1,050,000    804,715 
MPLX 4.875% 12/1/24   1,955,000    1,714,625 
     Murphy Oil 6.875% 8/15/24   250,000    149,689 
     ONEOK 7.50% 9/1/23   1,655,000    1,650,073 
     Petrobras Global Finance 6.25% 3/17/24   260,000    258,116 
     Petroleos Mexicanos 4.625% 9/21/23   130,000    106,138 
     Sabine Pass Liquefaction 5.75% 5/15/24   955,000    897,913 
     Saudi Arabian Oil 144A 2.875% 4/16/24 #   250,000    243,314 
     Sinopec Group Overseas Development 2018 144A        
     2.50% 8/8/24 #   245,000    245,636 
 

 

NQ-022 [3/20] 5/20 (1179311) 7

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

    Principal amount°    Value (US $) 
Corporate Bonds (continued)        
Energy (continued)        
Tullow Oil 144A 6.25% 4/15/22 #   250,000  $  63,563 
        9,831,395 
   Finance Companies - 0.69%        
   Avolon Holdings Funding 144A 3.95% 7/1/24 #   555,000    465,369 
   BOC Aviation 144A 2.375% 9/15/21 #   400,000    400,957 
   China Overseas Finance Cayman V 3.95% 11/15/22   205,000    207,745 
   International Lease Finance 8.625% 1/15/22   1,080,000    1,048,292 
   Mastercard 3.30% 3/26/27   165,000    179,573 
   SURA Asset Management 144A 4.875% 4/17/24 #   500,000    493,123 
        2,795,059 
Insurance - 0.45%        
AIA Group 3.125% 3/13/23   210,000    218,985 
Equitable Holdings 3.90% 4/20/23   1,620,000    1,616,273 
        1,835,258 
Real Estate - 0.08%        
   Arabian Centres Sukuk 144A 5.375% 11/26/24 #   200,000    154,000 
   Kaisa Group Holdings 144A 11.95% 10/22/22 #   220,000    190,947 
        344,947 
Services - 0.05%        
Shimao Property Holdings 6.125% 2/21/24   200,000    197,993 
        197,993 
Technology - 0.27%        
   International Business Machines 3.00% 5/15/24   1,035,000    1,084,335 
        1,084,335 
Transportation - 0.12%        
   Adani Ports & Special Economic Zone 144A        
   3.375% 7/24/24 #   235,000    202,182 
Aerovias de Mexico 144A 7.00% 2/5/25 #   200,000    61,500 
ASG Finance Designated Activity 144A 7.875% 12/3/24 #   217,000    135,669 
   Latam Finance 144A 6.875% 4/11/24 #   200,000    90,161 
        489,512 
Total Corporate Bonds (cost $126,022,020)       117,924,047 
 
Loan Agreements – 1.93%        
Air Medical Group Holdings 4.932% (LIBOR02M + 3.25%)        
   4/28/22 •  77,706    71,878 
Alpha US Bidco Tranche B-1 4.45% (LIBOR03M + 3.00%)        
   1/31/24 •  1,304,871    1,210,267 
Applied Systems 1st Lien 4.70% (LIBOR03M + 3.25%)        
   9/19/24 •  248,794    229,069 
AssuredPartners 4.489% (LIBOR01M + 3.50%) 2/12/27 •   263,827    235,465 

 

8 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)        
 
    Principal amount°    Value (US $) 
Loan Agreements (continued)        
Berry Global Tranche W 2.863% (LIBOR03M + 2.00%)        
        10/1/22 •  250,000  $  241,375 
Blue Ribbon 1st Lien 5.655% (LIBOR03M + 4.00%)        
        11/15/21 •  266,671    211,115 
    Charter Communications Operating Tranche B2 2.74%        
        (LIBOR01M + 1.75%) 2/1/27 •   244,358    236,212 
Gardner Denver Tranche B-1 2.739% (LIBOR01M +        
1.75%) 3/1/27 •   208,267    196,812 
Mission Broadcasting Tranche B-3 3.831% (LIBOR01M +        
        2.25%) 1/17/24 •   204,275    191,814 
Nexstar Broadcasting Tranche B-3 3.191% (LIBOR01M +        
        2.25%) 1/17/24 •   792,036    743,722 
     ON Semiconductor Tranche B-4 2.989% (LIBOR01M +        
        2.00%) 9/16/26 •   1,095,558    1,033,248 
Russell Investments US Institutional Holdco 3.822%        
        (LIBOR06M + 2.75%) 6/1/23 •   652,782    605,455 
Sprint Communications 3.50% (LIBOR01M + 2.50%)        
        2/2/24 •  2,425,000    2,415,908 
Summit Midstream Partners Holdings 7.00% (LIBOR01M +        
        6.00%) 5/13/22 •   492,577    236,437 
Total Loan Agreements (cost $8,364,649)       7,858,777 
 
