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, 2020 |
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, 2020 |
Beginning on or about June 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your Portfolio’s shareholder reports will no longer be sent to you by mail, unless you specifically request them from the Portfolio 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 Portfolio that you wish to continue receiving paper copies of your shareholder reports by contacting us at 800 231-8002. 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.
Table of Contents
2 | ||||
4 | ||||
Security type / sector / country allocations and top 10 equity holdings | 5 | |||
11 | ||||
41 | ||||
45 | ||||
47 | ||||
49 | ||||
55 |
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 investment sub-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 800 231-8002 or visiting macquarieim.com/mipliterature. 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 macquarieim.com/mipliterature or calling 800 231-8002. 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.
Macquarie Institutional Portfolios are designed exclusively for institutional investors and high net worth individuals. Macquarie Institutional Portfolios are distributed by Delaware Distributors, L.P., 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.
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.
© 2020 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
1
Table of Contents
Portfolio objectives and strategies
Macquarie Large Cap Value Portfolio seeks 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 Portfolio seeks 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 Portfolio seeks 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 rated A-1 or A-2 by S&P, rated P-1 or P-2 by Moody’s Investors Service, Inc. (Moody’s), or unrated but considered to be of comparable quality.
Macquarie Emerging Markets Portfolio seeks 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 II seeks 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 Portfolio seeks 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’s sub-advisor, are undervalued at the time of purchase based on the rigorous fundamental analysis that the sub-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 macquarieim.com/mipliterature or calling 800 231-8002. 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 including fluctuation in currency values, differences in accounting principles, or economic or political instability. Investing in emerging markets can be riskier than investing in established foreign markets due to increased volatility, lower trading volume, and higher risk of market closures. In many emerging markets, there is substantially less publicly available information and the available information may be incomplete or misleading. Legal claims are generally more difficult to pursue.
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.
2
Table of Contents
Portfolio objectives and strategies
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 the 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 derivatives 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.
LIBOR risk is the risk that potential changes related to the use of the London interbank offered rate (LIBOR) could have adverse impacts on financial instruments which reference LIBOR. The potential abandonment of LIBOR could affect the value and liquidity of instruments which reference LIBOR.
The disruptions caused by natural disasters, pandemics, or similar events could prevent a portfolio from executing advantageous investment decisions in a timely manner and could negatively impact a portfolio’s ability to achieve its investment objective and the value of a portfolio’s investments.
3
Table of Contents
Disclosure of Portfolio expenses
For the six-month period from November 1, 2019 to April 30, 2020 (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 entire six-month period from Nov. 1, 2019 to April 30, 2020.
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 and 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 182/366 (to reflect the one-half year period).
Macquarie Institutional Portfolios
Expense Analysis of an Investment of $1,000
Beginning Account Value 11/1/19 | Ending Account Value 4/30/20 | Annualized Expense Ratio | Expenses Paid During Period 11/1/19 to 4/30/20 | |||||||||
Actual Portfolio return† | ||||||||||||
Macquarie | $ | 1,000.00 | $ | 870.20 | 0.70% | $3.25 | ||||||
Macquarie | 1,000.00 | 1,022.30 | 0.45% | 2.26 | ||||||||
Macquarie | 1,000.00 | 947.20 | 0.59% | 2.86 | ||||||||
Macquarie | 1,000.00 | 866.80 | 1.24% | 5.76 | ||||||||
Macquarie | 1,000.00 | 908.30 | 1.20% | 5.69 | ||||||||
Macquarie | 1,000.00 | 798.90 | 0.86% | 3.85 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Macquarie | $ | 1,000.00 | $ | 1,021.38 | 0.70% | $3.52 | ||||||
Macquarie | 1,000.00 | 1,022.63 | 0.45% | 2.26 | ||||||||
Macquarie | 1,000.00 | 1,021.93 | 0.59% | 2.97 | ||||||||
Macquarie | 1,000.00 | 1,018.70 | 1.24% | 6.22 | ||||||||
Macquarie | 1,000.00 | 1,018.90 | 1.20% | 6.02 | ||||||||
Macquarie | 1,000.00 | 1,020.59 | 0.86% | 4.32 |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Portfolios’ expenses reflected above, each Portfolio also indirectly bears its portion of the fees and expenses of the investment companies (Underlying Funds) in which it invests. The tables above do not reflect the expenses of the Underlying Funds.
4
Table of Contents
Security type / sector allocations
and top 10 equity holdings
Macquarie Institutional Portfolios — Macquarie Large Cap Value Portfolio
As of April 30, 2020 (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 | 98.29% | |||
Communication Services | 11.72% | |||
Consumer Discretionary | 6.21% | |||
Consumer Staples | 9.39% | |||
Energy | 3.63% | |||
Financials | 14.84% | |||
Healthcare | 21.39% | |||
Industrials | 8.12% | |||
Information Technology | 14.57% | |||
Materials | 3.00% | |||
Real Estate | 2.60% | |||
Utilities | 2.82% | |||
Short-Term Investments | 2.22% | |||
Total Value of Securities | 100.51% | |||
Liabilities Net of Receivables and Other Assets | (0.51%) | |||
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 | |||
ConocoPhillips | | 3.63% | | |
Marsh & McLennan | 3.30% | |||
Archer-Daniels-Midland | 3.30% | |||
Cigna | 3.30% | |||
Johnson & Johnson | 3.26% | |||
Allstate | 3.23% | |||
Verizon Communications | 3.23% | |||
Lowe’s | 3.20% | |||
Broadcom | 3.18% | |||
Mondelez International Class A
|
| 3.13%
|
|
5
Table of Contents
Security type / sector allocations
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
As of April 30, 2020 (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 Collateralized Mortgage Obligations | 1.54% | |||
Agency Commercial Mortgage-Backed Securities | 2.92% | |||
Agency Mortgage-Backed Securities | 19.85% | |||
Collateralized Debt Obligations | 2.01% | |||
Corporate Bonds | 44.87% | |||
Banking | 9.63% | |||
Basic Industry | 2.98% | |||
Brokerage | 0.31% | |||
Capital Goods | 3.37% | |||
Communications | 7.75% | |||
Consumer Cyclical | 1.65% | |||
Consumer Non-Cyclical | 3.64% | |||
Electric | 5.13% | |||
Energy | 4.92% | |||
Finance Companies | 0.59% | |||
Insurance | 0.40% | |||
REITs | 0.51% | |||
Technology | 2.21% | |||
Transportation | 1.25% | |||
Utilities
|
| 0.53%
|
|
Security type / sector | Percentage of net assets | |||
Loan Agreements | 3.92% | |||
Municipal Bonds | 0.12% | |||
Non-Agency Asset-Backed Securities | 3.27% | |||
Non-Agency Collateralized Mortgage Obligations | 1.95% | |||
Non-Agency Commercial Mortgage-Backed Securities | 5.96% | |||
Sovereign Bonds | 2.10% | |||
Supranational Banks | 0.28% | |||
US Treasury Obligations | 10.54% | |||
Short-Term Investments | 0.92% | |||
Total Value of Securities | 100.25% | |||
Liabilities Net of Receivables and Other Assets | (0.25%) | |||
Total Net Assets | 100.00% |
(continues) 6
Table of Contents
Security type / sector allocations
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
As of April 30, 2020 (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 | 86.84 | % | ||
Automotive | 1.04 | % | ||
Banking | 4.44 | % | ||
Basic Industry | 9.50 | % | ||
Capital Goods | 6.28 | % | ||
Consumer Cyclical | 3.66 | % | ||
Consumer Non-Cyclical | 4.65 | % | ||
Energy | 7.90 | % | ||
Financial Services | 0.68 | % | ||
Healthcare | 7.72 | % | ||
Insurance | 3.59 | % | ||
Media | 12.28 | % | ||
Real Estate | 0.88 | % | ||
Services | 3.06 | % | ||
Technology & Electronics | 7.06 | % | ||
Telecommunications | 10.10 | % | ||
Transportation | 1.03 | % | ||
Utilities | 2.97 | % | ||
Loan Agreements | 7.14 | % | ||
Common Stock | 0.00 | % | ||
Short-Term Investments | 5.90 | % | ||
Total Value of Securities | 99.88 | % | ||
Receivables and Other Assets Net of Liabilities | 0.12 | % | ||
Total Net Assets | 100.00 | % |
7
Table of Contents
Security type / country and sector allocations
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio
As of April 30, 2020 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s or sub-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 | 97.48 | % | ||
Brazil | 2.39 | % | ||
China/Hong Kong | 46.84 | % | ||
India | 11.21 | % | ||
Indonesia | 1.08 | % | ||
Malaysia | 0.56 | % | ||
Mexico | 1.92 | % | ||
Peru | 0.91 | % | ||
Qatar | 0.10 | % | ||
Republic of Korea | 12.97 | % | ||
Romania | 0.26 | % | ||
Russia | 4.41 | % | ||
Taiwan | 10.70 | % | ||
Thailand | 0.09 | % | ||
United Arab Emirates | 0.95 | % | ||
United Kingdom | 3.09 | % | ||
Preferred Stock | 1.75 | % | ||
Short-Term Investments | 0.85 | % | ||
Total Value of Securities | 100.08 | % | ||
Liabilities Net of Receivables and Other Assets | (0.08 | %) | ||
Total Net Assets | 100.00 | % |
Common stock and preferred stock by sector | Percentage of net assets | |||
Communications Services | 12.02 | % | ||
Consumer Discretionary | 13.08 | % | ||
Consumer Staples | 9.13 | % | ||
Energy | 8.02 | % | ||
Financials | 22.02 | % | ||
Healthcare | 5.92 | % | ||
Industrials | 0.32 | % | ||
Information Technology | 20.10 | % | ||
Materials | 7.21 | % | ||
Real Estate | 1.31 | % | ||
Utilities | 0.10 | % | ||
Total | 99.23 | % |
(continues) 8
Table of Contents
Security type / country and sector allocations
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio II
As of April 30, 2020 (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 | 98.35 | % | ||
Argentina | 0.07 | % | ||
Bahrain | 0.02 | % | ||
Brazil | 8.91 | % | ||
Chile | 0.40 | % | ||
China/Hong Kong | 34.60 | % | ||
India | 10.62 | % | ||
Indonesia | 2.26 | % | ||
Malaysia | 0.08 | % | ||
Mexico | 3.27 | % | ||
Peru | 0.42 | % | ||
Republic of Korea | 17.41 | % | ||
Russia | 6.46 | % | ||
Taiwan | 12.70 | % | ||
Turkey | 1.13 | % | ||
Preferred Stock | 1.22 | % | ||
Short-Term Investments | 0.41 | % | ||
Total Value of Securities | 99.98 | % | ||
Receivables and Other Assets Net of Liabilities | 0.02 | % | ||
Total Net Assets | 100.00 | % |
Common stock and preferred stock by sector | Percentage of net assets | |||
Consumer Discretionary | 15.52 | % | ||
Consumer Staples | 12.05 | % | ||
Energy | 14.93 | % | ||
Financials | 7.53 | % | ||
Healthcare | 2.00 | % | ||
Industrials | 0.18 | % | ||
Information Technology | 35.33 | % | ||
Materials | 1.56 | % | ||
Telecommunication Services | 10.38 | % | ||
Utilities | 0.09 | % | ||
Total | 99.57 | % |
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, 2020, such amounts, as a percentage of total net assets, were 1.90%, 10.75%, and 22.68%, 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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Table of Contents
Macquarie Institutional Portfolios — Macquarie Labor Select International Equity Portfolio
As of April 30, 2020 (Unaudited)
Sector designations may be different than the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s or sub-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 | 98.11% | |
Australia | 0.96% | |
China/Hong Kong | 7.51% | |
Denmark | 1.46% | |
France | 7.45% | |
Germany | 9.00% | |
Italy | 4.36% | |
Japan | 29.25% | |
Netherlands | 0.76% | |
Singapore | 5.37% | |
Spain | 2.11% | |
Sweden | 2.89% | |
Switzerland | 5.32% | |
United Kingdom | 21.67% | |
Preferred Stock | 0.31% | |
Short-Term Investments | 0.49% | |
Total Value of Securities | 98.91% | |
Receivables and Other Assets Net of Liabilities | 1.09% | |
Total Net Assets | 100.00% |
Common stock and preferred stock by sector | Percentage of net assets | |
Consumer Discretionary | 10.83% | |
Consumer Staples | 8.79% | |
Energy | 7.09% | |
Financials | 15.37% | |
Healthcare | 14.89% | |
Industrials | 14.33% | |
Information Technology | 8.46% | |
Materials | 1.96% | |
Telecommunication Services | 11.13% | |
Utilities | 5.57% | |
Total | 98.42% |
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Table of Contents
Macquarie Institutional Portfolios — Macquarie Large Cap Value Portfolio
April 30, 2020 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.29% |
| |||||||
Communication Services – 11.72% |
| |||||||
AT&T | 39,400 | $ | 1,200,518 | |||||
Comcast Class A | 28,516 | 1,073,057 | ||||||
Verizon Communications | 23,500 | 1,350,075 | ||||||
Walt Disney | 11,836 | 1,280,064 | ||||||
4,903,714 | ||||||||
Consumer Discretionary – 6.21% |
| |||||||
Dollar Tree † | 15,800 | 1,258,786 | ||||||
Lowe’s | 12,800 | 1,340,800 | ||||||
2,599,586 | ||||||||
Consumer Staples – 9.39% |
| |||||||
Archer-Daniels-Midland | 37,200 | 1,381,608 | ||||||
Conagra Brands | 36,896 | 1,233,802 | ||||||
Mondelez International Class A | 25,500 | 1,311,720 | ||||||
3,927,130 | ||||||||
Energy – 3.63% |
| |||||||
ConocoPhillips | 36,078 | 1,518,884 | ||||||
1,518,884 | ||||||||
Financials – 14.84% |
| |||||||
Allstate | 13,300 | 1,352,876 | ||||||
American International Group | 44,500 | 1,131,635 | ||||||
Bank of New York Mellon | 32,900 | 1,235,066 | ||||||
Marsh & McLennan | 14,200 | 1,382,086 | ||||||
Truist Financial | 29,700 | 1,108,404 | ||||||
6,210,067 | ||||||||
Healthcare – 21.39% |
| |||||||
Abbott Laboratories | 12,800 | 1,178,752 | ||||||
Cardinal Health | 25,000 | 1,237,000 | ||||||
Cigna | 7,053 | 1,380,836 | ||||||
CVS Health | 19,700 | 1,212,535 | ||||||
Johnson & Johnson | 9,100 | 1,365,364 | ||||||
Merck & Co. | 16,100 | 1,277,374 | ||||||
Pfizer | 33,911 | 1,300,826 | ||||||
8,952,687 | ||||||||
Industrials – 8.12% |
| |||||||
Caterpillar | 9,054 | 1,053,704 | ||||||
Northrop Grumman | 3,700 | 1,223,479 | ||||||
Raytheon Technologies | 17,277 | 1,119,723 | ||||||
3,396,906 | ||||||||
Information Technology – 14.57% |
| |||||||
Broadcom | 4,900 | 1,330,938 | ||||||
Cisco Systems | 28,800 | 1,220,544 | ||||||
Cognizant Technology Solutions Class A | 18,598 | 1,079,056 | ||||||
Intel | 21,100 | 1,265,578 | ||||||
Oracle | 22,700 | 1,202,419 | ||||||
6,098,535 |
Number of shares | Value (US $) | |||||||
Common Stock (continued) |
| |||||||
Materials – 3.00% | ||||||||
DuPont de Nemours | 26,709 | $ | 1,255,857 | |||||
1,255,857 | ||||||||
Real Estate – 2.60% |
| |||||||
Equity Residential | 16,750 | 1,089,755 | ||||||
1,089,755 | ||||||||
Utilities – 2.82% |
| |||||||
Edison International | 20,100 | 1,180,071 | ||||||
1,180,071 | ||||||||
Total Common Stock (cost $39,854,381) |
| 41,133,192 | ||||||
|
| |||||||
Short-Term Investments – 2.22% |
| |||||||
Money Market Mutual Funds – 2.22% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 185,384 | 185,384 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 185,384 | 185,384 | ||||||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 185,383 | 185,383 | ||||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 185,383 | 185,383 | ||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 185,383 | 185,383 | ||||||
Total Short-Term Investments |
| 926,917 | ||||||
|
| |||||||
Total Value of |
| $ | 42,060,109 | |||||
|
|
† Non-income producing security.
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
11
Table of Contents
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
April 30, 2020 (Unaudited)
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations – 1.54% |
| |||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2017-C04 2M2 3.337% (LIBOR01M + 2.85%) 11/25/29 ● | 90,000 | $ | 82,456 | |||||
Series 2018-C02 2M2 2.687% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 ● | 104,923 | 91,743 | ||||||
Series 2018-C03 1M2 2.637% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 ● | 170,000 | 152,509 | ||||||
Series 2018-C05 1M2 2.837% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31 ● | 125,000 | 111,581 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series 2004-W11 1A2 6.50% 5/25/44 | 13,580 | 16,061 | ||||||
Fannie Mae REMICs | ||||||||
Series 2011-118 DC 4.00% 11/25/41 | 173,614 | 184,916 | ||||||
Series 2017-40 GZ 3.50% 5/25/47 | 53,306 | 58,911 | ||||||
Freddie Mac REMICs | ||||||||
Series 4676 KZ 2.50% 7/15/45 | 53,890 | 56,200 | ||||||
Freddie Mac Structured | ||||||||
Series 2017-DNA1 M2 3.737% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 ● | 250,000 | 238,231 | ||||||
Series 2017-DNA3 M2 2.987% (LIBOR01M + 2.50%) 3/25/30 ● | 500,001 | 470,189 | ||||||
Series 2018-HQA1 M2 2.787% (LIBOR01M + 2.30%) 9/25/30 ● | 174,240 | 153,237 | ||||||
Freddie Mac Structured Agency Credit Risk REMIC Trust | ||||||||
Series 2019-HQA4 M2 144A 2.537% (LIBOR01M + 2.05%) 11/25/49 #● | 500,000 | 380,332 | ||||||
GNMA | ||||||||
Series 2013-113 LY 3.00% 5/20/43 | 22,000 | 23,911 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
GNMA | ||||||||
Series 2017-56 JZ 3.00% 4/20/47 | 3,282 | $ | 3,566 | |||||
Series 2017-130 YJ 2.50% 8/20/47 | 40,000 | 43,468 | ||||||
Series 2018-34 TY 3.50% 3/20/48 | 45,000 | 49,029 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations |
| 2,116,340 | ||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities – 2.92% |
| |||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K058 A2 2.653% 8/25/26 ¨ | 1,095,000 | 1,192,604 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2010-K8 B 144A 5.465% 9/25/43 #● | 1,000,000 | 1,000,127 | ||||||
Series 2011-K11 B 144A 4.567% 12/25/48 #● | 730,000 | 734,649 | ||||||
Series 2011-K15 B 144A 5.129% 8/25/44 #● | 150,000 | 151,330 | ||||||
Series 2012-K22 B 144A 3.812% 8/25/45 #● | 60,000 | 61,399 | ||||||
Series 2013-K25 C 144A 3.744% 11/25/45 #● | 280,000 | 274,389 | ||||||
Series 2014-K717 B 144A 3.754% 11/25/47 #● | 90,000 | 90,532 | ||||||
Series 2014-K717 C 144A 3.754% 11/25/47 #● | 40,000 | 39,984 | ||||||
Series 2016-K53 B 144A 4.157% 3/25/49 #● | 15,000 | 15,863 | ||||||
Series 2016-K722 B 144A 3.975% 7/25/49 #● | 370,000 | 374,702 | ||||||
Series 2017-K71 B 144A 3.882% 11/25/50 #● | 80,000 | 80,837 | ||||||
|
| |||||||
Total Agency Commercial |
| 4,016,416 | ||||||
|
| |||||||
Agency Mortgage-Backed Securities – 19.85% |
| |||||||
Fannie Mae | 203,614 | 217,657 | ||||||
Fannie Mae FHAVA | 41,166 | 45,448 | ||||||
Fannie Mae S.F. 30 yr | 1,261,391 | 1,341,399 | ||||||
3.00% 4/1/47 | 162,090 | 171,668 | ||||||
3.00% 11/1/48 | 465,084 | 491,730 |
(continues) 12
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 10/1/49 | 385,839 | $ | 407,542 | |||||
3.00% 11/1/49 | 269,590 | 284,754 | ||||||
3.00% 12/1/49 | 373,254 | 397,039 | ||||||
3.00% 1/1/50 | 572,357 | 604,552 | ||||||
3.50% 3/1/48 | 472,202 | 501,705 | ||||||
3.50% 7/1/48 | 1,745,498 | 1,849,474 | ||||||
3.50% 11/1/48 | 445,468 | 472,589 | ||||||
3.50% 6/1/49 | 887,079 | 936,327 | ||||||
3.50% 11/1/49 | 1,483,431 | 1,566,482 | ||||||
3.50% 12/1/49 | 1,674,370 | 1,810,361 | ||||||
3.50% 1/1/50 | 715,227 | 755,655 | ||||||
4.00% 4/1/48 | 252,899 | 271,320 | ||||||
4.00% 10/1/48 | 571,699 | 632,493 | ||||||
4.50% 6/1/40 | 45,782 | 50,890 | ||||||
4.50% 2/1/41 | 141,858 | 157,635 | ||||||
4.50% 8/1/41 | 47,626 | 53,835 | ||||||
4.50% 5/1/46 | 403,954 | 448,006 | ||||||
4.50% 4/1/48 | 1,070,187 | 1,187,311 | ||||||
4.50% 9/1/48 | 59,424 | 64,888 | ||||||
4.50% 12/1/48 | 501,603 | 540,857 | ||||||
4.50% 1/1/49 | 1,332,622 | 1,470,674 | ||||||
4.50% 11/1/49 | 412,670 | 444,626 | ||||||
4.50% 1/1/50 | 267,549 | 291,388 | ||||||
5.00% 1/1/40 | 501,459 | 573,450 | ||||||
5.00% 6/1/44 | 116,769 | 133,291 | ||||||
5.50% 5/1/44 | 2,160,253 | 2,468,584 | ||||||
6.00% 6/1/41 | 341,990 | 394,716 | ||||||
6.00% 7/1/41 | 1,147,427 | 1,324,190 | ||||||
6.00% 1/1/42 | 280,291 | 323,428 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 12/1/48 | 1,848,346 | 1,958,256 | ||||||
3.00% 11/1/49 | 219,973 | 232,346 | ||||||
3.00% 12/1/49 | 110,015 | 116,294 | ||||||
3.00% 1/1/50 | 193,922 | 206,042 | ||||||
4.00% 10/1/47 | 686,329 | 734,753 | ||||||
4.50% 3/1/42 | 38,889 | 43,120 | ||||||
4.50% 3/1/49 | 229,384 | 249,752 | ||||||
4.50% 8/1/49 | 457,714 | 507,330 | ||||||
5.50% 6/1/41 | 328,169 | 375,144 | ||||||
GNMA I S.F. 30 yr | 175,700 | 188,390 | ||||||
GNMA II S.F. 30 yr | 13,135 | 14,945 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities |
| 27,312,336 | ||||||
|
|
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations – 2.01% |
| |||||||
Apex Credit CLO 2017 | ||||||||
Series 2017-1A A1 144A 2.49% (LIBOR03M + 1.47%, Floor 1.47%) 4/24/29 #● | 292,820 | $ | 282,425 | |||||
CFIP CLO | ||||||||
Series 2017-1A A 144A 2.355% (LIBOR03M + 1.22%) 1/18/30 #● | 500,000 | 482,989 | ||||||
Man GLG US CLO | ||||||||
Series 2018-1A A1R 144A 2.275% (LIBOR03M + 1.14%) 4/22/30 #● | 700,000 | 661,023 | ||||||
Mariner CLO 5 | ||||||||
Series 2018-5A A 144A 2.101% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #● | 400,000 | 388,593 | ||||||
Midocean Credit CLO IX | ||||||||
Series 2018-9A A1 144A 2.285% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #● | 250,000 | 235,677 | ||||||
Midocean Credit CLO VIII |
| |||||||
Series 2018-8A A1 144A 2.845% (LIBOR03M + 1.15%) 2/20/31 #● | 250,000 | 239,248 | ||||||
Saranac CLO VII | ||||||||
Series 2014-2A A1AR 144A 2.925% (LIBOR03M + 1.23%) 11/20/29 #● | 250,000 | 240,768 | ||||||
Steele Creek CLO | ||||||||
Series 2017-1A A 144A 2.469% (LIBOR03M + 1.25%) 1/15/30 #● | 250,000 | 237,287 | ||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 2,768,010 | ||||||
|
| |||||||
Corporate Bonds – 44.87% |
| |||||||
Banking – 9.63% | ||||||||
Banco de Credito del | 200,000 | 195,630 | ||||||
Banco del Estado de | 200,000 | 199,750 | ||||||
Bancolombia | 200,000 | 173,750 | ||||||
Bangkok Bank 144A | 200,000 | 179,332 |
13
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
Bank of America | 475,000 | $ | 481,829 | |||||
2.592% 4/29/31 µ | 95,000 | 97,461 | ||||||
3.458% 3/15/25 µ | 700,000 | 740,298 | ||||||
4.083% 3/20/51 µ | 110,000 | 132,459 | ||||||
Bank of China 144A | 200,000 | 218,236 | ||||||
Bank of Montreal | 115,000 | 115,422 | ||||||
BBVA Bancomer 144A | 167,000 | 174,006 | ||||||
BBVA USA | 250,000 | 251,528 | ||||||
3.875% 4/10/25 | 250,000 | 253,310 | ||||||
Credit Suisse Group | 250,000 | 272,427 | ||||||
144A 6.25%#µY | 800,000 | 823,930 | ||||||
144A 7.25%#µY | 200,000 | 199,639 | ||||||
Fifth Third Bancorp | 95,000 | 100,599 | ||||||
3.95% 3/14/28 | 225,000 | 255,681 | ||||||
Fifth Third Bank | 250,000 | 269,043 | ||||||
Goldman Sachs Group | 105,000 | 103,940 | ||||||
3.50% 4/1/25 | 60,000 | 63,931 | ||||||
6.00% 6/15/20 | 645,000 | 648,451 | ||||||
Itau Unibanco Holding 144A | 200,000 | 194,750 | ||||||
JPMorgan Chase & Co. | 130,000 | 132,990 | ||||||
3.109% 4/22/41 µ | 70,000 | 72,717 | ||||||
3.109% 4/22/51 µ | 110,000 | 113,991 | ||||||
4.023% 12/5/24 µ | 305,000 | 330,007 | ||||||
4.60%µY | 135,000 | 121,264 | ||||||
5.00%µY | 415,000 | 386,238 | ||||||
Morgan Stanley | 200,000 | 202,415 | ||||||
