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: | 811-06322 | |
Exact name of registrant as specified in charter: | Delaware Pooled® Trust | |
Address of principal executive offices: | 2005 Market Street | |
Philadelphia, PA 19103 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
2005 Market Street | ||
Philadelphia, PA 19103 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | October 31 | |
Date of reporting period: | April 30, 2019 |
Item 1. Reports to Stockholders
Table of Contents
Semiannual report
Macquarie Institutional Portfolios (registered as Delaware Pooled®Trust)
US equities |
Macquarie Large Cap Value Portfolio |
US fixed income |
Macquarie Core Plus Bond Portfolio |
Macquarie High Yield Bond Portfolio |
International equities |
Macquarie Emerging Markets Portfolio |
Macquarie Emerging Markets Portfolio II |
Macquarie Labor Select International Equity Portfolio |
April 30, 2019 |
Beginning on or about June 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your Fund’s shareholder reports will no longer be sent to you by mail, unless you specifically request them from the Fund or from your financial intermediary, such as a broker/dealer, bank, or insurance company. Instead, you will be notified by mail each time a report is posted on the website and provided with a link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you do not need to take any action.
You may elect to receive paper copies of all future shareholder reports free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by contacting us at 800231-8002. If you own these shares through a financial intermediary, you may contact your financial intermediary to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with Macquarie Institutional Portfolios or your financial intermediary.
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Security type / sector / country allocations and top 10 equity holdings | 5 | |||
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56 | ||||
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86 |
Macquarie Institutional Portfolios
Macquarie Institutional Portfolios (registered as Delaware Pooled® Trust) are designed exclusively for institutional investors and high net worth individuals.
Delaware Management Company, a series of Macquarie Investment Management Business Trust (MIMBT), serves as investment advisor for the Portfolios. Mondrian Investment Partners Limited serves as investmentsub-advisor for Macquarie Emerging Markets Portfolio* and Macquarie Labor Select International Equity Portfolio.
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.Performance data current to the most recent month end may be obtained by calling 800231-8002 or visiting macquarie.com/investment-management/institutional. Carefully consider the Portfolios’ investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Portfolios’ prospectus which may be obtained by visiting macquarie.com/investment-management/institutional or calling 800231-8002. Investors should read the prospectus carefully before investing. Performance includes reinvestment of all distributions.
The Portfolios 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 MIMBT, which is a registered investment advisor.
The Portfolios are distributed byDelaware Distributors, L.P.(DDLP), an affiliate of MIMBT, Macquarie Management Holdings, Inc., and Macquarie Group Limited. Macquarie Investment Management (MIM) is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited and its subsidiaries and affiliates worldwide. Institutional investment management is provided by Macquarie Investment Management Advisers (MIMA), a series of MIMBT. MIMBT is a US registered investment advisor, and may not be able to provide investment advisory services to certain clients in certain jurisdictions.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Portfolios are governed by US laws and regulations.
*Closed to new investors.
©2019 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
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Portfolio objectives and strategies
Macquarie Large Cap Value Portfolioseeks long-term capital appreciation. The Portfolio invests primarily in securities of large-capitalization companies that we believe have long-term capital appreciation potential. The Portfolio currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, we seek to select securities that we believe are undervalued in relation to their intrinsic value as indicated by multiple factors.
Macquarie Core Plus Bond Portfolioseeks maximum long-term total return, consistent with reasonable risk. The Portfolio allocates its investments principally among three sectors of the fixed income securities markets: US investment grade sector, US high yield sector, and international sector.
Macquarie High Yield Bond Portfolioseeks high total return. The Portfolio will primarily invest its assets at the time of purchase in: (1) corporate bonds rated BB or lower by Standard & Poor’s (S&P) or similarly rated by another nationally recognized statistical rating organization; (2) securities issued or guaranteed by the US government, its agencies, or instrumentalities; or (3) commercial paper of companies ratedA-1 orA-2 by S&P, ratedP-1 orP-2 by Moody’s Investors Service, Inc. (Moody’s), or unrated but considered to be of comparable quality.
Macquarie Emerging Markets Portfolioseeks long-term capital appreciation. The Portfolio generally invests in equity securities of companies that are organized in, have a majority of their assets in, or derive a majority of their operating income from emerging countries. Macquarie Emerging Markets Portfolio is presently closed to new investors.
Macquarie Emerging Markets Portfolio IIseeks long-term capital appreciation. The Portfolio invests primarily in a broad range of equity securities of companies located in emerging market countries. The Portfolio may invest in companies of any size. The portfolio manager believes that although market price and intrinsic business value are positively correlated in the long run, short-term divergences can emerge. The Portfolio seeks to take advantage of these divergences through a fundamental,bottom-up approach. The Portfolio invests in securities of companies with sustainable franchises when they are trading at a discount to the portfolio manager’s intrinsic value estimate for that security.
Macquarie Labor Select International Equity Portfolioseeks maximum long-term total return. The Portfolio invests primarily in equity securities of companies that are organized, have a majority of their assets, or derive most of their operating income outside of the United States, and that, in the opinion of Mondrian Investment Partners Limited (“Mondrian”), the Portfolio’ssub-advisor, are undervalued at the time of purchase based on the rigorous fundamental analysis that thesub-advisor employs. In addition to following these quantitative guidelines, Mondrian will select securities of issuers that present certain characteristics that are compatible or operate in accordance with certain investment policies or restrictions followed by organized labor.
Carefully consider the Portfolios’ investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Portfolios’ prospectus, which may be obtained by visiting macquarie.com/investment-management/institutional or calling 800231-8002. Investors should read the applicable prospectus carefully before investing.
Macquarie Institutional Portfolios are designed exclusively for institutional investors and high net worth individuals.
International investments entail risks not ordinarily associated with US 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.
The Portfolios’share prices and yields will fluctuate in response to movements in stock prices.
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.
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The Portfolios may also be subject to prepayment risk, the risk that the principal of a bond that is held by a portfolio will be prepaid prior to maturity, at the time when interest rates are lower than what the bond was paying. A portfolio may then have to reinvest that money at a lower interest rate.
Securities in the lowest of the rating categories considered to be investment grade (that is, Baa or BBB) have some speculative characteristics.
High yielding,non-investment-grade bonds (junk bonds) involve higher risk than investment grade bonds.
The high yield secondary market is particularly susceptible to liquidity problems when institutional investors, such as mutual funds and certain other financial institutions, temporarily stop buying bonds for regulatory, financial, or other reasons. In addition, a less liquid secondary market makes it more difficult for the Portfolio to obtain precise valuations of the high yield securities in its portfolio.
If and when a Portfolio invests in forward foreign currency contracts or uses other investments to hedge against currency risks, the Portfolio will be subject to special risks, including counterparty risk.
The Portfolios 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.
Interest payments on inflation-indexed debt securities will vary as the principal and/or interest is adjusted for inflation.
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Disclosure of Portfolio expenses
For thesix-month period from November 1, 2018 to April 30, 2019 (Unaudited)
As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including reimbursement fees on Macquarie Emerging Markets Portfolio; and (2) ongoing costs, including management fees and other Portfolio expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entiresix-month period from Nov. 1, 2018 to April 30, 2019.
Actual Expenses
The first section of the table shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. Certain of the Portfolios’ actual expenses shown in the table reflect fee waivers in effect assume reinvestment of all dividends and distributions.
In each case, “Expenses Paid During Period” are equal to the relevant Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect theone-half year period).
Macquarie Institutional Portfolios
Expense Analysis of an Investment of $1,000
Beginning Account Value 11/1/18 | Ending Account Value 4/30/19 | Annualized Expense Ratio | Expenses Paid During Period 11/1/18 to 4/30/19 | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Macquarie | $ | 1,000.00 | $ | 1,055.20 | 0.70 | % | $ | 3.57 | ||||||||
Macquarie Core Plus Bond Portfolio | 1,000.00 | 1,058.60 | 0.45 | % | 2.30 | |||||||||||
Macquarie High Yield Bond Portfolio | 1,000.00 | 1,052.80 | 0.59 | % | 3.00 | |||||||||||
Macquarie Emerging Markets Portfolio | 1,000.00 | 1,117.80 | 1.36 | % | 7.14 | |||||||||||
Macquarie Emerging Markets Portfolio II | 1,000.00 | 1,154.20 | 1.20 | % | 6.41 | |||||||||||
Macquarie Labor Select International Equity Portfolio | 1,000.00 | 1,071.00 | 0.86 | % | 4.42 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
| |||||||||||||||
Macquarie Large Cap Value Portfolio | $ | 1,000.00 | $ | 1,021.32 | 0.70 | % | $ | 3.51 | ||||||||
Macquarie Core Plus Bond Portfolio | 1,000.00 | 1,022.56 | 0.45 | % | 2.26 | |||||||||||
Macquarie High Yield Bond Portfolio | 1,000.00 | 1,021.87 | 0.59 | % | 2.96 | |||||||||||
Macquarie Emerging Markets Portfolio | 1,000.00 | 1,018.05 | 1.36 | % | 6.80 | |||||||||||
Macquarie Emerging Markets Portfolio II | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
Macquarie Labor Select International Equity Portfolio | 1,000.00 | 1,020.53 | 0.86 | % | 4.31 |
† | Because actual returns reflect only the most recentsix-month period, the returns shown may differ significantly from fiscal year returns. |
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Security type / sector allocations
and top 10 equity holdings
Macquarie Institutional Portfolios — Macquarie Large Cap Value Portfolio
As of April 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one portfolio being different than another portfolio’s sector designations.
Security type / sector | Percentage of net assets | |||
Common Stock | 98.82% | |||
Communication Services | 5.79% | |||
Consumer Discretionary | 6.16% | |||
Consumer Staples | 6.11% | |||
Energy | 11.31% | |||
Financials | 15.33% | |||
Healthcare | 23.89% | |||
Industrials | 9.40% | |||
Information Technology | 11.85% | |||
Materials | 2.97% | |||
Real Estate | 2.98% | |||
Utilities | 3.03% | |||
Short-Term Investments | 1.16% | |||
Total Value of Securities | 99.98% | |||
Receivables and Other Assets Net of Liabilities | 0.02% | |||
Total Net Assets | 100.00% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Waste Management | 3.25% | |||
Dollar Tree | 3.20% | |||
Northrop Grumman | 3.19% | |||
Quest Diagnostics | 3.17% | |||
BB&T | 3.17% | |||
American International Group | 3.15% | |||
Allstate | 3.11% | |||
Johnson & Johnson | 3.09% | |||
Cardinal Health | 3.09% | |||
Broadcom | 3.09% |
(continues) 5
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Security type / sector allocations
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
As of April 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one portfolio being different than another portfolio’s sector designations.
Security type / sector | Percentage of net assets | |||
Agency Asset-Backed Security | 0.04% | |||
Agency Collateralized Mortgage Obligations | 2.99% | |||
Agency Commercial Mortgage-Backed Securities | 2.12% | |||
Agency Mortgage-Backed Securities | 10.87% | |||
Collateralized Debt Obligations | 3.92% | |||
Convertible Bond | 0.02% | |||
Corporate Bonds | 39.83% | |||
Banking | 7.77% | |||
Basic Industry | 3.15% | |||
Brokerage | 0.78% | |||
Capital Goods | 1.94% | |||
Communications | 4.47% | |||
Consumer Cyclical | 2.50% | |||
ConsumerNon-Cyclical | 3.61% | |||
Electric | 4.94% | |||
Energy | 4.68% | |||
Finance Companies | 0.82% | |||
Insurance | 1.70% | |||
REITs | 0.65% | |||
Technology | 1.81% | |||
Transportation | 0.74% | |||
Utilities
|
| 0.27%
|
|
Security type / sector | Percentage of net assets | |||
Loan Agreements | 6.36% | |||
Municipal Bonds | 0.11% | |||
Non-Agency Asset-Backed Securities | 3.17% | |||
Non-Agency Collateralized Mortgage Obligations | 1.93% | |||
Non-Agency Commercial Mortgage-Backed Securities | 6.04% | |||
Sovereign Bonds | 1.81% | |||
Supranational Bank | 0.09% | |||
US Treasury Obligations | 15.47% | |||
Convertible Preferred Stock | 0.09% | |||
Preferred Stock | 0.11% | |||
Short-Term Investments | 6.38% | |||
Total Value of Securities | 101.35% | |||
Liabilities Net of Receivables and Other Assets | (1.35%) | |||
Total Net Assets | 100.00% |
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Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
As of April 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one portfolio being different than another portfolio’s sector designations.
Security type / sector | Percentage of net assets | |||
Corporate Bonds | 89.20 | % | ||
Automotive | 0.29 | % | ||
Banking | 3.97 | % | ||
Basic Industry | 11.95 | % | ||
Capital Goods | 4.31 | % | ||
Consumer Cyclical | 5.64 | % | ||
ConsumerNon-Cyclical | 1.89 | % | ||
Energy | 13.89 | % | ||
Healthcare | 10.01 | % | ||
Insurance | 4.18 | % | ||
Media | 10.43 | % | ||
Real Estate | 0.27 | % | ||
Services | 6.28 | % | ||
Technology & Electronics | 4.42 | % | ||
Telecommunications | 7.21 | % | ||
Transportation | 1.10 | % | ||
Utilities | 3.36 | % | ||
Loan Agreements | 5.66 | % | ||
Common Stock | 0.00 | % | ||
Short-Term Investments | 5.56 | % | ||
Total Value of Securities | 100.42 | % | ||
Liabilities Net of Receivables and Other Assets | (0.42 | %) | ||
Total Net Assets | 100.00 | % |
(continues) 7
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Security type / country and sector allocations
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio
As of April 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s orsub-advisor’s internal sector classifications, which may result in the sector designations for one portfolio being different than another portfolio’s sector designations.
Security type / country | Percentage of net assets | |||
Common Stock | 95.81 | % | ||
Brazil | 7.96 | % | ||
China/Hong Kong | 30.43 | % | ||
India | 13.61 | % | ||
Indonesia | 1.60 | % | ||
Malaysia | 2.90 | % | ||
Mexico | 3.25 | % | ||
Peru | 0.97 | % | ||
Philippines | 0.61 | % | ||
Qatar | 0.41 | % | ||
Republic of Korea | 13.36 | % | ||
Romania | 0.30 | % | ||
Russia | 3.04 | % | ||
South Africa | 1.88 | % | ||
Taiwan | 9.28 | % | ||
Thailand | 2.09 | % | ||
United Arab Emirates | 1.23 | % | ||
United Kingdom | 2.89 | % | ||
Preferred Stock | 2.78 | % | ||
Short-Term Investments | 0.93 | % | ||
Total Value of Securities | 99.52 | % | ||
Receivables and Other Assets Net of Liabilities | 0.48 | % | ||
Total Net Assets | 100.00 | % |
Common stock and preferred stock by sector | Percentage of net assets | |||
Communications Services | 2.39% | |||
Consumer Discretionary | 10.91% | |||
Consumer Staples | 8.63% | |||
Energy | 3.34% | |||
Financials | 29.43% | |||
Healthcare | 6.56% | |||
Industrials | 5.34% | |||
Information Technology | 15.45% | |||
Materials | 13.20% | |||
Real Estate | 2.00% | |||
Utilities | 1.34% | |||
Total | 98.59% |
To monitor compliance with the Portfolio’s concentration guidelines as described in the Portfolio’s Prospectus and Statement of Additional Information, the Financials sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940 as amended). The Financials sector consisted of banks, diversified financial services, insurance, and investment companies. As of April 30, 2019, such amounts, as a percentage of total net assets were 12.97%, 8.66%, 6.61%, and 1.19%, respectively. The percentage in any such single industry will comply with the Portfolio’s concentration policy even if the percentage in the Financials sector for financial reporting purposes may exceed 25%.
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Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio II
As of April 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one portfolio being different than another portfolio’s sector designations.
Security type / country | Percentage of net assets | |||
Common Stock | 97.50 | % | ||
Argentina | 0.19 | % | ||
Bahrain | 0.02 | % | ||
Brazil | 10.50 | % | ||
Chile | 0.46 | % | ||
China/Hong Kong | 33.73 | % | ||
India | 10.64 | % | ||
Indonesia | 2.69 | % | ||
Malaysia | 0.16 | % | ||
Mexico | 4.35 | % | ||
Peru | 0.82 | % | ||
Republic of Korea | 14.35 | % | ||
Russia | 7.98 | % | ||
Taiwan | 9.20 | % | ||
Turkey | 1.22 | % | ||
United States | 1.19 | % | ||
Preferred Stock | 0.59 | % | ||
Short-Term Investments | 1.04 | % | ||
Total Value of Securities | 99.13 | % | ||
Receivables and Other Assets Net of Liabilities | 0.87 | % | ||
Total Net Assets | 100.00 | % |
Common stock and preferred stock by sector | Percentage of net assets | |||
Consumer Discretionary | 13.82% | |||
Consumer Staples | 11.52% | |||
Energy | 17.48% | |||
Financials | 10.35% | |||
Healthcare | 1.61% | |||
Industrials | 0.15% | |||
Information Technology | 30.70% | |||
Materials | 3.14% | |||
Telecommunication Services | 9.19% | |||
Utilities | 0.13% | |||
Total | 98.09% |
To monitor compliance with the Portfolio’s concentration guidelines as described in the Portfolio’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940 as amended). The Information Technology sector consisted of electronics, Internet, and semiconductors. As of April 30, 2019, such amounts, as a percentage of total net assets, were 1.86%, 11.46%, and 17.38%, respectively. The percentage in any such single industry will comply with the Portfolio’s concentration policy even if the percentages in the Information Technology sector for financial reporting purposes may exceed 25%.
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Security type / country and sector allocations
Macquarie Institutional Portfolios — Macquarie Labor Select International Equity Portfolio
As of April 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s orsub-advisor’s internal sector classifications, which may result in the sector designations for one portfolio being different than another portfolio’s sector designations.
Security type / country | Percentage of net assets | |||
Common Stock | 98.67% | |||
Australia | 1.55% | |||
China/Hong Kong | 5.98% | |||
Denmark | 1.77% | |||
France | 6.68% | |||
Germany | 9.06% | |||
Italy | 6.04% | |||
Japan | 22.11% | |||
Netherlands | 0.68% | |||
Singapore | 6.46% | |||
Spain | 5.20% | |||
Sweden | 2.82% | |||
Switzerland | 6.15% | |||
United Kingdom | 24.17% | |||
Preferred Stock | 0.12% | |||
Short-Term Investments | 0.40% | |||
Total Value of Securities | 99.19% | |||
Receivables and Other Assets Net of Liabilities | 0.81% | |||
Total Net Assets | 100.00% |
Common stock and preferred stock by sector | Percentage of net assets | |||
Consumer Discretionary | 11.75% | |||
Consumer Staples | 7.12% | |||
Energy | 9.30% | |||
Financials | 18.81% | |||
Healthcare | 9.98% | |||
Industrials | 16.05% | |||
Information Technology | 4.67% | |||
Materials | 1.54% | |||
Real Estate | 1.18% | |||
Telecommunication Service | 9.77% | |||
Utilities | 8.62% | |||
Total | 98.79% |
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Macquarie Institutional Portfolios — Macquarie Large Cap Value Portfolio
April 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.82% |
| |||||||
Communication Services – 5.79% |
| |||||||
AT&T | 78,000 | $ | 2,414,880 | |||||
Verizon Communications | 42,400 | 2,424,856 | ||||||
4,839,736 | ||||||||
Consumer Discretionary – 6.16% |
| |||||||
Dollar Tree † | 24,000 | 2,670,720 | ||||||
Lowe’s | 21,900 | 2,477,766 | ||||||
5,148,486 | ||||||||
Consumer Staples – 6.11% |
| |||||||
Archer-Daniels-Midland | 57,500 | 2,564,500 | ||||||
Mondelez International Class A | 50,000 | 2,542,500 | ||||||
5,107,000 | ||||||||
Energy – 11.31% |
| |||||||
ConocoPhillips | 37,100 | 2,341,752 | ||||||
Halliburton | 83,100 | 2,354,223 | ||||||
Marathon Oil | 142,500 | 2,428,200 | ||||||
Occidental Petroleum | 39,400 | 2,319,872 | ||||||
9,444,047 | ||||||||
Financials – 15.33% |
| |||||||
Allstate | 26,200 | 2,595,372 | ||||||
American International Group | 55,400 | 2,635,378 | ||||||
Bank of New York Mellon | 48,500 | 2,408,510 | ||||||
BB&T | 51,700 | 2,647,040 | ||||||
Marsh & McLennan | 26,700 | 2,517,543 | ||||||
12,803,843 | ||||||||
Healthcare – 23.89% |
| |||||||
Abbott Laboratories | 31,500 | 2,506,140 | ||||||
Cardinal Health | 53,000 | 2,581,630 | ||||||
Cigna | 14,753 | 2,343,366 | ||||||
CVS Health | 46,100 | 2,506,919 | ||||||
Johnson & Johnson | 18,300 | 2,583,960 | ||||||
Merck & Co. | 30,800 | 2,424,268 | ||||||
Pfizer | 58,211 | 2,363,949 | ||||||
Quest Diagnostics | 27,500 | 2,650,450 | ||||||
19,960,682 | ||||||||
Industrials – 9.40% |
| |||||||
Northrop Grumman | 9,200 | 2,667,172 | ||||||
Raytheon | 13,900 | 2,468,501 | ||||||
Waste Management | 25,300 | 2,715,702 | ||||||
7,851,375 |
Number of shares | Value (US $) | |||||||
Common Stock (continued) |
| |||||||
Information Technology – 11.85% |
| |||||||
Broadcom | 8,100 | $ | 2,579,040 | |||||
Cisco Systems | 44,500 | 2,489,775 | ||||||
Intel | 44,600 | 2,276,384 | ||||||
Oracle | 46,100 | 2,550,713 | ||||||
9,895,912 | ||||||||
Materials – 2.97% | ||||||||
DowDuPont | 64,527 | 2,481,063 | ||||||
2,481,063 | ||||||||
Real Estate – 2.98% | ||||||||
Equity Residential | 32,550 | 2,487,471 | ||||||
2,487,471 | ||||||||
Utilities – 3.03% | ||||||||
Edison International | 39,700 | 2,531,669 | ||||||
2,531,669 | ||||||||
Total Common Stock |
| 82,551,284 | ||||||
Short-Term Investments – 1.16% |
| |||||||
Money Market Mutual Funds – 1.16% |
| |||||||
BlackRock FedFund - Institutional Shares(seven-day effective yield 2.33%) | 193,107 | 193,107 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I(seven-day effective yield 2.31%) | 193,106 | 193,106 | ||||||
GS Financial Square Government Fund - Institutional Shares(seven-day effective yield 2.36%) | 193,106 | 193,106 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class(seven-day effective yield 2.34%) | 193,107 | 193,107 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class(seven-day effective yield 2.29%) | 193,107 | 193,107 | ||||||
Total Short-Term Investments |
| 965,533 |
(continues) 11
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Large Cap Value Portfolio
Total Value of Securities – 99.98% | $ | 83,516,817 | ||
|
|
†Non-income producing security.
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
12
Table of Contents
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
April 30, 2019 (Unaudited)
Principal amount° | Value (US $) | |||||||
Agency Asset-Backed Security – 0.04% |
| |||||||
Fannie Mae Grantor Trust | ||||||||
Series2003-T4 2A5 4.686% 9/26/33● | 78,321 | $ | 85,240 | |||||
|
| |||||||
Total Agency Asset-Backed Security |
| 85,240 | ||||||
|
| |||||||
Agency Collateralized Mortgage Obligations – 2.99% |
| |||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series2017-C01 1M1 3.777% (LIBOR01M + 1.30%) 7/25/29● | 33,089 | 33,196 | ||||||
Series2017-C04 2M2 5.327% (LIBOR01M + 2.85%) 11/25/29● | 90,000 | 93,622 | ||||||
Series2018-C02 2M2 4.677% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30● | 120,000 | 120,576 | ||||||
Series2018-C03 1M2 4.627% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30● | 170,000 | 170,859 | ||||||
Series2018-C05 1M2 4.827% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31● | 125,000 | 126,574 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series2004-W11 1A2 6.50% 5/25/44 | 15,847 | 17,794 | ||||||
Fannie Mae REMICs | ||||||||
Series2008-15 SB 4.123% (6.60% minus LIBOR01M, Cap 6.60%) 8/25/36S● | 15,432 | 2,501 | ||||||
Series2011-118 DC 4.00% 11/25/41 | 214,748 | 222,449 | ||||||
Series2012-44 IK 3.50% 12/25/31S | 31,453 | 3,004 | ||||||
Series2012-128 IC 3.00% 11/25/32S | 339,551 | 42,713 | ||||||
Series2012-128 IY 3.00% 11/25/32S | 319,616 | 41,894 | ||||||
Series2012-139 NS 4.223% (6.70% minus LIBOR01M, Cap 6.70%) 12/25/42S● | 134,097 | 29,259 | ||||||
Series2012-146 IO 3.50% 1/25/43S | 298,022 | 57,956 | ||||||
Series2012-149 IC 3.50% 1/25/28S | 199,133 | 19,277 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Fannie Mae REMICs | ||||||||
Series 2013-1 YI 3.00% 2/25/33S | 272,549 | $ | 35,157 | |||||
Series2013-7 EI 3.00% 10/25/40S | 77,941 | 8,473 | ||||||
Series2013-26 ID 3.00% 4/25/33S | 47,159 | 5,961 | ||||||
Series2013-35 IB 3.00% 4/25/33S | 192,507 | 24,569 | ||||||
Series2013-35 IG 3.00% 4/25/28S | 137,052 | 11,479 | ||||||
Series2013-38 AI 3.00% 4/25/33S | 45,297 | 5,628 | ||||||
Series2013-55 AI 3.00% 6/25/33S | 183,646 | 23,373 | ||||||
Series2013-103 SK 3.443% (5.92% minus LIBOR01M, Cap 5.92%) 10/25/43S● | 224,045 | 42,758 | ||||||
Series2015-89 AZ 3.50% 12/25/45 | 21,410 | 22,370 | ||||||
Series2016-33 DI 3.50% 6/25/36S | 253,700 | 36,343 | ||||||
Series2016-50 IB 3.00% 2/25/46S | 80,839 | 11,570 | ||||||
Series2016-62 SA 3.523% (6.00% minus LIBOR01M, Cap 6.00%) 9/25/46S● | 319,109 | 64,459 | ||||||
Series2016-74 GS 3.523% (6.00% minus LIBOR01M, Cap 6.00%) 10/25/46S● | 76,556 | 14,821 | ||||||
Series2016-99 DI 3.50% 1/25/46S | 81,070 | 13,860 | ||||||
Series2016-105 SA 3.523% (6.00% minus LIBOR01M, Cap 6.00%) 1/25/47S● | 166,997 | 30,371 | ||||||
Series2017-11 EI 3.00% 3/25/42S | 223,432 | 25,358 | ||||||
Series2017-12 JI 3.50% 5/25/40S | 65,686 | 6,842 | ||||||
Series2017-15 NZ 3.50% 3/25/47 | 32,360 | 31,421 | ||||||
Series2017-40 GZ 3.50% 5/25/47 | 51,475 | 51,052 | ||||||
Series2017-61 TB 3.00% 8/25/44 | 45,000 | 42,753 | ||||||
Series2017-88 EI 3.00% 11/25/47S | 217,065 | | 29,864 | |
(continues) 13
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Fannie Mae REMICs | ||||||||
Series2017-88 IE 3.00% 11/25/47S | 187,439 | $ | 25,445 | |||||
Series 2017-99 IE 3.00% 12/25/47S | 262,600 | 36,140 | ||||||
Freddie Mac REMICs | ||||||||
Series 4050 EI 4.00% 2/15/39S | 117,380 | 8,125 | ||||||
Series 4109 AI 3.00% 7/15/31S | 254,810 | 22,516 | ||||||
Series 4121 AI 3.50% 10/15/42S | 274,718 | 53,890 | ||||||
Series 4135 AI 3.50% 11/15/42S | 3,655,676 | 665,230 | ||||||
Series 4146 IA 3.50% 12/15/32S | 107,128 | 16,080 | ||||||
Series 4150 IO 3.50% 1/15/43S | 311,427 | 56,415 | ||||||
Series 4150 UI 3.50% 8/15/32S | 123,426 | 11,362 | ||||||
Series 4161 IM 3.50% 2/15/43S | 53,229 | 10,558 | ||||||
Series 4181 DI 2.50% 3/15/33S | 71,852 | 8,371 | ||||||
Series 4185 LI 3.00% 3/15/33S | 49,473 | 6,237 | ||||||
Series 4186 IB 3.00% 3/15/33S | 158,460 | 19,933 | ||||||
Series 4186 JI 3.00% 3/15/33S | 215,554 | 22,898 | ||||||
Series 4188 JI 3.00% 4/15/33S | 221,277 | 23,654 | ||||||
Series 4191 CI 3.00% 4/15/33S | 49,253 | 6,243 | ||||||
Series 4218 AI 3.00% 6/15/33S | 184,749 | 24,089 | ||||||
Series 4494 SA 3.707% (6.18% minus LIBOR01M, Cap 6.18%) 7/15/45 S● | 57,130 | 10,909 | ||||||