Non-Agency Asset-Backed Securities – 25.32%        
   American Express Credit Account Master Trust        
        Series 2017-2 A 1.155% (LIBOR01M + 0.45%)        
        9/16/24 •  270,000    267,311 
        Series 2017-5 A 1.085% (LIBOR01M + 0.38%)        
        2/18/25 •  575,000    554,287 
        Series 2018-5 A 1.045% (LIBOR01M + 0.34%)        
        12/15/25 •  3,744,000    3,559,731 
        Series 2018-6 A 3.06% 2/15/24   1,145,000    1,166,134 
        Series 2019-2 A 2.67% 11/15/24   10,000,000    10,276,853 
ARI Fleet Lease Trust        
Series 2018-B A2 144A 3.22% 8/16/27 #   703,608    703,322 
BA Credit Card Trust        
        Series 2018-A3 A3 3.10% 12/15/23   700,000    713,549 
     Barclays Dryrock Issuance Trust        
        Series 2017-1 A 1.035% (LIBOR01M + 0.33%)        
        3/15/23 •  2,810,000    2,805,024 
BMW Floorplan Master Owner Trust        
Series 2018-1 A2 144A 1.025% (LIBOR01M + 0.32%)        
        5/15/23 #•  1,500,000    1,463,362 
Chase Issuance Trust        
        Series 2016-A3 A3 1.255% (LIBOR01M + 0.55%)        
        6/15/23 •  6,350,000    6,294,239 

 

NQ-022 [3/20] 5/20 (1179311) 9

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

    Principal amount°    Value (US $) 
Non-Agency Asset-Backed Securities (continued)        
Chase Issuance Trust        
        Series 2017-A2 A 1.105% (LIBOR01M + 0.40%)        
        3/15/24 •  1,300,000  $  1,285,716 
        Series 2018-A1 A1 0.905% (LIBOR01M + 0.20%)        
        4/17/23 •  1,500,000    1,487,550 
Chesapeake Funding II        
        Series 2017-4A A2 144A 1.045% (LIBOR01M + 0.34%)        
        11/15/29 #•  769,429    759,684 
Citibank Credit Card Issuance Trust        
        Series 2016-A3 A3 1.495% (LIBOR01M + 0.49%)        
        12/7/23 •  4,270,000    4,253,643 
        Series 2017-A7 A7 1.375% (LIBOR01M + 0.37%)        
        8/8/24 •  11,900,000    11,731,023 
        Series 2018-A1 A1 2.49% 1/20/23   4,334,000    4,365,639 
        Series 2018-A2 A2 1.103% (LIBOR01M + 0.33%)        
        1/20/25 •  7,700,000    7,512,113 
CNH Equipment Trust        
        Series 2019-A A2 2.96% 5/16/22   715,965    714,673 
Discover Card Execution Note Trust        
        Series 2017-A7 A7 1.065% (LIBOR01M + 0.36%)        
        4/15/25 •  4,965,000    4,703,205 
        Series 2018-A2 A2 1.035% (LIBOR01M + 0.33%)        
        8/15/25 •  4,000,000    3,912,892 
        Series 2018-A3 A3 0.935% (LIBOR01M + 0.23%)        
        12/15/23 •  2,465,000    2,434,731 
Ford Credit Auto Lease Trust        
        Series 2020-A A2 1.80% 7/15/22   1,470,000    1,459,998 
Ford Credit Auto Owner Trust        
        Series 2017-C A3 2.01% 3/15/22   74,795    74,808 
Ford Credit Floorplan Master Owner Trust A        
        Series 2017-1 A1 2.07% 5/15/22   1,030,000    1,028,808 
        Series 2017-1 A2 1.125% (LIBOR01M + 0.42%)        
        5/15/22 •  400,000    398,804 
        Series 2017-2 A2 1.055% (LIBOR01M + 0.35%)        
        9/15/22 •  1,000,000    983,296 
Great American Auto Leasing        
Series 2019-1 A2 144A 2.97% 6/15/21 #   798,820    797,863 
Harley-Davidson Motorcycle Trust        
        Series 2020-A A2A 1.83% 1/17/23   850,000    843,892 
HOA Funding        
Series 2014-1A A2 144A 4.846% 8/20/44 #   235,850    224,947 
Hyundai Auto Lease Securitization Trust        
Series 2018-A A3 144A 2.81% 4/15/21 #   361,588    361,477 
Hyundai Auto Receivables Trust        
        Series 2019-B A2 1.93% 7/15/22   750,000    748,162 