3.622% 4/1/31 µ | 100,000 | 110,154 | ||||||
5.00% 11/24/25 | 580,000 | 655,854 | ||||||
Northern Trust | 185,000 | 184,584 | ||||||
PNC Financial Services Group | 475,000 | 496,340 | ||||||
Royal Bank of Scotland Group | 500,000 | 512,225 | ||||||
Santander UK 144A | 180,000 | 188,994 | ||||||
Truist Bank | 334,000 | 322,180 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
Turkiye Garanti Bankasi 144A | 200,000 | $ | 197,460 | |||||
UBS Group | 225,000 | 247,677 | ||||||
6.875%µY | 400,000 | 402,990 | ||||||
7.125%µY | 200,000 | 202,450 | ||||||
UBS Group Funding | 330,000 | 342,936 | ||||||
US Bancorp | 225,000 | 236,539 | ||||||
3.10% 4/27/26 | 140,000 | 148,907 | ||||||
3.375% 2/5/24 | 235,000 | 252,705 | ||||||
3.60% 9/11/24 | 40,000 | 43,413 | ||||||
3.95% 11/17/25 | 495,000 | 556,489 | ||||||
US Bank 3.40% 7/24/23 | 250,000 | 267,713 | ||||||
USB Capital IX 3.50% | 105,000 | 85,233 | ||||||
Wells Fargo & Co. | 85,000 | 84,004 | ||||||
Woori Bank 144A | 200,000 | 211,601 | ||||||
|
| |||||||
13,255,472 | ||||||||
|
| |||||||
Basic Industry – 2.98% | ||||||||
Air Products and Chemicals | 25,000 | 25,226 | ||||||
1.85% 5/15/27 | 35,000 | 35,450 | ||||||
2.05% 5/15/30 | 55,000 | 56,050 | ||||||
2.80% 5/15/50 | 45,000 | 45,838 | ||||||
BHP Billiton Finance USA 144A | 400,000 | 404,698 | ||||||
Chemours | 173,000 | 163,468 | ||||||
CK Hutchison International 17 144A | 200,000 | 203,652 | ||||||
Cydsa 144A | 200,000 | 179,920 | ||||||
Freeport-McMoRan | 85,000 | 79,105 | ||||||
4.25% 3/1/30 | 47,000 | 43,910 | ||||||
Georgia-Pacific | 100,000 | 100,250 | ||||||
144A 2.10% 4/30/27 # | 80,000 | 79,992 | ||||||
144A 2.30% 4/30/30 # | 175,000 | 175,039 | ||||||
8.00% 1/15/24 | 310,000 | 377,475 | ||||||
Hudbay Minerals 144A | 155,000 | 141,003 | ||||||
Israel Chemicals 144A | 95,000 | 105,537 |
(continues) 14
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) | ||||||||
LYB International Finance III 2.875% 5/1/25 | 75,000 | $ | 75,848 | |||||
Methanex 5.25% 12/15/29 | 320,000 | 270,287 | ||||||
Minera Mexico 144A 4.50% 1/26/50 # | 200,000 | 173,820 | ||||||
Newmont | ||||||||
2.25% 10/1/30 | 235,000 | 233,061 | ||||||
2.80% 10/1/29 | 330,000 | 340,663 | ||||||
OCP 144A | 200,000 | 207,410 | ||||||
Olin | ||||||||
5.00% 2/1/30 | 230,000 | 201,905 | ||||||
5.625% 8/1/29 | 90,000 | 81,756 | ||||||
PolyOne 144A 5.75% 5/15/25 # | 82,000 | 83,076 | ||||||
Sasol Financing USA 5.875% 3/27/24 | 200,000 | 134,900 | ||||||
Vedanta Resources Finance II 144A | 200,000 | 83,000 | ||||||
|
| |||||||
4,102,339 | ||||||||
|
| |||||||
Brokerage – 0.31% | ||||||||
Charles Schwab | 125,000 | 130,000 | ||||||
Jefferies Group | ||||||||
4.15% 1/23/30 | 100,000 | 99,474 | ||||||
6.45% 6/8/27 | 30,000 | 33,721 | ||||||
6.50% 1/20/43 | 160,000 | 169,324 | ||||||
|
| |||||||
432,519 | ||||||||
|
| |||||||
Capital Goods – 3.37% | ||||||||
Ashtead Capital 144A | 230,000 | 231,150 | ||||||
Caterpillar | ||||||||
2.60% 4/9/30 | 265,000 | 281,138 | ||||||
3.25% 4/9/50 | 130,000 | 141,780 | ||||||
Cemex 144A | 200,000 | 165,630 | ||||||
General Dynamics | ||||||||
3.25% 4/1/25 | 160,000 | 174,765 | ||||||
4.25% 4/1/40 | 165,000 | 203,260 | ||||||
4.25% 4/1/50 | 95,000 | 123,078 | ||||||
General Electric | ||||||||
3.45% 5/1/27 | 85,000 | 86,564 | ||||||
3.625% 5/1/30 | 145,000 | 145,755 | ||||||
4.35% 5/1/50 | 250,000 | 251,537 | ||||||
L3Harris Technologies | ||||||||
2.90% 12/15/29 | 265,000 | 271,563 | ||||||
144A 3.85% 6/15/23 # | 80,000 | 83,900 | ||||||
Otis Worldwide | ||||||||
144A 2.056% 4/5/25 # | 95,000 | 96,766 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods (continued) | ||||||||
Otis Worldwide | ||||||||
144A 2.565% 2/15/30 # | 495,000 | $ | 499,151 | |||||
144A 3.112% 2/15/40 # | 95,000 | 93,884 | ||||||
144A 3.362% 2/15/50 # | 55,000 | 56,236 | ||||||
Roper Technologies | ||||||||
2.35% 9/15/24 | 135,000 | 137,093 | ||||||
2.95% 9/15/29 | 325,000 | 340,507 | ||||||
Standard Industries 144A | 400,000 | 403,320 | ||||||
TransDigm 144A | 228,000 | 224,227 | ||||||
Waste Management | ||||||||
2.95% 6/15/24 | 240,000 | 256,082 | ||||||
3.45% 6/15/29 | 224,000 | 254,401 | ||||||
4.15% 7/15/49 | 96,000 | 122,113 | ||||||
|
| |||||||
4,643,900 | ||||||||
|
| |||||||
Communications – 7.75% | ||||||||
Altice France Holding 144A 10.50% 5/15/27 # | 200,000 | 216,520 | ||||||
AMC Networks | 45,000 | 41,335 | ||||||
AT&T | ||||||||
4.35% 3/1/29 | 85,000 | 95,669 | ||||||
4.50% 3/9/48 | 90,000 | 102,437 | ||||||
4.90% 8/15/37 | 135,000 | 156,430 | ||||||
Charter Communications Operating | ||||||||
2.80% 4/1/31 | 65,000 | 65,519 | ||||||
3.70% 4/1/51 | 115,000 | 112,258 | ||||||
4.464% 7/23/22 | 385,000 | 406,217 | ||||||
4.80% 3/1/50 | 155,000 | 175,754 | ||||||
5.05% 3/30/29 | 220,000 | 258,542 | ||||||
Clear Channel Worldwide Holdings 144A | 130,000 | 108,901 | ||||||
Comcast | ||||||||
3.20% 7/15/36 | 195,000 | 211,406 | ||||||
3.70% 4/15/24 | 305,000 | 333,945 | ||||||
Connect Finco 144A | 200,000 | 191,630 | ||||||
Crown Castle International | ||||||||
3.80% 2/15/28 | 305,000 | 336,630 | ||||||
4.30% 2/15/29 | 505,000 | 580,337 | ||||||
5.25% 1/15/23 | 275,000 | 301,074 | ||||||
CSC Holdings 144A | ||||||||
5.50% 4/15/27 # | 200,000 | 208,867 | ||||||
5.875% 9/15/22 | 68,000 | 71,108 |
15
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) |
| |||||||
Discovery Communications | ||||||||
4.125% 5/15/29 | 305,000 | $ | 321,838 | |||||
5.20% 9/20/47 | 455,000 | 516,988 | ||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 100,000 | 100,997 | ||||||
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 200,000 | 184,000 | ||||||
Netflix 144A 3.625% 6/15/25 # | 195,000 | 198,169 | ||||||
Sirius XM Radio 144A | 192,000 | 196,762 | ||||||
Sprint Spectrum 144A | 220,000 | 233,156 | ||||||
Terrier Media Buyer 144A 8.875% 12/15/27 # | 135,000 | 112,219 | ||||||
Time Warner Cable | 360,000 | 476,242 | ||||||
Time Warner Entertainment | 185,000 | 214,261 | ||||||
T-Mobile USA | ||||||||
144A 3.50% 4/15/25 # | 100,000 | 105,475 | ||||||
144A 3.875% 4/15/30 # | 380,000 | 417,563 | ||||||
144A 4.375% 4/15/40 # | 70,000 | 79,419 | ||||||
144A 4.50% 4/15/50 # | 155,000 | 181,373 | ||||||
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 200,000 | 200,110 | ||||||
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 200,000 | 188,440 | ||||||
Verizon Communications | ||||||||
3.15% 3/22/30 | 50,000 | 55,464 | ||||||
4.00% 3/22/50 | 35,000 | 43,958 | ||||||
4.50% 8/10/33 | 1,180,000 | 1,462,695 | ||||||
ViacomCBS | ||||||||
4.375% 3/15/43 | 305,000 | 295,315 | ||||||
4.95% 1/15/31 | 270,000 | 287,601 | ||||||
Vodafone Group | ||||||||
4.25% 9/17/50 | 200,000 | 221,319 | ||||||
4.875% 6/19/49 | 480,000 | 575,416 | ||||||
Zayo Group Holdings 144A 6.125% 3/1/28 # | 20,000 | 18,944 | ||||||
|
| |||||||
10,662,303 | ||||||||
|
| |||||||
Consumer Cyclical – 1.65% | ||||||||
Allison Transmission 144A 5.875% 6/1/29 # | 240,000 | 234,079 | ||||||
Costco Wholesale | ||||||||
1.60% 4/20/30 | 145,000 | 143,600 | ||||||
1.75% 4/20/32 | 60,000 | 59,829 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
Future Retail 144A | 200,000 | $ | 54,552 | |||||
General Motors | 116,000 | 107,685 | ||||||
General Motors Financial 5.25% 3/1/26 | 159,000 | 152,861 | ||||||
Home Depot | ||||||||
2.70% 4/15/30 | 85,000 | 90,787 | ||||||
3.35% 4/15/50 | 75,000 | 82,929 | ||||||
Lowe’s | ||||||||
4.55% 4/5/49 | 383,000 | 465,386 | ||||||
5.125% 4/15/50 | 200,000 | 261,344 | ||||||
Murphy Oil USA | 250,000 | 259,163 | ||||||
Scientific Games International 144A | 82,000 | 62,295 | ||||||
TJX | ||||||||
3.875% 4/15/30 | 100,000 | 111,723 | ||||||
4.50% 4/15/50 | 55,000 | 67,646 | ||||||
VF 2.40% 4/23/25 | 110,000 | 111,720 | ||||||
|
| |||||||
2,265,599 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 3.64% |
| |||||||
AbbVie | ||||||||
144A 2.95% 11/21/26 # | 260,000 | 275,669 | ||||||
144A 4.05% 11/21/39 # | 346,000 | 383,066 | ||||||
Amgen 2.20% 2/21/27 | 60,000 | 61,806 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
3.65% 2/1/26 | 205,000 | 223,804 | ||||||
4.15% 1/23/25 | 280,000 | 312,434 | ||||||
Aramark Services 144A | 140,000 | 134,274 | ||||||
Bausch Health 144A | 164,000 | 171,298 | ||||||
Biogen | ||||||||
2.25% 5/1/30 | 195,000 | 194,305 | ||||||
3.15% 5/1/50 | 180,000 | 174,916 | ||||||
Bristol-Myers Squibb 144A 2.90% 7/26/24 # | 360,000 | 384,573 | ||||||
Cigna | ||||||||
2.40% 3/15/30 | 75,000 | 75,733 | ||||||
3.20% 3/15/40 | 70,000 | 72,169 | ||||||
4.125% 11/15/25 | 225,000 | 252,664 | ||||||
Coca-Cola | ||||||||
1.45% 6/1/27 | 45,000 | 44,903 | ||||||
2.50% 6/1/40 | 50,000 | 49,877 |
(continues) 16
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios – Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
CVS Health | ||||||||
3.75% 4/1/30 | 85,000 | $ | 94,559 | |||||
4.30% 3/25/28 | 680,000 | 767,473 | ||||||
4.78% 3/25/38 | 120,000 | 141,816 | ||||||
Gilead Sciences | 370,000 | 466,888 | ||||||
JBS Investments II 144A 7.00% 1/15/26 # | 200,000 | 208,390 | ||||||
Kroger 2.20% 5/1/30 | 75,000 | 75,341 | ||||||
MHP 144A 6.95% 4/3/26 # | 200,000 | 186,568 | ||||||
New York & Presbyterian Hospital 4.063% 8/1/56 | 130,000 | 148,192 | ||||||
US Foods 144A | 111,000 | 114,053 | ||||||
|
| |||||||
5,014,771 | ||||||||
|
| |||||||
Electric – 5.13% | ||||||||
AEP Texas 3.45% 1/15/50 | 40,000 | 44,448 | ||||||
Berkshire Hathaway Energy 144A | 90,000 | 115,201 | ||||||
Calpine | ||||||||
144A 4.50% 2/15/28 # | 55,000 | 53,501 | ||||||
144A 5.25% 6/1/26 # | 40,000 | 40,919 | ||||||
CenterPoint Energy | ||||||||
3.85% 2/1/24 | 180,000 | 192,422 | ||||||
4.25% 11/1/28 | 291,000 | 318,097 | ||||||
Centrais Eletricas Brasileiras 144A 3.625% 2/4/25 # | 200,000 | 182,380 | ||||||
ComEd Financing III 6.35% 3/15/33 | 60,000 | 64,050 | ||||||
Duke Energy 4.875%µY | 345,000 | 341,790 | ||||||
Duke Energy Indiana | 235,000 | 239,838 | ||||||
Entergy Arkansas | 155,000 | 196,304 | ||||||
Entergy Mississippi | 330,000 | 396,760 | ||||||
Entergy Texas | 130,000 | 148,275 | ||||||
Evergy Kansas Central | 180,000 | 206,753 | ||||||
Exelon | ||||||||
3.497% 6/1/22 | 180,000 | 185,573 | ||||||
3.95% 6/15/25 | 150,000 | 165,872 | ||||||
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 140,000 | 166,013 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Electric (continued) | ||||||||
Israel Electric 144A | 200,000 | $ | 219,462 | |||||
Kallpa Generacion 144A 4.125% 8/16/27 # | 200,000 | 196,580 | ||||||
Louisville Gas & Electric | 280,000 | 351,413 | ||||||
MidAmerican Energy | 170,000 | 192,923 | ||||||
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 250,000 | 238,896 | ||||||
National Rural Utilities Cooperative Finance 5.25% 4/20/46 µ | 2,000 | 2,044 | ||||||
Nevada Power | 239,000 | 256,090 | ||||||
NV Energy | 75,000 | 76,941 | ||||||
PacifiCorp | ||||||||
2.70% 9/15/30 | 30,000 | 32,647 | ||||||
3.30% 3/15/51 | 45,000 | 50,660 | ||||||
ReNew Power 144A 5.875% 3/5/27 # | 200,000 | 163,738 | ||||||
Southern California Edison | ||||||||
3.65% 2/1/50 | 310,000 | 336,693 | ||||||
4.00% 4/1/47 | 105,000 | 116,713 | ||||||
4.875% 3/1/49 | 455,000 | 579,541 | ||||||
Southwestern Electric Power 4.10% 9/15/28 | 295,000 | 330,021 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 85,000 | 94,780 | ||||||
Vistra Operations 144A 5.50% 9/1/26 # | 229,000 | 237,084 | ||||||
Xcel Energy 2.60% 12/1/29 | 55,000 | 57,453 | ||||||
3.40% 6/1/30 | 65,000 | 72,418 | ||||||
3.50% 12/1/49 | 355,000 | 390,777 | ||||||
|
| |||||||
7,055,070 | ||||||||
|
| |||||||
Energy – 4.92% | ||||||||
AES Andres 144A | 200,000 | 174,252 | ||||||
Ecopetrol 6.875% 4/29/30 | 140,000 | 144,728 | ||||||
Energy Transfer Operating | ||||||||
5.25% 4/15/29 | 220,000 | 224,508 | ||||||
6.25% 4/15/49 | 420,000 | 419,175 | ||||||
Gazprom via Gaz Finance 144A 3.25% 2/25/30 # | 200,000 | 189,036 | ||||||
Geopark 144A | 200,000 | 145,540 |
17
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Infraestructura Energetica Nova 144A | 200,000 | $ | 168,020 | |||||
Marathon Oil | 505,000 | 392,209 | ||||||
MPLX | ||||||||
4.00% 3/15/28 | 60,000 | 56,984 | ||||||
4.125% 3/1/27 | 370,000 | 357,863 | ||||||
5.50% 2/15/49 | 600,000 | 598,946 | ||||||
Murphy Oil | 210,000 | 143,189 | ||||||
NiSource 5.65%µY | 200,000 | 184,098 | ||||||
Noble Energy | ||||||||
3.25% 10/15/29 | 360,000 | 264,163 | ||||||
3.90% 11/15/24 | 200,000 | 179,530 | ||||||
4.20% 10/15/49 | 125,000 | 85,469 | ||||||
4.95% 8/15/47 | 260,000 | 184,207 | ||||||
5.05% 11/15/44 | 75,000 | 54,965 | ||||||
Occidental Petroleum 2.90% 8/15/24 | 250,000 | 191,175 | ||||||
ONEOK 7.50% 9/1/23 | 505,000 | 543,805 | ||||||
Petrobras Global Finance 144A 5.093% 1/15/30 # | 106,000 | 96,953 | ||||||
Petroleos Mexicanos 6.75% 9/21/47 | 60,000 | 42,120 | ||||||
Sabine Pass Liquefaction | ||||||||
5.625% 3/1/25 | 315,000 | 329,979 | ||||||
5.75% 5/15/24 | 359,000 | 376,743 | ||||||
Saudi Arabian Oil 144A 4.25% 4/16/39 # | 220,000 | 227,033 | ||||||
Schlumberger Holdings 144A 4.30% 5/1/29 # | 210,000 | 207,093 | ||||||
Southwestern Energy 7.75% 10/1/27 | 175,000 | 153,387 | ||||||
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 200,000 | 190,818 | ||||||
Transcanada Trust | 305,000 | 287,232 | ||||||
Transocean Proteus 144A 6.25% 12/1/24 # | 175,000 | 150,587 | ||||||
|
| |||||||
6,763,807 | ||||||||
|
| |||||||
Finance Companies – 0.59% | ||||||||
AerCap Ireland Capital 3.65% 7/21/27 | 340,000 | 283,343 | ||||||
Air Lease 3.00% 2/1/30 | 200,000 | 160,181 | ||||||
International Lease Finance 8.625% 1/15/22 | 360,000 | 367,432 | ||||||
|
| |||||||
810,956 | ||||||||
|
|
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Insurance – 0.40% | ||||||||
AssuredPartners 144A 7.00% 8/15/25 # | 87,000 | $ | 81,563 | |||||
MetLife 6.40% 12/15/36 | 5,000 | 5,610 | ||||||
Prudential Financial 5.375% 5/15/45 µ | 265,000 | 269,608 | ||||||
USI 144A 6.875% 5/1/25 # | 190,000 | 191,663 | ||||||
|
| |||||||
548,444 | ||||||||
|
| |||||||
REITs – 0.51% | ||||||||
American Tower Trust #1 144A 3.07% 3/15/23 # | 120,000 | 122,285 | ||||||
Arabian Centres Sukuk 144A 5.375% 11/26/24 # | 200,000 | 175,000 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 45,000 | 45,551 | ||||||
5.25% 2/15/24 | 55,000 | 57,843 | ||||||
CubeSmart 3.00% 2/15/30 | 110,000 | 107,551 | ||||||
Kaisa Group Holdings 144A 11.95% 10/22/22 # | 200,000 | 195,640 | ||||||
|
| |||||||
703,870 | ||||||||
|
| |||||||
Technology – 2.21% | ||||||||
Baidu 3.875% 9/29/23 | 200,000 | 208,948 | ||||||
Broadcom | ||||||||
144A 4.70% 4/15/25 # | 250,000 | 275,979 | ||||||
144A 5.00% 4/15/30 # | 85,000 | 95,368 | ||||||
CDK Global | 77,000 | 81,016 | ||||||
CommScope Technologies 144A 5.00% 3/15/27 # | 130,000 | 111,969 | ||||||
Equinix 5.375% 5/15/27 | 280,000 | 303,702 | ||||||
Global Payments | ||||||||
2.65% 2/15/25 | 470,000 | 483,921 | ||||||
3.20% 8/15/29 | 340,000 | 350,833 | ||||||
International Business Machines 1.95% 5/15/30 | 115,000 | 114,573 | ||||||
NXP | ||||||||
144A 2.70% 5/1/25 # | 20,000 | 20,266 | ||||||
144A 3.40% 5/1/30 # | 35,000 | 35,331 | ||||||
144A 4.125% 6/1/21 # | 435,000 | 444,686 | ||||||
144A 4.30% 6/18/29 # | 27,000 | 28,750 | ||||||
144A 4.875% 3/1/24 # | 300,000 | 326,003 | ||||||
Oracle 2.95% 4/1/30 | 145,000 | 158,852 | ||||||
|
| |||||||
3,040,197 | ||||||||
|
| |||||||
Transportation – 1.25% | ||||||||
Aeropuertos Argentina 2000 144A | 175,000 | 110,591 |
(continues) 18
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios – Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Transportation (continued) | ||||||||
ASG Finance Designated Activity 144A | 200,000 | $ | 107,000 | |||||
Delta Air Lines 144A 7.00% 5/1/25 # | 685,000 | 702,788 | ||||||
FedEx 4.05% 2/15/48 | 425,000 | 421,391 | ||||||
Latam Finance 144A 7.00% 3/1/26 # | 200,000 | 83,920 | ||||||
Rutas 2 and 7 Finance 144A 3.413% 9/30/36 #^ | 200,000 | 124,220 | ||||||
Union Pacific 3.25% 2/5/50 | 165,000 | 170,153 | ||||||
|
| |||||||
1,720,063 | ||||||||
|
| |||||||
Utilities – 0.53% | ||||||||
Aegea Finance 144A | 200,000 | 196,540 | ||||||
Empresas Publicas de Medellin 144A | 200,000 | 189,580 | ||||||
Essential Utilities | ||||||||
2.704% 4/15/30 | 75,000 | 77,008 | ||||||
3.351% 4/15/50 | 75,000 | 78,545 | ||||||
KazTransGas JSC 144A | 200,000 | 190,454 | ||||||
|
| |||||||
732,127 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 61,751,437 | ||||||
|
| |||||||
Loan Agreements – 3.92% |
| |||||||
American Airlines Tranche B 2.814% (LIBOR01M + 2.00%) 12/14/23 ● | 120,558 | 93,433 | ||||||
Aramark Services Tranche B-3 2.154% (LIBOR01M + 1.75%) 3/11/25 ● | 69,950 | 65,998 | ||||||
AthenaHealth Tranche B 1st Lien 5.284% (LIBOR03M + 4.50%) 2/11/26 ● | 84,150 | 78,575 | ||||||
Bausch Health 3.718% (LIBOR01M + 3.00%) 6/2/25 ● | 85,453 | 82,818 | ||||||
Berry Global Tranche W 2.829% (LIBOR01M + 2.00%) 10/1/22 ● | 100,000 | 97,896 | ||||||
Berry Global Tranche Y 2.829% (LIBOR01M + 2.00%) 7/1/26 ● | 99,250 | 95,149 | ||||||
Blue Ribbon 1st Lien 5.623% (LIBOR03M + 4.00%) 11/15/21 ● | 39,332 | 26,451 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Buckeye Partners 3.766% | 93,048 | $ | 87,814 | |||||
Calpine | ||||||||
2.66% (LIBOR01M + 2.25%) 1/15/24 ● | 39,501 | 38,335 | ||||||
2.66% (LIBOR01M + 2.25%) 4/5/26 ● | 49,625 | 48,074 | ||||||
Charter Communications Operating Tranche B2 2.16% (LIBOR01M + 1.75%) 2/1/27 ● | 102,536 | 99,002 | ||||||
Chemours Tranche B-2 2.16% (LIBOR01M + 1.75%) 4/3/25 ● | 218,825 | 201,502 | ||||||
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) 4/18/24 ● | 98,982 | 88,022 | ||||||
Core & Main 3.988% (LIBOR03M + 2.75%) 8/1/24 ● | 142,093 | 134,929 | ||||||
CSC Holdings 3.314% (LIBOR01M + 2.50%) 4/15/27 ● | 64,027 | 61,519 | ||||||
DaVita Tranche B-1 2.154% (LIBOR01M + 1.75%) 8/12/26 ● | 124,376 | 121,480 | ||||||
Edgewater Generation 4.154% (LIBOR01M + 3.75%) 12/15/25 ● | 49,375 | 44,067 | ||||||
Ensemble RCM 5.513% (LIBOR03M + 3.75%) 8/1/26 ● | 74,625 | 71,951 | ||||||
ESH Hospitality 2.404% (LIBOR01M + 2.00%) 9/18/26 ● | 95,888 | 88,494 | ||||||
Frontier Communications Tranche B-1 5.35% (LIBOR03M + 3.75%) 6/17/24 ● | 1,136,078 | 1,111,936 | ||||||
Gardner Denver Tranche B-1 2.154% (LIBOR01M + 1.75%) 3/1/27 ● | 72,357 | 68,712 | ||||||
Gray Television Tranche B-2 3.243% (LIBOR01M + 2.25%) 2/7/24 ● | 107,721 | 103,087 | ||||||
GVC Holdings Tranche B-3 3.308% (LIBOR06M + 2.25%) 3/29/24 ● | 135,240 | 130,056 | ||||||
HCA Tranche B-12 2.154% (LIBOR01M + 1.75%) 3/13/25 ● | 227,100 | 222,923 |
19
Table of Contents
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Hilton Worldwide Finance Tranche B-2 2.237% (LIBOR01M + 1.75%) 6/22/26 ● | 35,550 | $ | 33,868 | |||||
Ineos US Finance 2.404% | 98,797 | 93,842 | ||||||
Informatica 3.654% | 52,160 | 50,465 | ||||||
IQVIA Tranche B-3 3.20% | 142,463 | 137,619 | ||||||
Iron Mountain Information Management Tranche B 2.154% (LIBOR01M + 1.75%) 1/2/26 ● | 120,635 | 113,698 | ||||||
JBS USA LUX 3.603% (LIBOR03M + 2.00%) 5/1/26 ● | 24,750 | 24,019 | ||||||
Kronos 0.00% 11/1/23 X | 52,153 | 50,491 | ||||||
Microchip Technology 2.41% (LIBOR01M + 2.00%) 5/29/25 ● | 135,100 | 131,328 | ||||||
Numericable US Tranche B-11 3.154% (LIBOR01M + 2.75%) 7/31/25 ● | 66,542 | 62,009 | ||||||
Numericable US Tranche B-13 4.814% (LIBOR01M + 4.00%) 8/14/26 ● | 34,475 | 32,186 | ||||||
ON Semiconductor Tranche B-4 2.404% (LIBOR01M + 2.00%) 9/16/26 ● | 74,535 | 71,926 | ||||||
Panda Liberty Tranche B-2 7.95% (LIBOR03M + 6.50%) 8/21/20 ● | 20,000 | 18,800 | ||||||
Panda Patriot Tranche B-1 7.20% (LIBOR03M + 5.75%) 12/19/20 ● | 69,448 | 65,281 | ||||||
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 ● | 122,878 | 108,501 | ||||||
PQ Tranche B 2.654% (LIBOR01M + 2.25%) 2/8/27 ● | 136,359 | 130,805 | ||||||
Prestige Brands Tranche B-4 2.404% (LIBOR01M + 2.00%) 1/26/24 ● | 84,923 | 83,118 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Scientific Games International Tranche | 138,192 | $ | 115,114 | |||||
Sinclair Television Group Tranche B 2.66% (LIBOR01M + 2.25%) 1/3/24 ● | 144,369 | 135,437 | ||||||
SS&C Technologies Tranche B-3 2.154% (LIBOR01M + 1.75%) 4/16/25 ● | 57,208 | 55,288 | ||||||
SS&C Technologies Tranche B-4 2.154% (LIBOR01M + 1.75%) 4/16/25 ● | 40,822 | 39,456 | ||||||
Terrier Media Buyer TBD 12/17/26 X | 52,000 | 48,533 | ||||||
T-Mobile USA TBD 4/1/27 X | 65,000 | 64,659 | ||||||
Transdigm Tranche F 2.654% (LIBOR01M + 2.25%) 12/9/25 ● | 127,996 | 112,577 | ||||||
Ultimate Software Group 1st Lien 4.154% (LIBOR01M + 3.75%) 5/4/26 ● | 58,617 | 56,199 | ||||||
US Foods Tranche B 3.072% (LIBOR01M + 2.00%) 9/13/26 ● | 119,400 | 107,497 | ||||||
Vistra Operations 2.221% (LIBOR01M + 1.75%) 12/31/25 ● | 214,873 | 193,385 | ||||||
|
| |||||||
Total Loan Agreements | 5,398,324 | |||||||
|
| |||||||
Municipal Bonds – 0.12% | ||||||||
California State | 75,000 | 126,086 | ||||||
South Carolina Public Service Authority | 30,000 | 37,347 | ||||||
|
| |||||||
Total Municipal Bonds | 163,433 | |||||||
|
| |||||||
Non-Agency Asset-Backed Securities – 3.27% |
| |||||||
Citicorp Residential Mortgage Trust | 255,956 | 254,525 | ||||||
Ford Credit Auto Lease Trust | 623,274 | 625,326 |
(continues) 20
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Ford Credit Auto Owner Trust | 160,000 | $ | 163,234 | |||||
HOA Funding | 44,500 | 42,555 | ||||||
Hyundai Auto Lease Securitization Trust | 300,000 | 300,467 | ||||||
Mercedes-Benz Auto Lease Trust | 97,123 | 97,369 | ||||||
Series 2020-A A2 1.82% 3/15/22 | 100,000 | 100,265 | ||||||
Mercedes-Benz Master Owner Trust | 500,000 | 499,632 | ||||||
Series 2018-BA A 144A 1.154% (LIBOR01M + 0.34%) 5/15/23 #● | 100,000 | 97,567 | ||||||
Series 2019-AA A 144A 1.164% (LIBOR01M + 0.35%) 5/15/23 #● | 530,000 | 521,471 | ||||||
Navistar Financial Dealer Note Master Owner Trust II | 55,000 | 53,814 | ||||||
Nissan Master Owner Trust Receivables | 265,000 | 263,533 | ||||||
Penarth Master Issuer Series 2018-2A A1 144A 1.168% (LIBOR01M + 0.45%) 9/18/22 #● | 355,000 | 353,682 | ||||||
PFS Financing | 505,000 | 499,191 | ||||||
Towd Point Mortgage Trust | 25,157 | �� | 25,119 | |||||
Series 2015-6 A1B 144A 2.75% 4/25/55 #● | 32,802 | 32,875 |
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Towd Point Mortgage Trust | 47,260 | $ | 47,515 | |||||
Series 2017-2 A1 144A 2.75% 4/25/57 #● | 47,719 | 47,845 | ||||||
Series 2018-1 A1 144A 3.00% 1/25/58 #● | 65,288 | 66,426 | ||||||
Verizon Owner Trust | 89,840 | 90,051 | ||||||
Volvo Financial Equipment Master Owner Trust | 255,000 | 248,702 | ||||||
Wendys Funding | 78,200 | 74,937 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities |
| 4,506,101 | ||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 1.95% |
| |||||||
Chase Home Lending Mortgage Trust | 167,973 | 169,339 | ||||||
Connecticut Avenue Securities Trust | 117,405 | 104,577 | ||||||
Flagstar Mortgage Trust | 31,012 | 31,041 | ||||||
Galton Funding Mortgage Trust | 37,921 | 37,968 | ||||||
GS Mortgage-Backed Securities Trust | 189,681 | 192,801 | ||||||
Holmes Master Issuer | 124,559 | 123,772 | ||||||
JPMorgan Mortgage Trust | 50,879 | 49,548 |
21
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
JPMorgan Mortgage Trust | 50,879 | $ | 49,423 | |||||
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #● | 100,000 | 99,736 | ||||||
Series 2015-4 B1 144A 3.62% 6/25/45 #● | 88,449 | 86,161 | ||||||
Series 2015-4 B2 144A 3.62% 6/25/45 #● | 88,449 | 85,840 | ||||||
Series 2015-5 B2 144A 3.06% 5/25/45 #● | 92,904 | 92,330 | ||||||
Series 2015-6 B1 144A 3.595% 10/25/45 #● | 87,127 | 85,882 | ||||||
Series 2015-6 B2 144A 3.595% 10/25/45 #● | 87,127 | 85,399 | ||||||
