NPORT-EX 2 AIV0900DEL033122.htm
Schedule of investments
Delaware Ivy VIP Asset Strategy
March 31, 2022 (Unaudited)
    Principal
amount° 		Value (US $)
Agency Collateralized Mortgage Obligations — 0.52%
Fannie Mae Interest Strip
Series 413 C35 4.50% 10/25/40 Σ 		  1,364,099 $     215,176
Fannie Mae REMICs      
Series 2015-18 NS 5.663% (6.12% minus LIBOR01M, Cap 6.12%) 4/25/45 Σ, •   1,265,601       216,105
Series 2015-37 SB 5.163% (5.62% minus LIBOR01M, Cap 5.62%) 6/25/45 Σ, •   2,606,513       371,726
Series 2016-22 ST 5.643% (6.10% minus LIBOR01M, Cap 6.10%) 4/25/46 Σ, •   3,042,138       388,351
Series 2016-48 US 5.643% (6.10% minus LIBOR01M, Cap 6.10%) 8/25/46 Σ, •   3,119,951       429,875
Series 2017-33 AI 4.50% 5/25/47 Σ   1,257,514       212,389
Series 2018-44 DS 5.793% (6.25% minus LIBOR01M, Cap 6.25%) 6/25/48 Σ, •   6,002,628       850,654
Series 2019-13 IP 5.00% 3/25/49 Σ     834,149       147,880
Series 4740 SB 5.753% (6.15% minus LIBOR01M, Cap 6.15%) 11/15/47 Σ, •   1,280,807       185,014
Freddie Mac Strips
Series 303 C28 4.50% 1/15/43 Σ 		  2,606,898      484,961
Total Agency Collateralized Mortgage Obligations
(cost $4,081,766) 		   3,502,131
 
Agency Commercial Mortgage-Backed Securities — 0.79%
Fannie Mae
Series 2017-M2 A2 2.80% 2/25/27 • 		  1,798,690     1,813,559
Freddie Mac Multifamily
Structured Pass Through Certificates 		     
Series K103 X1 0.639% 11/25/29 •   2,021,563        84,859
Series K115 X1 1.327% 6/25/30 •   1,794,723       160,856
FREMF Mortgage Trust      
Series 2016-K60 B 144A 3.54% 12/25/49 #, Σ, •   2,751,000     2,697,708
    Principal
amount° 		Value (US $)
Agency Commercial Mortgage-Backed Securities (continued)
FREMF Mortgage Trust      
Series 2018-K73 B 144A 3.853% 2/25/51 #, Σ, •     600,000 $     601,879
Total Agency Commercial Mortgage-Backed Securities
(cost $5,793,975) 		   5,358,861
 
Agency Mortgage-Backed Securities — 4.68%
Fannie Mae S.F. 15 yr
2.50% 4/1/36 		  2,415,148     2,390,543
Fannie Mae S.F. 30 yr      
2.00% 12/1/50    3,310,880     3,083,784
2.00% 1/1/51    2,715,911     2,541,604
2.00% 10/1/51    3,519,215     3,270,872
2.50% 7/1/50    3,964,990     3,795,378
3.00% 8/1/50      849,843       834,514
3.50% 8/1/48    4,533,181     4,600,331
3.50% 11/1/49    4,925,022     4,973,025
Freddie Mac S.F. 30 yr
2.50% 1/1/51 		  1,562,645     1,496,335
GNMA II S.F. 30 yr
3.50% 6/20/50 		  4,591,714    4,626,394
Total Agency Mortgage-Backed Securities
(cost $34,008,278) 		  31,612,780
 