 

10 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)        
 
    Principal amount°    Value (US $) 
Non-Agency Asset-Backed Securities (continued)        
Invitation Homes Trust        
        Series 2018-SFR1 A 144A 1.50% (LIBOR01M + 0.70%)        
        3/17/37 #•  1,238,442  $  1,130,332 
Mercedes-Benz Auto Lease Trust        
Series 2019-B A2 2.01% 12/15/21   360,000    359,639 
Mercedes-Benz Master Owner Trust        
        Series 2017-BA A 144A 1.125% (LIBOR01M + 0.42%)        
        5/16/22 #•  3,540,000    3,539,573 
        Series 2018-BA A 144A 1.045% (LIBOR01M + 0.34%)        
        5/15/23 #•  1,200,000    1,196,768 
MMAF Equipment Finance        
Series 2015-AA A5 144A 2.49% 2/19/36 #   1,429,727    1,425,460 
Navistar Financial Dealer Note Master Owner Trust II        
        Series 2018-1 A 144A 1.577% (LIBOR01M + 0.63%,        
Floor 0.63%) 9/25/23 #•   330,000    320,092 
Nissan Master Owner Trust Receivables        
        Series 2017-C A 1.025% (LIBOR01M + 0.32%)        
        10/17/22 •  890,000    874,326 
        Series 2019-A A 1.265% (LIBOR01M + 0.56%)        
        2/15/24 •  1,275,000    1,224,200 
        Series 2019-B A 1.135% (LIBOR01M + 0.43%)        
        11/15/23 •  300,000    285,180 
PFS Financing        
        Series 2018-E A 144A 1.155% (LIBOR01M + 0.45%)        
        10/17/22#• 910,000    877,233 
Tesla Auto Lease Trust        
        Series 2018-B A 144A 3.71% 8/20/21 #   1,196,048    1,201,442 
Series 2019-A A2 144A 2.13% 4/20/22 #   2,600,000    2,603,868 
Towd Point Mortgage Trust        
Series 2015-5 A1B 144A 2.75% 5/25/55 #•   200,745    199,098 
Series 2015-6 A1B 144A 2.75% 4/25/55 #•   262,858    260,883 
Toyota Auto Receivables Owner Trust        
        Series 2018-C A2B 0.825% (LIBOR01M + 0.12%)        
        8/16/21 •  272,098    271,813 
Trafigura Securitisation Finance        
        Series 2017-1A A1 144A 1.555% (LIBOR01M + 0.85%)        
        12/15/20 #•  3,410,000    3,384,258 
        Series 2018-1A A1 144A 1.435% (LIBOR01M + 0.73%)        
        3/15/22 #•  200,000    199,184 
Verizon Owner Trust        
Series 2017-3A A1A 144A 2.06% 4/20/22 #   254,887    254,885 
        Series 2017-3A A1B 144A 1.043% (LIBOR01M + 0.27%)        
        4/20/22 #•  2,383,189    2,373,777 
        Series 2019-B A1B 1.223% (LIBOR01M + 0.45%)        
        12/20/23 •  800,000    786,232 

 

NQ-022 [3/20] 5/20 (1179311) 11

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

    Principal amount°    Value (US $) 
Non-Agency Asset-Backed Securities (continued)        
Volkswagen Auto Loan Enhanced Trust        
      Series 2018-1 A2B 0.953% (LIBOR01M + 0.18%)        
     7/20/21 •  56,901  $  56,773 
Volvo Financial Equipment Master Owner Trust        
Series 2017-A A 144A 1.205% (LIBOR01M + 0.50%)        
      11/15/22 #•  2,000,000    1,932,644 
Wheels SPV 2        
Series 2018-1A A2 144A 3.06% 4/20/27 #   434,829    434,461 
Total Non-Agency Asset-Backed Securities        
      (cost $104,437,511)       103,078,857 
 