Series 4543 HI 3.00% 4/15/44S | 70,325 | 10,473 | ||||||
Series 4618 SA 3.527% (6.00% minus LIBOR01M, Cap 6.00%) 9/15/46 S● | 82,132 | 16,805 | ||||||
Series 4623 MS 3.527% (6.00% minus LIBOR01M, Cap 6.00%) 10/15/46 S● | 79,351 | 14,464 | ||||||
Series 4625 BI 3.50% 6/15/46 S | 249,451 | 45,244 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Freddie Mac REMICs | ||||||||
Series 4627 PI 3.50% 5/15/44S | 292,828 | $ | 34,431 | |||||
Series 4648 SA 3.527% (6.00% minus LIBOR01M, Cap 6.00%) 1/15/47 S● | 187,577 | 35,528 | ||||||
Series 4655 WI 3.50% 8/15/43S | 152,570 | 19,254 | ||||||
Series 4657 PS 3.527% (6.00% minus LIBOR01M, Cap 6.00%) 2/15/47 S● | 151,969 | 28,350 | ||||||
Series 4663 AI 3.00% 3/15/42S | 141,684 | 17,782 | ||||||
Series 4663 HZ 3.50% 3/15/47 | 1,094,886 | 1,056,164 | ||||||
Series 4667 LI 3.50% 10/15/43S | 74,842 | 9,845 | ||||||
Series 4673 WI 3.50% 9/15/43S | 620,442 | 70,640 | ||||||
Series 4676 KZ 2.50% 7/15/45 | 52,561 | 46,514 | ||||||
Series 4703 CI 3.50% 7/15/42S | 226,275 | 20,322 | ||||||
Freddie Mac Strips | ||||||||
Series 304 C38 3.50% 12/15/27 S | 113,204 | 9,291 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2017-DNA1 M2 5.727% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29● | 250,000 | 267,520 | ||||||
Series 2017-DNA3 M2 4.977% (LIBOR01M + 2.50%) 3/25/30● | 500,000 | 515,396 | ||||||
Series 2017-HQA3 M2 4.827% (LIBOR01M + 2.35%) 4/25/30● | 500,000 | 509,602 | ||||||
Series 2018-HQA1 M2 4.777% (LIBOR01M + 2.30%) 9/25/30● | 185,000 | 186,636 | ||||||
GNMA | ||||||||
Series2011-157 SG 4.119% (6.60% minus LIBOR01M, Cap 6.60%) 12/20/41S● | 199,955 | 40,850 | ||||||
Series2012-108 KI 4.00% 8/16/42S | 413,406 | 77,063 | ||||||
Series2013-113 LY 3.00% 5/20/43 | 22,000 | 21,388 |
14
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
GNMA | ||||||||
Series2015-74 CI 3.00% 10/16/39 S | 132,509 | $ | 14,738 | |||||
Series2015-111 IH 3.50% 8/20/45 S | 255,465 | 30,718 | ||||||
Series2015-142 AI 4.00% 2/20/44 S | 37,811 | 3,791 | ||||||
Series2016-75 JI 3.00% 9/20/43S | 708,277 | 75,863 | ||||||
Series2016-89 QS 3.569% (6.05% minus LIBOR01M, Cap 6.05%) 7/20/46 S● | 128,569 | 23,818 | ||||||
Series2016-108 SK 3.569% (6.05% minus LIBOR01M, Cap 6.05%) 8/20/46S● | 211,522 | 44,213 | ||||||
Series2016-156 PB 2.00% 11/20/46 | 47,000 | 38,977 | ||||||
Series2016-161 MI 3.00% 3/20/46S | 119,826 | 13,838 | ||||||
Series2016-163 XI 3.00% 10/20/46S | 189,845 | 22,107 | ||||||
Series2016-171 IO 3.00% 7/20/44S | 402,467 | 42,344 | ||||||
Series2016-172 IO 3.00% 4/20/46S | 143,579 | 16,516 | ||||||
Series2017-11 IM 3.00% 5/20/42S | 628,775 | 55,590 | ||||||
Series2017-56 JZ 3.00% 4/20/47 | 3,185 | 2,931 | ||||||
Series2017-101 AI 4.00% 7/20/47S | 120,776 | 17,862 | ||||||
Series2017-101 TI 4.00% 3/20/44S | 173,862 | 19,473 | ||||||
Series2017-130 YJ 2.50% 8/20/47 | 40,000 | 37,413 | ||||||
Series2017-134 ES 3.719% (6.20% minus LIBOR01M, Cap 6.20%) 9/20/47S● | 317,266 | 57,058 | ||||||
Series2017-141 JS 3.719% (6.20% minus LIBOR01M, Cap 6.20%) 9/20/47S● | 197,758 | 39,305 | ||||||
Series2017-144 EI 3.00% 12/20/44S | 315,340 | 33,994 | ||||||
Series2018-1 ST 3.719% (6.20% minus LIBOR01M, Cap 6.20%) 1/20/48S● | 590,816 | 114,185 | ||||||
Series2018-11 AI 3.00% 1/20/46S | 188,401 | 24,210 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
GNMA | ||||||||
Series2018-13 PZ 3.00% 1/20/48 | 57,099 | $ | 53,248 | |||||
Series2018-14 ZE 3.50% 1/20/48 | 31,340 | 30,191 | ||||||
Series2018-24 HZ 3.00% 2/20/48 | 26,925 | 24,616 | ||||||
Series2018-34 TY 3.50% 3/20/48 | 45,000 | 45,498 | ||||||
Series2018-37 SA 3.719% (6.20% minus LIBOR01M, Cap 6.20%) 3/20/48S● | 201,452 | 40,361 | ||||||
Series2018-46 AS 3.719% (6.20% minus LIBOR01M, Cap 6.20%) 3/20/48S● | 713,988 | 151,985 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations(cost $6,804,863) |
| 6,676,656 | ||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities – 2.12% |
| |||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K058 A2 2.653% 8/25/26t | 1,095,000 | 1,079,885 | ||||||
FREMF Mortgage Trust |
| |||||||
Series 2010-K7 B 144A 5.687% 4/25/20 #● | 95,000 | 96,961 | ||||||
Series2010-K8 B 144A 5.445% 9/25/43 #● | 1,000,000 | 1,023,106 | ||||||
Series 2011-K11 B 144A 4.566% 12/25/48 #● | 730,000 | 745,843 | ||||||
Series 2011-K14 B 144A 5.354% 2/25/47 #● | 50,000 | 52,035 | ||||||
Series 2011-K15 B 144A 5.116% 8/25/44 #● | 150,000 | 156,324 | ||||||
Series 2012-K22 B 144A 3.812% 8/25/45 #● | 60,000 | 61,394 | ||||||
Series 2013-K25 C 144A 3.743% 11/25/45 #● | 280,000 | 282,250 | ||||||
Series 2013-K33 B 144A 3.615% 8/25/46 #● | 115,000 | 116,580 | ||||||
Series 2013-K712 B 144A 3.465% 5/25/45 #● | 140,000 | 140,027 | ||||||
Series 2013-K713 B 144A 3.263% 4/25/46 #● | 35,000 | 35,044 | ||||||
Series 2013-K713 C 144A 3.263% 4/25/46 #● | 135,000 | 134,847 | ||||||
Series 2014-K717 B 144A 3.753% 11/25/47 #● | 90,000 | 91,251 |
(continues) 15
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
FREMF Mortgage Trust | ||||||||
Series 2014-K717 C 144A 3.753% 11/25/47 #● | 40,000 | $ | 40,302 | |||||
Series 2015-K48 B 144A 3.762% 8/25/48 #● | 200,000 | 199,299 | ||||||
Series 2016-K53 B 144A 4.156% 3/25/49 #● | 15,000 | 15,333 | ||||||
Series 2016-K722 B 144A 3.97% 7/25/49 #● | 370,000 | 374,808 | ||||||
Series 2017-K71 B 144A 3.882% 11/25/50 #● | 80,000 | 79,748 | ||||||
|
| |||||||
Total Agency Commercial Mortgage-Backed Securities(cost $4,729,923) |
| 4,725,037 | ||||||
|
| |||||||
Agency Mortgage-Backed Securities – 10.87% |
| |||||||
Fannie Mae | ||||||||
3.00% 2/1/57 | 230,839 | 227,159 | ||||||
Fannie Mae ARM | ||||||||
4.24% (LIBOR12M + 1.55%, Cap 9.623%) 8/1/34● | 13,079 | 13,588 | ||||||
Fannie Mae FHAVA | 50,647 | 53,998 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 10/1/46 | 1,444,540 | 1,430,017 | ||||||
3.00% 4/1/47 | 181,430 | 179,577 | ||||||
3.50% 3/1/48 | 616,607 | 623,216 | ||||||
3.50% 7/1/48 | 2,258,000 | 2,281,629 | ||||||
4.50% 11/1/39 | 45,742 | 48,605 | ||||||
4.50% 6/1/40 | 50,729 | 53,820 | ||||||
4.50% 8/1/40 | 11,911 | 12,637 | ||||||
4.50% 8/1/41 | 56,518 | 60,087 | ||||||
4.50% 10/1/43 | 1,243,577 | 1,319,716 | ||||||
4.50% 10/1/44 | 26,911 | 28,342 | ||||||
4.50% 3/1/46 | 19,538 | 20,600 | ||||||
4.50% 5/1/46 | 517,012 | 544,066 | ||||||
4.50% 7/1/46 | 162,324 | 170,806 | ||||||
5.00% 1/1/40 | 595,515 | 645,446 | ||||||
5.00% 6/1/44 | 145,168 | 157,253 | ||||||
5.00% 7/1/47 | 233,681 | 251,375 | ||||||
5.50% 5/1/44 | 2,600,763 | 2,862,627 | ||||||
5.50% 8/1/48 | 181,454 | 197,096 | ||||||
6.00% 6/1/41 | 411,925 | 460,536 | ||||||
6.00% 7/1/41 | 1,374,000 | 1,536,964 | ||||||
6.00% 1/1/42 | 340,780 | 381,201 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 12/1/48 | 4,906,615 | 4,851,253 |
Principal amount° | Value (US $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Freddie Mac S.F. 30 yr | ||||||||
4.50% 4/1/39 | 6,611 | $ | 7,029 | |||||
4.50% 5/1/40 | 256,740 | 273,056 | ||||||
4.50% 3/1/42 | 48,202 | 51,266 | ||||||
4.50% 7/1/42 | 64,003 | 68,064 | ||||||
4.50% 8/1/42 | 1,653,569 | 1,758,491 | ||||||
4.50% 12/1/43 | 43,561 | 46,145 | ||||||
4.50% 8/1/44 | 78,625 | 83,094 | ||||||
4.50% 8/1/48 | 1,700,939 | 1,793,494 | ||||||
5.50% 6/1/41 | 393,393 | 435,481 | ||||||
6.00% 7/1/40 | 967,488 | 1,074,789 | ||||||
GNMA I S.F. 30 yr | ||||||||
5.50% 2/15/41 | 27,372 | 30,252 | ||||||
GNMA II S.F. 30 yr | ||||||||
5.50% 5/20/37 | 14,597 | 15,550 | ||||||
6.00% 2/20/39 | 16,111 | 17,217 | ||||||
6.00% 10/20/39 | 70,266 | 78,748 | ||||||
6.00% 2/20/40 | 68,383 | 73,869 | ||||||
6.00% 4/20/46 | 21,750 | 24,381 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities(cost $24,233,993) |
| 24,242,540 | ||||||
|
| |||||||
Collateralized Debt Obligations – 3.92% |
| |||||||
AMMC CLO 21 | ||||||||
Series 2017-21A A 144A 3.826% (LIBOR03M + 1.25%) 11/2/30 #● | 250,000 | 249,875 | ||||||
AMMC CLO 22 | ||||||||
Series 2018-22A A 144A 3.61% (LIBOR03M + 1.03%, Floor 1.03%) 4/25/31 #● | 250,000 | 246,609 | ||||||
Apex Credit CLO 2017 | ||||||||
Series 2017-1A A1 144A 4.051% (LIBOR03M + 1.47%, Floor 1.47%) 4/24/29 #● | 295,000 | 294,911 | ||||||
Apex Credit CLO 2018 | ||||||||
Series 2018-1A A2 144A 3.61% (LIBOR03M + 1.03%) 4/25/31 #● | 1,800,000 | 1,775,669 | ||||||
Atlas Senior Loan Fund X | ||||||||
Series 2018-10A A 144A 3.687% (LIBOR03M + 1.09%) 1/15/31 #● | 350,000 | 345,081 | ||||||
Battalion CLO XII | ||||||||
Series2018-12A A1 144A 3.753% (LIBOR03M + 1.07%, Floor 1.07%) | 700,000 | 686,906 |
16
Table of Contents
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
CFIP CLO | ||||||||
Series 2017-1A A 144A 3.821% (LIBOR03M + 1.22%) 1/18/30 #● | 500,000 | $ | 499,159 | |||||
ECP CLO | ||||||||
Series 2015-7A A1R 144A 3.732% (LIBOR03M + 1.14%) 4/22/30 #● | 700,000 | 689,725 | ||||||
Mariner CLO 5 | ||||||||
Series 2018-5A A 144A 3.69% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #● | 400,000 | 394,455 | ||||||
Midocean Credit CLO IX | ||||||||
Series 2018-9A A1 144A 3.742% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #● | 250,000 | 246,731 | ||||||
Midocean Credit CLO VIII | ||||||||
Series 2018-8A A1 144A 3.794% (LIBOR03M + 1.15%) 2/20/31 #● | 250,000 | 247,634 | ||||||
MP CLO IV | ||||||||
Series 2013-2A ARR 144A 3.86% (LIBOR03M + 1.28%) 7/25/29 #● | 250,000 | 249,963 | ||||||
Northwoods Capital XVII | ||||||||
Series 2018-17A A 144A 3.652% (LIBOR03M + 1.06%, Floor 1.06%) 4/22/31 #● | 400,000 | 393,206 | ||||||
Oaktree CLO | ||||||||
Series 2014-1A A1R 144A 3.978% (LIBOR03M + 1.29%) 5/13/29 #● | 350,000 | 350,298 | ||||||
OCP CLO | ||||||||
Series 2017-13A A1A 144A 3.857% (LIBOR03M + 1.26%) 7/15/30 #● | 250,000 | 249,446 | ||||||
OZLM XVIII | ||||||||
Series 2018-18A A 144A 3.617% (LIBOR03M + 1.02%, Floor 1.02%) 4/15/31 #● | 350,000 | 344,228 | ||||||
Saranac CLO VII | ||||||||
Series 2014-2A A1AR 144A 3.874% (LIBOR03M + 1.23%) 11/20/29 #● | 250,000 | 247,741 |
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
Shackleton CLO | ||||||||
Series 2013-3A AR 144A 3.717% (LIBOR03M + 1.12%, Floor 1.12%) 7/15/30 #● | 250,000 | $ | 247,939 | |||||
Steele Creek CLO | ||||||||
Series 2017-1A A 144A 3.847% (LIBOR03M + 1.25%) 1/15/30 #● | 250,000 | 249,414 | ||||||
Venture 31 CLO | ||||||||
Series 2018-31A A1 144A 3.622% (LIBOR03M + 1.03%, Floor 1.03%) 4/20/31 #● | 400,000 | 393,549 | ||||||
Venture CDO | ||||||||
Series 2016-25A A1 144A 4.082% (LIBOR03M + 1.49%) 4/20/29 #● | 100,000 | 100,034 | ||||||
Venture XXII CLO | ||||||||
Series 2015-22A AR 144A 3.677% (LIBOR03M + 1.08%) 1/15/31 #● | 250,000 | 247,288 | ||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 8,749,861 | ||||||
|
| |||||||
Convertible Bond – 0.02% | ||||||||
GAIN Capital Holdings | 58,000 | 55,137 | ||||||
|
| |||||||
Total Convertible Bond |
| 55,137 | ||||||
|
| |||||||
Corporate Bonds – 39.83% | ||||||||
Banking – 7.77% | ||||||||
Akbank T.A.S. 144A | 200,000 | 164,035 | ||||||
Banco de Credito e | ||||||||
Inversiones 144A 3.50% 10/12/27 # | 200,000 | 196,675 | ||||||
Banco Santander | ||||||||
3.848% 4/12/23 | 200,000 | 204,186 | ||||||
Banco Santander Mexico | ||||||||
144A 4.125% 11/9/22 # | 150,000 | 153,075 | ||||||
144A 5.95% 10/1/28 #µ | 200,000 | 210,600 | ||||||
Bank of America | ||||||||
3.458% 3/15/25 µ | 725,000 | 732,829 | ||||||
Bank of China 144A | ||||||||
5.00% 11/13/24 # | 200,000 | 211,856 | ||||||
Bank of Montreal | ||||||||
3.30% 2/5/24 | 490,000 | 496,119 | ||||||
Barclays 8.00%µY | 200,000 | 211,000 |
(continues) 17
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
BB&T 3.875% 3/19/29 | 130,000 | $ | 132,626 | |||||
BBVA Bancomer 144A | ||||||||
5.125% 1/18/33 #µ | 200,000 | 190,250 | ||||||
BOC Aviation 144A | ||||||||
2.375% 9/15/21 # | 200,000 | 195,512 | ||||||
Branch Banking & Trust | ||||||||
2.85% 4/1/21 | 500,000 | 501,438 | ||||||
Citibank 3.40% 7/23/21 | 250,000 | 253,753 | ||||||
Citigroup 3.783% (LIBOR03M + 1.10%) 5/17/24● | 95,000 | 95,958 | ||||||
Citizens Bank | ||||||||
2.55% 5/13/21 | 250,000 | 248,941 | ||||||
Citizens Financial Group | ||||||||
4.30% 12/3/25 | 115,000 | 118,860 | ||||||
Compass Bank | ||||||||
2.875% 6/29/22 | 250,000 | 249,038 | ||||||
3.875% 4/10/25 | 250,000 | 250,715 | ||||||
Credit Suisse Group | ||||||||
144A 3.869% 1/12/29 #µ | 705,000 | 700,320 | ||||||
144A 6.25%#µY | 200,000 | 204,544 | ||||||
144A 7.25%#µY | 200,000 | 208,075 | ||||||
144A 7.50%#µY | 200,000 | 209,878 | ||||||
DBS Group Holdings 144A | ||||||||
4.52% 12/11/28 #µ | 275,000 | 285,846 | ||||||
Fifth Third Bancorp | ||||||||
3.65% 1/25/24 | 35,000 | 35,991 | ||||||
3.95% 3/14/28 | 210,000 | 218,317 | ||||||
Fifth Third Bank | ||||||||
3.85% 3/15/26 | 250,000 | 256,386 | ||||||
Goldman Sachs Group | ||||||||
6.00% 6/15/20 | 650,000 | 672,360 | ||||||
ING Groep 6.875%µY | 200,000 | 208,919 | ||||||
JPMorgan Chase & Co. | ||||||||
3.702% 5/6/30 µ | 225,000 | 225,904 | ||||||
4.023% 12/5/24 µ | 500,000 | 518,591 | ||||||
6.75%µY | 205,000 | 227,232 | ||||||
KEB Hana Bank 144A | ||||||||
3.375% 1/30/22 # | 250,000 | 252,686 | ||||||
KeyBank 3.40% 5/20/26 | 300,000 | 298,847 | ||||||
Morgan Stanley | ||||||||
3.958% (LIBOR03M + 1.22%) 5/8/24● | 20,000 | 20,301 | ||||||
4.431% 1/23/30 µ | 375,000 | 396,734 | ||||||
5.00% 11/24/25 | 440,000 | 474,932 | ||||||
5.50% 1/26/20 | 235,000 | 239,628 | ||||||
PNC Bank | ||||||||
2.70% 11/1/22 | 250,000 | 249,093 | ||||||
4.05% 7/26/28 | 250,000 | 262,041 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
PNC Financial Services Group | ||||||||
3.45% 4/23/29 | 250,000 | $ | 252,687 | |||||
Regions Financial | ||||||||
2.75% 8/14/22 | 75,000 | 74,639 | ||||||
3.80% 8/14/23 | 205,000 | 211,412 | ||||||
Royal Bank of Scotland Group | ||||||||
8.625%µY | 600,000 | 646,500 | ||||||
Santander UK 144A | ||||||||
5.00% 11/7/23 # | 510,000 | 531,293 | ||||||
State Street | ||||||||
3.10% 5/15/23 | 65,000 | 65,644 | ||||||
3.30% 12/16/24 | 105,000 | 107,187 | ||||||
SunTrust Bank | ||||||||
2.45% 8/1/22 | 115,000 | 113,904 | ||||||
3.00% 2/2/23 | 225,000 | 225,763 | ||||||
3.30% 5/15/26 | 200,000 | 198,109 | ||||||
SunTrust Banks | ||||||||
2.70% 1/27/22 | 55,000 | 54,807 | ||||||
4.00% 5/1/25 | 200,000 | 209,148 | ||||||
SVB Financial Group | ||||||||
3.50% 1/29/25 | 120,000 | 119,431 | ||||||
Turkiye Garanti Bankasi 144A | ||||||||
5.25% 9/13/22 # | 200,000 | 187,516 | ||||||
UBS Group Funding Switzerland | ||||||||
6.875%µY | 400,000 | 413,972 | ||||||
6.875% 12/29/49 µY | 330,000 | 341,762 | ||||||
7.125%µY | 200,000 | 210,500 | ||||||
US Bancorp | ||||||||
3.10% 4/27/26 | 140,000 | 139,210 | ||||||
3.375% 2/5/24 | 540,000 | 555,155 | ||||||
3.60% 9/11/24 | 40,000 | 41,333 | ||||||
3.95% 11/17/25 | 495,000 | 522,181 | ||||||
US Bank 3.40% 7/24/23 | 250,000 | 256,158 | ||||||
USB Capital IX 3.617% | ||||||||
(LIBOR03M + 1.02%)Y● | 355,000 | 282,834 | ||||||
Wells Fargo Capital X | ||||||||
5.95% 12/15/36 | 55,000 | 62,039 | ||||||
Woori Bank 144A | ||||||||
4.75% 4/30/24 # | 200,000 | 209,529 | ||||||
Zions Bancorp | ||||||||
3.35% 3/4/22 | 250,000 | 252,255 | ||||||
4.50% 6/13/23 | 55,000 | 57,276 | ||||||
|
| |||||||
17,326,335 | ||||||||
|
| |||||||
Basic Industry – 3.15% | ||||||||
BHP Billiton Finance | ||||||||
USA 144A 6.25% 10/19/75 #µ | 400,000 | 418,806 |
18
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) | ||||||||
Braskem Netherlands Finance 144A 4.50% 1/10/28 # | 200,000 | $ | 196,750 | |||||
CK Hutchison International 17 144A 2.875% 4/5/22 # | 200,000 | 199,035 | ||||||
CSN Resources 144A 7.625% 4/17/26 # | 365,000 | 365,876 | ||||||
Cydsa 144A 6.25% | 200,000 | 197,252 | ||||||
DowDuPont | ||||||||
4.725% 11/15/28 | 160,000 | 174,599 | ||||||
5.419% 11/15/48 | 405,000 | 468,721 | ||||||
Equate Petrochemical 144A 3.00% 3/3/22 # | 200,000 | 198,259 | ||||||
Georgia-Pacific | 310,000 | 378,130 | ||||||
Hudbay Minerals 144A 7.625% 1/15/25 # | 155,000 | 161,975 | ||||||
Israel Chemicals 144A 6.375% 5/31/38 # | 425,000 | 466,697 | ||||||
Joseph T Ryerson & Son 144A 11.00% 5/15/22 # | 310,000 | 329,181 | ||||||
Klabin Austria 144A | 200,000 | 200,240 | ||||||
Mexichem 144A | 200,000 | 191,252 | ||||||
OCP 144A 4.50% | 200,000 | 199,180 | ||||||
Petkim Petrokimya Holding 144A 5.875% 1/26/23 # | 200,000 | 185,080 | ||||||
RPM International | 245,000 | 250,663 | ||||||
SASOL Financing USA 5.875% 3/27/24 | 710,000 | 753,929 | ||||||
Starfruit Finco 144A | 500,000 | 514,375 | ||||||
Suzano Austria 144A | 200,000 | 214,500 | ||||||
Syngenta Finance 144A | 375,000 | 378,422 | ||||||
144A 4.441% 4/24/23 # | 200,000 | 205,402 | ||||||
Vedanta Resources 144A 7.125% 5/31/23 # | 200,000 | 195,850 | ||||||
Westlake Chemical | 195,000 | 176,954 | ||||||
|
| |||||||
7,021,128 | ||||||||
|
| |||||||
Brokerage – 0.78% | ||||||||
Charles Schwab | 75,000 | 74,750 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Brokerage (continued) | ||||||||
Charles Schwab | ||||||||
3.25% 5/21/21 | 100,000 | $ | 101,239 | |||||
3.85% 5/21/25 | 105,000 | 110,343 | ||||||
E*TRADE Financial | ||||||||
3.80% 8/24/27 | 205,000 | 200,098 | ||||||
5.875%µY | 160,000 | 165,600 | ||||||
Intercontinental Exchange | ||||||||
3.45% 9/21/23 | 55,000 | 56,273 | ||||||
3.75% 9/21/28 | 45,000 | 46,747 | ||||||
Jefferies Group | ||||||||
4.15% 1/23/30 | 135,000 | 125,842 | ||||||
6.45% 6/8/27 | 30,000 | 33,092 | ||||||
6.50% 1/20/43 | 110,000 | 114,843 | ||||||
Lazard Group | ||||||||
3.625% 3/1/27 | 10,000 | 9,786 | ||||||
3.75% 2/13/25 | 125,000 | 126,212 | ||||||
4.375% 3/11/29 | 165,000 | 168,663 | ||||||
4.50% 9/19/28 | 205,000 | 212,180 | ||||||
NFP 144A 6.875% 7/15/25 # | 200,000 | 197,500 | ||||||
|
| |||||||
1,743,168 | ||||||||
|
| |||||||
Capital Goods – 1.94% | ||||||||
Allegion US Holding | 432,000 | 410,033 | ||||||
Ardagh Packaging | ||||||||
Finance 144A 6.00% 2/15/25 # | 345,000 | 348,450 | ||||||
Ashtead Capital 144A | 430,000 | 448,813 | ||||||
Boise Cascade 144A | 180,000 | 180,900 | ||||||
CCL Industries 144A | 95,000 | 91,167 | ||||||
General Electric | ||||||||
2.10% 12/11/19 | 130,000 | 129,142 | ||||||
5.55% 5/4/20 | 10,000 | 10,253 | ||||||
6.00% 8/7/19 | 90,000 | 90,732 | ||||||
Grupo Cementos de Chihuahua 144A | 200,000 | 203,752 | ||||||
Ingersoll-Rand Luxembourg Finance | ||||||||
3.50% 3/21/26 | 80,000 | 80,522 | ||||||
3.80% 3/21/29 | 410,000 | 414,001 | ||||||
Martin Marietta Materials 4.25% 12/15/47 | 320,000 | 283,919 | ||||||
Northrop Grumman | ||||||||
2.55% 10/15/22 | 460,000 | 455,651 | ||||||
3.25% 8/1/23 | 25,000 | 25,316 |
(continues) 19
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods (continued) |
| |||||||
nVent Finance | 375,000 | $ | 376,509 | |||||
Parker-Hannifin | 10,000 | 10,111 | ||||||
Standard Industries 144A 5.00% 2/15/27 # | 400,000 | 394,000 | ||||||
United Rentals North America | 115,000 | 120,463 | ||||||
United Technologies | ||||||||
3.65% 8/16/23 | 50,000 | 51,254 | ||||||
4.125% 11/16/28 | 190,000 | 198,196 | ||||||
|
| |||||||
4,323,184 | ||||||||
|
| |||||||
Communications – 4.47% | ||||||||
American Tower Trust I 144A 3.07% 3/15/23 # | 120,000 | 119,751 | ||||||
AT&T 4.35% 3/1/29 | 465,000 | 481,176 | ||||||
Charter Communications Operating | ||||||||
4.464% 7/23/22 | 910,000 | 944,556 | ||||||
5.05% 3/30/29 | 145,000 | 153,684 | ||||||
Comcast 3.70% 4/15/24 | 650,000 | 673,115 | ||||||
Crown Castle International | ||||||||
3.80% 2/15/28 | 495,000 | 494,403 | ||||||
4.30% 2/15/29 | 80,000 | 82,705 | ||||||
5.25% 1/15/23 | 150,000 | 161,146 | ||||||
CSC Holdings 144A 5.50% 4/15/27 # | 200,000 | 206,526 | ||||||
Discovery Communications 5.20% 9/20/47 | 260,000 | 259,457 | ||||||
Fox | 500,000 | 568,743 | ||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 100,000 | 98,980 | ||||||
Level 3 Financing | 370,000 | 377,807 | ||||||
Millicom International Cellular 144A 6.25% 3/25/29 # | 210,000 | 216,825 | ||||||
Myriad International Holdings 144A 4.85% 7/6/27 # | 200,000 | 208,805 | ||||||
Rogers Communications | 210,000 | 212,706 | ||||||
SBA Tower Trust 144A 2.898% 10/15/19 # | 60,000 | 59,940 | ||||||
Sirius XM Radio 144A 5.375% 4/15/25 # | 125,000 | 128,594 | ||||||
Sprint 7.875% 9/15/23 | 223,000 | 232,477 | ||||||
Sprint Spectrum 144A 4.738% 3/20/25 # | 220,000 | 224,675 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) | ||||||||
Telefonica Emisiones 5.52% 3/1/49 | 645,000 | $ | 693,239 | |||||
Time Warner Cable | 360,000 | 421,842 | ||||||
Time Warner Entertainment | 185,000 | 217,094 | ||||||
Turk Telekomunikasyon 144A | 200,000 | 192,010 | ||||||
Unitymedia 144A | 200,000 | 208,000 | ||||||
Verizon Communications | ||||||||
144A 4.016% 12/3/29 # | 175,000 | 182,872 | ||||||
4.50% 8/10/33 | 505,000 | 542,453 | ||||||
4.522% 9/15/48 | 320,000 | 332,495 | ||||||
Viacom 4.375% 3/15/43 | 380,000 | 345,507 | ||||||
Virgin Media Secured Finance 144A 5.50% 8/15/26 # | 200,000 | 205,506 | ||||||
Vodafone Group | 130,000 | 136,813 | ||||||
Warner Media | 340,000 | 348,299 | ||||||
Zayo Group 144A | 240,000 | 244,200 | ||||||
|
| |||||||
9,976,401 | ||||||||
|
| |||||||
Consumer Cyclical – 2.50% | ||||||||
Atento Luxco 1 144A 6.125% 8/10/22 # | 75,000 | 75,959 | ||||||
Best Buy 4.45% 10/1/28 | 180,000 | 183,751 | ||||||
Boyd Gaming | 230,000 | 242,937 | ||||||
Ford Motor Credit 5.729% | 245,000 | 253,673 | ||||||
General Motors | 40,000 | 44,422 | ||||||
General Motors Financial | ||||||||
4.35% 4/9/25 | 445,000 | 454,300 | ||||||
5.10% 1/17/24 | 265,000 | 280,674 | ||||||
5.25% 3/1/26 | 440,000 | 466,060 | ||||||
GLP Capital 5.375% 4/15/26 | 180,000 | 190,541 | ||||||
Home Depot 4.50% 12/6/48 | 320,000 | 350,635 | ||||||
JD.com 3.125% 4/29/21 | 200,000 | 199,226 | ||||||
Lowe’s | ||||||||
4.05% 5/3/47 | 80,000 | 75,306 | ||||||
4.55% 4/5/49 | 370,000 | 376,018 | ||||||
Marriott International 4.50% 10/1/34 | 20,000 | 20,418 |
20
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
Murphy Oil USA 5.625% 5/1/27 | 500,000 | $ | 522,500 | |||||
Penn National Gaming 144A 5.625% 1/15/27 # | 305,000 | 301,950 | ||||||
Prime Security Services Borrower 144A 9.25% 5/15/23 # | 105,000 | 110,862 | ||||||
Resorts World Las Vegas 144A 4.625% 4/16/29 # | 200,000 | 198,786 | ||||||
Royal Caribbean Cruises 3.70% 3/15/28 | 380,000 | 368,337 | ||||||
Sands China 5.125% 8/8/25 | 200,000 | 211,308 | ||||||
Scientific Games International | ||||||||
144A 8.25% 3/15/26 # | 150,000 | 155,813 | ||||||
10.00% 12/1/22 | 139,000 | 146,819 | ||||||
Target 3.375% 4/15/29 | 205,000 | 208,058 | ||||||
Toyota Motor Credit 2.80% 7/13/22 | 140,000 | 141,089 | ||||||
|
| |||||||
5,579,442 | ||||||||
|
| |||||||
ConsumerNon-Cyclical – 3.61% |
| |||||||
AbbVie 4.25% 11/14/28 | 270,000 | 276,789 | ||||||
Altria Group 4.80% 2/14/29 | 265,000 | 275,068 | ||||||
Anheuser-Busch 144A 3.65% 2/1/26 # | 275,000 | 276,429 | ||||||
Anheuser-Busch InBev Worldwide 4.75% 1/23/29 | 420,000 | 449,711 | ||||||
AstraZeneca 3.50% 8/17/23 | 305,000 | 312,854 | ||||||
BAT Capital | ||||||||
2.764% 8/15/22 | 375,000 | 369,977 | ||||||
3.222% 8/15/24 | 375,000 | 367,250 | ||||||
Becton Dickinson and Co. 3.363% 6/6/24 | 305,000 | 305,985 | ||||||
Bunge Finance | 270,000 | 274,704 | ||||||
Cigna | ||||||||
144A 3.487% (LIBOR03M + 0.89%) 7/15/23 #● | 185,000 | 184,326 | ||||||
144A 4.125% 11/15/25 # | 605,000 | 625,907 | ||||||
Conagra Brands | ||||||||
3.80% 10/22/21 | 100,000 | 102,065 | ||||||
4.60% 11/1/25 | 100,000 | 105,704 | ||||||
5.30% 11/1/38 | 325,000 | 336,491 | ||||||
CVS Health | ||||||||
4.30% 3/25/28 | 335,000 | 337,759 | ||||||
5.00% 12/1/24 | 375,000 | 399,173 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
ConsumerNon-Cyclical (continued) |
| |||||||
Eli Lilly & Co. | ||||||||
3.375% 3/15/29 | 120,000 | $ | 122,703 | |||||
3.95% 3/15/49 | 80,000 | 81,392 | ||||||
Encompass Health | 100,000 | 101,750 | ||||||
IHS Markit | ||||||||
3.625% 5/1/24 | 85,000 | 85,378 | ||||||
4.25% 5/1/29 | 320,000 | 320,550 | ||||||
JBS Investments 144A | 200,000 | 207,970 | ||||||
JBS Investments II 144A 7.00% 1/15/26 # | 200,000 | 208,600 | ||||||
Marfrig Holdings Europe 144A 8.00% 6/8/23 # | 200,000 | 208,550 | ||||||
Mars | ||||||||
144A 3.875% 4/1/39 # | 70,000 | 69,697 | ||||||
144A 3.95% 4/1/49 # | 305,000 | 301,973 | ||||||
MHP 144A 6.95% 4/3/26 # | 200,000 | 191,515 | ||||||
New York & Presbyterian Hospital 4.063% 8/1/56 | 130,000 | 130,883 | ||||||
Rede D’or Finance 144A 4.95% 1/17/28 # | 200,000 | 189,000 | ||||||
Takeda Pharmaceutical 144A 4.40% 11/26/23 # | 345,000 | 362,901 | ||||||
Tenet Healthcare | 130,000 | 131,463 | ||||||
Thermo Fisher Scientific 3.00% 4/15/23 | 210,000 | 210,496 | ||||||
Zimmer Biomet Holdings 4.625% 11/30/19 | 120,000 | 121,161 | ||||||
|
| |||||||
8,046,174 | ||||||||
|
| |||||||
Electric – 4.94% | ||||||||
AES 5.50% 4/15/25 | 110,000 | 114,454 | ||||||
AES Andres 144A | 200,000 | 213,750 | ||||||
AES Gener | ||||||||
144A 5.25% 8/15/21 # | 97,000 | 101,033 | ||||||
144A 7.125% 3/26/79 #µ | 200,000 | 209,700 | ||||||
Atlantic City Electric | 210,000 | 222,516 | ||||||
Ausgrid Finance | ||||||||
144A 3.85% 5/1/23 # | 245,000 | 249,968 | ||||||
144A 4.35% 8/1/28 # | 170,000 | 175,829 | ||||||
Avangrid 3.15% 12/1/24 | 100,000 | 98,842 | ||||||
Berkshire Hathaway Energy 3.75% 11/15/23 | 195,000 | 202,340 | ||||||
Calpine 5.50% 2/1/24 | 240,000 | 239,100 |
(continues) 21
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Electric (continued) | ||||||||
CenterPoint Energy | ||||||||
3.85% 2/1/24 | 150,000 | $ | 153,886 | |||||
4.25% 11/1/28 | 175,000 | 182,306 | ||||||
6.125%µY | 205,000 | 209,477 | ||||||
Cleveland Electric Illuminating | ||||||||
144A 3.50% 4/1/28 # | 175,000 | 171,829 | ||||||
5.50% 8/15/24 | 270,000 | 295,043 | ||||||
ComEd Financing III | 60,000 | 62,324 | ||||||
Consumers Energy | ||||||||
3.80% 11/15/28 | 90,000 | 95,465 | ||||||
4.35% 4/15/49 | 70,000 | 76,854 | ||||||
Dominion Energy | ||||||||
3.90% 10/1/25 | 135,000 | 140,513 | ||||||
4.60% 3/15/49 | 260,000 | 269,550 | ||||||
DTE Electric 3.95% 3/1/49 | 540,000 | 551,254 | ||||||
DTE Energy 3.30% 6/15/22 | 115,000 | 116,081 | ||||||
Duke Energy Carolinas 3.95% 11/15/28 | 170,000 | 180,556 | ||||||
Duke Energy Ohio | 125,000 | 129,522 | ||||||
Emera 6.75% 6/15/76 µ | 215,000 | 231,681 | ||||||
Entergy Louisiana | ||||||||
4.00% 3/15/33 | 85,000 | 89,276 | ||||||
4.05% 9/1/23 | 25,000 | 26,191 | ||||||
4.95% 1/15/45 | 10,000 | 10,466 | ||||||
Entergy Mississippi | ||||||||
2.85% 6/1/28 | 115,000 | 110,847 | ||||||
Evergy 4.85% 6/1/21 | 35,000 | 36,067 | ||||||
Exelon | ||||||||
3.497% 6/1/22 | 180,000 | 182,661 | ||||||
3.95% 6/15/25 | 150,000 | 156,086 | ||||||
FirstEnergy Transmission 144A | 90,000 | 92,232 | ||||||
Interstate Power & Light 4.10% 9/26/28 | 605,000 | 636,892 | ||||||
Israel Electric 144A | 200,000 | 213,428 | ||||||
Kallpa Generacion 144A 4.125% 8/16/27 # | 200,000 | 198,702 | ||||||
Kansas City Power & Light 3.65% 8/15/25 | 220,000 | 227,673 | ||||||
LG&E & KU Energy | 165,000 | 169,768 | ||||||
Louisville Gas & Electric 4.25% 4/1/49 | 210,000 | 221,760 | ||||||
MidAmerican Energy | 390,000 | 417,297 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Electric (continued) | ||||||||
National Rural Utilities Cooperative Finance | ||||||||
2.85% 1/27/25 | 430,000 | $ | 428,921 | |||||
4.75% 4/30/43 µ | 70,000 | 68,741 | ||||||
5.25% 4/20/46 µ | 60,000 | 61,201 | ||||||
Nevada Power | 225,000 | 225,193 | ||||||
New York State Electric & Gas 144A 3.25% | 145,000 | 144,687 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.90% 4/1/22 | 480,000 | 481,797 | ||||||
3.15% 4/1/24 | 240,000 | 241,039 | ||||||
5.65% 5/1/79 µ | 55,000 | 55,995 | ||||||
NV Energy 6.25% 11/15/20 | 75,000 | 78,888 | ||||||
Oglethorpe Power 144A 5.05% 10/1/48 # | 255,000 | 285,704 | ||||||
PacifiCorp 3.50% 6/15/29 | 35,000 | 35,758 | ||||||
Pennsylvania Electric | 15,000 | 15,304 | ||||||
Public Service Co. of Oklahoma 5.15% 12/1/19 | 100,000 | 101,415 | ||||||
Southern California Edison | ||||||||
4.20% 3/1/29 | 70,000 | 72,211 | ||||||
4.875% 3/1/49 | 165,000 | 175,639 | ||||||
Southwestern Electric Power 4.10% 9/15/28 | 540,000 | 566,186 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 70,000 | 71,947 | ||||||
Vistra Operations 144A | 425,000 | 438,813 | ||||||
|
| |||||||
11,032,658 | ||||||||
|
| |||||||
Energy – 4.68% | ||||||||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 200,000 | 211,500 | ||||||
ADES International Holding 144A | 200,000 | 202,500 | ||||||
Brooklyn Union Gas 144A 3.865% 3/4/29 # | 540,000 | 558,837 | ||||||
Cheniere Energy Partners 5.25% 10/1/25 | 250,000 | 255,937 | ||||||
Continental Resources | 125,000 | 126,436 | ||||||
Enbridge | ||||||||
6.00% 1/15/77 µ | 505,000 | 506,472 | ||||||
6.25% 3/1/78 µ | 90,000 | 91,463 |
22
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Enbridge Energy Partners | ||||||||
4.375% 10/15/20 | 45,000 | $ | 45,916 | |||||
5.20% 3/15/20 | 25,000 | 25,517 | ||||||
5.50% 9/15/40 | 75,000 | 84,196 | ||||||
Energy Transfer Operating | ||||||||
5.25% 4/15/29 | 185,000 | 199,390 | ||||||
6.25% 4/15/49 | 140,000 | 157,719 | ||||||