Series 2016-4 B1 144A 3.889% 10/25/46 #● | 90,792 | 90,718 | ||||||
Series 2016-4 B2 144A 3.889% 10/25/46 #● | 90,792 | 89,184 | ||||||
Series 2017-2 A3 144A 3.50% 5/25/47 #● | 35,005 | 35,611 | ||||||
Series 2019-LTV3 A3 144A 3.50% 3/25/50 #● | 205,782 | 208,073 | ||||||
Series 2020-2 A3 144A 3.50% 7/25/50 #● | 116,585 | 120,953 | ||||||
New Residential Mortgage Loan Trust | 75,299 | 77,854 | ||||||
Sequoia Mortgage Trust | 19,611 | 20,059 | ||||||
Series 2015-1 B2 144A 3.876% 1/25/45 #● | 37,984 | 37,312 | ||||||
Series 2015-2 B2 144A 3.736% 5/25/45 #● | 327,200 | 322,838 | ||||||
Series 2017-4 A1 144A 3.50% 7/25/47 #● | 56,608 | 58,018 | ||||||
Series 2017-5 B1 144A 3.841% 8/25/47 #● | 238,370 | 235,371 | ||||||
Series 2019-CH1 A1 144A 4.50% 3/25/49 #● | 95,267 | 96,863 | ||||||
|
| |||||||
Total Non-Agency Collateralized Mortgage Obligations (cost $2,710,519) |
| 2,686,671 | ||||||
|
|
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities – 5.96% |
| |||||||
BANK | 225,000 | $ | 241,189 | |||||
Series 2017-BNK5 B 3.896% 6/15/60 ● | 95,000 | 90,609 | ||||||
Series 2017-BNK7 A5 3.435% 9/15/60 | 190,000 | 205,603 | ||||||
Series 2019-BN20 A3 3.011% 9/15/62 | 205,000 | 217,774 | ||||||
Series 2019-BN21 A5 2.851% 10/17/52 | 200,000 | 209,130 | ||||||
Benchmark Mortgage Trust | 400,000 | 440,496 | ||||||
Series 2018-B3 A5 4.025% 4/10/51 | 130,000 | 146,457 | ||||||
Cantor Commercial Real Estate Lending | 200,000 | 207,481 | ||||||
CD Mortgage Trust | 100,000 | 104,886 | ||||||
CFCRE Commercial Mortgage Trust | 185,000 | 199,950 | ||||||
Citigroup Commercial Mortgage Trust | 120,000 | 125,432 | ||||||
Series 2016-P3 A4 3.329% 4/15/49 | 308,000 | 323,064 | ||||||
Series 2017-C4 A4 3.471% 10/12/50 | 120,000 | 128,708 | ||||||
Series 2019-C7 A4 3.102% 12/15/72 | 280,000 | 299,626 | ||||||
Series 2020-555 A 144A 2.647% 12/10/41 # | 100,000 | 98,491 | ||||||
COMM Mortgage Trust | 105,000 | 104,909 | ||||||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 100,000 | 105,220 | ||||||
Series 2014-CR19 A5 3.796% 8/10/47 | 80,000 | 84,352 | ||||||
Series 2014-CR20 AM 3.938% 11/10/47 | 350,000 | 360,167 | ||||||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 130,000 | 134,640 |
(continues) 22
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) |
| |||||||
COMM Mortgage Trust | 115,000 | $ | 118,615 | |||||
DB-JPM | 165,000 | 174,946 | ||||||
Series 2016-C1 B 4.195% 5/10/49 ● | 25,000 | 24,065 | ||||||
Series 2016-C3 A5 2.89% 8/10/49 | 140,000 | 146,149 | ||||||
GRACE Mortgage Trust | 250,000 | 250,750 | ||||||
GS Mortgage Securities Trust | 100,000 | 98,334 | ||||||
Series 2015-GC32 A4 3.764% 7/10/48 | 75,000 | 79,667 | ||||||
Series 2017-GS5 A4 3.674% 3/10/50 | 175,000 | 185,918 | ||||||
Series 2017-GS6 A3 3.433% 5/10/50 | 115,000 | 118,732 | ||||||
Series 2018-GS9 A4 3.992% 3/10/51 ● | 130,000 | 144,481 | ||||||
Series 2018-GS9 B 4.321% 3/10/51 ● | 125,000 | 121,853 | ||||||
Series 2019-GC39 A4 3.567% 5/10/52 | 70,000 | 76,850 | ||||||
Series 2019-GC42 A4 3.001% 9/1/52 | 345,000 | 364,563 | ||||||
JPM-BB Commercial | 255,000 | 276,333 | ||||||
JPM-DB Commercial | 290,000 | 312,679 | ||||||
JPMorgan Chase Commercial | 150,000 | 146,809 | ||||||
Series 2015-JP1 A5 3.914% 1/15/49 | 170,000 | 185,577 | ||||||
Series 2016-JP2 AS 3.056% 8/15/49 | 180,000 | 179,232 | ||||||
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 105,000 | 90,968 | ||||||
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 85,000 | 72,642 |
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
LB-UBS Commercial Mortgage Trust | 40,201 | $ | 23,497 | |||||
Morgan Stanley BAML Trust | 100,000 | 104,671 | ||||||
Series 2015-C26 A5 3.531% 10/15/48 | 120,000 | 125,593 | ||||||
Series 2016-C29 A4 3.325% 5/15/49 | 95,000 | 98,603 | ||||||
Morgan Stanley Capital I Trust 5.448% 11/12/41 ● | 69,463 | 68,481 | ||||||
UBS Commercial Mortgage Trust | 225,000 | 252,380 | ||||||
UBS-Barclays Commercial Mortgage Trust | 150,000 | 145,484 | ||||||
Wells Fargo Commercial Mortgage Trust | 80,000 | 84,065 | ||||||
Series 2016-BNK1 A3 2.652% 8/15/49 | 155,000 | 154,729 | ||||||
Series 2017-C38 A5 3.453% 7/15/50 | 140,000 | 150,238 | ||||||
|
| |||||||
Total Non-Agency Commercial |
| 8,205,088 | ||||||
|
| |||||||
Sovereign Bonds – 2.10%D |
| |||||||
Argentina – 0.05% | ||||||||
Argentine Republic Government International Bond 5.625% 1/26/22 | 258,000 | 72,627 | ||||||
|
| |||||||
72,627 | ||||||||
|
| |||||||
Brazil – 0.13% | ||||||||
Brazilian Government International Bond 4.75% 1/14/50 | 200,000 | 180,750 | ||||||
|
| |||||||
180,750 | ||||||||
|
|
23
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) |
| |||||||||||
Egypt – 0.13% | ||||||||||||
Egypt Government | 200,000 | $ | 180,361 | |||||||||
|
| |||||||||||
180,361 | ||||||||||||
|
| |||||||||||
El Salvador – 0.10% | ||||||||||||
El Salvador Government | 175,000 | 134,750 | ||||||||||
|
| |||||||||||
134,750 | ||||||||||||
|
| |||||||||||
Ivory Coast – 0.12% | ||||||||||||
Ivory Coast Government | 200,000 | 173,154 | ||||||||||
|
| |||||||||||
173,154 | ||||||||||||
|
| |||||||||||
Paraguay – 0.15% | ||||||||||||
Paraguay Government | 200,000 | 207,375 | ||||||||||
|
| |||||||||||
207,375 | ||||||||||||
|
| |||||||||||
Peru – 0.15% | ||||||||||||
Peruvian Government | 200,000 | 203,400 | ||||||||||
|
| |||||||||||
203,400 | ||||||||||||
|
| |||||||||||
Philippines – 0.15% | ||||||||||||
Philippine Government | 200,000 | 204,450 | ||||||||||
|
| |||||||||||
204,450 | ||||||||||||
|
| |||||||||||
Qatar – 0.32% | ||||||||||||
Qatar Government | 200,000 | 213,133 | ||||||||||
144A 4.00% 3/14/29 # | 200,000 | 222,434 | ||||||||||
|
| |||||||||||
435,567 | ||||||||||||
|
| |||||||||||
Russia – 0.16% | ||||||||||||
Russian Foreign Bond - | 200,000 | 217,265 | ||||||||||
|
| |||||||||||
217,265 | ||||||||||||
|
|
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) |
| |||||||||||
Saudi Arabia – 0.15% | ||||||||||||
Saudi Government | 200,000 | $ | 203,000 | |||||||||
|
| |||||||||||
203,000 | ||||||||||||
|
| |||||||||||
Senegal – 0.12% | ||||||||||||
Senegal Government | 200,000 | 167,446 | ||||||||||
|
| |||||||||||
167,446 | ||||||||||||
|
| |||||||||||
South Africa – 0.11% | ||||||||||||
Republic of South Africa | 200,000 | 157,108 | ||||||||||
|
| |||||||||||
157,108 | ||||||||||||
|
| |||||||||||
Turkey – 0.11% | ||||||||||||
Turkey Government | 200,000 | 152,715 | ||||||||||
|
| |||||||||||
152,715 | ||||||||||||
|
| |||||||||||
Uzbekistan – 0.15% | ||||||||||||
Republic of Uzbekistan Bond | 200,000 | 203,400 | ||||||||||
|
| |||||||||||
203,400 | ||||||||||||
|
| |||||||||||
Total Sovereign Bonds (cost $3,151,553) |
| 2,893,368 | ||||||||||
|
| |||||||||||
Supranational Banks – 0.28% |
| |||||||||||
Banque Ouest Africaine de Developpement 144A 4.70% 10/22/31 # | 200,000 | 181,192 | ||||||||||
Central American Bank For Economic Integration 144A 2.00% 5/6/25 # | 200,000 | 197,500 | ||||||||||
|
| |||||||||||
Total Supranational Banks |
| 378,692 | ||||||||||
|
| |||||||||||
US Treasury Obligations – 10.54% |
| |||||||||||
US Treasury Bond 4.50% 2/15/36 | 2,130,000 | 3,286,773 | ||||||||||
US Treasury Floating Rate Note 0.264% (USBMMY3M + 0.154%) 1/31/22 ● | 810,000 | 811,208 | ||||||||||
US Treasury Inflation Indexed Notes 0.125% 10/15/24 | 685,603 | 701,258 |
(continues) 24
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Core Plus Bond Portfolio
Principal amount° | Value (US $) | |||||||
US Treasury Obligations (continued) |
| |||||||
US Treasury Inflation Indexed Notes | 7,254,106 | $ | 7,658,249 | |||||
US Treasury Notes | 285,000 | 286,982 | ||||||
1.625% 12/31/21 | 385,000 | 394,136 | ||||||
US Treasury Strip Principal 2.26% 5/15/44 ^ | 1,890,000 | 1,369,723 | ||||||
|
| |||||||
Total US Treasury Obligations |
| 14,508,329 | ||||||
|
| |||||||
Number of shares | ||||||||
Short-Term Investments – 0.92% |
| |||||||
Money Market Mutual Funds – 0.92% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 251,771 | 251,771 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 251,771 | 251,771 | ||||||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 251,771 | 251,771 | ||||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 251,772 | 251,772 | ||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 251,771 | 251,771 | ||||||
|
| |||||||
Total Short-Term Investments |
| 1,258,856 | ||||||
|
|
Total Value of Securities – 100.25% | $ | 137,963,401 | ||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2020, the aggregate value of Rule 144A securities was $34,540,293,which represents 25.10% 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. |
° | 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, 2020. Rate will reset at a future date. |
Y | No contractual maturity date. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at April 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their description above. |
X | This loan will settle after April 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
25
Table of Contents
The following futures contracts were outstanding at April 30, 2020:1
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||||||||||
103 | US Treasury 5 yr Notes | $ | 12,924,891 | $ | 12,488,993 | 6/30/20 | $ | 435,898 | $ | — | $ 7,243 | |||||||||||||||||||||
(42) | US Treasury 10 yr Notes | (5,840,625 | ) | (5,731,713 | ) | 6/19/20 | — | (108,912 | ) | (3,938 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Futures Contracts | $ | 6,757,280 | $ | 435,898 | $ | (108,912 | ) | $ 3,305 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio’s net assets.
1See Note 6 in “Notes to financial statements.”
Summary of abbreviations:
BAML – Bank of America Merrill Lynch
BB – Barclays Bank
CLO – Collateralized Loan Obligation
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
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REIT – Real Estate Investment Trust
REMIC – Real Estate Mortgage Investment Conduit
S.F. – single family
TBD – To be determined
USBMMY3M – US Treasury 3 Months Bill Money Market Yield
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
26
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
April 30, 2020 (Unaudited)
Principal amount° | Value (US $) | |||||||
Corporate Bonds – 86.84% |
| |||||||
Automotive – 1.04% | ||||||||
Allison Transmission | 518,000 | $ | 505,221 | |||||
Ford Motor | 360,000 | 357,750 | ||||||
9.00% 4/22/25 | 115,000 | 112,413 | ||||||
|
| |||||||
975,384 | ||||||||
|
| |||||||
Banking – 4.44% | ||||||||
Ally Financial | 565,000 | 690,051 | ||||||
Credit Suisse Group | 750,000 | 772,434 | ||||||
Deutsche Bank 6.00%µY | 400,000 | 291,000 | ||||||
Popular 6.125% 9/14/23 | 1,215,000 | 1,178,307 | ||||||
Royal Bank of Scotland Group | 1,205,000 | 1,234,462 | ||||||
|
| |||||||
4,166,254 | ||||||||
|
| |||||||
Basic Industry – 9.50% | ||||||||
Allegheny Technologies | 685,000 | 570,263 | ||||||
Blue Cube Spinco | 176,000 | 187,422 | ||||||
BMC East | 505,000 | 483,437 | ||||||
Boise Cascade | 400,000 | 400,920 | ||||||
First Quantum Minerals | 530,000 | 483,784 | ||||||
144A 7.50% 4/1/25 # | 405,000 | 359,519 | ||||||
Freeport-McMoRan | 952,000 | 882,361 | ||||||
Hudbay Minerals | 230,000 | 209,231 | ||||||
IAMGOLD | 190,000 | 192,884 | ||||||
Joseph T Ryerson & Son | 246,000 | 237,697 | ||||||
Kraton Polymers | 480,000 | 464,160 | ||||||
Lennar 5.00% 6/15/27 | 240,000 | 248,184 | ||||||
M/I Homes | 612,000 | 539,325 | ||||||
Mattamy Group | 145,000 | 130,723 | ||||||
144A 5.25% 12/15/27 # | 375,000 | 353,906 | ||||||
New Enterprise Stone & Lime | 420,000 | 419,811 | ||||||
Novelis | 330,000 | 322,509 | ||||||
Olin 5.00% 2/1/30 | 250,000 | 219,463 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) | ||||||||
PolyOne | 690,000 | $ | 699,056 | |||||
Standard Industries | 925,000 | 958,531 | ||||||
Steel Dynamics | 341,000 | 348,928 | ||||||
Tms International Holding | 270,000 | 203,459 | ||||||
|
| |||||||
8,915,573 | ||||||||
|
| |||||||
Capital Goods – 6.28% | ||||||||
ARD Finance 144A PIK | 400,000 | 373,140 | ||||||
Ardagh Packaging Finance | 200,000 | 201,424 | ||||||
Berry Global | 635,000 | 659,638 | ||||||
Bombardier | 270,000 | 176,344 | ||||||
144A 7.875% 4/15/27 # | 250,000 | 163,450 | ||||||
EnPro Industries | 545,000 | 535,245 | ||||||
Gates Global | 320,000 | 292,707 | ||||||
Griffon 5.75% 3/1/28 | 500,000 | 478,600 | ||||||
Intertape Polymer Group | 385,000 | 393,050 | ||||||
Mauser Packaging Solutions Holding | 505,000 | 398,319 | ||||||
Titan Acquisition | 170,000 | 159,086 | ||||||
TransDigm | 690,000 | 678,581 | ||||||
144A 8.00% 12/15/25 # | 90,000 | 94,050 | ||||||
United Rentals North America | 460,000 | 463,289 | ||||||
5.875% 9/15/26 | 430,000 | 444,534 | ||||||
6.50% 12/15/26 | 370,000 | 385,595 | ||||||
|
| |||||||
5,897,052 | ||||||||
|
| |||||||
Consumer Cyclical – 3.66% | ||||||||
Albertsons | 399,000 | 406,980 | ||||||
Boyd Gaming | 490,000 | 424,389 | ||||||
MGM Growth Properties | 495,000 | 502,747 |
27
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
MGM Resorts International | 345,000 | $ | 333,360 | |||||
Murphy Oil USA | 210,000 | 217,213 | ||||||
5.625% 5/1/27 | 700,000 | 725,655 | ||||||
Scientific Games International | 396,000 | 300,841 | ||||||
William Carter | 510,000 | 519,976 | ||||||
|
| |||||||
3,431,161 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 4.65% |
| |||||||
JBS USA LUX | 250,000 | 254,287 | ||||||
144A 5.75% 6/15/25 # | 75,000 | 76,313 | ||||||
144A 6.50% 4/15/29 # | 335,000 | 354,132 | ||||||
144A 6.75% 2/15/28 # | 525,000 | 566,181 | ||||||
Kraft Heinz Foods | 335,000 | 350,987 | ||||||
5.00% 7/15/35 | 340,000 | 365,267 | ||||||
5.20% 7/15/45 | 395,000 | 405,891 | ||||||
Pilgrim’s Pride | 465,000 | 472,128 | ||||||
Post Holdings | 490,000 | 494,729 | ||||||
Spectrum Brands | 585,000 | 562,829 | ||||||
US Foods | 448,000 | 460,320 | ||||||
|
| |||||||
4,363,064 | ||||||||
|
| |||||||
Energy – 7.90% | ||||||||
Cheniere Corpus Christi | 830,000 | 888,205 | ||||||
Cheniere Energy Partners | 460,000 | 426,489 | ||||||
Continental Resources | 270,000 | 256,500 | ||||||
Crestwood Midstream Partners | 535,000 | 351,121 | ||||||
DCP Midstream Operating | 505,000 | 378,422 | ||||||
Genesis Energy | 675,000 | 571,219 | ||||||
Murphy Oil | 690,000 | 470,477 | ||||||
NuStar Logistics | 630,000 | 578,623 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Occidental Petroleum | 585,000 | $ | 511,875 | |||||
2.70% 2/15/23 | 270,000 | 233,280 | ||||||
PDC Energy | 389,000 | 308,205 | ||||||
Precision Drilling | 840,000 | 341,964 | ||||||
Southwestern Energy | 340,000 | 298,010 | ||||||
Sunoco | 235,000 | 230,488 | ||||||
Targa Resources Partners | 490,000 | 418,779 | ||||||
5.875% 4/15/26 | 340,000 | 303,348 | ||||||
Transocean | 355,000 | 142,887 | ||||||
144A 8.00% 2/1/27 # | 405,000 | 159,975 | ||||||
WPX Energy | 135,000 | 110,700 | ||||||
5.25% 10/15/27 | 500,000 | 437,325 | ||||||
|
| |||||||
7,417,892 | ||||||||
|
| |||||||
Financial Services – 0.68% | ||||||||
DAE Funding | 705,000 | 636,121 | ||||||
|
| |||||||
636,121 | ||||||||
|
| |||||||
Healthcare – 7.72% | ||||||||
AMN Healthcare | 575,000 | 561,833 | ||||||
Bausch Health | 1,080,000 | 1,128,060 | ||||||
Catalent Pharma Solutions | 265,000 | 271,532 | ||||||
Change Healthcare Holdings | 180,000 | 177,105 | ||||||
Charles River Laboratories International | 905,000 | 935,951 | ||||||
CHS 144A 8.00% 3/15/26 # | 530,000 | 510,538 | ||||||
Encompass Health | 295,000 | 296,410 | ||||||
Hadrian Merger Sub | 550,000 | 478,280 | ||||||
HCA | 340,000 | 367,315 | ||||||
5.875% 2/1/29 | 815,000 | 936,394 | ||||||
7.58% 9/15/25 | 230,000 | 263,350 | ||||||
Tenet Healthcare | 235,000 | 221,194 |
(continues) 28
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Healthcare (continued) | ||||||||
Tenet Healthcare | 500,000 | $ | 493,875 | |||||
6.875% 11/15/31 | 210,000 | 183,141 | ||||||
8.125% 4/1/22 | 420,000 | 425,145 | ||||||
|
| |||||||
7,250,123 | ||||||||
|
| |||||||
Insurance – 3.59% | ||||||||
Centene | 530,000 | 582,815 | ||||||
144A 5.375% 8/15/26 # | 935,000 | 1,004,657 | ||||||
GTCR AP Finance | 160,000 | 150,736 | ||||||
HUB International | 865,000 | 858,729 | ||||||
USI 144A 6.875% 5/1/25 # | 765,000 | 771,694 | ||||||
|
| |||||||
3,368,631 | ||||||||
|
| |||||||
Media – 12.28% | ||||||||
Altice Financing | 555,000 | 544,594 | ||||||
CCO Holdings | 1,435,000 | 1,448,919 | ||||||
144A 5.375% 6/1/29 # | 465,000 | 492,742 | ||||||
Clear Channel Worldwide Holdings | 942,000 | 789,113 | ||||||
Connect Finco | 970,000 | 929,405 | ||||||
CSC Holdings | 1,315,000 | 1,371,331 | ||||||
5.875% 9/15/22 | 314,000 | 328,350 | ||||||
144A 7.50% 4/1/28 # | 440,000 | 486,085 | ||||||
144A 10.875% 10/15/25 # | 260,000 | 282,269 | ||||||
Cumulus Media New Holdings | 495,000 | 405,504 | ||||||
Gray Television | 495,000 | 500,866 | ||||||
LCPR Senior Secured Financing | 490,000 | 506,979 | ||||||
Netflix | 285,000 | 306,532 | ||||||
144A 5.375% 11/15/29 # | 145,000 | 159,921 | ||||||
Nexstar Broadcasting | 830,000 | 796,509 | ||||||
Radiate Holdco | 470,000 | 468,731 | ||||||
Sirius XM Radio | 90,000 | 92,232 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Media (continued) | ||||||||
Sirius XM Radio | 895,000 | $ | 927,444 | |||||
Terrier Media Buyer | 420,000 | 349,125 | ||||||
VTR Finance | 345,000 | 345,141 | ||||||
|
| |||||||
11,531,792 | ||||||||
|
| |||||||
Real Estate – 0.88% | ||||||||
HAT Holdings I | 825,000 | 823,020 | ||||||
|
| |||||||
823,020 | ||||||||
|
| |||||||
Services – 3.06% | ||||||||
Clean Harbors | 290,000 | 297,134 | ||||||
Covanta Holding | 555,000 | 536,741 | ||||||
GFL Environmental | 460,000 | 463,450 | ||||||
Prime Security Services Borrower | 940,000 | 930,600 | ||||||
144A 6.25% 1/15/28 # | 715,000 | 646,181 | ||||||
|
| |||||||
2,874,106 | ||||||||
|
| |||||||
Technology & Electronics – 7.06% |
| |||||||
Banff Merger Sub | 730,000 | 659,774 | ||||||
Broadcom | 445,000 | 499,282 | ||||||
Camelot Finance | 415,000 | 420,063 | ||||||
CDK Global | 771,000 | 811,208 | ||||||
CommScope Technologies | 525,000 | 452,183 | ||||||
Iron Mountain US Holdings | 480,000 | 481,008 | ||||||
Open Text | 150,000 | 146,953 | ||||||
Open Text Holdings | 654,000 | 639,220 | ||||||
RP Crown Parent | 768,000 | 760,166 | ||||||
Science Applications International | 470,000 | 462,485 | ||||||
SS&C Technologies | 793,000 | 816,552 |
29
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Technology & Electronics (continued) | ||||||||
Verscend Escrow | 460,000 | $ | 482,448 | |||||
|
| |||||||
6,631,342 | ||||||||
|
| |||||||
Telecommunications – 10.10% |
| |||||||
Altice France Holding | 710,000 | 653,200 | ||||||
144A 10.50% 5/15/27 # | 445,000 | 481,757 | ||||||
C&W Senior Financing | 433,000 | 430,099 | ||||||
CenturyLink | 305,000 | 297,756 | ||||||
144A 5.125% 12/15/26 # | 730,000 | 696,237 | ||||||
Cincinnati Bell | 565,000 | 575,419 | ||||||
Consolidated Communications | 795,000 | 718,481 | ||||||
Frontier Communications | 1,071,000 | 1,097,079 | ||||||
Sprint | ||||||||
7.125% 6/15/24 | 215,000 | 242,455 | ||||||
7.625% 3/1/26 | 190,000 | 225,483 | ||||||
7.875% 9/15/23 | 995,000 | 1,124,350 | ||||||
Sprint Capital | 175,000 | 246,689 | ||||||
T-Mobile USA | 325,000 | 333,401 | ||||||
6.50% 1/15/26 | 532,000 | 563,734 | ||||||
Uniti Group | 765,000 | 741,094 | ||||||
Vodafone Group | 285,000 | 326,577 | ||||||
Zayo Group Holdings | 770,000 | 729,359 | ||||||
|
| |||||||
9,483,170 | ||||||||
|
| |||||||
Transportation – 1.03% | ||||||||
Delta Air Lines | 470,000 | 482,205 | ||||||
Stena International | 200,000 | 176,250 | ||||||
VistaJet Malta Finance | 380,000 | 305,026 | ||||||
|
| |||||||
963,481 | ||||||||
|
| |||||||
Utilities – 2.97% | ||||||||
AES 5.125% 9/1/27 | 485,000 | 507,868 | ||||||
Calpine | 585,000 | 598,443 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Utilities (continued) | ||||||||
Edison International | 130,000 | $ | 141,297 | |||||
Vistra Operations | ||||||||
144A 5.00% 7/31/27 # | 241,000 | 246,916 | ||||||
144A 5.50% 9/1/26 # | 834,000 | 863,440 | ||||||
144A 5.625% 2/15/27 # | 410,000 | 433,431 | ||||||
|
| |||||||
2,791,395 | ||||||||
|
| |||||||
Total Corporate Bonds (cost $84,586,816) |
| 81,519,561 | ||||||
|
| |||||||
| ||||||||
Loan Agreements – 7.14% |
| |||||||
Air Medical Group Holdings | 513,270 | 473,492 | ||||||
Applied Systems 2nd Lien | 949,290 | 916,065 | ||||||
Apro 5.00% (LIBOR01M + | 154,940 | 148,355 | ||||||
Blue Ribbon 1st Lien 5.623% | 161,356 | 108,512 | ||||||
BW Gas & Convenience Holdings 6.88% | 99,120 | 89,703 | ||||||
Calpine 2.66% (LIBOR01M + | 65,827 | 63,883 | ||||||
Granite US Holdings Tranche | 483,919 | 396,813 | ||||||
Informatica 2nd Lien 7.125% (LIBOR06M + 0.00%) 2/14/25 ● | 525,000 | 495,469 | ||||||
Kronos 2nd Lien 10.013% | 498,000 | 481,193 | ||||||
LCPR Loan Financing 5.814% | 193,000 | 191,553 | ||||||
Merrill Communications | 352,230 | 331,096 | ||||||
Ortho-Clinical Diagnostics | 493,000 | 441,235 | ||||||
Panda Liberty Tranche B-2 | 262,319 | 246,579 |
(continues) 30
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Panda Patriot Tranche B-1 7.20% (LIBOR03M + | 150,306 | $ | 141,287 | |||||
Panda Patriot Tranche B-2 7.20% (LIBOR03M + | 113,012 | 106,231 | ||||||
Stars Group Holdings TBD 7/10/25 X | 485,000 | 480,150 | ||||||
Summit Midstream Partners Holdings 7.00% (LIBOR01M + 6.00%) 5/13/22 ● | 206,524 | 41,305 | ||||||
Surgery Center Holdings TBD 9/2/24 X | 546,000 | 489,580 | ||||||
Terrier Media Buyer 5.70% | 497,753 | 464,569 | ||||||
Ultimate Software Group 1st | 83,000 | 79,576 | ||||||
Vantage Specialty Chemicals | 275,000 | 187,344 | ||||||
Verscend Holding Tranche B 4.904% (LIBOR01M + | 343,834 | 325,944 | ||||||
|
| |||||||
Total Loan Agreements |
| 6,699,934 | ||||||
|
| |||||||
Number of shares | ||||||||
Common Stock – 0.00% | ||||||||
Century Communications =† | 60,000 | 0 | ||||||
|
| |||||||
Total Common Stock (cost $1,816) |
| 0 | ||||||
|
| |||||||
| ||||||||
Short-Term Investments – 5.90% |
| |||||||
Money Market Mutual Funds – 5.90% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 1,107,577 | 1,107,577 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 1,107,578 | 1,107,578 |
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 0.25%) | 1,107,578 | $ | 1,107,578 | |||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 1,107,578 | 1,107,578 | ||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 1,107,578 | 1,107,578 | ||||||
|
| |||||||
Total Short-Term Investments |
| 5,537,889 | ||||||
|
| |||||||
Total Value of Securities – 99.88% |
| $ | 93,757,384 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2020, the aggregate value of Rule 144A securities was $55,195,535,which represents 58.80% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” |
✤ | PIK. 100% of the income received was in the form of both cash and principal. |
= | 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. |
‡ | Non-income producing security. Security is currently in default. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at April 30, 2020. 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, 2020.For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the |
31
Table of Contents
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, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
Unfunded Loan Commitments1
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, 2020:
Borrower | Principal Amount | Value | Unrealized Appreciation (Depreciation) | |||||||
Apro 4.00% (LIBOR03M+4.00%) 10/28/26 | $ | 44,380 | 42,494 | $ | (1,886 | ) |
