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: | 610 Market Street | |
Philadelphia, PA 19106 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
610 Market Street | ||
Philadelphia, PA 19106 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | October 31 | |
Date of reporting period: | October 31, 2020 |
Item 1. Reports to Stockholders
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Portfolio management reviews | |
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Performance summaries | |
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COVID-19 that were seeking liquidity. One example is Delta Air Lines Inc. We found value in Delta’s first-lien (secured) bonds, which the Portfolio still owns. Home improvement chain Lowe’s Companies Inc. also needed to source liquidity, and it continues to be a core holding in the Portfolio.
In the United States, concerns over weakening manufacturing and an inverted yield curve seemed to be resolved as the US Federal Reserve cut interest rates by 25 basis points and unemployment reached record lows. High yield bonds benefited, showing modest
coupon-driven gains. (A basis point equals one hundredth of a percentage point.)
late-period demand for BB-rated securities originated from investors not generally considered buyers of high yield. We were not surprised, considering that the yields on Treasurys, the traditional flight-to-quality instruments, were 0.11% (3-month), 0.17% (1-year), and 0.70% (10-year) on March 31, 2020. At these levels, the relatively sound fundamentals of companies in the top tier of the high yield
tend to prefer. The Portfolio’s position in mining company
Freeport-McMoRan Copper & Gold Inc. also outperformed on soaring gold and copper prices.
Summit Midstream Partners LP, Oasis Petroleum Inc., and Chesapeake Energy Corp. detracted from relative performance. As noted previously, the steep drop in crude oil prices earlier in the calendar year affected the balance sheets of many lower-quality, highly levered companies in the oil and gas industry.
COVID-19. As a result, by the end of the fiscal year, we had increased the Portfolio’s exposure to technology-related, healthcare, and consumer staples companies, and reduced its exposure to banks, energy, and industrials. Approximately two-thirds of the Portfolio was positioned in companies with net cash on their balance sheets, with a return on equity (ROE) of about 16% versus the benchmark’s 13%: We believe these are strong indicators of the quality of these holdings.
long-term growth prospects, and that trade at significant discounts to their intrinsic value. We are particularly focused on companies that we believe could benefit from long-term changes in how people in emerging markets live and work.
COVID-19 and the shock of countries around the globe locking down their economies. Fortunately, business activity began to pick up again in May 2020 and, by the end of the fiscal period, the broad MSCI EAFE Index had climbed back to within seven percentage points of where it had started the fiscal year.
COVID-19 than Asia. Yet specific European markets such as Denmark and Switzerland did well thanks to the strong presence of companies in the healthcare sector. At the same time, markets in the UK and in Norway faltered as a result of their dependence on energy. Similarly, countries with high exposures to the financial sector, including Spain and Singapore, lagged during the fiscal year. The Portfolio benefited
Enel SpA in Italy and SSE PLC in the UK. These companies offer good visibility in terms of cash flows and earnings – particularly important traits among the uncertainties of COVID-19.
12-month period. The company’s newly adopted capital allocation plan aims to more than double shareholder returns. In addition to a strong balance sheet with a solid net cash position, Fujitsu has scope to dispose of non-core assets that would provide additional funds for the business either to reinvest or to further increase returns to shareholders.
do-it-yourself (DIY) space, Kingfisher enjoyed a robust recovery during the lockdown period in the UK. Home improvement and construction became popular activities for customers who were at home with time on their hands to engage in home improvement projects.
Portfolio and benchmark performance | Average annual total returns through October 31, 2020 | ||||
1 year | 3 year | 5 year | 10 year | Lifetime | |
Macquarie Large Cap Value Portfolio | -10.30% | +1.42% | +4.94% | +10.14% | +9.07% |
Russell 1000 Value Index | -7.57% | +1.94% | +5.82% | +9.48% | +9.16%* |
*The benchmark lifetime return is calculated using the last business day in the month of the Portfolio’s inception date. |
Portfolio profile | |
October 31, 2020 | |
Total net assets | Number of holdings |
$38.1 million | 35 |
Inception date | |
February 3, 1992 |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
Macquarie Large Cap Value Portfolio | $1,000,000 | $2,626,006 | |
Russell 1000 Value Index | $1,000,000 | $2,473,236 |
Portfolio and benchmark performance | Average annual total returns through October 31, 2020 | ||||
1 year | 3 year | 5 year | 10 year | Lifetime | |
Macquarie Core Plus Bond Portfolio | +8.02%* | +5.74% | +4.68% | +4.17% | +5.65% |
Bloomberg Barclays US Aggregate Index | +6.19% | +5.06% | +4.08% | +3.55% | +4.54%** |
*Total return for the report period presented in the table differs from the return in “Financial highlights.” The total return presented in the above table is calculated based on the net asset value (NAV) at which shareholder transactions were processed. The total return presented in “Financial highlights” is calculated in the same manner, but also takes into account certain adjustments that are necessary under US generally accepted accounting principles (US GAAP) required in the annual report. |
**The benchmark lifetime return is calculated using the last business day in the month of the Portfolio’s inception date. |
Portfolio profile | |
October 31, 2020 | |
Total net assets | Number of holdings |
$150.0 million | 637 |
Inception date | |
June 28, 2002 |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
Macquarie Core Plus Bond Portfolio | $1,000,000 | $1,504,462 | |
Bloomberg Barclays US Aggregate Index | $1,000,000 | $1,417,684 |
Portfolio and benchmark performance | Average annual total returns through October 31, 2020 | ||||
1 year | 3 year | 5 year | 10 year | Lifetime | |
Macquarie High Yield Bond Portfolio | +4.38% | +4.00% | +5.48% | +5.84% | +7.23% |
ICE BofA US High Yield Constrained Index | +2.44% | +3.83% | +6.12% | +6.06% | +6.68%* |
*The benchmark lifetime return is calculated using the last business day in the month of the Portfolio’s inception date. |
Portfolio profile | |
October 31, 2020 | |
Total net assets | Number of holdings |
$81.8 million | 221 |
Inception date | |
December 2, 1996 |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
ICE BofA US High Yield Constrained Index | $1,000,000 | $1,801,401 | |
Macquarie High Yield Bond Portfolio | $1,000,000 | $1,763,573 |
Portfolio and benchmark performance | Average annual total returns through October 31, 2020 | ||||
1 year | 3 year | 5 year | 10 year | Lifetime | |
Macquarie Emerging Markets Portfolio | +2.16% | +0.16% | +4.62% | +1.12% | +6.68% |
MSCI Emerging Markets Index (net) | +8.25% | +1.94% | +7.92% | +2.42% | +5.75%* |
MSCI Emerging Markets Index (gross) | +8.62% | +2.32% | +8.31% | +2.78% | +6.06%* |
*The benchmark lifetime return is calculated using the last business day in the month of the Portfolio’s inception date. |
Portfolio profile | |
October 31, 2020 | |
Total net assets | Number of holdings |
$60.7 million | 45 |
Inception date | |
April 16, 1997 |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
MSCI Emerging Markets Index (gross) | $1,000,000 | $1,315,755 | |
MSCI Emerging Markets Index (net) | $1,000,000 | $1,270,136 | |
Macquarie Emerging Markets Portfolio | $1,000,000 | $1,118,285 |
Portfolio and benchmark performance | Average annual total returns through October 31, 2020 | ||||
1 year | 3 year | 5 year | 10 year | Lifetime | |
Macquarie Emerging Markets Portfolio II | +20.79% | +5.75% | +12.77% | +4.71% | +5.84% |
MSCI Emerging Markets Index (net) | +8.25% | +1.94% | +7.92% | +2.42% | +4.28%* |
MSCI Emerging Markets Index (gross) | +8.62% | +2.32% | +8.31% | +2.78% | +4.65%* |
*The benchmark lifetime return is calculated using the last business day in the month of the Portfolio’s inception date. |
Portfolio profile | |
October 31, 2020 | |
Total net assets | Number of holdings |
$50.5 million | 84 |
Inception date | |
June 23, 2010 |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
Macquarie Emerging Markets Portfolio II | $1,000,000 | $1,584,300 | |
MSCI Emerging Markets Index (gross) | $1,000,000 | $1,315,755 | |
MSCI Emerging Markets Index (net) | $1,000,000 | $1,270,136 |
Portfolio and benchmark performance | Average annual total returns through October 31, 2020 | ||||
1 year | 3 year | 5 year | 10 year | Lifetime | |
Macquarie Labor Select International Equity Portfolio | -19.01% | -6.59% | -0.96% | +1.66% | +5.54% |
MSCI EAFE Index (net) | -6.86% | -1.24% | +2.85% | +3.82% | +4.26%* |
MSCI EAFE Index (gross) | -6.46% | -0.76% | +3.35% | +4.31% | +4.69%* |
*The benchmark lifetime return is calculated using the last business day in the month of the Portfolio’s inception date. |
Portfolio profile | |
October 31, 2020 | |
Total net assets | Number of holdings |
$185.3 million | 49 |
Inception date | |
December 19, 1995 |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
MSCI EAFE Index (gross) | $1,000,000 | $1,524,909 | |
MSCI EAFE Index (net) | $1,000,000 | $1,455,226 | |
Macquarie Labor Select International Equity Portfolio | $1,000,000 | $1,178,560 |
(in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20 | |
Actual Portfolio return† | ||||
Portfolio Class | $1,000.00 | $1,030.70 | 0.70% | $3.57 |
Hypothetical 5% return (5% return before expenses) | ||||
Portfolio Class | $1,000.00 | $1,021.62 | 0.70% | $3.56 |
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20 | |
Actual Portfolio return† | ||||
Portfolio Class | $1,000.00 | $1,056.60 | 0.45% | $2.33 |
Hypothetical 5% return (5% return before expenses) | ||||
Portfolio Class | $1,000.00 | $1,022.87 | 0.45% | $2.29 |
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20 | |
Actual Portfolio return† | ||||
Portfolio Class | $1,000.00 | $1,101.90 | 0.59% | $3.12 |
Hypothetical 5% return (5% return before expenses) | ||||
Portfolio Class | $1,000.00 | $1,022.17 | 0.59% | $3.00 |
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20 | |
Actual Portfolio return† | ||||
Portfolio Class | $1,000.00 | $1,178.50 | 1.28% | $7.01 |
Hypothetical 5% return (5% return before expenses) | ||||
Portfolio Class | $1,000.00 | $1,018.70 | 1.28% | $6.50 |
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20 | |
Actual Portfolio return† | ||||
Portfolio Class | $1,000.00 | $1,329.80 | 1.20% | $7.03 |
Hypothetical 5% return (5% return before expenses) | ||||
Portfolio Class | $1,000.00 | $1,019.10 | 1.20% | $6.09 |
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20 | |
Actual Portfolio return† | ||||
Portfolio Class | $1,000.00 | $1,013.70 | 0.86% | $4.35 |
Hypothetical 5% return (5% return before expenses) | ||||
Portfolio Class | $1,000.00 | $1,020.81 | 0.86% | $4.37 |
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Security type / sector | Percentage of net assets |
Common Stock | 98.89% |
Communication Services | 12.20% |
Consumer Discretionary | 6.11% |
Consumer Staples | 9.20% |
Energy | 2.53% |
Financials | 14.86% |
Healthcare | 17.90% |
Industrials | 9.52% |
Information Technology | 17.72% |
Materials | 3.25% |
Real Estate | 2.51% |
Utilities | 3.09% |
Short-Term Investments | 1.26% |
Total Value of Securities | 100.15% |
Liabilities Net of Receivables and Other Assets | (0.15%) |
Total Net Assets | 100.00% |
Top 10 equity holdings | Percentage of net assets |
American International Group | 3.38% |
Truist Financial | 3.28% |
DuPont de Nemours | 3.25% |
Caterpillar | 3.24% |
Pfizer | 3.16% |
Cognizant Technology Solutions Class A | 3.13% |
Walt Disney | 3.13% |
Dollar Tree | 3.13% |
Verizon Communications | 3.13% |
Broadcom | 3.12% |
Security type / sector | Percentage of net assets |
Agency Collateralized Mortgage Obligations | 1.37% |
Agency Commercial Mortgage-Backed Securities | 1.24% |
Agency Mortgage-Backed Securities | 10.95% |
Collateralized Debt Obligations | 1.90% |
Corporate Bonds | 52.13% |
Banking | 9.54% |
Basic Industry | 3.89% |
Brokerage | 0.49% |
Capital Goods | 3.19% |
Communications | 8.50% |
Consumer Cyclical | 3.24% |
Consumer Non-Cyclical | 5.22% |
Electric | 3.98% |
Energy | 7.22% |
Finance Companies | 0.92% |
Insurance | 0.86% |
REITs | 0.82% |
Technology | 2.27% |
Transportation | 1.59% |
Utilities | 0.40% |
Non-Agency Asset-Backed Securities | 1.92% |
Non-Agency Collateralized Mortgage Obligations | 2.15% |
Non-Agency Commercial Mortgage-Backed Securities | 7.44% |
Loan Agreements | 5.04% |
Sovereign Bonds | 3.20% |
Argentina | 0.06% |
Security type / sector | Percentage of net assets |
Bermuda | 0.14% |
Brazil | 0.13% |
Dominican Republic | 0.10% |
Egypt | 0.29% |
El Salvador | 0.09% |
Honduras | 0.15% |
Ivory Coast | 0.13% |
Jordan | 0.14% |
Panama | 0.19% |
Paraguay | 0.16% |
Peru | 0.14% |
Philippines | 0.14% |
Qatar | 0.30% |
Romania | 0.18% |
Saudi Arabia | 0.14% |
Senegal | 0.13% |
South Africa | 0.12% |
Trinidad and Tobago | 0.14% |
Turkey | 0.10% |
Uruguay | 0.08% |
Uzbekistan | 0.15% |
Supranational Bank | 0.28% |
US Treasury Obligations | 11.12% |
Municipal Bond | 0.03% |
Short-Term Investments | 1.03% |
Total Value of Securities | 99.80% |
Receivables and Other Assets Net of Liabilities | 0.20% |
Total Net Assets | 100.00% |
Security type / sector | Percentage of net assets |
Convertible Bond | 0.17% |
Corporate Bonds | 88.33% |
Automotive | 2.93% |
Banking | 2.60% |
Basic Industry | 9.38% |
Capital Goods | 8.01% |
Communications | 11.45% |
Consumer Cyclical | 4.26% |
Consumer Non-Cyclical | 3.72% |
Energy | 11.13% |
Financial Services | 2.54% |
Healthcare | 6.61% |
Insurance | 1.78% |
Media | 6.31% |
Security type / sector | Percentage of net assets |
Real Estate | 1.30% |
Services | 5.00% |
Technology & Electronics | 6.02% |
Transportation | 2.37% |
Utilities | 2.92% |
Loan Agreements | 5.46% |
Common Stock | 0.00% |
Short-Term Investments | 5.72% |
Total Value of Securities | 99.68% |
Receivables and Other Assets Net of Liabilities | 0.32% |
Total Net Assets | 100.00% |
Security type / country | Percentage of net assets |
Common Stock by Country | 98.03% |
Brazil | 2.51% |
Canada | 0.91% |
China | 42.21% |
Hong Kong | 2.20% |
India | 12.10% |
Indonesia | 1.53% |
Mexico | 1.35% |
Peru | 0.91% |
Republic of Korea | 10.58% |
Romania | 0.17% |
Russia | 2.88% |
Taiwan | 15.65% |
United Kingdom | 4.25% |
United States | 0.78% |
Preferred Stock | 1.81% |
Short-Term Investments | 0.90% |
Total Value of Securities | 100.74% |
Liabilities Net of Receivables and Other Assets | (0.74%) |
Total Net Assets | 100.00% |
Common stock and preferred stock by sector | Percentage of net assets |
Communication Services | 13.45% |
Consumer Discretionary | 12.35% |
Consumer Staples | 8.50% |
Energy | 5.89% |
Financials | 19.58% |
Healthcare | 4.69% |
Information Technology* | 28.61% |
Materials | 6.77% |
Total | 99.84% |
* | 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 Computers, Electrical Component and Equipment, Electronics, Semiconductors, and Software. As of October 31, 2020, such amounts, as a percentage of total net assets were 2.58%, 1.51%, 2.50%, 19.14%, and 2.86%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%. |
Security type / country | Percentage of net assets |
Common Stock by Country | 100.27% |
Argentina | 0.06% |
Bahrain | 0.02% |
Brazil | 6.07% |
Chile | 0.40% |
China | 40.23% |
India | 9.41% |
Indonesia | 2.02% |
Malaysia | 0.05% |
Mexico | 2.85% |
Peru | 0.52% |
Poland | 1.21% |
Republic of Korea | 16.69% |
Russia | 4.64% |
South Africa | 0.89% |
Taiwan | 14.53% |
Turkey | 0.68% |
Preferred Stock | 0.54% |
Short-Term Investments | 1.67% |
Total Value of Securities | 102.48% |
Liabilities Net of Receivables and Other Assets | (2.48%) |
Total Net Assets | 100.00% |
Common stock and preferred stock by sector | Percentage of net assets |
Consumer Discretionary | 18.40% |
Consumer Staples | 11.95% |
Energy | 12.68% |
Financials | 5.95% |
Healthcare | 2.66% |
Industrials | 0.08% |
Information Technology* | 39.66% |
Materials | 1.68% |
Telecommunication Services | 7.69% |
Utilities | 0.06% |
Total | 100.81% |
* | 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, semiconductors, and software. As of October 31, 2020, such amounts, as a percentage of total net assets were 1.51%, 13.61%, 24.26%, and 0.28%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%. |
Security type / country | Percentage of net assets |
Common Stock by Country | 97.26% |
Australia | 0.95% |
China/Hong Kong | 5.03% |
Denmark | 1.34% |
France | 7.49% |
Germany | 6.97% |
Italy | 3.26% |
Japan | 31.69% |
Netherlands | 0.18% |
Singapore | 4.20% |
Spain | 4.12% |
Sweden | 2.78% |
Switzerland | 5.49% |
United Kingdom | 23.76% |
Preferred Stock | 0.60% |
Short-Term Investments | 0.29% |
Total Value of Securities | 98.15% |
Receivables and Other Assets Net of Liabilities | 1.85% |
Total Net Assets | 100.00% |
Common stock and preferred stock by sector | Percentage of net assets |
Communication Services | 9.63% |
Consumer Discretionary | 15.41% |
Consumer Staples | 6.90% |
Energy | 5.45% |
Financials | 14.79% |
Healthcare | 11.89% |
Industrials | 16.20% |
Information Technology | 8.33% |
Materials | 2.41% |
Utilities | 6.85% |
Total | 97.86% |
Number of shares | Value (US $) | ||
Common Stock — 98.89% | |||
Communication Services — 12.20% | |||
AT&T | 41,600 | $1,124,032 | |
Comcast Class A | 27,016 | 1,141,156 | |
Verizon Communications | 20,900 | 1,191,091 | |
Walt Disney | 9,836 | 1,192,615 | |
4,648,894 | |||
Consumer Discretionary — 6.11% | |||
Dollar Tree † | 13,200 | 1,192,224 | |
Lowe's | 7,200 | 1,138,320 | |
2,330,544 | |||
Consumer Staples — 9.20% | |||
Archer-Daniels-Midland | 24,800 | 1,146,752 | |
Conagra Brands | 33,496 | 1,175,375 | |
Mondelez International Class A | 22,300 | 1,184,576 | |
3,506,703 | |||
Energy — 2.53% | |||
ConocoPhillips | 33,678 | 963,864 | |
963,864 | |||
Financials — 14.86% | |||
Allstate | 11,700 | 1,038,375 | |
American International Group | 40,900 | 1,287,941 | |
Bank of New York Mellon | 25,108 | 862,711 | |
Discover Financial Services | 4,026 | 261,730 | |
Marsh & McLennan | 9,301 | 962,281 | |
Truist Financial | 29,700 | 1,250,964 | |
5,664,002 | |||
Healthcare — 17.90% | |||
Cardinal Health | 25,500 | 1,167,645 | |
Cigna | 6,853 | 1,144,246 | |
CVS Health | 20,100 | 1,127,409 | |
Johnson & Johnson | 7,900 | 1,083,169 | |
Merck & Co. | 14,600 | 1,098,066 | |
Pfizer | 33,911 | 1,203,162 | |
6,823,697 | |||
Industrials — 9.52% | |||
Caterpillar | 7,854 | 1,233,471 | |
Honeywell International | 1,210 | 199,589 | |
Northrop Grumman | 3,800 | 1,101,316 | |
Raytheon Technologies | 20,177 | 1,096,015 | |
3,630,391 | |||
Information Technology — 17.72% | |||
Broadcom | 3,400 | 1,188,742 | |
Cisco Systems | 29,700 | 1,066,230 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Information Technology (continued) | |||
Cognizant Technology Solutions Class A | 16,725 | $1,194,499 | |
Intel | 22,700 | 1,005,156 | |
Motorola Solutions | 7,500 | 1,185,450 | |
Oracle | 19,900 | 1,116,589 | |
6,756,666 | |||
Materials — 3.25% | |||
DuPont de Nemours | 21,809 | 1,240,496 | |
1,240,496 | |||
Real Estate — 2.51% | |||
Equity Residential | 20,350 | 956,043 | |
956,043 | |||
Utilities — 3.09% | |||
Edison International | 21,000 | 1,176,840 | |
1,176,840 | |||
Total Common Stock (cost $37,221,721) | 37,698,140 | ||
Short-Term Investments — 1.26% | |||
Money Market Mutual Funds — 1.26% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 120,000 | 120,000 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 120,000 | 120,000 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 119,999 | 119,999 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 120,000 | 120,000 | |
Total Short-Term Investments (cost $479,999) | 479,999 | ||
Total Value of Securities—100.15% (cost $37,701,720) | $38,178,139 |
† | Non-income producing security. |
Summary of abbreviations: |
GS – Goldman Sachs |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 1.37% | |||
Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C04 2M2 2.999% (LIBOR01M + 2.85%) 11/25/29 • | 78,124 | $78,037 | |
Series 2018-C02 2M2 2.349% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 • | 78,717 | 76,397 | |
Series 2018-C03 1M2 2.299% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 • | 126,413 | 123,394 | |
Series 2018-C05 1M2 2.499% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31 • | 98,913 | 96,556 | |
Fannie Mae REMIC Trust Series 2004-W11 1A2 6.50% 5/25/44 | 12,749 | 15,096 | |
Fannie Mae REMICs Series 2011-118 DC 4.00% 11/25/41 | 146,644 | 157,416 | |
Freddie Mac REMICs Series 4676 KZ 2.50% 7/15/45 | 54,567 | 56,928 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA1 M2 3.399% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 • | 241,914 | 248,840 | |
Series 2017-DNA3 M2 2.649% (LIBOR01M + 2.50%) 3/25/30 • | 500,000 | 505,313 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2018-HQA1 M2 2.449% (LIBOR01M + 2.30%) 9/25/30 • | 146,779 | $143,523 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust Series 2019-HQA4 M2 144A 2.199% (LIBOR01M + 2.05%) 11/25/49 #, • | 470,415 | 466,961 | |
GNMA | |||
Series 2017-130 YJ 2.50% 8/20/47 | 40,000 | 43,225 | |
Series 2018-34 TY 3.50% 3/20/48 | 45,000 | 48,530 | |
Total Agency Collateralized Mortgage Obligations (cost $2,034,863) | 2,060,216 | ||
Agency Commercial Mortgage-Backed Securities — 1.24% | |||
FREMF Mortgage Trust | |||
Series 2011-K11 B 144A 4.421% 12/25/48 #, • | 730,000 | 730,258 | |
Series 2011-K15 B 144A 4.961% 8/25/44 #, • | 150,000 | 153,798 | |
Series 2012-K22 B 144A 3.685% 8/25/45 #, • | 60,000 | 62,918 | |
Series 2013-K25 C 144A 3.619% 11/25/45 #, • | 280,000 | 289,792 | |
Series 2014-K717 B 144A 3.63% 11/25/47 #, • | 90,000 | 91,559 | |
Series 2014-K717 C 144A 3.63% 11/25/47 #, • | 40,000 | 40,502 | |
Series 2016-K53 B 144A 4.021% 3/25/49 #, • | 15,000 | 16,489 |
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities (continued) | |||
FREMF Mortgage Trust | |||
Series 2016-K722 B 144A 3.844% 7/25/49 #, • | 370,000 | $389,197 | |
Series 2017-K71 B 144A 3.753% 11/25/50 #, • | 80,000 | 88,220 | |
Total Agency Commercial Mortgage-Backed Securities (cost $1,848,949) | 1,862,733 | ||
Agency Mortgage-Backed Securities — 10.95% | |||
Fannie Mae 3.00% 2/1/57 | 190,357 | 206,322 | |
Fannie Mae S.F. 30 yr | |||
2.50% 10/1/50 | 195,348 | 203,665 | |
3.00% 10/1/46 | 1,100,599 | 1,179,267 | |
3.00% 4/1/47 | 137,644 | 144,513 | |
3.00% 11/1/48 | 189,208 | 198,296 | |
3.00% 10/1/49 | 327,170 | 342,133 | |
3.00% 12/1/49 | 346,624 | 371,502 | |
3.00% 3/1/50 | 154,764 | 161,975 | |
3.00% 7/1/50 | 334,835 | 350,235 | |
3.50% 7/1/47 | 432,094 | 468,753 | |
3.50% 11/1/48 | 313,499 | 332,196 | |
3.50% 12/1/49 | 1,495,660 | 1,628,543 | |
3.50% 1/1/50 | 599,597 | 632,996 | |
4.00% 10/1/48 | 498,451 | 553,359 | |
4.50% 6/1/40 | 30,105 | 33,279 | |
4.50% 7/1/40 | 34,298 | 37,595 | |
4.50% 2/1/41 | 123,761 | 139,110 | |
4.50% 8/1/41 | 42,311 | 48,545 | |
4.50% 10/1/45 | 115,860 | 129,842 | |
4.50% 5/1/46 | 350,087 | 393,205 | |
4.50% 4/1/48 | 924,770 | 1,038,734 | |
4.50% 9/1/48 | 45,508 | 49,831 | |
4.50% 1/1/49 | 1,061,389 | 1,176,509 | |
4.50% 1/1/50 | 212,727 | 231,822 | |
5.00% 7/1/47 | 512,648 | 590,867 | |
5.50% 5/1/44 | 1,892,363 | 2,229,308 | |
6.00% 6/1/41 | 308,778 | 365,263 | |
6.00% 7/1/41 | 1,027,606 | 1,224,293 | |
6.00% 1/1/42 | 252,576 | 297,980 | |
Freddie Mac S.F. 30 yr | |||
3.00% 11/1/49 | 206,586 | 215,847 | |
3.00% 12/1/49 | 93,560 | 98,735 | |
3.00% 1/1/50 | 155,477 | 165,295 | |
4.50% 3/1/42 | 31,307 | 35,081 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 30 yr | |||
4.50% 1/1/49 | 174,190 | $193,739 | |
4.50% 8/1/49 | 385,806 | 430,640 | |
5.50% 6/1/41 | 292,051 | 339,867 | |
GNMA I S.F. 30 yr 3.00% 3/15/50 | 170,633 | 178,214 | |
GNMA II S.F. 30 yr 5.50% 5/20/37 | 10,812 | 12,465 | |
Total Agency Mortgage-Backed Securities (cost $15,762,169) | 16,429,821 | ||
Collateralized Debt Obligations — 1.90% | |||
Apex Credit CLO Series 2017-1A A1 144A 1.685% (LIBOR03M + 1.47%, Floor 1.47%) 4/24/29 #, • | 288,927 | 287,576 | |
CFIP CLO Series 2017-1A A 144A 1.438% (LIBOR03M + 1.22%) 1/18/30 #, • | 500,000 | 497,583 | |