Corporate Bonds — 24.74%
Banking — 8.38%
Australia & New Zealand Banking Group 144A 2.57% 11/25/35 #, μ   1,881,000     1,643,891
Banco de Credito del Peru      
144A 3.125% 7/1/30 #, μ   1,938,000     1,826,420
144A 3.25% 9/30/31 #, μ   2,000,000     1,858,970
Banco Santander      
1.722% 9/14/27 μ   1,000,000       904,679
1.849% 3/25/26    2,000,000     1,872,089
Banco Santander Mexico 144A 5.375% 4/17/25 #     702,000       733,379
Bank of America      
2.551% 2/4/28 μ      95,000        90,864
2.972% 2/4/33 μ      45,000        42,213
4.375% 1/27/27 μ, ψ      45,000        42,404
BNP Paribas 144A 4.625% 3/13/27 #   3,610,000     3,696,361
BPCE 144A 2.277% 1/20/32 #, μ   2,000,000     1,759,188
Citigroup      
1.122% 1/28/27 μ   2,500,000     2,296,681
3.057% 1/25/33 μ     140,000       130,956
3.07% 2/24/28 μ     115,000       112,133
NQ-IV090 [3/22] 5/22 (2218497)    1
Schedule of investments
Delaware Ivy VIP Asset Strategy (Unaudited)
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Banking (continued)
Credit Agricole      
144A 1.907% 6/16/26 #, μ   2,657,000 $   2,511,080
144A 8.125% 12/23/25 #, μ, ψ   2,000,000     2,230,300
Credit Suisse Group 144A 2.193% 6/5/26 #, μ   1,654,000     1,555,008
Deutsche Bank 2.129% 11/24/26 μ   2,000,000     1,856,308
DNB Bank 144A 1.535% 5/25/27 #, μ   1,500,000     1,381,291
Goldman Sachs Group      
1.542% 9/10/27 μ      60,000        54,919
3.102% 2/24/33 μ      45,000        42,464
3.615% 3/15/28 μ     170,000       169,974
HSBC Holdings      
2.206% 8/17/29 μ   1,000,000       900,991
4.60% 12/17/30 μ, ψ   1,101,000       985,395
6.375% 9/17/24 *, μ, ψ   2,000,000     2,064,500
ING Groep      
3.875% 5/16/27 μ, ψ   1,000,000       875,000
4.25% 5/16/31 *, μ, ψ   1,000,000       853,750
6.875% 4/16/22 μ, ω   2,681,000     2,687,316
Intesa Sanpaolo      
144A 3.25% 9/23/24 #     700,000       693,667
144A 3.875% 7/14/27 #   2,351,000     2,296,857
JPMorgan Chase & Co. 2.963% 1/25/33 μ     165,000       155,725
Macquarie Bank 144A 3.624% 6/3/30 #     436,000       411,563
Morgan Stanley      
2.475% 1/21/28 μ      70,000        66,837
2.484% 9/16/36 μ   1,500,000     1,288,530
Nordea Bank 144A 3.75% 3/1/29 #, μ, ψ   1,000,000       860,830
Societe Generale      
144A 1.488% 12/14/26 #, μ   2,000,000     1,810,466
144A 1.792% 6/9/27 #, μ   1,000,000       902,477
Standard Chartered 144A 4.30% 2/19/27 #   3,000,000     3,015,336
State Street 2.203% 2/7/28 μ     140,000       134,314
Svenska Handelsbanken 4.75% 3/1/31 μ, ψ   2,000,000     1,933,298
Swedbank 5.625% 9/17/24 μ, ψ   2,000,000     2,019,596
UBS Group 144A 2.095% 2/11/32 #, μ   1,500,000     1,314,349
UniCredit      
144A 2.569% 9/22/26 #, μ   2,200,000     2,035,056
144A 5.459% 6/30/35 #, μ   1,000,000       957,409
US Bancorp      
2.215% 1/27/28 μ     115,000       109,978
2.677% 1/27/33 μ     115,000       109,458
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Banking (continued)
Wells Fargo & Co.      
3.526% 3/24/28 μ      85,000 $      84,897
3.90% 3/15/26 μ, ψ   1,300,000    1,246,927
    56,626,094
Basic Industry — 0.76%
Glencore Funding      
144A 1.625% 9/1/25 #     659,000       616,936
144A 2.50% 9/1/30 #   1,537,000     1,377,619
Newmont 2.60% 7/15/32       75,000        69,094
Orbia Advance 144A 1.875% 5/11/26 #   1,600,000     1,501,632
Suzano Austria 2.50% 9/15/28      600,000       542,595
Teck Resources 3.90% 7/15/30    1,000,000    1,000,119
     5,107,995
Capital Goods — 0.65%
Aeropuerto Internacional de Tocumen 144A 4.00% 8/11/41 #, Σ   1,000,000       910,586
Boeing      
4.875% 5/1/25    1,083,000     1,118,331
5.15% 5/1/30      758,000       809,542
5.805% 5/1/50      429,000       496,894
Standard Industries 144A 4.375% 7/15/30 #   1,173,000    1,075,876
     4,411,229
Communications — 2.86%
Alibaba Group Holding 2.125% 2/9/31    2,000,000     1,741,685
Amazon.com      
1.50% 6/3/30      654,000       586,039
2.50% 6/3/50      218,000       182,602
American Homes 4 Rent 3.625% 4/15/32       85,000        82,889
AT&T      
2.25% 2/1/32 *   1,500,000     1,332,349
3.65% 6/1/51    2,653,000     2,422,488
Charter Communications Operating 3.85% 4/1/61      135,000       108,959
Comcast 1.50% 2/15/31 *   2,000,000     1,745,041
Empresa Nacional de Telecomunicaciones 144A 3.05% 9/14/32 #   1,000,000       909,075
Expedia Group 3.80% 2/15/28    1,000,000       996,618
Genm Capital Labuan 144A 3.882% 4/19/31 #   2,000,000     1,745,404
 