Non-Agency Collateralized Mortgage Obligations – 0.62%        
GSMPS Mortgage Loan Trust        
Series 1998-2 A 144A 7.75% 5/19/27 #•   22,702    22,088 
JPMorgan Mortgage Trust        
      Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #•   455,000    439,522 
Sequoia Mortgage Trust        
Series 2014-2 A4 144A 3.50% 7/25/44 #•   189,182    191,135 
Silverstone Master Issuer        
Series 2018-1A 1A 144A 2.209% (LIBOR03M + 0.39%)        
      1/21/70 #•  1,860,000    1,823,741 
Wells Fargo Mortgage-Backed Securities Trust        
Series 2006-AR5 2A1 4.138% 4/25/36 •   43,053    36,516 
Total Non-Agency Collateralized Mortgage Obligations (cost $2,545,016)       2,513,002 
 
Non-Agency Commercial Mortgage-Backed Securities – 1.23%        
Benchmark Mortgage Trust        
      Series 2020-B17 A5 2.289% 3/15/53   5,000,000    4,897,889 
DB-UBS Mortgage Trust        
      Series 2011-LC1A C 144A 5.689% 11/10/46 #•   100,000    98,129 
Total Non-Agency Commercial Mortgage-Backed Securities (cost $5,352,055)    4,996,018 
 
Sovereign Bonds – 0.66%D        
Croatia - 0.05%        
Croatia Government International Bond 144A        
      5.50% 4/4/23 #   200,000    210,208 
        210,208 
Dominican Republic - 0.05%        
Dominican Republic International Bond 144A        
      7.50% 5/6/21 #   200,000    200,602 
        200,602 

 

12 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)       
 
  Principal amount°    Value (US $) 
Sovereign BondsD (continued)       
Indonesia - 0.08%       
Indonesia Government International Bond 144A       
3.375% 4/15/23 #  310,000  $  310,654 
      310,654 
Kenya - 0.05%       
Kenya Government International Bond 144A       
6.875% 6/24/24 #  200,000    191,415 
      191,415 
Mongolia - 0.04%       
Development Bank of Mongolia 144A 7.25% 10/23/23 #  200,000    172,993 
      172,993 
Nigeria - 0.05%       
Nigeria Government International Bond 5.625% 6/27/22  250,000    217,734 
      217,734 
Republic of Korea - 0.12%       
Export-Import Bank of Korea 2.355% (LIBOR03M +       
0.775%) 6/1/23 •  500,000    495,078 
      495,078 
Saudi Arabia - 0.06%       
Kingdom of Saudi Arabia Sukuk 144A 2.894% 4/20/22 #  250,000    251,254 
      251,254 
Senegal - 0.05%       
Senegal Government International Bond 144A       
6.25% 7/30/24 #  200,000    188,396 
      188,396 
Ukraine - 0.06%       
Ukraine Government International Bond 144A       
7.75% 9/1/20 #  250,000    245,923 
      245,923 
Uzbekistan - 0.05%       
Republic of Uzbekistan Bond 144A 4.75% 2/20/24 #  200,000    197,770 
      197,770 
Total Sovereign Bonds (cost $2,840,070)      2,682,027 
 
Supranational Bank – 0.12%       
Banque Ouest Africaine de Developpement 144A       
5.50% 5/6/21 #  500,000    502,819 
Total Supranational Bank (cost $529,500)      502,819 
 
US Treasury Obligations – 18.69%       
US Treasury Floating Rate Note       
0.239% (USBMMY3M + 0.154%) 1/31/22 •  13,315,000    13,315,988 

 

NQ-022 [3/20] 5/20 (1179311) 13

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

  Principal amount°    Value (US $) 
US Treasury Obligations (continued)       
US Treasury Notes       
0.50% 3/31/25  8,655,000  $  8,710,615 
1.125% 2/28/25  6,840,000    7,096,500 
1.375% 1/31/25  6,700,000    7,020,867 
1.50% 2/15/30  18,605,000    20,059,606 
1.625% 12/31/21  1,640,000    1,680,263 
1.75% 12/31/24  4,760,000    5,069,586 
1.75% 11/15/29  11,970,000    13,160,454 
Total US Treasury Obligations (cost $73,906,820)      76,113,879 
 
  Number of shares     
Preferred Stock – 0.33%       
Morgan Stanley 5.55% µ  1,180,000    1,038,129 
USB Realty 144A 2.978% (LIBOR03M + 1.147%)#•  400,000    300,698 
Total Preferred Stock (cost $1,490,000)      1,338,827 
 