Man GLG US CLO Series 2018-1A A1R 144A 1.358% (LIBOR03M + 1.14%) 4/22/30 #, • | 700,000 | 689,521 | |
Mariner CLO 5 Series 2018-5A A 144A 1.325% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 400,000 | 395,700 | |
Midocean Credit CLO IX Series 2018-9A A1 144A 1.368% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #, • | 250,000 | 245,387 | |
Midocean Credit CLO VIII Series 2018-8A A1 144A 1.403% (LIBOR03M + 1.15%) 2/20/31 #, • | 250,000 | 245,862 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Saranac CLO VII Series 2014-2A A1AR 144A 1.483% (LIBOR03M + 1.23%) 11/20/29 #, • | 245,988 | $244,014 | |
Steele Creek CLO Series 2017-1A A 144A 1.487% (LIBOR03M + 1.25%) 10/15/30 #, • | 250,000 | 247,941 | |
Total Collateralized Debt Obligations (cost $2,885,143) | 2,853,584 | ||
Corporate Bonds — 52.13% | |||
Banking — 9.54% | |||
Akbank T.A.S. 144A 6.80% 2/6/26 # | 200,000 | 194,280 | |
Ally Financial 5.75% 11/20/25 | 260,000 | 295,789 | |
Banco de Credito del Peru 144A 2.70% 1/11/25 # | 200,000 | 207,510 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 200,000 | 210,627 | |
Bangkok Bank 144A 3.733% 9/25/34 #, μ | 200,000 | 196,236 | |
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, μ | 200,000 | 202,180 | |
Bank of America | |||
1.898% 7/23/31 μ | 315,000 | 311,204 | |
1.922% 10/24/31 μ | 125,000 | 123,636 | |
2.676% 6/19/41 μ | 570,000 | 577,310 | |
2.831% 10/24/51 μ | 40,000 | 39,666 | |
Bank of China 144A 5.00% 11/13/24 # | 200,000 | 222,193 | |
Bank of Montreal 1.85% 5/1/25 | 115,000 | 120,011 | |
Bank of New York Mellon 4.70% μ, ψ | 280,000 | 300,300 | |
Barclays 5.20% 5/12/26 | 200,000 | 225,583 | |
Barclays Bank 1.70% 5/12/22 | 200,000 | 203,776 | |
BBVA Bancomer 144A 6.75% 9/30/22 # | 167,000 | 179,984 | |
BBVA USA | |||
2.875% 6/29/22 | 250,000 | 258,763 | |
3.875% 4/10/25 | 250,000 | 268,531 | |
BDO Unibank 2.125% 1/13/26 | 200,000 | 200,636 | |
Citizens Financial Group 5.65% μ, ψ | 115,000 | 122,619 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Credit Suisse Group | |||
144A 4.194% 4/1/31 #, μ | 250,000 | $287,170 | |
144A 6.25% #, μ, ψ | 800,000 | 854,545 | |
144A 7.25% #, μ, ψ | 200,000 | 216,881 | |
Deutsche Bank | |||
2.222% 9/18/24 μ | 150,000 | 151,761 | |
3.547% 9/18/31 μ | 335,000 | 338,552 | |
Goldman Sachs Group | |||
2.60% 2/7/30 | 105,000 | 110,862 | |
3.50% 4/1/25 | 60,000 | 66,120 | |
JPMorgan Chase & Co. | |||
2.522% 4/22/31 μ | 130,000 | 137,169 | |
3.109% 4/22/41 μ | 70,000 | 75,376 | |
3.109% 4/22/51 μ | 110,000 | 116,076 | |
4.023% 12/5/24 μ | 305,000 | 335,829 | |
4.60% μ, ψ | 135,000 | 133,279 | |
5.00% μ, ψ | 230,000 | 230,194 | |
Morgan Stanley | |||
2.188% 4/28/26 μ | 320,000 | 335,510 | |
3.622% 4/1/31 μ | 100,000 | 114,799 | |
5.00% 11/24/25 | 650,000 | 767,032 | |
Natwest Group 8.625% μ, ψ | 500,000 | 517,165 | |
PNC Financial Services Group 2.60% 7/23/26 | 475,000 | 517,206 | |
QNB Finance 2.625% 5/12/25 | 200,000 | 208,364 | |
Santander UK 144A 5.00% 11/7/23 # | 180,000 | 197,137 | |
Truist Bank 2.636% 9/17/29 μ | 334,000 | 346,555 | |
Truist Financial 4.95% μ, ψ | 415,000 | 440,937 | |
UBS Group | |||
144A 4.125% 9/24/25 # | 225,000 | 256,116 | |
6.875% μ, ψ | 730,000 | 770,777 | |
7.125% μ, ψ | 200,000 | 205,125 | |
US Bancorp | |||
1.45% 5/12/25 | 165,000 | 170,223 | |
3.00% 7/30/29 | 225,000 | 248,432 | |
3.10% 4/27/26 | 140,000 | 156,048 | |
3.375% 2/5/24 | 235,000 | 255,117 | |
3.60% 9/11/24 | 40,000 | 44,309 | |
3.95% 11/17/25 | 495,000 | 569,195 | |
US Bank 3.40% 7/24/23 | 250,000 | 269,924 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
USB Capital IX 3.50% (LIBOR03M + 1.02%) ψ, • | 105,000 | $95,628 | |
Wells Fargo & Co. 3.068% 4/30/41 μ | 85,000 | 88,255 | |
Woori Bank 144A 4.75% 4/30/24 # | 200,000 | 220,300 | |
14,308,802 | |||
Basic Industry — 3.89% | |||
Antofagasta 144A 2.375% 10/14/30 # | 200,000 | 197,500 | |
Avient 144A 5.75% 5/15/25 # | 200,000 | 210,750 | |
Chemours 7.00% 5/15/25 | 132,000 | 133,122 | |
Corp Nacional del Cobre de Chile 144A 3.15% 1/14/30 # | 269,000 | 286,166 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 200,000 | 201,125 | |
Freeport-McMoRan | |||
4.125% 3/1/28 | 85,000 | 86,913 | |
4.25% 3/1/30 | 47,000 | 49,423 | |
4.625% 8/1/30 | 95,000 | 101,581 | |
5.45% 3/15/43 | 140,000 | 160,010 | |
Fresnillo 144A 4.25% 10/2/50 # | 200,000 | 204,000 | |
Georgia-Pacific | |||
144A 1.75% 9/30/25 # | 100,000 | 103,985 | |
144A 2.10% 4/30/27 # | 80,000 | 83,333 | |
144A 2.30% 4/30/30 # | 175,000 | 183,195 | |
8.00% 1/15/24 | 310,000 | 379,792 | |
Hudbay Minerals | |||
144A 6.125% 4/1/29 # | 25,000 | 25,625 | |
144A 7.625% 1/15/25 # | 166,000 | 172,536 | |
Israel Chemicals 144A 6.375% 5/31/38 # | 145,000 | 186,412 | |
LYB International Finance III 2.875% 5/1/25 | 329,000 | 353,381 | |
Methanex 5.25% 12/15/29 | 320,000 | 324,832 | |
Minera Mexico 144A 4.50% 1/26/50 # | 200,000 | 217,020 | |
Newmont | |||
2.25% 10/1/30 | 290,000 | 299,055 | |
2.80% 10/1/29 | 330,000 | 355,395 | |
Nutrien 2.95% 5/13/30 | 120,000 | 129,942 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Nutrition & Biosciences 144A 3.268% 11/15/40 # | 365,000 | $375,937 | |
OCP 144A 4.50% 10/22/25 # | 200,000 | 212,184 | |
Olin | |||
5.00% 2/1/30 | 230,000 | 232,257 | |
5.625% 8/1/29 | 90,000 | 93,150 | |
Sasol Financing USA 5.875% 3/27/24 | 200,000 | 193,950 | |
Vale Overseas 3.75% 7/8/30 | 145,000 | 152,829 | |
Vedanta Resources Finance II 144A 9.25% 4/23/26 # | 200,000 | 125,600 | |
5,831,000 | |||
Brokerage — 0.49% | |||
Charles Schwab 5.375% μ, ψ | 265,000 | 290,838 | |
Jefferies Group | |||
4.15% 1/23/30 | 175,000 | 199,516 | |
6.45% 6/8/27 | 30,000 | 37,274 | |
6.50% 1/20/43 | 160,000 | 206,018 | |
733,646 | |||
Capital Goods — 3.19% | |||
Amphenol 2.05% 3/1/25 | 65,000 | 68,091 | |
ARD Finance 144A PIK 6.50% 6/30/27 #, > | 200,000 | 203,500 | |
Ashtead Capital 144A 5.25% 8/1/26 # | 230,000 | 244,087 | |
Boise Cascade 144A 4.875% 7/1/30 # | 210,000 | 224,868 | |
Caterpillar | |||
2.60% 4/9/30 | 265,000 | 287,211 | |
3.25% 4/9/50 | 130,000 | 144,738 | |
Cemex 144A 7.375% 6/5/27 # | 200,000 | 220,552 | |
Covanta Holding 5.00% 9/1/30 | 70,000 | 71,663 | |
General Electric | |||
3.45% 5/1/27 | 85,000 | 90,186 | |
3.625% 5/1/30 | 240,000 | 253,446 | |
4.35% 5/1/50 | 250,000 | 264,695 | |
GFL Environmental 144A 3.75% 8/1/25 # | 75,000 | 75,141 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
L3Harris Technologies | |||
2.90% 12/15/29 | 140,000 | $152,908 | |
3.85% 6/15/23 | 80,000 | 86,433 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 315,000 | 315,580 | |
Otis Worldwide | |||
2.565% 2/15/30 | 495,000 | 527,142 | |
3.112% 2/15/40 | 128,000 | 136,044 | |
3.362% 2/15/50 | 22,000 | 23,856 | |
Roper Technologies | |||
2.35% 9/15/24 | 135,000 | 142,722 | |
2.95% 9/15/29 | 325,000 | 355,558 | |
Standard Industries | |||
144A 3.375% 1/15/31 # | 129,000 | 125,721 | |
144A 5.00% 2/15/27 # | 116,000 | 119,842 | |
TransDigm | |||
5.50% 11/15/27 | 145,000 | 141,643 | |
144A 6.25% 3/15/26 # | 88,000 | 91,850 | |
United Rentals North America 3.875% 2/15/31 | 199,000 | 201,363 | |
WESCO Distribution 144A 7.25% 6/15/28 # | 200,000 | 219,219 | |
4,788,059 | |||
Communications — 8.50% | |||
Altice Financing 144A 5.00% 1/15/28 # | 200,000 | 194,263 | |
Altice France Holding 144A 10.50% 5/15/27 # | 200,000 | 220,875 | |
AT&T | |||
3.10% 2/1/43 | 85,000 | 80,989 | |
3.50% 6/1/41 | 362,000 | 366,356 | |
144A 3.50% 9/15/53 # | 95,000 | 90,379 | |
3.65% 6/1/51 | 85,000 | 83,582 | |
C&W Senior Financing 144A 7.50% 10/15/26 # | 200,000 | 211,179 | |
Charter Communications Operating | |||
3.70% 4/1/51 | 275,000 | 266,156 | |
4.464% 7/23/22 | 385,000 | 408,127 | |
4.80% 3/1/50 | 155,000 | 176,414 | |
5.05% 3/30/29 | 220,000 | 262,335 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 65,000 | 56,418 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Comcast | |||
3.20% 7/15/36 | 195,000 | $217,056 | |
3.70% 4/15/24 | 305,000 | 336,122 | |
3.75% 4/1/40 | 45,000 | 52,647 | |
Connect Finco 144A 6.75% 10/1/26 # | 200,000 | 201,750 | |
Crown Castle International | |||
3.80% 2/15/28 | 305,000 | 342,072 | |
4.30% 2/15/29 | 505,000 | 585,669 | |
5.25% 1/15/23 | 275,000 | 301,605 | |
CSC Holdings | |||
144A 4.625% 12/1/30 # | 200,000 | 200,223 | |
144A 5.50% 4/15/27 # | 200,000 | 210,700 | |
Discovery Communications | |||
4.125% 5/15/29 | 305,000 | 347,808 | |
5.20% 9/20/47 | 455,000 | 540,747 | |
Frontier Communications 144A 5.875% 10/15/27 # | 150,000 | 153,187 | |
HTA Group 144A 7.00% 12/18/25 # | 200,000 | 209,964 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 200,000 | 203,000 | |
Level 3 Financing 144A 3.625% 1/15/29 # | 140,000 | 135,713 | |
Nexstar Broadcasting 144A 4.75% 11/1/28 # | 245,000 | 247,297 | |
Sprint Spectrum 144A 4.738% 3/20/25 # | 220,000 | 239,986 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 279,000 | 285,729 | |
Time Warner Cable 7.30% 7/1/38 | 360,000 | 502,609 | |
Time Warner Entertainment 8.375% 3/15/23 | 185,000 | 216,688 | |
T-Mobile USA | |||
144A 1.50% 2/15/26 # | 85,000 | 85,731 | |
144A 2.55% 2/15/31 # | 55,000 | 56,043 | |
144A 3.00% 2/15/41 # | 150,000 | 146,385 | |
144A 3.50% 4/15/25 # | 100,000 | 109,661 | |
144A 3.75% 4/15/27 # | 155,000 | 172,882 | |
144A 3.875% 4/15/30 # | 380,000 | 427,352 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 200,000 | $204,400 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 200,000 | 193,884 | |
Verizon Communications | |||
3.15% 3/22/30 | 50,000 | 55,716 | |
4.00% 3/22/50 | 35,000 | 42,129 | |
4.50% 8/10/33 | 1,180,000 | 1,467,346 | |
ViacomCBS | |||
4.375% 3/15/43 | 305,000 | 329,224 | |
4.95% 1/15/31 | 390,000 | 473,824 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 200,000 | 200,500 | |
Vodafone Group | |||
4.25% 9/17/50 | 200,000 | 230,176 | |
4.875% 6/19/49 | 480,000 | 594,725 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 20,000 | 20,209 | |
12,757,832 | |||
Consumer Cyclical — 3.24% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 240,000 | 262,379 | |
Amazon.com | |||
1.20% 6/3/27 | 65,000 | 65,686 | |
1.50% 6/3/30 | 105,000 | 105,865 | |
2.50% 6/3/50 | 155,000 | 153,436 | |
Boyd Gaming 4.75% 12/1/27 | 180,000 | 175,423 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 170,000 | 174,760 | |
Ford Motor Credit 4.542% 8/1/26 | 490,000 | 499,188 | |
Future Retail 144A 5.60% 1/22/25 # | 200,000 | 138,000 | |
General Motors | |||
5.00% 10/1/28 | 116,000 | 131,558 | |
5.40% 10/2/23 | 75,000 | 83,005 | |
6.125% 10/1/25 | 75,000 | 87,987 | |
General Motors Financial | |||
5.20% 3/20/23 | 140,000 | 151,993 | |
5.25% 3/1/26 | 296,000 | 337,561 | |
5.70% μ, ψ | 165,000 | 171,188 | |
Home Depot 3.35% 4/15/50 | 75,000 | 85,025 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 400,000 | 432,953 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Hyundai Capital America 144A 3.50% 11/2/26 # | 65,000 | $69,604 | |
JSM Global 144A 4.75% 10/20/30 # | 200,000 | 202,300 | |
Lowe's | |||
1.70% 10/15/30 | 115,000 | 114,468 | |
3.00% 10/15/50 | 165,000 | 169,199 | |
Meituan 144A 3.05% 10/28/30 # | 200,000 | 200,505 | |
MGM Resorts International 4.75% 10/15/28 | 150,000 | 146,906 | |
Murphy Oil USA 5.625% 5/1/27 | 250,000 | 263,390 | |
Sands China 144A 3.80% 1/8/26 # | 200,000 | 205,368 | |
Scientific Games International 144A 8.25% 3/15/26 # | 237,000 | 240,367 | |
TJX 4.50% 4/15/50 | 55,000 | 73,020 | |
VF 2.40% 4/23/25 | 110,000 | 116,938 | |
4,858,072 | |||
Consumer Non-Cyclical — 5.22% | |||
AbbVie | |||
144A 2.95% 11/21/26 # | 410,000 | 448,056 | |
144A 4.05% 11/21/39 # | 346,000 | 395,701 | |
Amgen 2.20% 2/21/27 | 60,000 | 63,130 | |
Anheuser-Busch InBev Worldwide | |||
3.65% 2/1/26 | 165,000 | 185,085 | |
4.15% 1/23/25 | 170,000 | 192,923 | |
4.50% 6/1/50 | 365,000 | 432,667 | |
Aramark Services 144A 5.00% 2/1/28 # | 140,000 | 141,415 | |
BAT Capital 2.259% 3/25/28 | 165,000 | 164,617 | |
BAT International Finance 1.668% 3/25/26 | 110,000 | 110,572 | |
Bausch Health 144A 6.25% 2/15/29 # | 389,000 | 401,448 | |
Biogen | |||
2.25% 5/1/30 | 125,000 | 126,213 | |
3.15% 5/1/50 | 170,000 | 164,338 | |
Bristol-Myers Squibb 2.90% 7/26/24 | 360,000 | 388,824 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Cigna | |||
2.40% 3/15/30 | 75,000 | $77,764 | |
3.20% 3/15/40 | 70,000 | 73,489 | |
4.125% 11/15/25 | 225,000 | 257,571 | |
CVS Health | |||
3.75% 4/1/30 | 85,000 | 96,415 | |
4.30% 3/25/28 | 745,000 | 863,910 | |
4.78% 3/25/38 | 120,000 | 144,664 | |
Encompass Health | |||
4.50% 2/1/28 | 95,000 | 97,452 | |
4.75% 2/1/30 | 68,000 | 70,945 | |
Energizer Holdings 144A 4.375% 3/31/29 # | 145,000 | 146,595 | |
Gilead Sciences 4.15% 3/1/47 | 275,000 | 321,122 | |
JBS Investments II 144A 7.00% 1/15/26 # | 200,000 | 214,006 | |
MHP 144A 6.95% 4/3/26 # | 200,000 | 201,520 | |
New York & Presbyterian Hospital 4.063% 8/1/56 | 130,000 | 159,577 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 157,000 | 166,048 | |
Post Holdings 144A 4.625% 4/15/30 # | 97,000 | 99,667 | |
Regeneron Pharmaceuticals 1.75% 9/15/30 | 90,000 | 86,834 | |
Royalty Pharma | |||
144A 1.20% 9/2/25 # | 110,000 | 109,563 | |
144A 1.75% 9/2/27 # | 70,000 | 69,614 | |
Stryker 1.95% 6/15/30 | 135,000 | 136,998 | |
Takeda Pharmaceutical | |||
3.025% 7/9/40 | 200,000 | 205,515 | |
3.175% 7/9/50 | 200,000 | 201,727 | |
Tenet Healthcare | |||
5.125% 5/1/25 | 236,000 | 233,864 | |
144A 6.125% 10/1/28 # | 145,000 | 141,103 | |
Ulker Biskuvi Sanayi 144A 6.95% 10/30/25 # | 200,000 | 198,686 | |
Upjohn | |||
144A 1.65% 6/22/25 # | 35,000 | 35,774 | |
144A 2.30% 6/22/27 # | 30,000 | 31,048 | |
144A 2.70% 6/22/30 # | 120,000 | 123,989 | |
144A 4.00% 6/22/50 # | 50,000 | 52,618 | |
7,833,067 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric — 3.98% | |||
Calpine | |||
144A 4.50% 2/15/28 # | 55,000 | $56,045 | |
144A 5.00% 2/1/31 # | 185,000 | 189,153 | |
144A 5.125% 3/15/28 # | 55,000 | 56,789 | |
CenterPoint Energy | |||
3.85% 2/1/24 | 180,000 | 197,453 | |
4.25% 11/1/28 | 291,000 | 343,505 | |
Centrais Eletricas Brasileiras 144A 3.625% 2/4/25 # | 200,000 | 200,212 | |
Comision Federal de Electricidad 144A 4.75% 2/23/27 # | 200,000 | 218,712 | |
Duke Energy 4.875% μ, ψ | 345,000 | 365,616 | |
Entergy Arkansas 4.20% 4/1/49 | 155,000 | 192,424 | |
Entergy Mississippi 3.85% 6/1/49 | 330,000 | 388,407 | |
Entergy Texas 3.55% 9/30/49 | 130,000 | 143,864 | |
Evergy Kansas Central 3.45% 4/15/50 | 130,000 | 147,308 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 140,000 | 153,011 | |
Israel Electric 144A 5.00% 11/12/24 # | 200,000 | 226,729 | |
Kallpa Generacion 144A 4.125% 8/16/27 # | 200,000 | 210,800 | |
Louisville Gas and Electric 4.25% 4/1/49 | 280,000 | 344,563 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 250,000 | 254,981 | |
NV Energy 6.25% 11/15/20 | 75,000 | 75,148 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 55,000 | 53,130 | |
2.50% 2/1/31 | 80,000 | 76,002 | |
3.30% 8/1/40 | 128,000 | 118,054 | |
PacifiCorp | |||
2.70% 9/15/30 | 30,000 | 32,710 | |
3.30% 3/15/51 | 45,000 | 49,166 | |
PG&E 5.25% 7/1/30 | 285,000 | 285,356 | |
Southern California Edison | |||
3.65% 2/1/50 | 165,000 | 172,102 | |
4.00% 4/1/47 | 105,000 | 112,794 | |
4.875% 3/1/49 | 455,000 | 536,492 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Southwestern Electric Power 4.10% 9/15/28 | 295,000 | $342,987 | |
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 85,000 | 93,640 | |
Vistra Operations 144A 5.50% 9/1/26 # | 229,000 | 237,301 | |
WEC Energy Group 1.80% 10/15/30 | 100,000 | 99,050 | |
5,973,504 | |||
Energy — 7.22% | |||
AES Andres 144A 7.95% 5/11/26 # | 200,000 | 203,252 | |
BP Capital Markets 4.875% μ, ψ | 305,000 | 321,012 | |
Ecopetrol 6.875% 4/29/30 | 120,000 | 144,630 | |
Energy Transfer Operating | |||
5.25% 4/15/29 | 220,000 | 238,265 | |
6.25% 4/15/49 | 490,000 | 516,806 | |
ENN Energy Holdings 144A 2.625% 9/17/30 # | 200,000 | 201,416 | |
Enterprise Products Operating 3.20% 2/15/52 | 645,000 | 598,090 | |
Equinor 1.75% 1/22/26 | 70,000 | 72,693 | |
Galaxy Pipeline Assets Bidco | |||
144A 1.75% 9/30/27 # | 200,000 | 199,600 | |
144A 2.625% 3/31/36 # | 200,000 | 199,806 | |
Geopark 144A 6.50% 9/21/24 # | 200,000 | 188,500 | |
Grupo Energia Bogota 144A 4.875% 5/15/30 # | 200,000 | 228,350 | |
Infraestructura Energetica Nova 144A 4.875% 1/14/48 # | 200,000 | 191,459 | |
Lukoil Securities 144A 3.875% 5/6/30 # | 200,000 | 212,520 | |
Marathon Oil 4.40% 7/15/27 | 875,000 | 879,338 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
MPLX | |||
1.75% 3/1/26 | 75,000 | $74,674 | |
2.65% 8/15/30 | 70,000 | 67,456 | |
4.00% 3/15/28 | 60,000 | 65,119 | |
4.125% 3/1/27 | 370,000 | 404,575 | |
4.70% 4/15/48 | 135,000 | 133,269 | |
5.50% 2/15/49 | 465,000 | 514,178 | |
Murphy Oil 5.875% 12/1/27 | 210,000 | 165,904 | |
NiSource | |||
0.95% 8/15/25 | 80,000 | 79,861 | |
5.65% μ, ψ | 200,000 | 200,098 | |
Noble Energy 3.90% 11/15/24 | 200,000 | 221,205 | |
NuStar Logistics 6.375% 10/1/30 | 290,000 | 292,356 | |
ONEOK 7.50% 9/1/23 | 505,000 | 575,379 | |
PDC Energy 5.75% 5/15/26 | 145,000 | 136,934 | |
Petrobras Global Finance 5.093% 1/15/30 | 110,000 | 115,019 | |
Petroleos Mexicanos 6.75% 9/21/47 | 60,000 | 46,674 | |
Pioneer Natural Resources 1.90% 8/15/30 | 555,000 | 519,940 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 200,000 | 206,805 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 315,000 | 360,829 | |
5.75% 5/15/24 | 359,000 | 404,447 | |
Saudi Arabian Oil 144A 4.25% 4/16/39 # | 220,000 | 250,913 | |
Schlumberger Holdings 144A 4.30% 5/1/29 # | 210,000 | 230,641 | |
Sempra Energy 4.875% μ, ψ | 115,000 | 119,888 | |
Southwestern Energy 7.75% 10/1/27 | 255,000 | 263,766 | |
Targa Resources Partners 5.375% 2/1/27 | 190,000 | 191,390 | |
Tengizchevroil Finance Co. International 144A 2.625% 8/15/25 # | 200,000 | 201,025 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 435,000 | 443,958 | |
Transocean Proteus 144A 6.25% 12/1/24 # | 162,500 | 143,813 | |
10,825,853 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies — 0.92% | |||
AerCap Ireland Capital DAC | |||
3.65% 7/21/27 | 340,000 | $320,263 | |
4.625% 10/15/27 | 150,000 | 148,743 | |
6.50% 7/15/25 | 150,000 | 165,241 | |
Air Lease | |||
2.875% 1/15/26 | 170,000 | 168,596 | |
3.00% 2/1/30 | 315,000 | 293,337 | |
3.375% 7/1/25 | 70,000 | 71,756 | |
GE Capital Funding 144A 3.45% 5/15/25 # | 200,000 | 213,844 | |
1,381,780 | |||
Insurance — 0.86% | |||
American International Group 3.40% 6/30/30 | 155,000 | 172,825 | |
AssuredPartners 144A 7.00% 8/15/25 # | 127,000 | 129,936 | |
Brighthouse Financial 5.625% 5/15/30 | 90,000 | 106,320 | |
GTCR AP Finance 144A 8.00% 5/15/27 # | 51,000 | 54,442 | |
HUB International 144A 7.00% 5/1/26 # | 150,000 | 153,901 | |
MetLife | |||
3.85% μ, ψ | 185,000 | 185,992 | |
6.40% 12/15/36 | 5,000 | 6,189 | |
Prudential Financial 5.375% 5/15/45 μ | 265,000 | 286,652 | |
USI 144A 6.875% 5/1/25 # | 190,000 | 193,917 | |
1,290,174 | |||
REITs — 0.82% | |||
American Tower 1.875% 10/15/30 | 380,000 | 374,754 | |
American Tower Trust #1 144A 3.07% 3/15/23 # | 120,000 | 122,842 | |
Arabian Centres Sukuk 144A 5.375% 11/26/24 # | 200,000 | 187,500 | |
Corporate Office Properties 5.25% 2/15/24 | 23,000 | 25,251 | |
CubeSmart 3.00% 2/15/30 | 110,000 | 117,718 | |
Goodman HK Finance 4.375% 6/19/24 | 200,000 | 216,290 | |
Kaisa Group Holdings 9.375% 6/30/24 | 200,000 | 181,713 | |
1,226,068 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology — 2.27% | |||
Alphabet | |||
1.10% 8/15/30 | 45,000 | $43,926 | |
1.90% 8/15/40 | 55,000 | 51,827 | |
2.05% 8/15/50 | 55,000 | 49,790 | |
Black Knight InfoServ 144A 3.625% 9/1/28 # | 141,000 | 142,939 | |
Broadcom | |||
3.15% 11/15/25 | 90,000 | 97,133 | |
4.15% 11/15/30 | 200,000 | 224,454 | |
5.00% 4/15/30 | 120,000 | 141,756 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 285,000 | 267,366 | |
Equinix 5.375% 5/15/27 | 280,000 | 305,378 | |
Fiserv 2.65% 6/1/30 | 125,000 | 132,821 | |
Gartner 144A 3.75% 10/1/30 # | 145,000 | 148,458 | |
Global Payments | |||
2.65% 2/15/25 | 342,000 | 362,061 | |
2.90% 5/15/30 | 63,000 | 66,953 | |
3.20% 8/15/29 | 225,000 | 243,498 | |
International Business Machines 1.95% 5/15/30 | 115,000 | 116,790 | |
Iron Mountain | |||
144A 4.50% 2/15/31 # | 65,000 | 64,793 | |
144A 5.25% 7/15/30 # | 215,000 | 220,912 | |
Microchip Technology 144A 4.25% 9/1/25 # | 100,000 | 103,705 | |
NXP | |||
144A 2.70% 5/1/25 # | 20,000 | 21,307 | |
144A 3.40% 5/1/30 # | 35,000 | 38,573 | |
144A 4.30% 6/18/29 # | 27,000 | 31,336 | |
144A 4.875% 3/1/24 # | 300,000 | 336,222 | |
ServiceNow 1.40% 9/1/30 | 110,000 | 106,388 | |
Xilinx 2.375% 6/1/30 | 90,000 | 92,150 | |
3,410,536 | |||
Transportation — 1.59% | |||
Aeropuertos Argentina 2000 144A PIK 9.375% 2/1/27 #, * | 180,186 | 114,418 | |
ASG Finance Designated Activity 144A 7.875% 12/3/24 # | 200,000 | 146,000 | |
Autoridad del Canal de Panama 144A 4.95% 7/29/35 # | 200,000 | 251,111 | |
Delta Air Lines 144A 7.00% 5/1/25 # | 685,000 | 748,230 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 350,000 | $365,094 | |
Rutas 2 and 7 Finance 144A 3.413% 9/30/36 #, ^ | 200,000 | 141,000 | |
Southwest Airlines | |||
5.125% 6/15/27 | 210,000 | 233,797 | |
5.25% 5/4/25 | 265,000 | 294,939 | |
Union Pacific 3.25% 2/5/50 | 90,000 | 96,795 | |
2,391,384 | |||
Utilities — 0.40% | |||
Essential Utilities | |||
2.704% 4/15/30 | 75,000 | 79,431 | |
3.351% 4/15/50 | 75,000 | 78,697 | |
KazTransGas JSC 144A 4.375% 9/26/27 # | 400,000 | 437,752 | |
595,880 | |||
Total Corporate Bonds (cost $75,048,581) | 78,205,657 | ||
Non-Agency Asset-Backed Securities — 1.92% | |||
Citicorp Residential Mortgage Trust Series 2006-3 A5 5.128% 11/25/36 • | 226,934 | 234,048 | |
Ford Credit Auto Lease Trust Series 2019-B A2A 2.28% 2/15/22 | 251,818 | 252,723 | |
Ford Credit Auto Owner Trust Series 2018-1 A 144A 3.19% 7/15/31 # | 160,000 | 174,599 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 44,000 | 39,066 | |
Hyundai Auto Lease Securitization Trust Series 2020-A A2 144A 1.90% 5/16/22 # | 254,395 | 256,018 | |
Hyundai Auto Receivables Trust Series 2020-C A2 0.26% 9/15/23 | 150,000 | 149,998 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Mercedes-Benz Auto Lease Trust | |||
Series 2019-B A2 2.01% 12/15/21 | 48,963 | $49,116 | |
Series 2020-A A2 1.82% 3/15/22 | 72,179 | 72,474 | |
Mercedes-Benz Master Owner Trust | |||
Series 2018-BA A 144A 0.488% (LIBOR01M + 0.34%) 5/15/23 #, • | 100,000 | 100,134 | |
Series 2019-AA A 144A 0.498% (LIBOR01M + 0.35%) 5/15/23 #, • | 530,000 | 530,666 | |
PFS Financing Series 2020-G A 144A 0.97% 2/15/26 # | 500,000 | 501,124 | |
Towd Point Mortgage Trust | |||
Series 2015-5 A1B 144A 2.75% 5/25/55 #, • | 15,260 | 15,387 | |
Series 2015-6 A1B 144A 2.75% 4/25/55 #, • | 24,066 | 24,467 | |
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 38,370 | 39,325 | |
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 40,083 | 41,149 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 58,386 | 60,920 | |
Volvo Financial Equipment Master Owner Trust Series 2017-A A 144A 0.648% (LIBOR01M + 0.50%) 11/15/22 #, • | 255,000 | 255,041 | |
Wendy's Funding Series 2018-1A A2I 144A 3.573% 3/15/48 # | 77,800 | 80,069 | |
Total Non-Agency Asset-Backed Securities (cost $2,831,597) | 2,876,324 | ||
Non-Agency Collateralized Mortgage Obligations — 2.15% | |||
Chase Home Lending Mortgage Trust Series 2019-ATR2 A3 144A 3.50% 7/25/49 #, • | 123,661 | 126,975 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Connecticut Avenue Securities Trust Series 2019-R01 2M2 144A 2.599% (LIBOR01M + 2.45%) 7/25/31 #, • | 78,186 | $77,498 | |
Flagstar Mortgage Trust Series 2018-5 A7 144A 4.00% 9/25/48 #, • | 7,287 | 7,303 | |
Galton Funding Mortgage Trust Series 2018-1 A43 144A 3.50% 11/25/57 #, • | 22,200 | 22,391 | |
GS Mortgage-Backed Securities Trust Series 2020-PJ1 A1 144A 3.50% 5/25/50 #, • | 140,373 | 142,971 | |
Holmes Master Issuer Series 2018-2A A2 144A 0.695% (LIBOR03M + 0.42%) 10/15/54 #, • | 67,405 | 67,341 | |
JPMorgan Mortgage Trust | |||
Series 2014-2 B1 144A 3.399% 6/25/29 #, • | 44,736 | 45,474 | |
Series 2014-2 B2 144A 3.399% 6/25/29 #, • | 44,736 | 45,296 | |
Series 2014-IVR6 2A4 144A 2.295% 7/25/44 #, • | 81,152 | 81,974 | |
Series 2015-4 B1 144A 3.612% 6/25/45 #, • | 83,711 | 86,031 | |
Series 2015-4 B2 144A 3.612% 6/25/45 #, • | 83,711 | 85,528 | |
Series 2015-5 B2 144A 2.58% 5/25/45 #, • | 88,888 | 90,752 | |
Series 2015-6 B1 144A 3.568% 10/25/45 #, • | 85,485 | 87,894 | |
Series 2015-6 B2 144A 3.568% 10/25/45 #, • | 85,485 | 87,441 | |
Series 2016-4 B1 144A 3.868% 10/25/46 #, • | 88,331 | 92,033 | |
Series 2016-4 B2 144A 3.868% 10/25/46 #, • | 90,549 | 93,706 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 25,772 | 26,499 | |