1 See Note 9 in “Notes to financial statements.“
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
TBD – To be determined
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
(continues) 32
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios – Macquarie Emerging Markets Portfolio
April 30, 2020 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 97.48%D |
| |||||||
Brazil – 2.39% | ||||||||
Hypera | 193,700 | $ | 1,036,910 | |||||
Suzano † | 89,600 | 647,874 | ||||||
|
| |||||||
1,684,784 | ||||||||
|
| |||||||
China/Hong Kong – 46.84% |
| |||||||
Alibaba Group Holding † | 74,200 | 1,883,138 | ||||||
Alibaba Group Holding ADR † | 17,285 | 3,503,151 | ||||||
Brilliance China Automotive Holdings | 544,000 | 503,329 | ||||||
China Medical System | ||||||||
Holdings | 1,006,000 | 1,184,235 | ||||||
China Merchants Bank Class H | 688,000 | 3,255,831 | ||||||
China Mobile | 196,500 | 1,579,675 | ||||||
CSPC Pharmaceutical Group | 988,000 | 1,955,961 | ||||||
Hengan International Group | 163,000 | 1,449,551 | ||||||
Jiangsu Expressway Class H | 191,000 | 227,990 | ||||||
NetEase ADR | 10,236 | 3,531,010 | ||||||
Ping An Insurance Group Co. of China Class H | 375,000 | 3,816,098 | ||||||
Sands China | 254,000 | 1,028,318 | ||||||
Tencent Holdings | 64,000 | 3,364,444 | ||||||
Tingyi Cayman Islands Holding | 1,200,000 | 2,130,121 | ||||||
WH Group 144A # | 2,265,500 | 2,160,728 | ||||||
Yum China Holdings | 30,124 | 1,459,809 | ||||||
|
| |||||||
33,033,389 | ||||||||
|
| |||||||
India – 11.21% | ||||||||
Bajaj Auto | 22,025 | 769,401 | ||||||
HCL Technologies | 230,234 | 1,666,472 | ||||||
Housing Development Finance | 45,020 | 1,148,656 | ||||||
Indiabulls Housing Finance | 320,527 | 566,402 | ||||||
Infosys ADR | 150,647 | 1,390,472 | ||||||
Reliance Industries | 120,957 | 2,361,315 | ||||||
|
| |||||||
7,902,718 | ||||||||
|
| |||||||
Indonesia – 1.08% | ||||||||
Bank Rakyat Indonesia Persero | 4,143,100 | 760,381 | ||||||
|
| |||||||
760,381 | ||||||||
|
| |||||||
Malaysia – 0.56% | ||||||||
AMMB Holdings | 459,500 | 318,444 | ||||||
Genting Malaysia | 142,100 | 78,320 | ||||||
|
| |||||||
396,764 | ||||||||
|
| |||||||
Mexico – 1.92% | ||||||||
Fibra Uno Administracion | 1,110,916 | 922,345 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Mexico (continued) | ||||||||
Grupo Financiero Banorte Class O | 157,413 | $ | 430,941 | |||||
|
| |||||||
1,353,286 | ||||||||
|
| |||||||
Peru – 0.91% | ||||||||
Credicorp | 4,334 | 645,853 | ||||||
|
| |||||||
645,853 | ||||||||
|
| |||||||
Qatar – 0.10% | ||||||||
Qatar Electricity & Water | 16,649 | 69,047 | ||||||
|
| |||||||
69,047 | ||||||||
|
| |||||||
Republic of Korea – 12.97% | ||||||||
Korea Zinc | 1,811 | 575,597 | ||||||
LG Chem | 7,678 | 2,385,657 | ||||||
Samsung Electronics | 98,189 | 4,037,292 | ||||||
Samsung Fire & Marine Insurance | 5,494 | 861,637 | ||||||
Shinhan Financial Group | 50,747 | 1,286,566 | ||||||
|
| |||||||
9,146,749 | ||||||||
|
| |||||||
Romania – 0.26% | ||||||||
Societatea Nationala de Gaze Naturale ROMGAZ GDR ³ | 27,881 | 181,227 | ||||||
|
| |||||||
181,227 | ||||||||
|
| |||||||
Russia – 4.41% | ||||||||
Gazprom PJSC ADR | 327,838 | 1,664,106 | ||||||
LUKOIL PJSC ADR (London International Exchange) | 22,080 | 1,446,240 | ||||||
|
| |||||||
3,110,346 | ||||||||
|
| |||||||
Taiwan – 10.70% | ||||||||
ASE Technology Holding | 775,000 | 1,748,777 | ||||||
CTBC Financial Holding | 1,084,046 | 729,101 | ||||||
Mega Financial Holding | 266,245 | 269,500 | ||||||
Taiwan Semiconductor Manufacturing | 468,588 | 4,798,313 | ||||||
|
| |||||||
7,545,691 | ||||||||
|
| |||||||
Thailand – 0.09% | ||||||||
Kasikornbank NVDR | 24,600 | 65,577 | ||||||
|
| |||||||
65,577 | ||||||||
|
| |||||||
United Arab Emirates – 0.95% |
| |||||||
First Abu Dhabi Bank | 212,886 | 672,305 | ||||||
|
| |||||||
672,305 | ||||||||
|
| |||||||
United Kingdom – 3.09% |
| |||||||
Mondi | 83,108 | 1,475,911 |
33
Table of Contents
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
United Kingdom (continued) |
| |||||||
Unilever | 14,052 | $ | 701,881 | |||||
|
| |||||||
2,177,792 | ||||||||
|
| |||||||
Total Common Stock |
| 68,745,909 | ||||||
|
| |||||||
| ||||||||
Preferred Stock – 1.75%D |
| |||||||
Brazil – 0.99% | ||||||||
Itau Unibanco Holding ADR 11.11% | 37,138 | 156,351 | ||||||
Itausa - Investimentos Itau 5.72% | 328,288 | 543,937 | ||||||
|
| |||||||
700,288 | ||||||||
|
| |||||||
Republic of Korea – 0.76% |
| |||||||
Samsung Electronics 3.37% | 15,351 | 532,152 | ||||||
|
| |||||||
532,152 | ||||||||
|
| |||||||
Total Preferred Stock |
| 1,232,440 | ||||||
|
| |||||||
| ||||||||
Short-Term Investments – 0.85% |
| |||||||
Money Market Mutual Funds – 0.85% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 120,184 | 120,184 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 120,183 | 120,183 | ||||||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 120,184 | 120,184 | ||||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 120,184 | 120,184 |
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 120,184 | $ | 120,184 | |||||
|
| |||||||
Total Short-Term Investments |
| 600,919 | ||||||
|
| |||||||
Total Value of |
| $ | 70,579,268 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2020, the aggregate value of Rule 144A securities was $2,160,728, which represents 3.06% 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, 2020,the aggregate value of Regulation S securities was $181,227 which represents 0.26% 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 9 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
(continues) 34
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio
The following foreign currency exchange contracts were outstanding at April 30, 2020:1
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||||||||||||
BNYM | MYR | (175,369 | ) | USD | 40,713 | 5/4/20 | $ | (19 | ) |
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 contract presented above represents 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
GDR – Global Depositary Receipt
GS – Goldman Sachs
MYR - Malaysian Ringgit
NVDR – Non-Voting Depositary Receipt
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
35
Table of Contents
Macquarie Institutional Portfolios — Macquarie Emerging Markets Portfolio II
April 30, 2020 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.35%D |
| |||||||
Argentina – 0.07% | ||||||||
IRSA Inversiones y Representaciones ADR † | 8,000 | $ | 26,320 | |||||
IRSA Propiedades Comerciales ADR | 301 | 1,923 | ||||||
|
| |||||||
28,243 | ||||||||
|
| |||||||
Bahrain – 0.02% | ||||||||
Aluminum Bahrain | 1,800 | 7,996 | ||||||
|
| |||||||
7,996 | ||||||||
|
| |||||||
Brazil – 8.91% | ||||||||
B2W Cia Digital † | 148,741 | 2,040,235 | ||||||
Banco Bradesco ADR | 67,971 | 239,258 | ||||||
Banco Santander Brasil ADR | 28,000 | 137,760 | ||||||
BRF ADR † | 52,300 | 187,234 | ||||||
Petroleo Brasileiro ADR | 31,600 | 218,356 | ||||||
Rumo† | 4,100 | 14,853 | ||||||
Telefonica Brasil ADR | 23,055 | 193,662 | ||||||
TIM Participacoes ADR | 16,000 | 185,920 | ||||||
Vale ADR | 23,300 | 192,225 | ||||||
|
| |||||||
3,409,503 | ||||||||
|
| |||||||
Chile – 0.40% | ||||||||
Latam Airlines Group ADR | 6,922 | 26,304 | ||||||
Sociedad Quimica y Minera de Chile ADR | 5,500 | 125,400 | ||||||
|
| |||||||
151,704 | ||||||||
|
| |||||||
China/Hong Kong – 34.60% |
| |||||||
Alibaba Group Holding ADR † | 9,600 | 1,945,632 | ||||||
Baidu ADR † | 4,650 | 469,325 | ||||||
BeiGene† | 9,300 | 113,424 | ||||||
China Mengniu Dairy † | 104,000 | 368,275 | ||||||
China Mobile ADR | 24,719 | 988,018 | ||||||
China Petroleum & Chemical Class H | 82,000 | 40,870 | ||||||
China Petroleum & Chemical ADR | 4,470 | 222,070 | ||||||
CNOOC ADR | 2,400 | 269,688 | ||||||
Genscript Biotech † | 60,000 | 107,004 | ||||||
JD.com ADR † | 25,100 | 1,081,810 | ||||||
Kunlun Energy | 176,000 | 114,663 | ||||||
Kweichow Moutai Class A | 4,500 | 807,653 | ||||||
PetroChina ADR | 3,000 | 107,490 | ||||||
Ping An Insurance Group Co. of China Class H | 60,500 | 615,664 | ||||||
SINA† | 16,300 | 550,451 | ||||||
Sohu.com ADR † | 16,800 | 140,952 | ||||||
Tencent Holdings | 47,500 | 2,497,047 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
China/Hong Kong (continued) |
| |||||||
Tencent Music Entertainment Group ADR † | 11 | $ | 126 | |||||
Tianjin Development Holdings | 164,000 | 34,684 | ||||||
Tingyi Cayman Islands Holding | 270,000 | 479,277 | ||||||
Trip.com Group ADR † | 12,800 | 329,728 | ||||||
Tsingtao Brewery Class H | 94,000 | 571,043 | ||||||
Uni-President China Holdings | 465,000 | 466,831 | ||||||
Weibo ADR † | 4,470 | 167,759 | ||||||
Wuliangye Yibin Class A | 39,200 | 754,695 | ||||||
|
| |||||||
13,244,179 | ||||||||
|
| |||||||
India – 10.62% | ||||||||
Dr Reddy’s Laboratories | 10,425 | 546,454 | ||||||
Reliance Industries GDR 144A # | 85,126 | 3,256,070 | ||||||
Tata Chemicals | 28,827 | 108,521 | ||||||
Tata Consumer Products | 32,862 | 153,862 | ||||||
|
| |||||||
4,064,907 | ||||||||
|
| |||||||
Indonesia – 2.26% | ||||||||
Astra International | 587,700 | 152,111 | ||||||
Bank Central Asia | 409,700 | 711,983 | ||||||
|
| |||||||
864,094 | ||||||||
|
| |||||||
Malaysia – 0.08% | ||||||||
UEM Sunrise † | 308,500 | 30,850 | ||||||
|
| |||||||
30,850 | ||||||||
|
| |||||||
Mexico – 3.27% | ||||||||
America Movil Class L ADR Class L | 13,600 | 163,744 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR | 59,600 | 165,092 | ||||||
Becle | 130,000 | 198,336 | ||||||
Coca-Cola Femsa ADR | 9,700 | 400,707 | ||||||
Grupo Financiero Banorte | ||||||||
Class O | 27,500 | 75,285 | ||||||
Grupo Televisa ADR | 46,200 | 247,170 | ||||||
|
| |||||||
1,250,334 | ||||||||
|
| |||||||
Peru – 0.42% | ||||||||
Cia de Minas Buenaventura ADR | 21,600 | 161,784 | ||||||
|
| |||||||
161,784 | ||||||||
|
| |||||||
Republic of Korea – 17.41% |
| |||||||
LG Uplus | 18,000 | 197,659 |
(continues) 36
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 (continued) |
| |||||||
Samsung Electronics | 63,322 | $ | 2,603,646 | |||||
SK Hynix | 28,262 | 1,944,922 | ||||||
SK Telecom | 2,239 | 389,147 | ||||||
SK Telecom ADR | 80,000 | 1,530,400 | ||||||
|
| |||||||
6,665,774 | ||||||||
|
| |||||||
Russia – 6.46% | ||||||||
Etalon Group GDR 144A # | 4,800 | 5,472 | ||||||
Gazprom PJSC ADR | 115,071 | 584,100 | ||||||
LUKOIL (London International Exchange) ADR | 5,269 | 345,120 | ||||||
Mobile TeleSystems ADR | 15,000 | 128,550 | ||||||
Rosneft Oil GDR | 115,838 | 519,186 | ||||||
Sberbank of Russia PJSC | 137,546 | 365,560 | ||||||
VEON ADR | 45,641 | 78,046 | ||||||
X5 Retail Group GDR | 5,329 | 157,312 | ||||||
Yandex Class A † | 7,700 | 290,906 | ||||||
|
| |||||||
2,474,252 | ||||||||
|
| |||||||
Taiwan – 12.70% | ||||||||
Hon Hai Precision Industry | 280,564 | 726,495 | ||||||
MediaTek | 98,000 | 1,367,679 | ||||||
Taiwan Semiconductor Manufacturing | 167,000 | 1,710,070 | ||||||
Taiwan Semiconductor | ||||||||
Manufacturing ADR | 15,200 | 807,576 | ||||||
United Microelectronics ADR | 100,000 | 250,000 | ||||||
|
| |||||||
4,861,820 | ||||||||
|
| |||||||
Turkey – 1.13% | ||||||||
Akbank T.A.S. † | 260,968 | 219,916 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii | 25,218 | 66,315 | ||||||
Turkcell Iletisim Hizmetleri ADR | 23,700 | 117,789 | ||||||
Turkiye Sise ve Cam Fabrikalari | 42,425 | 29,439 | ||||||
|
| |||||||
433,459 | ||||||||
|
| |||||||
Total Common Stock | 37,648,899 | |||||||
|
| |||||||
Preferred Stock – 1.22%Ä |
| |||||||
Brazil – 0.75% | ||||||||
Itau Unibanco Holding ADR 11.11% | 68,207 | 287,151 | ||||||
|
| |||||||
287,151 | ||||||||
|
|
Number of shares | Value (US $) | |||||||
Preferred StockD (continued) |
| |||||||
Republic of Korea – 0.38% | ||||||||
LG Electronics 3.70% | 8,325 | $ | 144,726 | |||||
|
| |||||||
144,726 | ||||||||
|
| |||||||
Russia – 0.09% | ||||||||
Transneft PJSC 7.85% | 20 | 36,784 | ||||||
|
| |||||||
36,784 | ||||||||
|
| |||||||
Total Preferred Stock | 468,661 | |||||||
|
| |||||||
Short-Term Investments – 0.41% |
| |||||||
Money Market Mutual Funds – 0.41% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 31,377 | 31,377 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 31,377 | 31,377 | ||||||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 31,376 | 31,376 | ||||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 31,376 | 31,376 | ||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 31,376 | 31,376 | ||||||
|
| |||||||
Total Short-Term Investments |
| 156,882 | ||||||
|
| |||||||
Total Value of | $ | 38,274,442 | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2020, the aggregate value of Rule 144A securities was $3,269,538, which represents 8.54% of the Portfolio’s net assets. See Note 9 in “Notes to financial statements.” |
Ä | 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. |
37
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) 38
Table of Contents
Schedules of investments
Macquarie Institutional Portfolios — Macquarie Labor Select International Equity Portfolio
April 30, 2020 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.11%D |
| |||||||
Australia – 0.96% | ||||||||
QBE Insurance Group | 584,476 | $ | 3,218,383 | |||||
3,218,383 | ||||||||
China/Hong Kong – 7.51% | ||||||||
CK Hutchison Holdings | 1,541,000 | 11,422,165 | ||||||
Jardine Matheson Holdings | 59,800 | 2,628,808 | ||||||
WH Group 144A # | 11,624,500 | 11,086,905 | ||||||
25,137,878 | ||||||||
Denmark – 1.46% | ||||||||
ISS † | 327,720 | 4,889,871 | ||||||
4,889,871 | ||||||||
France – 7.45% | ||||||||
Cie de Saint-Gobain | 357,769 | 9,491,801 | ||||||
Sanofi | 117,603 | 11,494,383 | ||||||
Societe Generale | 252,576 | 3,946,960 | ||||||
24,933,144 | ||||||||
Germany – 9.00% | ||||||||
Allianz | 50,610 | 9,366,248 | ||||||
Bayerische Motoren Werke | 43,311 | 2,565,338 | ||||||
Daimler | 107,295 | 3,707,861 | ||||||
Evonik Industries | 266,227 | 6,552,589 | ||||||
Telefonica Deutschland Holding | 2,790,190 | 7,934,549 | ||||||
30,126,585 | ||||||||
Italy – 4.36% | ||||||||
Enel | 1,163,177 | 7,948,827 | ||||||
Eni | 695,679 | 6,643,204 | ||||||
14,592,031 | ||||||||
Japan – 29.25% | ||||||||
Coca-Cola Bottlers Japan Holdings | 326,300 | 5,913,931 | ||||||
FUJIFILM Holdings | 225,600 | 10,803,321 | ||||||
Fujitsu | 79,700 | 7,824,065 | ||||||
Honda Motor | 498,000 | 12,114,141 | ||||||
Isuzu Motors | 385,100 | 2,960,155 | ||||||
Kyocera | 180,100 | 9,698,531 | ||||||
Mitsubishi Electric | 511,900 | 6,394,278 | ||||||
Nippon Telegraph & Telephone | 282,200 | 6,424,215 | ||||||
Otsuka Holdings | 196,200 | 7,779,257 | ||||||
Sekisui Chemical | 421,400 | 5,379,658 | ||||||
Sumitomo Electric Industries | 175,800 | 1,824,100 | ||||||
Takeda Pharmaceutical | 339,100 | 12,269,723 | ||||||
Tokio Marine Holdings | 158,300 | 7,502,342 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Japan (continued) | ||||||||
Toyota Industries | 20,100 | $ | 1,017,034 | |||||
97,904,751 | ||||||||
Netherlands – 0.76% | ||||||||
Koninklijke Ahold Delhaize | 105,599 | 2,564,370 | ||||||
2,564,370 | ||||||||
Singapore – 5.37% | ||||||||
Singapore Telecommunications | 3,848,800 | 7,724,075 | ||||||
United Overseas Bank | 711,309 | 10,259,919 | ||||||
17,983,994 | ||||||||
Spain – 2.11% | ||||||||
Banco Santander | 3,158,636 | 7,052,585 | ||||||
7,052,585 | ||||||||
Sweden – 2.89% | ||||||||
Telia | 2,793,665 | 9,664,729 | ||||||
9,664,729 | ||||||||
Switzerland – 5.32% | ||||||||
ABB | 396,551 | 7,528,409 | ||||||
Novartis | 90,220 | 7,688,679 | ||||||
Zurich Insurance Group | 8,185 | 2,605,802 | ||||||
17,822,890 | ||||||||
United Kingdom – 21.67% | ||||||||
BP | 1,917,289 | 7,560,819 | ||||||
G4S | 2,445,284 | 3,363,180 | ||||||
GlaxoSmithKline | 507,614 | 10,619,435 | ||||||
John Wood Group | 411,417 | 1,049,832 | ||||||
Kingfisher | 2,862,828 | 5,671,816 | ||||||
Lloyds Banking Group | 18,420,345 | 7,479,817 | ||||||
Royal Dutch Shell Class B | 522,895 | 8,472,054 | ||||||
SSE | 679,388 | 10,696,115 | ||||||
Tesco | 3,334,401 | 9,873,443 | ||||||
Travis Perkins | 171,511 | 2,245,508 | ||||||
WPP | 702,203 | 5,494,046 | ||||||
72,526,065 | ||||||||
Total Common Stock | 328,417,276 | |||||||
| ||||||||
Preferred Stock – 0.31% |
| |||||||
Bayerische Motoren Werke 8.12% | 21,626 | 1,024,265 | ||||||
Total Preferred Stock (cost $1,423,098) |
| 1,024,265 |
39
Table of Contents
Number of shares | Value (US $) | |||||||
Short-Term Investments – 0.49% |
| |||||||
Money Market Mutual Funds – 0.49% |
| |||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 326,508 | $ | 326,508 | |||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 326,507 | 326,507 | ||||||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 326,507 | 326,507 | ||||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 326,507 | 326,507 | ||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 326,507 | 326,507 | ||||||
Total Short-Term Investments |
| 1,632,536 | ||||||
Total Value of Securities – 98.91% |
| $ | 331,074,077 |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended.At April 30, 2020, the aggregate value of Rule 144A securities was $11,086,905,which represents 3.31% 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 11 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
(continues) 40
Table of Contents
Statements of assets and liabilities
Macquarie Institutional Portfolios
April 30, 2020 (Unaudited)
Macquarie | Macquarie | Macquarie | ||||||||||
Large Cap | Core Plus | High Yield | ||||||||||
Value | Bond | Bond | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
Assets: | ||||||||||||
Investments, at value1 | $ | 42,060,109 | $ | 137,963,401 | $ | 93,757,384 | ||||||
Cash collateral due from brokers | — | 33,473 | — | |||||||||
Foreign currencies, at value2 | — | 67 | — | |||||||||
Dividends and interest receivable | 91,657 | 827,332 | 1,248,528 | |||||||||
Receivable for securities sold | — | 235,214 | 1,592,571 | |||||||||
Swap payments receivable | — | 123 | — | |||||||||
Variation margin due from HSBC on futures contracts | — | 3,305 | — | |||||||||
Pricing fees receivable | 426 | — | — | |||||||||
Prepaid expenses | — | — | 246 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 42,152,192 | 139,062,915 | 96,598,729 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Due to custodian | — | 19,827 | 19,409 | |||||||||
Payable for securities purchased | 247,022 | 1,304,661 | 2,609,385 | |||||||||
Accounting and administration fees payable to non-affiliates | 18,669 | 25,110 | 20,642 | |||||||||
Audit and tax fees payable | 17,430 | 22,915 | 21,840 | |||||||||
Investment management fees payable to affiliates | 12,016 | 27,895 | 30,317 | |||||||||
Other accrued expenses | 4,627 | 12,581 | — | |||||||||
Legal fess payable to non-affiliates | 2,441 | 6,038 | 1,870 | |||||||||
Accounting and administration fees payable to affiliates | 444 | 726 | 597 | |||||||||
Custody fees payable | 431 | 5,667 | 2,127 | |||||||||
Dividend disbursing and transfer agent fees and expenses payable to non-affiliates | 391 | 1,371 | 900 | |||||||||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 246 | 847 | 571 | |||||||||
Trustees’ fees and expenses payable | 152 | 551 | 366 | |||||||||
Legal fees payable to affiliates | 72 | 681 | 173 | |||||||||
Reports and statements to shareholders expenses payable to affiliates | 36 | 120 | 82 | |||||||||
Pricing fees payable | — | 18,076 | 5,959 | |||||||||
Other Liabilities | — | — | 11,133 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 303,977 | 1,447,066 | 2,725,371 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 41,848,215 | $ | 137,615,849 | $ | 93,873,358 | ||||||
|
|
|
|
|
|
41
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 | $ | 45,884,318 | $ | 131,242,889 | $ | 115,432,681 | ||||||
Total distributable earnings (loss) | (4,036,103 | ) | 6,372,960 | (21,559,323 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 41,848,215 | $ | 137,615,849 | $ | 93,873,358 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value | ||||||||||||
Portfolio Class | ||||||||||||
Net assets | $ | 41,848,215 | $ | 137,615,849 | $ | 93,873,358 | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,923,537 | 13,423,847 | 13,856,562 | |||||||||
Net asset value per share | $ | 14.31 | $ | 10.25 | $ | 6.77 | ||||||
1Investments, at cost | $ | 40,781,298 | $ | 136,576,141 | $ | 97,372,634 | ||||||
2Foreign currencies, at cost | — | 89 | — |
See accompanying notes, which are an integral part of the financial statements.
(continues) 42
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 | $ | 70,579,268 | $ | 38,274,442 | $ | 331,074,077 | ||||||
Foreign currencies, at value2 | 747 | 57,363 | 273,072 | |||||||||
Receivable for securities sold | 110,898 | — | 337,273 | |||||||||
Dividends and interest receivable | 75,615 | 45,277 | 1,254,211 | |||||||||
Foreign tax reclaims receivable | 4,689 | 1,486 | 2,520,003 | |||||||||
Receivable for fund shares sold | 45 | — | — | |||||||||
Prepaid expenses | 3,821 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 70,775,083 | 38,378,568 | 335,458,636 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Capital gains tax payable | 92,971 | 22,044 | — | |||||||||
Due to custodian | 39,838 | — | — | |||||||||
Payable for fund shares redeemed | 45 | — | — | |||||||||
Payable for securities purchased | — | — | 367,949 | |||||||||
Investment management fees payable to affiliates | 54,180 | 22,920 | 202,348 | |||||||||
Audit and tax fees payable | 19,450 | 19,450 | 19,450 | |||||||||
Accounting and administration fees payable to non-affiliates | 19,603 | 17,624 | 37,173 | |||||||||
Custody fees payable | 18,882 | 6,752 | 59,394 | |||||||||
Legal fees payable to non-affiliates | 2,218 | 858 | 11,386 | |||||||||
Legal fees payable to affiliates | 545 | 486 | 634 | |||||||||
Pricing fees payable | 3,076 | 1,781 | 3,408 | |||||||||
Dividend disbursing and transfer agent fees and expenses payable to non-affiliates | 708 | 386 | 3,447 | |||||||||
Accounting and administration fees payable to affiliates | 524 | 433 | 1,280 | |||||||||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 416 | 223 | 2,024 | |||||||||
Trustees’ fees and expenses payable | 263 | 140 | 1,344 | |||||||||
Unrealized depreciation on foreign currency exchange contracts | 19 | — | — | |||||||||
Reports and statements to shareholders expenses payable to affiliates | 62 | 33 | 291 | |||||||||
Other accrued expenses | — | 4,811 | 13,572 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 252,800 | 97,941 | 723,700 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 70,522,283 | $ | 38,280,627 | $ | 334,734,936 | ||||||
|
|
|
|
|
|
43
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 | $ | 125,545,949 | $ | 35,630,158 | $ | 435,300,197 | ||||||
Total distributable earnings (loss)3 | (55,023,666 | ) | 2,650,469 | (100,565,261 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 70,522,283 | $ | 38,280,627 | $ | 334,734,936 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value | ||||||||||||
Portfolio Class | ||||||||||||
Net assets | $ | 70,522,283 | $ | 38,280,627 | $ | 334,734,936 | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 10,242,718 | 4,462,430 | 30,586,254 | |||||||||
Net asset value per share | $ | 6.89 | $ | 8.58 | $ | 10.94 | ||||||
1Investments, at cost | $ | 72,762,579 | $ | 34,478,623 | $ | 415,863,852 | ||||||
2Foreign currencies, at cost | 734 | 58,416 | 269,970 | |||||||||
3Includes deferred capital gains tax payable | 92,971 | 22,044 | — |
See accompanying notes, which are an integral part of the financial statements.