2    NQ-IV090 [3/22] 5/22 (2218497)
(Unaudited)
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Communications (continued)
Magallanes      
144A 3.755% 3/15/27 #     310,000 $     309,953
144A 4.054% 3/15/29 #      45,000        45,275
144A 4.279% 3/15/32 #      45,000        45,256
144A 5.141% 3/15/52 #     175,000       179,457
Meituan 144A 2.125% 10/28/25 #, *   2,439,000     2,169,756
Prosus 144A 3.832% 2/8/51 #   2,500,000     1,828,133
Rogers Communications      
144A 3.80% 3/15/32 #      90,000        89,416
144A 4.55% 3/15/52 #      90,000        89,736
Verizon Communications      
1.50% 9/18/30    3,000,000     2,609,030
3.875% 3/1/52 *     135,000      136,060
    19,355,221
Consumer Cyclical — 2.57%
7-Eleven 144A 1.30% 2/10/28 #   2,000,000     1,754,193
Alimentation Couche-Tard 144A 2.95% 1/25/30 #, *   3,000,000     2,866,159
Aptiv 3.25% 3/1/32 *      45,000        42,708
AutoNation 3.85% 3/1/32       90,000        87,250
Carnival 144A 4.00% 8/1/28 #     550,000       512,218
Dollar General 3.50% 4/3/30    2,000,000     1,992,590
General Motors Financial 3.10% 1/12/32 *      50,000        45,002
Genting New York 144A 3.30% 2/15/26 #   1,250,000     1,183,857
Home Depot 1.875% 9/15/31    1,000,000       895,038
Lowe's 4.25% 4/1/52      110,000       113,952
MGM Resorts International 4.75% 10/15/28 *   1,127,000     1,091,967
Nissan Motor      
144A 4.345% 9/17/27 #     978,000       965,509
144A 4.81% 9/17/30 #   1,098,000     1,090,765
PVH 4.625% 7/10/25    2,000,000     2,042,530
Ross Stores 1.875% 4/15/31 *   1,500,000     1,306,403
Sands China 144A 2.55% 3/8/27 #   1,000,000       873,500
VF 2.80% 4/23/27 *     500,000      491,942
    17,355,583
Consumer Non-Cyclical — 1.55%
AbbVie 3.20% 11/21/29    2,000,000     1,978,361
Altria Group 3.70% 2/4/51    3,000,000     2,433,813
Anheuser-Busch InBev Worldwide 3.50% 6/1/30      430,000       436,639
Bristol-Myers Squibb 3.70% 3/15/52       70,000        70,561
CVS Health 1.30% 8/21/27    2,000,000     1,822,169
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Consumer Non-Cyclical (continued)
Fresenius Medical Care US Finance III 144A 1.875% 12/1/26 #   1,500,000 $   1,390,042
HCA 144A 3.125% 3/15/27 #      70,000        68,507
JBS USA LUX 144A 3.00% 2/2/29 #     225,000       208,581
Nestle Holdings 144A 1.875% 9/14/31 #, *   1,000,000       901,702
New Cotai 144A 4.896%     3,642,397       637,419
Transurban Finance 144A 2.45% 3/16/31 #     611,000      542,663
    10,490,457
Electric — 1.18%
Chile Electricity 144A 0.00% 1/25/28 #, ^   1,000,000       756,725
Comision Federal de Electricidad 144A 3.875% 7/26/33 #   1,000,000       879,180
Eversource Energy 2.90% 3/1/27      135,000       132,512
FEL Energy VI 144A 5.75% 12/1/40 #   1,929,625     1,735,515
Fells Point Funding Trust 144A 3.046% 1/31/27 #     115,000       110,430
NextEra Energy Capital Holdings 3.00% 1/15/52      170,000       145,557
NRG Energy      
144A 2.00% 12/2/25 #   1,100,000     1,035,668
144A 2.45% 12/2/27 #     110,000       101,651
Pacific Gas and Electric 3.00% 6/15/28    1,154,000     1,075,705
Virginia Electric and Power 2.45% 12/15/50    2,500,000    2,006,903
     7,979,846
Energy — 2.33%
BP Capital Markets America 2.721% 1/12/32      215,000       202,596
ConocoPhillips 3.80% 3/15/52      225,000       229,499
Continental Resources 4.375% 1/15/28      635,000       644,728
Diamondback Energy 4.25% 3/15/52       45,000        44,590
Empresa Nacional del Petroleo 144A 3.45% 9/16/31 #   1,000,000       918,545
Galaxy Pipeline Assets Bidco      
144A 2.16% 3/31/34 #   2,000,000     1,846,582
144A 2.625% 3/31/36 #   1,500,000     1,348,620
Harvest Operations 144A 1.00% 4/26/24 #   1,000,000       960,773
Petroleos del Peru 144A 5.625% 6/19/47 #   2,000,000     1,683,800
Petronas Capital 144A 3.50% 4/21/30 #     432,000       440,478
 