Series 2019-LTV3 A3 144A 3.50% 3/25/50 #, • | 160,586 | 164,713 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 88,427 | $90,783 | |
Series 2020-5 A3 144A 3.00% 12/25/50 #, • | 447,713 | 459,570 | |
New Residential Mortgage Loan Trust Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 66,857 | 70,498 | |
Sequoia Mortgage Trust | |||
Series 2014-2 A4 144A 3.50% 7/25/44 #, • | 11,431 | 11,762 | |
Series 2015-1 B2 144A 3.864% 1/25/45 #, • | 31,759 | 32,311 | |
Series 2015-2 B2 144A 3.736% 5/25/45 #, • | 292,922 | 299,688 | |
Series 2017-4 A1 144A 3.50% 7/25/47 #, • | 37,957 | 38,805 | |
Series 2017-5 B1 144A 3.823% 8/25/47 #, • | 235,204 | 246,606 | |
Series 2019-CH1 A1 144A 4.50% 3/25/49 #, • | 62,285 | 63,879 | |
Wells Fargo Mortgage Backed Securities Trust Series 2020-3 A1 144A 3.00% 6/25/50 #, • | 463,555 | 476,501 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $3,172,136) | 3,222,223 | ||
Non-Agency Commercial Mortgage-Backed Securities — 7.44% | |||
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 225,000 | 250,892 | |
Series 2017-BNK5 B 3.896% 6/15/60 • | 95,000 | 102,460 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 190,000 | 212,902 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 205,000 | 225,776 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 200,000 | 218,685 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Benchmark Mortgage Trust | |||
Series 2018-B1 A5 3.666% 1/15/51 • | 400,000 | $453,040 | |
Series 2018-B3 A5 4.025% 4/10/51 | 130,000 | 150,459 | |
Series 2020-B19 A5 1.85% 9/15/53 | 750,000 | 754,152 | |
Cantor Commercial Real Estate Lending Series 2019-CF2 A5 2.874% 11/15/52 | 200,000 | 216,891 | |
CD Mortgage Trust Series 2019-CD8 A4 2.912% 8/15/57 | 100,000 | 108,728 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.839% 12/10/54 | 185,000 | 205,779 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 120,000 | 130,130 | |
Series 2016-P3 A4 3.329% 4/15/49 | 308,000 | 335,641 | |
Series 2017-C4 A4 3.471% 10/12/50 | 120,000 | 133,922 | |
Series 2019-C7 A4 3.102% 12/15/72 | 280,000 | 309,838 | |
Series 2020-555 A 144A 2.647% 12/10/41 # | 100,000 | 104,939 | |
COMM Mortgage Trust | |||
Series 2013-CR6 AM 144A 3.147% 3/10/46 # | 105,000 | 108,704 | |
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 100,000 | 105,339 | |
Series 2014-CR19 A5 3.796% 8/10/47 | 80,000 | 87,384 | |
Series 2014-CR20 AM 3.938% 11/10/47 | 350,000 | 378,190 | |
Series 2015-3BP A 144A 3.178% 2/10/35 # | 130,000 | 138,488 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
COMM Mortgage Trust | |||
Series 2015-CR23 A4 3.497% 5/10/48 | 115,000 | $125,707 | |
DB-JPM Mortgage Trust | |||
Series 2016-C1 A4 3.276% 5/10/49 | 165,000 | 180,068 | |
Series 2016-C1 B 4.195% 5/10/49 • | 25,000 | 26,028 | |
Series 2016-C3 A5 2.89% 8/10/49 | 140,000 | 151,175 | |
GRACE Mortgage Trust Series 2014-GRCE A 144A 3.369% 6/10/28 # | 250,000 | 251,090 | |
GS Mortgage Securities Trust | |||
Series 2010-C1 C 144A 5.635% 8/10/43 #, • | 100,000 | 89,313 | |
Series 2015-GC32 A4 3.764% 7/10/48 | 75,000 | 82,797 | |
Series 2017-GS5 A4 3.674% 3/10/50 | 175,000 | 197,390 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 115,000 | 128,234 | |
Series 2018-GS9 A4 3.992% 3/10/51 • | 130,000 | 149,660 | |
Series 2018-GS9 B 4.321% 3/10/51 • | 125,000 | 137,772 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 70,000 | 79,059 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 1,015,000 | 1,111,372 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 1,095,000 | 1,150,211 | |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
JPM-BB Commercial Mortgage Securities Trust Series 2015-C33 A4 3.77% 12/15/48 | 255,000 | $285,069 | |
JPM-DB Commercial Mortgage Securities Trust Series 2017-C7 A5 3.409% 10/15/50 | 290,000 | 323,250 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 150,000 | 146,223 | |
Series 2015-JP1 A5 3.914% 1/15/49 | 170,000 | 191,480 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 180,000 | 190,384 | |
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 105,000 | 104,373 | |
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 85,000 | 82,929 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 38,979 | 22,565 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2014-C17 A5 3.741% 8/15/47 | 100,000 | 108,400 | |
Series 2015-C26 A5 3.531% 10/15/48 | 120,000 | 132,546 | |
Series 2016-C29 A4 3.325% 5/15/49 | 95,000 | 104,239 | |
Morgan Stanley Capital I Trust Series 2006-HQ10 B 5.448% 11/12/41 • | 62,003 | 61,081 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
UBS Commercial Mortgage Trust Series 2018-C9 A4 4.117% 3/15/51 • | 225,000 | $257,882 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 150,000 | 151,737 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2015-NXS3 A4 3.617% 9/15/57 | 80,000 | 88,398 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 155,000 | 162,456 | |
Series 2017-C38 A5 3.453% 7/15/50 | 140,000 | 156,575 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $10,727,681) | 11,161,802 | ||
Loan Agreements — 5.04% | |||
Advantage Sales & Marketing TBD 10/31/27 X | 150,000 | 146,375 | |
American Airlines Tranche B 2.148% (LIBOR01M + 2.00%) 12/14/23 • | 70,394 | 58,581 | |
Applied Systems 1st Lien 4.25% (LIBOR03M + 3.25%) 9/19/24 | 90,533 | 90,218 | |
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) 9/19/25 • | 150,000 | 151,219 | |
Aramark Services Tranche B-3 1.898% (LIBOR01M + 1.75%) 3/11/25 • | 69,950 | 67,021 | |
Array Technologies 5.00% (LIBOR03M + 4.00%) 10/14/27 • | 20,435 | 20,179 | |
Aruba Investments Holdings 2nd Lien TBD 10/28/28 | 40,000 | 39,800 | |
Aruba Investments TBD 10/28/27 X | 40,000 | 39,800 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
AthenaHealth Tranche B 1st Lien 4.75% (LIBOR03M + 4.50%) 2/11/26 • | 83,725 | $82,155 | |
Avantor Tranche B TBD 10/30/27 X | 95,000 | 94,050 | |
Bausch Health 3.149% (LIBOR01M + 3.00%) 6/2/25 • | 79,366 | 77,642 | |
Berry Global Tranche W 2.147% (LIBOR01M + 2.00%) 10/1/22 • | 100,000 | 99,132 | |
Berry Global Tranche Y 2.147% (LIBOR01M + 2.00%) 7/1/26 • | 98,750 | 95,594 | |
Blue Ribbon 1st Lien 5.00% (LIBOR01M + 4.00%) 11/15/21 • | 39,332 | 36,775 | |
Buckeye Partners 2.897% (LIBOR01M + 2.75%) 11/1/26 • | 92,583 | 90,818 | |
Caesars Resort Collection Tranche B-1 4.649% (LIBOR01M + 4.50%) 7/21/25 • | 65,000 | 63,037 | |
Calpine | |||
2.40% (LIBOR01M + 2.25%) 1/15/24 • | 39,294 | 38,410 | |
2.40% (LIBOR01M + 2.25%) 4/5/26 • | 49,375 | 48,196 | |
Carnival 8.50% (LIBOR01M + 7.50%) 6/30/25 • | 49,875 | 50,249 | |
Charter Communications Operating Tranche B2 1.90% (LIBOR01M + 1.75%) 2/1/27 • | 102,021 | 99,570 | |
Chemours Tranche B-2 0.019% (LIBOR01M + 0.018%) 4/3/25 • | 139,812 | 134,220 | |
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) 4/18/24 • | 98,473 | 92,836 | |
Core & Main 3.75% (LIBOR03M + 2.75%) 8/1/24 • | 141,003 | 137,477 | |
CSC Holdings 2.648% (LIBOR01M + 2.50%) 4/15/27 • | 63,706 | 61,808 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
DaVita Tranche B-1 1.897% (LIBOR01M + 1.75%) 8/12/26 • | 123,752 | $121,306 | |
EFS Cogen Holdings I Tranche B 4.50% (LIBOR03M + 3.50%) 9/24/27 • | 70,000 | 69,563 | |
Ensemble RCM 3.964% (LIBOR03M + 3.75%) 8/3/26 • | 74,250 | 72,858 | |
Epicor Software Tranche B 5.25% (LIBOR01M + 4.25%) 7/30/27 • | 135,000 | 134,747 | |
ESH Hospitality 2.148% (LIBOR01M + 2.00%) 9/18/26 • | 95,406 | 92,568 | |
Frontier Communications Tranche B-1 6.00% (LIBOR03M + 2.75%) 6/17/24 • | 1,136,080 | 1,117,902 | |
Gardner Denver Tranche B-1 1.898% (LIBOR01M + 1.75%) 3/1/27 • | 71,995 | 69,745 | |
Gray Television Tranche B-2 2.399% (LIBOR01M + 2.25%) 2/7/24 • | 107,721 | 105,486 | |
Grupo Aeromexico TBD 8/19/22 X, = | 65,000 | 65,000 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 144,638 | 144,457 | |
HCA Tranche B-12 1.898% (LIBOR01M + 1.75%) 3/13/25 • | 225,959 | 225,273 | |
Hilton Worldwide Finance Tranche B-2 1.899% (LIBOR01M + 1.75%) 6/22/26 • | 35,550 | 33,792 | |
Ineos US Finance 2.148% (LIBOR01M + 2.00%) 4/1/24 • | 0 | 0 | |
Informatica 3.398% (LIBOR01M + 3.25%) 2/25/27 • | 141,449 | 136,994 | |
Informatica 2nd Lien 7.125% 2/14/25 | 111,000 | 112,804 | |
IQVIA Tranche B-3 1.97% (LIBOR03M + 1.75%) 6/11/25 • | 141,738 | 139,647 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Iron Mountain Information Management Tranche B 1.898% (LIBOR01M + 1.75%) 1/2/26 • | 120,019 | $115,818 | |
JBS USA LUX 2.147% (LIBOR01M + 2.00%) 5/1/26 • | 24,625 | 24,115 | |
LS Group OpCo Acquisition Tranche B TBD 10/26/27 X | 90,000 | 89,325 | |
Microchip Technology 2.15% (LIBOR01M + 2.00%) 5/29/25 • | 133,689 | 132,797 | |
Milano Acquisition Tranche B 4.75% (LIBOR03M + 4.00%) 10/1/27 • | 125,000 | 123,047 | |
Mileage Plus Holdings 6.25% (LIBOR03M + 5.25%) 6/20/27 • | 50,000 | 50,965 | |
Numericable US Tranche B-11 2.898% (LIBOR01M + 2.75%) 7/31/25 • | 66,199 | 63,220 | |
Numericable US Tranche B-13 4.237% (LIBOR03M + 4.00%) 8/14/26 • | 34,300 | 33,382 | |
ON Semiconductor Tranche B-4 2.148% (LIBOR01M + 2.00%) 9/16/26 • | 74,160 | 72,631 | |
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 • | 122,256 | 118,263 | |
PG&E 5.50% (LIBOR03M + 4.50%) 6/23/25 • | 149,625 | 148,783 | |
PQ Tranche B 2.464% (LIBOR03M + 2.25%) 2/8/27 • | 136,359 | 132,780 | |
Prestige Brands Tranche B-4 2.148% (LIBOR01M + 2.00%) 1/26/24 • | 68,923 | 68,622 | |
Pretium PKG Holdings TBD 10/29/27 X | 65,000 | 64,106 | |
RP Crown Parent Tranche B-1 4.00% (LIBOR01M + 3.00%) 2/2/26 • | 109,725 | 107,393 | |
Ryan Specialty Group 4.00% (LIBOR01M + 3.25%) 9/1/27 • | 60,000 | 59,600 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Scientific Games International Tranche B-5 2.975% (LIBOR01M + 2.75%) 8/14/24 • | 187,232 | $174,638 | |
Sinclair Television Group Tranche B 2.252% (LIBOR01M + 2.25%) 1/3/24 • | 143,623 | 139,913 | |
Spirit Aerosystems 6.00% (LIBOR01M + 5.25%) 1/15/25 • | 80,000 | 80,100 | |
SS&C Technologies Tranche B-3 1.898% (LIBOR01M + 1.75%) 4/16/25 • | 55,562 | 54,093 | |
SS&C Technologies Tranche B-4 1.898% (LIBOR01M + 1.75%) 4/16/25 • | 39,036 | 38,004 | |
Terrier Media Buyer 4.397% (LIBOR01M + 4.25%) 12/17/26 • | 51,610 | 50,441 | |
Transdigm Tranche F 2.398% (LIBOR01M + 2.25%) 12/9/25 • | 127,355 | 120,085 | |
Ultimate Software Group 4.75% (LIBOR03M + 4.00%) 5/4/26 • | 370,000 | 368,330 | |
Ultimate Software Group 1st Lien 3.898% (LIBOR01M + 3.75%) 5/4/26 • | 217,518 | 213,983 | |
Vertical Midco Tranche B 4.567% (LIBOR06M + 4.25%) 7/30/27 • | 125,000 | 123,490 | |
Vistra Operations 1.898% (LIBOR01M + 1.75%) 12/31/25 • | 213,692 | 209,151 | |
Windstream Services 7.25% (LIBOR03M + 6.25%) 8/11/27 • | 21,945 | 20,793 | |
Total Loan Agreements (cost $7,601,936) | 7,555,172 | ||
Sovereign Bonds — 3.20%Δ | |||
Argentina — 0.06% | |||
Argentine Republic Government International Bonds | |||
0.125% 7/9/30 ~ | 250,260 | 91,846 | |
1.00% 7/9/29 | 8,695 | 3,591 | |
95,437 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Bermuda — 0.14% | |||
Bermuda Government International Bond | |||
144A 2.375% 8/20/30 # | 200,000 | $205,750 | |
205,750 | |||
Brazil — 0.13% | |||
Brazilian Government International Bond | |||
4.75% 1/14/50 | 200,000 | 196,325 | |
196,325 | |||
Dominican Republic — 0.10% | |||
Dominican Republic International Bond | |||
144A 4.875% 9/23/32 # | 150,000 | 152,625 | |
152,625 | |||
Egypt — 0.29% | |||
Egypt Government International Bonds | |||
144A 5.75% 5/29/24 # | 225,000 | 230,943 | |
144A 8.70% 3/1/49 # | 200,000 | 202,089 | |
433,032 | |||
El Salvador — 0.09% | |||
El Salvador Government International Bond | |||
144A 7.125% 1/20/50 # | 175,000 | 131,250 | |
131,250 | |||
Honduras — 0.15% | |||
Honduras Government International Bond | |||
144A 5.625% 6/24/30 # | 200,000 | 221,500 | |
221,500 | |||
Ivory Coast — 0.13% | |||
Ivory Coast Government International Bond | |||
144A 6.125% 6/15/33 # | 200,000 | 202,451 | |
202,451 | |||
Jordan — 0.14% | |||
Jordan Government International Bond | |||
144A 4.95% 7/7/25 # | 200,000 | 203,983 | |
203,983 | |||
Panama — 0.19% | |||
Panama Government International Bond | |||
3.75% 3/16/25 | 261,000 | 285,963 | |
285,963 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Paraguay — 0.16% | |||
Paraguay Government International Bond | |||
144A 4.95% 4/28/31 # | 200,000 | $234,000 | |
234,000 | |||
Peru — 0.14% | |||
Peruvian Government International Bond | |||
2.392% 1/23/26 | 200,000 | 210,500 | |
210,500 | |||
Philippines — 0.14% | |||
Philippine Government International Bond | |||
2.457% 5/5/30 | 200,000 | 214,191 | |
214,191 | |||
Qatar — 0.30% | |||
Qatar Government International Bonds | |||
144A 3.40% 4/16/25 # | 200,000 | 219,752 | |
144A 4.00% 3/14/29 # | 200,000 | 234,742 | |
454,494 | |||
Romania — 0.18% | |||
Romanian Government International Bond | |||
144A 3.00% 2/14/31 # | 260,000 | 269,954 | |
269,954 | |||
Saudi Arabia — 0.14% | |||
Saudi Government International Bond | |||
144A 2.90% 10/22/25 # | 200,000 | 214,088 | |
214,088 | |||
Senegal — 0.13% | |||
Senegal Government International Bond | |||
144A 6.75% 3/13/48 # | 200,000 | 196,113 | |
196,113 | |||
South Africa — 0.12% | |||
Republic of South Africa Government International Bond | |||
5.75% 9/30/49 | 200,000 | 180,908 | |
180,908 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Trinidad and Tobago — 0.14% | |||
Trinidad & Tobago Government International Bond | |||
144A 4.50% 6/26/30 # | 200,000 | $203,250 | |
203,250 | |||
Turkey — 0.10% | |||
Turkey Government International Bond | |||
5.75% 5/11/47 | 200,000 | 155,672 | |
155,672 | |||
Uruguay — 0.08% | |||
Uruguay Government International Bond | |||
4.375% 1/23/31 | 100,000 | 120,906 | |
120,906 | |||
Uzbekistan — 0.15% | |||
Republic of Uzbekistan Bond | |||
144A 5.375% 2/20/29 # | 200,000 | 222,092 | |
222,092 | |||
Total Sovereign Bonds (cost $4,697,009) | 4,804,484 | ||
Supranational Bank — 0.28% | |||
Banque Ouest Africaine de Developpement 144A 4.70% 10/22/31 # | 200,000 | 210,414 | |
Central American Bank For Economic Integration 144A 2.00% 5/6/25 # | 200,000 | 208,614 | |
Total Supranational Bank (cost $399,972) | 419,028 | ||
US Treasury Obligations — 11.12% | |||
US Treasury Inflation Indexed Notes | |||
0.125% 1/15/30 | 7,420,213 | 8,100,986 | |
0.125% 7/15/30 | 1,900,800 | 2,086,367 | |
US Treasury Notes | |||
0.25% 9/30/25 | 755,000 | 750,429 | |
0.625% 8/15/30 | 5,870,000 | 5,733,798 | |
Total US Treasury Obligations (cost $16,431,177) | 16,671,580 | ||
Principal amount° | Value (US $) | ||
Municipal Bond — 0.03% | |||
South Carolina Public Service Authority Series D 4.77% 12/1/45 | 30,000 | $37,737 | |
Total Municipal Bond (cost $33,739) | 37,737 |
Number of shares | |||
Short-Term Investments — 1.03% | |||
Money Market Mutual Funds — 1.03% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 387,725 | 387,725 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 387,724 | 387,724 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 387,724 | 387,724 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 387,724 | 387,724 | |
Total Short-Term Investments (cost $1,550,897) | 1,550,897 | ||
Total Value of Securities—99.80% (cost $145,025,849) | $149,711,258 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at October 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2020, the aggregate value of Rule 144A securities was $42,454,283, which represents 28.30% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at October 31, 2020. Rate will reset at a future date. |
ψ | No contractual maturity date. |
> | PIK. 100% of the income received was in the form of cash. |
* | PIK. 100% of the income received was in the form of principal. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
X | This loan will settle after October 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
= | 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.” |
Δ | Securities have been classified by country of origin. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at October 31, 2020. |
Borrower | Prinicipal Amount | Commitment | Value | Unrealized Appreciation Depreciation | ||||
Grupo Aeromexico 8/19/22 | $65,000 | $65,000 | $65,000 | $— | ||||
Grupo Aeromexico 8/19/22 | 130,000 | 130,000 | 130,000 | — |
Foreign Currency Exchange Contracts | ||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||
JPMCB | EUR | 1,285,000 | USD | (1,504,298) | 1/15/21 | $(4,818) |
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 | |||||||
89 | US Treasury 5 yr Notes | $11,178,539 | $11,207,258 | 12/31/20 | $— | $(28,719) | $(4,172) | ||||||
9 | US Treasury 10 yr Ultra Notes | 1,415,531 | 1,440,866 | 12/21/20 | — | (25,335) | (3,094) | ||||||
(79) | US Treasury 10 yr Notes | (10,919,281) | (11,024,860) | 12/21/20 | 105,579 | — | 14,812 | ||||||
Total Futures Contracts | $1,623,264 | $105,579 | $(54,054) | $7,546 |
Summary of abbreviations: |
BB – Barclays Bank |
CD – Certificate of Deposit |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
DB – Deutsche Bank AG |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
JPM – JPMorgan |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
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 |
PIK – Payment-in-kind |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
TBD – To be determined |
yr – Year |
Summary of currencies: |
EUR – European Monetary Unit |
USD – US Dollar |
Principal amount° | Value (US $) | ||
Convertible Bond — 0.17% | |||
PDC Energy 1.125% exercise price $85.39, maturity date 9/15/21 | 145,000 | $140,334 | |
Total Convertible Bond (cost $139,381) | 140,334 | ||
Corporate Bonds — 88.33% | |||
Automotive — 2.93% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 413,000 | 451,510 | |
Ford Motor | |||
8.50% 4/21/23 | 285,000 | 315,023 | |
9.00% 4/22/25 | 90,000 | 105,978 | |
Ford Motor Credit | |||
3.37% 11/17/23 | 285,000 | 282,863 | |
4.125% 8/17/27 | 270,000 | 266,288 | |
4.542% 8/1/26 | 275,000 | 280,156 | |
5.584% 3/18/24 | 295,000 | 310,431 | |
5.875% 8/2/21 | 230,000 | 235,164 | |
General Motors Financial 5.70% μ, ψ | 140,000 | 145,250 | |
2,392,663 | |||
Banking — 2.60% | |||
Barclays 6.125% μ, ψ | 305,000 | 311,064 | |
Deutsche Bank 6.00% μ, ψ | 200,000 | 178,500 | |
Natwest Group 8.625% μ, ψ | 630,000 | 651,628 | |
Popular 6.125% 9/14/23 | 915,000 | 982,733 | |
2,123,925 | |||
Basic Industry — 9.38% | |||
Allegheny Technologies 5.875% 12/1/27 | 545,000 | 514,003 | |
Avient 144A 5.75% 5/15/25 # | 547,000 | 576,401 | |
Blue Cube Spinco 10.00% 10/15/25 | 145,000 | 153,285 | |
Cemex 144A 7.375% 6/5/27 # | 280,000 | 308,773 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 200,000 | 199,250 | |
144A 7.25% 4/1/23 # | 330,000 | 332,153 | |
144A 7.50% 4/1/25 # | 405,000 | 407,278 | |
Freeport-McMoRan 5.45% 3/15/43 | 762,000 | 870,913 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Hudbay Minerals | |||
144A 6.125% 4/1/29 # | 190,000 | $194,750 | |
144A 7.625% 1/15/25 # | 185,000 | 192,284 | |
Intertape Polymer Group 144A 7.00% 10/15/26 # | 305,000 | 321,336 | |
Joseph T Ryerson & Son 144A 8.50% 8/1/28 # | 136,000 | 145,986 | |
Kraton Polymers 144A 7.00% 4/15/25 # | 380,000 | 392,587 | |
M/I Homes 4.95% 2/1/28 | 487,000 | 505,567 | |
Mattamy Group | |||
144A 4.625% 3/1/30 # | 115,000 | 116,923 | |
144A 5.25% 12/15/27 # | 300,000 | 318,188 | |
New Gold | |||
144A 6.375% 5/15/25 # | 90,000 | 92,869 | |
144A 7.50% 7/15/27 # | 145,000 | 157,126 | |
Novelis | |||
144A 4.75% 1/30/30 # | 110,000 | 111,759 | |
144A 5.875% 9/30/26 # | 150,000 | 154,970 | |
Olin 5.00% 2/1/30 | 200,000 | 201,963 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 515,000 | 547,509 | |
Tronox 144A 6.50% 4/15/26 # | 285,000 | 289,420 | |
White Cap Buyer 144A 6.875% 10/15/28 # | 410,000 | 421,019 | |
WR Grace & Co. 144A 4.875% 6/15/27 # | 145,000 | 151,236 | |
7,677,548 | |||
Capital Goods — 8.01% | |||
ARD Finance 144A PIK 6.50% 6/30/27 #, > | 400,000 | 407,000 | |
Ardagh Packaging Finance 144A 5.25% 8/15/27 # | 400,000 | 412,284 | |
Berry Global 144A 5.625% 7/15/27 # | 505,000 | 529,250 | |
Bombardier | |||
144A 7.50% 3/15/25 # | 215,000 | 156,681 | |
144A 7.875% 4/15/27 # | 200,000 | 146,000 | |
Energizer Holdings 144A 4.375% 3/31/29 # | 260,000 | 262,860 | |
EnPro Industries 5.75% 10/15/26 | 435,000 | 458,299 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Griffon 5.75% 3/1/28 | 395,000 | $410,306 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 145,000 | 145,267 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 810,000 | 823,162 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 400,000 | 407,500 | |
Terex 144A 5.625% 2/1/25 # | 215,000 | 215,941 | |
Titan Acquisition 144A 7.75% 4/15/26 # | 135,000 | 135,000 | |
TransDigm | |||
5.50% 11/15/27 | 440,000 | 429,814 | |
144A 6.25% 3/15/26 # | 550,000 | 574,065 | |
144A 8.00% 12/15/25 # | 70,000 | 75,758 | |
Vertical Holdco 144A 7.625% 7/15/28 # | 200,000 | 207,875 | |
Vertical US Newco 144A 5.25% 7/15/27 # | 200,000 | 206,215 | |
Welbilt 9.50% 2/15/24 | 263,000 | 267,493 | |
WESCO Distribution 144A 7.25% 6/15/28 # | 260,000 | 284,985 | |
6,555,755 | |||
Communications — 11.45% | |||
Altice Financing 144A 5.00% 1/15/28 # | 355,000 | 344,817 | |
Altice France Holding | |||
144A 6.00% 2/15/28 # | 865,000 | 831,265 | |
144A 10.50% 5/15/27 # | 445,000 | 491,447 | |
C&W Senior Financing 144A 6.875% 9/15/27 # | 463,000 | 488,696 | |
Cablevision Lightpath | |||
144A 3.875% 9/15/27 # | 200,000 | 198,750 | |
144A 5.625% 9/15/28 # | 200,000 | 202,375 | |
CenturyLink 144A 5.125% 12/15/26 # | 580,000 | 593,894 | |
Cincinnati Bell 144A 7.00% 7/15/24 # | 565,000 | 585,829 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 432,000 | 374,965 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Connect Finco 144A 6.75% 10/1/26 # | 770,000 | $776,737 | |
Frontier Communications 144A 5.875% 10/15/27 # | 230,000 | 234,888 | |
LCPR Senior Secured Financing 144A 6.75% 10/15/27 # | 265,000 | 281,894 | |
Level 3 Financing 144A 4.25% 7/1/28 # | 450,000 | 452,700 | |
Sprint | |||
7.125% 6/15/24 | 170,000 | 195,748 | |
7.625% 3/1/26 | 150,000 | 182,773 | |
7.875% 9/15/23 | 800,000 | 914,500 | |
Sprint Capital 8.75% 3/15/32 | 140,000 | 209,644 | |
T-Mobile USA | |||
6.00% 4/15/24 | 260,000 | 264,927 | |
6.50% 1/15/26 | 422,000 | 440,251 | |
Vodafone Group 7.00% 4/4/79 μ | 210,000 | 249,395 | |
Windstream Escrow 144A 7.75% 8/15/28 # | 452,000 | 437,875 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 610,000 | 616,387 | |
9,369,757 | |||
Consumer Cyclical — 4.26% | |||
Boyd Gaming 4.75% 12/1/27 | 390,000 | 380,082 | |
Caesars Entertainment | |||
144A 6.25% 7/1/25 # | 240,000 | 246,720 | |
144A 8.125% 7/1/27 # | 205,000 | 214,225 | |
L Brands | |||
144A 6.875% 7/1/25 # | 280,000 | 300,577 | |
144A 9.375% 7/1/25 # | 165,000 | 191,606 | |
MGM Resorts International 4.75% 10/15/28 | 575,000 | 563,141 | |
New Red Finance 144A 3.50% 2/15/29 # | 260,000 | 258,700 | |
Scientific Games International | |||
144A 8.25% 3/15/26 # | 316,000 | 320,489 | |
144A 8.625% 7/1/25 # | 135,000 | 140,526 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 255,000 | 237,372 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Station Casinos 144A 5.00% 10/1/25 # | 205,000 | $204,359 | |
William Carter 144A 5.625% 3/15/27 # | 405,000 | 425,756 | |
3,483,553 | |||
Consumer Non-Cyclical — 3.72% | |||
Chobani 144A 4.625% 11/15/28 # | 262,000 | 263,520 | |
JBS USA LUX | |||
144A 5.50% 1/15/30 # | 185,000 | 201,419 | |
144A 6.50% 4/15/29 # | 250,000 | 281,282 | |
Kraft Heinz Foods | |||
5.00% 7/15/35 | 270,000 | 311,017 | |
5.20% 7/15/45 | 315,000 | 348,234 | |
Pilgrim's Pride 144A 5.75% 3/15/25 # | 370,000 | 379,250 | |
Post Holdings 144A 5.50% 12/15/29 # | 390,000 | 421,210 | |
Spectrum Brands | |||
144A 5.00% 10/1/29 # | 465,000 | 494,062 | |
144A 5.50% 7/15/30 # | 110,000 | 117,906 | |
United Natural Foods 144A 6.75% 10/15/28 # | 225,000 | 228,094 | |
3,045,994 | |||
Energy — 11.13% | |||
Cheniere Energy Partners 4.50% 10/1/29 | 365,000 | 372,669 | |
CNX Resources 144A 7.25% 3/14/27 # | 705,000 | 744,670 | |
Continental Resources 5.00% 9/15/22 | 415,000 | 409,190 | |
Crestwood Midstream Partners 144A 5.625% 5/1/27 # | 425,000 | 373,203 | |
DCP Midstream Operating 5.125% 5/15/29 | 400,000 | 398,432 | |
EQM Midstream Partners 144A 6.50% 7/1/27 # | 290,000 | 304,561 | |
Genesis Energy 6.50% 10/1/25 | 535,000 | 445,053 | |
Murphy Oil 5.875% 12/1/27 | 550,000 | 434,511 | |
Murphy Oil USA 5.625% 5/1/27 | 555,000 | 584,726 | |
NuStar Logistics | |||
6.00% 6/1/26 | 500,000 | 494,607 | |
6.375% 10/1/30 | 375,000 | 378,047 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Occidental Petroleum | |||
2.70% 2/15/23 | 387,000 | $347,091 | |
3.00% 2/15/27 | 235,000 | 177,866 | |