Short-Term Investments – 4.43%       
Money Market Mutual Funds - 4.43%       
BlackRock FedFund – Institutional Shares (seven-day       
effective yield 0.33%)  3,606,509    3,606,509 
Fidelity Investments Money Market Government       
Portfolio – Class I (seven-day effective yield 0.30%)  3,606,509    3,606,509 
GS Financial Square Government Fund – Institutional       
Shares (seven-day effective yield 0.34%)  3,606,509    3,606,509 
Morgan Stanley Government Portfolio – Institutional Share       
Class (seven-day effective yield 0.22%)  3,606,509    3,606,509 
State Street Institutional US Government Money Market       
Fund – Investor Class (seven-day effective yield 0.24%)  3,606,509    3,606,509 
      18,032,545 
Total Short-Term Investments (cost $18,032,545)      18,032,545 
Total Value of Securities – 100.23%       
(cost $413,698,264)      408,062,463 
Liabilities Net of Receivables and Other Assets – (0.23%) ★     (926,902) 
Net Assets Applicable to 49,896,549 Shares Outstanding – 100.00%    $  407,135,561 

 

# Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended.
At March 31, 2020, the aggregate value of Rule 144A securities was $62,982,132, which represents
15.47% of the Fund’s net assets.
⯁ 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.
❆ PIK. 100% of the income received was in the form of cash.

14 NQ-022 [3/20] 5/20 (1179311)

 

(Unaudited)

★ Of this amount, $71,225 represents cash collateral posted for futures contracts and $164,599
represents cash collateral posted for centrally cleared swap contracts.

° Principal amount shown is stated in USD 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 March 31, 2020.
Rate will reset at a future date.
y No contractual maturity date.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at
March 31, 2020. For securities based on a published reference rate and spread, the reference rate
and spread are indicated in their description above. The reference rate descriptions (i.e. LIBOR03M,
LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference
rates may differ due to the timing of the reset period. Certain variable rate securities are not based on
a published reference rate and spread but are determined by the issuer or agent and are based on
current market conditions, or for mortgage-backed securities, are impacted by the individual
mortgages which are paying off over time. These securities do not indicate a reference rate and
spread in their description above.
f Step coupon bond. Stated rate in effect at March 31, 2020 through maturity date.

The following futures contracts and swap contracts were outstanding at March 31, 2020:

Futures Contracts                         
                      Variation  
                      Margin  
            Notional      Value/   Due from  
    Notional     Cost  Expiration    Unrealized   (Due to)  
Contracts to Buy (Sell)      Amount     (Proceeds)  Date    Depreciation   Brokers  
(70) US Treasury 5 yr Notes  $ (8,775,156)    $  (8,732,498)  6/30/20  $ (42,658 )      $  3,281  
Swap Contracts                         
CDS Contracts1                         
                      Variation  
              Upfront        Margin  
Reference Obligation/      Annual       Payments        Due from  
Termination Date/    Notional  Protection       Paid    Unrealized   (Due to)  
Payment Frequency    Amount2  Payments     Value  (Received)   Appreciation3   Brokers  
Centrally Cleared/                         
Protection Purchased:                         
CDX. NA. HY. 334                         
12/20/24-                         
Quarterly    9,800,000  5.00 %  $ 597,492 $       (538,784)   $    1,136,276 $  (116,064 ) 

 

NQ-022 [3/20] 5/20 (1179311) 15

 

Schedule of investments

Delaware Limited-Term Diversified Income Fund (Unaudited)

The use of 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 presented above represent the Fund’s total exposure in
such contracts, whereas only the variation margin is reflected in the Fund’s net assets.

1A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party
(seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular
reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued
daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded
as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are
amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in
value of CDS contracts is recorded as unrealized appreciation or depreciation daily. A realized gain or loss is recorded
upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement.

2Notional amount shown is stated in USD unless noted that the swap is denominated in another currency.

3Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in
the amount of $294,237.

4Markit’s CDX.NA.HY.33 Index, is composed of 100 liquid North American entities with high yield credit ratings that trade
in the CDS market. Credit-quality rating are measured on a scale that generally ranges from BB (highest) to B (lowest).

Summary of abbreviations:
ARM – Adjustable Rate Mortgage
CDS – Credit Default Swap
CDX.NA.HY – Credit Default Swap Index North American High-Yield
CLO – Collateralized Loan Obligation
DAC – Designated Activity Company
DB – Deutsche Bank
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GSMPS – Goldman Sachs Reperforming Mortgage Securities
ICE – Intercontinental Exchange
LIBOR – London interbank offered rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR02M – ICE LIBOR USD 2 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
LIBOR12M – ICE LIBOR USD 12 Month
NCUA – National Credit Union Administration
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
TBA – To be announced
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
USD – US Dollar

16 NQ-022 [3/20] 5/20 (1179311)