NQ-IV090 [3/22] 5/22 (2218497)    3
Schedule of investments
Delaware Ivy VIP Asset Strategy (Unaudited)
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Energy (continued)
Qatar Energy 144A 3.125% 7/12/41 #   1,000,000 $     912,346
Santos Finance 144A 3.649% 4/29/31 #   1,000,000       935,431
Saudi Arabian Oil      
144A 1.625% 11/24/25 #     940,000       893,145
144A 2.25% 11/24/30 #   1,210,000     1,112,043
Valero Energy 2.15% 9/15/27    2,102,000     1,969,468
Williams 5.10% 9/15/45    1,500,000    1,629,710
    15,772,354
Financials — 2.22%
AerCap Ireland Capital DAC 2.45% 10/29/26    2,500,000     2,315,897
AIA Group      
144A 3.20% 9/16/40 #, Σ   1,098,000       977,022
144A 3.375% 4/7/30 #, Σ     540,000       537,546
Air Lease 2.875% 1/15/32      440,000       394,480
Aircastle 144A 5.25% 8/11/25 #, Σ   1,466,000     1,494,674
Ares Capital 2.15% 7/15/26    2,000,000     1,810,231
Avolon Holdings Funding 144A 2.75% 2/21/28 #   2,500,000     2,227,575
Brown & Brown 4.95% 3/17/52      130,000       139,196
Citadel Finance 144A 3.375% 3/9/26 #   2,500,000     2,388,104
LSEGA Financing 144A 1.375% 4/6/26 #   2,000,000     1,843,077
Temasek Financial I 144A 1.625% 8/2/31 #   1,000,000      893,657
    15,021,459
Technology — 1.61%
Apple      
2.40% 8/20/50      878,000       726,714
2.65% 2/8/51    2,000,000     1,730,795
Autodesk 2.40% 12/15/31      165,000       147,401
Baidu 1.72% 4/9/26 Ω   1,970,000     1,817,734
Broadcom 144A 1.95% 2/15/28 #   1,500,000     1,354,366
CDW 3.276% 12/1/28       90,000        84,940
Iron Mountain 144A 5.25% 7/15/30 #     290,000       284,594
Iron Mountain Information Management Services 144A 5.00% 7/15/32 #     895,000       840,401
Leidos 3.625% 5/15/25      326,000       326,308
PayPal Holdings 2.30% 6/1/30 *   2,000,000     1,864,416
TSMC Global 144A 1.375% 9/28/30 #   1,318,000     1,123,132
VMware 3.90% 8/21/27      500,000       507,350
    Principal
amount° 		Value (US $)
Corporate Bonds (continued)
Technology (continued)
Workday      
3.50% 4/1/27       20,000 $      20,008
3.70% 4/1/29       45,000        45,141
3.80% 4/1/32       45,000       44,970
    10,918,270
Transportation — 0.63%
British Airways 2020-1 Class A Pass Through Trust 144A 4.25% 5/15/34 #     225,977       225,747
Southwest Airlines 5.25% 5/4/25    2,042,000     2,146,127
Union Pacific      
2.80% 2/14/32 *      90,000        86,522
3.375% 2/14/42       25,000        24,215
3.50% 2/14/53       45,000        44,160
United Airlines Pass Through Trust 4.875% 7/15/27    1,728,000    1,705,444
     4,232,215
Total Corporate Bonds
(cost $185,740,076) 		 167,270,723
 