3.50% 8/15/29 | 220,000 | 159,073 | |
6.625% 9/1/30 | 295,000 | 258,951 | |
PDC Energy 6.125% 9/15/24 | 379,000 | 369,288 | |
Precision Drilling 144A 7.125% 1/15/26 # | 665,000 | 421,317 | |
Southwestern Energy 7.75% 10/1/27 | 605,000 | 625,797 | |
Sunoco 6.00% 4/15/27 | 185,000 | 191,467 | |
Targa Resources Partners | |||
144A 4.875% 2/1/31 # | 270,000 | 263,901 | |
5.375% 2/1/27 | 390,000 | 392,853 | |
Western Midstream Operating 4.75% 8/15/28 | 400,000 | 375,000 | |
WPX Energy | |||
5.25% 10/15/27 | 395,000 | 396,817 | |
5.875% 6/15/28 | 180,000 | 184,279 | |
9,103,369 | |||
Financial Services — 2.54% | |||
AerCap Holdings 5.875% 10/10/79 μ | 185,000 | 146,780 | |
AerCap Ireland Capital DAC 6.50% 7/15/25 | 340,000 | 374,546 | |
Ally Financial 8.00% 11/1/31 | 280,000 | 387,091 | |
DAE Funding | |||
144A 4.50% 8/1/22 # | 100,000 | 100,750 | |
144A 5.75% 11/15/23 # | 677,000 | 686,309 | |
United Shore Financial Services 144A 5.50% 11/15/25 # | 380,000 | 385,111 | |
2,080,587 | |||
Healthcare — 6.61% | |||
Bausch Health 144A 6.25% 2/15/29 # | 565,000 | 583,080 | |
Cheplapharm Arzneimittel 144A 5.50% 1/15/28 # | 405,000 | 410,654 | |
CHS 144A 8.00% 3/15/26 # | 420,000 | 422,100 | |
Encompass Health 4.75% 2/1/30 | 550,000 | 573,820 | |
Hadrian Merger Sub 144A 8.50% 5/1/26 # | 437,000 | 427,631 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Healthcare (continued) | |||
HCA | |||
5.375% 2/1/25 | 270,000 | $299,380 | |
7.58% 9/15/25 | 230,000 | 272,669 | |
Jaguar Holding II | |||
144A 4.625% 6/15/25 # | 200,000 | 206,924 | |
144A 5.00% 6/15/28 # | 355,000 | 370,464 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 400,000 | 422,750 | |
Providence Service 144A 5.875% 11/15/25 # | 375,000 | 382,266 | |
Surgery Center Holdings 144A 10.00% 4/15/27 # | 210,000 | 224,569 | |
Tenet Healthcare | |||
144A 6.125% 10/1/28 # | 225,000 | 218,953 | |
6.75% 6/15/23 | 225,000 | 237,496 | |
6.875% 11/15/31 | 355,000 | 356,264 | |
5,409,020 | |||
Insurance — 1.78% | |||
GTCR AP Finance 144A 8.00% 5/15/27 # | 125,000 | 133,438 | |
HUB International 144A 7.00% 5/1/26 # | 685,000 | 702,813 | |
USI 144A 6.875% 5/1/25 # | 605,000 | 617,472 | |
1,453,723 | |||
Media — 6.31% | |||
CCO Holdings | |||
144A 4.50% 8/15/30 # | 1,025,000 | 1,066,005 | |
144A 4.50% 5/1/32 # | 100,000 | 103,375 | |
144A 5.375% 6/1/29 # | 270,000 | 292,583 | |
CSC Holdings | |||
144A 4.625% 12/1/30 # | 580,000 | 580,647 | |
144A 5.75% 1/15/30 # | 770,000 | 824,131 | |
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 395,000 | 368,027 | |
Gray Television 144A 7.00% 5/15/27 # | 395,000 | 426,600 | |
Netflix 144A 4.875% 6/15/30 # | 225,000 | 257,203 | |
Nexstar Broadcasting | |||
144A 4.75% 11/1/28 # | 305,000 | 307,859 | |
144A 5.625% 7/15/27 # | 215,000 | 224,474 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Media (continued) | |||
Sirius XM Radio 144A 4.125% 7/1/30 # | 360,000 | $370,534 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 335,000 | 343,080 | |
5,164,518 | |||
Real Estate — 1.30% | |||
HAT Holdings I 144A 3.75% 9/15/30 # | 310,000 | 311,163 | |
Iron Mountain 144A 5.25% 7/15/30 # | 455,000 | 467,512 | |
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 260,000 | 280,982 | |
1,059,657 | |||
Services — 5.00% | |||
Clean Harbors 144A 5.125% 7/15/29 # | 230,000 | 250,669 | |
Covanta Holding | |||
5.00% 9/1/30 | 165,000 | 168,919 | |
6.00% 1/1/27 | 440,000 | 459,800 | |
Gartner 144A 4.50% 7/1/28 # | 330,000 | 344,919 | |
GFL Environmental 144A 4.25% 6/1/25 # | 210,000 | 214,594 | |
Prime Security Services Borrower | |||
144A 5.75% 4/15/26 # | 440,000 | 469,150 | |
144A 6.25% 1/15/28 # | 565,000 | 571,718 | |
Sabre GLBL | |||
144A 7.375% 9/1/25 # | 300,000 | 306,450 | |
144A 9.25% 4/15/25 # | 250,000 | 275,937 | |
Tms International Holding 144A 7.25% 8/15/25 # | 200,000 | 191,500 | |
United Rentals North America | |||
3.875% 2/15/31 | 435,000 | 440,166 | |
5.25% 1/15/30 | 365,000 | 396,253 | |
4,090,075 | |||
Technology & Electronics — 6.02% | |||
Banff Merger Sub 144A 9.75% 9/1/26 # | 395,000 | 415,738 | |
Black Knight InfoServ 144A 3.625% 9/1/28 # | 355,000 | 359,881 | |
BY Crown Parent | |||
144A 4.25% 1/31/26 # | 355,000 | 359,881 | |
144A 7.375% 10/15/24 # | 608,000 | 616,296 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology & Electronics (continued) | |||
Camelot Finance 144A 4.50% 11/1/26 # | 330,000 | $343,819 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 415,000 | 389,322 | |
Microchip Technology 144A 4.25% 9/1/25 # | 585,000 | 606,672 | |
Open Text Holdings 144A 4.125% 2/15/30 # | 519,000 | 539,418 | |
Shift4 Payments 144A 4.625% 11/1/26 # | 225,000 | 228,656 | |
SS&C Technologies 144A 5.50% 9/30/27 # | 628,000 | 668,242 | |
Verscend Escrow 144A 9.75% 8/15/26 # | 365,000 | 393,059 | |
4,920,984 | |||
Transportation — 2.37% | |||
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 375,000 | 409,615 | |
7.375% 1/15/26 | 360,000 | 372,468 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 260,000 | 271,212 | |
Southwest Airlines 5.125% 6/15/27 | 200,000 | 222,664 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 190,000 | 201,638 | |
Stena International 144A 6.125% 2/1/25 # | 200,000 | 188,500 | |
VistaJet Malta Finance 144A 10.50% 6/1/24 # | 285,000 | 271,462 | |
1,937,559 | |||
Utilities — 2.92% | |||
AES 5.125% 9/1/27 | 385,000 | 413,837 | |
Calpine | |||
144A 4.625% 2/1/29 # | 75,000 | 75,841 | |
144A 5.00% 2/1/31 # | 435,000 | 444,766 | |
PG&E 5.25% 7/1/30 | 810,000 | 811,012 | |
Vistra Operations | |||
144A 5.00% 7/31/27 # | 191,000 | 199,786 | |
144A 5.50% 9/1/26 # | 104,000 | 107,770 | |
144A 5.625% 2/15/27 # | 325,000 | 339,287 | |
2,392,299 | |||
Total Corporate Bonds (cost $70,645,562) | 72,260,986 | ||
Principal amount° | Value (US $) | ||
Loan Agreements — 5.46% | |||
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) 9/19/25 • | 634,290 | $639,444 | |
Apro 5.00% (LIBOR03M + 4.00%) 11/14/26 • | 133,485 | 132,484 | |
Blue Ribbon 1st Lien 5.00% (LIBOR01M + 4.00%) 11/15/21 • | 111,356 | 104,118 | |
Boxer Parent 4.398% (LIBOR01M + 4.25%) 10/2/25 • | 99,976 | 97,206 | |
BW Gas & Convenience Holdings 6.41% (LIBOR01M + 6.25%) 11/18/24 • | 349,328 | 349,328 | |
BWay Holding 3.479% (LIBOR03M + 3.25%) 4/3/24 • | 218,612 | 205,086 | |
Carnival 8.50% (LIBOR01M + 7.50%) 6/30/25 • | 214,463 | 216,071 | |
Epicor Software 2nd Lien 8.75% (LIBOR01M + 7.75%) 7/31/28 • | 266,000 | 271,985 | |
Frontier Communications 5.75% (LIBOR01M + 4.75%) 10/8/21 • | 165,000 | 163,350 | |
Granite US Holdings Tranche B 5.47% (LIBOR03M + 5.25%) 9/30/26 • | 321,890 | 302,576 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 349,125 | 348,689 | |
Informatica 2nd Lien 7.125% 2/14/25 | 350,000 | 355,688 | |
Merrill Communications Tranche B 1st Lien 6.00% (LIBOR06M + 5.00%) 10/5/26 • | 235,750 | 235,160 | |
Surgery Center Holdings 4.25% (LIBOR01M + 3.25%) 9/2/24 • | 184,125 | 174,957 | |
Ultimate Software Group 2nd Lien 7.50% (LIBOR03M + 6.75%) 5/3/27 • | 494,000 | 504,086 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Vantage Specialty Chemicals 2nd Lien 9.25% (LIBOR03M + 8.25%) 10/27/25 • | 185,000 | $144,589 | |
Verscend Holding Tranche B 4.648% (LIBOR01M + 4.50%) 8/27/25 • | 227,380 | 223,590 | |
Total Loan Agreements (cost $4,447,649) | 4,468,407 |
Number of shares | |||
Common Stock — 0.00% | |||
Communications — 0.00% | |||
Century Communications =, † | 60,000 | 0 | |
0 | |||
Total Common Stock (cost $1,816) | 0 | ||
Short-Term Investments — 5.72% | |||
Money Market Mutual Funds — 5.72% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 1,169,849 | 1,169,849 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 1,169,848 | 1,169,848 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 1,169,848 | 1,169,848 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 1,169,849 | 1,169,849 | |
Total Short-Term Investments (cost $4,679,394) | 4,679,394 | ||
Total Value of Securities—99.68% (cost $79,913,802) | $81,549,121 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2020, the aggregate value of Rule 144A securities was $46,739,724, which represents 57.13% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at October 31, 2020. Rate will reset at a future date. |
ψ | No contractual maturity date. |
> | PIK. 47% of the income received was in cash and 53% was in principal. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at October 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
= | 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.” |
† | Non-income producing security. |
Summary of abbreviations: |
DAC – Designated Activity Company |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
PIK – Payment-in-kind |
Summary of currencies: |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock – 98.03%Δ | |||
Brazil − 2.51% | |||
Hypera | 145,100 | $705,276 | |
Itau Unibanco Holding ADR | 23,779 | 97,256 | |
Suzano † | 83,300 | 718,465 | |
1,520,997 | |||
Canada − 0.91% | |||
Barrick Gold | 20,764 | 555,022 | |
555,022 | |||
China − 42.21% | |||
Alibaba Group Holding † | 161,280 | 6,111,524 | |
Baidu ADR † | 14,097 | 1,875,606 | |
China Medical System Holdings | 738,000 | 776,065 | |
China Merchants Bank Class H | 515,000 | 2,682,601 | |
China Mobile | 147,500 | 902,190 | |
CSPC Pharmaceutical Group | 1,288,960 | 1,368,780 | |
Hengan International Group | 124,500 | 868,457 | |
NetEase | 93,062 | 1,627,753 | |
Ping An Insurance Group Co. of China Class H | 281,000 | 2,905,448 | |
Tencent Holdings | 49,200 | 3,759,158 | |
Tingyi Cayman Islands Holding | 902,000 | 1,650,589 | |
Yum China Holdings | 20,515 | 1,092,013 | |
25,620,184 | |||
Hong Kong − 2.20% | |||
WH Group 144A # | 1,692,000 | 1,332,664 | |
1,332,664 | |||
India − 12.10% | |||
Bajaj Auto | 7,470 | 290,999 | |
HCL Technologies | 152,812 | 1,738,635 | |
Housing Development Finance | 64,349 | 1,669,422 | |
Infosys ADR | 109,745 | 1,566,061 | |
Reliance Industries | 74,969 | 2,078,500 | |
7,343,617 | |||
Indonesia − 1.53% | |||
Bank Rakyat Indonesia Persero | 4,107,200 | 929,755 | |
929,755 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Mexico − 1.35% | |||
Grupo Financiero Banorte Class O † | 183,724 | $819,381 | |
819,381 | |||
Peru − 0.91% | |||
Credicorp | 4,832 | 554,134 | |
554,134 | |||
Republic of Korea − 10.58% | |||
Korea Zinc | 1,047 | 354,103 | |
LG Chem | 1,568 | 855,001 | |
Samsung Electronics | 77,341 | 3,887,594 | |
Samsung Fire & Marine Insurance | 3,769 | 595,939 | |
Shinhan Financial Group † | 26,768 | 726,277 | |
6,418,914 | |||
Romania − 0.17% | |||
Societatea Nationala de Gaze Naturale ROMGAZ GDR ≥ | 17,355 | 102,395 | |
102,395 | |||
Russia − 2.88% | |||
Gazprom PJSC ADR | 150,869 | 577,988 | |
LUKOIL (London International Exchange) PJSC ADR | 15,966 | 816,871 | |
Polymetal International | 16,680 | 354,525 | |
1,749,384 | |||
Taiwan − 15.65% | |||
ASE Technology Holding | 600,000 | 1,346,740 | |
CTBC Financial Holding | 772,046 | 487,555 | |
Delta Electronics | 138,000 | 918,172 | |
Hon Hai Precision Industry | 560,000 | 1,518,793 | |
Taiwan Semiconductor Manufacturing | 345,588 | 5,228,634 | |
9,499,894 | |||
United Kingdom − 4.25% | |||
Mondi | 67,274 | 1,275,065 | |
Unilever | 23,101 | 1,302,290 | |
2,577,355 | |||
United States − 0.78% | |||
Micron Technology † | 9,412 | 473,800 | |
473,800 | |||
Total Common Stock (cost $50,784,783) | 59,497,496 | ||
Number of shares | Value (US $) | ||
Preferred Stocks – 1.81% | |||
Brazil − 0.69% | |||
Itausa 3.23% | 263,888 | $418,049 | |
418,049 | |||
Republic of Korea − 1.12% | |||
Samsung Electronics 2.65% | 15,351 | 682,888 | |
682,888 | |||
Total Preferred Stocks (cost $1,235,889) | 1,100,937 | ||
Short-Term Investments – 0.90% | |||
Money Market Mutual Funds – 0.90% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 136,424 | 136,424 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 136,425 | 136,425 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 136,425 | 136,425 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 136,425 | 136,425 | |
Total Short-Term Investments (cost $545,699) | 545,699 | ||
Total Value of Securities−100.74% (cost $52,566,371) | $61,144,132 |
Δ | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 33 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2020, the aggregate value of Rule 144A securities was $1,332,664, which represents 2.20% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
≥ | 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 October 31, 2020,the aggregate value of Regulation S securities was $102,395 which represents 0.17% of the Portfolio’s net assets. |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
SSB | GBP | 23,773 | USD | (30,820) | 11/2/20 | $— | $(21) |
Summary of abbreviations: |
ADR – American Depositary Receipt |
GDR – Global Depositary Receipt |
GS – Goldman Sachs |
PJSC – Private Joint Stock Company |
SSB – State Street Bank |
Summary of currencies: |
GBP – British Pound Sterling |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock – 100.27%Δ | |||
Argentina − 0.06% | |||
IRSA Inversiones y Representaciones ADR † | 8,000 | $29,360 | |
IRSA Propiedades Comerciales ADR | 301 | 2,438 | |
31,798 | |||
Bahrain − 0.02% | |||
Aluminium Bahrain GDR 144A # | 1,800 | 9,309 | |
9,309 | |||
Brazil − 6.07% | |||
B2W Cia Digital † | 110,000 | 1,436,645 | |
Banco Bradesco ADR | 67,971 | 237,899 | |
Banco Santander Brasil ADR | 28,000 | 155,120 | |
BRF ADR † | 52,300 | 154,808 | |
Itau Unibanco Holding ADR | 68,207 | 278,967 | |
Petroleo Brasileiro ADR | 31,600 | 209,508 | |
Rumo † | 4,100 | 12,983 | |
Telefonica Brasil ADR | 23,055 | 169,685 | |
TIM ADR | 16,000 | 164,800 | |
Vale ADR | 23,300 | 246,281 | |
3,066,696 | |||
Chile − 0.40% | |||
Sociedad Quimica y Minera de Chile ADR | 5,500 | 203,555 | |
203,555 | |||
China − 40.23% | |||
Alibaba Group Holding ADR † | 9,600 | 2,925,024 | |
Baidu ADR † | 4,650 | 618,682 | |
BeiGene † | 9,300 | 206,636 | |
China Mobile ADR | 26,219 | 805,710 | |
China Petroleum & Chemical Class H | 82,000 | 32,019 | |
China Petroleum & Chemical ADR | 4,470 | 175,805 | |
CNOOC ADR | 2,400 | 221,088 | |
Genscript Biotech † | 60,000 | 83,543 | |
iQIYI ADR † | 4,208 | 103,938 | |
JD.com ADR † | 38,000 | 3,097,760 | |
JHBP CY Holdings 144A #, † | 32,000 | 79,252 | |
JW Cayman Therapeutics † | 325,000 | 973,459 | |
Kunlun Energy | 176,000 | 113,943 | |
Kweichow Moutai Class A | 5,500 | 1,374,159 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
China (continued) | |||
Lufax Holding ADR † | 620 | $7,967 | |
Luzhou Laojiao Class A | 11,000 | 284,102 | |
Ping An Insurance Group Co. of China Class H | 60,500 | 625,550 | |
Prosus † | 2,600 | 259,574 | |
SINA † | 16,300 | 698,455 | |
Sohu.com ADR † | 16,800 | 316,512 | |
Tencent Holdings | 47,500 | 3,629,269 | |
Tencent Music Entertainment Group ADR † | 11 | 164 | |
Tianjin Development Holdings | 164,000 | 29,249 | |
Tingyi Cayman Islands Holding | 270,000 | 494,079 | |
Trip.com Group ADR † | 12,800 | 368,128 | |
Tsingtao Brewery Class H | 94,000 | 778,900 | |
Uni-President China Holdings | 465,000 | 402,793 | |
Weibo ADR † | 4,470 | 185,728 | |
Wuliangye Yibin Class A | 39,200 | 1,433,246 | |
20,324,734 | |||
India − 9.41% | |||
Reliance Industries GDR 144A # | 80,126 | 4,413,230 | |
Tata Chemicals | 28,827 | 125,238 | |
Tata Consumer Products | 32,862 | 218,356 | |
4,756,824 | |||
Indonesia − 2.02% | |||
Astra International | 587,700 | 214,612 | |
Bank Central Asia | 409,700 | 806,149 | |
1,020,761 | |||
Malaysia − 0.05% | |||
UEM Sunrise † | 308,500 | 27,509 | |
27,509 | |||
Mexico − 2.85% | |||
America Movil ADR Class L | 13,600 | 162,112 | |
Banco Santander Mexico ADR | 59,600 | 218,136 | |
Becle | 130,000 | 274,384 | |
Coca-Cola Femsa ADR | 9,700 | 367,533 | |
Grupo Financiero Banorte Class O † | 27,500 | 122,646 | |
Grupo Televisa ADR † | 46,200 | 293,832 | |
1,438,643 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Peru − 0.52% | |||
Cia de Minas Buenaventura ADR | 21,600 | $265,032 | |
265,032 | |||
Poland − 1.21% | |||
Allegro.eu 144A #, † | 30,000 | 609,685 | |
609,685 | |||
Republic of Korea − 16.69% | |||
Fila Holdings | 8,140 | 277,751 | |
LG Uplus | 18,000 | 176,212 | |
Samsung Electronics | 63,322 | 3,182,920 | |
SK Hynix | 35,162 | 2,494,494 | |
SK Telecom | 3,239 | 614,208 | |
SK Telecom ADR | 80,000 | 1,684,800 | |
8,430,385 | |||
Russia − 4.64% | |||
Etalon Group GDR 144A #, † | 4,800 | 7,752 | |
Gazprom PJSC ADR | 115,071 | 440,844 | |
LUKOIL (London International Exchange) PJSC ADR | 5,269 | 269,579 | |
Mail.Ru Group GDR † | 5,400 | 141,426 | |
Rosneft Oil PJSC GDR | 115,838 | 505,626 | |
Sberbank of Russia PJSC | 137,546 | 348,056 | |
X5 Retail Group GDR | 5,329 | 187,312 | |
Yandex Class A † | 7,720 | 444,440 | |
2,345,035 | |||
South Africa − 0.89% | |||
Naspers Class N † | 2,300 | 449,023 | |
449,023 | |||
Taiwan − 14.53% | |||
Hon Hai Precision Industry | 280,564 | 760,926 | |
MediaTek | 98,000 | 2,329,487 | |
Taiwan Semiconductor Manufacturing | 167,000 | 2,526,656 | |
Taiwan Semiconductor Manufacturing ADR | 15,200 | 1,274,824 | |
United Microelectronics ADR | 85,000 | 450,500 | |
7,342,393 | |||
Turkey − 0.68% | |||
Akbank T.A.S. † | 260,968 | 148,050 | |
Anadolu Efes Biracilik Ve Malt Sanayii | 25,218 | 58,590 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Turkey (continued) | |||
Turkcell Iletisim Hizmetleri ADR | 23,700 | $104,517 | |
Turkiye Sise ve Cam Fabrikalari | 42,425 | 30,953 | |
342,110 | |||
Total Common Stock (cost $36,986,294) | 50,663,492 | ||
Preferred Stocks – 0.54% | |||
Republic of Korea − 0.47% | |||
LG Electronics 2.41% | 8,325 | 237,117 | |
237,117 | |||
Russia − 0.07% | |||
Transneft PJSC | 20 | 33,256 | |
33,256 | |||
Total Preferred Stocks (cost $195,463) | 270,373 | ||
Short-Term Investments – 1.67% | |||
Money Market Mutual Funds – 1.67% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 210,988 | 210,988 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 210,988 | 210,988 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 210,988 | 210,988 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 210,988 | 210,988 | |
Total Short-Term Investments (cost $843,952) | 843,952 | ||
Total Value of Securities−102.48% (cost $38,025,709) | $51,777,817 |
Δ | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 34 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2020, the aggregate value of Rule 144A securities was $5,119,228, which represents 10.13% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
Foreign Currency Exchange Contracts | ||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||
BNYM | EUR | 214,727 | USD | (250,776) | 11/2/20 | $(678) |
Summary of abbreviations: |
ADR – American Depositary Receipt |
BNYM – Bank of New York Mellon |
GDR – Global Depositary Receipt |
GS – Goldman Sachs |
PJSC – Private Joint Stock Company |
Summary of currencies: |
EUR – European Monetary Unit |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock – 97.26%Δ | |||
Australia − 0.95% | |||
QBE Insurance Group | 302,803 | $1,751,014 | |
1,751,014 | |||
China/Hong Kong − 5.03% | |||
Jardine Matheson Holdings | 87,300 | 3,869,629 | |
WH Group 144A # | 6,912,500 | 5,444,470 | |
9,314,099 | |||
Denmark − 1.34% | |||
ISS † | 191,683 | 2,488,731 | |
2,488,731 | |||
France − 7.49% | |||
Cie de Saint-Gobain † | 146,887 | 5,721,767 | |
Dassault Aviation † | 955 | 799,007 | |
Sanofi | 62,653 | 5,657,152 | |
Societe Generale † | 125,610 | 1,706,777 | |
13,884,703 | |||
Germany − 6.97% | |||
Allianz | 26,024 | 4,584,248 | |
Bayerische Motoren Werke | 20,084 | 1,372,516 | |
Evonik Industries | 185,022 | 4,454,753 | |
Telefonica Deutschland Holding | 989,611 | 2,496,066 | |
12,907,583 | |||
Italy − 3.26% | |||
Enel | 482,557 | 3,836,572 | |
Eni | 313,385 | 2,195,277 | |
6,031,849 | |||
Japan − 31.69% | |||
Coca-Cola Bottlers Japan Holdings | 172,400 | 2,433,587 | |
Denso | 93,400 | 4,352,122 | |
FUJIFILM Holdings | 112,600 | 5,741,763 | |
Fujitsu | 24,500 | 2,898,708 | |
Honda Motor | 272,700 | 6,450,158 | |
Isuzu Motors | 33,500 | 271,802 | |
Kyocera | 123,400 | 6,795,946 | |
Mitsubishi Electric | 311,600 | 4,013,061 | |
Nippon Telegraph & Telephone | 168,000 | 3,534,022 | |
Otsuka Holdings | 97,500 | 3,611,064 | |
Sekisui Chemical | 212,700 | 3,315,635 | |
Sony | 70,700 | 5,894,010 | |
Takeda Pharmaceutical | 153,200 | 4,734,280 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Japan (continued) | |||
Tokio Marine Holdings | 82,500 | $3,687,315 | |
Toyota Industries | 15,300 | 988,738 | |
58,722,211 | |||
Netherlands − 0.18% | |||
Koninklijke Ahold Delhaize | 12,301 | 337,242 | |
337,242 | |||
Singapore − 4.20% | |||
Singapore Telecommunications | 1,856,900 | 2,760,326 | |
United Overseas Bank | 361,809 | 5,027,137 | |
7,787,463 | |||
Spain − 4.12% | |||
Banco Santander † | 2,285,465 | 4,576,775 | |
Naturgy Energy Group | 164,270 | 3,051,833 | |
7,628,608 | |||
Sweden − 2.78% | |||
Telia | 1,346,734 | 5,152,809 | |
5,152,809 | |||
Switzerland − 5.49% | |||
ABB | 200,977 | 4,876,711 | |
Novartis | 47,152 | 3,674,206 | |
Zurich Insurance Group | 4,865 | 1,615,889 | |
10,166,806 | |||
United Kingdom − 23.76% | |||
BP | 1,241,186 | 3,165,875 | |
CK Hutchison Holdings | 1,060,000 | 6,402,380 | |
GlaxoSmithKline | 260,664 | 4,352,697 | |
Kingfisher † | 1,290,116 | 4,797,926 | |
Lloyds Banking Group † | 12,269,718 | 4,467,487 | |
Royal Dutch Shell Class B | 391,124 | 4,716,698 | |
SSE | 353,490 | 5,797,057 | |
Tesco | 1,722,449 | 4,584,380 | |
Travis Perkins † | 134,536 | 1,847,756 | |
WPP | 486,767 | 3,887,948 | |
44,020,204 | |||
Total Common Stock (cost $214,164,878) | 180,193,322 | ||
Preferred Stocks – 0.60% | |||
Germany − 0.60% | |||
Bayerische Motoren Werke 5.24% | 21,626 | 1,118,140 | |
Total Preferred Stocks (cost $1,423,098) | 1,118,140 | ||
Number of shares | Value (US $) | ||
Short-Term Investments – 0.29% | |||
Money Market Mutual Funds – 0.29% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 136,493 | $136,493 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 136,492 | 136,492 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 136,492 | 136,492 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 136,492 | 136,492 | |
Total Short-Term Investments (cost $545,969) | 545,969 | ||
Total Value of Securities−98.15% (cost $216,133,945) | $181,857,431 |
Δ | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 35 in “Security type / country and sector allocations.” |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2020, the aggregate value of Rule 144A securities was $5,444,470, which represents 2.94% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
† | Non-income producing security. |
Summary of abbreviations: |
GS – Goldman Sachs |
Macquarie Large Cap Value Portfolio | Macquarie Core Plus Bond Portfolio | Macquarie High Yield Bond Portfolio | |||
Assets: | |||||
Investments, at value* | $38,178,139 | $149,711,258 | $81,549,121 | ||
Cash | 13,388 | 126,332 | 68,332 | ||
Cash collateral due from brokers | — | 74,593 | — | ||
Foreign currencies, at valueΔ | — | 74 | — | ||
Receivable for securities sold | 135,570 | 512,458 | 345,220 | ||
Dividends and interest receivable | 94,853 | 1,047,537 | 1,044,927 | ||
Variation margin due from broker on future contracts | — | 7,546 | — | ||
Swap payments receivable | — | 123 | — | ||
Total Assets | 38,421,950 | 151,479,921 | 83,007,600 | ||
Liabilities: | |||||
Payable for securities purchased | 257,994 | 1,354,672 | 1,130,000 | ||
Investment management fees payable to affiliates | 23,195 | 43,580 | 28,759 | ||
Accounting and administration fees payable to non-affiliates | 9,199 | 12,410 | 10,388 | ||
Audit and tax fees payable | 4,850 | 5,850 | 5,850 | ||
Other accrued expenses | 3,281 | 37,805 | 14,399 | ||
Accounting and administration expenses payable to affiliates | 454 | 775 | 577 | ||
Custody fees payable | 393 | 4,219 | 2,083 | ||
Legal fees payable to non-affiliates | 342 | 951 | 421 | ||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 254 | 958 | 523 | ||
Trustees' fees and expenses payable | 154 | 591 | 320 | ||
Legal fees payable to affiliates | 107 | 620 | 221 | ||
Reports and statements to shareholders expenses payable to affiliates | 39 | 152 | 83 | ||
Unrealized depreciation on foreign currency exchange contracts | — | 4,818 | — | ||
Total Liabilities | 300,262 | 1,467,401 | 1,193,624 | ||
Total Net Assets | $38,121,688 | $150,012,520 | $81,813,976 | ||
Net Assets Consist of: | |||||
Paid-in capital | 40,824,151 | 135,942,889 | 93,932,681 | ||
Total distributable earnings (loss) | (2,702,463) | 14,069,631 | (12,118,705) | ||
Total Net Assets | $38,121,688 | $150,012,520 | $81,813,976 | ||
Net Asset Value | |||||
Portfolio Class: | |||||