(continues) 44
Table of Contents
Macquarie Institutional Portfolios
Six months ended April 30, 2020 (Unaudited)
Macquarie | Macquarie | Macquarie | ||||||||||
Large Cap | Core Plus | High Yield | ||||||||||
Value | Bond | Bond | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 624,862 | $ | 19,530 | $ | 35,418 | ||||||
Interest | — | 2,315,628 | 2,799,224 | |||||||||
|
|
|
|
|
| |||||||
624,862 | 2,335,158 | 2,834,642 | ||||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fees | 126,418 | 308,047 | 219,110 | |||||||||
Accounting and administration expenses | 23,988 | 32,088 | 27,346 | |||||||||
Audit and tax fees | 17,530 | 23,239 | 22,086 | |||||||||
Registration fees | 11,531 | 12,532 | 8,532 | |||||||||
Legal fees | 4,131 | 12,711 | 3,038 | |||||||||
Dividend disbursing and transfer agent fees and expenses | 2,829 | 8,842 | 6,014 | |||||||||
Reports and statements to shareholders expenses | 2,537 | 6,566 | 2,324 | |||||||||
Trustees’ fees and expenses | 1,284 | 4,181 | 2,739 | |||||||||
Custodian fees | 710 | 7,017 | 2,935 | |||||||||
Other | 2,952 | 31,698 | 13,159 | |||||||||
|
|
|
|
|
| |||||||
193,910 | 446,921 | 307,283 | ||||||||||
Less expenses waived | (32,890 | ) | (122,954 | ) | (19,505 | ) | ||||||
Less expenses paid indirectly | (45 | ) | (1,279 | ) | (468 | ) | ||||||
|
|
|
|
|
| |||||||
Total operating expenses | 160,975 | 322,688 | 287,310 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 463,887 | 2,012,470 | 2,547,332 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (4,053,571 | ) | 3,189,484 | (2,117,632 | ) | |||||||
Futures contracts | — | 171,728 | — | |||||||||
Swap contracts | — | 52,786 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (4,053,571 | ) | 3,413,998 | (2,117,632 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) of: | ||||||||||||
Investments | (2,595,035 | ) | (2,925,254 | ) | (5,693,640 | ) | ||||||
Foreign currencies | — | (14 | ) | — | ||||||||
Futures contracts | — | 440,965 | — | |||||||||
Swap contracts | — | (27,625 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (2,595,035 | ) | (2,511,928 | ) | (5,693,640 | ) | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | (6,648,606 | ) | 902,070 | (7,811,272 | ) | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (6,184,719 | ) | $ | 2,914,540 | $ | (5,263,940 | ) | ||||
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
45
Table of Contents
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 921,737 | $ | 459,130 | $ | 4,672,920 | ||||||
Interest | 6 | 11 | — | |||||||||
Foreign tax withheld | (97,665 | ) | (58,131 | ) | (376,015 | ) | ||||||
|
|
|
|
|
| |||||||
824,078 | 401,010 | 4,296,905 | ||||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fees | 393,025 | 208,480 | 1,550,961 | |||||||||
Accounting and administration expenses | 25,801 | 22,811 | 52,851 | |||||||||
Audit and tax fees | 22,853 | 22,897 | 21,011 | |||||||||
Custodian fees | 15,371 | 7,173 | 53,387 | |||||||||
Registration fees | 8,532 | 12,032 | 9,031 | |||||||||
Legal fees | 6,761 | 4,463 | 25,105 | |||||||||
Dividend disbursing and transfer agent fees and expenses | 4,892 | 2,635 | 25,564 | |||||||||
Reports and statements to shareholders expenses | 3,139 | 1,586 | 15,823 | |||||||||
Trustees’ fees and expenses | 2,182 | 1,153 | 11,746 | |||||||||
Other | 7,825 | 6,193 | 12,215 | |||||||||
|
|
|
|
|
| |||||||
490,381 | 289,423 | 1,777,694 | ||||||||||
Less expenses waived | (2,547 | ) | (39,058 | ) | — | |||||||
Less expenses paid indirectly | (99 | ) | (2 | ) | (129 | ) | ||||||
|
|
|
|
|
| |||||||
Total operating expenses | 487,735 | 250,363 | 1,777,565 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 336,343 | 150,647 | 2,519,340 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments1 | (5,889,323 | ) | (281,799 | ) | (13,407,718 | ) | ||||||
Foreign currencies | (34,296 | ) | (3,231 | ) | 102,477 | |||||||
Foreign currency exchange contracts | (12,581 | ) | (282 | ) | (18,011 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized loss on investments | (5,936,200 | ) | (285,312 | ) | (13,323,252 | ) | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) of: | ||||||||||||
Investments2 | (5,722,156 | ) | (3,735,070 | ) | (77,974,261 | ) | ||||||
Foreign currencies | 12,634 | (6,940 | ) | (16,278 | ) | |||||||
Foreign currency exchange contracts | 221 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (5,709,301 | ) | (3,742,010 | ) | (77,990,539 | ) | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Loss | (11,645,501 | ) | (4,027,322 | ) | (91,313,791 | ) | ||||||
|
|
|
|
|
| |||||||
Net Decrease in Net Assets Resulting from Operations | $ | (11,309,158 | ) | $ | (3,876,675 | ) | $ | (88,794,451 | ) | |||
|
|
|
|
|
|
1Includes $740 capital gains taxes received for Macquarie Emerging Markets Portfolio.
2Includes increase of $92,971 and $22,044 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.
46
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 4/30/20 | Year ended | Six months 4/30/20 | Year ended | Six months ended 4/30/20 (Unaudited) | Year ended | |||||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||||||
Net investment income | $ | 463,887 | $ | 1,593,152 | $ | 2,012,470 | $ | 7,148,873 | $ | 2,547,332 | $ | 4,816,788 | ||||||||||||
Net realized gain (loss) | (4,053,571 | ) | 15,010,935 | 3,413,998 | 9,066,612 | (2,117,632 | ) | (1,775,959 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (2,595,035 | ) | (10,895,342 | ) | (2,511,928 | ) | 9,002,812 | (5,693,640 | ) | 4,237,006 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (6,184,719 | ) | 5,708,745 | 2,914,540 | 25,218,297 | (5,263,940 | ) | 7,277,835 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||||||
Distributable earnings | (16,233,720 | ) | (15,681,359 | ) | (9,512,845 | ) | (6,188,506 | ) | (5,146,771 | ) | (5,358,591 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(16,233,720 | ) | (15,681,359 | ) | (9,512,845 | ) | (6,188,506 | ) | (5,146,771 | ) | (5,358,591 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | 200,000 | 5,809,335 | — | 11,000,000 | 2,902,251 | 16,923,230 | ||||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions | 16,233,705 | 11,999,850 | 8,823,891 | 5,949,588 | 5,006,864 | 5,094,940 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
16,433,705 | 17,809,185 | 8,823,891 | 16,949,588 | 7,909,115 | 22,018,170 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed | — | (66,834,629 | ) | (29,406,234 | ) | (91,234,036 | ) | (3,019,176 | ) | (2,278,945 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets derived from capital share transactions | 16,433,705 | (49,025,444 | ) | (20,582,343 | ) | (74,284,448 | ) | 4,889,939 | 19,739,225 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (5,984,734 | ) | (58,998,058 | ) | (27,180,648 | ) | (55,254,657 | ) | (5,520,772 | ) | 21,658,469 | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 47,832,949 | 106,831,007 | 164,796,497 | 220,051,154 | 99,394,130 | 77,735,661 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 41,848,215 | $ | 47,832,949 | $ | 137,615,849 | $ | 164,796,497 | $ | 93,873,358 | $ | 99,394,130 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
47
Table of Contents
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | ||||||||||||||||||||||
Six months 4/30/20 | Year ended | Six months ended 4/30/20 (Unaudited) | Year ended | Six months 4/30/20 | Year ended | |||||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||||||
Net investment income | $ | 336,343 | $ | 1,731,297 | $ | 150,647 | $ | 390,665 | $ | 2,519,340 | $ | 14,384,737 | ||||||||||||
Net realized gain (loss) | (5,936,200 | ) | (3,616,127 | ) | (285,312 | ) | 834,237 | (13,323,252 | ) | 8,119,446 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,709,301 | ) | 9,277,833 | (3,742,010 | ) | 4,505,867 | (77,990,539 | ) | 12,033,193 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (11,309,158 | ) | 7,393,003 | (3,876,675 | ) | 5,730,769 | (88,794,451 | ) | 34,537,376 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||||||
Distributable earnings | (1,680,428 | ) | (1,654,329 | ) | (1,243,681 | ) | (1,409,323 | ) | (22,540,570 | ) | (12,523,066 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(1,680,428 | ) | (1,654,329 | ) | (1,243,681 | ) | (1,409,323 | ) | (22,540,570 | ) | (12,523,066 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | 5,989,018 | 190,688 | — | 10,000,000 | 4,946,308 | 23,473,993 | ||||||||||||||||||
Purchase reimbursement fees | 24,027 | 732 | — | — | — | — | ||||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions | 1,612,658 | 1,520,629 | 1,233,499 | 1,404,091 | 22,540,569 | 12,507,507 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
7,625,703 | 1,712,049 | 1,233,499 | 11,404,091 | 27,486,877 | 35,981,500 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed | (3,996,045 | ) | (7,081,300 | ) | (55,000 | ) | (732,048 | ) | (35,444,896 | ) | (9,891,027 | ) | ||||||||||||
Redemption reimbursement fees | 17,937 | 31,858 | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(3,978,108 | ) | (7,049,442 | ) | (55,000 | ) | (732,048 | ) | (35,444,896 | ) | (9,891,027 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets derived from capital share transactions | 3,647,595 | (5,337,393 | ) | 1,178,499 | 10,672,043 | (7,958,019 | ) | 26,090,473 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (9,341,991 | ) | 401,281 | (3,941,857 | ) | 14,993,489 | (119,293,040 | ) | 48,104,783 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 79,864,274 | 79,462,993 | 42,222,484 | 27,228,995 | 454,027,976 | 405,923,193 | ||||||||||||||||||
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|
|
|
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|
|
|
|
| |||||||||||||
End of period | $ | 70,522,283 | $ | 79,864,274 | $ | 38,280,627 | $ | 42,222,484 | $ | 334,734,936 | $ | 454,027,976 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
48
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 | ||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||
Net asset value, beginning of period | $ | 24.35 | $ | 27.03 | $ | 28.54 | $ | 26.39 | $ | 27.30 | $ | 27.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.17 | 0.46 | 0.46 | 0.47 | 0.51 | 0.53 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.94 | ) | 0.83 | 1.97 | 3.09 | 1.19 | 0.34 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (1.77 | ) | 1.29 | 2.43 | 3.56 | 1.70 | 0.87 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.73 | ) | (0.51 | ) | (0.66 | ) | (0.51 | ) | (0.56 | ) | (0.43 | ) | ||||||||||||
Net realized gain | (7.54 | ) | (3.46 | ) | (3.28 | ) | (0.90 | ) | (2.05 | ) | (0.75 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (8.27 | ) | (3.97 | ) | (3.94 | ) | (1.41 | ) | (2.61 | ) | (1.18 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.31 | $ | 24.35 | $ | 27.03 | $ | 28.54 | $ | 26.39 | $ | 27.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (12.98% | )4 | 6.70% | 4 | 9.00% | 13.83% | 7.15% | 3.18% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 41,848 | $ | 47,833 | $ | 106,831 | $ | 168,868 | $ | 217,128 | $ | 214,726 | ||||||||||||
Ratio of expenses to average net assets5 | 0.70% | 0.70% | 0.70% | 0.66% | 0.65% | 0.65% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 0.84% | 0.75% | 0.70% | 0.66% | 0.65% | 0.65% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.02% | 1.93% | 1.68% | 1.74% | 1.97% | 1.92% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.88% | 1.88% | 1.68% | 1.74% | 1.97% | 1.92% | ||||||||||||||||||
Portfolio turnover |
| 12%
|
|
| 23%
|
|
| 16%
|
|
| 23%
|
|
| 13%
|
|
| 31%
|
|
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. |
4 | Total return reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
49
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 | ||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.74 | $ | 9.87 | $ | 10.41 | $ | 10.42 | $ | 10.29 | $ | 10.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.14 | 0.33 | 0.32 | 0.32 | 0.22 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.07 | 0.83 | (0.55 | ) | (0.06 | ) | 0.14 | (0.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.21 | 1.16 | (0.23 | ) | 0.26 | 0.36 | 0.13 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.50 | ) | (0.29 | ) | (0.31 | ) | (0.27 | ) | (0.23 | ) | (0.21 | ) | ||||||||||||
Net realized gain | (0.20 | ) | — | — | — | — | 3 | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.70 | ) | (0.29 | ) | (0.31 | ) | (0.27 | ) | (0.23 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 10.25 | $ | 10.74 | $ | 9.87 | $ | 10.41 | $ | 10.42 | $ | 10.29 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return4 | 2.23% | 12.12% | 5 | (2.29% | ) | 2.60% | 3.63% | 1.29% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 137,616 | $ | 164,796 | $ | 220,051 | $ | 168,242 | $ | 133,265 | $ | 128,094 | ||||||||||||
Ratio of expenses to average net assets6 | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 0.62% | 0.59% | 0.58% | 0.60% | 0.60% | 0.61% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.81% | 3.19% | 3.22% | 3.08% | 2.12% | 2.33% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.64% | 3.05% | 3.09% | 2.93% | 1.97% | 2.17% | ||||||||||||||||||
Portfolio turnover
|
| 60%
|
|
| 177%
|
|
| 171%
|
|
| 162%
|
|
| 310%
|
|
| 436%
|
|
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 were made by the Portfolio, which calculated to an 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. |
5 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.08% lower. See Note 12 in “Notes to financial statements.” |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 50
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 | ||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||
Net asset value, beginning of period | $ | 7.53 | $ | 7.46 | $ | 8.09 | $ | 7.88 | $ | 7.78 | $ | 8.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.19 | 0.40 | 0.42 | 0.43 | 0.45 | 0.49 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.56 | ) | 0.18 | (0.48 | ) | 0.23 | 0.02 | (0.79 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.37 | ) | 0.58 | (0.06 | ) | 0.66 | 0.47 | (0.30 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.39 | ) | (0.51 | ) | (0.57 | ) | (0.45 | ) | (0.37 | ) | (0.42 | ) | ||||||||||||
Net realized gain | — | — | — | — | — | (0.11 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.39 | ) | (0.51 | ) | (0.57 | ) | (0.45 | ) | (0.37 | ) | (0.53 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 6.77 | $ | 7.53 | $ | 7.46 | $ | 8.09 | $ | 7.88 | $ | 7.78 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (5.28% | )4 | 8.60% | 4,5 | (0.77% | )4 | 8.88% | 4 | 6.63% | (3.41% | ) | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 93,873 | $ | 99,394 | $ | 77,736 | $ | 113,273 | $ | 242,300 | $ | 206,129 | ||||||||||||
Ratio of expenses to average net assets6 | 0.59% | 0.59% | 0.59% | 0.57% | 0.55% | 0.56% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 0.63% | 0.65% | 0.62% | 0.58% | 0.55% | 0.56% | ||||||||||||||||||
Ratio of net investment income to average net assets | 5.23% | 5.49% | 5.49% | 5.58% | 6.10% | 6.09% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 5.19% | 5.43% | 5.46% | 5.57% | 6.10% | 6.09% | ||||||||||||||||||
Portfolio turnover
|
| 61%
|
|
| 82%
|
|
| 112%
|
|
| 99%
|
|
| 119%
|
|
| 84%
|
|
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. |
4 | Total return reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.13% lower. See Note 12 in “Notes to financial statements.” |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
51
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 | ||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||
Net asset value, beginning of period | $ | 8.11 | $ | 7.56 | $ | 8.76 | $ | 7.77 | $ | 7.47 | $ | 9.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.17 | 0.20 | 0.18 | 0.18 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.08 | ) | 0.54 | (1.08 | ) | 1.05 | 0.29 | (1.77 | ) | |||||||||||||||
|
|
|
|
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|
|
| |||||||||||||
Total from investment operations | (1.05 | ) | 0.71 | (0.88 | ) | 1.23 | 0.47 | (1.61 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.16 | ) | (0.34 | ) | (0.26 | ) | (0.18 | ) | (0.22 | ) | ||||||||||||
Net realized gain | — | — | — | — | — | (0.47 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.17 | ) | (0.16 | ) | (0.34 | ) | (0.26 | ) | (0.18 | ) | (0.69 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Reimbursement fees: | ||||||||||||||||||||||||
Purchase reimbursement fees2,3 | — | 4 | — | 5 | — | 6 | 0.01 | — | 7 | — | 8 | |||||||||||||
Redemption reimbursement fees2,3 | — | 4 | — | 5 | 0.02 | 0.01 | 0.01 | 0.02 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
— | — | 0.02 | 0.02 | 0.01 | 0.02 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 6.89 | $ | 8.11 | $ | 7.56 | $ | 8.76 | $ | 7.77 | $ | 7.47 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return9 | (13.32% | )10 | 9.62% | (10.28% | ) | 16.88% | 6.75% | (17.11% | ) | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 70,522 | $ | 79,864 | $ | 79,463 | $ | 136,678 | $ | 133,828 | $ | 172,674 | ||||||||||||
Ratio of expenses to average net assets11 | 1.24% | 1.30% | 1.26% | 1.22% | 1.19% | 1.19% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived11 | 1.25% | 1.30% | 1.26% | 1.22% | 1.19% | 1.19% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.86% | 2.19% | 2.31% | 2.24% | 2.51% | 1.90% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.85% | 2.19% | 2.31% | 2.40% | 2.51% | 1.90% | ||||||||||||||||||
Portfolio turnover
|
| 23%
|
|
| 33%
|
|
| 40%
|
|
| 45%
|
|
| 28%
|
|
| 27%
|
|
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, 2020, purchase and redemption fees of $24,027 and $17,937, respectively, were earned by the Portfolio, which calculated to amounts of $0.002 and $0.002 per share, respectively. |
5 | For the year ended Oct. 31, 2019, purchase and redemption fees of $732 and $31,858, respectively, were earned by the Portfolio, which calculated to amounts of $0.000 and $0.003 per share, respectively. |
6 | For the year ended Oct. 31, 2018, purchase reimbursement fees of $5,924 were earned by the Portfolio, which calculated to an amount of $0.0004 per share. |
7 | For the year ended Oct. 31, 2016, purchase reimbursement fees of $42,620 were earned by the Portfolio, which calculated to an amount of $0.002 per share. |
8 | For the year ended Oct. 31, 2015, purchase reimbursement fees of $118,421 were earned by the Portfolio, which calculated to an amount of $0.004 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. |
10 | Total return reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
11 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 52
Table of Contents
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 | ||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 8.78 | $ | 10.74 | $ | 8.01 | $ | 7.37 | $ | 9.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.09 | 0.08 | 0.12 | 0.07 | 0.04 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 1.30 | (1.77 | ) | 2.70 | 0.88 | (2.15 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.84 | ) | 1.39 | (1.69 | ) | 2.82 | 0.95 | (2.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.05 | ) | (0.27 | ) | (0.09 | ) | (0.08 | ) | (0.14 | ) | ||||||||||||
Net realized gain | (0.20 | ) | (0.41 | ) | — | — | (0.23 | ) | (0.26 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.29 | ) | (0.46 | ) | (0.27 | ) | (0.09 | ) | (0.31 | ) | (0.40 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 8.58 | $ | 9.71 | $ | 8.78 | $ | 10.74 | $ | 8.01 | $ | 7.37 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (9.17% | ) | 16.74% | (16.13% | ) | 35.74% | 13.62% | (21.84% | ) | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 38,281 | $ | 42,222 | $ | 27,229 | $ | 46,046 | $ | 37,198 | $ | 33,314 | ||||||||||||
Ratio of expenses to average net assets4 | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% | 1.21% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.39% | 1.42% | 1.42% | 1.32% | 1.34% | 1.35% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.72% | 1.03% | 0.80% | 1.34% | 0.97% | 0.43% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.53% | 0.81% | 0.58% | 1.22% | 0.83% | 0.29% | ||||||||||||||||||
Portfolio turnover
|
| 2%
|
|
| 9%
|
|
| 12%
|
|
| 14%
|
|
| 20%
|
|
| 8%
|
|
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. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
53
Table of Contents
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 | ||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.39 | $ | 13.74 | $ | 15.21 | $ | 12.83 | $ | 13.79 | $ | 14.74 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.08 | 0.47 | 0.44 | 0.41 | 0.43 | 0.37 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.80 | ) | 0.60 | (1.47 | ) | 2.35 | (1.02 | ) | (0.52 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (2.72 | ) | 1.07 | (1.03 | ) | 2.76 | (0.59 | ) | (0.15 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.51 | ) | (0.42 | ) | (0.44 | ) | (0.38 | ) | (0.37 | ) | (0.80 | ) | ||||||||||||
Net realized gain | (0.22 | ) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.73 | ) | (0.42 | ) | (0.44 | ) | (0.38 | ) | (0.37 | ) | (0.80 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 10.94 | $ | 14.39 | $ | 13.74 | $ | 15.21 | $ | 12.83 | $ | 13.79 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (20.11% | ) | 8.23% | (7.02% | ) | 22.13% | (4.24% | ) | (0.98% | ) | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 334,735 | $ | 454,028 | $ | 405,923 | $ | 490,273 | $ | 394,830 | $ | 360,650 | ||||||||||||
Ratio of expenses to average net assets4 | 0.86% | 0.86% | 0.87% | 0.86% | 0.86% | 0.87% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.22% | 3.44% | 2.96% | 2.96% | 3.39% | 2.63% | ||||||||||||||||||
Portfolio turnover
|
| 6%
|
|
| 16%
|
|
| 20%
|
|
| 21%
|
|
| 22%
|
|
| 20%
|
|
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. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
54
Table of Contents
Macquarie Institutional Portfolios
April 30, 2020 (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 Global Listed Real Assets Fund (formerly, Delaware REIT Fund) is included in a separate report. The Trust is an open-end investment company. Each Portfolio in this report is considered diversified under the Investment Company Act of 1940, as amended. Each Portfolio offers one class of shares.
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. Open-end investment companies are valued at their published net asset value (NAV). 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. 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. 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 in non-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 Boards.
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, 2020 and for all open tax years (years ended Oct. 31, 2017–Oct. 31, 2019), 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” on the “Statements of operations.” During the six months ended April 30, 2020, 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.
55
Table of Contents
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 to paid-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 the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that 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 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 the ex-dividend date.
(continues) 56
Table of Contents
Notes to financial statements
Macquarie Institutional Portfolios
1. Significant Accounting Policies (continued)
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, 2020, each Portfolio earned the following amounts under this arrangement.
Custody Credits | |||||
Macquarie Large Cap Value Portfolio | $ 44 | ||||
Macquarie Core Plus Bond Portfolio | 1,278 | ||||
Macquarie High Yield Bond Portfolio | 467 | ||||
Macquarie Emerging Markets Portfolio | 98 | ||||
Macquarie Emerging Markets Portfolio II | 1 | ||||
Macquarie Labor Select International Equity Portfolio | 127 |
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, 2020, 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 | 2 |
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 all or a portion, if any, of its investment advisory fees and/or pay/reimburse each Portfolio (except for Macquarie Labor Select International Equity Portfolio) to the extent necessary to ensure total 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, other than Macquarie Emerging Markets Portfolio, from Nov. 1, 2019 through April 30, 2020.* The waiver period for Macquarie Emerging Markets Portfolio is from Feb. 28, 2020 through April 30, 2020.** 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 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.
DMC may permit its affiliates, Macquarie Investment Management Global Limited (MIMGL) and Macquarie Funds Management Hong Kong Limited (together, the “Affiliated Sub-Advisors”), to execute equity security trades on behalf of the Manager for the following Portfolios: Macquarie Large Cap Value Portfolio and Macquarie Emerging Markets Portfolio II. The Manager may also seek quantitative support from MIMGL for these Portfolios. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not a Portfolio, may pay each Affiliated Sub-Advisor a portion of its investment management fee.
DMC may seek investment advice and recommendations from its affiliates for Macquarie Core Plus Bond Portfolio and Macquarie High Yield Bond Portfolio: Macquarie Investment Management Europe Limited, Macquarie Investment Management Austria Kapitalanlage AG, and Macquarie Investment Management Global Limited (MIMGL) (together, the “Affiliated Sub-Advisors”). The Manager may also permit these Affiliated Sub-Advisors to execute security trades for these Portfolios on behalf of the Manager and exercise investment discretion for securities
57
Table of Contents
in certain markets where DMC believes it will be beneficial to utilize an Affiliated Sub-Advisor’s specialized market knowledge. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not a Portfolio, pays each Affiliated Sub-Advisor a portion of its investment management fee.
The management fee rates and the operating expense limitation rates in effect for the six months ended April 30, 2020, 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% | 1.27% | ||
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 as 12b-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 investment sub-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 administrative 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 NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.”
For the six months ended April 30, 2020, each Portfolio was charged for these services as follows:
Macquarie Large Cap Value Portfolio | $ | 2,768 | ||
Macquarie Core Plus Bond Portfolio | 4,419 | |||
Macquarie High Yield Bond Portfolio | 3,640 | |||
Macquarie Emerging Markets Portfolio | 3,320 | |||
Macquarie Emerging Markets Portfolio II | 2,696 | |||
Macquarie Labor Select International Equity Portfolio | 8,977 |
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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, 2020, each Portfolio was charged for these services as follows:
Macquarie Large Cap Value Portfolio | $ | 1,724 | ||
Macquarie Core Plus Bond Portfolio | 5,373 | |||
Macquarie High Yield Bond Portfolio | 3,652 | |||
Macquarie Emerging Markets Portfolio | 2,948 | |||
Macquarie Emerging Markets Portfolio II | 1,564 | |||
Macquarie Labor Select International Equity Portfolio | 15,510 |
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to 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.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
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, 2020, 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 | $ | 1,020 | ||
Macquarie Core Plus Bond Portfolio | 5,756 | |||
Macquarie High Yield Bond Portfolio | 2,255 | |||
Macquarie Emerging Markets Portfolio | 3,774 | |||
Macquarie Emerging Markets Portfolio II | 2,923 | |||
Macquarie Labor Select International Equity Portfolio | 9,318 |
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 Trusts. These officers and Trustees are paid no compensation by the Portfolios.
Cross trades for the six months ended April 30, 2020, were executed by Macquarie High Yield Bond Portfolio pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At their regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended April 30, 2020, Macquarie High Yield Bond Portfolio engaged in Rule 17a-7 securities sales of $413,396, which resulted in net realized gains of $23,864.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of the investment companies (Underlying Funds) in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of the Underlying Funds and the number of shares that are owned of the Underlying Funds at different times.
* The aggregate contractual waiver period covering this report is from Feb. 28, 2018 through March 1, 2021.