6.625%µY | 230,000 | 218,894 | ||||||
Energy Transfer Partners 5.00% 10/1/22 | 340,000 | 358,063 | ||||||
Gazprom OAO Via Gaz Capital 144A 4.95% 3/23/27 # | 200,000 | 203,678 | ||||||
Geopark 144A 6.50% 9/21/24 # | 200,000 | 203,000 | ||||||
Husky Energy 4.40% 4/15/29 | 320,000 | 326,029 | ||||||
Infraestructura Energetica Nova 144A 4.875% 1/14/48 # | 200,000 | 171,800 | ||||||
KazMunayGas National 144A 6.375% 10/24/48 # | 200,000 | 222,080 | ||||||
Marathon Oil 4.40% 7/15/27 | 455,000 | 471,033 | ||||||
MPLX | ||||||||
4.80% 2/15/29 | 195,000 | 207,519 | ||||||
4.875% 12/1/24 | 255,000 | 272,447 | ||||||
5.50% 2/15/49 | 80,000 | 86,553 | ||||||
Murphy Oil 6.875% 8/15/24 | 185,000 | 193,982 | ||||||
Newfield Exploration | 335,000 | 357,456 | ||||||
NiSource 5.65%µY | 200,000 | 200,872 | ||||||
Noble Energy | ||||||||
3.90% 11/15/24 | 200,000 | 204,313 | ||||||
4.95% 8/15/47 | 70,000 | 71,995 | ||||||
5.05% 11/15/44 | 65,000 | 67,295 | ||||||
Oasis Petroleum 144A 6.25% 5/1/26 # | 125,000 | 121,563 | ||||||
Oil and Gas Holding 144A 7.625% 11/7/24 # | 200,000 | 218,000 | ||||||
ONEOK 7.50% 9/1/23 | 220,000 | 254,404 | ||||||
Pertamina Persero 144A 4.875% 5/3/22 # | 200,000 | 207,758 | ||||||
Perusahaan Listrik Negara 144A | 200,000 | 197,410 | ||||||
Petrobras Global Finance | ||||||||
6.90% 3/19/49 | 135,000 | 135,336 | ||||||
7.375% 1/17/27 | 180,000 | 200,880 | ||||||
Petroleos Mexicanos 6.75% 9/21/47 | 120,000 | 110,820 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Sabine Pass Liquefaction | ||||||||
5.625% 3/1/25 | 315,000 | $ | 345,600 | |||||
5.75% 5/15/24 | 614,000 | 674,225 | ||||||
Saudi Arabian Oil 144A | 220,000 | 215,124 | ||||||
Schlumberger Holdings 144A 4.30% 5/1/29 # | 445,000 | 459,890 | ||||||
Southwestern Energy | 175,000 | 178,063 | ||||||
Tecpetrol 144A | 185,000 | 167,194 | ||||||
Transocean Proteus 144A 6.25% 12/1/24 # | 200,000 | 206,500 | ||||||
Tullow Oil 144A | 200,000 | 204,500 | ||||||
Whiting Petroleum 6.625% 1/15/26 | 205,000 | 204,748 | ||||||
YPF 144A 48.75% (BADLARPP + 4.00%) 7/7/20 #• | 125,000 | 41,489 | ||||||
|
| |||||||
10,446,396 | ||||||||
|
| |||||||
Finance Companies – 0.82% |
| |||||||
AerCap Ireland Capital | ||||||||
3.65% 7/21/27 | 250,000 | 238,035 | ||||||
4.45% 4/3/26 | 150,000 | 152,286 | ||||||
Aviation Capital Group | ||||||||
144A 4.375% 1/30/24 # | 250,000 | 256,629 | ||||||
144A 4.875% 10/1/25 # | 185,000 | 194,878 | ||||||
Avolon Holdings Funding | ||||||||
144A 3.625% 5/1/22 # | 65,000 | 65,215 | ||||||
144A 3.95% 7/1/24 # | 255,000 | 253,756 | ||||||
144A 4.375% 5/1/26 # | 135,000 | 134,371 | ||||||
GE Capital International Funding Co. Unlimited 4.418% 11/15/35 | 200,000 | 186,768 | ||||||
International Lease Finance 8.625% 1/15/22 | 300,000 | 340,541 | ||||||
|
| |||||||
1,822,479 | ||||||||
|
| |||||||
Insurance – 1.70% | ||||||||
Acrisure 144A | 73,000 | 66,430 | ||||||
AssuredPartners 144A | 112,000 | 106,400 | ||||||
AXA Equitable Holdings 5.00% 4/20/48 | 600,000 | 596,425 | ||||||
Berkshire Hathaway Finance 2.90% 10/15/20 | 65,000 | 65,440 |
(continues) 23
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal | Value | |||||||
amount° | (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Insurance (continued) | ||||||||
Brighthouse Financial | ||||||||
3.70% 6/22/27 | 275,000 | $ | 254,760 | |||||
4.70% 6/22/47 | 215,000 | 176,966 | ||||||
Harborwalk Funding Trust 144A 5.077% 2/15/69 #µ | 140,000 | 147,842 | ||||||
Liberty Mutual Group 144A 4.569% 2/1/29 # | 25,000 | 26,270 | ||||||
Marsh & McLennan 4.375% 3/15/29 | 465,000 | 497,483 | ||||||
Nuveen Finance 144A 4.125% 11/1/24 # | 460,000 | 484,434 | ||||||
Progressive 4.00% 3/1/29 | 205,000 | 218,018 | ||||||
Prudential Financial | ||||||||
4.35% 2/25/50 | 395,000 | 415,669 | ||||||
5.375% 5/15/45 µ | 85,000 | 86,846 | ||||||
USI 144A 6.875% 5/1/25 # | 190,000 | 189,763 | ||||||
Voya Financial | 205,000 | 180,569 | ||||||
Willis North America 4.50% 9/15/28 | 90,000 | 93,841 | ||||||
XLIT | ||||||||
5.054% (LIBOR03M + 2.46%)Y● | 45,000 | 43,840 | ||||||
5.50% 3/31/45 | 130,000 | 144,112 | ||||||
|
| |||||||
3,795,108 | ||||||||
|
| |||||||
REITs – 0.65% | ||||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 45,000 | 44,553 | ||||||
5.25% 2/15/24 | 55,000 | 58,007 | ||||||
ESH Hospitality 144A | 535,000 | 538,344 | ||||||
Growthpoint Properties International 144A 5.872% 5/2/23 # | 200,000 | 206,168 | ||||||
Hospitality Properties Trust 4.50% 3/15/25 | 65,000 | 65,871 | ||||||
Host Hotels & Resorts | ||||||||
3.75% 10/15/23 | 135,000 | 135,582 | ||||||
3.875% 4/1/24 | 65,000 | 65,322 | ||||||
Kilroy Realty | 135,000 | 134,640 | ||||||
LifeStorage 3.50% 7/1/26 | 100,000 | 96,606 | ||||||
UDR 4.00% 10/1/25 | 40,000 | 41,147 | ||||||
WP Carey 4.60% 4/1/24 | 55,000 | 57,247 | ||||||
|
| |||||||
1,443,487 | ||||||||
|
| |||||||
Technology – 1.81% | ||||||||
Baidu 3.875% 9/29/23 | 200,000 | 204,041 |
Principal | Value | |||||||
amount° | (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Technology (continued) | ||||||||
Broadcom | ||||||||
144A 3.125% 4/15/21 # | 730,000 | $ | 729,629 | |||||
3.50% 1/15/28 | 240,000 | 221,432 | ||||||
144A 4.25% 4/15/26 # | 160,000 | 158,422 | ||||||
CommScope Technologies 144A 5.00% 3/15/27 # | 255,000 | 238,744 | ||||||
Equinix 5.375% 5/15/27 | 280,000 | 297,108 | ||||||
Fiserv 3.80% 10/1/23 | 80,000 | 82,659 | ||||||
KLA-Tencor 4.10% 3/15/29 | 135,000 | 138,871 | ||||||
Marvell Technology Group 4.875% 6/22/28 | 340,000 | 355,616 | ||||||
NXP | ||||||||
144A 4.125% 6/1/21 # | 435,000 | 444,052 | ||||||
144A 4.875% 3/1/24 # | 625,000 | 662,075 | ||||||
Oracle 2.40% 9/15/23 | 305,000 | 300,568 | ||||||
Tencent Holdings 144A 3.975% 4/11/29 # | 200,000 | 201,866 | ||||||
|
| |||||||
4,035,083 | ||||||||
|
| |||||||
Transportation – 0.74% | ||||||||
Adani Abbot Point Terminal 144A 4.45% 12/15/22 # | 340,000 | 318,258 | ||||||
Aeropuertos Argentina 2000 144A 6.875% 2/1/27 # | 200,000 | 184,000 | ||||||
Avis Budget Car Rental 144A | 58,000 | 60,537 | ||||||
FedEx 4.05% 2/15/48 | 315,000 | 282,374 | ||||||
International Airport Finance 144A 12.00% 3/15/33 # | 205,000 | 221,093 | ||||||
Latam Finance 144A | 200,000 | 205,250 | ||||||
Norfolk Southern | 190,000 | 196,705 | ||||||
United Airlines2014-1 Class A Pass Through Trust 4.00% 4/11/26¨ | 23,348 | 23,948 | ||||||
United Airlines2014-2 Class A Pass Through Trust 3.75% 9/3/26¨ | 56,101 | 56,864 | ||||||
United Airlines2019-1 Class AA Pass Through Trust 4.15% 8/25/31¨ | 100,000 | 102,905 | ||||||
|
| |||||||
1,651,934 | ||||||||
|
|
24
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Utilities – 0.27% | ||||||||
Aegea Finance 144A | 200,000 | $ | 201,700 | |||||
KazTransGas JSC 144A | 400,000 | 396,412 | ||||||
|
| |||||||
598,112 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 88,841,089 | ||||||
|
| |||||||
| ||||||||
Loan Agreements – 6.36% |
| |||||||
Acrisure Tranche B 1st Lien 6.879% (LIBOR03M + 4.25%) 11/22/23● | 157,995 | 157,863 | ||||||
Alpha 3 Tranche B1 1st Lien 5.601% (LIBOR03M + 3.00%) 1/31/24● | 44,328 | 44,245 | ||||||
Altice France Tranche B11 1st Lien 5.233% (LIBOR01M + 2.75%) 7/31/25● | 117,228 | 114,297 | ||||||
Altice France Tranche B13 1st Lien 6.473% (LIBOR01M + 4.00%) 8/14/26● | 34,825 | 34,303 | ||||||
AMC Entertainment Holdings Tranche B1 1st Lien 7.197% (LIBOR03M + 4.50%) 4/22/26● | 200,000 | 200,749 | ||||||
American Airlines Tranche B 1st Lien 4.473% (LIBOR01M + 2.00%) 12/14/23● | 399,375 | 396,712 | ||||||
Applied Systems 2nd Lien 9.483% (LIBOR01M + 7.00%) 9/19/25● | 225,000 | 229,570 | ||||||
Aramark Services Tranche B3 1st Lien 4.233% (LIBOR01M + 1.75%) 3/11/25● | 69,950 | 69,979 | ||||||
AssuredPartners Tranche B 1st Lien 5.733% (LIBOR01M + 3.25%) 10/22/24● | 113,099 | 112,562 | ||||||
Avis Budget Car Rental Tranche B 1st Lien 4.49% (LIBOR01M + 2.00%) 2/13/25 =● | 63,777 | 63,235 | ||||||
Bausch Health Americas Tranche B 1st Lien 5.474% (LIBOR01M + 3.00%) 6/1/25● | 95,810 | 96,207 | ||||||
Blue Ribbon 1st Lien 6.493% (LIBOR01M + 4.00%) 11/13/21● | 108,909 | 97,610 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Boxer Parent Tranche B 1st Lien 6.851% (LIBOR03M + 4.25%) 10/2/25● | 147,630 | $ | 146,929 | |||||
Builders FirstSource 1st Lien 5.601% (LIBOR03M + 3.00%) 2/29/24● | 58,115 | 57,479 | ||||||
BWAY Holding Tranche B 1st Lien 5.854% (LIBOR03M + 3.25%) 4/3/24● | 199,102 | 197,062 | ||||||
Calpine Tranche B9 1st Lien 5.34% (LIBOR03M + 2.75%) 4/1/26● | 50,000 | 50,214 | ||||||
Change Healthcare Holdings Tranche B 1st Lien 5.233% (LIBOR01M + 2.75%) | 30,091 | 30,120 | ||||||
Charter Communications Operating Tranche B 1st Lien 4.49% (LIBOR01M + 2.00%) 4/30/25● | 103,576 | 103,964 | ||||||
Chemours Tranche B2 1st Lien 4.24% (LIBOR01M + 1.75%) 4/3/25● | 170,805 | 170,355 | ||||||
CityCenter Holdings Tranche B 1st Lien 4.733% (LIBOR01M + 2.25%) 4/18/24● | 242,009 | 242,052 | ||||||
Core & Main Tranche B 1st Lien 5.626% (LIBOR03M + 3.00%) 8/1/24● | 143,546 | 144,128 | ||||||
CROWN Americas Tranche B 1st Lien 4.482% (LIBOR01M + 2.00%) | 163,968 | 165,313 | ||||||
CSC Holdings Tranche B 1st Lien 4.973% (LIBOR01M + 2.50%) 1/25/26● | 64,350 | 64,430 | ||||||
Datto 1st Lien 6.733% (LIBOR01M + 4.25%) | 75,000 | 75,844 | ||||||
DaVita Tranche B 1st Lien 5.233% (LIBOR01M + 2.75%) 6/24/21● | 135,817 | 136,326 | ||||||
Deerfield Dakota Holding Tranche B 1st Lien 5.733% (LIBOR01M + 3.25%) 2/13/25● | 85,140 | 84,519 | ||||||
Delek US Holdings Tranche B 1st Lien 4.733% (LIBOR01M + 2.25%) 3/30/25● | 84,150 | 84,220 |
(continues) 25
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Digicel International Finance Tranche B 1st Lien 5.88% (LIBOR03M + 3.25%) 5/27/24● | 98,451 | $ | 88,483 | |||||
Drive Chassis Holdco 2nd Lien 10.834% (LIBOR03M + 8.25%) 4/16/26● | 90,000 | 86,625 | ||||||
DTZ US Borrower Tranche B 1st Lien 5.733% (LIBOR01M + 3.25%) 8/21/25● | 64,675 | 64,823 | ||||||
Edgewater Generation Tranche B 1st Lien 6.233% (LIBOR01M + 3.75%) 12/13/25● | 49,875 | 50,156 | ||||||
Envision Healthcare Tranche B 1st Lien 6.233% (LIBOR01M + 3.75%) 10/11/25● | 111,720 | 108,128 | ||||||
Equitrans Midstream Tranche B 1st Lien 6.983% (LIBOR01M + 4.50%) 1/31/24● | 61,845 | 62,309 | ||||||
ESH Hospitality Tranche B 1st Lien 4.483% (LIBOR01M + 2.00%) 8/30/23● | 231,603 | 231,372 | ||||||
ExamWorks Group Tranche B1 1st Lien 5.733% (LIBOR01M + 3.25%) 7/27/23● | 161,355 | 161,733 | ||||||
Flying Fortress Holdings Tranche B 1st Lien 4.351% (LIBOR03M + 1.75%) 10/30/22● | 150,000 | 150,422 | ||||||
Gardner Denver Tranche B1 1st Lien 5.233% (LIBOR01M + 2.75%) 7/30/24● | 37,357 | 37,484 | ||||||
Gates Global Tranche B2 1st Lien 5.233% (LIBOR01M + 2.75%) 3/31/24● | 88,763 | 89,041 | ||||||
GIP III Stetson I Tranche B 1st Lien 6.73% (LIBOR01M + 4.25%) 7/18/25● | 48,312 | 48,509 | ||||||
Gray Television Tranche B2 1st Lien 4.727% (LIBOR01M + 2.25%) 2/7/24● | 107,721 | 107,676 | ||||||
Greenhill & Co. Tranche B 1st Lien 5.732% (LIBOR01M + 3.25%) 4/12/24● | 55,000 | 55,069 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Grizzly Finco Tranche B 1st Lien 5.85% (LIBOR03M + 3.25%) 10/1/25● | 24,875 | $ | 24,994 | |||||
GVC Holdings Tranche B2 1st Lien 4.983% (LIBOR01M + 2.50%) 3/16/24● | 136,620 | 136,734 | ||||||
HCA Tranche B10 1st Lien 4.483% (LIBOR01M + 2.00%) 3/13/25● | 356,400 | 357,365 | ||||||
Heartland Dental 1st Lien 6.233% (LIBOR01M + 3.75%) 4/30/25● | 124,339 | 122,655 | ||||||
Hilton Worldwide Finance Tranche B2 1st Lien 4.227% (LIBOR01M + 1.75%) 10/25/23● | 35,550 | 35,721 | ||||||
Hoya Midco Tranche B 1st Lien 5.983% (LIBOR01M + 3.50%) 6/30/24● | 171,305 | 170,341 | ||||||
HUB International Tranche B 1st Lien 5.336% (LIBOR03M + 2.75%) 4/25/25● | 198,500 | 196,779 | ||||||
Hyperion Insurance Group Tranche B 1st Lien 6.00% (LIBOR01M + 3.50%) 12/20/24● | 158,878 | 159,275 | ||||||
INEOS US Finance Tranche B 1st Lien 4.483% (LIBOR01M + 2.00%) 3/31/24● | 390,063 | 389,136 | ||||||
IQVIA Tranche B3 1st Lien 4.233% (LIBOR01M + 1.75%) 6/11/25● | 143,913 | 143,591 | ||||||
Iron Mountain Tranche B 1st Lien 4.233% (LIBOR01M + 1.75%) 1/2/26● | 247,500 | 243,478 | ||||||
JBS USA LUX Tranche B 1st Lien 0.00% 4/25/26● X | 25,000 | 25,085 | ||||||
JBS USA Tranche B 1st Lien 4.98% (LIBOR01M + 2.50%) 10/30/22● | 90,643 | 90,797 | ||||||
Lucid Energy Group II Borrower 1st Lien 5.477% (LIBOR01M + 3.00%) 2/18/25● | 54,644 | 53,620 | ||||||
LUX HOLDCO III 1st Lien 5.579% (LIBOR02M + 3.00%) 3/28/25● | 45,540 | 45,635 |
26
Table of Contents
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
MGM Growth Properties Operating Partnership Tranche B 1st Lien 4.483% (LIBOR01M + 2.00%) 3/25/25● | 143,155 | $ | 143,283 | |||||
Microchip Technology 1st Lien 4.49% (LIBOR01M + 2.00%) 5/29/25● | 141,762 | 142,205 | ||||||
Momentive Performance Materials USA Tranche B 1st Lien 0.00% | 25,000 | 25,102 | ||||||
MPH Acquisition Holdings Tranche B 1st Lien 5.351% (LIBOR03M + 2.75%) 6/7/23● | 95,244 | 94,456 | ||||||
NCI Building Systems Tranche B 1st Lien 6.547% (LIBOR03M + 3.75%) 4/12/25● | 68,483 | 67,755 | ||||||
Neiman Marcus Group 1st Lien 5.724% (LIBOR01M + 3.25%) 10/25/20● | 27,809 | 25,852 | ||||||
NFP Tranche B 1st Lien 5.483% (LIBOR01M + 3.00%) 1/8/24● | 128,359 | 126,901 | ||||||
ON Semiconductor Tranche B3 1st Lien 4.233% (LIBOR01M + 1.75%) 3/31/23● | 74,909 | 74,710 | ||||||
Panther BF Aggregator 2 Tranche B 1st Lien 0.00% 4/30/26● X | 15,000 | 15,065 | ||||||
Penn National Gaming Tranche B1 1st Lien 4.733% (LIBOR01M + 2.25%) 10/15/25● | 199,500 | 199,886 | ||||||
Perstorp Holding Tranche B 1st Lien 0.00% | 94,000 | 93,177 | ||||||
Plaskolite PPC Intermediate II 1st Lien 6.723% (LIBOR01M + 4.25%) 12/14/25● | 61,845 | 62,077 | ||||||
PQ Tranche B 1st Lien 5.083% (LIBOR03M + 2.50%) 2/8/25● | 166,581 | 166,730 | ||||||
Prestige Brands Tranche B5 1st Lien 4.483% (LIBOR01M + 2.00%) 1/26/24● | 90,831 | 90,638 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Radiate Holdco Tranche B 1st Lien 5.483% (LIBOR01M + 3.00%) 2/1/24● | 111,999 | $ | 111,819 | |||||
Refinitiv US Holdings Tranche B 1st Lien 6.233% (LIBOR01M + 3.75%) 10/1/25● | 93,765 | 92,945 | ||||||
Russell Investments US Institutional Holdco Tranche B 1st Lien 5.851% (LIBOR03M + 3.25%) | 378,835 | 378,409 | ||||||
Sable International Finance Tranche B4 1st Lien 5.733% (LIBOR01M + 3.25%) 1/31/26● | 218,667 | 219,912 | ||||||
SBA Senior Finance II Tranche B 1st Lien 4.49% (LIBOR01M + 2.00%) 4/11/25● | 183,613 | 182,781 | ||||||
Scientific Games International Tranche B5 1st Lien 5.233% (LIBOR01M + 2.75%) 8/14/24● | 283,602 | 283,484 | ||||||
Sinclair Television Group Tranche B2 1st Lien 4.75% (LIBOR01M + 2.25%) | 145,862 | 146,043 | ||||||
Sprint Communications Tranche B 1st Lien 5.00% (LIBOR01M + 2.50%) | 493,333 | 479,767 | ||||||
5.50% (LIBOR01M + 3.00%) 2/3/24 =● | 49,875 | 48,503 | ||||||
SS&C European Holdings Tranche B4 1st Lien 4.733% (LIBOR01M + 2.25%) 4/16/25● | 47,330 | 47,444 | ||||||
SS&C Technologies Tranche B3 1st Lien 4.733% (LIBOR01M + 2.25%) 4/16/25● | 66,212 | 66,371 | ||||||
Stars Group Holdings Tranche B 1st Lien 6.101% (LIBOR03M + 3.50%) 7/10/25● | 171,536 | 172,565 | ||||||
Summit Materials Tranche B 1st Lien 4.483% (LIBOR01M + 2.00%) 11/10/24● | 98,750 | 98,781 |
(continues) 27
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Summit Midstream Partners Holdings Tranche B 1st Lien 8.483% (LIBOR01M + 6.00%) 5/21/22● | 61,506 | $ | 61,377 | |||||
Surgery Center Holdings 1st Lien 5.74% (LIBOR01M + 3.25%) 8/31/24● | 222,180 | 219,764 | ||||||
Syneos Health Tranche B 1st Lien 4.483% (LIBOR01M + 2.00%) 8/1/24● | 108,095 | 107,985 | ||||||
Tecta America 1st Lien 6.983% (LIBOR01M + 4.50%) 11/21/25 =● | 74,813 | 74,064 | ||||||
Telenet Financing USD Tranche AN 1st Lien 4.723% (LIBOR01M + 2.25%) 8/15/26● | 120,000 | 119,805 | ||||||
Titan Acquisition Tranche B 1st Lien 5.483% (LIBOR01M + 3.00%) 3/28/25● | 161,619 | 155,861 | ||||||
TMS International Tranche B2 1st Lien 5.294% (LIBOR01M + 2.75%) 8/14/24 =● | 50,755 | 50,817 | ||||||
TransDigm Tranche F 1st Lien 4.983% (LIBOR01M + 2.50%) 6/9/23● | 179,550 | 179,225 | ||||||
Trident TPI Holdings 1st Lien 5.733% (LIBOR01M + 3.25%) 10/5/24● | 60,908 | 59,690 | ||||||
Tronox Finance Tranche B 1st Lien 5.483% (LIBOR01M + 3.00%) 9/22/24● | 84,898 | 85,232 | ||||||
Ultimate Software Group 1st Lien 4.473% (LIBOR01M + 2.00%) 4/8/26● | 175,000 | 176,531 | ||||||
Unitymedia Finance Tranche D 1st Lien 4.723% (LIBOR01M + 2.25%) 1/15/26● | 40,000 | 39,981 | ||||||
Unitymedia Finance Tranche E 1st Lien 4.473% (LIBOR01M + 2.00%) 6/1/23● | 175,000 | 174,795 | ||||||
UPC Financing Partnership Tranche AR 1st Lien 4.973% (LIBOR01M + 2.50%) 1/15/26● | 15,646 | 15,669 | ||||||
Upfield USA Tranche B2 1st Lien 5.603% (LIBOR03M + 3.00%) 7/2/25● | 106,198 | 105,401 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
USI Tranche B 1st Lien 5.601% (LIBOR03M + 3.00%) 5/16/24● | 327,605 | $ | 325,476 | |||||
USIC Holdings 1st Lien 5.733% (LIBOR01M + 3.25%) 12/9/23● | 135,477 | 134,461 | ||||||
Vantage Specialty Chemicals Tranche B 1st Lien 6.05% (LIBOR03M + 3.50%) 10/28/24● | 21,047 | 20,810 | ||||||
Virgin Media Bristol Tranche K 1st Lien 4.973% (LIBOR01M + 2.50%) 1/15/26● | 60,000 | 60,211 | ||||||
Vistra Operations Tranche B3 1st Lien 4.474% (LIBOR01M + 2.00%) 12/1/25● | 322,563 | 323,436 | ||||||
Visual Comfort Group 1st Lien 5.483% (LIBOR01M + 3.00%) 2/28/24 =● | 129,052 | 128,649 | ||||||
VVC Holding Tranche B 1st Lien 7.197% (LIBOR03M + 4.50%) 2/11/26● | 200,000 | 201,562 | ||||||
Wand NewCo 3 Tranche B 1st Lien 5.977% (LIBOR01M + 3.50%) 2/5/26● | 50,000 | 50,422 | ||||||
Wyndham Hotels & Resorts Tranche B 1st Lien 4.233% (LIBOR01M + 1.75%) 5/30/25● | 74,625 | 74,638 | ||||||
Wynn Resorts Tranche B 1st Lien 4.76% (LIBOR01M + 2.25%) 10/30/24● | 114,713 | 113,978 | ||||||
XPO Logistics Tranche B 1st Lien 4.483% (LIBOR01M + 2.00%) 2/24/25● | 210,000 | 209,387 | ||||||
Zayo Group Tranche B2 1st Lien 4.733% (LIBOR01M + 2.25%) 1/19/24● | 196,000 | 196,260 | ||||||
Zekelman Industries 1st Lien 4.734% (LIBOR01M + 2.25%) 6/14/21● | 165,758 | 165,945 | ||||||
|
| |||||||
Total Loan Agreements |
| 14,195,416 | ||||||
|
|
28
Table of Contents
Principal amount° | Value (US $) | |||||||
Municipal Bonds – 0.11% |
| |||||||
Buckeye, Ohio Tobacco Settlement Financing Authority (Asset-Backed Senior Turbo) SeriesA-2 5.875% 6/1/47 | 25,000 | $ | 23,751 | |||||
California State (Build America Bonds) | 75,000 | 114,755 | ||||||
South Carolina Public Service Authority | 30,000 | 33,292 | ||||||
Texas Water Development Board | 55,000 | 64,138 | ||||||
|
| |||||||
Total Municipal Bonds |
| 235,936 | ||||||
|
| |||||||
Non-Agency Asset-Backed Securities – 3.17% |
| |||||||
American Express Credit Account Master Trust | ||||||||
Series2017-5 A 2.853% (LIBOR01M + 0.38%) 2/18/25● | 355,000 | 356,097 | ||||||
Series2018-3 A 2.793% (LIBOR01M + 0.32%) 10/15/25● | 165,000 | 164,638 | ||||||
Series2019-1 A 2.87% 10/15/24 | 100,000 | 100,953 | ||||||
Barclays Dryrock Issuance Trust Series2017-1 A 2.803% (LIBOR01M + 0.33%, Floor 0.33%) 3/15/23● | 100,000 | 100,159 | ||||||
Chase Issuance Trust Series2018-A1 A1 2.673% (LIBOR01M + 0.20%) | 530,000 | 530,041 | ||||||
Citibank Credit Card Issuance Trust Series2017-A5 A5 3.107% (LIBOR01M + 0.62%, Floor 0.62%) 4/22/26● | 100,000 | 100,696 | ||||||
Series2017-A7 A7 2.844% (LIBOR01M + 0.37%) | 100,000 | 100,160 | ||||||
Series2018-A2 A2 2.817% (LIBOR01M + 0.33%) | 275,000 | 274,697 |
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Citicorp Residential Mortgage Trust | 300,000 | $ | 307,143 | |||||
Discover Card Execution Note Trust | 105,000 | 105,063 | ||||||
Series2018-A2 A2 2.803% (LIBOR01M + 0.33%) 8/15/25● | 305,000 | 304,027 | ||||||
Ford Credit Auto Owner Trust Series2018-1 A 144A 3.19% 7/15/31 # | 160,000 | 159,765 | ||||||
HOA Funding Series2014-1A A2 144A | 45,500 | 45,332 | ||||||
Mercedes-Benz Master Owner Trust | 500,000 | 500,834 | ||||||
Series2018-BA A 144A 2.813% (LIBOR01M + 0.34%) 5/15/23 #● | 100,000 | 100,084 | ||||||
Navistar Financial Dealer Note Master Owner Trust II Series2018-1 A 144A 3.107% (LIBOR01M + 0.63%, Floor 0.63%) 9/25/23 #● | 55,000 | 55,116 | ||||||
Nissan Master Owner Trust Receivables | 265,000 | 265,226 | ||||||
Penarth Master Issuer Series2018-2A A1 144A 2.93% (LIBOR01M + 0.45%) | 355,000 | 353,395 | ||||||
PFS Financing Series2018-E A 144A 2.923% (LIBOR01M + 0.45%) 10/15/22 #● | 505,000 | 505,036 | ||||||
Tesla Auto Lease Trust Series2018-A B 144A 2.75% 2/20/20 # | 675,000 | 674,422 | ||||||
Towd Point Mortgage Trust Series2015-5 A1B 144A 2.75% 5/25/55 #● | 41,326 | 40,972 |
(continues) 29
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Towd Point Mortgage Trust Series2015-6 A1B 144A 2.75% 4/25/55 #● | 48,435 | $ | 47,959 | |||||
Series2017-1 A1 144A 2.75% 10/25/56 #● | 61,116 | 60,287 | ||||||
Series2017-2 A1 144A 2.75% 4/25/57 #● | 63,208 | 62,453 | ||||||
Series2018-1 A1 144A 3.00% 1/25/58 #● | 79,863 | 79,132 | ||||||
Toyota Auto Receivables Owner Trust | 420,000 | 419,995 | ||||||
Verizon Owner Trust | 225,000 | 225,097 | ||||||
Series2019-A A1A 2.93% 9/20/23 | 520,000 | 524,656 | ||||||
Volkswagen Auto Loan Enhanced Trust | 168,024 | 168,105 | ||||||
Volvo Financial Equipment Master Owner Trust | 255,000 | 255,658 | ||||||
Wendys Funding | 79,000 | 78,339 | ||||||
|
| |||||||
TotalNon-Agency Asset-Backed Securities | 7,065,537 | |||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 1.93% |
| |||||||
Chase Home Lending Mortgage Trust Series 2019-ATR1 A4 144A 4.00% 4/25/49 #● | 85,000 | 86,447 | ||||||
Connecticut Avenue Securities Trust Series2019-R01 2M2 144A 4.927% (LIBOR01M + 2.45%) 7/25/31 #● | 125,000 | 127,425 | ||||||
Flagstar Mortgage Trust Series2018-1 A5 144A 3.50% 3/25/48 #● | 102,386 | 102,191 | ||||||
Series2018-5 A7 144A 4.00% 9/25/48 #● | 89,318 | 90,332 |
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Galton Funding Mortgage Trust | 69,483 | $ | 69,631 | |||||
Holmes Master Issuer | 200,000 | 199,833 | ||||||
JPMorgan Mortgage Trust Series2014-2 B1 144A 3.411% 6/25/29 #● | 62,126 | 62,495 | ||||||
Series2014-2 B2 144A 3.411% 6/25/29 #● | 62,126 | 62,151 | ||||||
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● | 100,000 | 100,014 | ||||||
Series2015-4 B1 144A 3.624% 6/25/45 #● | 91,131 | 92,046 | ||||||
Series2015-4 B2 144A 3.624% 6/25/45 #● | 91,131 | 90,952 | ||||||
Series2015-5 B2 144A 3.283% 5/25/45 #● | 94,497 | 93,758 | ||||||
Series2015-6 B1 144A 3.611% 10/25/45 #● | 90,263 | 91,300 | ||||||
Series2015-6 B2 144A 3.611% 10/25/45 #● | 90,263 | 90,644 | ||||||
Series2016-4 B1 144A 3.841% 10/25/46 #● | 93,641 | 95,644 | ||||||
Series2016-4 B2 144A 3.841% 10/25/46 #● | 93,641 | 95,125 | ||||||
Series2017-1 B2 144A 3.549% 1/25/47 #● | 100,010 | 98,381 | ||||||
Series2017-2 A3 144A 3.50% 5/25/47 #● | 45,611 | 45,380 | ||||||
Series2018-3 A5 144A 3.50% 9/25/48 #● | 246,666 | 247,132 | ||||||
Series2018-4 A15 144A 3.50% 10/25/48 #● | 154,412 | 154,947 | ||||||
Series2018-6 1A4 144A 3.50% 12/25/48 #● | 100,721 | 101,089 | ||||||
Series 2018-7FRB A2 144A 3.236% (LIBOR01M + 0.75%) 4/25/46 #● | 109,582 | 109,395 | ||||||
Series2019-2 A4 144A 4.00% 8/25/49 #● | 387,111 | 392,948 | ||||||
Series 2019-LTV1 A3 144A 4.00% 6/25/49 #● | 213,143 | 215,488 |
30
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
New Residential Mortgage Loan Trust Series 2018-RPL1 A1 144A 3.50% 12/25/57 #● | 90,333 | $ | 91,066 | |||||
Sequoia Mortgage Trust Series2014-2 A4 144A 3.50% 7/25/44 #● | 27,826 | 27,872 | ||||||
Series2015-1 B2 144A 3.877% 1/25/45 #● | 40,346 | 40,914 | ||||||
Series2015-2 B2 144A 3.742% 5/25/45 #● | 337,778 | 340,365 | ||||||
Series2017-4 A1 144A 3.50% 7/25/47 #● | 80,518 | 80,263 | ||||||
Series2017-5 B1 144A 3.878% 8/25/47 #● | 244,772 | 248,315 | ||||||
Series2018-5 A4 144A 3.50% 5/25/48 #● | 131,257 | 131,533 | ||||||
Series2018-8 A4 144A 4.00% 11/25/48 #● | 216,813 | 219,988 | ||||||
Series 2019-CH1 A1 144A 4.00% 3/25/49 #● | 204,180 | 210,385 | ||||||
|
| |||||||
TotalNon-Agency Collateralized Mortgage Obligations |
| 4,305,449 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 6.04% |
| |||||||
BANK | 595,008 | 48,053 | ||||||
Series 2017-BNK5 A5 3.39% 6/15/60 | 225,000 | 228,537 | ||||||
Series 2017-BNK5 B 3.896% 6/15/60● | 95,000 | 96,327 | ||||||
Series 2017-BNK7 A5 3.435% 9/15/60 | 190,000 | 193,571 | ||||||
Series 2017-BNK8 A4 3.488% 11/15/50 | 85,000 | 86,922 | ||||||
BBCMS Mortgage Trust Series2018-C2 A5 | 190,000 | 205,702 | ||||||
BENCHMARK Mortgage Trust Series2018-B1 A5 | 400,000 | 414,035 | ||||||
Series2018-B6 A4 4.261% 10/10/51 | 280,000 | 302,964 | ||||||
Benchmark Mortgage Trust Series2019-B9 A5 4.016% 3/15/52 | 565,000 | 599,648 |
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
Cantor Commercial Real Estate Lending Series2019-CF1 A5 3.786% 5/15/52 | 625,000 | $ | 649,173 | |||||
CFCRE Commercial Mortgage Trust Series2016-C7 A3 3.839% 12/10/54 | 185,000 | 192,849 | ||||||
Citigroup Commercial Mortgage Trust Series 2014-GC25 A4 3.635% 10/10/47 | 120,000 | 123,951 | ||||||
Series2016-P3 A4 3.329% 4/15/49 | 308,000 | 312,374 | ||||||
Series2017-C4 A4 3.471% 10/12/50 | 120,000 | 122,514 | ||||||
COMM Mortgage Trust Series2013-CR6 AM 144A 3.147% 3/10/46 # | 105,000 | 105,377 | ||||||
Series2013-WWP A2 144A 3.424% 3/10/31 # | 100,000 | 102,716 | ||||||
Series 2014-CR19 A5 3.796% 8/10/47 | 80,000 | 83,135 | ||||||
Series 2014-CR20 AM 3.938% 11/10/47 | 350,000 | 360,600 | ||||||
Series2015-3BP A 144A 3.178% 2/10/35 # | 130,000 | 131,308 | ||||||
Series 2015-CR23 A4 3.497% 5/10/48 | 115,000 | 118,074 | ||||||
Commercial Mortgage Pass Through Certificates Series 2016-CR28 A4 3.762% 2/10/49¨ | 980,000 | 1,017,681 | ||||||
DB-JPM | ||||||||
Series2016-C1 A4 3.276% 5/10/49 | 165,000 | 167,089 | ||||||
Series2016-C1 B 4.195% 5/10/49● | 25,000 | 25,799 | ||||||
Series2016-C3 A5 2.89% 8/10/49 | 140,000 | 138,094 | ||||||
GRACE Mortgage Trust Series 2014-GRCE A 144A 3.369% 6/10/28 # | 250,000 | 252,735 | ||||||
Series 2014-GRCE B 144A 3.52% 6/10/28 # | 200,000 | 201,742 | ||||||
GS Mortgage Securities Trust Series2010-C1 C 144A 5.635% 8/10/43 #● | 100,000 | 102,213 | ||||||
Series 2014-GC24 A5 3.931% 9/10/47 | 215,000 | 225,090 |
(continues) 31
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
GS Mortgage Securities Trust Series 2015-GC32 A4 3.764% 7/10/48 | 75,000 | $ | 78,128 | |||||
Series2017-GS5 A4 3.674% 3/10/50 | 175,000 | 181,133 | ||||||
Series2017-GS5 XA 0.964% 3/10/50● | 4,225,796 | 227,922 | ||||||
Series2017-GS6 A3 3.433% 5/10/50 | 115,000 | 116,338 | ||||||
Series2017-GS6 XA 1.192% 5/10/50● | 3,373,359 | 235,338 | ||||||
Series2018-GS9 A4 3.992% 3/10/51● | 130,000 | 137,357 | ||||||
Series2018-GS9 B 4.321% 3/10/51● | 125,000 | 130,423 | ||||||
Series 2019-GC38 A4 3.968% 2/10/52 | 130,000 | 137,320 | ||||||
JPM-BB Commercial Mortgage Securities Trust Series2015-C27 XA 1.45% 2/15/48● | 2,867,717 | 130,725 | ||||||
Series2015-C31 A3 3.801% 8/15/48 | 515,000 | 535,699 | ||||||
Series2015-C33 A4 3.77% 12/15/48 | 255,000 | 265,662 | ||||||
JPM-DB Commercial Mortgage Securities Trust Series2016-C4 A3 3.141% 12/15/49 | 1,490,000 | 1,491,460 | ||||||
Series2017-C7 A5 3.409% 10/15/50 | 290,000 | 294,699 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2005-CB11 E 5.748% 8/12/37● | 20,000 | 20,332 | ||||||
Series 2013-LC11 B 3.499% 4/15/46 | 150,000 | 150,303 | ||||||
Series2015-JP1 A5 3.914% 1/15/49 | 170,000 | 177,969 | ||||||
Series2016-JP2 AS 3.056% 8/15/49 | 180,000 | 176,205 | ||||||
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 105,000 | 104,738 | ||||||
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 85,000 | 85,017 | ||||||
LB-UBS Commercial Mortgage Trust Series2006-C6 AJ 5.452% 9/15/39● | 41,907 | 28,931 |
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
Morgan Stanley BAML Trust Series2014-C17 A5 3.741% 8/15/47 | 100,000 | $ | 103,713 | |||||
Series2015-C26 A5 3.531% 10/15/48 | 120,000 | 123,086 | ||||||
Series2016-C29 A4 3.325% 5/15/49 | 95,000 | 96,211 | ||||||
Morgan Stanley Capital I Trust Series 2006-HQ10 B 5.448% 11/12/41● | 100,000 | 94,526 | ||||||
Series 2016-BNK2 A4 3.049% 11/15/49 | 120,000 | 119,298 | ||||||
Series2018-L1 A4 4.407% 10/15/51 | 105,000 | 114,713 | ||||||
UBS Commercial Mortgage Trust Series2018-C9 A4 4.117% 3/15/51● | 225,000 | 238,781 | ||||||
UBS-Barclays Commercial Mortgage Trust Series2013-C5 B 144A 3.649% 3/10/46 #● | 150,000 | 152,192 | ||||||
Wells Fargo Commercial Mortgage Trust Series 2014-LC18 A5 3.405% 12/15/47 | 385,000 | 392,180 | ||||||
Series2015-C30 XA 1.063% 9/15/58● | 1,870,490 | 84,744 | ||||||
Series 2015-NXS3 A4 3.617% 9/15/57 | 80,000 | 82,449 | ||||||
Series 2016-BNK1 A3 2.652% 8/15/49 | 155,000 | 150,178 | ||||||
Series 2016-BNK1 B 2.967% 8/15/49 | 30,000 | 28,811 | ||||||
Series2017-C38 A5 3.453% 7/15/50 | 140,000 | 142,323 | ||||||
WF-RBS Commercial Mortgage Trust Series2012-C10 A3 2.875% 12/15/45 | 240,000 | 240,495 | ||||||
|