Net assets | $38,121,688 | $150,012,520 | $81,813,976 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,583,928 | 13,855,890 | 10,960,792 | ||
Net asset value per share | $14.75 | $10.83 | $7.46 | ||
*Investments, at cost | $37,701,720 | $145,025,849 | $79,913,802 | ||
ΔForeign currencies, at cost | — | 89 | — |
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | |||
Assets: | |||||
Investments, at value* | $61,144,132 | $51,777,817 | $181,857,431 | ||
Foreign currencies, at valueΔ | 29,708 | 22,951 | 64,893 | ||
Receivable for securities sold | 55,363 | 78,041 | — | ||
Dividends and interest receivable | 79,853 | 84,244 | 865,988 | ||
Foreign tax reclaims receivable | 2,673 | 859 | 2,742,066 | ||
Total Assets | 61,311,729 | 51,963,912 | 185,530,378 | ||
Liabilities: | |||||
Due to custodian | 181 | 28 | — | ||
Capital gains tax payable | 359,576 | 19,566 | — | ||
Payable for securities purchased | 118,948 | 1,344,279 | — | ||
Investment management fees payable to affiliates | 53,588 | 44,124 | 127,476 | ||
Other liabilities | 37,755 | — | — | ||
Custody fees payable | 20,599 | 6,748 | 35,503 | ||
Accounting and administration fees payable to non-affiliates | 9,667 | 9,433 | 13,754 | ||
Audit and tax fees payable | 6,610 | 6,610 | 6,610 | ||
Other accrued expenses | 6,032 | 4,868 | 16,028 | ||
Accounting and administration expenses payable to affiliates | 518 | 488 | 919 | ||
Legal fees payable to non-affiliates | 424 | 198 | 2,147 | ||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 393 | 327 | 1,275 | ||
Trustees' fees and expenses payable | 237 | 196 | 1,041 | ||
Legal fees payable to affiliates | 163 | 135 | 718 | ||
Reports and statements to shareholders expenses payable to affiliates | 62 | 51 | 188 | ||
Unrealized depreciation on foreign currency exchange contracts | 21 | 678 | — | ||
Payable for fund shares redeemed | — | — | 44,216 | ||
Total Liabilities | 614,774 | 1,437,729 | 249,875 | ||
Total Net Assets | $60,696,955 | $50,526,183 | $185,280,503 | ||
Net Assets Consist of: | |||||
Paid-in capital | 104,640,655 | 35,280,158 | 275,718,647 | ||
Total distributable earnings (loss) | (43,943,700) | 15,246,025 | (90,438,144) | ||
Total Net Assets | $60,696,955 | $50,526,183 | $185,280,503 | ||
Net Asset Value | |||||
Portfolio Class: | |||||
Net assets | $60,696,955 | $50,526,183 | $185,280,503 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 7,476,107 | 4,429,633 | 16,701,408 | ||
Net asset value per share | $8.12 | $11.41 | $11.09 | ||
*Investments, at cost | $52,566,371 | $38,025,709 | $216,133,945 | ||
ΔForeign currencies, at cost | 29,796 | 22,655 | 64,914 |
Macquarie Large Cap Value Portfolio | Macquarie Core Plus Bond Portfolio | Macquarie High Yield Bond Portfolio | |||
Investment Income: | |||||
Dividends | $1,194,755 | $21,937 | $38,544 | ||
Interest | — | 4,531,992 | 5,531,331 | ||
1,194,755 | 4,553,929 | 5,569,875 | |||
Expenses: | |||||
Management fees | 236,287 | 620,441 | 442,693 | ||
Accounting and administration expenses | 46,075 | 64,807 | 55,231 | ||
Audit and tax fees | 34,200 | 45,695 | 43,272 | ||
Registration fees | 15,201 | 17,751 | 13,213 | ||
Reports and statements to shareholders expenses | 8,106 | 14,339 | 11,821 | ||
Legal fees | 5,800 | 24,115 | 10,932 | ||
Dividend disbursing and transfer agent fees and expenses | 5,418 | 18,215 | 12,515 | ||
Trustees' fees and expenses | 2,498 | 8,454 | 5,690 | ||
Custodian fees | 2,262 | 14,922 | 6,930 | ||
Other | 5,535 | 61,094 | 25,341 | ||
361,382 | 889,833 | 627,638 | |||
Less expenses waived | (60,528) | (239,447) | (46,651) | ||
Less expenses paid indirectly | (47) | (974) | (385) | ||
Total operating expenses | 300,807 | 649,412 | 580,602 | ||
Net Investment Income | 893,948 | 3,904,517 | 4,989,273 | ||
Net Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments | (2,347,600) | 5,576,765 | (238,813) | ||
Foreign currency exchange contracts | — | 33,351 | — | ||
Futures contracts | — | 538,562 | — | ||
Swap contracts | — | 52,786 | — | ||
Net realized gain (loss) | (2,347,600) | 6,201,464 | (238,813) | ||
Net change in unrealized appreciation (depreciation) of: | |||||
Investments | (3,397,427) | 372,177 | (573,782) | ||
Foreign currencies | — | (7) | — | ||
Foreign currency exchange contracts | — | (4,818) | — | ||
Futures contracts | — | 165,504 | — | ||
Swap contracts | — | (27,625) | — | ||
Net change in unrealized appreciation (depreciation) | (3,397,427) | 505,231 | (573,782) | ||
Net Realized and Unrealized Gain (Loss) | (5,745,027) | 6,706,695 | (812,595) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $(4,851,079) | $10,611,212 | $4,176,678 |
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | |||
Investment Income: | |||||
Dividends | $2,222,724 | $1,112,412 | $11,743,328 | ||
Interest | — | 14 | — | ||
Foreign tax withheld | (229,366) | (151,895) | (812,717) | ||
1,993,358 | 960,531 | 10,930,611 | |||
Expenses: | |||||
Management fees | 726,648 | 441,290 | 2,689,434 | ||
Accounting and administration expenses | 50,962 | 46,275 | 97,848 | ||
Audit and tax fees | 45,410 | 43,990 | 40,822 | ||
Registration fees | 12,813 | 20,384 | 14,313 | ||
Reports and statements to shareholders expenses | 11,818 | 9,523 | 27,951 | ||
Legal fees | 11,469 | 7,545 | 47,602 | ||
Dividend disbursing and transfer agent fees and expenses | 9,200 | 5,687 | 45,691 | ||
Trustees' fees and expenses | 4,199 | 2,482 | 21,186 | ||
Custodian fees | 48,247 | 18,076 | 96,161 | ||
Other | 12,362 | 10,901 | 20,511 | ||
933,128 | 606,153 | 3,101,519 | |||
Less expenses waived | (20,644) | (76,864) | — | ||
Less expenses paid indirectly | (100) | (3) | (131) | ||
Total operating expenses | 912,384 | 529,286 | 3,101,388 | ||
Net Investment Income | 1,080,974 | 431,245 | 7,829,223 | ||
Net Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments1 | (6,070,673) | 2,085,583 | (59,167,154) | ||
Foreign currencies | (5,467) | (12,097) | (172,886) | ||
Foreign currency exchange contracts | (20,282) | (2,583) | 182,901 | ||
Net realized gain (loss) | (6,096,422) | 2,070,903 | (59,157,139) | ||
Net change in unrealized appreciation (depreciation) of: | |||||
Investments2 | 4,772,311 | 6,223,697 | (27,461,000) | ||
Foreign currencies | 13,726 | (6,286) | 121,582 | ||
Foreign currency exchange contracts | 219 | (678) | — | ||
Net change in unrealized appreciation (depreciation) | 4,786,256 | 6,216,733 | (27,339,418) | ||
Net Realized and Unrealized Gain (Loss) | (1,310,166) | 8,287,636 | (86,496,557) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $(229,192) | $8,718,881 | $(78,667,334) |
1 | Includes $30,711 and $28,275 capital gains taxes paid for Macquarie Emerging Markets Portfolio and Macquarie Emerging Markets Portfolio II, respectively. |
2 | Includes increase of $359,576 and $19,566 capital gains tax accrued for Macquarie Emerging Markets Portfolio and Macquarie Emerging Markets Portfolio II, respectively. |
Macquarie Large Cap Value Portfolio | Macquarie Core Plus Bond Portfolio | Macquarie High Yield Bond Portfolio | |||||||||
Year ended | Year ended | Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/20 | 10/31/19 | 10/31/20 | 10/31/19 | ||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||
Net investment income | $893,948 | $1,593,152 | $3,904,517 | $7,148,873 | $4,989,273 | $4,816,788 | |||||
Net realized gain (loss) | (2,347,600) | 15,010,935 | 6,201,464 | 9,066,612 | (238,813) | (1,775,959) | |||||
Net change in unrealized appreciation (depreciation) | (3,397,427) | (10,895,342) | 505,231 | 9,002,812 | (573,782) | 4,237,006 | |||||
Net increase (decrease) in net assets resulting from operations | (4,851,079) | 5,708,745 | 10,611,212 | 25,218,297 | 4,176,678 | 7,277,835 | |||||
Dividends and Distributions to Shareholders from: | |||||||||||
Distributable earnings | (16,233,720) | (15,681,359) | (9,512,846) | (6,188,506) | (5,146,771) | (5,358,591) | |||||
Total Distributions to Shareholders | (16,233,720) | (15,681,359) | (9,512,846) | (6,188,506) | (5,146,771) | (5,358,591) | |||||
Capital Share Transactions: | |||||||||||
Proceeds from shares sold | 200,000 | 5,809,335 | 5,000,000 | 11,000,000 | 6,902,251 | 16,923,230 | |||||
Net asset value of shares issued upon reinvestment of dividends and distributions | 16,233,706 | 11,999,850 | 8,823,891 | 5,949,588 | 5,006,864 | 5,094,940 | |||||
16,433,706 | 17,809,185 | 13,823,891 | 16,949,588 | 11,909,115 | 22,018,170 | ||||||
Cost of shares redeemed | (5,060,168) | (66,834,629) | (29,706,234) | (91,234,036) | (28,519,176) | (2,278,945) | |||||
Increase (decrease) in net assets derived from capital share transactions | 11,373,538 | (49,025,444) | (15,882,343) | (74,284,448) | (16,610,061) | 19,739,225 | |||||
Net Increase (Decrease) in Net Assets | (9,711,261) | (58,998,058) | (14,783,977) | (55,254,657) | (17,580,154) | 21,658,469 | |||||
Net Assets: | |||||||||||
Beginning of year | 47,832,949 | 106,831,007 | 164,796,497 | 220,051,154 | 99,394,130 | 77,735,661 | |||||
End of year | $38,121,688 | $47,832,949 | $150,012,520 | $164,796,497 | $81,813,976 | $99,394,130 |
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | |||||||||
Year ended | Year ended | Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/20 | 10/31/19 | 10/31/20 | 10/31/19 | ||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||
Net investment income | $1,080,974 | $1,731,297 | $431,245 | $390,665 | $7,829,223 | $14,384,737 | |||||
Net realized gain (loss) | (6,096,422) | (3,616,127) | 2,070,903 | 834,237 | (59,157,139) | 8,119,446 | |||||
Net change in unrealized appreciation (depreciation) | 4,786,256 | 9,277,833 | 6,216,733 | 4,505,867 | (27,339,418) | 12,033,193 | |||||
Net increase (decrease) in net assets resulting from operations | (229,192) | 7,393,003 | 8,718,881 | 5,730,769 | (78,667,334) | 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) | |||||
Total Distributions to Shareholders | (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 | 6,031,060 | 190,688 | — | 10,000,000 | 12,297,533 | 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 | |||||
7,667,745 | 1,712,049 | 1,233,499 | 11,404,091 | 34,838,102 | 35,981,500 | ||||||
Cost of shares redeemed | (25,037,925) | (7,081,300) | (405,000) | (732,048) | (202,377,671) | (9,891,027) | |||||
Redemption reimbursement fees | 112,481 | 31,858 | — | — | — | — | |||||
(24,925,444) | (7,049,442) | (405,000) | (732,048) | (202,377,671) | (9,891,027) | ||||||
Increase (decrease) in net assets derived from capital share transactions | (17,257,699) | (5,337,393) | 828,499 | 10,672,043 | (167,539,569) | 26,090,473 | |||||
Net Increase (Decrease) in Net Assets | (19,167,319) | 401,281 | 8,303,699 | 14,993,489 | (268,747,473) | 48,104,783 | |||||
Net Assets: | |||||||||||
Beginning of year | 79,864,274 | 79,462,993 | 42,222,484 | 27,228,995 | 454,027,976 | 405,923,193 | |||||
End of year | $60,696,955 | $79,864,274 | $50,526,183 | $42,222,484 | $185,280,503 | $454,027,976 |
Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||
Net asset value, beginning of period | $24.35 | $27.03 | $28.54 | $26.39 | $27.30 | ||||
Income (loss) from investment operations | |||||||||
Net investment income1 | 0.34 | 0.46 | 0.46 | 0.47 | 0.51 | ||||
Net realized and unrealized gain (loss) | (1.67) | 0.83 | 1.97 | 3.09 | 1.19 | ||||
Total from investment operations | (1.33) | 1.29 | 2.43 | 3.56 | 1.70 | ||||
Less dividends and distributions from: | |||||||||
Net investment income | (0.73) | (0.51) | (0.66) | (0.51) | (0.56) | ||||
Net realized gain | (7.54) | (3.46) | (3.28) | (0.90) | (2.05) | ||||
Total dividends and distributions | (8.27) | (3.97) | (3.94) | (1.41) | (2.61) | ||||
Net asset value, end of period | $14.75 | $24.35 | $27.03 | $28.54 | $26.39 | ||||
Total return2 | (10.30%)3 | 6.70%3 | 9.00% | 13.83% | 7.15% | ||||
Ratios and supplemental data: | |||||||||
Net assets, end of period (000 omitted) | $38,122 | $47,833 | $106,831 | $168,868 | $217,128 | ||||
Ratio of expenses to average net assets4 | 0.70% | 0.70% | 0.70% | 0.66% | 0.65% | ||||
Ratio of expenses to average net assets prior to fees waived4 | 0.84% | 0.75% | 0.70% | 0.66% | 0.65% | ||||
Ratio of net investment income to average net assets | 2.08% | 1.93% | 1.68% | 1.74% | 1.97% | ||||
Ratio of net investment income to average net assets prior to fees waived | 1.94% | 1.88% | 1.68% | 1.74% | 1.97% | ||||
Portfolio turnover | 24% | 23% | 16% | 23% | 13% |
1 | The average shares outstanding method has been applied for per share information. |
2 | 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. |
3 | Total Return 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. |
Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||
Net asset value, beginning of period | $10.74 | $9.87 | $10.41 | $10.42 | $10.29 | ||||
Income (loss) from investment operations | |||||||||
Net investment income1 | 0.28 | 0.33 | 0.32 | 0.32 | 0.22 | ||||
Net realized and unrealized gain (loss) | 0.51 | 0.83 | (0.55) | (0.06) | 0.14 | ||||
Total from investment operations | 0.79 | 1.16 | (0.23) | 0.26 | 0.36 | ||||
Less dividends and distributions from: | |||||||||
Net investment income | (0.50) | (0.29) | (0.31) | (0.27) | (0.23) | ||||
Net realized gain | (0.20) | — | — | — | —2 | ||||
Total dividends and distributions | (0.70) | (0.29) | (0.31) | (0.27) | (0.23) | ||||
Net asset value, end of period | $10.83 | $10.74 | $9.87 | $10.41 | $10.42 | ||||
Total return3 | 7.92% | 12.12%4 | (2.29%) | 2.60% | 3.63% | ||||
Ratios and supplemental data: | |||||||||
Net assets, end of period (000 omitted) | $150,013 | $164,796 | $220,051 | $168,242 | $133,265 | ||||
Ratio of expenses to average net assets5 | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | ||||
Ratio of expenses to average net assets prior to fees waived5 | 0.62% | 0.59% | 0.58% | 0.60% | 0.60% | ||||
Ratio of net investment income to average net assets | 2.71% | 3.19% | 3.22% | 3.08% | 2.12% | ||||
Ratio of net investment income to average net assets prior to fees waived | 2.54% | 3.05% | 3.09% | 2.93% | 1.97% | ||||
Portfolio turnover | 108% | 177% | 171% | 162% | 310% |
1 | The average shares outstanding method has been applied for per share information. |
2 | For the year ended October 31, 2016, net realized gain distributions of $51,289 were made by the Portfolio, which calculated to an amount of $(0.004) per share. |
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 | 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 13 in “Notes to financial statements.” |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||
Net asset value, beginning of period | $7.53 | $7.46 | $8.09 | $7.88 | $7.78 | ||||
Income (loss) from investment operations | |||||||||
Net investment income1 | 0.37 | 0.40 | 0.42 | 0.43 | 0.45 | ||||
Net realized and unrealized gain (loss) | (0.05) | 0.18 | (0.48) | 0.23 | 0.02 | ||||
Total from investment operations | 0.32 | 0.58 | (0.06) | 0.66 | 0.47 | ||||
Less dividends and distributions from: | |||||||||
Net investment income | (0.39) | (0.51) | (0.57) | (0.45) | (0.37) | ||||
Net realized gain | — | — | — | — | — | ||||
Total dividends and distributions | (0.39) | (0.51) | (0.57) | (0.45) | (0.37) | ||||
Net asset value, end of period | $7.46 | $7.53 | $7.46 | $8.09 | $7.88 | ||||
Total return2 | 4.38%3 | 8.60%3, 4 | (0.77%)3 | 8.88%3 | 6.63% | ||||
Ratios and supplemental data: | |||||||||
Net assets, end of period (000 omitted) | $81,814 | $99,394 | $77,736 | $113,273 | $242,300 | ||||
Ratio of expenses to average net assets5 | 0.59% | 0.59% | 0.59% | 0.57% | 0.55% | ||||
Ratio of expenses to average net assets prior to fees waived5 | 0.64% | 0.65% | 0.62% | 0.58% | 0.55% | ||||
Ratio of net investment income to average net assets | 5.07% | 5.49% | 5.49% | 5.58% | 6.10% | ||||
Ratio of net investment income to average net assets prior to fees waived | 5.02% | 5.43% | 5.46% | 5.57% | 6.10% | ||||
Portfolio turnover | 127% | 82% | 112% | 99% | 119% |
1 | The average shares outstanding method has been applied for per share information. |
2 | 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. |
3 | Total Return reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | 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 13 in “Notes to financial statements.” |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||
Net asset value, beginning of period | $8.11 | $7.56 | $8.76 | $7.77 | $7.47 | ||||
Income (loss) from investment operations | |||||||||
Net investment income1 | 0.12 | 0.17 | 0.20 | 0.18 | 0.18 | ||||
Net realized and unrealized gain (loss) | 0.05 | 0.54 | (1.08) | 1.05 | 0.29 | ||||
Total from investment operations | 0.17 | 0.71 | (0.88) | 1.23 | 0.47 | ||||
Less dividends and distributions from: | |||||||||
Net investment income | (0.17) | (0.16) | (0.34) | (0.26) | (0.18) | ||||
Net realized gain | — | — | — | — | — | ||||
Total dividends and distributions | (0.17) | (0.16) | (0.34) | (0.26) | (0.18) | ||||
Reimbursement fees | |||||||||
Purchase reimbursement fees1, 2 | —3 | —4 | —5 | 0.01 | —6 | ||||
Redemption reimbursement fees1, 2 | 0.01 | —4 | 0.02 | 0.01 | 0.01 | ||||
Total Reimbursement fees | 0.01 | — | 0.02 | 0.02 | 0.01 | ||||
Net asset value, end of period | $8.12 | $8.11 | $7.56 | $8.76 | $7.77 | ||||
Total return7 | 2.16%8 | 9.62% | (10.28%) | 16.88% | 6.75% | ||||
Ratios and supplemental data: | |||||||||
Net assets, end of period (000 omitted) | $60,697 | $79,864 | $79,463 | $136,678 | $133,828 | ||||
Ratio of expenses to average net assets9 | 1.26% | 1.30% | 1.26% | 1.22% | 1.19% | ||||
Ratio of expenses to average net assets prior to fees waived9 | 1.28% | 1.30% | 1.26% | 1.22% | 1.19% | ||||
Ratio of net investment income to average net assets | 1.48% | 2.19% | 2.31% | 2.24% | 2.51% | ||||
Ratio of net investment income to average net assets prior to fees waived | 1.46% | 2.19% | 2.31% | 2.24% | 2.51% | ||||
Portfolio turnover | 43% | 33% | 40% | 45% | 28% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Effective February 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. |
3 | For the year ended October 31, 2020, purchase reimbursement fees of $24,027 were earned by the Portfolio, which calculated to an amount of $0.003 per share. |
4 | For the year ended October 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. |
5 | For the year ended October 31, 2018, purchase reimbursement fees of $5,924 were earned by the Portfolio, which calculated to an amount of $0.0004 per share. |
6 | For the year ended October 31, 2016, purchase reimbursement fees of $42,620 were earned by the Portfolio, which calculated to an amount of $0.002 per share. |
7 | 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. |
8 | Total Return reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
9 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||
Net asset value, beginning of period | $9.71 | $8.78 | $10.74 | $8.01 | $7.37 | ||||
Income (loss) from investment operations | |||||||||
Net investment income1 | 0.10 | 0.09 | 0.08 | 0.12 | 0.07 | ||||
Net realized and unrealized gain (loss) | 1.89 | 1.30 | (1.77) | 2.70 | 0.88 | ||||
Total from investment operations | 1.99 | 1.39 | (1.69) | 2.82 | 0.95 | ||||
Less dividends and distributions from: | |||||||||
Net investment income | (0.09) | (0.05) | (0.27) | (0.09) | (0.08) | ||||
Net realized gain | (0.20) | (0.41) | — | — | (0.23) | ||||
Total dividends and distributions | (0.29) | (0.46) | (0.27) | (0.09) | (0.31) | ||||
Net asset value, end of period | $11.41 | $9.71 | $8.78 | $10.74 | $8.01 | ||||
Total return2 | 20.79% | 16.74% | (16.13%) | 35.74% | 13.62% | ||||
Ratios and supplemental data: | |||||||||
Net assets, end of period (000 omitted) | $50,526 | $42,222 | $27,229 | $46,046 | $37,198 | ||||
Ratio of expenses to average net assets3 | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% | ||||
Ratio of expenses to average net assets prior to fees waived3 | 1.37% | 1.42% | 1.42% | 1.32% | 1.34% | ||||
Ratio of net investment income to average net assets | 0.98% | 1.03% | 0.80% | 1.34% | 0.97% | ||||
Ratio of net investment income to average net assets prior to fees waived | 0.81% | 0.81% | 0.58% | 1.22% | 0.83% | ||||
Portfolio turnover | 17% | 9% | 12% | 14% | 20% |
1 | The average shares outstanding method has been applied for per share information. |
2 | 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
Year ended | |||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | |||||
Net asset value, beginning of period | $14.39 | $13.74 | $15.21 | $12.83 | $13.79 | ||||
Income (loss) from investment operations | |||||||||
Net investment income1 | 0.27 | 0.47 | 0.44 | 0.41 | 0.43 | ||||
Net realized and unrealized gain (loss) | (2.84) | 0.60 | (1.47) | 2.35 | (1.02) | ||||
Total from investment operations | (2.57) | 1.07 | (1.03) | 2.76 | (0.59) | ||||
Less dividends and distributions from: | |||||||||
Net investment income | (0.51) | (0.42) | (0.44) | (0.38) | (0.37) | ||||
Net realized gain | (0.22) | — | — | — | — | ||||
Total dividends and distributions | (0.73) | (0.42) | (0.44) | (0.38) | (0.37) | ||||
Net asset value, end of period | $11.09 | $14.39 | $13.74 | $15.21 | $12.83 | ||||
Total return2 | (19.01%) | 8.23% | (7.02%) | 22.13% | (4.24%) | ||||
Ratios and supplemental data: | |||||||||
Net assets, end of period (000 omitted) | $185,281 | $454,028 | $405,923 | $490,273 | $394,830 | ||||
Ratio of expenses to average net assets3 | 0.86% | 0.86% | 0.87% | 0.86% | 0.86% | ||||
Ratio of net investment income to average net assets | 2.18% | 3.44% | 2.96% | 2.96% | 3.39% | ||||
Portfolio turnover | 14% | 16% | 20% | 21% | 22% |
1 | The average shares outstanding method has been applied for per share information. |
2 | 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Portfolio invests. |
Fund | Custody credits | |
Macquarie Large Cap Value Portfolio | $45 | |
Macquarie Core Plus Bond Portfolio | 972 | |
Macquarie High Yield Bond Portfolio | 384 | |
Macquarie Emerging Markets Portfolio | 98 | |
Macquarie Emerging Markets Portfolio II | 1 | |
Macquarie Labor Select International Equity Portfolio | 127 |
Fund | Earnings Credits | |
Macquarie Large Cap Value Portfolio | $2 | |
Macquarie Core Plus Bond Portfolio | 2 | |
Macquarie High Yield Bond Portfolio | 1 | |
Macquarie Emerging Markets Portfolio | 2 | |
Macquarie Emerging Markets Portfolio II | 2 | |
Macquarie Labor Select International Equity Portfolio | 4 |
Fund | Management fee as a percentage of average daily net assets (per annum) | Contractual operating expense limitation as a percentage of average daily 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 |
Fund | Fees | |
Macquarie Large Cap Value Portfolio | $5,466 | |
Macquarie Core Plus Bond Portfolio | 8,928 | |
Macquarie High Yield Bond Portfolio | 7,360 | |
Macquarie Emerging Markets Portfolio | 6,479 | |
Macquarie Emerging Markets Portfolio II | 5,507 | |
Macquarie Labor Select International Equity Portfolio | 16,213 |
Fund | Fees | |
Macquarie Large Cap Value Portfolio | $3,222 | |
Macquarie Core Plus Bond Portfolio | 10,822 | |
Macquarie High Yield Bond Portfolio | 7,378 | |
Macquarie Emerging Markets Portfolio | 5,450 | |
Macquarie Emerging Markets Portfolio II | 3,310 | |
Macquarie Labor Select International Equity Portfolio | 26,894 |
Fund | Fees | |
Macquarie Large Cap Value Portfolio | $1,885 | |
Macquarie Core Plus Bond Portfolio | 11,019 | |
Macquarie High Yield Bond Portfolio | 4,384 | |
Macquarie Emerging Markets Portfolio | 5,184 | |
Macquarie Emerging Markets Portfolio II | 3,924 | |
Macquarie Labor Select International Equity Portfolio | 15,893 |
Fund | 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 | $9,997,979 | $— | $13,712,470 | $— | ||||
Macquarie Core Plus Bond Portfolio | 76,240,795 | 81,603,152 | 96,329,681 | 138,558,545 | ||||
Macquarie High Yield Bond Portfolio | 115,048,880 | — | 132,493,219 | — | ||||
Macquarie Emerging Markets Portfolio | 30,448,520 | — | 48,516,437 | — | ||||
Macquarie Emerging Markets Portfolio II | 7,936,474 | — | 7,227,255 | — | ||||
Macquarie Labor Select International Equity Portfolio | 49,205,228 | — | 226,980,611 | — |
Fund | 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 | $38,395,171 | $3,098,127 | $(3,315,159) | $(217,032) | ||||
Macquarie Core Plus Bond Portfolio | 145,134,954 | 5,768,976 | (1,145,965) | 4,623,011 | ||||
Macquarie High Yield Bond Portfolio | 80,032,389 | 2,752,474 | (1,235,742) | 1,516,732 | ||||
Macquarie Emerging Markets Portfolio | 53,855,126 | 13,098,948 | (5,809,963) | 7,288,985 | ||||
Macquarie Emerging Markets Portfolio II | 38,999,154 | 19,640,808 | (6,862,823) | 12,777,985 | ||||
Macquarie Labor Select International Equity Portfolio | 221,887,625 | 13,999,721 | (54,029,915) | (40,030,194) |
Macquarie Large Cap Value Portfolio | |