**The aggregate contractual waiver period covering this report is from Feb. 28, 2020 through March 1, 2021.
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3. Investments
For the six months ended April 30, 2020, each Portfolio made purchases and sales of investment securities other than US government securities and 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 | $ | 6,005,886 | $ | — | $ | 5,381,831 | $ | — | ||||||||
Macquarie Core Plus Bond Portfolio | 32,100,493 | 58,204,782 | 69,541,665 | 104,134,451 | ||||||||||||
Macquarie High Yield Bond Portfolio | 55,770,151 | — | 55,282,716 | — | ||||||||||||
Macquarie Emerging Markets Portfolio | 19,791,622 | — | 17,887,458 | — | ||||||||||||
Macquarie Emerging Markets Portfolio II | 1,054,309 | — | 812,298 | — | ||||||||||||
Macquarie Labor Select International Equity Portfolio | 24,602,703 | — | 49,494,847 | — |
At April 30, 2020, 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, 2020, 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 (depreciation) of investments and derivatives | |||||||||||||
Macquarie Large Cap Value Portfolio | $ | 40,781,298 | $ | 3,784,876 | $ | (2,506,065 | ) | $ | 1,278,811 | |||||||
Macquarie Core Plus Bond Portfolio | 136,576,141 | 5,396,612 | (3,682,366 | ) | 1,714,246 | |||||||||||
Macquarie High Yield Bond Portfolio | 97,602,960 | 1,411,312 | (5,256,888 | ) | (3,845,576 | ) | ||||||||||
Macquarie Emerging Markets Portfolio | 72,762,579 | 8,541,436 | (10,724,747 | ) | (2,183,311 | ) | ||||||||||
Macquarie Emerging Markets Portfolio II | 34,478,623 | 11,430,607 | (7,634,788 | ) | 3,795,819 | |||||||||||
Macquarie Labor Select International Equity Portfolio | 415,863,852 | 24,141,314 | (108,931,089 | ) | (84,789,775 | ) |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future gain.
At Oct. 31, 2019 capital loss carryforwards subject to no expiration available to offset future realized capital gains for the Portfolios were as follows:
Loss carryforward character | ||||||||||||
Short-term | Long-term | Total | ||||||||||
Macquarie High Yield Bond Portfolio | $ | 7,229,520 | $ | 9,828,253 | $ | 17,057,773 | ||||||
Macquarie Emerging Markets Portfolio | 239,961 | 44,296,780 | 44,536,741 |
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 and on the next page.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
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Notes to financial statements
Macquarie Institutional Portfolios
3. Investments (continued)
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, and 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 and 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.
The following table summarizes the valuation of Macquarie Large Cap Value Portfolio’s investments by fair value hierarchy levels as of April 30, 2020:
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stock | $ | 41,133,192 | ||
Short-Term Investments | 926,917 | |||
|
| |||
Total Value of Securities | $ | 42,060,109 | ||
|
|
The following table summarizes the valuation of Macquarie Core Plus Bond Portfolio’s investments by fair value hierarchy levels as of April 30, 2020:
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Agency, Asset- & Mortgage-Backed Securities | $ | — | $ | 51,610,962 | $ | 51,610,962 | ||||||
Corporate Debt | — | 61,751,437 | 61,751,437 | |||||||||
Municipal Bonds | — | 163,433 | 163,433 | |||||||||
Foreign Debt | — | 3,272,060 | 3,272,060 | |||||||||
Loan Agreements | — | 5,398,324 | 5,398,324 | |||||||||
US Treasury Obligations | — | 14,508,329 | 14,508,329 | |||||||||
Short-Term Investments | 1,258,856 | — | 1,258,856 | |||||||||
|
|
|
|
|
| |||||||
Total Value of Securities | $ | 1,258,856 | $ | 136,704,545 | $ | 137,963,401 | ||||||
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|
|
|
|
| |||||||
Derivatives1 | ||||||||||||
Assets: | ||||||||||||
Futures Contracts | $ | 435,898 | $ | — | $ | 435,898 | ||||||
Liabilities: | ||||||||||||
Futures Contracts | $ | (108,912 | ) | $ | — | $ | (108,912 | ) |
1Futures 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, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Corporate Debt | $ | — | $ | 81,519,561 | $ | — | $ | 81,519,561 | ||||||||
Loan Agreements | — | 6,699,934 | — | 6,699,934 | ||||||||||||
Common Stock1 | — | — | — | — | ||||||||||||
Short-Term Investments | 5,537,889 | — | — | 5,537,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value of Securities | $ | 5,537,889 | $ | 88,219,495 | $ | — | $ | 93,757,384 | ||||||||
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1The securities that have been valued at zero on the “Schedules of investments” are considered to be Level 3 investments in this table.
The following table summarizes the valuation of Macquarie Emerging Markets Portfolio’s investments by fair value hierarchy levels as of April 30, 2020:
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stock | $ | 68,745,909 | $ | — | $ | 68,745,909 | ||||||
Preferred Stock | 1,232,440 | — | 1,232,440 | |||||||||
Short-Term Investments | 600,919 | — | 600,919 | |||||||||
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|
|
|
|
| |||||||
Total Value of Securities | $ | 70,579,268 | $ | — | $ | 70,579,268 | ||||||
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| |||||||
Derivatives1 | ||||||||||||
Liabilities: | ||||||||||||
Foreign Currency Exchange Contract | $ | — | $ | (19 | ) | $ | (19 | ) |
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, 2020:
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stock | ||||||||||||
Argentina | $ | 28,243 | $ | — | $ | 28,243 | ||||||
Bahrain | — | 7,996 | 7,996 | |||||||||
Brazil | 3,409,503 | — | 3,409,503 | |||||||||
Chile | 151,704 | — | 151,704 | |||||||||
China/Hong Kong | 13,244,179 | — | 13,244,179 | |||||||||
India | 4,064,907 | — | 4,064,907 | |||||||||
Indonesia | 864,094 | — | 864,094 | |||||||||
Malaysia | 30,850 | — | 30,850 | |||||||||
Mexico | 1,250,334 | — | 1,250,334 | |||||||||
Peru | 161,784 | — | 161,784 | |||||||||
Republic of Korea | 6,665,774 | — | 6,665,774 | |||||||||
Russia | 2,103,220 | 371,032 | 2,474,252 | |||||||||
Taiwan | 4,861,820 | — | 4,861,820 | |||||||||
Turkey | 433,459 | — | 433,459 | |||||||||
Preferred Stock | 431,877 | 36,784 | 468,661 | |||||||||
Short-Term Investments | 156,882 | — | 156,882 | |||||||||
|
|
|
|
|
| |||||||
Total Value of Securities | $ | 37,858,630 | $ | 415,812 | $ | 38,274,442 | ||||||
|
|
|
|
|
|
The following table summarizes the valuation of Macquarie Labor Select International Equity Portfolio’s investments by fair value hierarchy levels as of April 30, 2020:
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stock | $ | 328,417,276 | ||
Preferred Stock | 1,024,265 | |||
Short-Term Investments | 1,632,536 | |||
|
| |||
Total Value of Securities | $ | 331,074,077 | ||
|
|
As a result of utilizing international fair value pricing at April 30, 2020, a portion of Macquarie Emerging Markets Portfolio II common stock was categorized as Level 2.
During the six months ended April 30, 2020, 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.
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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 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, 2020: | ||||||||||||||||
Macquarie Large Cap Value Portfolio | 15,015 | 944,369 | — | 959,384 | ||||||||||||
Macquarie Core Plus Bond Portfolio | — | 879,750 | (2,806,853 | ) | (1,927,103 | ) | ||||||||||
Macquarie High Yield Bond Portfolio | 445,993 | 687,756 | (470,087 | ) | 663,662 | |||||||||||
Macquarie Emerging Markets Portfolio | 704,580 | 191,300 | (495,140 | ) | 400,740 | |||||||||||
Macquarie Emerging Markets Portfolio II | — | 120,576 | (6,683 | ) | 113,893 | |||||||||||
Macquarie Labor Select International Equity Portfolio | 362,532 | 1,567,494 | (2,904,107 | ) | (974,081 | ) | ||||||||||
Year ended Oct. 31, 2019: | ||||||||||||||||
Macquarie Large Cap Value Portfolio | 247,850 | 557,873 | (2,793,525 | ) | (1,987,802 | ) | ||||||||||
Macquarie Core Plus Bond Portfolio | 1,091,831 | 615,262 | (8,648,086 | ) | (6,940,993 | ) | ||||||||||
Macquarie High Yield Bond Portfolio | 2,340,082 | 752,576 | (318,310 | ) | 2,774,348 | |||||||||||
Macquarie Emerging Markets Portfolio | 24,018 | 207,452 | (903,908 | ) | (672,438 | ) | ||||||||||
Macquarie Emerging Markets Portfolio II | 1,154,735 | 171,440 | (78,957 | ) | 1,247,218 | |||||||||||
Macquarie Labor Select International Equity Portfolio | 1,741,052 | 987,955 | (710,174 | ) | 2,018,833 |
5. Line of Credit
Each Portfolio, along with certain other funds in the Delaware Funds (Participants), was a participant in a $220,000,000 revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the agreement, the Participants were charged an annual commitment fee of 0.15%, which was allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants were permitted to borrow up to a maximum of one-third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 4, 2019.
On Nov. 4, 2019, the Participants entered into an amendment to the agreement for a $250,000,000 revolving line of credit. 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. 2, 2020.
Each Portfolio had no amounts outstanding as of April 30, 2020, 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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Notes to financial statements
Macquarie Institutional Portfolios
6. Derivatives (continued)
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 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 cash collateral valued at $33,473 as margin for open futures contracts.
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.
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 least BBB- by Standard & Poor’s Financial Services LLC (S&P) or Baa3 by Moody’s Investors Service, Inc. (Moody’s) or is determined to be of equivalent 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
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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, 2020, 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. During the six months ended April 30, 2020, the Portfolios did not enter into any CDS contracts as a seller of protection.
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 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.”
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Notes to financial statements
Macquarie Institutional Portfolios
6. Derivatives (continued)
Fair values of derivative instruments as of April 30, 2020 were as follows:
Macquarie Core Plus Bond Portfolio
Statements of Assets and Liabilities Location | Asset Derivatives Fair Value Interest rate Contracts | ||||
Variation margin due from brokers on futures contracts* | $435,898 | ||||
Statements of Assets and Liabilities Location | Liability Derivatives Fair Value Interest Rate Contracts | ||||
Variation margin due to brokers on futures contracts* | $108,912 |
* | Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through April 30, 2020. Only current day variation margin is reported on the “Statements of assets and liabilities.” |
The effect of derivative instruments on the “Statements of operations” for the six months ended April 30, 2020 was as follows:
Macquarie Core Plus Bond Portfolio Net Realized Gain (Loss) on: | |||||||||||||||
Futures Contracts | Swap Contracts | Total | |||||||||||||
Interest rate contracts | $171,728 | $ — | $171,728 | ||||||||||||
Credit contracts | — | 52,786 | 52,786 | ||||||||||||
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Total | $171,728 | $52,786 | $224,514 | ||||||||||||
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Macquarie Core Plus Bond Portfolio Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Futures | Swaps Contracts | Total | ||||||||||||||||||
Interest rate contracts | $ | 440,965 | $ | — | $ | 440,965 | ||||||||||||||
Credit contracts | — | (27,625 | ) | (27,625 | ) | |||||||||||||||
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Total | $ | 440,965 | $ | (27,625 | ) | $ | 413,340 | |||||||||||||
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At April 30, 2020, 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.”
The tables below summarize the average balance of derivative holdings by each Portfolio during the six months ended April 30, 2020.
Macquarie Core Plus Bond Portfolio | ||||||||||||||||
Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Futures contracts (average notional value) | USD | 14,554,341 | USD | 1,859,171 | ||||||||||||
CDS contracts (average notional value)* | — | 188,790 | ||||||||||||||
Macquarie Emerging Markets Portfolio | ||||||||||||||||
Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average notional value) | USD | 50,170 | USD | 29,349 | ||||||||||||
Macquarie Emerging Markets Portfolio II | ||||||||||||||||
Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average notional value) | USD | — | USD | 646 |
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Macquarie Labor Select International Equity Portfolio | ||||||||||||||||
Long Derivative Volume | Short Derivative Volume | |||||||||||||||
Foreign currency exchange contracts (average notional value) | USD | 14,274 | USD | 7,797 |
*Long | represents buying protection and short represents selling protection. |
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 certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, 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, 2020, the Portfolios had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Macquarie Emerging Markets Portfolio | |||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
BNY Mellon | $— | $ | (19) | $ | (19) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(a) | ||||||||||||||||||||||||
BNY Mellon | $ | (19 | ) | $ | — | $ | — | $ | — | $ | — | $ | (19 | ) |
(a) | Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
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.
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Notes to financial statements
Macquarie Institutional Portfolios
8. Securities Lending (continued)
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 by non-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, 2020, none of the Portfolios had securities out on loan.
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.
The risk that potential changes related to the use of the London interbank offered rate (LIBOR) could have adverse impacts on financial instruments which reference LIBOR. The potential abandonment of LIBOR could affect the value and liquidity of instruments which reference LIBOR.
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 than BBB- 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.
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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 the 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 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 the 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, the day-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.”
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Notes to financial statements
Macquarie Institutional Portfolios
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), ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), 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 ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2018. Management has implemented ASU 2017-08 and determined that the impact of this guidance to the Fund’s net assets at the end of the period is not material.
In August 2018, the FASB issued an ASU 2018-13, which changes certain fair value measurement disclosure requirements. The ASU 2018-13, 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 ASU 2018-13 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.
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through Dec. 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU.
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 sought to recover such amounts arguing that the Portfolios were unsecured creditors and, as an unsecured creditor, the Portfolios should not have received payment in full. Based on available information related to the litigation and the Portfolios’ potential exposure, the Portfolios previously 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.
The plaintiff and the term loan lenders, which included the Portfolios, reached an agreement in principle that resolved the disputes. The parties agreed to terms of a settlement agreement and presented the settlement agreement to the court for approval at a hearing on June 12, 2019. The court approved the settlement documentation and dismissed the case on July 2, 2019. The court’s approval of the settlement and dismissal of the case with prejudice became final on July 16, 2019.
The contingent liability and other asset were removed in connection with the case being settled, which resulted in the Portfolios recognizing a gain in the amount of the liability reversed in 2019.
13. Subsequent Events
On Nov. 4, 2019, each Portfolio, along with certain other funds in the Delaware Funds, entered into an amendment to the agreement for a $250,000,000 revolving line of credit. The revolving line of credit available was increased to $275,000,000 on May 6, 2020. The revolving line of credit is to be used as described above and operates in substantially the same manner as the original agreement.
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply
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chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact each Portfolio’s performance.
Management has determined that no other material events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in each Portfolio’s financial statements.
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Portfolio managers
Kristen E. Bartholdson Managing Director, Senior Portfolio Manager
Nigel Bliss Senior Portfolio Manager Mondrian Investment Partners Limited
Adam H. Brown Managing Director, Senior Portfolio Manager
Liu-Er Chen Managing Director, Chief Investment Officer — Emerging Markets and Healthcare
Ginny Chong Senior Portfolio Manager Mondrian Investment Partners Limited
Craig C. Dembek Senior Managing Director, Head of Credit Research
Elizabeth A. Desmond Deputy Chief Executive Officer, Chief Investment Officer — International Equities Mondrian Investment Partners Limited
Roger A. Early Senior Managing Director, Chief Investment Officer — US Fixed income
Gregory J.P. Halton Senior Portfolio Manager Mondrian Investment Partners Limited | J. David Hillmeyer Senior Managing Director, Head of Global and Multi-Asset Credit
Nikhil G. Lalvani Managing Director, Senior Portfolio Manager, Team Leader
Daniela Mardarovici Managing Director, Co-Head of US Multisector/Core Plus Fixed Income
Paul A. Matlack Managing Director, Senior Client Portfolio Manager John P. McCarthy Managing Director, Senior Portfolio Manager
Zsolt Mester Portfolio Manager — Mondrian Investment Partners Limited
Andrew Miller Chief Investment Officer — Emerging Market Equities Mondrian Investment Partners Limited
Robert A. Vogel Jr. Managing Director, 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
Investment sub-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. Macquarie Institutional Portfolios are distributed by Delaware Distributors, L.P., 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 Form N-PORT. Each Portfolio’s Forms N-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 Forms N-PORT are available without charge (i) upon request, by calling 800 231-8002; (ii) on the Portfolios’ website at macquarieim.com/mipliterature; and (iii) on the SEC’s website at sec.gov. Each Portfolio’s Forms N-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 800 SEC-0330.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-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 macquarieim.com/mipliterature or calling 800 231-8002. Investors should read the prospectus carefully before investing.
2005 Market Street Philadelphia, PA 19103-7094 | ||||
Fax 215 255-1162 | ||||
(1197611) | Printed in the USA | |||
SA-DPT 22603 [6/20] |
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Semiannual report
Multi-asset mutual fund
Delaware Global Listed Real Assets Fund
(formerly, Delaware REIT Fund)
April 30, 2020
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 800 523-1918. 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 calling 800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail.
Visit delawarefunds.com/edelivery.
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Experience Delaware Funds® by Macquarie
Macquarie Investment Management (MIM) is a global asset manager with offices in the United States, Europe, Asia, and Australia. As active managers we prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 80 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus for Delaware Global Listed Real Assets 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 by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Fund is governed by US laws and regulations.
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Security type / sector allocation and top 10 equity holdings | 3 | |||
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Unless otherwise noted, views expressed herein are current as of April 30, 2020, 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.
© 2020 Macquarie Management Holdings, Inc.
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For the six-month period from November 1, 2019 to April 30, 2020 (Unaudited)
The investment objective of the Fund is to seek total return, which is targeted to be in excess of inflation, through growth of capital and current income.
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 service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Nov. 1, 2019 to April 30, 2020.
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 the six-month period from November 1, 2019 to April 30, 2020 (Unaudited)
Delaware Global Listed Real Assets Fund
Expense analysis of an investment of $1,000
Beginning
Account Value
11/1/19 | Ending
Account Value
4/30/20 | Annualized
Expense Ratio | Expenses
Paid During Period
11/1/19 to 4/30/20* | |||||||||||||||||
Actual Fund return† | ||||||||||||||||||||
Class A | $ | 1,000.00 | $878.10 | 1.40 | % | $6.54 | ||||||||||||||
Class C | 1,000.00 | 874.80 | 2.15 | % | 10.02 | |||||||||||||||
Class R | 1,000.00 | 876.40 | 1.65 | % | 7.70 | |||||||||||||||
Institutional Class | 1,000.00 | 878.60 | 1.15 | % | 5.37 | |||||||||||||||
Class R6 | 1,000.00 | 879.40 | 1.03 | % | 4.81 | |||||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||||||
Class A | $ | 1,000.00 | $1,017.90 | 1.40 | % | $7.02 | ||||||||||||||
Class C | 1,000.00 | 1,014.17 | 2.15 | % | 10.77 | |||||||||||||||
Class R | 1,000.00 | 1,016.66 | 1.65 | % | 8.27 | |||||||||||||||
Institutional Class | 1,000.00 | 1,019.14 | 1.15 | % | 5.77 | |||||||||||||||
Class R6 | 1,000.00 | 1,019.74 | 1.03 | % | 5.17 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Fund’s expenses reflected above, the Fund also indirectly bears its portion of the fees and expenses of the investment companies (Underlying Funds) in which it invests, including exchange-traded funds. The table above does not reflect the expenses of the Underlying Funds.
2
Table of Contents
Security type / sector allocation and top 10
equity holdings
Delaware Global Listed Real Assets Fund | As of April 30, 2020 (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 | 60.10 | % | ||
Consumer Staples | 1.50 | % | ||
Energy | 9.06 | % | ||
Financials | 0.97 | % | ||
Healthcare | 0.70 | % | ||
Industrials | 9.28 | % | ||
Information Technology | 0.35 | % | ||
Materials | 9.98 | % | ||
Real Estate Operating Companies/Developer | 0.77 | % | ||
REIT Diversified | 1.55 | % | ||
REIT Healthcare | 1.32 | % | ||
REIT Hotel | 0.09 | % | ||
REIT Industrial | 2.96 | % | ||
REIT Information Technology | 2.43 | % | ||
REIT Mall | 0.17 | % | ||
REIT Manufactured Housing | 1.11 | % | ||
REIT Multifamily | 2.86 | % | ||
REIT Office | 0.66 | % | ||
REIT Retail | 0.23 | % | ||
REIT Self-Storage | 0.41 | % | ||
REIT Shopping Center | 0.12 | % | ||
REIT Single Tenant | 0.14 | % | ||
REIT Specialty | 0.60 | % | ||
Utilities | 12.84 | % | ||
Convertible Bond | 0.06 | % | ||
Corporate Bonds | 16.54 | % | ||
Basic Industry | 2.64 | % | ||
Capital Goods | 1.38 | % | ||
Communications | 5.83 | % | ||
Consumer Cyclical | 1.05 | % | ||
Consumer Non-Cyclical | 1.48 | % | ||
Energy | 2.71 | % | ||
Real Estate Investment Trusts | 0.17 | % | ||
Technology | 0.23 | % | ||
Transportation | 0.43 | % | ||
Utilities | 0.62 | % | ||
Non-Agency Commercial Mortgage-Backed Securities | 3.95 | % |
3
Table of Contents
Security type / sector allocation and top 10
equity holdings
Delaware Global Listed Real Assets Fund
Security type / sector
| Percentage of net assets
| |||
Loan Agreements | 3.96 | % | ||
Sovereign Bonds | 8.25 | % | ||
US Treasury Obligations | 4.74 | % | ||
Exchange-Traded Fund | 0.35 | % | ||
Short-Term Investments | 1.26 | % | ||
Total Value of Securities | 99.21 | % | ||
Receivables and Other Assets Net of Liabilities | 0.79 | % | ||
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 | 1.64 | % | ||
Newmont | 1.57 | % | ||
Equinix | 1.32 | % | ||
Infraestructura Energetica Nova | 1.25 | % | ||
Compass Minerals International | 1.19 | % | ||
Cheniere Energy | 1.18 | % | ||
Sacyr | 1.17 | % | ||
Atlantia | 1.17 | % | ||
Nutrien | 1.15 | % | ||
Transurban Group | 1.11 | % |
4
Table of Contents
Schedule of investments | ||||
Delaware Global Listed Real Assets Fund | April 30, 2020 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stock – 60.10% | ||||||||
Consumer Staples – 1.50% | ||||||||
Archer-Daniels-Midland | 5,082 | $ | 188,745 | |||||
Bunge | 8,321 | 330,094 | ||||||
Tyson Foods Class A | 14,454 | 898,894 | ||||||
|
| |||||||
1,417,733 | ||||||||
|
| |||||||
Energy – 9.06% | ||||||||
Ardmore Shipping | 91,970 | 605,163 | ||||||