| |||||||
TotalNon-Agency Commercial Mortgage-Backed Securities |
| 13,477,672 | ||||||
|
|
32
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Sovereign Bonds – 1.81%D |
| |||||||||||
Argentina – 0.07% | ||||||||||||
Argentine Republic Government International Bond 5.625% 1/26/22 | 205,000 | $ | 160,720 | |||||||||
|
| |||||||||||
160,720 | ||||||||||||
|
| |||||||||||
Brazil – 0.28% | ||||||||||||
Brazil Notas do Tesouro Nacional Series F 10.00% 1/1/27 | BRL | 2,278,000 | 615,579 | |||||||||
|
| |||||||||||
615,579 | ||||||||||||
|
| |||||||||||
Colombia – 0.20% | ||||||||||||
Colombian TES Series B 7.00% 6/30/32 | COP | 1,411,000,000 | 437,669 | |||||||||
|
| |||||||||||
437,669 | ||||||||||||
|
| |||||||||||
Egypt – 0.43% | ||||||||||||
Egypt Government International Bond | ||||||||||||
144A 6.125% 1/31/22 # | 545,000 | 552,142 | ||||||||||
144A 7.60% 3/1/29 # | 200,000 | 202,020 | ||||||||||
144A 8.70% 3/1/49 # | 200,000 | 206,809 | ||||||||||
|
| |||||||||||
960,971 | ||||||||||||
|
| |||||||||||
Ghana – 0.14% | ||||||||||||
Ghana Government International Bond 144A 7.875% 3/26/27 # | 300,000 | 305,222 | ||||||||||
|
| |||||||||||
305,222 | ||||||||||||
|
| |||||||||||
Ivory Coast – 0.08% | ||||||||||||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 200,000 | 182,648 | ||||||||||
|
| |||||||||||
182,648 | ||||||||||||
|
| |||||||||||
Mexico – 0.12% | ||||||||||||
Mexican Bonos | ||||||||||||
7.75% 5/29/31 | MXN | 5,200,000 | 264,019 | |||||||||
|
| |||||||||||
264,019 | ||||||||||||
|
| |||||||||||
Qatar – 0.09% | ||||||||||||
Qatar Government International Bond 144A 4.00% 3/14/29 # | 200,000 | 208,610 | ||||||||||
|
| |||||||||||
208,610 | ||||||||||||
|
|
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) |
| |||||||||||
Russia – 0.09% | ||||||||||||
Russian Foreign Bond – Eurobond 144A 4.25% 6/23/27 # | 200,000 | $ | 201,585 | |||||||||
|
| |||||||||||
201,585 | ||||||||||||
|
| |||||||||||
Senegal – 0.08% | ||||||||||||
Senegal Government International Bond 144A 6.75% 3/13/48 # | 200,000 | 184,762 | ||||||||||
|
| |||||||||||
184,762 | ||||||||||||
|
| |||||||||||
Turkey – 0.07% | ||||||||||||
Turkey Government International Bond 5.75% 5/11/47 | 200,000 | 157,312 | ||||||||||
|
| |||||||||||
157,312 | ||||||||||||
|
| |||||||||||
Uruguay – 0.07% | ||||||||||||
Uruguay Government International Bond 4.375% 1/23/31 | 140,000 | 146,126 | ||||||||||
|
| |||||||||||
146,126 | ||||||||||||
|
| |||||||||||
Uzbekistan – 0.09% | ||||||||||||
Republic of Uzbekistan Bond 144A 5.375% 2/20/29 # | 200,000 | 202,908 | ||||||||||
|
| |||||||||||
202,908 | ||||||||||||
|
| |||||||||||
Total Sovereign Bonds(cost $4,032,083) |
| 4,028,131 | ||||||||||
|
| |||||||||||
Supranational Bank – 0.09% |
| |||||||||||
Banque Ouest Africaine de Developpement 144A 5.00% 7/27/27 # | 200,000 | 200,953 | ||||||||||
|
| |||||||||||
Total Supranational Bank |
| 200,953 | ||||||||||
|
| |||||||||||
US Treasury Obligations – 15.47% |
| |||||||||||
US Treasury Bonds 2.125% 3/31/24 | 19,715,000 | 19,571,372 | ||||||||||
2.25% 4/15/22 | 235,000 | 235,083 | ||||||||||
US Treasury Note 2.625% 2/15/29¥ | 14,545,000 | 14,696,984 | ||||||||||
|
| |||||||||||
Total US Treasury Obligations | 34,503,439 | |||||||||||
|
|
(continues) 33
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Number of shares | Value (US $) | |||||||
Convertible Preferred Stock – 0.09% |
| |||||||
A Schulman 6.00% exercise price $52.33 Y | 200 | 203,500 | ||||||
|
| |||||||
Total Convertible Preferred Stock |
| 203,500 | ||||||
|
| |||||||
Preferred Stock – 0.11% |
| |||||||
Bank of America | 185,000 | 202,751 | ||||||
Morgan Stanley | 40,000 | 40,889 | ||||||
|
| |||||||
Total Preferred Stock |
| 243,640 | ||||||
|
| |||||||
Short-Term Investments – 6.38% |
| |||||||
Money Market Mutual Funds – 4.39% |
| |||||||
BlackRock FedFund - Institutional Shares(seven-day effective yield 2.33%) | 1,957,561 | 1,957,561 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I(seven-day effective yield 2.31%) | 1,957,561 | 1,957,561 | ||||||
GS Financial Square Government Fund - Institutional Shares(seven-day effective yield 2.36%) | 1,957,561 | 1,957,561 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class(seven-day effective yield 2.34%) | 1,957,561 | 1,957,561 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class(seven-day effective yield 2.29%) | 1,957,561 | 1,957,561 | ||||||
|
| |||||||
9,787,805 | ||||||||
|
| |||||||
Principal amount° | ||||||||
US Treasury Obligation – 1.99%≠ | ||||||||
US Treasury Bill 1.00% 8/31/19 | 4,475,000 | 4,453,324 | ||||||
|
| |||||||
4,453,324 | ||||||||
|
| |||||||
Total Short-Term Investments | 14,241,129 | |||||||
|
|
Total Value of Securities – 101.35% | $ | 226,076,362 | ||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2019, the aggregate value of Rule 144A securities was $54,033,092, which represents 24.22% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” |
¨ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in 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 April 30, 2019. Rate will reset at a future date. |
S | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
Y | No contractual maturity date. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at April 30, 2019. 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. |
X | This loan will settle after April 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
¥ | Fully or partially pledged as collateral for futures contracts. |
34
Table of Contents
Unfunded Loan Commitments
The Portfolio may invest in floating rate loans. In connection with these investments, the Portfolio may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Series to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. The following unfunded loan commitment was outstanding at April 30, 2019:
Borrower | Principal Amount | Cost | Value | Unrealized Appreciation (Depreciation) | ||||||||||
Heartland Dental Tranche DD 1st Lien 6.488% (LIBOR03M+3.75%) 4/30/25 | $ | 2,783 | $2,783 | $ | 2,745 | $ | (38 | ) |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at April 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||||||
CITI | COP 953,395,060 | USD (304,903) | 6/14/19 | $ | (10,719) |
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Variation Margin Due from (Due to) Brokers | |||||||||||||||||
151 | US Treasury 10 yr Notes | $ | 18,674,453 | $ | 18,484,962 | 6/19/19 | $ | 189,491 | $ | 35,391 | ||||||||||||
74 | US Treasury Long Bond | 10,912,687 | 10,766,631 | 6/19/19 | 146,056 | 37,000 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Total Futures Contracts | $ | 29,251,593 | $ | 335,547 | $ | 72,391 | ||||||||||||||||
|
|
|
|
|
|
Swap Contracts
CDS Contracts2
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
Over-The-Counter: | ||||||||||||||||||||||||
Protection Sold/Moody’s Ratings: |
| |||||||||||||||||||||||
MSCS-CMBX.NA.BBB-.655/11/63-Monthly | 890,000 | 3.00% | $ | (96,957) | $ | (104,532) | $ | 7,575 | $ | — |
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts and notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio’s net assets.
1See Note 6 in “Notes to financial statements.”
2A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS
agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement.
(continues) 35
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
3Notional amount shown is stated in USD unless noted that the swap is denominated in another currency.
4Unrealized appreciation (depreciation) does not include periodic interest payments (receipts) on swap contracts accrued daily in the amount of $(7,950).
5Markit’s CMBX Index, or the CMBX.NA Index, is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed securities in North America. Credit-quality rating are measured on a scale that generally ranges from AAA (highest) to BB (lowest). US Agency and US Agency mortgage-backed securities appear under US Government.
Summary of abbreviations:
ARM – Adjustable Rate Mortgage
BA – Bank of America, N.A.
BADLARPP – Argentina Term Deposit Rate
BAML – Bank of America Merrill Lynch
BRL – Brazilian Real
CDO – Collateralized Debt Obligation
CDS – Credit Default Swap
CITI – Citibank, N.A.
CLO – Collateralized Loan Obligation
CMBX.NA – Commercial Mortgage-Backed Securities
Index North America
COP – Colombian Peso
DB – Deutsche Bank AG
FHAVA – Federal Housing Administration & Veterans
Administration
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GS – Goldman Sachs
ICE – Intercontinental Exchange, Inc.
JPM – JPMorgan
LB – Lehman Brothers
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
MSCS – Morgan Stanley Capital Services LLC
MXN – Mexican Peso
RBS – Royal Bank of Scotland
REIT – Real Estate Investment Trust
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
USD – US Dollar
WF – Wells Fargo
yr – Year
See accompanying notes, which are an integral part of the financial statements.
36
Table of Contents
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
April 30, 2019 (Unaudited)
Principal amount° | Value (US $) | |||||||
Corporate Bonds – 89.20% |
| |||||||
Automotive – 0.29% | ||||||||
Allison Transmission | 238,000 | $ | 245,437 | |||||
|
| |||||||
245,437 | ||||||||
|
| |||||||
Banking – 3.97% | ||||||||
Ally Financial 8.00% 11/1/31 | 320,000 | 411,200 | ||||||
Barclays 8.00%µY | 430,000 | 453,650 | ||||||
Credit Suisse Group 144A 6.25%#µY | 255,000 | 260,794 | ||||||
144A 7.50%#µY | 200,000 | 209,878 | ||||||
Popular 6.125% 9/14/23 | 475,000 | 495,187 | ||||||
Royal Bank of Scotland Group | 605,000 | 651,887 | ||||||
Synovus Financial | 195,000 | 199,875 | ||||||
UBS Group Funding | ||||||||
Switzerland 6.875% 12/29/49 µY | 600,000 | 621,386 | ||||||
|
| |||||||
3,303,857 | ||||||||
|
| |||||||
Basic Industry – 11.95% | ||||||||
BMC East | 290,000 | 292,537 | ||||||
Boise Cascade | 400,000 | 402,000 | ||||||
Cleveland–Cliffs 5.75% 3/1/25 | 570,000 | 567,863 | ||||||
CSN Resources | 430,000 | 431,032 | ||||||
First Quantum Minerals | 280,000 | 284,200 | ||||||
144A 7.50% 4/1/25 # | 205,000 | 198,850 | ||||||
Freeport-McMoRan | 480,000 | 435,600 | ||||||
6.875% 2/15/23 | 305,000 | 322,919 | ||||||
Hudbay Minerals | 380,000 | 397,100 | ||||||
IAMGOLD | 470,000 | 481,750 | ||||||
Joseph T Ryerson & Son | 540,000 | 573,413 | ||||||
Lennar 5.00% 6/15/27 | 240,000 | 245,325 | ||||||
New Enterprise Stone & Lime 144A 10.125% 4/1/22 # | 420,000 | 432,285 | ||||||
Novelis | 240,000 | 250,500 | ||||||
Olin 5.00% 2/1/30 | 630,000 | 626,063 | ||||||
Standard Industries | 785,000 | 823,434 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) | ||||||||
Steel Dynamics | 942,000 | $ | 972,615 | |||||
Tronox Finance | 410,000 | 401,800 | ||||||
Venator Finance | 740,000 | 701,150 | ||||||
William Lyon Homes | 445,000 | 442,775 | ||||||
Zekelman Industries | 630,000 | 666,619 | ||||||
|
| |||||||
9,949,830 | ||||||||
|
| |||||||
Capital Goods – 4.31% |
| |||||||
Anixter | 390,000 | 415,350 | ||||||
Ardagh Packaging Finance 144A 6.00% 2/15/25 # | 360,000 | 363,600 | ||||||
Bombardier 144A 7.50% 3/15/25 # | 425,000 | 427,656 | ||||||
144A 7.875% 4/15/27 # | 205,000 | 206,537 | ||||||
BWAY Holding | 365,000 | 356,787 | ||||||
EnPro Industries | 650,000 | 669,500 | ||||||
Intertape Polymer Group | 375,000 | 384,375 | ||||||
TransDigm | 455,000 | 474,906 | ||||||
6.375% 6/15/26 | 290,000 | 291,813 | ||||||
|
| |||||||
3,590,524 | ||||||||
|
| |||||||
Consumer Cyclical – 5.64% |
| |||||||
AMC Entertainment Holdings 6.125% 5/15/27 | 805,000 | 753,681 | ||||||
Boyd Gaming | 575,000 | 599,437 | ||||||
Golden Nugget | 523,000 | 549,150 | ||||||
M/I Homes 5.625% 8/1/25 | 410,000 | 404,363 | ||||||
MGM Resorts International 5.75% 6/15/25 | 385,000 | 409,063 | ||||||
Penske Automotive Group 5.50% 5/15/26 | 350,000 | 350,437 | ||||||
Scientific Games International 144A 8.25% 3/15/26 # | 590,000 | 612,863 | ||||||
10.00% 12/1/22 | 553,000 | 584,106 | ||||||
William Carter | 420,000 | 435,750 | ||||||
|
| |||||||
4,698,850 | ||||||||
|
|
(continues) 37
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
ConsumerNon-Cyclical – 1.89% |
| |||||||
JBS USA | 75,000 | $ | 77,250 | |||||
144A 6.50% 4/15/29 # | 285,000 | 302,813 | ||||||
144A 6.75% 2/15/28 # | 380,000 | 403,275 | ||||||
Pilgrim’s Pride | 390,000 | 397,800 | ||||||
Prestige Brands | 380,000 | 394,250 | ||||||
|
| |||||||
1,575,388 | ||||||||
|
| |||||||
Energy – 13.89% | ||||||||
AmeriGas Partners | 250,000 | 261,875 | ||||||
5.875% 8/20/26 | 415,000 | 435,713 | ||||||
Cheniere Corpus Christi | ||||||||
Holdings 7.00% 6/30/24 | 410,000 | 460,737 | ||||||
Cheniere Energy Partners | 555,000 | 568,181 | ||||||
Chesapeake Energy | 170,000 | 168,672 | ||||||
8.00% 1/15/25 | 410,000 | 417,175 | ||||||
Crestwood Midstream Partners | 455,000 | 453,863 | ||||||
Diamond Offshore Drilling | 610,000 | 596,275 | ||||||
Ensco Rowan | 495,000 | 429,413 | ||||||
Genesis Energy | 680,000 | 685,100 | ||||||
Gulfport Energy | 625,000 | 542,187 | ||||||
Murphy Oil 6.875% 8/15/24 | 1,030,000 | 1,080,005 | ||||||
Murphy Oil USA | 700,000 | 731,500 | ||||||
Oasis Petroleum | 435,000 | 423,037 | ||||||
Precision Drilling | 720,000 | 727,200 | ||||||
Southwestern Energy | 745,000 | 758,037 | ||||||
Summit Midstream Holdings | 405,000 | 375,637 | ||||||
Sunoco | 235,000 | 244,400 | ||||||
Targa Resources Partners | 470,000 | 479,400 | ||||||
5.875% 4/15/26 | 395,000 | 416,848 | ||||||
Transocean | 595,000 | 638,881 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Whiting Petroleum | 669,000 | $ | 668,177 | |||||
|
| |||||||
11,562,313 | ||||||||
|
| |||||||
Healthcare – 10.01% | ||||||||
Bausch Health | 780,000 | 801,208 | ||||||
Charles River Laboratories International 144A 5.50% 4/1/26 # | 985,000 | 1,033,019 | ||||||
Encompass Health | 260,000 | 264,550 | ||||||
5.75% 9/15/25 | 530,000 | 546,684 | ||||||
Hadrian Merger | 405,000 | 385,763 | ||||||
HCA | ||||||||
5.375% 2/1/25 | 340,000 | 358,700 | ||||||
5.875% 2/15/26 | 580,000 | 624,770 | ||||||
5.875% 2/1/29 | 355,000 | 382,513 | ||||||
7.58% 9/15/25 | 230,000 | 264,500 | ||||||
Hill-Rom Holdings | ||||||||
144A 5.00% 2/15/25 # | 180,000 | 184,050 | ||||||
144A 5.75% 9/1/23 # | 290,000 | 301,963 | ||||||
MPH Acquisition Holdings | 385,000 | 387,965 | ||||||
Surgery Center Holdings | 220,000 | 205,700 | ||||||
Tenet Healthcare | ||||||||
5.125% 5/1/25 | 160,000 | 161,800 | ||||||
8.125% 4/1/22 | 845,000 | 904,750 | ||||||
Teva Pharmaceutical Finance Netherlands III 6.00% 4/15/24 | 655,000 | 666,882 | ||||||
WellCare Health Plans | 815,000 | 855,587 | ||||||
|
| |||||||
8,330,404 | ||||||||
|
| |||||||
Insurance – 4.18% | ||||||||
Acrisure | 220,000 | 200,200 | ||||||
AssuredPartners | 895,000 | 850,250 | ||||||
HUB International | 1,040,000 | 1,051,700 | ||||||
NFP 144A 6.875% 7/15/25 # | 585,000 | 577,687 | ||||||
USI 144A 6.875% 5/1/25 # | 805,000 | 803,994 | ||||||
|
| |||||||
3,483,831 | ||||||||
|
|
38
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Media – 10.43% | ||||||||
Altice Luxembourg | 795,000 | $ | 811,894 | |||||
CCO Holdings | ||||||||
144A 5.50% 5/1/26 # | 45,000 | 46,553 | ||||||
144A 5.75% 2/15/26 # | 830,000 | 870,463 | ||||||
144A 5.875% 5/1/27 # | 575,000 | 598,719 | ||||||
Clear Channel Worldwide Holdings 144A 9.25% 2/15/24 # | 520,000 | 560,950 | ||||||
CSC Holdings | ||||||||
6.75% 11/15/21 | 735,000 | 788,287 | ||||||
144A 7.50% 4/1/28 # | 225,000 | 246,656 | ||||||
144A 7.75% 7/15/25 # | 360,000 | 387,787 | ||||||
144A 10.875% 10/15/25 # | 260,000 | 299,650 | ||||||
Entercom Media | 145,000 | 148,263 | ||||||
Gray Television | ||||||||
144A 5.875% 7/15/26 # | 370,000 | 382,258 | ||||||
144A 7.00% 5/15/27 # | 575,000 | 622,258 | ||||||
Netflix 144A | 145,000 | 147,175 | ||||||
Radiate Holdco | 605,000 | 597,437 | ||||||
Sirius XM Radio | 895,000 | 920,731 | ||||||
Virgin Media Secured Finance | 875,000 | 893,340 | ||||||
VTR Finance | 345,000 | 358,369 | ||||||
|
| |||||||
8,680,790 | ||||||||
|
| |||||||
Real Estate – 0.27% | ||||||||
Realogy Group | 215,000 | 223,869 | ||||||
|
| |||||||
223,869 | ||||||||
|
| |||||||
Services – 6.28% | ||||||||
Advanced Disposal Services | 495,000 | 522,225 | ||||||
Ashtead Capital | 340,000 | 354,875 | ||||||
Avis Budget Car Rental | 132,000 | 137,775 | ||||||
Covanta Holding | 405,000 | 414,113 | ||||||
ESH Hospitality | 495,000 | 498,094 | ||||||
Iron Mountain US Holdings | 645,000 | 641,775 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Services (continued) | ||||||||
MGM Growth Properties | ||||||||
Operating Partnership 144A 5.75% 2/1/27 # | 580,000 | $ | 611,175 | |||||
Prime Security Services | ||||||||
Borrower 144A 5.75% 4/15/26 # | 205,000 | 207,819 | ||||||
144A 9.25% 5/15/23 # | 177,000 | 186,881 | ||||||
Staples | 290,000 | 295,437 | ||||||
TMS International | 300,000 | 294,750 | ||||||
United Rentals North America | ||||||||
5.50% 5/15/27 | 297,000 | 306,653 | ||||||
5.875% 9/15/26 | 340,000 | 356,150 | ||||||
6.50% 12/15/26 | 370,000 | 396,825 | ||||||
|
| |||||||
5,224,547 | ||||||||
|
| |||||||
Technology & Electronics – 4.42% |
| |||||||
CDK Global 5.875% 6/15/26 | 871,000 | 921,083 | ||||||
CommScope | 170,000 | 184,025 | ||||||
CommScope Technologies | ||||||||
144A 5.00% 3/15/27 # | 232,000 | 217,210 | ||||||
144A 6.00% 6/15/25 # | 370,000 | 377,178 | ||||||
Infor Software Parent | ||||||||
144A PIK 7.125% 5/1/21 #T | 575,000 | 578,594 | ||||||
RP Crown Parent | 558,000 | 582,413 | ||||||
SS&C Technologies | 793,000 | 814,807 | ||||||
|
| |||||||
3,675,310 | ||||||||
|
| |||||||
Telecommunications – 7.21% | ||||||||
C&W Senior Financing | 430,000 | 447,200 | ||||||
CenturyLink 7.50% 4/1/24 | 185,000 | 199,223 | ||||||
Cincinnati Bell | 440,000 | 408,113 | ||||||
Frontier Communications | 390,000 | 404,137 | ||||||
Level 3 Financing | 747,000 | 762,762 | ||||||
Sprint | ||||||||
7.125% 6/15/24 | 385,000 | 386,805 | ||||||
7.625% 3/1/26 | 190,000 | 190,295 | ||||||
7.875% 9/15/23 | 710,000 | 740,175 | ||||||
Sprint Capital 8.75% 3/15/32 | 180,000 | 189,450 |
(continues) 39
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Telecommunications (continued) |
| |||||||
T-Mobile USA | ||||||||
6.00% 4/15/24 | 575,000 | $ | 601,594 | |||||
6.50% 1/15/26 | 482,000 | 516,800 | ||||||
Vodafone Group | 285,000 | 299,935 | ||||||
Zayo Group 6.375% 5/15/25 | 835,000 | 852,744 | ||||||
|
| |||||||
5,999,233 | ||||||||
|
| |||||||
Transportation – 1.10% |
| |||||||
Avolon Holdings Funding | ||||||||
144A 4.375% 5/1/26 # | 290,000 | 288,649 | ||||||
144A 5.25% 5/15/24 # | 205,000 | 214,805 | ||||||
DAE Funding | 392,000 | 411,600 | ||||||
|
| |||||||
915,054 | ||||||||
|
| |||||||
Utilities – 3.36% |
| |||||||
AES 5.125% 9/1/27 | 380,000 | 396,150 | ||||||
Calpine | ||||||||
5.75% 1/15/25 | 370,000 | 367,225 | ||||||
144A 5.875% 1/15/24 # | 610,000 | 623,725 | ||||||
Southern California Edison | 210,000 | 223,540 | ||||||
Vistra Operations | ||||||||
144A 5.50% 9/1/26 # | 740,000 | 764,050 | ||||||
144A 5.625% 2/15/27 # | 410,000 | 422,299 | ||||||
|
| |||||||
2,796,989 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 74,256,226 | ||||||
|
| |||||||
Loan Agreements – 5.66% |
| |||||||
Air Medical Group Holdings Tranche B 1st Lien 5.723% (LIBOR01M + 3.25%) 4/28/22● | 326,669 | 319,591 | ||||||
Applied Systems 2nd Lien 9.483% (LIBOR01M + 7.00%) 9/19/25● | 885,000 | 902,976 | ||||||
Blue Ribbon 1st Lien 6.493% (LIBOR01M + 4.00%) 11/13/21● | 221,159 | 198,214 | ||||||
First Data Tranche A 1st Lien 0.00% 10/26/23● X | 595,000 | 594,719 | ||||||
Frontier Communications Tranche B1 1st Lien 6.24% (LIBOR01M + 3.75%) 6/15/24● | 208,087 | 203,405 | ||||||
Kronos 2nd Lien 10.986% (LIBOR03M + 8.25%) 11/1/24● | 327,000 | 338,649 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Panther BF Aggregator 2 Tranche B 1st Lien 0.00% 4/30/26● X | 400,000 | $ | 401,740 | |||||
Solenis International Tranche B 2nd Lien 11.129% (LIBOR03M + 8.50%) 6/18/24 =● | 395,000 | 391,050 | ||||||
Stars Group Holdings Tranche B 1st Lien 0.00% 7/10/25● X | 425,000 | 427,549 | ||||||
Summit Midstream Partners Holdings Tranche B 1st Lien 8.483% (LIBOR01M + 6.00%) 5/21/22● | 239,525 | 239,026 | ||||||
Vantage Specialty Chemicals 2nd Lien 10.851% (LIBOR03M + 8.25%) 10/26/25● | 275,000 | 266,750 | ||||||
Verscend Holding Tranche B | 427,850 | 431,327 | ||||||
|
| |||||||
Total Loan Agreements | 4,714,996 | |||||||
|
| |||||||
Number of shares | ||||||||
Common Stock – 0.00% | ||||||||
Century Communications =† | 60,000 | 0 | ||||||
|
| |||||||
Total Common Stock(cost $1,816) |
| 0 | ||||||
|
| |||||||
Short–Term Investments – 5.56% |
| |||||||
Money Market Mutual Funds – 5.56% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 2.33%) | 925,235 | 925,235 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 2.31%) | 925,235 | 925,235 | ||||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 2.36%) | 925,235 | 925,235 |
40
Table of Contents
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
Morgan Stanley Government Portfolio - Institutional Share Class(seven-day effective yield 2.34%) | 925,235 | $ | 925,235 | |||||
State Street Institutional US Government Money Market Fund - Investor Class(seven-day effective yield 2.29%) | 925,235 | 925,235 | ||||||
|
| |||||||
Total Short-Term Investments |
| 4,626,175 | ||||||
|
| |||||||
Total Value of Securities – 100.42% |
| $ | 83,597,397 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2019, the aggregate value of Rule 144A securities was $42,257,091, which represents 50.76% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” |
T | PIK. 100% of the income received was in the form of cash. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at April 30, 2019. Rate will reset at a future date. |
Y | No contractual maturity date. |
† | Non-income producing security. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at April 30, 2019. 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. |
X | This loan will settle after April 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
Summary of abbreviations:
GS – Goldman Sachs
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
PIK –Pay-in-kind
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
(continues) 41
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio
April 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 95.81%D |
| |||||||
Brazil – 7.96% | ||||||||
CCR | 133,505 | $ | 402,446 | |||||
Embraer ADR | 97,267 | 1,946,313 | ||||||
Hypera | 243,800 | 1,755,862 | ||||||
Kroton Educacional | 323,800 | 810,099 | ||||||
Suzano | 155,200 | 1,618,852 | ||||||
|
| |||||||
6,533,572 | ||||||||
|
| |||||||
China/Hong Kong – 30.43% | ||||||||
Alibaba Group Holding | 11,586 | 2,150,014 | ||||||
Brilliance China Automotive Holdings | 684,000 | 752,463 | ||||||
China Construction Bank Class H | 3,674,000 | 3,245,567 | ||||||
China Medical System Holdings | 1,033,000 | 915,173 | ||||||
China Mobile | 153,000 | 1,457,877 | ||||||
China Resources Power Holdings | 228,038 | 319,174 | ||||||
China State Construction International Holdings | 768,000 | 795,921 | ||||||
CSPC Pharmaceutical Group | 582,000 | 1,121,742 | ||||||
Hengan International Group | 173,000 | 1,524,953 | ||||||
Jiangsu Expressway Class H | 556,000 | 790,965 | ||||||
Ping An Insurance Group Co. of China Class H | 396,500 | 4,773,789 | ||||||
Sands China | 423,600 | 2,327,295 | ||||||
Tingyi Cayman Islands Holding | 1,072,000 | 1,762,798 | ||||||
WH Group 144A # | 2,556,000 | 3,030,135 | ||||||
|
| |||||||
24,967,866 | ||||||||
|
| |||||||
India – 13.61% | ||||||||
Bajaj Auto | 35,503 | 1,523,203 | ||||||
HCL Technologies | 114,636 | 1,950,355 | ||||||
Housing Development Finance | 32,137 | 921,804 | ||||||
Indiabulls Housing Finance | 251,078 | 2,510,464 | ||||||
Larsen & Toubro | 23,111 | 448,090 | ||||||
Lupin | 126,883 | 1,590,832 | ||||||
Power Grid Corp of India | 163,744 | 438,824 | ||||||
Vedanta | 743,648 | 1,783,911 | ||||||
|
| |||||||
11,167,483 | ||||||||
|
| |||||||
Indonesia – 1.60% | ||||||||
Bank Rakyat Indonesia | ||||||||
Persero | 4,273,900 | 1,310,663 | ||||||
|
| |||||||
1,310,663 | ||||||||
|
| |||||||
Malaysia – 2.90% | ||||||||
AMMB Holdings | 723,100 | 781,777 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Malaysia (continued) | ||||||||
Genting Malaysia | 1,250,000 | $ | 961,422 | |||||
Malayan Banking | 285,512 | 638,768 | ||||||
|
| |||||||
2,381,967 | ||||||||
|
| |||||||
Mexico – 3.25% | ||||||||
Fibra Uno Administracion | 1,105,342 | 1,638,386 | ||||||
Grupo Financiero Banorte Class O | 161,746 | 1,024,854 | ||||||
|
| |||||||
2,663,240 | ||||||||
|
| |||||||
Peru – 0.97% | ||||||||
Credicorp | 3,358 | 795,510 | ||||||
|
| |||||||
795,510 | ||||||||
|
| |||||||
Philippines – 0.61% | ||||||||
PLDT | 21,359 | 504,132 | ||||||
|
| |||||||
504,132 | ||||||||
|
| |||||||
Qatar – 0.41% | ||||||||
Qatar Electricity & Water | 7,380 | 338,498 | ||||||
|
| |||||||
338,498 | ||||||||
|
| |||||||
Republic of Korea – 13.36% | ||||||||
Kangwon Land | 14,587 | 424,567 | ||||||
Korea Zinc | 2,583 | 1,000,563 | ||||||
LG Chem | 8,146 | 2,517,404 | ||||||
Samsung Electronics | 104,793 | 4,113,135 | ||||||
Samsung Fire & Marine Insurance | 2,497 | 649,821 | ||||||
Samsung SDI | 2,132 | 431,638 | ||||||
Shinhan Financial Group | 48,359 | 1,825,649 | ||||||
|
| |||||||
10,962,777 | ||||||||
|
| |||||||
Romania – 0.30% | ||||||||
Societatea Nationala de Gaze | ||||||||
Naturale ROMGAZ GDR³ | 31,690 | 247,182 | ||||||
|
| |||||||
247,182 | ||||||||
|
| |||||||
Russia – 3.04% | ||||||||
Gazprom PJSC ADR | 326,147 | 1,628,778 | ||||||
LUKOIL PJSC ADR | 10,196 | 864,417 | ||||||
|
| |||||||
2,493,195 | ||||||||
|
| |||||||
South Africa – 1.88% | ||||||||
Sasol | 46,368 | 1,538,004 | ||||||
|
| |||||||
1,538,004 | ||||||||
|
|
42
Table of Contents
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Taiwan – 9.28% | ||||||||
ASE Technology Holding | 647,000 | $ | 1,501,243 | |||||
CTBC Financial Holding | 1,426,046 | 976,048 | ||||||
Mega Financial Holding | 911,245 | 874,354 | ||||||
Taiwan Semiconductor Manufacturing | 508,588 | 4,262,784 | ||||||
|
| |||||||
7,614,429 | ||||||||
|
| |||||||
Thailand – 2.09% | ||||||||
Kasikornbank NVDR | 159,700 | 955,449 | ||||||
Thai Union Group Foreign Class F | 1,285,000 | 760,736 | ||||||
|
| |||||||
1,716,185 | ||||||||
|
| |||||||
United Arab Emirates – 1.23% | ||||||||
First Abu Dhabi Bank | 230,782 | 1,005,271 | ||||||
|
| |||||||
1,005,271 | ||||||||
|
| |||||||
United Kingdom – 2.89% | ||||||||
Anglo American | 31,154 | 804,940 | ||||||
Mondi | 71,627 | 1,569,614 | ||||||
|
| |||||||
2,374,554 | ||||||||
|
| |||||||
Total Common Stock | 78,614,528 | |||||||
|
| |||||||
Preferred Stock – 2.78%D |
| |||||||
Brazil – 2.27% | ||||||||
Itau Unibanco Holding ADR 7.68% | 102,716 | 888,493 | ||||||
Itausa – Investimentos Itau 3.47% | 319,788 | 973,775 | ||||||
|
| |||||||
1,862,268 | ||||||||
|
| |||||||
Republic of Korea – 0.51% | ||||||||
Samsung Electronics 3.83% | 13,251 | 421,981 | ||||||
|
| |||||||
421,981 | ||||||||
|
| |||||||
Total Preferred Stock | 2,284,249 | |||||||
|
| |||||||
Short-Term Investments – 0.93% |
| |||||||
Money Market Mutual Funds – 0.93% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 2.33%) | 152,277 | 152,277 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 2.31%) | 152,277 | 152,277 |
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 2.36%) | 152,277 | $ | 152,277 | |||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 2.34%) | 152,277 | 152,277 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 2.29%) | �� | 152,278 | 152,278 | |||||
|
| |||||||
Total Short-Term Investments |
| 761,386 | ||||||
|
| |||||||
Total Value of Securities – 99.52% |
| $ | 81,660,163 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2019, the aggregate value of Rule 144A securities was $3,030,135, which represents 3.69% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” | |
³ | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such securities cannot be sold by the issuer in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At April 30, 2019, the aggregate value of Regulation S securities was $247,182 which represents 0.30% of the Portfolio’s net assets. | |
D | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 8 in “Security type / country and sector allocations.” | |
† | Non-income producing security. |
(continues) 43
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio
The following foreign currency exchange contracts were outstanding at April 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized | |||||||||||||||||||||
BNYM | BRL | 314,031 | USD | (79,605 | ) | 5/3/19 | $ | 460 | $ | — | ||||||||||||||||
BNYM | KRW | 185,898,851 | USD | (159,868 | ) | 5/2/19 | — | (580) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
Total Foreign Currency Exchange Contracts |
| $ | 460 | $ | (580) | |||||||||||||||||||||
|
|
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio’s net assets.