Level 1 | |
Securities | |
Assets: | |
Common Stock | $37,698,140 |
Short-Term Investments | 479,999 |
Total Value of Securities | $38,178,139 |
Macquarie Core Plus Bond Portfolio | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Securities | |||||||||||||
Assets: | |||||||||||||
Agency Collateralized Mortgage Obligations | $— | $2,060,216 | $— | $2,060,216 | |||||||||
Agency Commercial Mortgage-Backed Securities | — | 1,862,733 | — | 1,862,733 | |||||||||
Agency Mortgage-Backed Securities | — | 16,429,821 | — | 16,429,821 | |||||||||
Collateralized Debt Obligations | — | 2,853,584 | — | 2,853,584 | |||||||||
Corporate Bonds | — | 78,205,657 | — | 78,205,657 | |||||||||
Loan Agreements1 | — | 7,490,172 | 65,000 | 7,555,172 | |||||||||
Municipal Bond | — | 37,737 | — | 37,737 | |||||||||
Non-Agency Asset-Backed Securities | — | 2,876,324 | — | 2,876,324 | |||||||||
Non-Agency Collateralized Mortgage Obligations | — | 3,222,223 | — | 3,222,223 | |||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 11,161,802 | — | 11,161,802 | |||||||||
Sovereign Bonds | — | 4,804,484 | — | 4,804,484 | |||||||||
Supranational Bank | — | 419,028 | — | 419,028 | |||||||||
US Treasury Obligations | — | 16,671,580 | — | 16,671,580 | |||||||||
Short-Term Investments | 1,550,897 | — | — | 1,550,897 | |||||||||
Total Value of Securities | $1,550,897 | $148,095,361 | $65,000 | $149,711,258 | |||||||||
Derivatives2 | |||||||||||||
Assets: | |||||||||||||
Futures Contracts | $105,579 | $— | $— | $105,579 | |||||||||
Liabilities: | |||||||||||||
Foreign Currency Exchange Contracts | $— | $(4,818) | $— | $(4,818) | |||||||||
Futures Contracts | (54,054) | — | — | (54,054) |
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total market value of these security types: |
Level 1 | Level 2 | Level 3 | Total | ||||
Loan Agreements | — | 99.14% | 0.86% | 100.00% |
Macquarie High Yield Bond Portfolio | ||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||
Securities | ||||||||||
Assets: | ||||||||||
Common Stock | $— | $— | $— | $— | ||||||
Convertible Bond | — | 140,334 | — | 140,334 | ||||||
Corporate Bonds | — | 72,260,986 | — | 72,260,986 |
Macquarie High Yield Bond Portfolio | |||||||
Level 1 | Level 2 | Level 3 | Total | ||||
Loan Agreements | $— | $4,468,407 | $— | $4,468,407 | |||
Short-Term Investments | 4,679,394 | — | — | 4,679,394 | |||
Total Value of Securities | $4,679,394 | $76,869,727 | $— | $81,549,121 |
Macquarie Emerging Markets Portfolio | ||||||||||
Level 1 | Level 2 | Total | ||||||||
Securities | ||||||||||
Assets: | ||||||||||
Common Stock | ||||||||||
Brazil | $1,520,997 | $— | $1,520,997 | |||||||
Canada | 555,022 | — | 555,022 | |||||||
China | 2,967,619 | 22,652,565 | 25,620,184 | |||||||
Hong Kong | — | 1,332,664 | 1,332,664 | |||||||
India | 1,566,061 | 5,777,556 | 7,343,617 | |||||||
Indonesia | — | 929,755 | 929,755 | |||||||
Mexico | 819,381 | — | 819,381 | |||||||
Peru | 554,134 | — | 554,134 | |||||||
Republic of Korea | — | 6,418,914 | 6,418,914 | |||||||
Romania | 102,395 | — | 102,395 | |||||||
Russia | — | 1,749,384 | 1,749,384 | |||||||
Taiwan | — | 9,499,894 | 9,499,894 | |||||||
United Kingdom | — | 2,577,355 | 2,577,355 | |||||||
United States | 473,800 | — | 473,800 | |||||||
Preferred Stock1 | 418,049 | 682,888 | 1,100,937 | |||||||
Short-Term Investments | 545,699 | — | 545,699 | |||||||
Total Value of Securities | $9,523,157 | $51,620,975 | $61,144,132 | |||||||
Derivatives2 | ||||||||||
Liabilities: | ||||||||||
Foreign Currency Exchange Contracts | $— | $(21) | $(21) |
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total market value of these security types: |
Level 1 | Level 2 | Level 3 | Total | ||||
Preferred Stock | 37.97% | 62.03% | — | 100.00% |
Macquarie Emerging Markets Portfolio II | ||||||||
Level 1 | Level 2 | Total | ||||||
Securities | ||||||||
Assets: | ||||||||
Common Stock | ||||||||
Argentina | $31,798 | $— | $31,798 | |||||
Bahrain | — | 9,309 | 9,309 | |||||
Brazil | 3,066,696 | — | 3,066,696 |
Macquarie Emerging Markets Portfolio II | ||||||||
Level 1 | Level 2 | Total | ||||||
Chile | $203,555 | $— | $203,555 | |||||
China | 9,604,213 | 10,720,521 | 20,324,734 | |||||
India | — | 4,756,824 | 4,756,824 | |||||
Indonesia | — | 1,020,761 | 1,020,761 | |||||
Malaysia | — | 27,509 | 27,509 | |||||
Mexico | 1,438,643 | — | 1,438,643 | |||||
Peru | 265,032 | — | 265,032 | |||||
Poland | 609,685 | — | 609,685 | |||||
Republic of Korea | 1,684,800 | 6,745,585 | 8,430,385 | |||||
Russia | 444,440 | 1,900,595 | 2,345,035 | |||||
South Africa | — | 449,023 | 449,023 | |||||
Taiwan | 1,725,324 | 5,617,069 | 7,342,393 | |||||
Turkey | 104,517 | 237,593 | 342,110 | |||||
Preferred Stock | — | 270,373 | 270,373 | |||||
Short-Term Investments | 843,952 | — | 843,952 | |||||
Total Value of Securities | $20,022,655 | $31,755,162 | $51,777,817 | |||||
Derivatives1 | ||||||||
Liabilities: | ||||||||
Foreign Currency Exchange Contracts | $— | $(678) | $(678) |
1Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end. |
Macquarie Labor Select International Equity Portfolio | ||||||||
Level 1 | Level 2 | Total | ||||||
Securities | ||||||||
Assets: | ||||||||
Common Stock | $— | $180,193,322 | $180,193,322 | |||||
Preferred Stock | — | 1,118,140 | 1,118,140 | |||||
Short-Term Investments | 545,969 | — | 545,969 | |||||
Total Value of Securities | $545,969 | $181,311,462 | $181,857,431 |
Ordinary income | Long-term capital gains | Total | |||||
Year ended October 31, 2020: | |||||||
Macquarie Large Cap Value Portfolio | $1,455,716 | $14,778,004 | $16,233,720 | ||||
Macquarie Core Plus Bond Portfolio | 9,512,846 | — | 9,512,846 | ||||
Macquarie High Yield Bond Portfolio | 5,146,771 | — | 5,146,771 | ||||
Macquarie Emerging Markets Portfolio | 1,680,428 | — | 1,680,428 | ||||
Macquarie Emerging Markets Portfolio II | 413,111 | 830,570 | 1,243,681 | ||||
Macquarie Labor Select International Equity Portfolio | 15,845,402 | 6,695,168 | 22,540,570 | ||||
Year ended October 31, 2019: | |||||||
Macquarie Large Cap Value Portfolio | 3,003,486 | 12,677,873 | 15,681,359 | ||||
Macquarie Core Plus Bond Portfolio | 6,188,506 | — | 6,188,506 | ||||
Macquarie High Yield Bond Portfolio | 5,358,591 | — | 5,358,591 | ||||
Macquarie Emerging Markets Portfolio | 1,654,329 | — | 1,654,329 | ||||
Macquarie Emerging Markets Portfolio II | 148,676 | 1,260,647 | 1,409,323 | ||||
Macquarie Labor Select International Equity Portfolio | 12,523,066 | — | 12,523,066 |
Macquarie Large Cap Value Portfolio | Macquarie Core Plus Bond Portfolio | Macquarie High Yield Bond Portfolio | |||
Shares of beneficial interest | $40,824,151 | $135,942,889 | $93,932,681 | ||
Undistributed ordinary income | 742,229 | 8,115,229 | 4,382,176 | ||
Undistributed long-term capital gains | — | 1,331,391 | — | ||
Capital loss carryforwards | (3,227,660) | — | (18,017,613) | ||
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | (217,032) | 4,623,011 | 1,516,732 | ||
Net assets | $38,121,688 | $150,012,520 | $81,813,976 |
Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | |||
Shares of beneficial interest | $104,640,655 | $35,280,158 | $275,718,647 | ||
Undistributed ordinary income | 808,152 | 1,843,359 | 6,897,142 | ||
Undistributed long-term capital gains | — | 624,681 | — | ||
Capital loss carryforwards | (52,040,837) | — | (57,305,092) | ||
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | 7,288,985 | 12,777,985 | (40,030,194) | ||
Net assets | $60,696,955 | $50,526,183 | $185,280,503 |
Loss carryforward character | |||||
Short-term | Long-term | Total | |||
Macquarie Large Cap Value Portfolio | $ 157,705 | $ 3,069,955 | $ 3,227,660 | ||
Macquarie High Yield Bond Portfolio | 7,115,426 | 10,902,187 | 18,017,613 | ||
Macquarie Emerging Markets Portfolio | — | 52,040,837 | 52,040,837 | ||
Macquarie Labor Select International Equity Portfolio | 659,053 | 56,646,039 | 57,305,092 |
Shares sold | Shares issued upon reinvestment of dividends and distributions | Shares sold and issued total | Shares redeemed | Net increase (decrease) | |||||
Year ended October 31, 2020: | |||||||||
Macquarie Large Cap Value Portfolio | 15,015 | 944,369 | 959,384 | (339,609) | 619,775 | ||||
Macquarie Core Plus Bond Portfolio | 461,254 | 879,750 | 1,341,004 | (2,836,064) | (1,495,060) | ||||
Macquarie High Yield Bond Portfolio | 996,168 | 687,757 | 1,683,925 | (3,916,033) | (2,232,108) | ||||
Macquarie Emerging Markets Portfolio | 704,580 | 191,300 | 895,880 | (3,261,751) | (2,365,871) | ||||
Macquarie Emerging Markets Portfolio II | — | 120,577 | 120,577 | (39,481) | 81,096 | ||||
Macquarie Labor Select International Equity Portfolio | 991,507 | 1,567,494 | 2,559,001 | (17,417,928) | (14,858,927) | ||||
Year ended October 31, 2019: | |||||||||
Macquarie Large Cap Value Portfolio | 247,850 | 557,873 | 805,723 | (2,793,525) | (1,987,802) | ||||
Macquarie Core Plus Bond Portfolio | 1,091,831 | 615,262 | 1,707,093 | (8,648,086) | (6,940,993) | ||||
Macquarie High Yield Bond Portfolio | 2,340,082 | 752,576 | 3,092,658 | (318,310) | 2,774,348 | ||||
Macquarie Emerging Markets Portfolio | 24,018 | 207,452 | 231,470 | (903,908) | (672,438) | ||||
Macquarie Emerging Markets Portfolio II | 1,154,735 | 171,440 | 1,326,175 | (78,957) | 1,247,218 | ||||
Macquarie Labor Select International Equity Portfolio | 1,741,052 | 987,955 | 2,729,007 | (710,174) | 2,018,833 |
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 $74,593 as margin for open futures contracts.
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.
Macquarie Core Plus Bond Portfolio | ||||||
Asset Derivatives Fair Value | ||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Total | |||
Unrealized appreciation of foreign currency exchange contracts | $— | $— | $— | |||
Variation margin due from broker on futures contracts* | — | 105,579 | 105,579 | |||
Total | $— | $105,579 | $105,579 |
Liability Derivatives Fair Value | ||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Total | |||
Unrealized depreciation on foreign currency exchange contracts | $(4,818) | $— | $(4,818) | |||
Variation margin due from broker on futures contracts* | — | (54,054) | (54,054) | |||
Total | $(4,818) | $(54,054) | $(58,872) |
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through October 31, 2020. Only current day variation margin is reported on the "Statements of assets and liabilities." |
Macquarie Core Plus Bond Portfolio Net Realized Gain (Loss) on: | |||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swap Contracts | Total | ||||
Currency contracts | $33,351 | $— | $— | $33,351 | |||
Interest rate contracts | — | 538,562 | — | 538,562 | |||
Credit contracts | — | — | 52,786 | 52,786 | |||
Total | $33,351 | $538,562 | $52,786 | $624,699 |
Net Change in Unrealized Appreciation (Depreciation) of: | |||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swap Contracts | Total | ||||
Currency contracts | $(4,818) | $— | $— | $(4,818) | |||
Interest rate contracts | — | 165,504 | — | 165,504 | |||
Credit contracts | — | — | (27,625) | (27,625) | |||
Total | $(4,818) | $165,504 | $(27,625) | $133,061 |
Long Derivative Volume | ||||||||||||||
Macquarie Core Plus Bond Portfolio | Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | |||||||||||
Foreign currency exchange contracts (average notional value) | 156,052 | 33,176 | 32,187 | 29,473 | ||||||||||
Futures contracts (average notional value) | 16,640,064 | — | — | — |
Short Derivative Volume | ||||||||||||||
Macquarie Core Plus Bond Portfolio | Macquarie Emerging Markets Portfolio | Macquarie Emerging Markets Portfolio II | Macquarie Labor Select International Equity Portfolio | |||||||||||
CDS contracts (average notional value) | 92,897 | $— | $— | $— | ||||||||||
Futures Contracts (average notional value) | 5,223,239 | — | — | — | ||||||||||
Foreign currency exchange contracts (average cost) | — | 54,570 | 17,528 | 158,548 |
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.
Macquarie Core Plus Bond Portfolio | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
JPMorgan Chase Bank | $— | $(4,818) | $(4,818) |
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) | ||||||
JPMorgan Chase Bank | $(4,818) | $— | $— | $— | $— | $(4,818) | ||||||
(a)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
Macquarie Emerging Markets Portfolio | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
State Street Bank | $— | $(21) | $(21) |
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) | ||||||
State Street Bank | $(21) | $— | $— | $— | $— | $(21) | ||||||
(a)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
Macquarie Emerging Markets Portfolio II | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
BNY Mellon | $— | $(678) | $(678) |
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 | $(678) | $— | $— | $— | $— | $(678) | ||||||
(a)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
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.”
Philadelphia, Pennsylvania
December 21, 2020
(A) Long-Term Capital Gains Distributions (Tax Basis) | (B) Ordinary Income Distributions (Tax Basis) | Total Distributions (Tax Basis) | (C) Qualifying Dividends1 | ||||
Macquarie Large Cap Value Portfolio | 91.03% | 8.97% | 100.00% | 78.82% | |||
Macquarie Core Plus Bond Portfolio | — | 100.00% | 100.00% | — | |||
Macquarie High Yield Bond Portfolio | — | 100.00% | 100.00% | — | |||
Macquarie Emerging Markets Portfolio | — | 100.00% | 100.00% | — | |||
Macquarie Emerging Markets Portfolio II | 66.78% | 33.22% | 100.00% | — | |||
Macquarie Labor Select International Equity Portfolio | 29.70% | 70.30% | 100.00% | — |
Maximum percentage to be taxed at a maximum rate of 20% | |
Macquarie Large Cap Value Portfolio | 80.74% |
Macquarie Emerging Markets Portfolio | 69.03% |
Macquarie Emerging Markets Portfolio II | 75.56% |
Macquarie Labor Select International Equity Portfolio | 61.69% |
large-cap value funds as selected by Broadridge. The Broadridge report comparison showed that the Portfolio’s total return for the 1-year period was in the fourth quartile of its Performance Universe. The report further showed that the Portfolio’s total return for the 3-, 5-, and 10-year periods was in the third quartile, second quartile, and first quartile, respectively, of its Performance Universe. The Board was satisfied with performance.
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Interested Trustee | |||||
Shawn K. Lytle1 610 Market Street Philadelphia, PA 19106-2354 February 1970 | President, Chief Executive Officer, and Trustee | President and Chief Executive Officer since August 2015 Trustee since September 2015 | President — Macquarie Investment Management2 (June 2015–Present) Regional Head of Americas — UBS Global Asset Management (April 2010–May 2015) | 85 | Trustee — UBS Relationship Funds, SMA Relationship Trust, and UBS Funds (May 2010–April 2015) |
Independent Trustees | |||||
Jerome D. Abernathy 610 Market Street Philadelphia, PA 19106-2354 July 1959 | Trustee | Since January 2019 | Managing Member, Stonebrook Capital Management, LLC (financial technology: macro factors and databases) (January 1993-Present) | 85 | None |
Thomas L. Bennett 610 Market Street Philadelphia, PA 19106-2354 October 1947 | Chair and Trustee | Trustee since March 2005 Chair since March 2015 | Private Investor (March 2004–Present) | 85 | None |
Ann D. Borowiec 610 Market Street Philadelphia, PA 19106-2354 November 1958 | Trustee | Since March 2015 | Chief Executive Officer, Private Wealth Management (2011–2013) and Market Manager, New Jersey Private Bank (2005– 2011) — J.P. Morgan Chase & Co. | 85 | Director — Banco Santander International (October 2016–December 2019) Director — Santander Bank, N.A. (December 2016–December 2019) |
Joseph W. Chow 610 Market Street Philadelphia, PA 19106-2354 January 1953 | Trustee | Since January 2013 | Private Investor (April 2011–Present) | 85 | Director and Audit Committee Member — Hercules Technology Growth Capital, Inc. (July 2004–July 2014) |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
John A. Fry 610 Market Street Philadelphia, PA 19106-2354 May 1960 | Trustee | Since January 2001 | President — Drexel University (August 2010–Present) President — Franklin & Marshall College (July 2002–June 2010) | 85 | Director; Compensation Committee and Governance Committee Member — Community Health Systems (May 2004–Present) Director — Drexel Morgan & Co. (2015–2019) Director and Audit Committee Member — vTv Therapeutics Inc. (2017–Present) Director and Audit Committee Member — FS Credit Real Estate Income Trust, Inc. (2018–Present) Director — Federal Reserve Bank of Philadelphia (January 2020–Present) |
Lucinda S. Landreth 610 Market Street Philadelphia, PA 19106-2354 June 1947 | Trustee | Since March 2005 | Private Investor (2004–Present) | 85 | None |
Frances A. Sevilla-Sacasa 610 Market Street Philadelphia, PA 19106-2354 January 1956 | Trustee | Since September 2011 | Private Investor (January 2017–Present) Chief Executive Officer — Banco Itaú International (April 2012–December 2016) Executive Advisor to Dean (August 2011– March 2012) and Interim Dean (January 2011–July 2011) — University of Miami School of Business Administration President — U.S. Trust, Bank of America Private Wealth Management (Private Banking) (July 2007-December 2008) | 85 | Trust Manager and Audit Committee Chair — Camden Property Trust (August 2011–Present) Director; Strategic Planning and Reserves Committee and Nominating and Governance Committee Member — Callon Petroleum Company (December 2019–Present) Director; Audit Committee Member — Carrizo Oil & Gas, Inc. (March 2018– December 2019) |
Thomas K. Whitford 610 Market Street Philadelphia, PA 19106-2354 March 1956 | Trustee | Since January 2013 | Vice Chairman (2010–April 2013) — PNC Financial Services Group | 85 | Director — HSBC North America Holdings Inc. (December 2013–Present) Director — HSBC USA Inc. (July 2014–Present) Director — HSBC Bank USA, National Association (July 2014–March 2017) Director — HSBC Finance Corporation (December 2013–April 2018) |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Christianna Wood 610 Market Street Philadelphia, PA 19106-2354 August 1959 | Trustee | Since January 2019 | Chief Executive Officer and President — Gore Creek Capital, Ltd. (August 2009–Present) | 85 | Director; Finance Committee and Audit Committee Member — H&R Block Corporation (July 2008–Present) Director; Investments Committee, Capital and Finance Committee, and Audit Committee Member — Grange Insurance (2013–Present) Trustee; Chair of Nominating and Governance Committee and Audit Committee Member — The Merger Fund (2013–Present), The Merger Fund VL (2013– Present); WCM Alternatives: Event-Driven Fund (2013–Present), and WCM Alternatives: Credit Event Fund (December 2017–Present) Director; Chair of Governance Committee and Audit Committee Member — International Securities Exchange (2010–2016) |
Janet L. Yeomans 610 Market Street Philadelphia, PA 19106-2354 July 1948 | Trustee | Since April 1999 | Vice President and Treasurer (January 2006– July 2012), Vice President — Mergers & Acquisitions (January 2003–January 2006), and Vice President and Treasurer (July 1995–January 2003) — 3M Company | 85 | Director; Personnel and Compensation Committee Chair; Member of Nominating, Investments, and Audit Committees for various periods throughout directorship — Okabena Company (2009–2017) |
Officers | |||||
David F. Connor 610 Market Street Philadelphia, PA 19106-2354 December 1963 | Senior Vice President, General Counsel, and Secretary | Senior Vice President, since May 2013; General Counsel since May 2015; Secretary since October 2005 | David F. Connor has served in various capacities at different times at Macquarie Investment Management. | 85 | None3 |
Daniel V. Geatens 610 Market Street Philadelphia, PA 19106-2354 October 1972 | Vice President and Treasurer | Vice President and Treasurer since October 2007 | Daniel V. Geatens has served in various capacities at different times at Macquarie Investment Management. | 85 | None3 |
Richard Salus 610 Market Street Philadelphia, PA 19106-2354 October 1963 | Senior Vice President and Chief Financial Officer | Senior Vice President and Chief Financial Officer since November 2006 | Richard Salus has served in various capacities at different times at Macquarie Investment Management. | 85 | None |
Mondrian Investment Partners Limited
Emerging Markets and Healthcare
Mondrian Investment Partners Limited
Investment Officer − International Equities
Mondrian Investment Partners Limited
Fixed Income
Fixed Income
Mondrian Investment Partners Limited
Emerging Market Equities
Mondrian Investment Partners Limited
240 Greenwich Street
New York, NY 10286-0001
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
610 Market Street
Philadelphia, PA 19106-2354
Fifth Floor
10 Gresham Street
London EC2V 7JD
United Kingdom
Philadelphia, PA 19106-2354
Telephone 800 231-8002
Fax 215 255-1162
AR-DPT-1220
Visit delawarefunds.com/edelivery.
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.
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Delaware Global Listed Real Assets Fund | November 10, 2020 (Unaudited) |
Delaware Global Listed Real Assets Fund (Institutional Class shares) | 1-year return | -7.63% |
Delaware Global Listed Real Assets Fund (Class A shares) | 1-year return | -7.86% |
Bloomberg Barclays Global Inflation-Linked Total Return Index Value Hedged USD (primary benchmark) | 1-year return | +6.64% |
Global Listed Real Assets Blended Benchmark* (secondary benchmark) | 1-year return | -7.60% |
The performance of Class A shares excludes the applicable sales charge. The performance of both Institutional Class shares and Class A shares reflects the reinvestment of all distributions.
Please see page 6 for a description of the indices. Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
*The Global Listed Real Assets Blended Benchmark is computed using a combination of 20% S&P Global Natural Resources Index NR; 20% FTSE EPRA Nareit Developed Index NR; 20% S&P Global Infrastructure Index NR; and 40% Bloomberg Barclays Global Inflation-Linked Total Return Index Value Hedged USD.
of the Fund’s fiscal year, as risk markets
income exposure.
and diversification.
Delaware Global Listed Real Assets Fund | October 31, 2020 (Unaudited) |
Fund and benchmark performance1,2 | Average annual total returns through October 31, 2020 | |||
1 year | 5 year | 10 year | Lifetime | |
Class A (Est. December 6, 1995) | ||||
Excluding sales charge | -7.86% | +3.10% | +7.37% | +9.85% |
Including sales charge | -13.19% | +1.89% | +6.73% | +9.59% |
Class C (Est. November 10, 1997) | ||||
Excluding sales charge | -8.55% | +2.35% | +6.56% | +7.01% |
Including sales charge | -9.44% | +2.35% | +6.56% | +7.01% |
Class R (Est. June 2, 2003) | ||||
Excluding sales charge | -8.14% | +2.85% | +7.10% | +7.75% |
Including sales charge | -8.14% | +2.85% | +7.10% | +7.75% |
Institutional Class (Est. November 10, 1997) | ||||
Excluding sales charge | -7.63% | +3.38% | +7.64% | +8.08% |
Including sales charge | -7.63% | +3.38% | +7.64% | +8.08% |
Class R6 (Est. August 31, 2016) | ||||
Excluding sales charge | -7.51% | — | — | +1.35% |
Including sales charge | -7.51% | — | — | +1.35% |
Bloomberg Barclays Global Inflation-Linked Total Return Index Value Hedged USD | +6.64% | +5.64% | +4.94% | +5.99%* |
Global Listed Real Assets Blended Benchmark | -7.60% | +3.96% | +3.74% | — |
*The benchmark lifetime return is for Institutional Class share comparison only and is calculated using the last business day in the month of the Fund’s Institutional Class inception date. |
Fund expense ratios | Class A | Class C | Class R | Institutional Class | Class R6 |
Total annual operating expenses (without fee waivers) | 1.56% | 2.31% | 1.81% | 1.31% | 1.16% |
Net expenses (including fee waivers, if any) | 1.40% | 2.15% | 1.65% | 1.15% | 1.00% |
Type of waiver | Contractual | Contractual | Contractual | Contractual | Contractual |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
Delaware Global Listed Real Assets Fund — Institutional Class shares | $10,000 | $20,882 | |
Delaware Global Listed Real Assets Fund — Class A shares | $9,425 | $19,185 | |
Bloomberg Barclays Global Inflation-Linked Total Return Index Value Hedged USD | $10,000 | $16,191 | |
Global Listed Real Assets Blended Benchmark | $10,000 | $14,429 |
Nasdaq symbols | CUSIPs | |
Class A | DPREX | 246248868 |
Class C | DPRCX | 246248793 |
Class R | DPRRX | 246248561 |
Institutional Class | DPRSX | 246248777 |
Class R6 | DPRDX | 246248454 |
(in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
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.