Non-Agency Commercial Mortgage-Backed Security — 0.01%
Merrill Lynch Mortgage Investors Trust
Series 1998-C1 F 6.25% 11/15/26 • 		     95,310       95,974
Total Non-Agency Commercial Mortgage-Backed Security
(cost $96,010) 		      95,974
 
Sovereign Bonds — 0.62%
Hong Kong — 0.26%
Airport Authority 144A 1.625% 2/4/31 #   2,000,000    1,737,850
     1,737,850
Mexico — 0.22%
Mexico Government International Bond 5.00% 4/27/51    1,500,000    1,520,535
     1,520,535
Peru — 0.14%
Peruvian Government International Bond 3.00% 1/15/34    1,000,000      934,660
       934,660
Total Sovereign Bonds
(cost $4,726,145) 		   4,193,045
 
Supranational Bank — 0.14%
Africa Finance
144A 2.875% 4/28/28 # 		  1,000,000      925,320
 
4    NQ-IV090 [3/22] 5/22 (2218497)
(Unaudited)
    Principal
amount° 		Value (US $)
Supranational Bank (continued)
Total Supranational Bank
(cost $993,571) 		     925,320
    Number of
shares 		 
Common Stocks — 61.63%
Communication Services — 5.83%
Alphabet Class A †       5,570 $  15,492,119
Baidu ADR †      28,867     3,819,104
Deutsche Telekom      409,556     7,627,624
Frontier Communications Parent †     199,077     5,508,461
Pinterest Class A †      82,725     2,035,862
Tencent Holdings       36,100     1,664,006
T-Mobile US †      25,345    3,253,031
    39,400,207
Consumer Cyclical — 0.00%
New Cotai †          26            0
             0
Consumer Discretionary — 8.04%
adidas AG       11,939     2,782,098
Amazon.com †       4,973    16,211,731
Aptiv †      53,593     6,415,618
Darden Restaurants       64,954     8,635,634
Ferrari       19,360     4,217,764
JD.com ADR *, †      78,183     4,524,450
LVMH Moet Hennessy Louis Vuitton        4,336     3,095,034
Skechers USA Class A †     152,862     6,230,655
Subaru      141,131    2,241,583
    54,354,567
Consumer Staples — 3.55%
Casey's General Stores       16,440     3,257,915
China Mengniu Dairy †     846,313     4,537,424
HelloFresh †      80,819     3,627,460
Procter & Gamble       44,995     6,875,236
Unilever      126,524    5,744,543
    24,042,578
Energy — 3.87%
Canadian Natural Resources      196,333    12,168,719
ConocoPhillips       96,686     9,668,600
Reliance Industries      124,899    4,319,954
    26,157,273
Financials — 9.53%
AGNC Investment      453,172     5,936,553
AIA Group      398,886     4,165,122
BNP Paribas       95,649     5,465,831
First Republic Bank       40,706     6,598,443
    Number of
shares 		Value (US $)
Common Stocks (continued)
Financials (continued)
Goldman Sachs Group        6,211 $   2,050,251
ICICI Bank      328,225     3,130,603
Intercontinental Exchange       36,635     4,840,216
Mastercard Class A       25,292     9,038,855
Morgan Stanley       55,251     4,828,937
ORIX      500,997     9,986,152
State Bank of India      525,301     3,393,890
UniCredit      460,940    4,972,506
    64,407,359
Healthcare — 8.50%
Abbott Laboratories       41,257     4,883,179
Anthem       16,924     8,313,407
AstraZeneca       41,940     5,561,791
Eli Lilly & Co.       27,714     7,936,458
Genmab †      16,615     6,000,560
Regeneron Pharmaceuticals †      14,237     9,943,406
Thermo Fisher Scientific       15,462     9,132,630
Zimmer Biomet Holdings       43,686     5,587,439
Zimvie †       4,390      100,268
    57,459,138
Industrials — 9.39%
Airbus †      78,546     9,478,028
Ferguson       54,886     7,435,949
Ingersoll Rand      205,994    10,371,798
Larsen & Toubro      285,029     6,610,033
Raytheon Technologies       67,661     6,703,175
Schneider Electric       38,339     6,436,749
Union Pacific       41,399    11,310,621
Vinci       50,276    5,136,833
    63,483,186
Information Technology — 12.12%
Adobe †       4,881     2,223,881
Ambarella †      59,911     6,285,862
Apple       42,078     7,347,240
Autodesk †      20,076     4,303,291
Infineon Technologies      157,953     5,343,556
Intuit       20,384     9,801,443
Microsoft       65,037    20,051,557
Monolithic Power Systems        5,599     2,719,322
Samsung Electronics      131,061     7,499,701
Taiwan Semiconductor Manufacturing      513,450    10,532,667
VeriSign †      26,349    5,861,599
    81,970,119
Materials — 0.63%
Barrick Gold      172,778    4,238,244
     4,238,244
 