Cheniere Energy † | 23,864 | 1,114,210 | ||||||
Chevron | 6,621 | 609,132 | ||||||
Enbridge | 33,142 | 1,015,486 | ||||||
Euronav | 73,634 | 787,147 | ||||||
Navigator Holdings † | 82,291 | 548,881 | ||||||
Noble Energy | 48,047 | 471,341 | ||||||
Overseas Shipholding Group Class A † | 133,311 | 333,277 | ||||||
Par Pacific Holdings † | 75,272 | 731,644 | ||||||
TC Energy | 21,628 | 995,359 | ||||||
TechnipFMC | 37,689 | 335,809 | ||||||
Valero Energy | 15,663 | 992,251 | ||||||
|
| |||||||
8,539,700 | ||||||||
|
| |||||||
Financials – 0.97% | ||||||||
Uranium Participation † | 259,272 | 912,700 | ||||||
|
| |||||||
912,700 | ||||||||
|
| |||||||
Healthcare – 0.70% | ||||||||
Brookdale Senior Living † | 183,880 | 663,807 | ||||||
|
| |||||||
663,807 | ||||||||
|
| |||||||
Industrials – 9.28% | ||||||||
Aena SME 144A #† | 7,922 | 1,002,693 | ||||||
ALEATICA | 1,223,912 | 950,397 | ||||||
Arcosa | 21,577 | 804,175 | ||||||
Atlantia | 67,966 | 1,106,408 | ||||||
Auckland International Airport | 78,903 | 294,775 | ||||||
Enav 144A # | 224,007 | 1,004,005 | ||||||
GrafTech International | 87,006 | 706,489 | ||||||
Sacyr | 592,871 | 1,107,085 | ||||||
TPI Composites † | 12,494 | 219,020 | ||||||
Transurban Group | 116,761 | 1,050,005 | ||||||
Vinci | 6,167 | 504,831 | ||||||
|
| |||||||
8,749,883 | ||||||||
|
| |||||||
Information Technology – 0.35% | ||||||||
Switch Class A | 18,982 | 325,921 | ||||||
|
| |||||||
325,921 | ||||||||
|
| |||||||
Materials – 9.98% | ||||||||
Acadian Timber | 68,775 | 693,704 |
5
Table of Contents
Schedule of investments
Delaware Global Listed Real Assets Fund
Number of shares | Value (US $) | |||||||
Common Stock (continued) | ||||||||
Materials (continued) | ||||||||
Air Products and Chemicals | 1,728 | $ | 389,802 | |||||
B2Gold | 24,098 | 121,936 | ||||||
Barrick Gold | 39,181 | 1,008,553 | ||||||
CF Industries Holdings | 11,368 | 312,620 | ||||||
Compass Minerals International | 22,826 | 1,122,126 | ||||||
FMC | 6,799 | 624,828 | ||||||
Hudbay Minerals | 325,001 | 796,252 | ||||||
Louisiana-Pacific | 20,920 | 418,400 | ||||||
Mercer International | 49,091 | 494,837 | ||||||
Newmont | 24,873 | 1,479,446 | ||||||
Nutrien | 30,437 | 1,086,905 | ||||||
Steel Dynamics | 8,705 | 211,270 | ||||||
West Fraser Timber | 23,289 | 648,167 | ||||||
|
| |||||||
9,408,846 | ||||||||
|
| |||||||
Real Estate Operating Companies/Developer – 0.77% | ||||||||
Grainger | 40,368 | 135,854 | ||||||
Kojamo | 10,315 | 185,381 | ||||||
Mitsui Fudosan | 9,800 | 182,457 | ||||||
Sun Hung Kai Properties | 16,000 | 218,781 | ||||||
|
| |||||||
722,473 | ||||||||
|
| |||||||
REIT Diversified – 1.55% | ||||||||
Charter Hall Group | 25,017 | 124,713 | ||||||
Fastighets Balder Class B † | 3,604 | 142,598 | ||||||
Inmobiliaria Colonial Socimi | 22,912 | 220,951 | ||||||
Mapletree Logistics Trust | 141,900 | 181,130 | ||||||
Weyerhaeuser | 36,332 | 794,581 | ||||||
|
| |||||||
1,463,973 | ||||||||
|
| |||||||
REIT Healthcare – 1.32% | ||||||||
Alexandria Real Estate Equities | 2,834 | 445,193 | ||||||
Assura | 233,658 | 224,545 | ||||||
Healthpeak Properties | 14,267 | 372,939 | ||||||
Welltower | 3,925 | 201,078 | ||||||
|
| |||||||
1,243,755 | ||||||||
|
| |||||||
REIT Hotel – 0.09% | ||||||||
Host Hotels & Resorts | 6,845 | 84,262 | ||||||
|
| |||||||
84,262 | ||||||||
|
| |||||||
REIT Industrial – 2.96% | ||||||||
Americold Realty Trust | 7,298 | 223,246 | ||||||
GLP J-REIT | 146 | 188,699 | ||||||
Goodman Group | 38,791 | 332,408 | ||||||
Prologis | 17,321 | 1,545,553 | ||||||
Rexford Industrial Realty | 9,216 | 375,275 |
6
Table of Contents
Number of shares | Value (US $) | |||||||
Common Stock (continued) | ||||||||
REIT Industrial (continued) | ||||||||
Segro | 11,435 | $ | 119,482 | |||||
|
| |||||||
2,784,663 | ||||||||
|
| |||||||
REIT Information Technology – 2.43% | ||||||||
American Tower | 1,469 | 349,622 | ||||||
Digital Realty Trust | 536 | 80,127 | ||||||
Equinix | 1,848 | 1,247,770 | ||||||
QTS Realty Trust Class A | 4,761 | 297,705 | ||||||
SBA Communications | 1,087 | 315,143 | ||||||
|
| |||||||
2,290,367 | ||||||||
|
| |||||||
REIT Mall – 0.17% | ||||||||
Simon Property Group | 2,406 | 160,649 | ||||||
|
| |||||||
160,649 | ||||||||
|
| |||||||
REIT Manufactured Housing – 1.11% | ||||||||
Equity LifeStyle Properties | 5,419 | 326,820 | ||||||
Sun Communities | 5,364 | 720,922 | ||||||
|
| |||||||
1,047,742 | ||||||||
|
| |||||||
REIT Multifamily – 2.86% | ||||||||
Apartment Investment and Management Class A | 3,159 | 119,000 | ||||||
AvalonBay Communities | 2,536 | 413,241 | ||||||
Bluerock Residential Growth REIT | 12,327 | 71,743 | ||||||
Camden Property Trust | 4,187 | 368,749 | ||||||
Daiwa Securities Living Investments | 270 | 227,694 | ||||||
Equity Residential | 7,540 | 490,552 | ||||||
Essex Property Trust | 1,589 | 387,875 | ||||||
Killam Apartment Real Estate Investment Trust | 12,565 | 151,020 | ||||||
UDR | 12,368 | 463,429 | ||||||
|
| |||||||
2,693,303 | ||||||||
|
| |||||||
REIT Office – 0.66% | ||||||||
Boston Properties | 1,430 | 138,967 | ||||||
Daiwa Office Investment | 22 | 122,387 | ||||||
Kilroy Realty | 5,778 | 359,738 | ||||||
|
| |||||||
621,092 | ||||||||
|
| |||||||
REIT Retail – 0.23% | ||||||||
Link REIT | 23,900 | 213,051 | ||||||
|
| |||||||
213,051 | ||||||||
|
| |||||||
REIT Self-Storage – 0.41% | ||||||||
Extra Space Storage | 3,278 | 289,251 | ||||||
Public Storage | 515 | 95,507 | ||||||
|
| |||||||
384,758 | ||||||||
|
| |||||||
REIT Shopping Center – 0.12% | ||||||||
Regency Centers | 1,782 | 78,248 |
7
Table of Contents
Schedule of investments
Delaware Global Listed Real Assets Fund
Number of shares | Value (US $) | |||||||
Common Stock (continued) | ||||||||
REIT Shopping Center (continued) | ||||||||
SITE Centers | 6,192 | $ | 37,523 | |||||
|
| |||||||
115,771 | ||||||||
|
| |||||||
REIT Single Tenant – 0.14% | ||||||||
Four Corners Property Trust | 6,045 | 135,348 | ||||||
|
| |||||||
135,348 | ||||||||
|
| |||||||
REIT Specialty – 0.60% | ||||||||
Invitation Homes | 23,888 | 564,951 | ||||||
|
| |||||||
564,951 | ||||||||
|
| |||||||
Utilities – 12.84% | ||||||||
APA Group | 132,171 | 940,531 | ||||||
Hydro One 144A # | 52,350 | 949,254 | ||||||
Infraestructura Energetica Nova | 354,654 | 1,176,932 | ||||||
Italgas | 184,522 | 1,032,274 | ||||||
National Grid | 86,191 | 1,013,711 | ||||||
PPL | 38,663 | 982,813 | ||||||
Sempra Energy | 8,142 | 1,008,387 | ||||||
Severn Trent | 33,675 | 1,013,687 | ||||||
Snam | 233,025 | 1,043,913 | ||||||
Spark Infrastructure Group | 731,192 | 900,550 | ||||||
Terna Rete Elettrica Nazionale | 167,316 | 1,048,780 | ||||||
United Utilities Group | 87,443 | 993,633 | ||||||
|
| |||||||
12,104,465 | ||||||||
|
| |||||||
Total Common Stock (cost $61,921,545) | 56,649,213 | |||||||
|
| |||||||
Principal amount° | ||||||||
Convertible Bond – 0.06% | ||||||||
Cheniere Energy 144A 4.875% exercise price $93.64, maturity date 5/28/21 #T | 56,000 | 54,586 | ||||||
|
| |||||||
Total Convertible Bond (cost $56,418) | 54,586 | |||||||
|
| |||||||
| ||||||||
Corporate Bonds – 16.54% | ||||||||
Basic Industry – 2.64% | ||||||||
Chemours 7.00% 5/15/25 | 350,000 | 330,715 | ||||||
First Quantum Minerals 144A 6.875% 3/1/26 # | 200,000 | 176,330 | ||||||
Freeport-McMoRan 5.45% 3/15/43 | 380,000 | 352,203 | ||||||
Hudbay Minerals 144A 7.625% 1/15/25 # | 320,000 | 291,104 | ||||||
IAMGOLD 144A 7.00% 4/15/25 # | 120,000 | 121,822 | ||||||
Novelis 144A 5.875% 9/30/26 # | 120,000 | 117,276 | ||||||
Steel Dynamics 5.00% 12/15/26 | 485,000 | 498,867 |
8
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Basic Industry (continued) | ||||||||
Univar Solutions USA 144A 5.125% 12/1/27 # | 600,000 | $ | 598,290 | |||||
|
| |||||||
2,486,607 | ||||||||
|
| |||||||
Capital Goods – 1.38% | ||||||||
Boise Cascade 144A 5.625% 9/1/24 # | 330,000 | 330,759 | ||||||
Clean Harbors 144A 5.125% 7/15/29 # | 310,000 | 317,626 | ||||||
Covanta Holding 6.00% 1/1/27 | 120,000 | 116,052 | ||||||
GFL Environmental 144A 5.125% 12/15/26 # | 250,000 | 261,563 | ||||||
Sealed Air 144A 4.00% 12/1/27 # | 275,000 | 271,219 | ||||||
|
| |||||||
1,297,219 | ||||||||
|
| |||||||
Communications – 5.83% | ||||||||
CCO Holdings 144A 5.375% 6/1/29 # | 640,000 | 678,182 | ||||||
CenturyLink | ||||||||
144A 4.00% 2/15/27 # | 140,000 | 136,675 | ||||||
144A 5.125% 12/15/26 # | 205,000 | 195,519 | ||||||
Clear Channel Worldwide Holdings 144A 9.25% 2/15/24 # | 260,000 | 217,802 | ||||||
Consolidated Communications 6.50% 10/1/22 | 215,000 | 194,306 | ||||||
CSC Holdings | ||||||||
144A 5.75% 1/15/30 # | 365,000 | 380,636 | ||||||
6.75% 11/15/21 | 120,000 | 125,840 | ||||||
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 80,000 | 65,536 | ||||||
Frontier Communications 144A 8.00% 4/1/27 #‡ | 80,000 | 81,948 | ||||||
Gray Television 144A 7.00% 5/15/27 # | 260,000 | 263,081 | ||||||
LCPR Senior Secured Financing 144A 6.75% 10/15/27 # | 216,000 | 223,484 | ||||||
Level 3 Financing 144A 3.875% 11/15/29 # | 453,000 | 464,696 | ||||||
Nexstar Broadcasting 144A 5.625% 7/15/27 # | 338,000 | 324,362 | ||||||
Outfront Media Capital 144A 4.625% 3/15/30 # | 750,000 | 687,862 | ||||||
Radiate Holdco 144A 6.625% 2/15/25 # | 80,000 | 79,784 | ||||||
Sirius XM Radio 144A 5.50% 7/1/29 # | 545,000 | 577,482 | ||||||
Sprint Capital 8.75% 3/15/32 | 100,000 | 140,965 | ||||||
T-Mobile USA 4.75% 2/1/28 | 170,000 | 179,294 | ||||||
Virgin Media Secured Finance 144A 5.50% 5/15/29 # | 200,000 | 208,570 | ||||||
Zayo Group Holdings 144A 4.00% 3/1/27 # | 275,000 | 267,996 | ||||||
|
| |||||||
5,494,020 | ||||||||
|
| |||||||
Consumer Cyclical – 1.05% | ||||||||
Hilton Domestic Operating 4.875% 1/15/30 | 120,000 | 115,596 | ||||||
Lennar 5.00% 6/15/27 | 160,000 | 165,456 | ||||||
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 531,000 | 539,310 | ||||||
Murphy Oil USA 5.625% 5/1/27 | 160,000 | 165,864 | ||||||
|
| |||||||
986,226 | ||||||||
|
|
9
Table of Contents
Schedule of investments
Delaware Global Listed Real Assets Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Non-Cyclical – 1.48% | ||||||||
HCA | ||||||||
5.375% 2/1/25 | 120,000 | $ | 129,641 | |||||
5.875% 2/1/29 | 350,000 | 402,133 | ||||||
JBS USA LUX 144A 5.50% 1/15/30 # | 250,000 | 254,287 | ||||||
Pilgrim’s Pride 144A 5.75% 3/15/25 # | 160,000 | 162,453 | ||||||
Tenet Healthcare | ||||||||
5.125% 5/1/25 | 90,000 | 84,713 | ||||||
6.875% 11/15/31 | 230,000 | 200,583 | ||||||
8.125% 4/1/22 | 160,000 | 161,960 | ||||||
|
| |||||||
1,395,770 | ||||||||
|
| |||||||
Energy – 2.71% | ||||||||
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 295,000 | 315,687 | ||||||
Cheniere Energy Partners | ||||||||
144A 4.50% 10/1/29 # | 100,000 | 92,715 | ||||||
5.25% 10/1/25 | 330,000 | 317,064 | ||||||
Crestwood Midstream Partners 144A 5.625% 5/1/27 # | 170,000 | 111,571 | ||||||
DCP Midstream Operating 5.125% 5/15/29 | 330,000 | 247,285 | ||||||
Genesis Energy 6.50% 10/1/25 | 270,000 | 228,487 | ||||||
Murphy Oil | ||||||||
5.875% 12/1/27 | 325,000 | 221,601 | ||||||
6.875% 8/15/24 | 160,000 | 114,432 | ||||||
Southwestern Energy 7.75% 10/1/27 | 360,000 | 315,540 | ||||||
Targa Resources Partners | ||||||||
5.375% 2/1/27 | 170,000 | 145,291 | ||||||
5.875% 4/15/26 | 304,000 | 271,229 | ||||||
WPX Energy 5.25% 10/15/27 | 205,000 | 179,303 | ||||||
|
| |||||||
2,560,205 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 0.17% | ||||||||
HAT Holdings I 144A 5.25% 7/15/24 # | 160,000 | 159,616 | ||||||
|
| |||||||
159,616 | ||||||||
|
| |||||||
Technology – 0.23% | ||||||||
Iron Mountain US Holdings 144A 5.375% 6/1/26 # | 216,000 | 216,454 | ||||||
|
| |||||||
216,454 | ||||||||
|
| |||||||
Transportation – 0.43% | ||||||||
DAE Funding 144A 5.75% 11/15/23 # | 175,000 | 157,903 | ||||||
Delta Air Lines 144A 7.00% 5/1/25 # | 240,000 | 246,232 | ||||||
|
| |||||||
404,135 | ||||||||
|
| |||||||
Utilities – 0.62% | ||||||||
TerraForm Power Operating 144A 4.75% 1/15/30 # | 210,000 | 215,691 | ||||||
Vistra Operations | ||||||||
144A 5.00% 7/31/27 # | 120,000 | 122,946 |
10
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Utilities (continued) | ||||||||
Vistra Operations | ||||||||
144A 5.50% 9/1/26 # | 120,000 | $ | 124,236 | |||||
144A 5.625% 2/15/27 # | 120,000 | 126,858 | ||||||
|
| |||||||
589,731 | ||||||||
|
| |||||||
Total Corporate Bonds (cost $16,515,091) | 15,589,983 | |||||||
|
| |||||||
| ||||||||
Non-Agency Commercial Mortgage-Backed Securities – 3.95% | ||||||||
BANK | 750,000 | 644,428 | ||||||
Citigroup Commercial Mortgage Trust | 750,000 | 802,571 | ||||||
GS Mortgage Securities Trust | 730,000 | 723,410 | ||||||
JPMCC Commercial Mortgage Securities Trust | 1,000,000 | 858,228 | ||||||
Morgan Stanley Capital I Trust | 740,000 | 697,063 | ||||||
|
| |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $4,154,112) | 3,725,700 | |||||||
|
| |||||||
| ||||||||
Loan Agreements – 3.96% | ||||||||
Calpine | ||||||||
2.66% (LIBOR01M + 2.25%) 1/15/24 ● | 126,504 | 122,768 | ||||||
2.66% (LIBOR01M + 2.25%) 4/5/26 ● | 325,541 | 315,368 | ||||||
Calpine Construction Finance Tranche B 2.404% | 126,529 | 121,547 | ||||||
CenturyLink Tranche B 2.654% (LIBOR01M + 2.25%) 3/15/27 ● | 448,875 | 426,319 | ||||||
Charter Communications Operating Tranche B2 2.16% | 263,463 | 254,383 | ||||||
Clear Channel Outdoor Holdings Tranche B 4.26% | 169,150 | 146,597 | ||||||
CSC Holdings 3.064% (LIBOR01M + 2.25%) 7/17/25 ● | 253,043 | 243,175 | ||||||
Edgewater Generation 4.154% (LIBOR01M + 3.75%) 12/15/25 ● | 84,359 | 75,291 | ||||||
Frontier Communications Tranche B-1 5.35% (LIBOR01M + 3.75%) 6/17/24 ● | 383,032 | 374,892 | ||||||
HCA Tranche B-12 2.154% (LIBOR01M + 1.75%) 3/13/25 ● | 348,250 | 341,845 | ||||||
HCA Tranche B13 2.154% (LIBOR01M + 1.75%) 3/18/26 ● | 168,722 | 165,600 | ||||||
Lamar Media Tranche B 2.482% (LIBOR01M + 1.50%) 2/5/27 ● | 169,139 | 163,114 | ||||||
LCPR Loan Financing 5.814% (LIBOR01M + 5.00%) 10/15/26 ● | 100,000 | 99,250 |
11
Table of Contents
Schedule of investments
Delaware Global Listed Real Assets Fund
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
Panda Liberty Tranche B-2 7.95% (LIBOR03M + 6.50%) 8/21/20 ● | 74,806 | $ | 70,317 | |||||
Panda Patriot Tranche B-1 7.20% (LIBOR03M + 5.75%) 12/19/20 ● | 42,700 | 40,138 | ||||||
Panda Patriot Tranche B-2 7.20% (LIBOR03M + 5.75%) 12/19/20 ● | 32,106 | 30,179 | ||||||
Summit Midstream Partners Holdings 7.00% (LIBOR01M + 6.00%) 5/13/22 ● | 77,730 | 15,546 | ||||||
Telenet Financing USD Tranche AR 2.814% (LIBOR01M + 2.00%) 4/30/28 ● | 255,000 | 243,653 | ||||||
T-Mobile USA TBD 4/1/27 X | 250,000 | 248,688 | ||||||
USIC Holdings Tranche B 4.25% (LIBOR01M + 3.25%) 12/8/23 ● | 84,368 | 75,579 | ||||||
Vistra Operations 2.221% (LIBOR01M + 1.75%) 12/31/25 ● | 169,534 | 152,581 | ||||||
|
| |||||||
Total Loan Agreements (cost $3,945,845) | 3,726,830 | |||||||
|
| |||||||
| ||||||||
Sovereign Bonds – 8.25%D | ||||||||
Australia – 0.24% | ||||||||
Australia Government Bonds | ||||||||
0.75% 11/21/27 | AUD | 301,494 | 215,332 | |||||
2.50% 9/20/30 | AUD | 14,670 | 14,450 | |||||
|
| |||||||
229,782 | ||||||||
|
| |||||||
Canada – 0.53% | ||||||||
Canadian Government Real Return Bonds | ||||||||
4.00% 12/1/31 | CAD | 294,700 | 309,939 | |||||
4.25% 12/1/26 | CAD | 204,050 | 186,049 | |||||
|
| |||||||
495,988 | ||||||||
|
| |||||||
France – 1.04% | ||||||||
French Republic Government Bond OAT | ||||||||
0.10% 3/1/25 | EUR | 193,555 | 219,436 | |||||
0.10% 3/1/28 | EUR | 396,852 | 458,481 | |||||
144A 1.80% 7/25/40 # | EUR | 89,356 | 145,968 | |||||
3.15% 7/25/32 | EUR | 96,464 | 156,981 | |||||
|
| |||||||
980,866 | ||||||||
|
| |||||||
Germany – 0.25% | ||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
0.10% 4/15/26 | EUR | 198,146 | 232,717 | |||||
|
| |||||||
232,717 | ||||||||
|
| |||||||
Italy – 1.02% | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
0.10% 5/15/23 | EUR | 616,611 | 660,347 |
12
Table of Contents
Principal amount° | Value (US $) | |||||||
Sovereign BondsD (continued) | ||||||||
Italy (continued) | ||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
144A 2.55% 9/15/41 # | EUR | 64,425 | $ | 81,650 | ||||
144A 3.10% 9/15/26 # | EUR | 180,930 | 221,491 | |||||
|
| |||||||
963,488 | ||||||||
|
| |||||||
Japan – 0.52% | ||||||||
Japanese Government CPI Linked Bond 0.10% 3/10/29 | JPY | 53,277,190 | 494,222 | |||||
|
| |||||||
494,222 | ||||||||
|
| |||||||
Spain – 0.40% | ||||||||
Spain Government Inflation Linked Bond 0.15% 11/30/23 | EUR | 334,066 | 372,912 | |||||
|
| |||||||
372,912 | ||||||||
|
| |||||||
United Kingdom – 4.25% | ||||||||
United Kingdom Gilt Inflation Linked | ||||||||
0.125% 3/22/29 | GBP | 143,897 | 230,970 | |||||
0.125% 3/22/44 | GBP | 198,744 | 431,644 | |||||
0.125% 3/22/46 | GBP | 201,621 | 453,054 | |||||
0.125% 3/22/58 | GBP | 101,561 | 285,837 | |||||
0.125% 3/22/68 | GBP | 160,208 | 553,243 | |||||
0.25% 3/22/52 | GBP | 103,747 | 267,990 | |||||
0.625% 3/22/40 | GBP | 222,517 | 484,645 | |||||
1.125% 11/22/37 | GBP | 69,303 | 154,507 | |||||
1.25% 11/22/32 | GBP | 267,615 | 528,290 | |||||
1.875% 11/22/22 | GBP | 437,308 | 612,921 | |||||
|
| |||||||
4,003,101 | ||||||||
|
| |||||||
Total Sovereign Bonds (cost $7,830,700) | 7,773,076 | |||||||
|
| |||||||
| ||||||||
US Treasury Obligations – 4.74% | ||||||||
US Treasury Inflation Indexed Bonds | ||||||||
1.00% 2/15/49 | 335,125 | 444,920 | ||||||
1.375% 2/15/44 | 288,579 | 389,746 | ||||||
2.125% 2/15/40 | 126,862 | 184,109 | ||||||
US Treasury Inflation Indexed Notes | ||||||||
0.125% 1/15/22 | 134,862 | 133,694 | ||||||
0.25% 7/15/29 | 922,287 | 982,457 | ||||||
0.50% 1/15/28 | 287,658 | 306,907 | ||||||
0.625% 4/15/23 | 1,017,458 | 1,033,328 | ||||||
0.625% 1/15/26 | 940,711 | 991,861 | ||||||
|
| |||||||
Total US Treasury Obligations (cost $4,229,580) | 4,467,022 | |||||||
|
|
13
Table of Contents
Schedule of investments
Delaware Global Listed Real Assets Fund
Number of shares | Value (US $) | |||||||
Exchange-Traded Fund – 0.35% | ||||||||
iShares US Real Estate ETF | 4,374 | $ | 332,643 | |||||
|
| |||||||
Total Exchange-Traded Fund (cost $330,407) | 332,643 | |||||||
|
| |||||||
| ||||||||
Short-Term Investments – 1.26% | ||||||||
Money Market Mutual Funds – 1.26% | ||||||||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.21%) | 238,154 | 238,154 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.16%) | 238,154 | 238,154 | ||||||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.25%) | 238,154 | 238,154 | ||||||
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.13%) | 238,154 | 238,154 | ||||||
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.14%) | 238,154 | 238,154 | ||||||
|
| |||||||
Total Short-Term Investments (cost $1,190,770) | 1,190,770 | |||||||
|
| |||||||
Total Value of Securities – 99.21% | $ | 93,509,823 | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At April 30, 2020, the aggregate value of Rule 144A securities was $12,790,213, which represents 13.57% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
T | PIK. 100% of the income received was in the form of cash. |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
‡ | Non-income producing security. Security is currently in default. |
D | Securities have been classified by country of origin. |
† | Non-income producing security. |
· | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at April 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their description above. |
X | This loan will settle after April 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
14
Table of Contents
The following foreign currency exchange contracts were outstanding at April 30, 2020:1
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
BNYM | AUD | (16 | ) | USD | 10 | 5/1/20 | $ | — | $ | — | ||||||||||||||
CITI | EUR | 95,000 | USD | (107,687 | ) | 6/12/20 | — | (3,541 | ) | |||||||||||||||
JPMCB | AUD | (342,318 | ) | USD | 226,064 | 6/12/20 | 2,963 | — | ||||||||||||||||
JPMCB | CAD | (701,872 | ) | USD | 523,577 | 6/12/20 | 19,301 | — | ||||||||||||||||
JPMCB | EUR | (2,479,650 | ) | USD | 2,782,383 | 6/12/20 | 62,652 | — | ||||||||||||||||
JPMCB | GBP | (3,142,747 | ) | USD | 4,028,048 | 6/12/20 | 69,029 | — | ||||||||||||||||
JPMCB | JPY | (53,171,362 | ) | USD | 497,728 | 6/12/20 | 1,937 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Foreign Currency Exchange Contracts | $ | 155,882 | $ | (3,541 | ) | |||||||||||||||||||
|
|
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 6 in “Notes to financial statements.”
Summary of abbreviations:
AUD – Australian Dollar
BNYM – The Bank of New York Mellon
CAD – Canadian Dollar
CITI – Citigroup Global Markets
CPI – Consumer Price Index
ETF – Exchange-Traded Fund
EUR – European Monetary Unit
GBP – British Pound Sterling
GS – Goldman Sachs
ICE – Intercontinental Exchange
JPMCB – JPMorgan Chase Bank, National Association
JPY – Japanese Yen
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
OAT – Obligations Assimilables du Tresor
PIK – Pay-in-kind
REIT – Real Estate Investment Trust
TBD – To be determined
15
Table of Contents
Delaware Global Listed Real Assets Fund
Summary of abbreviations: (continued)
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
16
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This page intentionally left blank.
Table of Contents
Statement of assets and liabilities | ||||
Delaware Global Listed Real Assets Fund | April 30, 2020 (Unaudited) |
Assets: | ||||
Investments, at value1 | $ | 93,509,823 | ||
Cash | 320,735 | |||
Foreign currencies, at value2 | 95,407 | |||
Receivable for securities sold | 370,308 | |||
Dividends and interest receivable | 326,247 | |||
Unrealized gain on foreign currency exchange contracts | 155,882 | |||
Receivable for fund shares sold | 65,983 | |||
Foreign tax reclaims receivable | 2,096 | |||
|
| |||
Total assets | 94,846,481 | |||
|
| |||
Liabilities: | ||||
Payable for securities purchased | 246,250 | |||
Payable for fund shares redeemed | 179,241 | |||
Investment management fees payable to affiliates | 43,775 | |||
Dividend disbursing and transfer agent fees and expenses payable to non-affiliates | 30,238 | |||
Other accrued expenses | 25,685 | |||
Accounting and administration expenses payable to non-affiliates | 21,118 | |||
Audit and tax fees payable | 18,570 | |||
Distribution fees payable to affiliates | 12,216 | |||
Custodian fees payable | 9,245 | |||
Unrealized loss on foreign currency exchange contracts | 3,541 | |||
Dividend disbursing and transfer agent fees and expense payable to affiliates | 745 | |||
Accounting and administration expenses payable to affiliates | 592 | |||
Trustees’ fees and expenses payable to affiliates | 360 | |||
Legal fees payable to affiliates | 170 | |||
Reports and statements to shareholders expenses payable to affiliates | 82 | |||
|
| |||
Total liabilities | 591,828 | |||
|
| |||
Total Net Assets | $ | 94,254,653 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 105,963,198 | ||
Total distributable earnings (loss) | (11,708,545 | ) | ||
|
| |||
Total Net Assets | $ | 94,254,653 | ||
|
|
18
Table of Contents
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 41,615,477 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 3,787,935 | |||
Net asset value per share | $ | 10.99 | ||
Sales charge | 5.75 | % | ||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 11.66 | ||
Class C: | ||||
Net assets | $ | 3,126,999 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 285,704 | |||
Net asset value per share | $ | 10.94 | ||
Class R: | ||||
Net assets | $ | 4,056,516 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 369,730 | |||
Net asset value per share | $ | 10.97 | ||
Institutional Class: | ||||
Net assets | $ | 41,170,361 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 3,729,606 | |||
Net asset value per share | $ | 11.04 | ||
Class R6: | ||||
Net assets | $ | 4,285,300 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 388,873 | |||
Net asset value per share | $ | 11.02 | ||
1 Investments, at cost | $ | 100,174,468 | ||
2 Foreign currencies, at cost | 94,179 |
See accompanying notes, which are an integral part of the financial statements.
19
Table of Contents
Statement of operations | ||||
Delaware Global Listed Real Assets Fund | Six months ended April 30, 2020 (Unaudited) |
Investment Income: | ||||
Dividends | $ | 1,569,870 | ||
Interest | 591,743 | |||
Foreign tax withheld | (44,367 | ) | ||
|
| |||
2,117,246 | ||||
|
| |||
Expenses: | ||||
Management fees | 395,456 | |||
Distribution expenses — Class A | 58,386 | |||
Distribution expenses — Class C | 18,435 | |||
Distribution expenses — Class R | 11,488 | |||
Legal fees | 119,257 | |||
Dividend disbursing and transfer agent fees and expenses | 74,216 | |||
Registration fees | 40,032 | |||
Accounting and administration expenses | 27,975 | |||
Reports and statements to shareholders expenses | 27,242 | |||
Audit and tax fees | 19,236 | |||
Custodian fees | 13,839 | |||
Trustees’ fees and expenses | 2,789 | |||
Other | 24,774 | |||
|
| |||
833,125 | ||||
Less expenses waived | (139,545 | ) | ||
Less expenses paid indirectly | (2,419 | ) | ||
|
| |||
Total operating expenses | 691,161 | |||
|
| |||
Net Investment Income | 1,426,085 | |||
|
|
20
Table of Contents
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (5,829,169 | ) | ||
Foreign currencies | (8,332 | ) | ||
Foreign currency exchange contracts | 106,502 | |||
Futures contracts | 11,516 | |||
Options purchased | 28,366 | |||
|
| |||
Net realized loss | (5,691,117 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) of: | ||||
Investments | (9,371,032 | ) | ||
Foreign currencies | (4,254 | ) | ||
Foreign currency exchange contracts | 184,548 | |||
Futures contracts | 35 | |||
Options purchased | (235 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | (9,190,938 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (14,882,055 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (13,455,970 | ) | |
|
|
See accompanying notes, which are an integral part of the financial statements.