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Annualized Expense Ratio | Expenses Paid During Period 5/1/20 to 10/31/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,049.30 | 1.34% | $6.90 |
Class C | 1,000.00 | 1,045.30 | 2.09% | 10.75 |
Class R | 1,000.00 | 1,048.10 | 1.59% | 8.19 |
Institutional Class | 1,000.00 | 1,051.30 | 1.09% | 5.62 |
Class R6 | 1,000.00 | 1,051.70 | 1.01% | 5.21 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,018.40 | 1.34% | $6.80 |
Class C | 1,000.00 | 1,014.63 | 2.09% | 10.58 |
Class R | 1,000.00 | 1,017.14 | 1.59% | 8.06 |
Institutional Class | 1,000.00 | 1,019.66 | 1.09% | 5.53 |
Class R6 | 1,000.00 | 1,020.06 | 1.01% | 5.13 |
*“Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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. |
Delaware Global Listed Real Assets Fund | As of October 31, 2020 (Unaudited) |
Security type / sector | Percentage of net assets |
Convertible Bond | 0.06% |
Corporate Bonds | 16.49% |
Basic Industry | 2.48% |
Capital Goods | 1.03% |
Communications | 4.87% |
Consumer Cyclical | 1.06% |
Consumer Non-Cyclical | 1.44% |
Energy | 4.07% |
Real Estate Operating Companies/Developer | 0.16% |
Transportation | 0.45% |
Utilities | 0.93% |
Non-Agency Commercial Mortgage-Backed Securities | 2.25% |
Loan Agreements | 3.40% |
Sovereign Bonds | 9.09% |
US Treasury Obligations | 4.08% |
Common STOC1k | 63.58% |
Consumer Staples | 2.05% |
Energy | 9.22% |
Financials | 1.04% |
Industrials | 10.90% |
Materials | 10.47% |
Real Estate Operating Companies/Developer | 2.35% |
REIT Diversified | 2.52% |
REIT Healthcare | 1.78% |
REIT Hotel | 0.33% |
REIT Industrial | 3.12% |
REIT Information Technology | 1.56% |
REIT Mall | 0.46% |
REIT Manufactured Housing | 0.71% |
REIT Multifamily | 2.76% |
REIT Office | 1.25% |
REIT Retail | 0.37% |
REIT Self-Storage | 0.50% |
REIT Shopping Center | 0.11% |
REIT Single Tenant | 0.33% |
Security type / sector | Percentage of net assets |
REIT Specialty | 0.87% |
Utilities | 10.88% |
Master Limited Partnerships | 0.43% |
Rights | 0.00% |
Short-Term Investments | 0.50% |
Total Value of Securities | 99.88% |
Receivables and Other Assets Net of Liabilities | 0.12% |
Total Net Assets | 100.00% |
Top 10 equity holdings | Percentage of net assets |
Newmont | 1.64% |
Weyerhaeuser | 1.38% |
Hudbay Minerals | 1.30% |
Bunge | 1.29% |
Nutrien | 1.22% |
Arcosa | 1.20% |
Barrick Gold | 1.20% |
Cheniere Energy | 1.09% |
Prologis | 1.08% |
Aena SME | 1.06% |
Delaware Global Listed Real Assets Fund | October 31, 2020 |
Principal amount° | Value (US $) | ||
Convertible Bond — 0.06% | |||
Cheniere Energy 144A PIK 4.875% exercise price $93.64, maturity date 5/28/21 #, > | 57,365 | $57,652 | |
Total Convertible Bond (cost $57,592) | 57,652 | ||
Corporate Bonds — 16.49% | |||
Basic Industry — 2.48% | |||
Chemours 7.00% 5/15/25 | 265,000 | 267,252 | |
First Quantum Minerals 144A 6.875% 3/1/26 # | 400,000 | 397,750 | |
Freeport-McMoRan 5.45% 3/15/43 | 380,000 | 434,313 | |
Hudbay Minerals 144A 7.625% 1/15/25 # | 320,000 | 332,600 | |
New Gold 144A 6.375% 5/15/25 # | 250,000 | 257,969 | |
Novelis | |||
144A 4.75% 1/30/30 # | 230,000 | 233,678 | |
144A 5.875% 9/30/26 # | 90,000 | 92,982 | |
Univar Solutions USA 144A 5.125% 12/1/27 # | 415,000 | 430,774 | |
2,447,318 | |||
Capital Goods — 1.03% | |||
Clean Harbors 144A 5.125% 7/15/29 # | 310,000 | 337,858 | |
Covanta Holding 6.00% 1/1/27 | 120,000 | 125,400 | |
GFL Environmental 144A 5.125% 12/15/26 # | 250,000 | 262,888 | |
Sealed Air 144A 4.00% 12/1/27 # | 275,000 | 288,750 | |
1,014,896 | |||
Communications — 4.87% | |||
CCO Holdings 144A 5.375% 6/1/29 # | 395,000 | 428,038 | |
CenturyLink | |||
144A 4.00% 2/15/27 # | 140,000 | 143,325 | |
144A 5.125% 12/15/26 # | 205,000 | 209,911 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 130,000 | 112,837 | |
Consolidated Communications 6.50% 10/1/22 | 215,000 | 215,000 | |
CSC Holdings | |||
144A 3.375% 2/15/31 # | 200,000 | 192,602 | |
144A 5.75% 1/15/30 # | 365,000 | 390,659 | |
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 80,000 | 74,537 | |
Gray Television 144A 7.00% 5/15/27 # | 260,000 | 280,800 | |
LCPR Senior Secured Financing 144A 6.75% 10/15/27 # | 216,000 | 229,770 | |
Level 3 Financing 144A 4.25% 7/1/28 # | 300,000 | 301,800 | |
Nexstar Broadcasting 144A 5.625% 7/15/27 # | 338,000 | 352,894 | |
Outfront Media Capital 144A 4.625% 3/15/30 # | 385,000 | 354,200 | |
Sirius XM Radio 144A 5.50% 7/1/29 # | 340,000 | 370,711 | |
Sprint Capital 8.75% 3/15/32 | 100,000 | 149,746 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
T-Mobile USA 4.75% 2/1/28 | 170,000 | $182,350 | |
Virgin Media Secured Finance 144A 5.50% 5/15/29 # | 200,000 | 214,000 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 200,000 | 200,500 | |
Windstream Escrow 144A 7.75% 8/15/28 # | 135,000 | 130,781 | |
Zayo Group Holdings 144A 4.00% 3/1/27 # | 275,000 | 270,270 | |
4,804,731 | |||
Consumer Cyclical — 1.06% | |||
Hilton Domestic Operating 4.875% 1/15/30 | 320,000 | 329,800 | |
Lennar 5.00% 6/15/27 | 160,000 | 182,800 | |
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 341,000 | 368,519 | |
Murphy Oil USA 5.625% 5/1/27 | 160,000 | 168,569 | |
1,049,688 | |||
Consumer Non-Cyclical — 1.44% | |||
HCA | |||
5.375% 2/1/25 | 120,000 | 133,058 | |
5.875% 2/1/29 | 350,000 | 412,368 | |
JBS USA LUX 144A 5.50% 1/15/30 # | 250,000 | 272,187 | |
Pilgrim's Pride | |||
144A 5.75% 3/15/25 # | 160,000 | 164,000 | |
144A 5.875% 9/30/27 # | 117,000 | 123,743 | |
Tenet Healthcare | |||
5.125% 5/1/25 | 90,000 | 89,185 | |
6.875% 11/15/31 | 230,000 | 230,819 | |
1,425,360 | |||
Energy — 4.07% | |||
Cheniere Energy Partners | |||
4.50% 10/1/29 | 100,000 | 102,101 | |
5.25% 10/1/25 | 330,000 | 336,270 | |
CNX Resources 144A 7.25% 3/14/27 # | 160,000 | 169,003 | |
Continental Resources 5.00% 9/15/22 | 450,000 | 443,700 | |
Crestwood Midstream Partners 144A 5.625% 5/1/27 # | 370,000 | 324,906 | |
DCP Midstream Operating 5.125% 5/15/29 | 330,000 | 328,706 | |
Genesis Energy 6.50% 10/1/25 | 270,000 | 224,606 | |
Marathon Oil 4.40% 7/15/27 | 130,000 | 130,645 | |
Murphy Oil | |||
5.875% 12/1/27 | 325,000 | 256,756 | |
6.875% 8/15/24 | 160,000 | 143,400 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
NuStar Logistics 6.375% 10/1/30 | 125,000 | $126,016 | |
Occidental Petroleum | |||
2.70% 2/15/23 | 307,000 | 275,341 | |
3.00% 2/15/27 | 70,000 | 52,981 | |
6.625% 9/1/30 | 65,000 | 57,057 | |
Southwestern Energy 7.75% 10/1/27 | 360,000 | 372,375 | |
Targa Resources Partners | |||
144A 4.875% 2/1/31 # | 305,000 | 298,110 | |
5.375% 2/1/27 | 170,000 | 171,244 | |
WPX Energy 5.25% 10/15/27 | 205,000 | 205,943 | |
4,019,160 | |||
Real Estate Operating Companies/Developer — 0.16% | |||
HAT Holdings I 144A 3.75% 9/15/30 # | 160,000 | 160,600 | |
160,600 | |||
Transportation — 0.45% | |||
DAE Funding 144A 5.75% 11/15/23 # | 175,000 | 177,406 | |
Delta Air Lines 144A 7.00% 5/1/25 # | 240,000 | 262,154 | |
439,560 | |||
Utilities — 0.93% | |||
Calpine 144A 5.00% 2/1/31 # | 60,000 | 61,347 | |
PG&E 5.25% 7/1/30 | 250,000 | 250,313 | |
TerraForm Power Operating 144A 4.75% 1/15/30 # | 210,000 | 225,792 | |
Vistra Operations | |||
144A 5.00% 7/31/27 # | 120,000 | 125,520 | |
144A 5.50% 9/1/26 # | 120,000 | 124,350 | |
144A 5.625% 2/15/27 # | 120,000 | 125,275 | |
912,597 | |||
Total Corporate Bonds (cost $16,137,636) | 16,273,910 | ||
Non-Agency Commercial Mortgage-Backed Securities — 2.25% | |||
Citigroup Commercial Mortgage Trust Series 2019-C7 A4 3.102% 12/15/72 | 600,000 | 663,939 | |
GS Mortgage Securities Trust Series 2017-GS6 B 3.869% 5/10/50 | 730,000 | 793,460 | |
Morgan Stanley Capital I Trust Series 2016-BNK2 B 3.485% 11/15/49 | 740,000 | 760,972 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $2,166,588) | 2,218,371 | ||
Principal amount° | Value (US $) | ||
Loan Agreements — 3.40% | |||
Calpine | |||
2.40% (LIBOR01M + 2.25%) 1/15/24 • | 125,840 | $123,009 | |
2.40% (LIBOR01M + 2.25%) 4/5/26 • | 323,901 | 316,168 | |
Calpine Construction Finance Tranche B 2.148% (LIBOR01M + 2.00%) 1/15/25 • | 125,882 | 122,446 | |
CenturyLink Tranche B 2.398% (LIBOR01M + 2.25%) 3/15/27 • | 446,625 | 430,790 | |
Charter Communications Operating Tranche B2 1.90% (LIBOR01M + 1.75%) 2/1/27 • | 262,139 | 255,843 | |
CSC Holdings 2.398% (LIBOR01M + 2.25%) 7/17/25 • | 251,739 | 243,621 | |
Frontier Communications Tranche B-1 6.00% (LIBOR03M + 2.75%) 6/17/24 • | 383,032 | 376,903 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 299,250 | 298,876 | |
HCA Tranche B-12 1.898% (LIBOR01M + 1.75%) 3/13/25 • | 346,500 | 345,448 | |
HCA Tranche B13 1.898% (LIBOR01M + 1.75%) 3/18/26 • | 167,874 | 167,409 | |
Lamar Media Tranche B 1.643% (LIBOR01M + 1.50%) 2/5/27 • | 169,139 | 162,938 | |
LCPR Loan Financing 5.148% (LIBOR01M + 5.00%) 10/15/26 • | 100,000 | 100,094 | |
Telenet Financing Tranche AR 2.148% (LIBOR01M + 2.00%) 4/30/28 • | 255,000 | 246,673 | |
Vistra Operations 1.90% (LIBOR01M + 1.75%) 12/31/25 • | 168,603 | 165,020 | |
Total Loan Agreements (cost $3,420,651) | 3,355,238 | ||
Sovereign Bonds — 9.09%Δ | |||
Australia — 0.26% | |||
Australia Government Bonds | |||
0.75% 11/21/27 | AUD | 300,747 | 245,400 |
2.50% 9/20/30 | AUD | 14,633 | 16,519 |
261,919 | |||
Canada — 0.61% | |||
Canadian Government Real Return Bonds | |||
4.00% 12/1/31 | CAD | 328,323 | 375,542 |
4.25% 12/1/26 | CAD | 229,640 | 227,239 |
602,781 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
France — 1.22% | |||
French Republic Government Bond OAT | |||
0.10% 3/1/25 | EUR | 217,302 | $263,607 |
0.10% 3/1/28 | EUR | 445,352 | 559,108 |
144A 1.80% 7/25/40 # | EUR | 99,096 | 186,763 |
3.15% 7/25/32 | EUR | 106,979 | 192,760 |
1,202,238 | |||
Germany — 0.52% | |||
Deutsche Bundesrepublik Inflation Linked Bond | |||
0.10% 4/15/26 | EUR | 406,582 | 511,282 |
511,282 | |||
Italy — 1.23% | |||
Italy Buoni Poliennali Del Tesoro | |||
0.10% 5/15/23 | EUR | 689,761 | 813,284 |
144A 2.55% 9/15/41 # | EUR | 72,490 | 120,421 |
144A 3.10% 9/15/26 # | EUR | 202,317 | 281,674 |
1,215,379 | |||
Japan — 0.32% | |||
Japanese Government CPI Linked Bond | |||
0.10% 3/10/29 | JPY | 33,095,697 | 315,104 |
315,104 | |||
Spain — 0.46% | |||
Spain Government Inflation Linked Bond | |||
0.15% 11/30/23 | EUR | 375,724 | 453,331 |
453,331 | |||
United Kingdom — 4.47% | |||
United Kingdom Gilt Inflation Linked | |||
0.125% 3/22/29 | GBP | 145,773 | 244,947 |
0.125% 3/22/44 | GBP | 203,258 | 466,563 |
0.125% 3/22/46 | GBP | 205,933 | 490,307 |
0.125% 3/22/58 | GBP | 104,305 | 312,770 |
0.125% 3/22/68 | GBP | 149,175 | 564,799 |
0.25% 3/22/52 | GBP | 107,844 | 296,024 |
0.625% 3/22/40 | GBP | 227,571 | 525,876 |
1.125% 11/22/37 | GBP | 129,071 | 305,592 |
1.25% 11/22/32 | GBP | 272,860 | 567,492 |
1.875% 11/22/22 | GBP | 446,385 | 638,887 |
4,413,257 | |||
Total Sovereign Bonds (cost $8,386,584) | 8,975,291 | ||
Principal amount° | Value (US $) | ||
US Treasury Obligations — 4.08% | |||
US Treasury Inflation Indexed Bonds | |||
1.00% 2/15/49 | 222,076 | $301,593 | |
1.375% 2/15/44 | 275,467 | 384,219 | |
2.125% 2/15/40 | 132,280 | 199,287 | |
US Treasury Inflation Indexed Notes | |||
0.25% 7/15/29 | 973,443 | 1,076,980 | |
0.50% 1/15/28 | 302,737 | 336,301 | |
0.625% 4/15/23 | 619,469 | 643,885 | |
0.625% 1/15/26 | 992,258 | 1,085,824 | |
Total US Treasury Obligations (cost $3,715,418) | 4,028,089 |
Number of shares | |||
Common STOC1k — 63.58% | |||
Consumer Staples — 2.05% | |||
Archer-Daniels-Midland | 10,921 | 504,987 | |
Bunge | 22,434 | 1,272,681 | |
Sanderson Farms | 1,946 | 249,029 | |
2,026,697 | |||
Energy — 9.22% | |||
Cheniere Energy † | 22,541 | 1,079,038 | |
Chevron | 11,456 | 796,192 | |
Concho Resources | 6,110 | 253,626 | |
Denbury † | 15,748 | 261,259 | |
Enbridge | 36,451 | 1,004,366 | |
EQT | 51,952 | 786,553 | |
Equinor ADR | 37,461 | 480,625 | |
Euronav | 97,008 | 713,979 | |
Navigator Holdings † | 33,858 | 231,927 | |
Overseas Shipholding Group Class A † | 117,375 | 224,186 | |
Schlumberger | 42,309 | 632,096 | |
Suncor Energy | 61,340 | 691,991 | |
TC Energy | 25,416 | 1,000,387 | |
Valero Energy | 24,462 | 944,478 | |
9,100,703 | |||
Financials — 1.04% | |||
Uranium Participation † | 341,124 | 1,024,166 | |
1,024,166 | |||
Industrials — 10.90% | |||
Aena SME 144A #, † | 7,758 | 1,045,280 | |
ALEATICA | 1,076,976 | 1,015,972 | |
Arcosa | 25,680 | 1,185,646 |
Number of shares | Value (US $) | ||
Common STOC1k (continued) | |||
Industrials (continued) | |||
Atlantia † | 65,359 | $1,003,297 | |
Atlas Arteria | 235,313 | 932,091 | |
Enav 144A # | 295,637 | 1,025,851 | |
Sacyr | 519,698 | 883,803 | |
Sydney Airport | 242,907 | 931,326 | |
TPI Composites † | 21,458 | 710,689 | |
Transurban Group | 104,550 | 990,055 | |
Vinci | 13,061 | 1,031,625 | |
10,755,635 | |||
Materials — 10.47% | |||
Acadian Timber | 80,853 | 925,474 | |
Air Products and Chemicals | 2,057 | 568,226 | |
Barrick Gold | 44,255 | 1,183,189 | |
CF Industries Holdings | 18,667 | 515,396 | |
Compass Minerals International | 16,932 | 1,022,354 | |
FMC | 8,092 | 831,372 | |
Hudbay Minerals | 282,682 | 1,280,550 | |
Louisiana-Pacific | 12,131 | 346,704 | |
Newmont | 25,755 | 1,618,444 | |
Nutrien | 29,547 | 1,201,972 | |
Steel Dynamics | 15,938 | 501,728 | |
West Fraser Timber | 7,352 | 340,974 | |
10,336,383 | |||
Real Estate Operating Companies/Developer — 2.35% | |||
Castellum | 11,371 | 236,752 | |
CK Asset Holdings | 65,000 | 301,827 | |
Grainger | 40,368 | 146,246 | |
Kojamo | 10,315 | 212,620 | |
Mitsubishi Estate | 24,200 | 360,964 | |
Mitsui Fudosan | 9,800 | 166,870 | |
New World Development | 21,031 | 100,410 | |
Nyfosa † | 17,105 | 141,428 | |
Sun Hung Kai Properties | 32,500 | 418,334 | |
Tokyo Tatemono | 7,996 | 91,964 | |
Wihlborgs Fastigheter | 8,000 | 144,196 | |
2,321,611 | |||
REIT Diversified — 2.52% | |||
Activia Properties | 61 | 220,394 | |
Ascendas Real Estate Investment Trust | 41,500 | 87,570 | |
Charter Hall Group | 25,017 | 216,911 | |
Fastighets Balder Class B † | 3,604 | 169,618 |
Number of shares | Value (US $) | ||
Common STOC1k (continued) | |||
REIT Diversified (continued) | |||
Inmobiliaria Colonial Socimi | 4,073 | $28,994 | |
Mapletree Logistics Trust | 141,900 | 202,703 | |
NIPPON REIT Investment | 61 | 195,860 | |
Weyerhaeuser | 49,897 | 1,361,689 | |
2,483,739 | |||
REIT Healthcare — 1.78% | |||
Alexandria Real Estate Equities | 2,834 | 429,408 | |
Assura | 233,658 | 230,660 | |
Healthcare Realty Trust | 6,856 | 190,597 | |
Healthpeak Properties | 14,267 | 384,781 | |
Omega Healthcare Investors | 4,498 | 129,587 | |
Sabra Health Care REIT | 11,461 | 150,827 | |
Welltower | 4,566 | 245,514 | |
1,761,374 | |||
REIT Hotel — 0.33% | |||
Host Hotels & Resorts | 6,845 | 71,736 | |
VICI Properties | 11,076 | 254,194 | |
325,930 | |||
REIT Industrial — 3.12% | |||
Americold Realty Trust | 7,298 | 264,407 | |
Duke Realty | 4,229 | 160,660 | |
GLP J-REIT | 146 | 225,081 | |
Goodman Group | 28,791 | 372,646 | |
Granite Real Estate Investment Trust | 3,703 | 207,621 | |
Industrial & Infrastructure Fund Investment | 110 | 187,252 | |
Mapletree Industrial Trust | 93,100 | 207,487 | |
Prologis | 10,724 | 1,063,821 | |
Rexford Industrial Realty | 4,583 | 212,926 | |
Segro | 14,805 | 172,992 | |
3,074,893 | |||
REIT Information Technology — 1.56% | |||
American Tower | 879 | 201,862 | |
Digital Realty Trust | 3,979 | 574,170 | |
Equinix | 212 | 155,023 | |
QTS Realty Trust Class A | 4,761 | 292,849 | |
SBA Communications | 1,087 | 315,632 | |
1,539,536 | |||
REIT Mall — 0.46% | |||
Simon Property Group | 7,238 | 454,619 | |
454,619 |
Number of shares | Value (US $) | ||
Common STOC1k (continued) | |||
REIT Manufactured Housing — 0.71% | |||
Equity LifeStyle Properties | 5,419 | $320,750 | |
Sun Communities | 2,741 | 377,244 | |
697,994 | |||
REIT Multifamily — 2.76% | |||
Apartment Investment and Management Class A | 3,159 | 100,772 | |
AvalonBay Communities | 2,536 | 352,834 | |
Bluerock Residential Growth REIT | 12,327 | 106,752 | |
Camden Property Trust | 751 | 69,272 | |
Daiwa Securities Living Investments | 270 | 263,742 | |
Deutsche Wohnen | 4,894 | 247,015 | |
Equity Residential | 7,540 | 354,229 | |
Essex Property Trust | 1,589 | 325,094 | |
Killam Apartment Real Estate Investment Trust | 12,565 | 150,991 | |
UDR | 3,662 | 114,401 | |
Vonovia | 9,961 | 636,144 | |
2,721,246 | |||
REIT Office — 1.25% | |||
Boston Properties | 3,376 | 244,456 | |
Daiwa Office Investment | 22 | 119,386 | |
Equity Commonwealth | 6,246 | 165,019 | |
Highwoods Properties | 5,312 | 158,138 | |
Kilroy Realty | 5,778 | 272,028 | |
Piedmont Office Realty Trust Class A | 8,763 | 100,074 | |
SL Green Realty | 3,989 | 170,769 | |
1,229,870 | |||
REIT Retail — 0.37% | |||
Japan Retail Fund Investment | 126 | 181,618 | |
Link REIT | 23,900 | 182,401 | |
364,019 | |||
REIT Self-Storage — 0.50% | |||
Extra Space Storage | 3,278 | 380,084 | |
Public Storage | 515 | 117,971 | |
498,055 | |||
REIT Shopping Center — 0.11% | |||
Regency Centers | 1,782 | 63,421 | |
SITE Centers | 6,192 | 42,168 | |
105,589 |
Number of shares | Value (US $) | ||
Common STOC1k (continued) | |||
REIT Single Tenant — 0.33% | |||
Four Corners Property Trust | 6,045 | $153,180 | |
Spirit Realty Capital | 5,672 | 170,444 | |
323,624 | |||
REIT Specialty — 0.87% | |||
Civitas Social Housing | 100,000 | 134,743 | |
Innovative Industrial Properties | 1,511 | 176,228 | |
Invitation Homes | 20,262 | 552,342 | |
863,313 | |||
Utilities — 10.88% | |||
Atmos Energy | 9,484 | 869,398 | |
Hydro One 144A # | 44,116 | 963,910 | |
Infraestructura Energetica Nova † | 289,949 | 969,436 | |
National Grid | 84,477 | 1,004,895 | |
PPL | 36,318 | 998,745 | |
Sempra Energy | 7,778 | 975,050 | |
Severn Trent | 31,529 | 992,286 | |
Snam | 202,521 | 987,509 | |
Spark Infrastructure Group | 706,734 | 986,225 | |
Terna Rete Elettrica Nazionale | 147,115 | 993,289 | |
United Utilities Group | 89,657 | 1,002,261 | |
10,743,004 | |||
Total Common STOC1k (cost $64,423,860) | 62,752,000 | ||
Master Limited Partnerships — 0.43% | |||
Enviva Partners | 9,980 | 427,643 | |
Total Master Limited Partnerships (cost $371,090) | 427,643 | ||
Rights — 0.00% | |||
Mapletree Logistics Trust † | 2,696 | 0 | |
Total Rights (cost $0) | 0 | ||
Short-Term Investments — 0.50% | |||
Money Market Mutual Funds — 0.50% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 122,896 | 122,896 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 122,896 | 122,896 |
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 0.00%) | 122,896 | $122,896 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 122,896 | 122,896 | |
Total Short-Term Investments (cost $491,584) | 491,584 | ||
Total Value of Securities—99.88% (cost $99,171,003) | $98,579,778 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2020, the aggregate value of Rule 144A securities was $13,075,991, which represents 13.25% of the Fund's net assets. See Note 11 in “Notes to financial statements.” |
> | PIK. 100% of the income received was in the form of cash. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at October 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
Δ | Securities have been classified by country of origin. |
† | Non-income producing security. |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
CITI | CAD | (30,000) | USD | 22,772 | 1/15/21 | $246 | $— | |||||
CITI | EUR | (11,000) | USD | 13,059 | 1/15/21 | 224 | — | |||||
JPMCB | AUD | (342,318) | USD | 249,358 | 1/15/21 | 8,643 | — | |||||
JPMCB | CAD | (788,940) | USD | 598,968 | 1/15/21 | 6,566 | — | |||||
JPMCB | EUR | (2,892,988) | USD | 3,442,075 | 1/15/21 | 66,216 | — | |||||
JPMCB | GBP | (44,400) | USD | 57,475 | 11/2/20 | — | (46) | |||||
JPMCB | GBP | (3,443,204) | USD | 4,410,203 | 1/15/21 | — | (53,174) | |||||
JPMCB | JPY | (33,309,397) | USD | 315,910 | 1/15/21 | — | (2,624) | |||||
Total Foreign Currency Exchange Contracts | $81,895 | $(55,844) |
Summary of abbreviations: |
ADR – American Depositary Receipt |
CITI – Citigroup |
CPI – Consumer Price Index |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
JPMCB – JPMorgan Chase Bank |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
OAT – Obligations Assimilables du Tresor |
PIK – Payment-in-kind |
REIT – Real Estate Investment Trust |
Summary of currencies: |
AUD – Australian Dollar |
CAD – Canadian Dollar |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
Summary of currencies: (continued) |
JPY – Japanese Yen |
USD – US Dollar |
Delaware Global Listed Real Assets Fund | October 31, 2020 |
Assets: | |
Investments, at value* | $98,579,778 |
Cash | 35,388 |
Foreign currencies, at valueΔ | 63,548 |
Receivable for securities sold | 46,795 |
Dividends and interest receivable | 302,557 |
Foreign tax reclaims receivable | 1,714 |
Receivable for fund shares sold | 264,347 |
Unrealized appreciation on foreign currency exchange contracts | 81,895 |
Total Assets | 99,376,022 |
Liabilities: | |
Payable for fund shares redeemed | 406,305 |
Payable for securities purchased | 74,064 |
Unrealized depreciation on foreign currency exchange contracts | 55,844 |
Investment management fees payable to affiliates | 48,052 |
Reports and statements to shareholders expenses payable to non-affiliates | 24,314 |
Other accrued expenses | 22,909 |
Dividend disbursing and transfer agent fees and expenses payable to non-affiliates | 15,655 |
Distribution fees payable to affiliates | 12,493 |
Accounting and administration fees payable to non-affiliates | 10,600 |
Audit and tax fees payable | 4,850 |
Legal fees payable to affiliates | 1,011 |
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 805 |
Accounting and administration expenses payable to affiliates | 636 |
Trustees' fees and expenses payable to affiliates | 403 |
Reports and statements to shareholders expenses payable to affiliates | 101 |
Total Liabilities | 678,042 |
Total Net Assets | $98,697,980 |
Net Assets Consist of: | |
Paid-in capital | $106,778,231 |
Total distributable earnings (loss) | (8,080,251) |
Total Net Assets | $98,697,980 |
Net Asset Value | |
Class A: | |
Net assets | $38,878,651 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 3,401,435 |
Net asset value per share | $11.43 |
Sales charge | 5.75% |
Offering price per share, equal to net asset value per share / (1 - sales charge) | $12.13 |
Class C: | |
Net assets | $2,302,421 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 202,160 |
Net asset value per share | $11.39 |
Class R: | |
Net assets | $4,148,765 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 363,475 |
Net asset value per share | $11.41 |
Institutional Class: | |
Net assets | $46,769,293 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,071,305 |
Net asset value per share | $11.49 |
Class R6: | |
Net assets | $6,598,850 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 575,478 |
Net asset value per share | $11.47 |
*Investments, at cost | $99,171,003 |
ΔForeign currencies, at cost | 63,507 |
Delaware Global Listed Real Assets Fund | Year ended October 31, 2020 |
Investment Income: | |
Dividends | $2,088,194 |
Interest | 1,109,981 |
Foreign tax withheld | (117,366) |
3,080,809 | |
Expenses: | |
Management fees | 772,487 |
Distribution expenses — Class A | 109,973 |
Distribution expenses — Class C | 33,157 |
Distribution expenses — Class R | 22,177 |
Legal fees | 133,897 |
Dividend disbursing and transfer agent fees and expenses | 130,015 |
Registration fees | 74,147 |
Reports and statements to shareholders expenses | 67,915 |
Accounting and administration expenses | 55,951 |
Audit and tax fees | 38,475 |
Custodian fees | 24,395 |
Trustees' fees and expenses | 5,777 |
Other | 46,146 |
1,514,512 | |
Less expenses waived | (201,492) |
Less expenses paid indirectly | (1,751) |
Total operating expenses | 1,311,269 |
Net Investment Income | 1,769,540 |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | $(7,408,659) |
Foreign currencies | 55,953 |
Foreign currency exchange contracts | (124,920) |
Futures contracts | 8,624 |
Options purchased | 28,523 |
Net realized loss | (7,440,479) |
Net change in unrealized appreciation (depreciation) of: | |
Investments | (3,304,411) |
Foreign currencies | (118) |
Foreign currency exchange contracts | 58,258 |
Futures contracts | 35 |
Options purchased | (235) |
Net change in unrealized appreciation (depreciation) | (3,246,471) |
Net Realized and Unrealized Loss | (10,686,950) |
Net Decrease in Net Assets Resulting from Operations | $(8,917,410) |
Year ended | |||
10/31/20 | 10/31/19 | ||
Increase (Decrease) in Net Assets from Operations: | |||
Net investment income | $1,769,540 | $939,104 | |
Net realized gain (loss) | (7,440,479) | 11,430,255 | |
Net change in unrealized appreciation (depreciation) | (3,246,471) | 2,048,321 | |
Net increase (decrease) in net assets resulting from operations | (8,917,410) | 14,417,680 | |
Dividends and Distributions to Shareholders from: | |||
Distributable earnings: | |||
Class A | (1,745,688) | (844,447) | |
Class C | (118,337) | (44,170) | |
Class R | (166,430) | (75,055) | |
Institutional Class | (1,899,985) | (244,872) | |
Class R6 | (199,625) | (102,244) | |
(4,130,065) | (1,310,788) | ||
Capital Share Transactions: | |||
Proceeds from shares sold: | |||
Class A | 2,295,906 | 1,999,130 | |
Class C | 148,905 | 364,260 | |
Class R | 680,867 | 835,007 | |
Institutional Class | 57,798,443 | 1,973,939 | |
Class R6 | 2,483,801 | 116,008 | |
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||
Class A | 1,721,119 | 818,760 | |
Class C | 114,957 | 43,565 | |
Class R | 166,429 | 75,055 | |
Institutional Class | 1,894,914 | 241,619 | |
Class R6 | 190,525 | 102,244 | |
67,495,866 | 6,569,587 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Capital Share Transactions (continued): | |||
Cost of shares redeemed: | |||
Class A | $(10,576,342) | $(10,817,762) | |
Class C | (1,605,277) | (1,866,085) | |
Class R | (1,100,917) | (1,730,581) | |
Institutional Class | (19,767,429) | (5,482,400) | |
Class R6 | (898,258) | (569,825) | |
(33,948,223) | (20,466,653) | ||
Increase (decrease) in net assets derived from capital share transactions | 33,547,643 | (13,897,066) | |
Net Increase (Decrease) in Net Assets | 20,500,168 | (790,174) | |
Net Assets: | |||
Beginning of year | 78,197,812 | 78,987,986 | |
End of year | $98,697,980 | $78,197,812 |
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 |
Net realized gain |
Return of capital |
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 | Prior to the close of business on August 19, 2019, the Fund invested primarily in securities of companies principally engaged in the real estate industry. Since the close of business on August 19, 2019, the Fund has been repositioned to invest primarily in listed real assets securities (Repositioning). The historical returns prior to that time do not reflect the Repositioning. |
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 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. |
Year ended | ||||||||
10/31/20 | 10/31/191 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$12.88 | $10.87 | $11.36 | $14.28 | $15.54 | ||||
0.19 | 0.14 | 0.19 | 0.08 | 0.18 | ||||
(1.18) | 2.07 | (0.21) | 0.03 | 0.41 | ||||
(0.99) | 2.21 | (0.02) | 0.11 | 0.59 | ||||
(0.14) | (0.20) | (0.16) | (0.21) | (0.24) | ||||
(0.32) | — | (0.26) | (2.82) | (1.61) | ||||
— | — | (0.05) | — | — | ||||
(0.46) | (0.20) | (0.47) | (3.03) | (1.85) | ||||
$11.43 | $12.88 | $10.87 | $11.36 | $14.28 | ||||
(7.86%)4 | 20.55%4 | (0.26%)4 | 0.90% | 4.24% | ||||
$38,879 | $51,133 | $50,627 | $65,824 | $86,129 | ||||
1.37% | 1.42% | 1.39% | 1.44% | 1.33% | ||||
1.57% | 1.58% | 1.41% | 1.44% | 1.33% | ||||
1.62% | 1.21% | 1.76% | 0.71% | 1.24% | ||||
1.42% | 1.05% | 1.74% | 0.71% | 1.24% | ||||
84% | 125% | 120% | 145% | 111% |
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 |
Net realized gain |
Return of capital |
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 | Prior to the close of business on August 19, 2019, the Fund invested primarily in securities of companies principally engaged in the real estate industry. Since the close of business on August 19, 2019, the Fund has been repositioned to invest primarily in listed real assets securities (Repositioning). The historical returns prior to that time do not reflect the Repositioning. |
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 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. |
Year ended | ||||||||
10/31/20 | 10/31/191 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$12.85 | $10.85 | $11.31 | $14.24 | $15.50 | ||||
0.10 | 0.05 | 0.11 | —3 | 0.07 | ||||
(1.17) | 2.07 | (0.21) | 0.02 | 0.42 | ||||
(1.07) | 2.12 | (0.10) | 0.02 | 0.49 | ||||
(0.07) | (0.12) | (0.05) | (0.13) | (0.14) | ||||
(0.32) | — | (0.26) | (2.82) | (1.61) | ||||
— | — | (0.05) | — | — | ||||
(0.39) | (0.12) | (0.36) | (2.95) | (1.75) | ||||
$11.39 | $12.85 | $10.85 | $11.31 | $14.24 | ||||
(8.55%)5 | 19.64%5 | (0.99%)5 | 0.13% | 3.53% | ||||
$2,302 | $4,082 | $4,810 | $13,331 | $20,598 | ||||
2.12% | 2.17% | 2.14% | 2.19% | 2.08% | ||||
2.32% | 2.33% | 2.16% | 2.19% | 2.08% | ||||
0.87% | 0.46% | 1.01% | (0.04%) | 0.49% | ||||
0.67% | 0.30% | 0.99% | (0.04%) | 0.49% | ||||
84% | 125% | 120% | 145% | 111% |
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 |
Net realized gain |
Return of capital |
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 | Prior to the close of business on August 19, 2019, the Fund invested primarily in securities of companies principally engaged in the real estate industry. Since the close of business on August 19, 2019, the Fund has been repositioned to invest primarily in listed real assets securities (Repositioning). The historical returns prior to that time do not reflect the Repositioning. |
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 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. |
Year ended | ||||||||
10/31/20 | 10/31/191 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$12.87 | $10.86 | $11.35 | $14.27 | $15.53 | ||||
0.16 | 0.11 | 0.17 | 0.05 | 0.15 | ||||
(1.18) | 2.07 | (0.22) | 0.04 | 0.41 | ||||
(1.02) | 2.18 | (0.05) | 0.09 | 0.56 | ||||
(0.12) | (0.17) | (0.13) | (0.19) | (0.21) | ||||
(0.32) | — | (0.26) | (2.82) | (1.61) | ||||
— | — | (0.05) | — | — | ||||
(0.44) | (0.17) | (0.44) | (3.01) | (1.82) | ||||
$11.41 | $12.87 | $10.86 | $11.35 | $14.27 | ||||
(8.14%)4 | 20.30%4 | (0.54%)4 | 0.66% | 4.00% | ||||
$4,149 | $4,966 | $4,934 | $7,885 | $12,573 | ||||
1.62% | 1.67% | 1.64% | 1.69% | 1.58% | ||||
1.82% | 1.83% | 1.66% | 1.69% | 1.58% | ||||
1.37% | 0.96% | 1.51% | 0.46% | 0.99% | ||||
1.17% | 0.80% | 1.49% | 0.46% | 0.99% | ||||
84% | 125% | 120% | 145% | 111% |
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 |
Net realized gain |
Return of capital |
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 | Prior to the close of business on August 19, 2019, the Fund invested primarily in securities of companies principally engaged in the real estate industry. Since the close of business on August 19, 2019, the Fund has been repositioned to invest primarily in listed real assets securities (Repositioning). The historical returns prior to that time do not reflect the Repositioning. |
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. |
5 | Total return during the period 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. |
Year ended | ||||||||
10/31/20 | 10/31/191 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$12.94 | $10.91 | $11.41 | $14.33 | $15.57 | ||||
0.22 | 0.17 | 0.22 | 0.12 | 0.21 | ||||
(1.19) | 2.09 | (0.22) | 0.02 | 0.44 | ||||
(0.97) | 2.26 | —3 | 0.14 | 0.65 | ||||
(0.16) | (0.23) | (0.19) | (0.24) | (0.28) | ||||
(0.32) | — | (0.26) | (2.82) | (1.61) | ||||
— | — | (0.05) | — | — | ||||
(0.48) | (0.23) | (0.50) | (3.06) | (1.89) | ||||
$11.49 | $12.94 | $10.91 | $11.41 | $14.33 | ||||
(7.63%)5 | 20.94%5 | (0.08%)5 | 1.14% | 4.60% | ||||
$46,769 | $12,621 | $13,741 | $16,988 | $38,720 | ||||
1.12% | 1.17% | 1.14% | 1.19% | 1.08% | ||||
1.32% | 1.33% | 1.16% | 1.19% | 1.08% | ||||
1.87% | 1.46% | 2.01% | 0.96% | 1.49% | ||||
1.67% | 1.30% | 1.99% | 0.96% | 1.49% | ||||
84% | 125% | 120% | 145% | 111% |
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 |
Net realized gain |
Return of capital |
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 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
2 | Prior to the close of business on August 19, 2019, the Fund invested primarily in securities of companies principally engaged in the real estate industry. Since the close of business on August 19, 2019, the Fund has been repositioned to invest primarily in listed real assets securities (Repositioning). The historical returns prior to that time do not reflect the Repositioning. |
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 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. |
Year ended | 8/31/161 to 10/31/16 | |||||||
10/31/20 | 10/31/192 | 10/31/18 | 10/31/17 | |||||
$12.91 | $10.89 | $11.41 | $14.33 | $15.43 | ||||
0.23 | 0.18 | 0.24 | 0.13 | 0.29 | ||||
(1.18) | 2.08 | (0.23) | 0.03 | (1.33) | ||||
(0.95) | 2.26 | 0.01 | 0.16 | (1.04) | ||||
(0.17) | (0.24) | (0.22) | (0.26) | (0.06) | ||||
(0.32) | — | (0.26) | (2.82) | — | ||||
— | — | (0.05) | — | — | ||||
(0.49) | (0.24) | (0.53) | (3.08) | (0.06) | ||||
$11.47 | $12.91 | $10.89 | $11.41 | $14.33 | ||||
(7.51%)5 | 21.00%5 | 0.09%5 | 1.28% | (6.79%) | ||||
$6,599 | $5,396 | $4,876 | $21,155 | $2 | ||||
1.02% | 1.07% | 1.01% | 1.04% | 0.93% | ||||
1.22% | 1.23% | 1.03% | 1.04% | 0.93% | ||||
1.97% | 1.56% | 2.14% | 1.11% | 1.97% | ||||
1.77% | 1.40% | 2.12% | 1.11% | 1.97% | ||||
84% | 125% | 120% | 145% | 111%7 |
Delaware Global Listed Real Assets Fund | October 31, 2020 |
(US GAAP) and are consistently followed by the Fund.