1See Note 6 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – The Bank of New York Mellon
BRL – Brazilian Real
GDR – Global Depositary Receipt
GS – Goldman Sachs
KRW – South Korean Won
NVDR –Non-Voting Depositary Receipt
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
44
Table of Contents
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio II
April 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 97.50%D |
| |||||||
Argentina – 0.19% |
| |||||||
IRSA Inversiones y Representaciones ADR † | 8,000 | $ | 75,120 | |||||
IRSA Propiedades Comerciales ADR | 221 | 3,985 | ||||||
|
| |||||||
79,105 | ||||||||
|
| |||||||
Bahrain – 0.02% |
| |||||||
Aluminum Bahrain GDR 144A #† | 1,800 | 10,599 | ||||||
|
| |||||||
10,599 | ||||||||
|
| |||||||
Brazil – 10.50% |
| |||||||
B2W Cia Digital † | 130,200 | 1,275,735 | ||||||
Banco Bradesco ADR | 61,793 | 559,843 | ||||||
BRF ADR † | 52,300 | 409,509 | ||||||
Cia Brasileira de Distribuicao ADR | 13,900 | 341,384 | ||||||
Gerdau ADR | 11,300 | 40,454 | ||||||
Itau Unibanco Holding ADR | 68,207 | 589,990 | ||||||
Petroleo Brasileiro ADR | 42,600 | 648,798 | ||||||
Rumo † | 4,100 | 18,926 | ||||||
Telefonica Brasil ADR | 23,055 | 274,355 | ||||||
Vale ADR | 23,300 | 297,774 | ||||||
|
| |||||||
4,456,768 | ||||||||
|
| |||||||
Chile – 0.46% |
| |||||||
Sociedad Quimica y Minera de Chile ADR | 5,500 | 196,020 | ||||||
|
| |||||||
196,020 | ||||||||
|
| |||||||
China/Hong Kong – 33.73% |
| |||||||
Alibaba Group Holding ADR † | 9,600 | 1,781,472 | ||||||
Baidu ADR † | 4,650 | 772,969 | ||||||
BeiGene † | 9,300 | 89,624 | ||||||
China Mengniu Dairy † | 166,000 | 613,655 | ||||||
China Mobile ADR | 24,700 | 1,177,449 | ||||||
China Petroleum & Chemical Class H | 82,000 | 63,030 | ||||||
China Petroleum & Chemical ADR | 4,470 | 343,028 | ||||||
CNOOC ADR | 2,400 | 436,032 | ||||||
Ctrip.com International ADR † | 12,800 | 563,840 | ||||||
Genscript Biotech † | 60,000 | 152,968 | ||||||
JD.com ADR † | 25,100 | 759,777 | ||||||
Kunlun Energy | 176,000 | 185,764 | ||||||
Kweichow Moutai Class A | 3,700 | 534,942 | ||||||
PetroChina ADR | 3,000 | 189,870 | ||||||
Ping An Insurance Group Co. of China Class H | 60,500 | 728,409 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
China/Hong Kong (continued) |
| |||||||
SINA † | 16,300 | $ | 1,025,922 | |||||
Sohu.com ADR † | 16,800 | 347,256 | ||||||
Tencent Holdings | 43,000 | 2,126,759 | ||||||
Tencent Music Entertainment Group ADR † | 11 | 189 | ||||||
Tianjin Development Holdings | 164,000 | 56,863 | ||||||
Tingyi Cayman Islands Holding | 270,000 | 443,988 | ||||||
Tsingtao Brewery Class H | 94,000 | 599,123 | ||||||
Uni-President China Holdings | 465,000 | 425,594 | ||||||
Weibo ADR † | 4,470 | 306,195 | ||||||
Wuliangye Yibin Class A | 39,200 | 595,611 | ||||||
|
| |||||||
14,320,329 | ||||||||
|
| |||||||
India – 10.64% |
| |||||||
Dr Reddy’s Laboratories | 10,425 | 439,722 | ||||||
Reliance Industries GDR 144A # | 89,171 | 3,571,299 | ||||||
Tata Chemicals | 28,827 | 239,203 | ||||||
Tata Motors ADR † | 6,900 | 106,260 | ||||||
UltraTech Cement | 2,412 | 160,102 | ||||||
|
| |||||||
4,516,586 | ||||||||
|
| |||||||
Indonesia – 2.69% |
| |||||||
Astra International | 587,700 | 314,471 | ||||||
Bank Central Asia | 409,700 | 826,588 | ||||||
|
| |||||||
1,141,059 | ||||||||
|
| |||||||
Malaysia – 0.16% |
| |||||||
UEM Sunrise | 308,500 | 69,393 | ||||||
|
| |||||||
69,393 | ||||||||
|
| |||||||
Mexico – 4.35% |
| |||||||
America Movil Class L ADR | 13,600 | 200,872 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR | 59,600 | 502,428 | ||||||
Coca-Cola Femsa ADR | 9,700 | 621,964 | ||||||
Grupo Financiero Banorte Class O | 27,500 | 174,245 | ||||||
Grupo Televisa ADR | 34,200 | 346,788 | ||||||
|
| |||||||
1,846,297 | ||||||||
|
| |||||||
Peru – 0.82% |
| |||||||
Cia de Minas Buenaventura ADR | 21,600 | 350,136 | ||||||
|
| |||||||
350,136 | ||||||||
|
|
(continues) 45
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio II
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Republic of Korea – 14.35% |
| |||||||
Samsung Electronics | 63,322 | $ | 2,485,395 | |||||
SK Hynix | 26,262 | 1,776,054 | ||||||
SK Telecom | 1,705 | 361,244 | ||||||
SK Telecom ADR | 62,300 | 1,470,280 | ||||||
|
| |||||||
6,092,973 | ||||||||
|
| |||||||
Russia – 7.98% |
| |||||||
Etalon Group GDR 144A # | 4,800 | 8,880 | ||||||
Gazprom PJSC ADR | 129,071 | 644,581 | ||||||
LUKOIL (London International Exchange) ADR | 5,269 | 446,706 | ||||||
LUKOIL ADR | 2,900 | 247,950 | ||||||
Mobile TeleSystems ADR | 24,000 | 189,120 | ||||||
Rosneft Oil GDR | 96,838 | 644,166 | ||||||
Sberbank of Russia PJSC | 169,299 | 589,596 | ||||||
VEON ADR | 45,641 | 106,800 | ||||||
X5 Retail Group GDR | 7,329 | 222,435 | ||||||
Yandex Class A † | 7,700 | 288,211 | ||||||
|
| |||||||
3,388,445 | ||||||||
|
| |||||||
Taiwan – 9.20% |
| |||||||
Hon Hai Precision Industry | 280,564 | 789,004 | ||||||
MediaTek | 109,000 | 1,042,345 | ||||||
Taiwan Semiconductor Manufacturing | 142,000 | 1,190,188 | ||||||
Taiwan Semiconductor Manufacturing ADR | 15,200 | 666,064 | ||||||
United Microelectronics ADR | 100,000 | 217,000 | ||||||
|
| |||||||
3,904,601 | ||||||||
|
| |||||||
Turkey – 1.22% |
| |||||||
Akbank T.A.S. † | 260,968 | 267,664 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii | 25,218 | 83,766 | ||||||
Turkcell Iletisim Hizmetleri ADR | 23,700 | 123,714 | ||||||
Turkiye Sise ve Cam Fabrikalari | 42,425 | 43,371 | ||||||
|
| |||||||
518,515 | ||||||||
|
| |||||||
United States – 1.19% |
| |||||||
Altaba † | 6,700 | 505,113 | ||||||
|
| |||||||
505,113 | ||||||||
|
| |||||||
Total Common Stock |
| 41,395,939 | ||||||
|
|
Number of shares | Value (US $) | |||||||
Preferred Stock – 0.59%D |
| |||||||
Brazil – 0.08% |
| |||||||
Gerdau 3.16% | 10,100 | $ | 36,576 | |||||
|
| |||||||
36,576 | ||||||||
|
| |||||||
Republic of Korea – 0.51% |
| |||||||
LG Electronics 2.63% | 8,325 | 215,938 | ||||||
|
| |||||||
215,938 | ||||||||
|
| |||||||
Total Preferred Stock |
| 252,514 | ||||||
|
| |||||||
Short-Term Investments – 1.04% |
| |||||||
Money Market Mutual Funds – 1.04% |
| |||||||
BlackRock FedFund - Institutional Shares(seven-day effective yield 2.33%) | 87,919 | 87,919 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I(seven-day effective yield 2.31%) | 87,919 | 87,919 | ||||||
GS Financial Square Government Fund - Institutional Shares(seven-day effective yield 2.36%) | 87,919 | 87,919 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class(seven-day effective yield 2.34%) | 87,919 | 87,919 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class(seven-day effective yield 2.29%) | 87,919 | 87,919 | ||||||
|
| |||||||
Total Short-Term Investments |
| 439,595 | ||||||
|
| |||||||
Total Value of Securities – 99.13% |
| $ | 42,088,048 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2019, the aggregate value of Rule 144A securities was $3,590,778, which represents 8.46% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” |
D | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 9 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
46
Table of Contents
Summary of abbreviations:
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
(continues) 47
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Labor Select International Equity Portfolio
April 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.67%D |
| |||||||
Australia – 1.55% | ||||||||
QBE Insurance Group | 737,881 | $ | 6,725,788 | |||||
|
| |||||||
6,725,788 | ||||||||
|
| |||||||
China/Hong Kong – 5.98% | ||||||||
CK Hutchison Holdings | 1,297,000 | 13,623,394 | ||||||
WH Group 144A # | 10,371,500 | 12,295,400 | ||||||
|
| |||||||
25,918,794 | ||||||||
|
| |||||||
Denmark – 1.77% | ||||||||
ISS | 246,510 | 7,666,056 | ||||||
|
| |||||||
7,666,056 | ||||||||
|
| |||||||
France – 6.68% | ||||||||
Cie de Saint-Gobain | 308,351 | 12,602,646 | ||||||
Sanofi | 122,386 | 10,636,908 | ||||||
Societe Generale | 180,851 | 5,724,215 | ||||||
|
| |||||||
28,963,769 | ||||||||
|
| |||||||
Germany – 9.06% | ||||||||
Allianz | 47,424 | 11,425,375 | ||||||
Bayerische Motoren Werke | 43,311 | 3,687,041 | ||||||
Daimler | 150,367 | 9,839,136 | ||||||
Evonik Industries | 224,466 | 6,686,774 | ||||||
Telefonica Deutschland Holding | 2,351,995 | 7,639,641 | ||||||
|
| |||||||
39,277,967 | ||||||||
|
| |||||||
Italy – 6.04% | ||||||||
Enel | 2,205,688 | 13,950,320 | ||||||
Eni | 715,535 | 12,213,116 | ||||||
|
| |||||||
26,163,436 | ||||||||
|
| |||||||
Japan – 22.11% | ||||||||
Coca-Cola Bottlers Japan | ||||||||
Holdings | 178,700 | 4,412,466 | ||||||
FUJIFILM Holdings | 225,200 | 10,520,512 | ||||||
Fujitsu | 84,800 | 6,225,557 | ||||||
Honda Motor | 481,400 | 13,432,481 | ||||||
Isuzu Motors | 244,500 | 3,521,472 | ||||||
Kyocera | 54,000 | 3,509,161 | ||||||
Kyushu Railway | 64,300 | 2,095,166 | ||||||
Mitsubishi Electric | 571,100 | 8,172,403 | ||||||
Nippon Telegraph & Telephone | 114,900 | 4,780,809 | ||||||
Otsuka Holdings | 58,200 | 2,080,625 | ||||||
Secom | 59,800 | 5,031,055 | ||||||
Sekisui Chemical | 360,200 | 5,782,471 | ||||||
Sumitomo Electric Industries | 434,600 | 5,782,654 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Japan (continued) | ||||||||
Takeda Pharmaceutical | 296,200 | $ | 10,930,291 | |||||
Tokio Marine Holdings | 187,700 | 9,509,880 | ||||||
|
| |||||||
95,787,003 | ||||||||
|
| |||||||
Netherlands – 0.68% | ||||||||
Koninklijke Ahold Delhaize | 122,478 | 2,947,989 | ||||||
|
| |||||||
2,947,989 | ||||||||
|
| |||||||
Singapore – 6.46% | ||||||||
Ascendas Real Estate Investment Trust | 2,326,200 | 5,130,946 | ||||||
Singapore Telecommunications | 3,595,600 | 8,380,304 | ||||||
United Overseas Bank | 706,709 | 14,460,489 | ||||||
|
| |||||||
27,971,739 | ||||||||
|
| |||||||
Spain – 5.20% | ||||||||
Banco Santander | 2,373,956 | 12,012,451 | ||||||
Iberdrola | 1,029,588 | 9,351,456 | ||||||
Telefonica | 141,678 | 1,180,990 | ||||||
|
| |||||||
22,544,897 | ||||||||
|
| |||||||
Sweden – 2.82% | ||||||||
Telia | 2,872,262 | 12,230,435 | ||||||
|
| |||||||
12,230,435 | ||||||||
|
| |||||||
Switzerland – 6.15% | ||||||||
ABB | 479,444 | 9,866,962 | ||||||
Alcon † | 19,494 | 1,122,634 | ||||||
Novartis | 94,466 | 7,714,329 | ||||||
Zurich Insurance Group | 24,960 | 7,958,687 | ||||||
|
| |||||||
26,662,612 | ||||||||
|
| |||||||
United Kingdom – 24.17% | ||||||||
BP | 1,355,411 | 9,880,079 | ||||||
G4S | 2,546,924 | 7,180,410 | ||||||
GlaxoSmithKline | 524,731 | 10,765,977 | ||||||
John Wood Group | 947,116 | 5,810,860 | ||||||
Kingfisher | 2,429,676 | 8,367,474 | ||||||
Lloyds Banking Group | 16,764,571 | 13,678,428 | ||||||
National Grid | 343,076 | 3,740,470 | ||||||
Royal Dutch Shell Class B | 385,893 | 12,401,474 | ||||||
SSE | 690,209 | 10,300,872 | ||||||
Tesco | 3,436,210 | 11,193,083 | ||||||
Travis Perkins | 181,558 | 3,308,604 |
48
Table of Contents
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
United Kingdom (continued) |
| |||||||
WPP | 649,980 | $ | 8,106,197 | |||||
|
| |||||||
104,733,928 | ||||||||
|
| |||||||
Total Common Stock |
| 427,594,413 | ||||||
|
| |||||||
Preferred Stock – 0.12% |
| |||||||
Bayerische Motoren Werke 6.34% | 6,993 | 516,092 | ||||||
|
| |||||||
Total Preferred Stock |
| 516,092 | ||||||
|
| |||||||
Short-Term Investments – 0.40% |
| |||||||
Money Market Mutual Funds – 0.40% |
| |||||||
BlackRock FedFund- Institutional Shares(seven-day effective yield 2.33%) | 345,322 | 345,322 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I(seven-day effective yield 2.31%) | 345,322 | 345,322 | ||||||
GS Financial Square Government Fund- Institutional Shares(seven-day effective yield 2.36%) | 345,322 | 345,322 |
Number of shares | Value (US $) �� | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
Morgan Stanley Government Portfolio - Institutional Share Class(seven-day effective yield 2.34%) | 345,322 | $ | 345,322 | |||||
State Street Institutional US Government Money Market Fund - Investor Class(seven-day effective yield 2.29%) | 345,322 | 345,322 | ||||||
|
| |||||||
Total Short-Term Investments |
| 1,726,610 | ||||||
|
| |||||||
Total Value of Securities – 99.19% |
| $ | 429,837,115 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2019, the aggregate value of Rule 144A securities was $12,295,400, which represents 2.84% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” |
D | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 10 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
The following foreign currency exchange contracts were outstanding at April 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized | |||||||||||||||||||
BNYM | EUR | (137,488) | USD | 154,226 | 5/2/19 | $ | — | $ | (8) | |||||||||||||||
BNYM | GBP | 141,689 | USD | (184,429) | 5/1/19 | 344 | — | |||||||||||||||||
BNYM | HKD | (1,716,000) | USD | 218,735 | 5/3/19 | — | (18) | |||||||||||||||||
BNYM | JPY | 19,249,174 | USD | (172,123) | 5/8/19 | 794 | — | |||||||||||||||||
BNYM | JPY | 47,131,603 | USD | (421,538) | 5/9/19 | 1,885 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Foreign Currency Exchange Contracts |
| $ | 3,023 | $ | (26) | |||||||||||||||||||
|
|
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio’s net assets.
1See Note 6 in “Notes to financial statements.”
(continues) 49
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Labor Select International Equity Portfolio
Summary of abbreviations:
BNYM – The Bank of New York Mellon
EUR – European Monetary Unit
GBP – British Pound Sterling
GS – Goldman Sachs
HKD – Hong Kong Dollar
JPY – Japanese Yen
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
50
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Table of Contents
Statements of assets and liabilities
Macquarie Institutional Portfolios
April 30, 2019 (Unaudited)
Macquarie | Macquarie | Macquarie | ||||||||||
Large Cap | Core Plus | High Yield | ||||||||||
Value | Bond | Bond | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
Assets: | ||||||||||||
Investments, at value1 | $ | 83,516,817 | $ | 226,076,362 | $ | 83,597,397 | ||||||
Cash | 2,131 | 107,596 | 11,170 | |||||||||
Cash collateral due from brokers | — | 110,000 | — | |||||||||
Foreign currencies, at value2 | — | 83 | — | |||||||||
Dividends and interest receivable | 171,653 | 1,464,630 | 1,196,799 | |||||||||
Receivable for securities sold | — | 2,241,204 | 334,191 | |||||||||
Swap payments receivable | — | 568 | — | |||||||||
Variation margin due from brokers for futures contracts | — | 72,391 | — | |||||||||
Unrealized appreciation on credit default swap contracts | — | 7,575 | — | |||||||||
Other assets3 | — | 75,182 | 48,975 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 83,690,601 | 230,155,591 | 85,188,532 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for securities purchased | 87,193 | 6,564,154 | 1,707,169 | |||||||||
Payable for fund shares redeemed | — | — | 3,714 | |||||||||
Investment management fees payable to affiliates | 39,020 | 50,713 | 26,068 | |||||||||
Audit and tax fees payable | 17,085 | 22,520 | 21,395 | |||||||||
Other accrued expenses | 7,309 | 72,634 | 20,666 | |||||||||
Reports and statements to shareholders payable | 3,610 | — | — | |||||||||
Custody fees payable | 849 | — | — | |||||||||
Accounting and administration fees payable to affiliates | 608 | 1,014 | 585 | |||||||||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 558 | 1,368 | 511 | |||||||||
Trustees’ fees and expenses payable | 345 | 735 | 273 | |||||||||
Legal fees payable to affiliates | 118 | 250 | 93 | |||||||||
Reports and statements to shareholders expenses payable to affiliates | 92 | 246 | 92 | |||||||||
Unrealized depreciation on foreign currency exchange contracts | — | 10,719 | — | |||||||||
Upfront payments received on credit default swap contracts | — | 104,532 | — | |||||||||
Contingent liabilities3 | — | 250,607 | 163,250 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 156,787 | 7,079,492 | 1,943,816 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 83,533,814 | $ | 223,076,099 | $ | 83,244,716 | ||||||
|
|
|
|
|
|
52
Table of Contents
Macquarie | Macquarie | Macquarie | ||||||||||
Large Cap | Core Plus | High Yield | ||||||||||
Value | Bond | Bond | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 65,617,459 | $ | 223,027,113 | $ | 97,633,299 | ||||||
Total distributable earnings (loss) | 17,916,355 | 48,986 | (14,388,583 | ) | ||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 83,533,814 | $ | 223,076,099 | $ | 83,244,716 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value | ||||||||||||
Portfolio Class | ||||||||||||
Net assets | $ | 83,533,814 | $ | 223,076,099 | $ | 83,244,716 | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 3,468,919 | 21,999,470 | 11,410,226 | |||||||||
Net asset value per share | $ | 24.08 | $ | 10.14 | $ | 7.30 | ||||||
1Investments, at cost | $ | 72,509,388 | $ | 224,661,434 | $ | 82,335,147 | ||||||
2Foreign currencies, at cost | — | 89 | — | |||||||||
3See Note 12 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
(continues) 53
Table of Contents
Statements of assets and liabilities
Macquarie Institutional Portfolios
Macquarie | ||||||||||||
Macquarie | Macquarie | Labor Select | ||||||||||
Emerging | Emerging | International | ||||||||||
Markets | Markets | Equity | ||||||||||
Portfolio | Portfolio II | Portfolio | ||||||||||
Assets: | ||||||||||||
Investments, at value1 | $ | 81,660,163 | $ | 42,088,048 | $ | 429,837,115 | ||||||
Foreign currencies, at value2 | 29,006 | 246,789 | 403,186 | |||||||||
Cash | — | 6,682 | 1,510 | |||||||||
Receivable for securities sold | 737,796 | 118,653 | 541,249 | |||||||||
Dividends and interest receivable | 174,688 | 78,325 | 1,882,254 | |||||||||
Foreign tax reclaims receivable | 1,863 | 1,698 | 2,257,349 | |||||||||
Unrealized appreciation on foreign currency exchange contracts | 460 | — | 3,023 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 82,603,976 | 42,540,195 | 434,925,686 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Cash due to custodian | 54,214 | — | — | |||||||||
Payable for securities purchased | 338,978 | — | 1,196,551 | |||||||||
Payable for fund shares redeemed | — | — | 20,417 | |||||||||
Investment management fees payable to affiliates | 68,334 | 30,655 | 267,032 | |||||||||
Custody fees payable | 40,517 | 5,376 | — | |||||||||
Other accrued expenses | 22,199 | 4,120 | 89,700 | |||||||||
Audit and tax fees payable | 18,955 | 18,955 | 18,955 | |||||||||
Accounting and administration fees payable to affiliates | 585 | 460 | 1,665 | |||||||||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 512 | 262 | 2,670 | |||||||||
Trustees’ fees and expenses payable | 271 | 137 | 1,412 | |||||||||
Legal fees payable to affiliates | 93 | 50 | 480 | |||||||||
Reports and statements to shareholders expenses payable to affiliates | 91 | 47 | 479 | |||||||||
Administration fees payable | — | 11,705 | — | |||||||||
Unrealized depreciation on foreign currency exchange contracts | 580 | — | 26 | |||||||||
Registration fees payable | — | 2,794 | — | |||||||||
Deferred capital gains tax payable | 5,395 | 6,912 | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 550,724 | 81,473 | 1,599,387 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 82,053,252 | $ | 42,458,722 | $ | 433,326,299 | ||||||
|
|
|
|
|
|
54
Table of Contents
Macquarie | ||||||||||||
Macquarie | Macquarie | Labor Select | ||||||||||
Emerging | Emerging | International | ||||||||||
Markets | Markets | Equity | ||||||||||
Portfolio | Portfolio II | Portfolio | ||||||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 122,552,281 | $ | 35,148,707 | $ | 427,889,000 | ||||||
Total distributable earnings (loss)3 | (40,499,029 | ) | 7,310,015 | 5,437,299 | ||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 82,053,252 | $ | 42,458,722 | $ | 433,326,299 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value | ||||||||||||
Portfolio Class | ||||||||||||
Net assets | $ | 82,053,252 | $ | 42,458,722 | $ | 433,326,299 | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 9,924,356 | 4,423,587 | 30,420,023 | |||||||||
Net asset value per share | $ | 8.27 | $ | 9.60 | $ | 14.24 | ||||||
1Investments, at cost | $ | 77,936,229 | $ | 33,968,070 | $ | 425,191,467 | ||||||
2Foreign currencies, at cost | 29,006 | 256,271 | 405,086 | |||||||||
3Includes deferred capital gains tax payable | 5,395 | 6,912 | — |
See accompanying notes, which are an integral part of the financial statements.
(continues) 55
Table of Contents
Macquarie Institutional Portfolios
Six months ended April 30, 2019 (Unaudited)
Macquarie | Macquarie | Macquarie | ||||||||||
Large Cap | Core Plus | High Yield | ||||||||||
Value | Bond | Bond | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 1,273,963 | $ | 48,264 | $ | 11,495 | ||||||
Interest | 25,519 | 4,124,934 | 2,462,323 | |||||||||
|
|
|
|
|
| |||||||
1,299,482 | 4,173,198 | 2,473,818 | ||||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fees | 276,986 | 458,961 | 175,424 | |||||||||
Accounting and administration expenses | 29,305 | 39,471 | 27,246 | |||||||||
Audit and tax fees | 17,085 | 22,697 | 21,463 | |||||||||
Registration fees | 10,787 | 11,031 | 8,531 | |||||||||
Dividend disbursing and transfer agent fees and expenses | 5,914 | 12,678 | 4,570 | |||||||||
Legal fees | 4,707 | 14,225 | 2,367 | |||||||||
Trustees’ fees and expenses | 3,132 | 6,480 | 2,336 | |||||||||
Reports and statements to shareholders expenses | 2,692 | 12,433 | 2,746 | |||||||||
Custodian fees | 1,729 | 14,695 | 1,677 | |||||||||
Other | 3,744 | 56,919 | 10,355 | |||||||||
|
|
|
|
|
| |||||||
356,081 | 649,590 | 256,715 | ||||||||||
Less expenses waived | (4,658 | ) | (164,334 | ) | (26,594 | ) | ||||||
Less expenses paid indirectly | (326 | ) | (4,713 | ) | (196 | ) | ||||||
|
|
|
|
|
| |||||||
Total operating expenses | 351,097 | 480,543 | 229,925 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 948,385 | 3,692,655 | 2,243,893 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 8,056,138 | 257,029 | (1,642,774 | ) | ||||||||
Foreign currencies | — | (87,049 | ) | — | ||||||||
Foreign currency exchange contracts | — | (19,423 | ) | — | ||||||||
Futures contracts | — | 1,833,792 | — | |||||||||
Options purchased | — | (6,531 | ) | — | ||||||||
Swap contracts | — | 102,889 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 8,056,138 | 2,080,707 | (1,642,774 | ) | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) of: | ||||||||||||
Investments | (3,761,759 | ) | 6,377,448 | 3,436,745 | ||||||||
Foreign currencies | — | (61 | ) | — | ||||||||
Foreign currency exchange contracts | — | (8,236 | ) | — | ||||||||
Futures contracts | — | 136,211 | — | |||||||||
Swap contracts | — | 17,294 | — | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (3,761,759 | ) | 6,522,656 | 3,436,745 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain | 4,294,379 | 8,603,363 | 1,793,971 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets Resulting from Operations | $ | 5,242,764 | $ | 12,296,018 | $ | 4,037,864 | ||||||
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
56
Table of Contents
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 1,113,994 | $ | 216,739 | $ | 6,504,611 | ||||||
Interest | 5,281 | 4,220 | 7,811 | |||||||||
Foreign tax withheld | (81,540 | ) | (31,407 | ) | (507,965 | ) | ||||||
|
|
|
|
|
| |||||||
1,037,735 | 189,552 | 6,004,457 | ||||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fees | 399,757 | 176,382 | 1,534,587 | |||||||||
Audit and tax fees | 55,190 | 21,164 | 20,308 | |||||||||
Custodian fees | 30,597 | 5,270 | 45,435 | |||||||||
Accounting and administration expenses | 26,821 | 23,389 | 56,453 | |||||||||
Registration fees | 6,031 | 10,032 | 9,029 | |||||||||
Dividend disbursing and transfer agent fees and expenses | 4,615 | 2,119 | 23,794 | |||||||||
Legal fees | 3,816 | 670 | 22,945 | |||||||||
Reports and statements to shareholders expenses | 2,893 | 1,276 | 13,613 | |||||||||
Trustees’ fees and expenses | 2,407 | 1,019 | 12,309 | |||||||||
Other | 9,889 | 6,097 | 14,126 | |||||||||
|
|
|
|
|
| |||||||
542,016 | 247,418 | 1,752,599 | ||||||||||
Less expenses waived | — | (36,277 | ) | — | ||||||||
Less expenses paid indirectly | (342 | ) | (1 | ) | (587 | ) | ||||||
|
|
|
|
|
| |||||||
Total operating expenses | 541,674 | 211,140 | 1,752,012 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 496,061 | (21,588 | ) | 4,252,445 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments1 | (1,107,906 | ) | 198,604 | 1,573,610 | ||||||||
Foreign currencies | 3,576 | 3,458 | (11,716 | ) | ||||||||
Foreign currency exchange contracts | (12,638 | ) | (4,346 | ) | (9,477 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (1,116,968 | ) | 197,716 | 1,552,417 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) of: | ||||||||||||
Investments2 | 9,536,582 | 5,100,740 | 23,418,641 | |||||||||
Foreign currencies | 12,565 | (6,909 | ) | (22,351 | ) | |||||||
Foreign currency exchange contracts | (186 | ) | — | 3,763 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 9,548,961 | 5,093,831 | 23,400,053 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain | 8,431,993 | 5,291,547 | 24,952,470 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets Resulting from Operations | $ | 8,928,054 | $ | 5,269,959 | $ | 29,204,915 | ||||||
|
|
|
|
|
|
1Includes $2,034 capital gains taxes paid for Macquarie Emerging Markets Portfolio.