NQ-IV090 [3/22] 5/22 (2218497)    5
Schedule of investments
Delaware Ivy VIP Asset Strategy (Unaudited)
    Number of
shares 		Value (US $)
Common Stocks (continued)
Utilities — 0.17%
RWE       27,339 $   1,190,409
     1,190,409
Total Common Stocks
(cost $349,155,504) 		 416,703,080
 
Preferred Stock — 0.64%
Volkswagen 3.05%       25,184    4,327,904
Total Preferred Stock
(cost $4,965,798) 		   4,327,904
 
Affiliated Mutual Funds — 4.79%
VIP ASF GOLD CFC      19,794    32,396,848
VIP ASF III (SBP),       9,104       15,295
Total Affiliated Mutual Funds
(cost $46,610,733) 		  32,412,143
 
Short-Term Investments — 1.28%
Money Market Mutual Fund — 1.28%
State Street Institutional US Government Money Market Fund – Premier Class (seven-day effective yield 0.17%)   8,680,629    8,680,629
Total Short-Term Investments
(cost $8,680,629) 		   8,680,629
Total Value of Securities Before
Securities Lending Collateral—99.84%
(cost $644,852,485) 		 675,082,590
 
Securities Lending Collateral — 0.69%
Money Market Mutual Fund — 0.69%
Dreyfus Institutional Preference Government Money Market Fund - Institutional Shares (seven-day effective yield 0.30%)   4,642,267    4,642,267
Total Securities Lending Collateral
(cost $4,642,267) 		   4,642,267
Total Value of Securities—100.53%
(cost $649,494,752) 		    679,724,857■
Obligation to Return
Securities Lending
Collateral — (0.69%) 		      (4,642,269)
      Value (US $)
Receivables and Other Assets Net of Liabilities — 0.15%        1,025,468
Net Assets Applicable to 70,764,677 Shares Outstanding—100.00%      $676,108,056
° Principal amount shown is stated in USD unless noted that the security is denominated in another currency.
Σ Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. 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 descriptions.
# Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2022, the aggregate value of Rule 144A securities was $94,569,288, which represents 14.08% of the Fund's net assets.
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2022. Rate will reset at a future date.
ψ Perpetual security. Maturity date represents next call date.
* Fully or partially on loan.
ω Perpetual security with no stated maturity date.
^ Zero-coupon security. The rate shown is the effective yield at the time of purchase.
Ω Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security.
† Non-income producing security.
■ Includes $16,964,565 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $12,939,218.
 
The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2022:
Foreign Currency Exchange Contracts            
Counterparty   Currency to
Receive (Deliver) 		  In Exchange For   Settlement
Date 		  Unrealized
Appreciation 		  Unrealized
Depreciation
BNYM   GBP (3,234,943)   USD 4,247,804   4/1/22   $—   $(1,740)
    
6    NQ-IV090 [3/22] 5/22 (2218497)
(Unaudited)
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost
(Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Depreciation 		  Variation
Margin
Due from
(Due to)
Brokers
52 US Treasury 5 yr Notes   $5,963,750   $6,189,704   6/30/22   $(225,954)   $7,312
The use of foreign currency exchange contracts and futures contracts involve elements of market risk and risks in excessof the amounts disclosed in these financial statements. The foreign currency exchange contracts and notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin is reflected in the Fund’s net assets.
Summary of abbreviations: 
ADR – American Depositary Receipt
AG – Aktiengesellschaft
BNP – BNP Paribas
BNYM – Bank of New York Mellon
CFC – Cooperative Finance Corporation
DAC – Designated Activity Company
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REMICs – Real Estate Mortgage Investment Conduits
S.F. – Single Family
yr – Year
Summary of currencies: 
GBP – British Pound Sterling
USD – US Dollar
NQ-IV090 [3/22] 5/22 (2218497)    7