October 31, 2017–October 31, 2019), and has concluded that no provision for federal income tax is required in any 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 year ended October 31, 2020, the Fund did not incur any interest or tax penalties.
“Less expenses paid indirectly.” For the year ended October 31, 2020, the Fund earned $287 under
this arrangement.
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.
“Legal fees.”
$11 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.
Purchases other than US government securities | $110,817,133 |
Purchases of US government securities | 6,792,133 |
Sales other than US government securities | 76,562,683 |
Sales of US government securities | 7,536,079 |
Cost of investments and derivatives | $100,458,843 |
Aggregate unrealized appreciation of investments and derivatives | $5,880,280 |
Aggregate unrealized depreciation of investments and derivatives | (7,733,294) |
Net unrealized depreciation of investments and derivatives | $(1,853,014) |
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.
Level 1 | Level 2 | Total | |||||
Securities | |||||||
Assets: | |||||||
Common STOC1k | |||||||
Consumer Staples | $2,026,697 | $— | $2,026,697 | ||||
Energy | 9,100,703 | — | 9,100,703 | ||||
Financials | 1,024,166 | — | 1,024,166 | ||||
Industrials | 2,912,307 | 7,843,328 | 10,755,635 | ||||
Materials | 10,336,383 | — | 10,336,383 | ||||
Real Estate Operating Companies/Developer | — | 2,321,611 | 2,321,611 | ||||
REIT Diversified | 1,361,689 | 1,122,050 | 2,483,739 | ||||
REIT Healthcare | 1,761,374 | — | 1,761,374 | ||||
REIT Hotel | 325,930 | — | 325,930 | ||||
REIT Industrial | 1,909,435 | 1,165,458 | 3,074,893 | ||||
REIT Information Technology | 1,539,536 | — | 1,539,536 | ||||
REIT Mall | 454,619 | — | 454,619 | ||||
REIT Manufactured Housing | 697,994 | — | 697,994 | ||||
REIT Multifamily | 1,574,345 | 1,146,901 | 2,721,246 | ||||
REIT Office | 1,110,484 | 119,386 | 1,229,870 | ||||
REIT Retail | — | 364,019 | 364,019 | ||||
REIT Self-Storage | 498,055 | — | 498,055 | ||||
REIT Shopping Center | 105,589 | — | 105,589 | ||||
REIT Single Tenant | 323,624 | — | 323,624 | ||||
REIT Specialty | 728,570 | 134,743 | 863,313 | ||||
Utilities | 4,776,539 | 5,966,465 | 10,743,004 | ||||
Convertible Bond | — | 57,652 | 57,652 | ||||
Corporate Bonds | — | 16,273,910 | 16,273,910 | ||||
Loan Agreements | — | 3,355,238 | 3,355,238 |
Level 1 | Level 2 | Total | |||||||
Master Limited Partnerships | $427,643 | $— | $427,643 | ||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 2,218,371 | 2,218,371 | ||||||
Rights | — | — | — | ||||||
Sovereign Bonds | — | 8,975,291 | 8,975,291 | ||||||
US Treasury Obligations | — | 4,028,089 | 4,028,089 | ||||||
Short-Term Investments | 491,584 | — | 491,584 | ||||||
Total Value of Securities | $43,487,266 | $55,092,512 | $98,579,778 | ||||||
Derivatives1 | |||||||||
Assets: | |||||||||
Foreign Currency Exchange Contracts | $— | $81,895 | $81,895 | ||||||
Liabilities: | |||||||||
Foreign Currency Exchange Contracts | $— | $(55,844) | $(55,844) |
1Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end. |
Year ended | |||
10/31/20 | 10/31/19 | ||
Ordinary income | $2,361,787 | $1,310,788 | |
Long-term capital gains | 1,768,278 | — | |
Total | $4,130,065 | $1,310,788 |
Shares of beneficial interest | $106,778,231 |
Undistributed ordinary income | 360,451 |
Capital loss carryforwards | (6,587,688) |
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | (1,853,014) |
Net assets | $98,697,980 |
Paid-in capital | $(75) |
Total distributable earnings (loss) | 75 |
Loss carryforward character | |||||
Short-term | Long-term | Total | |||
$ 5,537,818 | $ 1,049,870 | $ 6,587,688 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Shares sold: | |||
Class A | 194,483 | 170,099 | |
Class C | 12,696 | 31,736 | |
Class R | 56,811 | 72,342 | |
Institutional Class | 4,639,833 | 166,284 | |
Class R6 | 215,919 | 9,911 | |
Shares issued upon reinvestment of dividends and distributions: | |||
Class A | 142,428 | 71,100 | |
Class C | 9,310 | 3,864 | |
Class R | 13,696 | 6,542 | |
Institutional Class | 156,940 | 20,904 | |
Class R6 | 15,880 | 8,817 | |
5,457,996 | 561,599 | ||
Shares redeemed: | |||
Class A | (905,111) | (929,775) | |
Class C | (137,516) | (161,337) | |
Class R | (92,886) | (147,272) | |
Institutional Class | (1,700,957) | (470,694) | |
Class R6 | (74,264) | (48,524) | |
(2,910,734) | (1,757,602) | ||
Net increase (decrease) | 2,547,262 | (1,196,003) |
Exchange Redemptions | Exchange Subscriptions | |||||||||||
Class A Shares | Class C Shares | Class A Shares | Institutional Class Shares | Value | ||||||||
Year ended | ||||||||||||
10/31/20 | 7,530 | 5,831 | 5,109 | 8,190 | $155,178 | |||||||
Year ended | ||||||||||||
10/31/19 | 1,320 | 2,470 | 2,463 | 1,314 | 44,663 |
Asset Derivatives Fair Value | ||
Statement of Assets and Liabilities Location | Currency Contracts | |
Unrealized appreciation of foreign currency exchange contracts | $81,895 |
Liability Derivatives Fair Value | ||
Statement of Assets and Liabilities Location | Currency Contracts | |
Unrealized depreciation on foreign currency exchange contracts | $(55,844) |
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Total | ||||
Currency contracts | $(124,920) | $— | $— | $(124,920) | |||
Interest rate contracts | — | 8,624 | 28,523 | 37,147 | |||
Total | $(124,920) | $8,624 | $28,523 | $(87,773) |
Net Change in Unrealized Appreciation (Depreciation) of: | |||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Total | ||||
Currency contracts | $58,258 | $— | $— | $58,258 | |||
Interest rate contracts | — | 35 | (235) | (200) | |||
Total | $58,258 | $35 | $(235) | $58,058 |
Long Derivative Volume | Short Derivative Volume | ||||
Foreign currency exchange contracts (average notional value) | $305,429 | $9,070,283 | |||
Futures contracts (average notional value) | 363,311 | 122,132 | |||
Options contracts (average notional value) | 695 | — |
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
Citigroup Global Markets | $470 | $— | $470 | |||
JPMorgan Chase Bank, National Association | 81,425 | (55,844) | 25,581 | |||
Total | $81,895 | $(55,844) | $26,051 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
Citigroup Global Markets | $470 | $— | $— | $— | $— | $470 | ||||||
JPMorgan Chase Bank, National Association | 25,581 | — | — | — | — | 25,581 | ||||||
Total | $26,051 | $ | $ | $ | $ | $26,051 | ||||||
(a)The value of the related collateral exceeded the value of the derivatives as of October 31, 2020, as applicable. | ||||||||||||
(b)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
Philadelphia, Pennsylvania
December 21, 2020
(Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Fund’s acquisition of Illiquid investments if, immediately after the acquisition, the Fund would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a
non-public basis) and to the Board if the Fund’s holdings of Illiquid assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
Fund to report the maximum amount permitted under the Internal Revenue Code and the
regulations thereunder.
as follows:
(A) Long-Term Capital Gain Distributions (Tax Basis) | 42.81% |
(B) Ordinary Income Distributions (Tax Basis)* | 57.19% |
Total Distributions (Tax Basis) | 100.00% |
(C) Qualifying Dividends1 | 15.30% |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Interested Trustee | |||||
Shawn K. Lytle1 610 Market Street Philadelphia, PA 19106-2354 February 1970 | President, Chief Executive Officer, and Trustee | President and Chief Executive Officer since August 2015 Trustee since September 2015 | President — Macquarie Investment Management2 (June 2015–Present) Regional Head of Americas — UBS Global Asset Management (April 2010–May 2015) | 85 | Trustee — UBS Relationship Funds, SMA Relationship Trust, and UBS Funds (May 2010–April 2015) |
Independent Trustees | |||||
Jerome D. Abernathy 610 Market Street Philadelphia, PA 19106-2354 July 1959 | Trustee | Since January 2019 | Managing Member, Stonebrook Capital Management, LLC (financial technology: macro factors and databases) (January 1993-Present) | 85 | None |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Thomas L. Bennett 610 Market Street Philadelphia, PA 19106-2354 October 1947 | Chair and Trustee | Trustee since March 2005 Chair since March 2015 | Private Investor (March 2004–Present) | 85 | None |
Ann D. Borowiec 610 Market Street Philadelphia, PA 19106-2354 November 1958 | Trustee | Since March 2015 | Chief Executive Officer, Private Wealth Management (2011–2013) and Market Manager, New Jersey Private Bank (2005–2011) — J.P. Morgan Chase & Co. | 85 | Director — Banco Santander International (October 2016–December 2019) Director — Santander Bank, N.A. (December 2016–December 2019) |
Joseph W. Chow 610 Market Street Philadelphia, PA 19106-2354 January 1953 | Trustee | Since January 2013 | Private Investor (April 2011–Present) | 85 | Director and Audit Committee Member — Hercules Technology Growth Capital, Inc. (July 2004–July 2014) |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
John A. Fry 610 Market Street Philadelphia, PA 19106-2354 May 1960 | Trustee | Since January 2001 | President — Drexel University (August 2010–Present) President — Franklin & Marshall College (July 2002–June 2010) | 85 | Director; Compensation Committee and Governance Committee Member — Community Health Systems (May 2004–Present) Director — Drexel Morgan & Co. (2015–2019) Director and Audit Committee Member — vTv Therapeutics Inc. (2017–Present) Director and Audit Committee Member — FS Credit Real Estate Income Trust, Inc. (2018–Present) Director — Federal Reserve Bank of Philadelphia (January 2020–Present) |
Lucinda S. Landreth 610 Market Street Philadelphia, PA 19106-2354 June 1947 | Trustee | Since March 2005 | Private Investor (2004–Present) | 85 | None |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Frances A. Sevilla-Sacasa 610 Market Street Philadelphia, PA 19106-2354 January 1956 | Trustee | Since September 2011 | Private Investor (January 2017–Present) Chief Executive Officer — Banco Itaú International (April 2012–December 2016) Executive Advisor to Dean (August 2011–March 2012) and Interim Dean (January 2011–July 2011) — University of Miami School of Business Administration President — U.S. Trust, Bank of America Private Wealth Management (Private Banking) (July 2007-December 2008) | 85 | Trust Manager and Audit Committee Chair — Camden Property Trust (August 2011–Present) Director; Strategic Planning and Reserves Committee and Nominating and Governance Committee Member — Callon Petroleum Company (December 2019–Present) Director; Audit Committee Member — Carrizo Oil & Gas, Inc. (March 2018–December 2019) |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Thomas K. Whitford 610 Market Street Philadelphia, PA 19106-2354 March 1956 | Trustee | Since January 2013 | Vice Chairman (2010–April 2013) — PNC Financial Services Group | 85 | Director — HSBC North America Holdings Inc. (December 2013–Present) Director — HSBC USA Inc. (July 2014–Present) Director — HSBC Bank USA, National Association (July 2014–March 2017) Director — HSBC Finance Corporation (December 2013–April 2018) |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Christianna Wood 610 Market Street Philadelphia, PA 19106-2354 August 1959 | Trustee | Since January 2019 | Chief Executive Officer and President — Gore Creek Capital, Ltd. (August 2009–Present) | 85 | Director; Finance Committee and Audit Committee Member — H&R Block Corporation (July 2008–Present) Director; Investments Committee, Capital and Finance Committee, and Audit Committee Member — Grange Insurance (2013–Present) Trustee; Chair of Nominating and Governance Committee and Audit Committee Member — The Merger Fund (2013–Present), The Merger Fund VL (2013–Present); WCM Alternatives: Event-Driven Fund (2013–Present), and WCM Alternatives: Credit Event Fund (December 2017–Present) Director; Chair of Governance Committee and Audit Committee Member — International Securities Exchange (2010–2016) |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Janet L. Yeomans 610 Market Street Philadelphia, PA 19106-2354 July 1948 | Trustee | Since April 1999 | Vice President and Treasurer (January 2006–July 2012), Vice President — Mergers & Acquisitions (January 2003–January 2006), and Vice President and Treasurer (July 1995–January 2003) — 3M Company | 85 | Director; Personnel and Compensation Committee Chair; Member of Nominating, Investments, and Audit Committees for various periods throughout directorship — Okabena Company (2009–2017) |
Officers | |||||
David F. Connor 610 Market Street Philadelphia, PA 19106-2354 December 1963 | Senior Vice President, General Counsel, and Secretary | Senior Vice President, since May 2013; General Counsel since May 2015; Secretary since October 2005 | David F. Connor has served in various capacities at different times at Macquarie Investment Management. | 85 | None3 |
Daniel V. Geatens 610 Market Street Philadelphia, PA 19106-2354 October 1972 | Vice President and Treasurer | Vice President and Treasurer since October 2007 | Daniel V. Geatens has served in various capacities at different times at Macquarie Investment Management. | 85 | None3 |
Name, Address, and Birth Date | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer |
Richard Salus 610 Market Street Philadelphia, PA 19106-2354 October 1963 | Senior Vice President and Chief Financial Officer | Senior Vice President and Chief Financial Officer since November 2006 | Richard Salus has served in various capacities at different times at Macquarie Investment Management. | 85 | None |
Chief Executive Officer
Delaware Funds®
by Macquarie
Philadelphia, PA
Stonebrook Capital
Management, LLC
Jersey City, NJ
Delaware Funds
by Macquarie
Private Investor
Rosemont, PA
Officer
Private Wealth Management
J.P. Morgan Chase & Co.
New York, NY
President
State Street Corporation
Boston, MA
Drexel University
Philadelphia, PA
Officer
Assurant, Inc.
New York, NY
Sevilla-Sacasa
Officer
Banco Itaú International
Miami, FL
PNC Financial Services Group
Pittsburgh, PA
and President
Gore Creek Capital, Ltd.
Golden, CO
Treasurer
3M Company
St. Paul, MN
General Counsel,
and Secretary
Delaware Funds
by Macquarie
Philadelphia, PA
Treasurer
Delaware Funds
by Macquarie
Philadelphia, PA
Chief Financial Officer
Delaware Funds
by Macquarie
Philadelphia, PA
and use
broker/dealers; and other financial services companies with whom we have joint marketing agreements). Our service providers also include nonfinancial companies and individuals (for example, consultants; information services vendors; and companies that perform mailing or marketing services on our behalf). Information obtained from a report prepared by a service provider may be kept by the service provider and shared with other persons; however, we require our service providers to protect your personal information and to use or disclose it only for the work they are performing for us, or as permitted by law.
This and other information can be found in the Fund’s prospectus and, if available, its summary prospectus.
A Delaware Funds by Macquarie prospectus may be obtained by visiting delawarefunds.com/literature or
calling 800 523-1918. Investors should read the prospectus and, if available, the summary prospectus carefully
before investing.
Municipal fixed income funds
out the convenient options provided by Macquarie Investment Management. We try to make it easy for you to avoid some of the sales charges that you might otherwise have to pay when you withdraw and invest your money with another firm.
exchange all or part of your shares in one Delaware Funds® by Macquarie mutual fund for shares of the same class of another fund without paying a front-end sales charge or a contingent deferred sales charge (CDSC).
any changes:
or $75 quarterly. If the annual amount you withdraw is less than 12% of your account balance at the time the systematic withdrawal plan is established, the CDSC ordinarily applicable to certain fund classes will be waived. More details are available in your prospectus or at
delawarefunds.com/literature.
read it carefully before buying shares through an exchange.
800 523-1918, weekdays from 8:30am to
6:00pm ET
institutions representatives only
800 362-7500
P.O. Box 9876
Providence, RI 02940-8076
4400 Computer Drive
Westborough, MA 01581-1722
Macquarie Investment Management (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, and Macquarie Investment Management Europe S.A.
Item 2. Code of Ethics
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. A copy of the registrant’s Code of Business Ethics has been posted on the Delaware Funds® by Macquarie Internet Web site at www.delawarefunds.com. Any amendments to the Code of Business Ethics, and information on any waiver from its provisions granted by the registrant, will also be posted on this Web site within five business days of such amendment or waiver and will remain on the Web site for at least 12 months.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees has determined that certain members of the registrant’s Audit Committee are audit committee financial experts, as defined below. For purposes of this item, an “audit committee financial expert” is a person who has the following attributes:
a. An understanding of generally accepted accounting principles and financial statements;
b. The ability to assess the general application of such principles in connection with the accounting for estimates, accruals, and reserves;
c. Experience preparing, auditing, analyzing, or evaluating financial statements that present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements, or experience actively supervising one or more persons engaged in such activities;
d. An understanding of internal controls and procedures for financial reporting; and
e. An understanding of audit committee functions.
An “audit committee financial expert” shall have acquired such attributes through:
a. Education and experience as a principal financial officer, principal accounting officer, controller, public accountant, or auditor or experience in one or more positions that involve the performance of similar functions;
b. Experience actively supervising a principal financial officer, principal accounting officer, controller, public accountant, auditor, or person performing similar functions;
c. Experience overseeing or assessing the performance of companies or public accountants with respect to the preparation, auditing, or evaluation of financial statements; or
d. Other relevant experience.
The registrant’s Board of Trustees has also determined that each member of the registrant’s Audit Committee is independent. In order to be “independent” for purposes of this item, the Audit Committee member may not: (i) other than in his or her capacity as a member of the Board of Trustees or any committee thereof, accept directly or indirectly any consulting, advisory or other compensatory fee from the issuer; or (ii) be an “interested person” of the registrant as defined in Section 2(a)(19) of the Investment Company Act of 1940.
The names of the audit committee financial experts on the registrant’s Audit Committee are set forth below:
Jerome D. Abernathy
John A. Fry
Thomas K. Whitford, Chair
Christianna Wood
Item 4. Principal Accountant Fees and Services
(a) Audit fees.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $231,810 for the fiscal year ended October 31, 2020.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $237,130 for the fiscal year ended October 31, 2019.
(b) Audit-related fees.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2020.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the financial statements of the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $903,282 for the registrant’s fiscal year ended October 31, 2020. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These audit-related services were as follows: year end audit procedures; group reporting and subsidiary statutory audits.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2019.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the financial statements of the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $909,000 for the registrant’s fiscal year ended October 31, 2019. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These audit-related services were as follows: year end audit procedures; group reporting and subsidiary statutory audits.
(c) Tax fees.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $41,230 for the fiscal year ended October 31, 2020. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These tax-related services were as follows: review of income tax returns and review of annual excise distribution calculations.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended October 31, 2020.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $41,230 for the fiscal year ended October 31, 2019. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These tax-related services were as follows: review of income tax returns and review of annual excise distribution calculations.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended October 31, 2019.
(d) All other fees.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended October 31, 2020.
The aggregate fees billed for all services other than those set forth in paragraphs (b) and (c) of this Item provided by the registrant’s independent auditors to the registrant’s adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended October 31, 2020. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended October 31, 2019.
The aggregate fees billed for all services other than those set forth in paragraphs (b) and (c) of this Item provided by the registrant’s independent auditors to the registrant’s adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended October 31, 2019. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%.
(e) The registrant’s Audit Committee has established pre-approval policies and procedures as permitted by Rule 2-01(c)(7)(i)(B) of Regulation S-X (the “Pre-Approval Policy”) with respect to services provided by the registrant’s independent auditors. Pursuant to the Pre-Approval Policy, the Audit Committee has pre-approved the services set forth in the table below with respect to the registrant up to the specified fee limits. Certain fee limits are based on aggregate fees to the registrant and other registrants within the Delaware Funds® by Macquarie.
Service | Range of Fees |
Audit Services | |
Statutory audits or financial audits for new Funds | up to $40,000 per Fund |
Services associated with SEC registration statements (e.g., Form N-1A, Form N-14, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., comfort letters for closed-end Fund offerings, consents), and assistance in responding to SEC comment letters | up to $10,000 per Fund |
Consultations by Fund management as to the accounting or disclosure treatment of transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be considered “audit-related services” rather than “audit services”) | up to $25,000 in the aggregate |
Audit-Related Services | |
Consultations by Fund management as to the accounting or disclosure treatment of transactions or events and /or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be considered “audit services” rather than “audit-related services”) | up to $25,000 in the aggregate |
Tax Services | |
U.S. federal, state and local and international tax planning and advice (e.g., consulting on statutory, regulatory or administrative developments, evaluation of Funds’ tax compliance function, etc.) | up to $25,000 in the aggregate |
U.S. federal, state and local tax compliance (e.g., excise distribution reviews, etc.) | up to $5,000 per Fund |
Review of federal, state, local and international income, franchise and other tax returns | up to $5,000 per Fund |
Under the Pre-Approval Policy, the Audit Committee has also pre-approved the services set forth in the table below with respect to the registrant’s investment adviser and other entities controlling, controlled by or under common control with the investment adviser that provide ongoing services to the registrant (the “Control Affiliates”) up to the specified fee limit. This fee limit is based on aggregate fees to the investment adviser and its Control Affiliates.
Service | Range of Fees |
Non-Audit Services | |
Services associated with periodic reports and other documents filed with the SEC and assistance in responding to SEC comment letters | up to $10,000 in the aggregate |
The Pre-Approval Policy requires the registrant’s independent auditors to report to the Audit Committee at each of its regular meetings regarding all services initiated since the last such report was rendered, including those services authorized by the Pre-Approval Policy.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s independent auditors for services rendered to the registrant and to its investment adviser and other service providers under common control with the adviser were $5,607,000 and $9,955,000 for the registrant’s fiscal years ended October 31, 2020 and October 31, 2019, respectively.
(h) In connection with its selection of the independent auditors, the registrant’s Audit Committee has considered the independent auditors’ provision of non-audit services to the registrant’s investment adviser and other service providers under common control with the adviser that were not required to be pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X. The Audit Committee has determined that the independent auditors’ provision of these services is compatible with maintaining the auditors’ independence.
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. | |
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT. | |
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934. | |
Not applicable. | |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
DELAWARE POOLED® TRUST
/s/SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | January 4, 2021 |
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.
/s/SHAWN K. LYTLE | |
By: | Shawn K. Lytle |
Title: | President and Chief Executive Officer |
Date: | January 4, 2021 |
/s/RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | January 4, 2021 |