2Includes increase of $5,396 and $6,912 capital gains tax accrued for Macquarie Emerging
Markets Portfolio and Macquarie Emerging Markets Portfolio II, respectively.
See accompanying notes, which are an integral part of the financial statements.
57
Table of Contents
Statements of changes in net assets
Macquarie Institutional Portfolios
Macquarie Large Cap Value Portfolio | Macquarie Core Plus Bond Portfolio | Macquarie High Yield Bond Portfolio | ||||||||||||||||||||||
Six months 4/30/19 | Year ended | Six months 4/30/19 | Year ended | Six months ended 4/30/19 (Unaudited) | Year ended | |||||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||||||
Net investment income | $ | 948,385 | $ | 2,175,011 | $ | 3,692,655 | $ | 7,009,383 | $ | 2,243,893 | $ | 5,308,443 | ||||||||||||
Net realized gain (loss) | 8,056,138 | 13,590,238 | 2,080,707 | (6,035,939 | ) | (1,642,774 | ) | (442,627 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (3,761,759 | ) | (2,569,323 | ) | 6,522,656 | (6,011,577 | ) | 3,436,745 | (5,868,713 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,242,764 | 13,195,926 | 12,296,018 | (5,038,133 | ) | 4,037,864 | (1,002,897 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||||||
Distributable earnings | (15,681,359 | ) | (19,235,423 | ) | (6,188,506 | ) | (5,030,141 | ) | (5,358,591 | ) | (7,953,373 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(15,681,359 | ) | (19,235,423 | ) | (6,188,506 | ) | (5,030,141 | ) | (5,358,591 | ) | (7,953,373 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | 4,109,335 | 11,054,529 | 3,600,001 | 91,751,003 | 3,156,965 | 3,925,944 | ||||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions | 11,999,850 | 17,071,425 | 5,949,588 | 4,763,506 | 5,094,940 | 7,626,256 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
16,109,185 | 28,125,954 | 9,549,589 | 96,514,509 | 8,251,905 | 11,552,200 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed | (28,967,783 | ) | (84,123,203 | ) | (12,632,156 | ) | (34,636,798 | ) | (1,422,123 | ) | (38,133,621 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets derived from capital share transactions | (12,858,598 | ) | (55,997,249 | ) | (3,082,567 | ) | 61,877,711 | 6,829,782 | (26,581,421 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (23,297,193 | ) | (62,036,746 | ) | 3,024,945 | 51,809,437 | 5,509,055 | (35,537,691 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 106,831,007 | 168,867,753 | 220,051,154 | 168,241,717 | 77,735,661 | 113,273,352 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 83,533,814 | $ | 106,831,007 | $ | 223,076,099 | $ | 220,051,154 | $ | 83,244,716 | $ | 77,735,661 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
58
Table of Contents
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | ||||||||||||||||||||||
Six months ended 4/30/19 (Unaudited) | Year ended | Six months ended 4/30/19 (Unaudited) | Year ended | Six months 4/30/19 | Year ended | |||||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 496,061 | $ | 2,688,368 | $ | (21,588 | ) | $ | 301,479 | $ | 4,252,445 | $ | 13,604,537 | |||||||||||
Net realized gain (loss) | (1,116,968 | ) | 3,638,308 | 197,716 | 2,100,517 | 1,552,417 | 14,529,416 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | 9,548,961 | (15,555,954 | ) | 5,093,831 | (7,748,412 | ) | 23,400,053 | (59,492,520 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 8,928,054 | (9,229,278 | ) | 5,269,959 | (5,346,416 | ) | 29,204,915 | (31,358,567 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||||||
Distributable earnings | (1,654,329 | ) | (5,300,800 | ) | (1,409,323 | ) | (1,139,072 | ) | (12,523,066 | ) | (14,155,472 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(1,654,329 | ) | (5,300,800 | ) | (1,409,323 | ) | (1,139,072 | ) | (12,523,066 | ) | (14,155,472 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | 198,587 | 1,466,788 | 10,000,000 | 336,000 | 7,068,564 | 19,589,321 | ||||||||||||||||||
Purchase reimbursement fees | 648 | 5,924 | — | — | — | — | ||||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions | 1,520,629 | 4,187,088 | 1,404,091 | 1,139,071 | 12,507,508 | 14,139,472 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,719,864 | 5,659,800 | 11,404,091 | 1,475,071 | 19,576,072 | 33,728,793 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed | (6,432,145 | ) | (48,563,251 | ) | (35,000 | ) | (13,806,846 | ) | (8,854,815 | ) | (72,564,300 | ) | ||||||||||||
Redemption reimbursement fees | 28,815 | 218,543 | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(6,403,330 | ) | (48,344,708 | ) | (35,000 | ) | (13,806,846 | ) | (8,854,815 | ) | (72,564,300 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets derived from capital share transactions | (4,683,466 | ) | (42,684,908 | ) | 11,369,091 | (12,331,775 | ) | 10,721,257 | (38,835,507 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 2,590,259 | (57,214,986 | ) | 15,229,727 | (18,817,263 | ) | 27,403,106 | (84,349,546 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 79,462,993 | 136,677,979 | 27,228,995 | 46,046,258 | 405,923,193 | 490,272,739 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 82,053,252 | $ | 79,462,993 | $ | 42,458,722 | $ | 27,228,995 | $ | 433,326,299 | $ | 405,923,193 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
59
Table of Contents
Macquarie Institutional Portfolios — Macquarie Large Cap Value Portfolio
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.03 | $ | 28.54 | $ | 26.39 | $ | 27.30 | $ | 27.61 | $ | 24.19 | ||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.22 | 0.46 | 0.47 | 0.51 | 0.53 | 0.47 | ||||||||||||||||||||||||
Net realized and unrealized gain | 0.80 | 1.97 | 3.09 | 1.19 | 0.34 | 3.39 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.02 | 2.43 | 3.56 | 1.70 | 0.87 | 3.86 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.51 | ) | (0.66 | ) | (0.51 | ) | (0.56 | ) | (0.43 | ) | (0.32 | ) | ||||||||||||||||||
Net realized gain | (3.46 | ) | (3.28 | ) | (0.90 | ) | (2.05 | ) | (0.75 | ) | (0.12 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (3.97 | ) | (3.94 | ) | (1.41 | ) | (2.61 | ) | (1.18 | ) | (0.44 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 24.08 | $ | 27.03 | $ | 28.54 | $ | 26.39 | $ | 27.30 | $ | 27.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 5.52% | 9.00% | 13.83% | 7.15% | 3.18% | 16.19% | ||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 83,534 | $ | 106,831 | $ | 168,868 | $ | 217,128 | $ | 214,726 | $ | 139,797 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.70% | 0.70% | 0.66% | 0.65% | 0.65% | 0.68% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.71% | 0.70% | 0.66% | 0.65% | 0.65% | 0.68% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.88% | 1.68% | 1.74% | 1.97% | 1.92% | 1.83% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.87% | 1.68% | 1.74% | 1.97% | 1.92% | 1.83% | ||||||||||||||||||||||||
Portfolio turnover
|
| 12%
|
|
| 16%
|
|
| 23%
|
|
| 13%
|
|
| 31%
|
|
| 19%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
60
Table of Contents
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.87 | $ | 10.41 | $ | 10.42 | $ | 10.29 | $ | 10.37 | $ | 10.10 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.17 | 0.32 | 0.32 | 0.22 | 0.24 | 0.29 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.39 | (0.55 | ) | (0.06 | ) | 0.14 | (0.11 | ) | 0.21 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.56 | (0.23 | ) | 0.26 | 0.36 | 0.13 | 0.50 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.31 | ) | (0.27 | ) | (0.23 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||||||||
Net realized gain | — | — | — | — | 3 | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.29 | ) | (0.31 | ) | (0.27 | ) | (0.23 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.14 | $ | 9.87 | $ | 10.41 | $ | 10.42 | $ | 10.29 | $ | 10.37 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | 5.86% | (2.29% | ) | 2.60% | 3.63% | 1.29% | 5.02% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 223,076 | $ | 220,051 | $ | 168,242 | $ | 133,265 | $ | 128,094 | $ | 77,036 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.60% | 0.58% | 0.60% | 0.60% | 0.61% | 0.65% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 3.46% | 3.22% | 3.08% | 2.12% | 2.33% | 2.90% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 3.31% | 3.09% | 2.93% | 1.97% | 2.17% | 2.70% | ||||||||||||||||||||||||
Portfolio turnover
|
| 79%
|
|
| 171%
|
|
| 162%
|
|
| 310%
|
|
| 436%
|
|
| 339%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended Oct. 31, 2016, net realized gain distributions of $51,289 was made by the Portfolio, which calculated to a de minimis amount of $(0.004) per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 61
Table of Contents
Financial highlights
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.46 | $ | 8.09 | $ | 7.88 | $ | 7.78 | $ | 8.61 | $ | 8.72 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.20 | 0.42 | 0.43 | 0.45 | 0.49 | 0.50 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | (0.48 | ) | 0.23 | 0.02 | (0.79 | ) | (0.07 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.35 | (0.06 | ) | 0.66 | 0.47 | (0.30 | ) | 0.43 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.51 | ) | (0.57 | ) | (0.45 | ) | (0.37 | ) | (0.42 | ) | (0.54 | ) | ||||||||||||||||||
Net realized gain | — | — | — | — | (0.11 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.51 | ) | (0.57 | ) | (0.45 | ) | (0.37 | ) | (0.53 | ) | (0.54 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 7.30 | $ | 7.46 | $ | 8.09 | $ | 7.88 | $ | 7.78 | $ | 8.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 5.28% | (0.77% | ) | 8.88% | 6.63% | (3.41% | ) | 5.23% | ||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 83,245 | $ | 77,736 | $ | 113,273 | $ | 242,300 | $ | 206,129 | $ | 143,182 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.59% | 0.59% | 0.57% | 0.55% | 0.56% | 0.57% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.66% | 0.62% | 0.58% | 0.55% | 0.56% | 0.57% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 5.76% | 5.49% | 5.58% | 6.10% | 6.09% | 5.76% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 5.69% | 5.46% | 5.57% | 6.10% | 6.09% | 5.76% | ||||||||||||||||||||||||
Portfolio turnover
|
| 39%
|
|
| 112%
|
|
| 99%
|
|
| 119%
|
|
| 84%
|
|
| 101%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
62
Table of Contents
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.56 | $ | 8.76 | $ | 7.77 | $ | 7.47 | $ | 9.75 | $ | 10.11 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.20 | 0.18 | 0.18 | 0.16 | 0.22 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.82 | (1.08 | ) | 1.05 | 0.29 | (1.77 | ) | (0.09 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.87 | (0.88 | ) | 1.23 | 0.47 | (1.61 | ) | 0.13 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.34 | ) | (0.26 | ) | (0.18 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||||||||
Net realized gain | — | — | — | — | (0.47 | ) | (0.33 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.16 | ) | (0.34 | ) | (0.26 | ) | (0.18 | ) | (0.69 | ) | (0.51 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Reimbursement fees: | ||||||||||||||||||||||||||||||
Purchase reimbursement fees2,3 | — | 4 | — | 5 | 0.01 | — | 6 | — | 7 | 0.01 | ||||||||||||||||||||
Redemption reimbursement fees2,3 | — | 8 | 0.02 | 0.01 | 0.01 | 0.02 | 0.01 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
— | 0.02 | 0.02 | 0.01 | 0.02 | 0.02 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 8.27 | $ | 7.56 | $ | 8.76 | $ | 7.77 | $ | 7.47 | $ | 9.75 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return9 | 11.78% | (10.28% | ) | 16.88% | 6.75% | (17.11% | ) | 1.89% | ||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 82,053 | $ | 79,463 | $ | 136,678 | $ | 133,828 | $ | 172,674 | $ | 310,211 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.36% | 1.26% | 1.22% | 1.19% | 1.19% | 1.16% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.24% | 2.31% | 2.24% | 2.51% | 1.90% | 2.25% | ||||||||||||||||||||||||
Portfolio turnover
|
| 16%
|
|
| 40%
|
|
| 45%
|
|
| 28%
|
|
| 27%
|
|
| 30%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Effective Feb. 28, 2018, the Portfolio charges a 0.40% purchase reimbursement fee and a 0.45% redemption reimbursement fee, which are retained by the Portfolio. Previously, the Portfolio charged a 0.55% purchase reimbursement fee and a 0.55% redemption reimbursement fee. |
4 | For the six months ended April 30, 2019, purchase reimbursement fees of $648 were earned by the Portfolio, which calculated to a de minimis amount of $0.0001 per share. |
5 | For the year ended Oct. 31, 2018, purchase reimbursement fees of $5,924 were earned by the Portfolio, which calculated to a de minimis amount of $0.0004 per share. |
6 | For the year ended Oct. 31, 2016, purchase reimbursement fees of $42,620 were earned by the Portfolio, which calculated to a de minimis amount of $0.002 per share. |
7 | For the year ended Oct. 31, 2015, purchase reimbursement fees of $118,421 were earned by the Portfolio, which calculated to a de minimis amount of $0.004 per share. |
8 | For the six months ended April 30, 2019, redemption reimbursement fees of $28,815 were earned by the Portfolio, which calculated to a de minimis amount of $0.003 per share. |
9 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not reflect the purchase reimbursement fee and redemption reimbursement fee. |
See accompanying notes, which are an integral part of the financial statements.
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Financial highlights
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.78 | $ | 10.74 | $ | 8.01 | $ | 7.37 | $ | 9.88 | $ | 9.65 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.01 | ) | 0.08 | 0.12 | 0.07 | 0.04 | 0.06 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.29 | (1.77 | ) | 2.70 | 0.88 | (2.15 | ) | 0.30 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.28 | (1.69 | ) | 2.82 | 0.95 | (2.11 | ) | 0.36 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.27 | ) | (0.09 | ) | (0.08 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||||||||
Net realized gain | (0.41 | ) | — | — | (0.23 | ) | (0.26 | ) | (0.04 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | (0.46 | ) | (0.27 | ) | (0.09 | ) | (0.31 | ) | (0.40 | ) | (0.13 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 9.60 | $ | 8.78 | $ | 10.74 | $ | 8.01 | $ | 7.37 | $ | 9.88 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 15.42% | (16.13% | ) | 35.74% | 13.62% | (21.84% | ) | 3.80% | ||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 42,459 | $ | 27,229 | $ | 46,046 | $ | 37,198 | $ | 33,314 | $ | 42,515 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.20% | 1.20% | 1.20% | 1.20% | 1.21% | 1.20% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.40% | 1.42% | 1.32% | 1.34% | 1.35% | 1.32% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.12% | ) | 0.80% | 1.34% | 0.97% | 0.43% | 0.64% | |||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.32% | ) | 0.58% | 1.22% | 0.83% | 0.29% | 0.52% | |||||||||||||||||||||||
Portfolio turnover
|
| 4%
|
|
| 12%
|
|
| 14%
|
|
| 20%
|
|
| 8%
|
|
| 11%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
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Macquarie Institutional Portfolios — Macquarie Labor Select International Equity Portfolio
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||||||||||
ended | |||||||||||||||||||||||||||||||||
4/30/191 | Year ended | ||||||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.74 | $ | 15.21 | $ | 12.83 | $ | 13.79 | $ | 14.74 | $ | 15.07 | |||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||
Net investment income2 | 0.14 | 0.44 | 0.41 | 0.43 | 0.37 | 0.69 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.78 | (1.47 | ) | 2.35 | (1.02 | ) | (0.52 | ) | (0.57 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total from investment operations | 0.92 | (1.03 | ) | 2.76 | (0.59 | ) | (0.15 | ) | 0.12 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||||||||
Net investment income | (0.42 | ) | (0.44 | ) | (0.38 | ) | (0.37 | ) | (0.80 | ) | (0.45 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total dividends and distributions | (0.42 | ) | (0.44 | ) | (0.38 | ) | (0.37 | ) | (0.80 | ) | (0.45 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net asset value, end of period | $ | 14.24 | $ | 13.74 | $ | 15.21 | $ | 12.83 | $ | 13.79 | $ | 14.74 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total return3 | 7.10% | (7.02% | ) | 22.13% | (4.24% | ) | (0.98% | ) | 0.86% | ||||||||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 433,326 | $ | 405,923 | $ | 490,273 | $ | 394,830 | $ | 360,650 | $ | 373,497 | |||||||||||||||||||||
Ratio of expenses to average net assets | 0.86% | 0.87% | 0.86% | 0.86% | 0.87% | 0.86% | |||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.08% | 2.96% | 2.96% | 3.39% | 2.63% | 4.54% | |||||||||||||||||||||||||||
Portfolio turnover
|
| 8%
|
|
| 20%
|
|
| 21%
|
|
| 22%
|
|
| 20%
|
|
| 23%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
See accompanying notes, which are an integral part of the financial statements.
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Macquarie Institutional Portfolios
April 30, 2019 (Unaudited)
Macquarie Institutional Portfolios (registered as Delaware Pooled® Trust (Trust)) is organized as a Delaware statutory trust and offers seven separate Portfolios. These financial statements and the related notes pertain to Macquarie Large Cap Value Portfolio, Macquarie Core Plus Bond Portfolio, Macquarie High Yield Bond Portfolio, Macquarie Emerging Markets Portfolio, Macquarie Emerging Markets Portfolio II, and Macquarie Labor Select International Equity Portfolio, (each, a Portfolio, and collectively, the Portfolios). Delaware REIT Fund is included in a separate report. The Trust is anopen-end investment company. Each Portfolio is considered diversified under the Investment Company Act of 1940, as amended. Each Portfolio offers one class of shares.
The investment objective of Macquarie Large Cap Value Portfolio is to seek long-term capital appreciation.
The investment objective of Macquarie Core Plus Bond Portfolio is to seek maximum long-term total return, consistent with reasonable risk.
The investment objective of Macquarie High Yield Bond Portfolio is to seek high total return.
The investment objective of Macquarie Emerging Markets Portfolio is to seek long-term capital appreciation.
The investment objective of Macquarie Emerging Markets Portfolio II is to seek long-term capital appreciation.
The investment objective of Macquarie Labor Select International Equity Portfolio is to seek maximum long-term total return.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation— Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments.Open-end investment companies are valued at their published net asset value. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Investments in repurchase agreements are generally valued at par, which approximates fair value, each business day. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Portfolios may use fair value pricing more frequently for securities traded primarily innon-US markets because, among other things, most foreign markets close well before the Portfolios value their securities, generally as of 4:00pm Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Portfolios may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing). Restricted securities are valued at fair value using methods approved by the Board.
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Federal and Foreign Income Taxes— No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Portfolios evaluate tax positions taken or expected to be taken in the course of preparing each Portfolio’s tax returns to determine whether the tax positions are“more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the“more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio’s tax positions taken or expected to be taken on the Portfolios’ federal income tax returns through the six months ended April 30, 2019 and for all open tax years (years ended Oct. 31, 2016–Oct 31, 2018), and has concluded that no provision for federal income tax is required in any Portfolio’s financial statements. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in other expenses on the “Statements of operations.” During the six months ended April 30, 2019, the Portfolios did not incur any interest or tax penalties. In regard to foreign taxes only, each Portfolio has open tax years in certain foreign countries in which it invests that may date back to the inception of each Portfolio.
Repurchase Agreements— Each Portfolio may purchase certain US government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with each Portfolio’s custodian or a third-partysub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. At April 30, 2019, the Portfolio’s held no investments in repurchase agreements.
Foreign Currency Transactions— Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with each Portfolio’s prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. Each Portfolio generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, these changes are included on the “Statements of operations” under “Net realized and unrealized gain (loss) on investments.” Each Portfolio reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates— The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Reimbursement Fees— Macquarie Emerging Markets Portfolio may charge a 0.40% purchase reimbursement fee and a 0.45% redemption reimbursement fee. These fees are designed to reflect an approximation of the brokerage and other transaction costs associated with the investment of an investor’s purchase amount or the disposition of assets to meet redemptions, and to limit the extent to which the Portfolio (and, indirectly, the Portfolio’s existing shareholders) would have to bear such costs. These fees are accounted for as an addition topaid-in capital for the Portfolio in the “Statements of changes in net assets.”
Other— Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within Delaware Funds® by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on theex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on theex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Foreign dividends are also recorded on theex-dividend date or as soon after theex-dividend date that a Portfolio is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with each Portfolio’s understanding of the applicable country’s tax rules and rates. Each Portfolio may pay foreign capital gains taxes on certain foreign securities
(continues) 67
Table of Contents
Notes to financial statements
Macquarie Institutional Portfolios
1. Significant Accounting Policies (continued)
held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Portfolios will accrue such taxes as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which they invest.
Each Portfolio declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, annually. Each Portfolio may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on theex-dividend date.
Subject to seeking best execution, each Portfolio may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to each Portfolio in cash. In general, best execution refers to many factors, including the price paid or received for a security, the commission charged, the promptness and reliability of execution, the confidentiality and placement accorded the order, and other factors affecting the overall benefit obtained by the Portfolio on the transaction. Such commission rebates are included in realized gain on investments in the accompanying financial statements. There were no commission rebates for the six months ended April 30, 2019.
Each Portfolio receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the “Statements of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2019, each Portfolio earned the following amounts under this arrangement.
Custody Credits | ||
Macquarie Large Cap Value Portfolio | $ 325 | |
Macquarie Core Plus Bond Portfolio | 4,712 | |
Macquarie High Yield Bond Portfolio | 195 | |
Macquarie Emerging Markets Portfolio | 341 | |
Macquarie Emerging Markets Portfolio II | — | |
Macquarie Labor Select International Equity Portfolio | 586 |
Each Portfolio receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2019, each Portfolio earned the following amounts under this arrangement.
Earnings Credits | ||
Macquarie Large Cap Value Portfolio | $ 1 | |
Macquarie Core Plus Bond Portfolio | 1 | |
Macquarie High Yield Bond Portfolio | 1 | |
Macquarie Emerging Markets Portfolio | 1 | |
Macquarie Emerging Markets Portfolio II | 1 | |
Macquarie Labor Select International Equity Portfolio | 1 |
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of the respective investment management agreements, Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust and the investment manager of the Portfolios, will receive an annual fee, which is calculated daily and paid monthly based on the average daily net assets of each Portfolio.
DMC has contractually agreed to waive that portion, if any, of its management fees and/or pay/reimburse each Portfolio (except for Macquarie Labor Select International Equity Portfolio and Macquarie Emerging Markets Portfolio) to the extent necessary to ensure that annual operating expenses (excluding any distribution and service(12b-1) fees, taxes, interest, acquired fund fees and expenses, short sale, dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) do not exceed specified percentages of average daily net assets of each Portfolio from Nov. 1, 2018 through April 30, 2019.* For purposes of these waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses as may be agreed upon from time to time by the Portfolios’ Board and DMC. These expense waivers
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and reimbursements apply only to expenses paid directly by the Portfolios and may only be terminated by agreement of DMC and the Portfolios. The waivers and reimbursements are accrued daily and received monthly.
The management fee rates and the operating expense limitation rates in effect for the six months ended April 30, 2019, are as follows:
Contractual | ||||
operating expense | ||||
Management | limitation as | |||
fee as a percentage | a percentage | |||
of average daily | of average daily | |||
net assets (per annum) | net assets (per annum)† | |||
Macquarie Large Cap Value Portfolio | 0.55% | 0.70% | ||
Macquarie Core Plus Bond Portfolio | 0.43% | 0.45% | ||
Macquarie High Yield Bond Portfolio | 0.45% | 0.59% | ||
Macquarie Emerging Markets Portfolio | 1.00% | N/A | ||
Macquarie Emerging Markets Portfolio II | 1.00% | 1.20% | ||
Macquarie Labor Select International Equity Portfolio | 0.75% | N/A |
† | These operating expense limitations exclude certain expenses, such as12b-1 fees, taxes, interest, short sale dividend and interest expenses, acquired fund fees and expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations. In some instances, a Portfolio’s annual operating expenses may be lower than the contracted operating expense limitations. |
Mondrian Investment Partners Limited (Mondrian) furnishes investmentsub-advisory services to Macquarie Emerging Markets Portfolio and Macquarie Labor Select International Equity Portfolio. For these services, DMC, not the Portfolios, pays Mondrian the following percentages of the Portfolios’ average daily net assets:
Sub-advisory fee as a | ||
percentage of average daily | ||
net assets (per annum) | ||
Macquarie Emerging Markets Portfolio | 0.75% | |
Macquarie Labor Select International Equity Portfolio | 0.30% |
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each Fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each Fund then pays its portion of the remainder of the Total Fee on a relative net asset value (NAV) basis. These amounts are included on the “Statements of operations” under “Accounting and administrative expenses.” The fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
For the six months ended April 30, 2019, each Portfolio was charged for these services as follows:
Macquarie Large Cap Value Portfolio | $ | 3,902 | ||
Macquarie Core Plus Bond Portfolio | 6,049 | |||
Macquarie High Yield Bond Portfolio | 3,468 | |||
Macquarie Emerging Markets Portfolio | 3,506 | |||
Macquarie Emerging Markets Portfolio II | 2,654 | |||
Macquarie Labor Select International Equity Portfolio | 9,775 |
(continues) 69
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Notes to financial statements
Macquarie Institutional Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
DIFSC is also the transfer agent and dividend disbursing agent of each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly at the annual rate of 0.0075% of each Portfolio’s average daily net assets. These amounts are included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended April 30, 2019, each Portfolio was charged for these services as follows:
Macquarie Large Cap Value Portfolio | $ | 3,777 | ||
Macquarie Core Plus Bond Portfolio | 8,005 | |||
Macquarie High Yield Bond Portfolio | 2,924 | |||
Macquarie Emerging Markets Portfolio | 2,998 | |||
Macquarie Emerging Markets Portfolio II | 1,323 | |||
Macquarie Labor Select International Equity Portfolio | 15,346 |
Pursuant to asub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certainsub-transfer agency services to each Portfolio.Sub-transfer agency fees are paid by each Portfolio and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.”
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Portfolios. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended April 30, 2019, each Portfolio was charged for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Macquarie Large Cap Value Portfolio | $ | 2,497 | ||
Macquarie Core Plus Bond Portfolio | 5,243 | |||
Macquarie High Yield Bond Portfolio | 1,887 | |||
Macquarie Emerging Markets Portfolio | 1,950 | |||
Macquarie Emerging Markets Portfolio II | 822 | |||
Macquarie Labor Select International Equity Portfolio | 12,503 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
The Portfolios did not engage in Rule17a-7 securities purchases and sales during the six months ended April 30, 2019 pursuant to procedures adopted by the Board designed to ensure compliance with Rule17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At their regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board.
* | The aggregate contractual waiver period covering this report is from Feb. 28, 2018 through Feb. 28, 2020. |
3. Investments
For the six months ended April 30, 2019, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than US government securities | Purchases of US government securities | Sales other than US government securities | Sales of US government securities | |||||||||||||
Macquarie Large Cap Value Portfolio | $ | 11,923,879 | $ | — | $ | 40,645,918 | $ | — | ||||||||
Macquarie Core Plus Bond Portfolio | 67,474,077 | 97,962,237 | 81,684,390 | 94,595,885 | ||||||||||||
Macquarie High Yield Bond Portfolio | 31,385,461 | — | 28,919,299 | — | ||||||||||||
Macquarie Emerging Markets Portfolio | 12,865,906 | — | 18,919,658 | — | ||||||||||||
Macquarie Emerging Markets Portfolio II | 10,856,625 | — | 1,533,644 | — | ||||||||||||
Macquarie Labor Select International Equity Portfolio | 37,424,910 | — | 34,483,137 | — |
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At April 30, 2019, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2019, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Cost of investments and derivatives | Aggregate unrealized appreciation of investments and derivatives | Aggregate unrealized depreciation of investments and derivatives | Net unrealized appreciation of investments and derivatives | |||||||||||||
Macquarie Large Cap Value Portfolio | $ | 72,509,388 | $ | 14,811,640 | $ | (3,804,211) | $ | 11,007,429 | ||||||||
Macquarie Core Plus Bond Portfolio | 224,556,902 | 3,327,252 | (1,579,921) | 1,747,331 | ||||||||||||
Macquarie High Yield Bond Portfolio | 82,549,216 | 1,695,798 | (647,617) | 1,048,181 | ||||||||||||
Macquarie Emerging Markets Portfolio | 77,936,229 | 12,370,737 | (8,646,923) | 3,723,814 | ||||||||||||
Macquarie Emerging Markets Portfolio II | 33,968,070 | 11,409,198 | (3,289,220) | 8,119,978 | ||||||||||||
Macquarie Labor Select International Equity Portfolio | 425,191,467 | 50,179,167 | (45,530,522) | 4,648,645 |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future gains.
At Oct. 31, 2018, capital loss carryforwards available to offset future realized capital gains for the Portfolios were as follows:
Loss Carryforward Character | ||||||||||||
Short-term | Long-term | Total | ||||||||||
Macquarie Core Plus Bond Portfolio | $ | 4,615,953 | $ | 995,690 | $ | 5,611,643 | ||||||
Macquarie High Yield Bond Portfolio | 6,792,273 | 8,235,849 | 15,028,122 | |||||||||
Macquarie Emerging Markets Portfolio | — | 40,023,410 | 40,023,410 |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. Each Portfolio’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities,open-end investment companies, futures contracts, exchange-traded options contracts) | |
Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) | |
Level 3 – | Significant unobservable inputs, including each Portfolio’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
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Notes to financial statements
Macquarie Institutional Portfolios
3. Investments (continued)
The following table summarizes the valuation of Macquarie Large Cap Value Portfolio’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stock | $ | 82,551,284 | ||
Short-Term Investments | 965,533 | |||
|
| |||
Total Value of Securities | $ | 83,516,817 | ||
|
|
The following table summarizes the valuation of Macquarie Core Plus Bond Portfolio’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Agency, Asset- & Mortgage-Backed Securities | $ | — | $ | 69,327,992 | $ | — | $ | 69,327,992 | ||||||||
Corporate Debt | — | 88,896,226 | — | 88,896,226 | ||||||||||||
Municipal Bonds | — | 235,936 | — | 235,936 | ||||||||||||
Foreign Debt | — | 4,229,084 | — | 4,229,084 | ||||||||||||
Loan Agreements1 | — | 13,754,304 | 441,112 | 14,195,416 | ||||||||||||
US Treasury Obligations | — | 34,503,439 | — | 34,503,439 | ||||||||||||
Convertible Preferred Stock | 203,500 | — | — | 203,500 | ||||||||||||
Preferred Stock | 243,640 | — | — | 243,640 | ||||||||||||
Short-Term Investments | 9,787,805 | 4,453,324 | — | 14,241,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | 10,234,945 | $ | 215,400,305 | $ | 441,112 | $ | 226,076,362 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives2 | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | 335,547 | — | — | 335,547 | ||||||||||||
Swap Contracts | — | 7,575 | — | 7,575 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (10,719 | ) | $ | — | $ | (10,719 | ) |
1Security type is valued across multiple levels. Level 2 investments represent investments with observable inputs or matrix-priced investments and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 2 investments and Level 3 investments represent the following percentages of the total market value of these security types:
Level 2 | Level 3 | Total | ||||||
Loan Agreements | 96.89% | 3.11% | 100.00 | % |
2Foreign Currency Exchange Contracts, Futures Contracts, and Swap Contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
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The following table summarizes the valuation of Macquarie High Yield Bond Portfolio’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Corporate Debt | $ | — | $ | 74,256,226 | $ | — | $ | 74,256,226 | ||||||||
Loan Agreements1 | — | 4,323,946 | 391,050 | 4,714,996 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Short-Term Investments | 4,626,175 | — | — | 4,626,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | 4,626,175 | $ | 78,580,172 | $ | 391,050 | $ | 83,597,397 | ||||||||
|
|
|
|
|
|
|
|
The security that has been valued at zero on the “Schedules of investments” is considered to be Level 3 investment in this table.
1Security type is valued across multiple levels. Level 2 investments represent investments with observable inputs or matrix-priced investments and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments and Level 2 investments and Level 3 investments represent the following percentages of the total market value of these security types:
Level 2 | Level 3 | Total | ||||||
Loan Agreements | 91.71% | 8.29% | 100.00% |
The following table summarizes the valuation of Macquarie Emerging Markets Portfolio’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | ||||||||
Securities | ||||||||
Assets: | ||||||||
Common Stock | $78,614,528 | |||||||
Preferred Stock | 2,284,249 | |||||||
Short-Term Investments | 761,386 | |||||||
| ||||||||
Total Value of Securities | $81,660,163 | |||||||
|
Derivatives1 | ||||||||
Assets: | ||||||||
Foreign Currency Exchange Contract | $— | $ 460 | $ 460 | |||||
Liabilities: | ||||||||
Foreign Currency Exchange Contract | $— | $(580) | $(580) |
1Foreign Currency Exchange Contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
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Notes to financial statements
Macquarie Institutional Portfolios
3. Investments (continued)
The following table summarizes the valuation of Macquarie Emerging Markets Portfolio II’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stock | ||||||||||||
Argentina | $ | 79,105 | $ | — | $ | 79,105 | ||||||
Bahrain | — | 10,599 | 10,599 | |||||||||
Brazil | 4,456,768 | — | 4,456,768 | |||||||||
Chile | 196,020 | — | 196,020 | |||||||||
China/Hong Kong | 14,320,329 | — | 14,320,329 | |||||||||
India | 4,516,586 | — | 4,516,586 | |||||||||
Indonesia | 1,141,059 | — | 1,141,059 | |||||||||
Malaysia | 69,393 | — | 69,393 | |||||||||
Mexico | 1,846,297 | — | 1,846,297 | |||||||||
Peru | 350,136 | — | 350,136 | |||||||||
Republic of Korea | 6,092,973 | — | 6,092,973 | |||||||||
Russia | 2,789,969 | 598,476 | 3,388,445 | |||||||||
Taiwan | 3,904,601 | — | 3,904,601 | |||||||||
Turkey | 518,515 | — | 518,515 | |||||||||
United States | 505,113 | — | 505,113 | |||||||||
Preferred Stock | 252,514 | — | 252,514 | |||||||||
Short-Term Investments | 439,595 | — | 439,595 | |||||||||
|
|
|
|
|
| |||||||
Total Value of Securities | $ | 41,478,973 | $ | 609,075 | $ | 42,088,048 | ||||||
|
|
|
|
|
|
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The following table summarizes the valuation of Macquarie Labor Select International Equity Portfolio’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | Level 2 | Total | ||||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | 6,725,788 | $ | — | $ | 6,725,788 | ||||||||||
China/Hong Kong | 25,918,794 | — | 25,918,794 | |||||||||||||
Denmark | 7,666,056 | — | 7,666,056 | |||||||||||||
France | 28,963,769 | — | 28,963,769 | |||||||||||||
Germany | 39,277,967 | — | 39,277,967 | |||||||||||||
Italy | 26,163,436 | — | 26,163,436 | |||||||||||||
Japan | — | 95,787,003 | 95,787,003 | |||||||||||||
Netherlands | 2,947,989 | — | 2,947,989 | |||||||||||||
Singapore | 27,971,739 | — | 27,971,739 | |||||||||||||
Spain | 22,544,897 | — | 22,544,897 | |||||||||||||
Sweden | 12,230,435 | — | 12,230,435 | |||||||||||||
Switzerland | 26,662,612 | — | 26,662,612 | |||||||||||||
United Kingdom | 104,733,928 | — | 104,733,928 | |||||||||||||
Preferred Stock | 516,092 | — | 516,092 | |||||||||||||
Short-Term Investments | 1,726,610 | — | 1,726,610 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Value of Securities | $ | 334,050,112 | $ | 95,787,003 | $ | 429,837,115 | ||||||||||
|
|
|
|
|
| |||||||||||
Derivatives1 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign Currency Exchange Contracts | $— | $3,023 | $— | $3,023 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Exchange Contracts | — | $ (26) | — | $ (26) |
1Foreign Currency Exchange Contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
The securities that have been valued at zero on the “Schedules of investments” are considered to be Level 3 securities in these tables.