21
Table of Contents
Statements of changes in net assets
Delaware Global Listed Real Assets Fund
Six months ended 4/30/20 (Unaudited) | Year ended 10/31/19 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,426,085 | $ | 939,104 | ||||
Net realized gain (loss) | (5,691,117 | ) | 11,430,255 | |||||
Net change in unrealized appreciation (depreciation) | (9,190,938 | ) | 2,048,321 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (13,455,970 | ) | 14,417,680 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders from: | ||||||||
Distributable earnings: | ||||||||
Class A | (1,377,335 | ) | (844,447 | ) | ||||
Class C | (103,419 | ) | (44,170 | ) | ||||
Class R | (134,029 | ) | (75,055 | ) | ||||
Institutional Class | (1,459,973 | ) | (244,872 | ) | ||||
Class R6 | (144,968 | ) | (102,244 | ) | ||||
|
|
|
| |||||
(3,219,724 | ) | (1,310,788 | ) | |||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 1,147,063 | 1,999,130 | ||||||
Class C | 105,670 | 364,260 | ||||||
Class R | 419,369 | 835,007 | ||||||
Institutional Class | 45,154,736 | 1,973,939 | ||||||
Class R6 | 143,055 | 116,008 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 1,363,386 | 818,760 | ||||||
Class C | 100,438 | 43,565 | ||||||
Class R | 134,028 | 75,055 | ||||||
Institutional Class | 1,455,962 | 241,619 | ||||||
Class R6 | 144,968 | 102,244 | ||||||
|
|
|
| |||||
50,168,675 | 6,569,587 | |||||||
|
|
|
|
22
Table of Contents
Six months ended 4/30/20 (Unaudited) | Year ended 10/31/19 | |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (4,656,313 | ) | $ | (10,817,762 | ) | ||
Class C | (573,326 | ) | (1,866,085 | ) | ||||
Class R | (736,045 | ) | (1,730,581 | ) | ||||
Institutional Class | (10,825,978 | ) | (5,482,400 | ) | ||||
Class R6 | (644,478 | ) | (569,825 | ) | ||||
|
|
|
| |||||
(17,436,140 | ) | (20,466,653 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in net assets derived from capital share transactions | 32,732,535 | (13,897,066 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 16,056,841 | (790,174 | ) | |||||
Net Assets: | ||||||||
Beginning of period | $ | 78,197,812 | $ | 78,987,986 | ||||
|
|
|
| |||||
End of period | $ | 94,254,653 | $ | 78,197,812 | ||||
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
23
Table of Contents
Delaware Global Listed Real Assets 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 assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees 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. |
4 | Total return during the period shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
24
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||||||||
$ | 12.88 | $ | 10.87 | $ | 11.36 | $ | 14.28 | $ | 15.54 | $ | 15.61 | |||||||||||||||||||
0.16 | 0.14 | 0.19 | 0.08 | 0.18 | 0.13 | |||||||||||||||||||||||||
(1.69 | ) | 2.07 | (0.21 | ) | 0.03 | 0.41 | 0.76 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| (1.53 | ) | 2.21 | (0.02 | ) | 0.11 | 0.59 | 0.89 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.04 | ) | (0.20 | ) | (0.16 | ) | (0.21 | ) | (0.24 | ) | (0.24 | ) | |||||||||||||||||||
— | — | (0.05 | ) | — | — | — | ||||||||||||||||||||||||
(0.32 | ) | — | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.36 | ) | (0.20 | ) | (0.47 | ) | (3.03 | ) | (1.85 | ) | (0.96 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 10.99 | $ | 12.88 | $ | 10.87 | $ | 11.36 | $ | 14.28 | $ | 15.54 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(12.19% | )4 | 20.55% | 4 | (0.26% | )4 | 0.90% | 4.24% | 5.70% | ||||||||||||||||||||||
$ | 41,616 | $ | 51,133 | $ | 50,627 | $ | 65,824 | $ | 86,129 | $ | 90,899 | |||||||||||||||||||
1.40% | 1.42% | 1.39% | 1.44% | 1.33% | 1.37% | |||||||||||||||||||||||||
1.66% | 1.58% | 1.41% | 1.44% | 1.33% | 1.37% | |||||||||||||||||||||||||
2.62% | 1.21% | 1.76% | 0.71% | 1.24% | 0.81% | |||||||||||||||||||||||||
2.36% | 1.05% | 1.74% | 0.71% | 1.24% | 0.81% | |||||||||||||||||||||||||
51% | 125% | 120% | 145% | 111% | 67% |
25
Table of Contents
Financial highlights
Delaware Global Listed Real Assets 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 income (loss)2 |
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 assets6 |
Ratio of expenses to average net assets prior to fees waived6 |
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. |
5 | Total return during the period shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
26
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||||||||
$ | 12.85 | $ | 10.85 | $ | 11.31 | $ | 14.24 | $ | 15.50 | $ | 15.59 | |||||||||||||||||||
0.11 | 0.05 | 0.11 | — | 3 | 0.07 | 0.01 | ||||||||||||||||||||||||
(1.69 | ) | 2.07 | (0.21 | ) | 0.02 | 0.42 | 0.75 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| (1.58 | ) | 2.12 | (0.10 | ) | 0.02 | 0.49 | 0.76 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.01 | ) | (0.12 | ) | (0.05 | ) | (0.13 | ) | (0.14 | ) | (0.13 | ) | |||||||||||||||||||
— | — | (0.05 | ) | — | — | — | ||||||||||||||||||||||||
(0.32 | ) | — | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.33 | ) | (0.12 | ) | (0.36 | ) | (2.95 | ) | (1.75 | ) | (0.85 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 10.94 | $ | 12.85 | $ | 10.85 | $ | 11.31 | $ | 14.24 | $ | 15.50 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(12.52% | )5 | 19.64% | 5 | (0.99% | )5 | 0.13% | 3.53% | 4.86% | ||||||||||||||||||||||
$ | 3,127 | $ | 4,082 | $ | 4,810 | $ | 13,331 | $ | 20,598 | $ | 22,085 | |||||||||||||||||||
2.15% | 2.17% | 2.14% | 2.19% | 2.08% | 2.12% | |||||||||||||||||||||||||
2.41% | 2.33% | 2.16% | 2.19% | 2.08% | 2.12% | |||||||||||||||||||||||||
1.87% | 0.46% | 1.01% | (0.04% | ) | 0.49% | 0.06% | ||||||||||||||||||||||||
1.61% | 0.30% | 0.99% | (0.04% | ) | 0.49% | 0.06% | ||||||||||||||||||||||||
51% | 125% | 120% | 145% | 111% | 67% |
27
Table of Contents
Financial highlights
Delaware Global Listed Real Assets 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 assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees 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. |
4 | Total return during the period shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
28
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||||||||
$ | 12.87 | $ | 10.86 | $ | 11.35 | $ | 14.27 | $ | 15.53 | $ | 15.61 | |||||||||||||||||||
0.14 | 0.11 | 0.17 | 0.05 | 0.15 | 0.09 | |||||||||||||||||||||||||
(1.69 | ) | 2.07 | (0.22 | ) | 0.04 | 0.41 | 0.75 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| (1.55 | ) | 2.18 | (0.05 | ) | 0.09 | 0.56 | 0.84 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.03 | ) | (0.17 | ) | (0.13 | ) | (0.19 | ) | (0.21 | ) | (0.20 | ) | |||||||||||||||||||
— | — | (0.05 | ) | — | — | — | ||||||||||||||||||||||||
(0.32 | ) | — | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.35 | ) | (0.17 | ) | (0.44 | ) | (3.01 | ) | (1.82 | ) | (0.92 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 10.97 | $ | 12.87 | $ | 10.86 | $ | 11.35 | $ | 14.27 | $ | 15.53 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(12.36% | )4 | 20.30% | 4 | (0.54% | )4 | 0.66% | 4.00% | 5.40% | ||||||||||||||||||||||
$ | 4,057 | $ | 4,966 | $ | 4,934 | $ | 7,885 | $ | 12,573 | $ | 12,025 | |||||||||||||||||||
1.65% | 1.67% | 1.64% | 1.69% | 1.58% | 1.62% | |||||||||||||||||||||||||
1.91% | 1.83% | 1.66% | 1.69% | 1.58% | 1.62% | |||||||||||||||||||||||||
2.37% | 0.96% | 1.51% | 0.46% | 0.99% | 0.56% | |||||||||||||||||||||||||
2.11% | 0.80% | 1.49% | 0.46% | 0.99% | 0.56% | |||||||||||||||||||||||||
51% | 125% | 120% | 145% | 111% | 67% |
29
Table of Contents
Financial highlights
Delaware Global Listed Real Assets 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 assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees 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. |
4 | Total return during the period shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
30
Table of Contents
Six months ended | ||||||||||||||||||||||||||||||
4/30/201 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | 10/31/15 | |||||||||||||||||||||||||
$ | 12.94 | $ | 10.91 | $ | 11.41 | $ | 14.33 | $ | 15.57 | $ | 15.64 | |||||||||||||||||||
0.17 | 0.17 | 0.22 | 0.12 | 0.21 | 0.16 | |||||||||||||||||||||||||
(1.70 | ) | 2.09 | (0.22 | ) | 0.02 | 0.44 | 0.76 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| (1.53 | ) | 2.26 | — | 0.14 | 0.65 | 0.92 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.05 | ) | (0.23 | ) | (0.19 | ) | (0.24 | ) | (0.28 | ) | (0.27 | ) | |||||||||||||||||||
— | — | (0.05 | ) | — | — | — | ||||||||||||||||||||||||
(0.32 | ) | — | (0.26 | ) | (2.82 | ) | (1.61 | ) | (0.72 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(0.37 | ) | (0.23 | ) | (0.50 | ) | (3.06 | ) | (1.89 | ) | (0.99 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 11.04 | $ | 12.94 | $ | 10.91 | $ | 11.41 | $ | 14.33 | $ | 15.57 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(12.14% | )4 | 20.94% | 4 | (0.08% | )4 | 1.14% | 4.60% | 5.94% | ||||||||||||||||||||||
$ | 41,170 | $ | 12,621 | $ | 13,741 | $ | 16,988 | $ | 38,720 | $ | 108,943 | |||||||||||||||||||
1.15% | 1.17% | 1.14% | 1.19% | 1.08% | 1.12% | |||||||||||||||||||||||||
1.41% | 1.33% | 1.16% | 1.19% | 1.08% | 1.12% | |||||||||||||||||||||||||
2.87% | 1.46% | 2.01% | 0.96% | 1.49% | 1.06% | |||||||||||||||||||||||||
2.61% | 1.30% | 1.99% | 0.96% | 1.49% | 1.06% | |||||||||||||||||||||||||
51% | 125% | 120% | 145% | 111% | 67% |
31
Table of Contents
Delaware Global Listed Real Assets 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 assets6 |
Ratio of expenses to average net assets prior to fees waived6 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees 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. |
5 | Total return during the period shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
7 | Portfolio turnover is representative of the Fund for the entire year ended Oct. 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
32
Table of Contents
Six months ended | 8/31/162 to | ||||||||||||||||||||||||
4/30/201 | Year ended | ||||||||||||||||||||||||
(Unaudited) | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||||||||||||||||||
$ | 12.91 | $ | 10.89 | $ | 11.41 | $ | 14.33 | $ | 15.43 | ||||||||||||||||
0.18 | 0.18 | 0.24 | 0.13 | 0.29 | |||||||||||||||||||||
(1.70 | ) | 2.08 | (0.23 | ) | 0.03 | (1.33 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| (1.52 | ) | 2.26 | 0.01 | 0.16 | (1.04 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
(0.05 | ) | (0.24 | ) | (0.22 | ) | (0.26 | ) | (0.06 | ) | ||||||||||||||||
— | — | (0.05 | ) | — | — | ||||||||||||||||||||
(0.32 | ) | — | (0.26 | ) | (2.82 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
(0.37 | ) | (0.24 | ) | (0.53 | ) | (3.08 | ) | (0.06 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 11.02 | $ | 12.91 | $ | 10.89 | $ | 11.41 | $ | 14.33 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
(12.06% | )5 | 21.00% | 5 | 0.09% | 5 | 1.28% | (6.79% | ) | |||||||||||||||||
$ | 4,285 | $ | 5,396 | $ | 4,876 | $ | 21,155 | $ | 2 | ||||||||||||||||
1.03% | 1.07% | 1.01% | 1.04% | 0.93% | |||||||||||||||||||||
1.29% | 1.23% | 1.03% | 1.04% | 0.93% | |||||||||||||||||||||
2.99% | 1.56% | 2.14% | 1.11% | 1.97% | |||||||||||||||||||||
2.73% | 1.40% | 2.12% | 1.11% | 1.97% | |||||||||||||||||||||
51% | 125% | 120% | 145% | 111% | 7 |
33
Table of Contents
Delaware Global Listed Real Assets Fund | April 30, 2020 (Unaudited) |
Delaware Global Listed Real Assets Fund (formerly, Delaware REIT Fund) (Fund) is a series of Delaware Pooled® Trust (Trust), which is organized as a Delaware statutory trust. The Fund is an open-end investment company. The Fund is considered diversified under the Investment Company Act of 1940, as amended, and offers Class A, Class C, Class R, Institutional Class, and Class R6 shares. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) instead of a front-end sales charge of 1.00%, if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, 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/or sub-transfer agency fees to any brokers, dealers, or other financial intermediaries. This report contains information relating only to Delaware Global Listed Real Assets Fund. All other series of Delaware Pooled Trust, the Macquarie Institutional Portfolios, are included in a separate report.
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 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. Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. 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 (CMOs), 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. Open-end investment companies are valued at their published net asset value (NAV). 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
34
Table of Contents
at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Fund may use fair value pricing more frequently for securities traded primarily in non-US markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00pm Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing). Restricted securities are valued at fair value using methods approved by the Board.
Federal and Foreign Income Taxes – No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year.
Management has analyzed the Fund’s tax positions taken or expected to be taken on the Fund’s federal income tax returns through the six months ended April 30, 2020 and for all open tax years (years ended Oct. 31, 2017–Oct. 31, 2019), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. In regard to foreign taxes only, the Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of the Fund. If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended April 30, 2020, the Fund did not incur any interest or tax penalties.
Class Accounting – Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class. Class R6 shares will not be allocated any expenses related to service fees, sub-accounting fees, and/or sub-transfer agency fees paid to brokers, dealers, or other financial intermediaries.
Foreign Currency Transactions – Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Fund’s prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Fund generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), attributable to changes in foreign exchange rates, is included on the “Statement of operations” under
35
Table of Contents
Notes to financial statements
Delaware Global Listed Real Assets Fund
1. Significant Accounting Policies (continued)
“Net realized gain (loss) on foreign currencies.” The Fund reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates – The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other – Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Funds® by Macquarie (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer, which are estimated. Distributions received from investments in limited partnerships are recorded as return of capital on investments. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Fund is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The Fund declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Fund receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the “Statement of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended April 30, 2020, the Fund earned $2,253 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 expenses 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, 2020, the Fund earned $166 under this arrangement.
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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 all or a portion, if any, of its management fee and/or pay/reimburse the Fund to the extent necessary to ensure total annual operating expenses (excluding any distribution and service (12b-1) fees, acquired fund fees and expenses, taxes, interest, 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) from exceeding 1.15% of the Fund’s average daily net assets for all share classes other than Class R6 shares and 1.00% of the Fund’s average daily net assets of the Class R6 shares from Nov. 1, 2019 through April 30, 2020.* 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 waivers and reimbursements apply only 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.
Macquarie Investment Management Austria Kapitalanlage AG (MIMAK) is primarily responsible for the day-to-day management of the Fund’s portfolio and determines its asset allocation. For these services, DMC, not the Fund, pays MIMAK a fee, which is 0.18% of the average daily net assets of the Fund.
DMC may permit its affiliates, Macquarie Investment Management Global Limited (MIMGL) and Macquarie Funds Management Hong Kong Limited (together, the “Affiliated Sub-Advisors”), to execute Fund equity security trades on behalf of the Manager. The Manager may also seek quantitative support from MIMGL. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Fund, may pay each Affiliated Sub-Advisor a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative 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 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 NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended April 30, 2020, the Fund was charged $3,774 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of the retail funds within the Delaware Funds at the following annual rates: 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
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Notes to financial statements
Delaware Global Listed Real Assets Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
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, 2020, the Fund was charged $4,743 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Fund. Sub-transfer agency fees are paid by the Fund and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that 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 annual 12b-1 fee of 0.25%, 1.00%, and 0.50% of the average daily net assets of the Class A, Class C, and Class R shares, respectively. The fees are calculated daily and paid monthly. Institutional Class and Class R6 shares do not pay 12b-1 fees.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended April 30, 2020, the Fund was charged $27,202 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, 2020, DDLP earned $1,269 for commissions on sales of the Fund’s Class A shares. For the six months ended April 30, 2020, DDLP received gross CDSC commissions of $8 on redemptions of the Fund’s Class C shares, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
In addition to the management fees and other expenses of the Fund, the Fund indirectly bears the investment management fees and other expenses of the investment companies (Underlying Funds) in which it invests. The amount of these fees and expenses incurred indirectly by the Fund will vary based upon the expense and fee levels of the Underlying Funds and the number of shares that are owned of the Underlying Funds at different times.
*The aggregate contractual waiver period covering this report is from Feb. 28, 2019 through March 1, 2020.
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3. Investments
For the six months ended April 30, 2020, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than US government securities | $ | 75,969,434 | ||
Purchases of US government securities | 6,214,189 | |||
Sales other than US government securities | 44,413,194 | |||
Sales of US government securities | 6,362,596 |
At April 30, 2020, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At April 30, 2020, the cost and unrealized appreciation (depreciation) of investments and derivatives for the Fund were as follows:
Cost of investments and derivatives | $ | 100,174,468 | ||
|
| |||
Aggregate unrealized appreciation of investments and derivatives | $ | 3,232,394 | ||
Aggregate unrealized depreciation of investments and derivatives | (9,897,039 | ) | ||
|
| |||
Net unrealized depreciation of investments and derivatives | $ | (6,664,645 | ) | |
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|
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 and on the next page.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and 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, and 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 and fair valued securities) |
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Notes to financial statements
Delaware Global Listed Real Assets Fund
3. Investments (continued)
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, 2020:
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stock | $ | 56,649,213 | $ | — | $ | 56,649,213 | ||||||
Corporate Debt | — | 15,644,569 | 15,644,569 | |||||||||
Agency, Asset- & Mortgage-Backed Securities | — | 3,725,700 | 3,725,700 | |||||||||
Loan Agreements | — | 3,726,830 | 3,726,830 | |||||||||
Foreign Debt | — | 7,773,076 | 7,773,076 | |||||||||
US Treasury Obligations | — | 4,467,022 | 4,467,022 | |||||||||
Exchange-Traded Funds | 332,643 | — | 332,643 | |||||||||
Short-Term Investments | 1,190,770 | — | 1,190,770 | |||||||||
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| |||||||
Total Value of Securities | $ | 58,172,626 | $ | 35,337,197 | $ | 93,509,823 | ||||||
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| |||||||
Derivatives1 | ||||||||||||
Assets: | ||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 155,882 | $ | 155,882 | ||||||
Liabilities: | ||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (3,541 | ) | $ | (3,541 | ) |
1Foreign currency exchange contracts is valued at the unrealized appreciation (depreciation) on the instrument at the period end.
During the six months ended April 30, 2020, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in the Fund occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Fund’s NAV is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the
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investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels based on fair value at the beginning of the reporting period.
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, 2020, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
Six months ended 4/30/20 | Year ended 10/31/19 | |||||||||
Shares sold: | ||||||||||
Class A | 96,106 | 170,099 | ||||||||
Class C | 8,841 | 31,736 | ||||||||
Class R | 34,089 | 72,342 | ||||||||
Institutional Class | 3,564,079 | 166,284 | ||||||||
Class R6 | 11,332 | 9,911 | ||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||
Class A | 111,208 | 71,100 | ||||||||
Class C | 8,035 | 3,864 | ||||||||
Class R | 10,865 | 6,542 | ||||||||
Institutional Class | 118,885 | 20,904 | ||||||||
Class R6 | 11,918 | 8,817 | ||||||||
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| |||||||
3,975,358 | 561,599 | |||||||||
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| |||||||
Shares redeemed: | ||||||||||
Class A | (389,014 | ) | (929,775 | ) | ||||||
Class C | (48,842 | ) | (161,337 | ) | ||||||
Class R | (61,078 | ) | (147,272 | ) | ||||||
Institutional Class | (928,847 | ) | (470,694 | ) | ||||||
Class R6 | (52,320 | ) | (48,524 | ) | ||||||
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| |||||||
(1,480,101 | ) | (1,757,602 | ) | |||||||
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| |||||||
Net increase (decrease) | 2,495,257 | (1,196,003 | ) | |||||||
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Notes to financial statements
Delaware Global Listed Real Assets Fund
4. Capital Shares (continued)
Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table on the previous page and on the “Statements of changes in net assets.” For the six months ended April 30, 2020 and year ended Oct. 31, 2019, the Fund had the following exchange transactions:
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||
Institutional | ||||||||||||||||||||
Class A | Class C | Class A | Class | Value | ||||||||||||||||
Six months ended 4/30/20 | — | 1,442 | 735 | 698 | $ | 15,820 | ||||||||||||||
Year ended 10/31/19 | 1,320 | 2,470 | 2,463 | 1,314 | 44,663 |
5. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), was a participant in a $220,000,000 revolving line of credit intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the agreement, the Participants were charged an annual commitment fee of 0.15%, which was allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants were permitted to borrow up to a maximum of one-third of their net assets under the agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the agreement expired on Nov. 4, 2019.
On Nov. 4, 2019, the Participants entered into an amendment to the agreement for a $250,000,000 revolving line of credit. 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. 2, 2020.
The Fund had no amounts outstanding as of April 30, 2020, or at any time during the period then ended.
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts – The Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Fund may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Fund may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded
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equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the six months ended April 30, 2020, the Fund entered into foreign currency exchange contracts to fix the US dollar value of a security between trade date and settlement date and to hedge the US dollar value of securities it already owns that are denominated in foreign currencies.
Futures Contracts – A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Fund may use futures contracts in the normal course of pursuing its investment objective. The Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. No futures contracts were outstanding at April 30, 2020.
During the six months ended April 30, 2020, the Fund entered into futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts – The Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall
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Notes to financial statements
Delaware Global Listed Real Assets Fund
6. Derivatives (continued)
exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. There were no transactions in options written during the six months ended April 30, 2020. No options contracts were outstanding at April 30, 2020.
During the six months ended April 30, 2020, Fund entered into options contracts to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions.
Fair values of derivative instruments as of April 30, 2020 were as follows:
Statement of Assets and Liabilities Location | Asset Derivatives Fair Value Currency Contracts | |
Unrealized appreciation on foreign currency exchange contracts | $155,882 | |
Statement of Assets and Liabilities Location | Liability Derivatives Fair Value Currency Contracts | |
Unrealized depreciation on foreign currency exchange contracts | $3,541 |
The effect of derivative instruments on the “Statement of operations” for the six months ended April 30, 2020 was as follows:
Net Realized Gain (Loss) on:
| ||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Total | |||||||||||||
Currency contracts | $ | 106,502 | $ | — | $ | — | $ | 106,502 | ||||||||
Interest rate contracts | — | 11,516 | 28,366 | 39,882 | ||||||||||||
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| |||||||||
Total | $ | 106,502 | $ | 11,516 | $ | 28,366 | $ | 146,384 | ||||||||
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Net Change in Unrealized Appreciation (Depreciation) of: | |||||||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Total | ||||||||||||||||||||||||||||||||
Currency contracts | $ | 184,548 | $ | — | $ | — | $ | 184,548 | |||||||||||||||||||||||||||
Interest rate contracts | — | 35 | (235 | ) | (200 | ) | |||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Total | $ | 184,548 | $ | 35 | $ | (235 | ) | $ | 184,348 | ||||||||||||||||||||||||||
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Derivatives Generally. The table below summarizes the average balance of derivative holdings by the Fund during the six months ended April 30, 2020:
Long Derivatives Volume | Short Derivatives Volume | |||||||||||
Foreign currency exchange contracts (average notional value) | 503,650 | 9,456,904 | ||||||||||
Futures contracts (average notional value) | 312,518 | 161,148 | ||||||||||
Options contracts (average notional value) | 1,374 | — |
7. Offsetting
The Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At April 30, 2020, the Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||||||||||||
Citigroup Global Markets | $ | — | $ | (3,541 | ) | $ | (3,541 | ) | |||||||||||||||||
JPMorgan Chase Bank, National Association | 155,882 | — | 155,882 | ||||||||||||||||||||||
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| ||||||||||||||||||||
Total | $ | 155,882 | $ | (3,541 | ) | $ | 152,341 | ||||||||||||||||||
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Notes to financial statements
Delaware Global Listed Real Assets Fund
7. Offsetting (continued)
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(a) | ||||||||||||||||||||||||
Citigroup Global Markets | $ | (3,541 | ) | — | — | — | — | (3,541 | ) | |||||||||||||||||||||
JPMorgan Chase Bank, National Association | 155,882 | — | (155,882 | ) | — | — | — | |||||||||||||||||||||||
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Total | $ | 152,341 | $ | — | $ | (155,882 | ) | $ | — | $ | — | $ | (3,541 | ) | ||||||||||||||||
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(a) Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
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8. Securities Lending
The Fund, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day, the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each fund of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of 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
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shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Fund’s cash collateral account may be less than the amount the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
During the six months ended April 30, 2020, the Fund had no securities out on loan.
9. Credit and Market Risk
The value of the Fund’s shares will be affected by factors particular to real estate, infrastructure, natural resources, and inflation-linked securities and related industries or sectors (such as government regulation) and may fluctuate more widely than that of a fund that invests in a broad range of industries.
The Fund invests in REITs and is subject to the risks associated with that industry. If the Fund holds real estate directly 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. The Fund also invests in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships).
The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, which may include weather, embargoes, tariffs, and economic health, political, international regulatory, and other developments. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The investment team does not plan to always implement exposure to commodities in the Fund, however, they will consider holding commodity ETFs in market scenarios where inflation is running higher than normal and their asset allocation model signals for additional commodity exposure. In addition, the Fund may use futures and options on commodities for a variety of purposes such as hedging against adverse changes in the market prices of securities, as a substitute for purchasing or selling securities, to increase the Fund’s return as a non-hedging strategy that may be considered speculative and to manage the Fund’s portfolio characteristics.
The use of forward foreign currency contracts may substantially change a fund’s exposure to currency exchange rates and could result in losses to a fund if currencies do not perform as the portfolio manager
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Notes to financial statements
Delaware Global Listed Real Assets Fund
9. Credit and Market Risk (continued)
expects. The use of these investments as a hedging technique to reduce a fund’s exposure to currency risks may also reduce its ability to benefit from favorable changes in currency exchange rates.
Investments related to gold and other precious metals are considered speculative and are affected by a variety of worldwide economic, financial, and political factors. The price of gold and other precious metals may fluctuate sharply over short periods of time due to changes in inflation or expectations regarding inflation in various countries, the availability of supplies of gold and other precious metals, changes in industrial and commercial demand, gold and other precious metals sales by governments, central banks, or international agencies, investment speculation, monetary and other economic policies of various governments, and government restrictions on private ownership of gold and other precious metals.
Infrastructure companies may be subject to a variety of factors that may adversely affect their business or operations, including high interest costs in connection with capital construction programs, high leverage, costs associated with environmental and other regulations, the effects of economic slowdown, surplus capacity, increased competition from other providers of services, uncertainties concerning the availability of fuel at reasonable prices, the effects of energy conservation policies, and other factors. Some of the specific risks that infrastructure companies may be particularly affected by, or subject to, include the following: regulatory risk, technology risk, regional or geographic risk, natural disasters risk, through-put risk, project risk, strategic asset risk, operation risk, customer risk, interest rate risk, inflation risk, and financing risk. Other factors that may affect the operations of infrastructure companies include difficulty in raising capital in adequate amounts on reasonable terms in periods of high inflation and unsettled capital markets, inexperience with and potential losses resulting from a developing deregulatory environment, increased susceptibility to terrorist acts or political actions, and general changes in market sentiment towards infrastructure assets. In addition, the change in presidential administration could significantly impact the regulation of United States financial markets and dramatically alter existing trade, tax, energy, and infrastructure policies, among others. It is not possible to predict what, if any, changes will be made or their potential effect on the economy, securities markets, or financial stability of the United States, or on the energy, natural resources, infrastructure, and other markets.
High yield securities, commonly known as “junk bonds,” are subject to reduced creditworthiness of issuers, increased risk of default, and a more limited and less liquid secondary market. High yield securities may also be subject to greater price volatility and risk of loss of income and principal than are higher-rated securities. High yield bonds are sometimes issued by municipalities that have less financial strength and therefore have less ability to make projected debt payments on the bonds.
The market value of Natural Resources Securities may be affected by numerous factors, including events occurring in nature, inflationary pressures, and international politics. Because the Fund invests significantly in Natural Resources Securities, there is the risk that the Fund will perform poorly during a downturn in the natural resource sector. For example, events occurring in nature (such as earthquakes or fires in prime natural resource areas) and political events (such as coups, military confrontations, or acts of terrorism) can affect the overall supply of a natural resource and the value of companies involved in such natural resource.
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Energy infrastructure MLPs are subject to a variety of industry specific risk factors that may adversely affect their business or operations, including those due to commodity production, volumes, commodity prices, weather conditions, terrorist attacks, etc. They are also subject to significant federal, state, and local government regulation. Investment in MLPs may also have tax consequences for shareholders. If the Fund retains its investment until its basis is reduced to zero, subsequent distributions will be taxable at ordinary income rates and shareholders may receive corrected 1099s.
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.
The risk that potential changes related to the use of the London interbank offered rate (LIBOR) could have adverse impacts on financial instruments which reference LIBOR. The potential abandonment of LIBOR could affect the value and liquidity of instruments which reference LIBOR.
Some countries in which the Fund may invest require governmental approval for the repatriation of investment income, capital or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Fund may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Fund.
The Fund 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 CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of
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Notes to financial statements
Delaware Global Listed Real Assets Fund
9. Credit and Market Risk (continued)
scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high-grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
The Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, 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 the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Fund’s 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
10. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In August 2018, the FASB issued an Accounting Standards Update (ASU), ASU 2018-13, which changes certain fair value measurement disclosure requirements. The ASU 2018-13, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers
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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 ASU 2018-13 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.
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through Dec. 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU.
12. Subsequent Events
On Nov. 4, 2019, the Fund, along with certain other funds in the Delaware Funds, entered into an amendment to the agreement for a $250,000,000 revolving line of credit. The revolving line of credit available was increased to $275,000,000 on May 6, 2020. The revolving line of credit is to be used as described above and operates in substantially the same manner as the original agreement.
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Fund’s performance.
On June 10, 2020, the Board of Trustees of Delaware Pooled Trust approved the appointment of Macquarie Investment Management Global Limited as a sub-advisor to the Fund to manage real estate investment trust securities and other equity asset classes to which the portfolio managers may allocate assets from time to time effective June 11, 2020.
Management has determined that no other material events or transactions occurred subsequent to April 30, 2020, 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 Jersey City, NJ | 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 | Daniel V. Geatens | Richard Salus | ||||
Senior Vice President, | Vice President and | Senior Vice President and | ||||
General Counsel, | Treasurer | Chief Financial Officer | ||||
and Secretary | Delaware Funds | Delaware Funds | ||||
Delaware Funds | by Macquarie | by Macquarie | ||||
by Macquarie | Philadelphia, PA | Philadelphia, PA | ||||
Philadelphia, PA |
This semiannual report is for the information of Delaware Global Listed Real Assets Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Forms N-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 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Fund’s most recent Form N-PORT are available without charge on the Fund’s website at delawarefunds.com/literature. The Fund’s Forms N-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 800 SEC-0330.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the 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.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
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 6, 2020 |
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 6, 2020 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | July 6, 2020 |