As a result of utilizing international fair value pricing at April 30, 2019, a portion of the common stock of Macquarie Emerging Markets Portfolio II and Macquarie Labor Select International Equity Portfolio was categorized as Level 2.
During the six months ended April 30, 2019, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to each Portfolio. This does not include transfers between Level 1 investments and Level 2 investments due to each Portfolio utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in each Portfolio occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that each Portfolio’s NAV is determined) are established using a separate pricing feed from a third party vendor designed to establish a price for each such security as of the time that each Portfolio’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. Each Portfolio’s policy is to recognize transfers between levels based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide a reconciliation of Level 3 investments as they were
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Notes to financial statements
Macquarie Institutional Portfolios
3. Investments (continued)
not considered significant to each Portfolio’s net assets at the beginning, interim, or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to each Portfolio’s net assets at the end of the period.
4. Capital Shares
Transactions in capital shares were as follows:
Shares sold | Shares issued upon reinvestment of dividends and distributions | Shares redeemed | Net increase (decrease) | |||||||||||||
Six months ended April 30, 2019: | ||||||||||||||||
Macquarie Large Cap Value Portfolio | 174,160 | 557,873 | (1,215,069 | ) | (483,036 | ) | ||||||||||
Macquarie Core Plus Bond Portfolio | 370,325 | 615,262 | (1,278,060 | ) | (292,473 | ) | ||||||||||
Macquarie High Yield Bond Portfolio | 441,553 | 752,576 | (202,455 | ) | 991,674 | |||||||||||
Macquarie Emerging Markets Portfolio | 21,284 | 207,452 | (818,796 | ) | (590,060 | ) | ||||||||||
Macquarie Emerging Markets Portfolio II | 1,154,734 | 171,440 | (3,906 | ) | 1,322,268 | |||||||||||
Macquarie Labor Select International Equity Portfolio | 525,773 | 987,955 | (635,207 | ) | 878,521 | |||||||||||
Year ended Oct. 31, 2018: | ||||||||||||||||
Macquarie Large Cap Value Portfolio | 401,878 | 654,077 | (3,020,171 | ) | (1,964,216 | ) | ||||||||||
Macquarie Core Plus Bond Portfolio | 9,137,115 | 470,702 | (3,477,230 | ) | 6,130,587 | |||||||||||
Macquarie High Yield Bond Portfolio | 518,733 | 1,015,480 | (5,119,460 | ) | (3,585,247 | ) | ||||||||||
Macquarie Emerging Markets Portfolio | 164,712 | 489,718 | (5,745,168 | ) | (5,090,738 | ) | ||||||||||
Macquarie Emerging Markets Portfolio II | 35,606 | 111,021 | (1,331,205 | ) | (1,184,578 | ) | ||||||||||
Macquarie Labor Select International Equity Portfolio | 1,312,591 | 950,233 | (4,949,197 | ) | (2,686,373 | ) |
5. Line of Credit
Each Portfolio, along with certain other funds in the Delaware Funds (Participants), was a participant in a revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. The revolving line of credit available was reduced from $155,000,000 to $130,000,0000 on Sept. 6, 2018. Under the agreement, the Participants were charged an annual commitment fee of 0.15%, which was allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants were permitted to borrow up to a maximum ofone-third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 5, 2018.
On Nov. 5, 2018, the Participants, entered into an amendment to the agreement for a $190,000,000 revolving line of credit. The revolving line of credit available was increased to $220,000,000 on Nov. 29, 2018. The revolving line of credit is to be used as described above and operates in substantially the same manner as the original agreement. The line of credit available under the agreement expires on Nov. 4, 2019.
Each Portfolio had no amounts outstanding as of April 30, 2019, or at any time during the period then ended.
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts— Each Portfolio may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Portfolio may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Portfolio may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Portfolio may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The
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change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Portfolio’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between each Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover each Portfolio’s exposure to the counterparty.
Macquarie Core Plus Bond Portfolio used foreign currency exchange contracts and foreign cross currency exchange contracts in order to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. Macquarie Emerging Markets Portfolio, Macquarie Emerging Markets Portfolio II, and Macquarie Labor Select International Equity Portfolio entered into foreign currency exchange contracts and foreign cross currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
Futures Contracts— A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. Macquarie Core Plus Bond, Macquarie High Yield Bond, Macquarie Emerging Markets, and Macquarie Emerging Markets II Portfolios may use futures contracts in the normal course of pursuing their respective investment objectives. Each Portfolio may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, a Portfolio deposits cash or pledges US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by each Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to each Portfolio because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Macquarie Core Plus Bond Portfolio posted securities collateral valued at $403,000 as margin for open futures contracts. Securities collateral are presented on the “Schedules of investments.”
Macquarie Core Plus Bond Portfolio used futures contracts in order to hedge the Portfolio’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions and to facilitate investments in portfolio securities.
Options Contracts—Each Portfolio may enter into options contracts in the normal course of pursuing its respective investment objective.Each Portfolio may buy or write options contracts for any number of reasons, including without limitation: to manage each Portfolio’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting each Portfolio’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. Each Portfolio may buy or write call or put options on securities, financial indices, futures, swaps, and foreign currencies. When each Portfolio buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When each Portfolio writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by each Portfolio on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether each Portfolio has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by each Portfolio. Each Portfolio, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, each Portfolio is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
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Notes to financial statements
Macquarie Institutional Portfolios
6. Derivatives (continued)
Macquarie Core Plus Bond Portfolio used option contracts in order to manage the Portfolio’s exposure to changes in securities prices caused by interest rates or market conditions and to manage the Portfolio’s exposure to changes in foreign currencies.
Swap Contracts— Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio may enter into CDS contracts in accordance with their investment objectives. Macquarie Core Plus Bond Portfolio may enter into interest rate swap contracts in accordance with its investment objective. The Portfolio may use interest rate swaps to adjust the Portfolio’s sensitivity to interest rates or to hedge against changes in interest rates. The Portfolios may enter into CDS contracts in order to hedge against a credit event, to enhance total return, or to gain exposure to certain securities or markets. The Portfolios will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at leastBBB- by Standard & Poor’s Financial Services LLC (S&P) or Baa3 by Moody’s Investors Service, Inc. (Moody’s) or is determined to be of equivalent quality by DMC.
Interest Rate Swaps.An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by the Portfolio from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Portfolio receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Portfolio’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. The Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by (1) for bilateral swap contracts, having netting arrangements between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty or (2) for cleared swaps, trading these instruments through a central counterparty.
Credit Default Swaps.A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by a Portfolio in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended April 30, 2019, certain of the Portfolios entered into CDS contracts as purchasers and sellers of protection. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for centrally cleared CDS basket trades as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedules of investments,” at April 30, 2019, the notional value of the protection sold was USD 890,000, which reflects the maximum potential amount Macquarie Core Plus Bond Portfolio would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement had been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At April 30, 2019, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Portfolio or other third parties which the Portfolio can obtain upon occurrence of a credit event. At April 30, 2019, net unrealized appreciation of the protection sold was $7,575.
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CDS contracts may involve greater risks than if a Portfolio had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. Each Portfolio’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having netting arrangements between each Portfolio and the counterparty and by the posting of collateral by the counterparty to each Portfolio to cover the Portfolios’ exposure to the counterparty or (2) for cleared swaps, trading these instruments through a central counterparty.
Macquarie Core Plus Bond Portfolio used CDS contracts in order to hedge against credit events and to gain exposure to certain securities or markets.
Swaps Generally.For centrally cleared swaps, payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded by the Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The value of open swaps may differ from that which would be realized in the event a Portfolio terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument, or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedules of investments.”
At April 30, 2019, Macquarie Core Plus Bond Portfolio posted $110,000 cash collateral for credit default swap contracts, which are included in “Cash collateral due from brokers” on the “Statements of assets and liabilities.”
Fair values of derivative instruments as of April 30, 2019 were as follows:
Macquarie Core Plus Bond Portfolio Asset Derivatives Fair Value | |||||||||||||||
Statements of Assets and Liabilities Location | Interest rate Contracts | Credit Contracts | Total | ||||||||||||
Variation margin due to brokers on futures contracts* | $ | 335,547 | $ | — | $ | 335,547 | |||||||||
Unrealized appreciation on credit default swap contracts | — | 7,575 | 7,575 | ||||||||||||
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Total | $ | 335,547 | $ | 7,575 | $ | 343,122 | |||||||||
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Statements of Assets and Liabilities Location | Liability Derivatives Fair Value Currency Contracts | ||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | $ | 10,719 | |||||||||||||
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Total | $ | 10,719 | |||||||||||||
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* | Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through April 30, 2019. Only current day variation margin is reported on the “Statements of assets and liabilities.” |
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Notes to financial statements
Macquarie Institutional Portfolios
6. Derivatives (continued)
The effect of derivative instruments on the “Statements of operations” for the six months ended April 30, 2019 was as follows:
Macquarie Core Plus Bond Portfolio Net Realized Gain (Loss) on: | |||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Swap Contracts | Total | |||||||||||||||||||||
Forward currency exchange contracts | $ | (19,423 | ) | $ | — | — | $ | — | $ | (19,423 | ) | ||||||||||||||
Equity contracts | — | (91,574 | ) | (6,531 | ) | — | (98,105 | ) | |||||||||||||||||
Interest rate contracts | — | 1,925,366 | — | — | 1,925,366 | ||||||||||||||||||||
Credit contracts | — | — | — | 102,889 | 102,889 | ||||||||||||||||||||
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Total | $ | (19,423 | ) | $ | 1,833,792 | $ | (6,531 | ) | $ | 102,889 | $ | 1,910,727 | |||||||||||||
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Macquarie Core Plus Bond Portfolio Net Change in Unrealized Appreciation (Depreciation) of: | |||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swaps Contracts | Total | ||||||||||||||||||||||
Forward currency exchange contracts | $ | (8,236 | ) | $ | — | $ | — | $ | (8,236 | ) | |||||||||||||||
Equity contracts | — | (46,394 | ) | — | (46,394 | ) | |||||||||||||||||||
Interest rate contracts | — | �� | 182,605 | — | 182,605 | ||||||||||||||||||||
Credit contracts | — | — | 17,294 | 17,294 | |||||||||||||||||||||
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Total | $ | (8,236 | ) | $ | 136,211 | $ | 17,294 | $ | 145,269 | ||||||||||||||||
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At April 30, 2019, Macquarie Emerging Markets Portfolio, Macquarie Emerging Markets Portfolio II, and Macquarie Labor Select International Equity Portfolio had foreign currency risk, which is disclosed on the “Statements of assets and liabilities” and/or “Statements of operations.”
Derivatives Generally.The tables below summarize the average balance of derivative holdings by each Portfolio during the six months ended April 30, 2019.
Macquarie Core Plus Bond Portfolio | ||||||||||||||||
Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 1,537,406 | USD | 145,444 | ||||||||||||
Futures contracts (average notional value) | 37,429,615 | 1,182,139 | ||||||||||||||
Options contracts (average notional value) | 7,116 | — | ||||||||||||||
CDS contracts (average notional value)* | 168,902 | 1,238,346 | ||||||||||||||
Macquarie Emerging Markets Portfolio | ||||||||||||||||
Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 23,288 | USD | 28,739 | ||||||||||||
Macquarie Emerging Markets Portfolio II |
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Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 6,765 | USD | 953 | ||||||||||||
Macquarie Labor Select International Equity Portfolio |
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Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 239,894 | USD | 8,585 |
* | Long represents buying protection and short represents selling protection. |
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7. Offsetting
Each Portfolio entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of their derivative contract counterparties in order to better define its contractual rights and to secure rights that will help each Portfolio mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between each Portfolio and a counterparty that governs certainover-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default(close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statements of assets and liabilities.”
At April 30, 2019, the Portfolios had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Macquarie Core Plus Bond Portfolio | |||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Citibank | $ | — | $ | (10,719 | ) | $ | (10,719 | ) | |||||||
Morgan Stanley Capital | 7,575 | — | 7,575 | ||||||||||||
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Total | $ | 7,575 | $ | (10,719 | ) | $ | (3,144 | ) | |||||||
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Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||||||||||||||||||||
Citibank | $ | (10,719 | ) | — | $ | — | $ | — | $ | — | $ | (10,719 | ) | |||||||||||||||||
Morgan Stanley Capital | 7,575 | — | — | — | — | 7,575 | ||||||||||||||||||||||||
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Total | $ | (3,144 | ) | $ | — | $ | — | $ | — | $ | — | $ | (3,144 | ) | ||||||||||||||||
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Macquarie Emerging Markets Portfolio | |||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
BNY Mellon | $ | 460 | $ | (580 | ) | $ | (120 | ) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||||||||||||||||||||
BNY Mellon | $ | (120 | ) | $ | — | $ | — | $ | — | $ | — | $ | (120 | ) |
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Notes to financial statements
Macquarie Institutional Portfolios
7. Offsetting (continued)
Macquarie Labor Select International Equity Portfolio | ||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||||
BNY Mellon | $3,023 | $(26) | $2,997 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||||||||||||||||||||
BNY Mellon | $ | 2,997 | $ | — | $ | — | $ | — | $ | — | $ | 2,997 |
8. Securities Lending
Each Portfolio may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned securities is determined by the security lending agent.
Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a Portfolio. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities or establishments; obligations of supranational organizations, commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits and other bank obligations; and asset-backed securities. A Portfolio can also accept US government securities and letters of credit(non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. Each Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized bynon-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Portfolio’s cash collateral account may be less than the amount the Portfolio would be required to return to the borrowers of the securities and the Portfolio would be required to make up for this shortfall.
During the six months ended April 30, 2019, none of the Portfolios had securities out on loan.
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9. Credit and Market Risk
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
Some countries in which Macquarie Emerging Markets, Macquarie Emerging Markets II, and Macquarie Labor Select International Equity Portfolios invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by each Portfolio may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by each Portfolio.
Macquarie Core Plus Bond Portfolio invests a portion of its assets in high yield fixed income securities which are securities rated BB or lower by S&P and Ba or lower by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Macquarie High Yield Bond Portfolio invests a portion of its assets in high yield fixed income securities which are securities rated lower thanBBB- by S&P and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio invest in bank loans and other securities that may subject them to direct indebtedness risk, the risk that each Portfolio will not receive payment of principal, interest and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer each Portfolio more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by each Portfolio may involve revolving credit facilities or other standby financing commitments that obligate each Portfolio to pay additional cash on a certain date or on demand. These commitments may require each Portfolio to increase its investment in a company at a time when each Portfolio might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that each Portfolio is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
As each Portfolio may be required to rely upon another lending institution to collect and pass on to each Portfolio amounts payable with respect to the loan and to enforce each Portfolio’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent each Portfolio from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to each Portfolio.
Macquarie Core Plus Bond Portfolio invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Portfolio’s yield to maturity. If the underlying mortgage assets experience greater than anticipated
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Notes to financial statements
Macquarie Institutional Portfolios
9. Credit and Market Risk (continued)
prepayments of principal, the Portfolio may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio invest in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. Each Portfolio will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Because Macquarie Large Cap Value Portfolio expects to hold a concentrated portfolio of a limited number of securities, the Portfolio’s risk is increased because each investment has a greater effect on the Portfolio’s overall performance.
Each Portfolio may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities, which may not be readily marketable. The relative illiquidity of these securities may impair each Portfolio from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Portfolios’ Board has delegated to DMC, theday-to-day functions of determining whether individual securities are liquid for purposes of each Portfolio’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Portfolios’ limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedules of investments.” Restricted securities are valued pursuant to the security valuation procedures described in Note 1.
10. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio’s existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In March 2017, the FASB issued an Accounting Standards Update (ASU), ASU2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20), Premium Amortization on Purchased Callable Debt Securities which amends the amortization period for certain callable debt securities purchased at a premium, shortening such period to the earliest call date. The ASU2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued an ASU2018-13, which changes certain fair value measurement disclosure requirements. The ASU2018-13, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. The ASU2018-13 is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2019. At this time, management is evaluating the implications of these changes on the financial statements.
12. General Motors Term Loan Litigation
Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio received notice of a litigation proceeding related to a General Motors Corporation (G.M.) term loan participation previously held by the Portfolios in 2009. Because it was believed that the Portfolios were secured creditors, the Portfolios received the full principal on the loans in 2009 after the G.M. bankruptcy. However, based upon a US Court of Appeals ruling, the Motors Liquidation Company Avoidance Action Trust is seeking to recover such amounts arguing that the Portfolios are unsecured creditors and, as unsecured creditors, the Portfolios should not have received payment in full. Based upon available information related to the litigation and the Portfolios potential exposure, the Portfolios recorded a contingent liability of $75,182 and $48,975, respectively, and an asset of $250,607 and $163,250, respectively, based on the potential recoveries by the estate that resulted in a net decrease in the Portfolios’ NAV to reflect this potential recovery.
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13. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to April 30, 2019, that would require recognition or disclosure in each Portfolio’s financial statements.
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(Unaudited)
Macquarie Institutional Portfolios
Board consideration ofsub-advisory agreements for Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio at a meeting held November14-15, 2018
At a meeting held on Nov.14-15, 2018, the Board of Trustees of Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio (each, a “Portfolio” and together, the “Portfolios”), including a majority ofnon-interested or independent Trustees (the “Independent Trustees”), approved a newSub-Advisory Agreement between Delaware Management Company (“DMC” or “Management”) and Macquarie Investment Management Austria Kapitalanlage AG (“MIMAK”) for each Portfolio. MIMAK may also be referenced as“sub-advisor” below.
In reaching the decision to approve theSub-Advisory Agreements, the Board considered and reviewed information about MIMAK, including its personnel, operations, and financial condition, which had been provided by MIMAK. The Board also reviewed material furnished by DMC, including: a memorandum from DMC reviewing theSub-Advisory Agreements and the various services proposed to be rendered by MIMAK; information concerning MIMAK’s organizational structure and the experience of its key investment management personnel; copies of MIMAK’s Form ADV, financial statements, compliance policies and procedures, and Codes of Ethics; relevant performance information provided with respect to MIMAK; and a copy of eachSub-Advisory Agreement.
In considering such information and materials, the Independent Trustees received assistance and advice from and met separately with independent counsel. The materials prepared by Management in connection with the approval of theSub-Advisory Agreements were sent to the Independent Trustees in advance of the meeting. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, extent, and quality of services.The Board considered the nature, extent, and quality of services that MIMAK would provide as asub-advisor to the Portfolios. The Trustees considered the type of services to be provided by MIMAK in connection with DMC’s management of the Portfolios, and the qualifications and experience of MIMAK’s research team. The Board considered MIMAK’s organization, personnel, and operations. The Trustees also considered Management’s review and recommendation process with respect to MIMAK, and Management’s favorable assessment as to the nature, extent, and quality of the research services expected to be provided by MIMAK to DMC. Based on its consideration and review of the foregoing factors, the Board concluded that the nature, extent, and quality of the research services to be provided by MIMAK, as well as MIMAK’s ability to render such services based on its experience, organization and resources, were appropriate for the Portfolios, in light of each Portfolio’s investment objective, strategies, and policies.
In discussing the nature of the services proposed to be provided by MIMAK, several Board members observed that, unlike traditionalsub-advisors, who make the investment-related decisions with respect to thesub-advised portfolio, the relationship contemplated in this case is limited to access to MIMAK’son-the-ground research expertise, perspective, and resources.
Sub-advisory fees.The Board considered that DMC would not pay MIMAK fees in connection with MIMAK’s services. The Board concluded that, in light of the quality and extent of the services to be provided and the nature of the business relationships between DMC and MIMAK, the proposed fee arrangement was understandable and reasonable.
Investment performance.In evaluating performance, the Board considered that MIMAK would provide investment recommendations and ideas, including with respect to specific securities, but that DMC’s portfolio managers for each Portfolio would retain portfolio management discretion over the Portfolio.
Economies of scale andfall-out benefits.The Board considered whether the proposed fee arrangement would reflect economies of scale for the benefit of Portfolio investors as assets in each Portfolio increased, as applicable. The Board also considered that DMC and its affiliates may benefit by leveraging the global resources of its affiliates.
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Board consideration ofsub-advisory agreements for Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio at a meeting held February27-28, 2019
At a meeting held on Feb.27-28, 2019, the Board of Trustees of Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio, including a majority ofnon-interested or independent Trustees (the “Independent Trustees”), approved a newSub-Advisory Agreement between Delaware Management Company (“DMC” or “Management”) and each of Macquarie Investment Management Europe Limited (“MIMEL”), Macquarie Investment Management Austria Kapitalanlage (“MIMAK”), and Macquarie Investment Management Global Limited (“MIMGL”) for each Portfolio. MIMEL, MIMAK and MIMGL may also be referenced as a“Sub-Advisor” or“Sub-Advisor(s)” below. EachSub-Advisor is an affiliate of DMC.
In reaching the decision to approve theSub-Advisory Agreements, the Board considered and reviewed information about each of MIMEL, MIMAK and MIMGL, including its personnel, operations and financial condition, which had been provided by MIMEL, MIMAK and MIMGL, respectively. The Board also reviewed material furnished by DMC in advance of the meeting, including: a memorandum from DMC reviewing theSub-Advisory Agreements and the various services proposed to be rendered by MIMEL, MIMAK and MIMGL; information concerning MIMEL’s, MIMAK’s and MIMGL’s organizational structure and the experience of their key investment management personnel; copies of MIMEL’s, MIMAK’s and MIMGL’s Form ADV, financial statements, compliance policies and procedures, and Codes of Ethics; relevant performance information provided with respect to MIMEL, MIMAK and MIMGL; and a copy of theSub-Advisory Agreements.
In considering such information and materials, the Independent Trustees received assistance and advice from and met separately with their independent counsel. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision to approve theSub-Advisory Agreements. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, extent, and quality of services.In considering the nature, extent, and quality of the services to be provided by theSub-Advisors, the Board reviewed the services to be provided by eachSub-Advisor pursuant to eachSub-Advisory Agreement and as described at the meeting. The Board reviewed materials provided by theSub-Advisors regarding the experience and qualifications of the personnel who will be responsible for providing services to the Portfolios. The Board also considered relevant performance information provided with respect to eachSub-Advisor. In discussing the nature of the services proposed to be provided by theSub-Advisors, it was observed that, unlike traditionalsub-advisors who make all of the investment related decisions with respect to asub-advised portfolio, the relationship between DMC (the Portfolios’ investment manager) and theSub-Advisors as currently contemplated is primarily more of a collaborative effort between DMC and theSub-Advisors and a cross pollination of investment ideas. The Board further noted the stated intention under the newSub-Advisory Agreements that DMC would have the sole discretion to delegate portions of the implementation of each Portfolio’s strategy to theSub-Advisors who would be permitted to execute Portfolio trades and exercise investment discretion pursuant to that delegation and subject to DMC oversight. However, DMC and each Portfolio’s named portfolio managers will continue to retain principal responsibility for the Portfolio’s strategy and investment process and be primarily responsible for theday-to-day management of the Portfolio’s portfolio. Based upon these considerations, the Board was satisfied with the nature and quality of the overall services to be provided by theSub-Advisors to each Portfolio and its shareholders and was confident in the abilities of theSub-Advisors to provide quality services to each Portfolio and its shareholders.
Investment performance.In regards to the appointment of theSub-Advisors for the Portfolios, the Board reviewed information on prior performance for theSub-Advisors. In evaluating performance, the Board considered that theSub-Advisors would provide investment advice and recommendations, including with respect to specific securities, but that DMC’s portfolio managers for each Portfolio would retain principal responsibility for the Portfolio’s strategy as described above. In addition, the Board considered that theSub-Advisors would also execute Portfolio security trades on behalf of DMC and be permitted by DMC to exercise investment discretion for securities in certain markets where DMC wanted to utilize aSub-Advisor’s specialized market knowledge.
Sub-advisory fees.The Board considered that DMC would pay theSub-Advisors asub-advisory fee based on the extent to which aSub-Advisor provides services to each Portfolio as described in theSub-Advisory Agreements. In considering the appropriateness of thesub-advisory fees, the Board also reviewed and considered the fees in light of the nature, extent and quality of thesub-advisory services to be provided by eachSub-Advisor, as more fully discussed above. The Board noted that thesub-advisory fees are paid by DMC to eachSub-Advisor and are not additional fees borne by the Portfolios, and that the management fee paid by each Portfolio to DMC would stay the same at current asset levels. The Board was provided with information showing an estimate of thesub-advisory fees to be paid to eachSub-Advisor based on a
(continues) 87
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Other Portfolio information
(Unaudited)
Macquarie Institutional Portfolios
Board consideration ofsub-advisory agreements for Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio at a meeting held February27-28, 2019 (continued)
projection ofSub-Advisor allocations given certain historical investment trends, as well as information regarding the expected impact thesub-advisory arrangements would have on the profitability of DMC. The Board also noted that, given the collaborative nature of the services to be provided by theSub-Advisors to each Portfolio, there were no comparable accounts and corresponding fees to which theSub-Advisors were able to compare this arrangement. The Board concluded that, in light of the quality and extent of the services to be provided and the business relationships between DMC and theSub-Advisors, the proposed fee arrangement was understandable and reasonable.
Profitability, economies of scale, and fall out benefits.Information about eachSub-Advisor’s profitability from its relationship with the Portfolios was not available because it had not begun to provide services to the Portfolios. With regard to potentialfall-out benefits derived or to be derived by theSub-Advisors and their affiliates in connection with their relationship to the Portfolios, the Board considered the potential benefit to DMC and theSub-Advisors of marketing a global approach on the portfolio management of their fixed income investment strategies. The Trustees also noted that economies of scale are shared with each Portfolio and its shareholders through investment management fee breakpoints in DMC’s fee schedule for the Portfolio so that as the Portfolio grows in size, its effective investment management fee rate declines.
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Portfolio managers
Kristen E. Bartholdson Vice President, Senior Portfolio Manager
Nigel Bliss Senior Portfolio Manager Mondrian Investment Partners Limited
Adam H. Brown Senior Vice President, Co-Head of High Yield, Senior Portfolio Manager
Liu-Er Chen Senior Vice President, Chief Investment Officer — Emerging Markets and Healthcare
Ginny Chong Senior Portfolio Manager Mondrian Investment Partners Limited
Craig C. Dembek Executive Director, Global Head of Credit Research
Elizabeth A. Desmond Deputy Chief Executive Officer, Chief Investment Officer — International Equities Mondrian Investment Partners Limited
Roger A. Early Executive Director, Chief Investment Officer of US Fixed Income
Gregory J.P. Halton Senior Portfolio Manager Mondrian Investment Partners Limited | J. David Hillmeyer Executive Director, Head of Multisector/Global Fixed Income
Nikhil G. Lalvani Vice President, Senior Portfolio Manager, Team Leader — Large-Cap Value Equity
Daniela Mardarovici Division Director, Co-Head of Multisector/Core Plus Fixed Income
Paul A. Matlack Senior Vice President, Senior Portfolio Manager, Fixed Income Strategist
John P. McCarthy Senior Vice President, Co-Head of High Yield, Senior Portfolio Manager
Zsolt Mester Portfolio Manager — Mondrian Investment Partners Limited
Andrew Miller Chief Investment Officer — Emerging Market Equities Mondrian Investment Partners Limited
D. Tysen Nutt Jr. Senior Vice President, Senior Portfolio Manager
Robert A. Vogel Jr. Vice President, Senior Portfolio Manager | |
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Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-0001
Independent registered public accounting firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Investment advisor
Delaware Management Company, a series of Macquarie Investment Management Business Trust
2005 Market Street
Philadelphia, PA 19103-7094
Investmentsub-advisor for certain Portfolios
Mondrian Investment Partners Limited
Fifth Floor
10 Gresham Street
London EC2V 7JD
United Kingdom
Macquarie Institutional Portfolios are designed exclusively for institutional investors and high net worth individuals. The Portfolios are distributed byDelaware Distributors, L.P.(DDLP), an affiliate of Macquarie Investment Management Business Trust (MIMBT), Macquarie Management Holdings, Inc., and Macquarie Group Limited. Macquarie Investment Management (MIM) is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited and its subsidiaries and affiliates worldwide. Institutional investment management is provided by Macquarie Investment Management Advisers (MIMA), a series of MIMBT. MIMBT is a US registered investment advisor, and may not be able to provide investment advisory services to certain clients in certain jurisdictions.
Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on FormN-Q or FormN-PORT (available for filings after March 31, 2019). Each Portfolio’s FormsN-Q or FormsN-PORT, as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies (if any) relating to portfolio securities or FormsN-PORT are available without charge (i) upon request, by calling 800231-8002; (ii) on the Portfolios’ website at macquarie.com/investment-management/institutional; and (iii) on the SEC’s website at sec.gov. Each Portfolio’s FormsN-Q and FormsN-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800SEC-0330.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed12-month period ended June 30 is available without charge (i) through the Portfolios’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
This report was prepared for investors in the Macquarie Institutional Portfolios. It may be distributed to others only if preceded or accompanied by a current Macquarie Institutional Portfolios prospectus, which contains details about charges, expenses, investment objectives, and operating policies of the Portfolios. All Macquarie Institutional Portfolios are offered by prospectus only. The return and principal value of an investment in a Portfolio will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Carefully consider the Portfolios’ investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Portfolios’ prospectus, which may be obtained by visiting macquarie.com/investment-management/institutional or calling 800231-8002. Investors should read the prospectus carefully before investing.
2005 Market Street Telephone 800231-8002 | ||||
Fax 215255-1162 | ||||
(859613) | Printed in the USA | |||
SA-DPT22222 [6/19] |
Table of Contents
Alternative / specialty mutual fund
Delaware REIT Fund
April 30, 2019
Beginning on or about June 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your Fund’s shareholder reports will no longer be sent to you by mail, unless you specifically request them from the Fund or from your financial intermediary, such as a broker/dealer, bank, or insurance company. Instead, you will be notified by mail each time a report is posted on the website and provided with a link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you do not need to take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by signing up at delawarefunds.com/edelivery. If you own these shares through a financial intermediary, you may contact your financial intermediary.
You may elect to receive paper copies of all future shareholder reports free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by contacting us at 800523-1918. If you own these shares through a financial intermediary, you may contact your financial intermediary to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with the Delaware Funds® by Macquarie or your financial intermediary.
Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and its summary prospectus, which may be obtained by visiting delawarefunds.com/literature or calling800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail. Visit delawarefunds.com/edelivery.
|
Table of Contents
Experience Delaware Funds®by Macquarie
Macquarie Investment Management (MIM) is a global asset manager with offices throughout the United States, Europe, Asia, and Australia. We are active managers who prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for our clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 75 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus for Delaware REIT Fund at delawarefunds.com/literature.
Manage your account online
· | Check your account balance and transactions |
· | View statements and tax forms |
· | Make purchases and redemptions |
Visit delawarefunds.com/account-access.
Macquarie Asset Management (MAM) offers a diverse range of products including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. MIM is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, Macquarie Capital Investment Management LLC, and Macquarie Investment Management Europe S.A.
The Fund is distributed byDelaware Distributors, L.P.(DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Fund is governed by US laws and regulations.
1 | ||||
Security type / sector allocation and top 10 equity holdings | 3 | |||
4 | ||||
7 | ||||
9 | ||||
10 | ||||
12 | ||||
22 | ||||
32 |
Unless otherwise noted, views expressed herein are current as of April 30, 2019, and subject to change for events occurring after such date.
The Fund is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
© 2019 Macquarie Management Holdings, Inc.
Table of Contents
For thesix-month period from November 1, 2018 to April 30, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service(12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entiresix-month period from Nov. 1, 2018 to April 30, 2019.
Actual expenses
The first section of the table shown, “Actual Fund return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The Fund’s expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
1
Table of Contents
Disclosure of Fund expenses
For thesix-month period from November 1, 2018 to April 30, 2019 (Unaudited)
Delaware REIT Fund
Expense analysis of an investment of $1,000
Beginning
Account Value
11/1/18 | Ending
Account Value
4/30/19 | Annualized
Expense Ratio | Expenses
Paid During Period
11/1/18 to 4/30/19* | |||||||||||||||||
Actual Fund return† | ||||||||||||||||||||
Class A | $ | 1,000.00 | $1,090.10 | 1.36 | % | $7.05 | ||||||||||||||
Class C | 1,000.00 | 1,086.70 | 2.11 | % | 10.92 | |||||||||||||||
Class R | 1,000.00 | 1,089.10 | 1.61 | % | 8.34 | |||||||||||||||
Institutional Class | 1,000.00 | 1,092.80 | 1.11 | % | 5.76 | |||||||||||||||
Class R6 | 1,000.00 | 1,092.50 | 1.00 | % | 5.19 | |||||||||||||||
Hypothetical 5% return(5% return before expenses) | ||||||||||||||||||||
Class A | $ | 1,000.00 | $1,018.05 | 1.36 | % | $6.80 | ||||||||||||||
Class C | 1,000.00 | 1,014.33 | 2.11 | % | 10.54 | |||||||||||||||
Class R | 1,000.00 | 1,016.81 | 1.61 | % | 8.05 | |||||||||||||||
Institutional Class | 1,000.00 | 1,019.29 | 1.11 | % | 5.56 | |||||||||||||||
Class R6 | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect theone-half year period). |
† | Because actual returns reflect only the most recentsix-month period, the returns shown may differ significantly from fiscal year returns. |
2
Table of Contents
Security type / sector allocation and top 10
equity holdings
Delaware REIT Fund | As of April 30, 2019 (Unaudited) |
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager’s internal sector classifications.
Security type / sector
| Percentage of net assets
| |||
Common Stocks | 99.02 | % | ||
Diversified REITs | 2.36 | % | ||
Healthcare REITs | 13.07 | % | ||
Hotel REITs | 5.35 | % | ||
Industrial REITs | 10.90 | % | ||
Information Technology REITs | 7.37 | % | ||
Mall REIT | 5.50 | % | ||
Manufactured Housing REITs | 5.13 | % | ||
Mixed REIT | 1.21 | % | ||
Multifamily REITs | 20.78 | % | ||
Office REITs | 8.75 | % | ||
Self-Storage REITs | 4.70 | % | ||
Shopping Center REITs | 4.39 | % | ||
Single Tenant REITs | 4.49 | % | ||
Specialty REITs
|
| 5.02
| %
| |
Short-Term Investments | 0.95 | % | ||
Total Value of Securities | 99.97 | % | ||
Receivables and Other Assets Net of Liabilities | 0.03 | % | ||
Total Net Assets | 100.00 | % | ||
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
|
| |||
Top 10 equity holdings
| Percentage of net assets
| |||
Prologis | 7.30 | % | ||
Simon Property Group | 5.49 | % | ||
Welltower | 5.07 | % | ||
Equity Residential | 4.88 | % | ||
Brookdale Senior Living | 4.68 | % | ||
AvalonBay Communities | 4.66 | % | ||
Equinix | 4.48 | % | ||
Camden Property Trust | 3.65 | % | ||
UDR | 3.36 | % | ||
Boston Properties
|
| 3.25
| %
|
3
Table of Contents
Delaware REIT Fund | April 30, 2019 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stock – 99.02% | ||||||||
Diversified REITs – 2.36% | ||||||||
Cousins Properties | 104,400 | $ | 999,108 | |||||
Vornado Realty Trust | 11,532 | 797,323 | ||||||
|
| |||||||
1,796,431 | ||||||||
|
| |||||||
Healthcare REITs – 13.07% | ||||||||
Brookdale Senior Living † | 575,870 | 3,558,877 | ||||||
HCP | 72,100 | 2,147,138 | ||||||
Omega Healthcare Investors | 10,800 | 382,212 | ||||||
Welltower | 51,700 | 3,853,201 | ||||||
|
| |||||||
9,941,428 | ||||||||
|
| |||||||
Hotel REITs – 5.35% | ||||||||
Host Hotels & Resorts | 61,464 | 1,182,567 | ||||||
MGM Growth Properties Class A | 23,300 | 751,658 | ||||||
Park Hotels & Resorts | 48,000 | 1,539,840 | ||||||
RLJ Lodging Trust | 32,300 | 594,643 | ||||||
|
| |||||||
4,068,708 | ||||||||
|
| |||||||
Industrial REITs – 10.90% | ||||||||
Duke Realty | 40,300 | 1,254,136 | ||||||
Prologis | 72,441 | 5,554,052 | ||||||
Rexford Industrial Realty | 39,100 | 1,481,499 | ||||||
|
| |||||||
8,289,687 | ||||||||
|
| |||||||
Information Technology REITs – 7.37% | ||||||||
American Tower | 4,100 | 800,730 | ||||||
Digital Realty Trust | 7,000 | 823,970 | ||||||
Equinix | 7,500 | 3,410,250 | ||||||
SBA Communications † | 2,800 | 570,444 | ||||||
|
| |||||||
5,605,394 | ||||||||
|
| |||||||
Mall REIT – 5.50% | ||||||||
Simon Property Group | 24,058 | 4,178,875 | ||||||
|
| |||||||
4,178,875 | ||||||||
|
| |||||||
Manufactured Housing REITs – 5.13% | ||||||||
Equity LifeStyle Properties | 16,136 | 1,883,071 | ||||||
Sun Communities | 16,400 | 2,018,512 | ||||||
|
| |||||||
3,901,583 | ||||||||
|
|
4
Table of Contents
Number of shares | Value (US $) | |||||||
Common Stock (continued) | ||||||||
Mixed REIT – 1.21% | ||||||||
Liberty Property Trust | 18,500 | $ | 918,340 | |||||
|
| |||||||
918,340 | ||||||||
|
| |||||||
Multifamily REITs – 20.78% | ||||||||
Apartment Investment & Management Class A | 41,920 | 2,069,171 | ||||||
AvalonBay Communities | 17,651 | 3,546,615 | ||||||
Camden Property Trust | 27,600 | 2,777,940 | ||||||
Equity Residential | 48,523 | 3,708,128 | ||||||
Essex Property Trust | 4,059 | 1,146,668 | ||||||
UDR | 56,900 | 2,557,655 | ||||||
|
| |||||||
15,806,177 | ||||||||
|
| |||||||
Office REITs – 8.75% | ||||||||
Boston Properties | 17,974 | 2,473,582 | ||||||
Columbia Property Trust | 30,200 | 685,842 | ||||||
Hudson Pacific Properties | 32,300 | 1,125,978 | ||||||
Kilroy Realty | 16,800 | 1,292,088 | ||||||
VEREIT | 130,800 | 1,080,408 | ||||||
|
| |||||||
6,657,898 | ||||||||
|
| |||||||
Self-Storage REITs – 4.70% | ||||||||
CubeSmart | 39,500 | 1,260,445 | ||||||
Extra Space Storage | 14,400 | 1,493,136 | ||||||
Public Storage | 3,702 | 818,808 | ||||||
|
| |||||||
3,572,389 | ||||||||
|
| |||||||
Shopping Center REITs – 4.39% | ||||||||
Kimco Realty | 50,000 | 869,500 | ||||||
Regency Centers | 23,525 | 1,580,174 | ||||||
Retail Properties of America Class A | 12,500 | 153,625 | ||||||
SITE Centers | 55,500 | 734,820 | ||||||
|
| |||||||
3,338,119 | ||||||||
|
| |||||||
Single Tenant REITs – 4.49% | ||||||||
National Retail Properties | 21,293 | 1,120,438 | ||||||
STORE Capital | 68,900 | 2,295,748 | ||||||
|
| |||||||
3,416,186 | ||||||||
|
| |||||||
Specialty REITs – 5.02% | ||||||||
Cushman & Wakefield † | 78,600 | 1,543,704 | ||||||
EPR Properties | 9,300 | 733,398 | ||||||
Invitation Homes | 62,100 | 1,543,806 | ||||||
|
| |||||||
3,820,908 | ||||||||
|
| |||||||
Total Common Stock(cost $69,639,892) | 75,312,123 | |||||||
|
|
5
Table of Contents
Schedule of investments
Delaware REIT Fund
Number of shares | Value (US $) | |||||||
Short-Term Investments – 0.95% | ||||||||
Money Market Mutual Funds – 0.95% | ||||||||
BlackRock FedFund - Institutional Shares | 145,114 | $ | 145,114 | |||||
Fidelity Investments Money Market Government Portfolio - Class I | 145,114 | 145,114 | ||||||
GS Financial Square Government Fund - Institutional Shares | 145,114 | 145,114 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class | 145,114 | 145,114 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class(seven-day effective yield 2.29%) | 145,114 | 145,114 | ||||||
|
| |||||||
725,570 | ||||||||
|
| |||||||
Total Short-Term Investments(cost $725,570) | 725,570 | |||||||
|
| |||||||
Total Value of Securities – 99.97% | $ | 76,037,693 | ||||||
|
|
† | Non-income producing security. |
Summary of abbreviations:
REIT – Real Estate Investment Trust
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
6
Table of Contents
Statement of assets and liabilities
Delaware REIT Fund | April 30, 2019 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 76,037,693 | ||
Cash | 1,763 | |||
Receivable for securities sold | 647,914 | |||
Receivable for fund shares sold | 107,519 | |||
Dividends and interest receivable | 21,308 | |||
|
| |||
Total assets | 76,816,197 | |||
|
| |||
Liabilities: | ||||
Payable for fund shares redeemed | 352,776 | |||
Payable for securities purchased | 291,110 | |||
Investment management fees payable to affiliates | 41,096 | |||
Other accrued expenses | 33,783 | |||
Audit and tax fees payable | 18,205 | |||
Distribution fees payable to affiliates | 16,019 | |||
Dividend disbursing and transfer agent fees and expense payable to affiliates | 624 | |||
Accounting and administration expenses payable to affiliates | 568 | |||
Legal fees payable to affiliates | 519 | |||
Trustees’ fees and expenses payable to affiliates | 260 | |||
Reports and statements to shareholders expenses payable to affiliates | 84 | |||
|
| |||
Total liabilities | 755,044 | |||
|
| |||
Total Net Assets | $ | 76,061,153 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 78,288,553 | ||
Total distributable earnings (loss) | (2,227,400 | ) | ||
|
| |||
Total Net Assets | $ | 76,061,153 | ||
|
|
7
Table of Contents
Statement of assets and liabilities
Delaware REIT Fund
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 49,395,416 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,209,505 | |||
Net asset value per share | $ | 11.73 | ||
Sales charge | 5.75 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 12.45 | ||
Class C: | ||||
Net assets | $ | 4,263,686 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 364,261 | |||
Net asset value per share | $ | 11.71 | ||
Class R: | ||||
Net assets | $ | 5,128,443 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 437,429 | |||
Net asset value per share | $ | 11.72 | ||
Institutional Class: | ||||
Net assets | $ | 12,222,482 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 1,036,985 | |||
Net asset value per share | $ | 11.79 | ||
Class R6: | ||||
Net assets | $ | 5,051,126 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 429,472 | |||
Net asset value per share | $ | 11.76 | ||
1Investments, at cost | $ | 70,365,462 |
See accompanying notes, which are an integral part of the financial statements.
8
Table of Contents
Delaware REIT Fund | Six months ended April 30, 2019 (Unaudited) |
Investment Income: | ||||
Dividends | $ | 1,492,308 | ||
Interest | 12,874 | |||
|
| |||
1,505,182 | ||||
|
| |||
Expenses: | ||||
Management fees | 287,473 | |||
Distribution expenses – Class A | 61,570 | |||
Distribution expenses – Class C | 22,651 | |||
Distribution expenses – Class R | 12,358 | |||
Dividend disbursing and transfer agent fees and expenses | 52,589 | |||
Registration fees | 36,070 | |||
Accounting and administration expenses | 27,130 | |||
Audit and tax fees | 18,205 | |||
Reports and statements to shareholders expenses | 16,377 | |||
Legal fees | 12,406 | |||
Custodian fees | 2,386 | |||
Trustees’ fees and expenses | 2,321 | |||
Other | 7,732 | |||
|
| |||
559,268 | ||||
Less expenses waived | (40,198 | ) | ||
Less expenses paid indirectly | (303 | ) | ||
|
| |||
Total operating expenses | 518,767 | |||
|
| |||
Net Investment Income | 986,415 | |||
|
| |||
Net Realized and Unrealized Gain: | ||||
Net realized gain on investments | 666,336 | |||
Net change in unrealized appreciation (depreciation) of investments | 5,045,813 | |||
|
| |||
Net Realized and Unrealized Gain | 5,712,149 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 6,698,564 | ||
|
|
See accompanying notes, which are an integral part of the financial statements.
9
Table of Contents
Statements of changes in net assets
Delaware REIT Fund
Six months ended 4/30/19 (Unaudited) | Year ended 10/31/18 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 986,415 | $ | 1,728,152 | ||||
Net realized gain (loss) | 666,336 | (4,660,347 | ) | |||||
Net change in unrealized appreciation (depreciation) | 5,045,813 | 1,414,177 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 6,698,564 | (1,518,018 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Distributable earnings: | ||||||||
Class A | (490,145 | ) | (2,288,726 | ) | ||||
Class C | (30,792 | ) | (318,021 | ) | ||||
Class R | (44,739 | ) | (250,113 | ) | ||||
Institutional Class | (143,004 | ) | (633,427 | ) | ||||
Class R6 | (55,867 | ) | (583,221 | ) | ||||
Return of capital: | ||||||||
Class A | — | (209,001 | ) | |||||
Class C | — | (19,894 | ) | |||||
Class R | — | (20,381 | ) | |||||
Institutional Class | — | (56,487 | ) | |||||
Class R6 | — | (20,089 | ) | |||||
|
|
|
| |||||
(764,547 | ) | (4,399,360 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 994,949 | 8,318,136 | ||||||
Class C | 201,251 | 428,695 | ||||||
Class R | 523,817 | 1,440,311 | ||||||
Institutional Class | 959,887 | 5,556,687 | ||||||
Class R6 | 75,811 | 1,279,655 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 475,195 | 2,442,673 | ||||||
Class C | 30,403 | 335,668 | ||||||
Class R | 44,739 | 270,493 | ||||||
Institutional Class | 141,031 | 674,532 | ||||||
Class R6 | 55,867 | 603,310 | ||||||
|
|
|
| |||||
3,502,950 | 21,350,160 | |||||||
|
|
|
|
10
Table of Contents
Six months 4/30/19 | Year ended 10/31/18 | |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (6,532,132 | ) | $ | (23,059,189 | ) | ||
Class C | (1,118,409 | ) | (8,777,823 | ) | ||||
Class R | (756,518 | ) | (4,346,949 | ) | ||||
Institutional Class | (3,618,413 | ) | (8,836,014 | ) | ||||
Class R6 | (338,328 | ) | (16,607,978 | ) | ||||
|
|
|
| |||||
(12,363,800 | ) | (61,627,953 | ) | |||||
|
|
|
| |||||
Decrease in net assets derived from capital share transactions | (8,860,850 | ) | (40,277,793 | ) | ||||
|
|
|
| |||||
Net Decrease in Net Assets | (2,926,833 | ) | (46,195,171 | ) | ||||
Net Assets: | ||||||||
Beginning of period | $ | 78,987,986 | $ | 125,183,157 | ||||
|
|
|
| |||||
End of period | $ | 76,061,153 | $ | 78,987,986 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
11
Table of Contents
Delaware REIT Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
12
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
$ |
10.87 |
|
$ |
11.36 |
|
$ |
14.28 |
|
$ |
15.54 |
|
$ |
15.61 |
|
$ |
13.87 |
| |||||||||||||
0.14 | 0.19 | 0.08 | 0.18 | 0.13 | 0.13 | |||||||||||||||||||||||||
0.83 | (0.21 | ) | 0.03 | 0.41 | 0.76 | 2.30 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| 0.97 | (0.02 | ) | 0.11 | 0.59 | 0.89 | 2.43 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.11 | ) | (0.16 | ) | (0.21 | ) | (0.24 | ) | (0.24 | ) | (0.25 | ) | |||||||||||||||||||
— | (0.05 | ) | — | — | — | — | ||||||||||||||||||||||||
— | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | (0.44 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.11 | ) | (0.47 | ) | (3.03 | ) | (1.85 | ) | (0.96 | ) | (0.69 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 11.73 | $ | 10.87 | $ | 11.36 | $ | 14.28 | $ | 15.54 | $ | 15.61 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
9.01% | (0.26% | ) | 0.90% | 4.24% | 5.70% | 18.53% | ||||||||||||||||||||||||
$49,395 | $50,627 | $65,824 | $86,129 | $90,899 | $98,986 | |||||||||||||||||||||||||
1.36% | 1.39% | 1.44% | 1.33% | 1.37% | 1.34% | |||||||||||||||||||||||||
1.46% | 1.41% | 1.44% | 1.33% | 1.37% | 1.34% | |||||||||||||||||||||||||
2.57% | 1.76% | 0.71% | 1.24% | 0.81% | 0.89% | |||||||||||||||||||||||||
2.47% | 1.74% | 0.71% | 1.24% | 0.81% | 0.89% | |||||||||||||||||||||||||
34% | 120% | 145% | 111% | 67% | 83% |
13
Table of Contents
Financial highlights
Delaware REIT Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return4 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income (loss) to average net assets |
Ratio of net investment income (loss) to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $(0.005) per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
14
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
$ |
10.85 |
|
$ |
11.31 |
|
$ |
14.24 |
|
$ |
15.50 |
|
$ |
15.59 |
|
$ |
13.86 |
| |||||||||||||
0.10 | 0.11 | — | 3 | 0.07 | 0.01 | 0.02 | ||||||||||||||||||||||||
0.84 | (0.21 | ) | 0.02 | 0.42 | 0.75 | 2.30 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
0.94 | (0.10 | ) | 0.02 | 0.49 | 0.76 | 2.32 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.08 | ) | (0.05 | ) | (0.13 | ) | (0.14 | ) | (0.13 | ) | (0.15 | ) | |||||||||||||||||||
— | (0.05 | ) | — | — | — | — | ||||||||||||||||||||||||
— | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | (0.44 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.08 | ) | (0.36 | ) | (2.95 | ) | (1.75 | ) | (0.85 | ) | (0.59 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 11.71 | $ | 10.85 | $ | 11.31 | $ | 14.24 | $ | 15.50 | $ | 15.59 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
8.67% | (0.99% | ) | 0.13% | 3.53% | 4.86% | 17.68% | ||||||||||||||||||||||||
$ | 4,264 | $ | 4,810 | $ | 13,331 | $ | 20,598 | $ | 22,085 | $ | 23,171 | |||||||||||||||||||
2.11% | 2.14% | 2.19% | 2.08% | 2.12% | 2.09% | |||||||||||||||||||||||||
2.21% | 2.16% | 2.19% | 2.08% | 2.12% | 2.09% | |||||||||||||||||||||||||
1.82% | 1.01% | (0.04% | ) | 0.49% | 0.06% | 0.14% | ||||||||||||||||||||||||
1.72% | 0.99% | (0.04% | ) | 0.49% | 0.06% | 0.14% | ||||||||||||||||||||||||
34% | 120% | 145% | 111% | 67% | 83% |
15
Table of Contents
Financial highlights
Delaware REIT Fund Class R
Selected data for each share of the Fund outstanding throughout each period were as follows:
|
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
16
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
$ |
10.86 |
|
$ |
11.35 |
|
$ |
14.27 |
|
$ |
15.53 |
|
$ |
15.61 |
|
$ |
13.87 |
| |||||||||||||
0.13 | 0.17 | 0.05 | 0.15 | 0.09 | 0.09 | |||||||||||||||||||||||||
0.83 | (0.22 | ) | 0.04 | 0.41 | 0.75 | 2.31 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| 0.96 | (0.05 | ) | 0.09 | 0.56 | 0.84 | 2.40 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.10 | ) | (0.13 | ) | (0.19 | ) | (0.21 | ) | (0.20 | ) | (0.22 | ) | |||||||||||||||||||
— | (0.05 | ) | — | — | — | — | ||||||||||||||||||||||||
— | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | (0.44 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.10 | ) | (0.44 | ) | (3.01 | ) | (1.82 | ) | (0.92 | ) | (0.66 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 11.72 | $ | 10.86 | $ | 11.35 | $ | 14.27 | $ | 15.53 | $ | 15.61 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
8.91% | (0.54% | ) | 0.66% | 4.00% | 5.40% | 18.24% | ||||||||||||||||||||||||
$ | 5,128 | $ | 4,934 | $ | 7,885 | $ | 12,573 | $ | 12,025 | $ | 12,614 | |||||||||||||||||||
1.61% | 1.64% | 1.69% | 1.58% | 1.62% | 1.59% | |||||||||||||||||||||||||
1.71% | 1.66% | 1.69% | 1.58% | 1.62% | 1.59% | |||||||||||||||||||||||||
2.32% | 1.51% | 0.46% | 0.99% | 0.56% | 0.64% | |||||||||||||||||||||||||
2.22% | 1.49% | 0.46% | 0.99% | 0.56% | 0.64% | |||||||||||||||||||||||||
34% | 120% | 145% | 111% | 67% | 83% |
17
Table of Contents
Financial highlights
Delaware REIT Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
18
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | 10/31/14 | |||||||||||||||||||||||||
$ |
10.91 |
|
$ |
11.41 |
|
$ |
14.33 |
|
$ |
15.57 |
|
$ |
15.64 |
|
$ |
13.90 |
| |||||||||||||
0.16 | 0.22 | 0.12 | 0.21 | 0.16 | 0.16 | |||||||||||||||||||||||||
0.84 | (0.22 | ) | 0.02 | 0.44 | 0.76 | 2.31 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
1.00 | — | 0.14 | 0.65 | 0.92 | 2.47 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.12 | ) | (0.19 | ) | (0.24 | ) | (0.28 | ) | (0.27 | ) | (0.29 | ) | |||||||||||||||||||
— | (0.05 | ) | — | — | — | — | ||||||||||||||||||||||||
— | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | (0.44 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.12 | ) | (0.50 | ) | (3.06 | ) | (1.89 | ) | (0.99 | ) | (0.73 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 11.79 | $ | 10.91 | $ | 11.41 | $ | 14.33 | $ | 15.57 | $ | 15.64 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
9.28% | (0.08% | ) | 1.14% | 4.60% | 5.94% | 18.80% | ||||||||||||||||||||||||
$ | 12,223 | $ | 13,741 | $ | 16,988 | $ | 38,720 | $ | 108,943 | $ | 119,640 | |||||||||||||||||||
1.11% | 1.14% | 1.19% | 1.08% | 1.12% | 1.09% | |||||||||||||||||||||||||
1.21% | 1.16% | 1.19% | 1.08% | 1.12% | 1.09% | |||||||||||||||||||||||||
2.82% | 2.01% | 0.96% | 1.49% | 1.06% | 1.14% | |||||||||||||||||||||||||
2.72% | 1.99% | 0.96% | 1.49% | 1.06% | 1.14% | |||||||||||||||||||||||||
34% | 120% | 145% | 111% | 67% | 83% |
19
Table of Contents
Financial highlights
Delaware REIT Fund Class R6
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income3 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return4 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets |
Ratio of expenses to average net assets prior to fees waived |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
3 | The average shares outstanding method has been applied for per share information. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Portfolio turnover is representative of the Fund for the entire year ended Oct. 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
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Six months ended | 8/31/162 to | |||||||||||||||||||
4/30/191 | Year ended | |||||||||||||||||||
(Unaudited) | 10/31/18 | 10/31/17 | 10/31/16 | |||||||||||||||||
$ |
10.89 |
|
$ |
11.41 |
|
$ |
14.33 |
|
$ |
15.43 |
| |||||||||
0.16 | 0.24 | 0.13 | 0.29 | |||||||||||||||||
0.84 | (0.23 | ) | 0.03 | (1.33 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
1.00 | 0.01 | 0.16 | (1.04 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(0.13 | ) | (0.22 | ) | (0.26 | ) | (0.06 | ) | |||||||||||||
— | (0.05 | ) | — | — | ||||||||||||||||
— | (0.26 | ) | (2.82 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(0.13 | ) | (0.53 | ) | (3.08 | ) | (0.06 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 11.76 | $ | 10.89 | $ | 11.41 | $ | 14.33 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
9.25% | 0.09% | 1.28% | (6.79% | ) | ||||||||||||||||
$ | 5,051 | $ | 4,876 | $ | 21,155 | $ | 2 | |||||||||||||
1.00% | 1.01% | 1.04% | 0.93% | |||||||||||||||||
1.10% | 1.03% | 1.04% | 0.93% | |||||||||||||||||
2.93% | 2.14% | 1.11% | 1.97% | |||||||||||||||||
2.83% | 2.12% | 1.11% | 1.97% | |||||||||||||||||
34% | 120% | 145% | 111% | 5 |
21
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Delaware REIT Fund | April 30, 2019 (Unaudited) |
Delaware REIT Fund (Fund) is a series of Delaware Pooled® Trust (Trust), which is organized as a Delaware statutory trust. The Fund is anopen-end investment company. The Fund is considered diversified under the Investment Company Act of 1940, as amended, and offers Class A, Class C, Class R, Institutional Class, and Class R6 shares. Class A shares are sold with a maximumfront-end sales charge of 5.75%. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) instead of afront-end sales charge of 1.00% if redeemed during the first year, and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, which will be incurred if redeemed during the first 12 months. Class R, Institutional Class, and Class R6 shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Class R6 shares do not pay any service fees,sub-accounting fees, and/orsub-transfer agency fees to any brokers, dealers, or other financial intermediaries. This report contains information relating only to Delaware REIT Fund. All other series of Delaware Pooled Trust, the Macquarie Institutional Portfolios, are included in a separate report.
The investment objectives of the Fund are to seek maximum long-term total return, with capital appreciation as a secondary objective. It seeks to achieve its objectives by investing primarily in securities of companies principally engaged in the real estate industry.
1. Significant Accounting Policies
The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Fund.
Security Valuation— Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Investments in repurchase agreements are generally valued at par, which approximates fair value each business day. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities are valued at fair value using methods approved by the Board.
Federal Income Taxes— No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are“more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the
22
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“more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken or expected to be taken on the Fund’s federal income tax returns through the six months ended April 30, 2019 and for all open tax years (years ended Oct. 31, 2016–Oct. 31, 2018), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in other expenses on the “Statement of operations.” During the six months ended April 30, 2019, the Fund did not incur any interest or tax penalties.
Class Accounting— Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class. Class R6 shares will not be allocated any expenses related to service fees,sub-accounting fees, and/orsub-transfer agency fees paid to brokers, dealers, or other financial intermediaries.
Repurchase Agreements— The Fund may purchase certain US government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund’s custodian or a third-partysub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. At April 30, 2019, the Fund held no investments in repurchase agreements.
Use of Estimates— The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other— Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Funds® by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on theex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on theex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. The Fund declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on theex-dividend date.
The Fund receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expense paid under this arrangement are included on the
23
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Notes to financial statements
Delaware REIT Fund
1. Significant Accounting Policies (continued)
“Statement of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2019, the Fund earned $178 under this arrangement.
The Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expense paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2019, the Fund earned $125 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rate of 0.75% on the first $500 million of average daily net assets of the Fund, 0.70% on the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive that portion, if any, of its management fee and/or pay/reimburse the Fund to the extent necessary to limit annual operating expenses (excluding any distribution and service(12b-1) fees, acquired fund fees and expenses, taxes, interest, short sale dividend interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) from exceeding 1.15% of the Fund’s average daily net assets for all share classes other than Class R6 and 1.00% of the Fund’s average daily net assets of the Class R6 shares from Nov. 1, 2018 through April 30, 2019.* For purposes of these waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses, as may be agreed upon from time to time by the Board and DMC. These expense waivers and reimbursements apply to expenses paid directly to the Fund and may only be terminated by agreement of DMC and the Fund. The waivers and reimbursements are accrued daily and received monthly.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rate: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative net asset value (NAV) basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended April 30, 2019, the Fund was charged $3,443 for these services.
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DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees were calculated daily and paid monthly based on the aggregate daily net assets of the retail funds within the Delaware Funds at the following annual rate: 0.014% of the first $20 billion; 0.011% of the next $5 billion; 0.007% of the next $5 billion; 0.005% of the next $20 billion; and 0.0025% of average daily net assets in excess of $50 billion. The fees payable to DIFSC under the shareholder services agreement described above are allocated among all retail funds in the Delaware Funds on a relative NAV basis. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended April 30, 2019, the Fund was charged $3,835 for these services.
Pursuant to asub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certainsub-transfer agency services to the Fund.Sub-transfer agency fees are paid by the Fund and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Fund pays DDLP, the distributor and an affiliate of DMC, an annual12b-1 fee of 0.25% of the average daily net assets of the Class A shares, 1.00% of the average daily net assets of the Class C shares, and 0.50% of the average daily net assets of the Class R shares. The fees are calculated daily and paid monthly. Institutional Class and Class R6 shares do not pay12b-1 fees.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended April 30, 2019, the Fund was charged $4,536 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
For the six months ended April 30, 2019, DDLP earned $1,746 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2019, DDLP received gross CDSC commissions of $36 and $4 on redemptions of the Fund’s Class A and Class C shares, respectively, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
*The aggregate contractual waiver period covering this report is from Feb. 28, 2018 through Feb. 28, 2020.
25
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Notes to financial statements
Delaware REIT Fund
3. Investments
For the six months ended April 30, 2019, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases | $ | 25,725,204 | ||
Sales | 34,833,833 |
At April 30, 2019, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2019, the cost and unrealized appreciation (depreciation) of investments for the Fund were as follows:
Cost of investments | $ | 70,365,462 | ||
|
| |||
Aggregate unrealized appreciation of investments | $ | 7,807,967 | ||
Aggregate unrealized depreciation of investments | (2,135,736 | ) | ||
|
| |||
Net unrealized appreciation of investments | $ | 5,672,231 | ||
|
|
Under the Regulated Investment Company Modernization Act of 2010 (Act), net capital losses recognized for tax years beginning after Dec. 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. At Oct. 31, 2018, capital loss carryforwards available to offset future realized capital gains were as follows:
Post-enactment capital loss character | ||||||||
Short-term | Long-term | |||||||
$ | 2,095,451 | $ | 3,427,629 |
US GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities,open-end investment companies, futures contracts, exchange-traded options contracts) |
Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, |
26
Table of Contents
credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) |
Level 3 – | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of April 30, 2019:
Level 1 | ||||
Securities
| ||||
Assets: | ||||
Common Stock | $ | 75,312,123 | ||
Short-Term Investments | 725,570 | |||
|
| |||
Total Value of Securities | $ | 76,037,693 | ||
|
|
During the six months ended April 30, 2019, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Fund’s policy is to recognize transfers between levels based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. During the six months ended April 30, 2019, there were no Level 3 investments.
27
Table of Contents
Notes to financial statements
Delaware REIT Fund
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 4/30/19 |
| Year ended 10/31/18 | ||||||||
Shares sold: | ||||||||||
Class A | 88,413 | 759,265 | ||||||||
Class C | 18,468 | 38,919 | ||||||||
Class R | 47,159 | 132,450 | ||||||||
Institutional Class | 84,121 | 513,851 | ||||||||
Class R6 | 6,601 | 115,352 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Class A | 43,186 | 220,247 | ||||||||
Class C | 2,781 | 30,186 | ||||||||
Class R | 4,071 | 24,369 | ||||||||
Institutional Class | 12,775 | 60,750 | ||||||||
Class R6 | 5,064 | 53,948 | ||||||||
|
|
|
| |||||||
312,639 | 1,949,337 | |||||||||
|
|
|
| |||||||
Shares redeemed: | ||||||||||
Class A | (580,305 | ) | (2,116,765 | ) | ||||||
Class C | (100,395 | ) | (804,656 | ) | ||||||
Class R | (68,043 | ) | (397,412 | ) | ||||||
Institutional Class | (318,906 | ) | (805,093 | ) | ||||||
Class R6 | (29,932 | ) | (1,576,132 | ) | ||||||
|
|
|
| |||||||
(1,097,581 | ) | (5,700,058 | ) | |||||||
|
|
|
| |||||||
Net decrease | (784,942 | ) | (3,750,721 | ) | ||||||
|
|
|
|
Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table above and on the “Statements of changes in net assets.” For the six months ended April 30, 2019 and year ended Oct. 31, 2018, the Fund had the following exchange transactions:
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||
Institutional | ||||||||||||||||||||
Class A | Class C | Class A | Class | Value | ||||||||||||||||
Six months ended 4/30/19 | — | 2,184 | 2,178 | — | $ | 24,492 | ||||||||||||||
Year ended 10/31/18 | 8,761 | 57,310 | 57,000 | 8,722 | 721,029 |
28
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5. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), was a participant in a revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. The revolving line of credit available was reduced from $155,000,000 to $130,000,000 on Sept. 6, 2018. Under the agreement, the Participants were charged an annual commitment fee of 0.15%, which was allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants were permitted to borrow up to a maximum ofone-third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 5, 2018.
On Nov. 5, 2018, the Participants entered into an amendment to the agreement for a $190,000,000 revolving line of credit. The revolving line of credit available was increased to $220,000,000 on Nov. 29, 2018. The revolving line of credit is to be used as described above and operates in substantially the same manner as the original agreement. The line of credit available under the agreement expires on Nov. 4, 2019.
The Fund had no amounts outstanding as of April 30, 2019, or at any time during the period then ended.
6. Securities Lending
The Fund, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each fund of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities or establishments; obligations of
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Notes to financial statements
Delaware REIT Fund
6. Securities Lending (continued)
supranational organizations, commercial paper, notes, bonds and other debt obligations; certificates of deposit, time deposits, and other bank obligations; and asset-backed securities. The Fund can also accept US government securities and letters of credit(non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized bynon-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Fund’s cash collateral account may be less than the amount the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
During the six months ended April 30, 2019, the Fund had no securities out on loan.
7. Credit and Market Risk
The Fund concentrates its investments in the real estate industry and is subject to the risks associated with that industry. If the Fund holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. The Fund is also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations. Its investments may also tend to fluctuate more widely than that of a fund that invests in a broad range of industries.
The Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC theday-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Fund’s 15% limit on investments in illiquid securities. As of April 30, 2019, there were no Rule 144A securities held by the Fund. Restricted securities are valued pursuant to the security valuation procedures described in Note 1.
30
Table of Contents
8. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
9. Recent Accounting Pronouncements
In August 2018, the FASB issued an ASU2018-13, which changes certain fair value measurement disclosure requirements. The ASU2018-13, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. The ASU2018-13 is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2019. At this time, management is evaluating the implications of these changes on the financial statements.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to April 30, 2019, that would require recognition or disclosure in the Fund’s financial statements.
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Board of trustees
Shawn K. Lytle President and Chief Executive Officer Delaware Funds® by Macquarie Philadelphia, PA
Thomas L. Bennett Chairman of the Board Delaware Funds by Macquarie Private Investor Rosemont, PA
Jerome D. Abernathy Managing Member Stonebrook Capital Management, LLC New York, NY | Ann D. Borowiec Former Chief Executive Officer Private Wealth Management J.P. Morgan Chase & Co. New York, NY
Joseph W. Chow Former Executive Vice President State Street Corporation Boston, MA
John A. Fry President Drexel University Philadelphia, PA | Lucinda S. Landreth Former Chief Investment Officer Assurant, Inc. New York, NY
Frances A. Sevilla-Sacasa Former Chief Executive Officer Banco Itaú International Miami, FL | Thomas K. Whitford Former Vice Chairman PNC Financial Services Group Pittsburgh, PA
Christianna Wood Chief Executive Officer and President Gore Creek Capital, Ltd. Golden, CO
Janet L. Yeomans Former Vice President and Treasurer 3M Company St. Paul, MN | |||
Affiliated officers
David F. Connor Senior Vice President, General Counsel, and Secretary Delaware Funds by Macquarie Philadelphia, PA |
Daniel V. Geatens Vice President and Treasurer Delaware Funds by Macquarie Philadelphia, PA |
Richard Salus Senior Vice President and Chief Financial Officer Delaware Funds by Macquarie Philadelphia, PA |
This semiannual report is for the information of Delaware REIT Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on FormN-Q or FormN-PORT (available for filings after March 31, 2019). The Fund’s FormsN-Q or FormsN-PORT, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities, are available without charge (i) upon request, by calling 800523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Fund’s most recent FormN-Q or FormN-PORT are available without charge on the Fund’s website at delawarefunds.com/literature. The Fund’s FormsN-Q and FormsN-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800SEC-0330.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed12-month period ended June 30 is available without charge (i) through the Fund’s website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 180 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the semiannual period covered by the report to stockholders included herein that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits
(a) (1) Code of Ethics
Not applicable.
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
DELAWARE POOLED® TRUST
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | July 5, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | July 5, 2019 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | July 5, 2019 |