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: | 811-07972 | |
Exact name of registrant as specified in charter: | Delaware Group® Adviser Funds | |
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
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 Diversified Income Fund | November 10, 2020 (Unaudited) |
Delaware Diversified Income Fund (Institutional Class shares) | 1-year return | +7.52% |
Delaware Diversified Income Fund (Class A shares) | 1-year return | +7.37% |
Bloomberg Barclays US Aggregate Index (benchmark) | 1-year return | +6.19% |
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
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 7 for a description of the index. Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
• | timely shifts in exposure to risk and positive yield-curve management |
• | increased exposure to higher-risk, higher-return segments |
• | an overweight to and positive security selection in BBB-related credits. |
• | exposure to high yield and emerging market bonds |
• | exposure to Republic of Ecuador bonds |
• | an overweight to commercial mortgage-backed securities (CMBS). |
Fund outpaced its benchmark overall for the
12-month period, benefiting from timely
shifts in exposure to risk and overall positive
yield-curve management.
risk-off period. When the fiscal and monetary tide shifted in late March, however, and higher-risk
“plus” component.
higher-risk, higher-return segments to levels exceeding our earlier exposure. That strong tailwind carried the Fund through the rest of the fiscal year.
Chapter 11 filing, and the Fund maintains exposure to the name from a secured position.
Delaware Diversified Income 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 29, 1997) | ||||
Excluding sales charge | +7.37% | +4.54% | +3.84% | +6.46% |
Including sales charge | +2.51% | +3.59% | +3.36% | +6.25% |
Class C (Est. October 28, 2002) | ||||
Excluding sales charge | +6.45% | +3.74% | +3.06% | +5.25% |
Including sales charge | +5.45% | +3.74% | +3.06% | +5.25% |
Class R (Est. June 2, 2003) | ||||
Excluding sales charge | +6.99% | +4.28% | +3.58% | +5.17% |
Including sales charge | +6.99% | +4.28% | +3.58% | +5.17% |
Institutional Class (Est. October 28, 2002) | ||||
Excluding sales charge | +7.52% | +4.80% | +4.10% | +6.30% |
Including sales charge | +7.52% | +4.80% | +4.10% | +6.30% |
Class R6 (Est. May 2, 2016) | ||||
Excluding sales charge | +7.61% | — | — | +4.99% |
Including sales charge | +7.61% | — | — | +4.99% |
Bloomberg Barclays US Aggregate Index | +6.19% | +4.08% | +3.55% | +4.40%* |
*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. |
(12b-1) fee.
12b-1 fee of 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales
charge applied.
grade bonds.
its portfolio.
to hedge against currency risks, the Fund
will be subject to special risks, including counterparty risk.
Fund expense ratios | Class A | Class C | Class R | Institutional Class | Class R6 |
Total annual operating expenses (without fee waivers) | 0.88% | 1.63% | 1.13% | 0.63% | 0.54% |
Net expenses (including fee waivers, if any) | 0.70% | 1.45% | 0.95% | 0.45% | 0.36% |
Type of waiver | Contractual | Contractual | Contractual | Contractual | Contractual |
March 1, 2021.
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
Delaware Diversified Income Fund — Institutional Class shares | $10,000 | $14,941 | |
Bloomberg Barclays US Aggregate Index | $10,000 | $14,177 | |
Delaware Diversified Income Fund — Class A shares | $9,550 | $13,919 |
through 8.
Nasdaq symbols | CUSIPs | |
Class A | DPDFX | 246248744 |
Class C | DPCFX | 246248595 |
Class R | DPRFX | 246248553 |
Institutional Class | DPFFX | 246248587 |
Class R6 | DPZRX | 245917612 |
(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 | $1,054.00 | 0.69% | $3.56 |
Class C | 1,000.00 | 1,050.10 | 1.44% | 7.42 |
Class R | 1,000.00 | 1,052.70 | 0.94% | 4.85 |
Institutional Class | 1,000.00 | 1,055.30 | 0.44% | 2.27 |
Class R6 | 1,000.00 | 1,055.70 | 0.36% | 1.86 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,021.67 | 0.69% | $3.51 |
Class C | 1,000.00 | 1,017.90 | 1.44% | 7.30 |
Class R | 1,000.00 | 1,020.41 | 0.94% | 4.77 |
Institutional Class | 1,000.00 | 1,022.92 | 0.44% | 2.24 |
Class R6 | 1,000.00 | 1,023.33 | 0.36% | 1.83 |
*“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 Diversified Income Fund | As of October 31, 2020 (Unaudited) |
Security type / sector | Percentage of net assets |
Agency Asset-Backed Securities | 0.00% |
Agency Collateralized Mortgage Obligations | 1.36% |
Agency Commercial Mortgage-Backed Securities | 0.57% |
Agency Mortgage-Backed Securities | 9.93% |
Collateralized Debt Obligations | 2.01% |
Corporate Bonds | 51.65% |
Banking | 8.45% |
Basic Industry | 4.75% |
Brokerage | 0.53% |
Capital Goods | 3.22% |
Communications | 7.57% |
Consumer Cyclical | 3.09% |
Consumer Non-Cyclical | 6.08% |
Electric | 4.50% |
Energy | 6.98% |
Finance Companies | 0.94% |
Insurance | 1.41% |
Natural Gas | 0.08% |
Real Estate | 0.14% |
REITs | 0.04% |
Technology | 2.35% |
Security type / sector | Percentage of net assets |
Transportation | 1.40% |
Utilities | 0.12% |
Municipal Bonds | 0.03% |
Non-Agency Asset-Backed Securities | 1.96% |
Non-Agency Collateralized Mortgage Obligations | 2.45% |
Non-Agency Commercial Mortgage-Backed Securities | 8.03% |
Loan Agreements | 5.07% |
Sovereign Bonds | 2.45% |
Supranational Banks | 0.10% |
US Treasury Obligations | 11.77% |
Common Stock | 0.00% |
Preferred Stock | 0.10% |
Short-Term Investments | 2.54% |
Securities Lending Collateral | 1.39% |
Total Value of Securities | 101.41% |
Obligation to Return Securities Lending Collateral | (1.39%) |
Liabilities Net of Receivables and Other Assets | (0.02%) |
Total Net Assets | 100.00% |
Delaware Diversified Income Fund | October 31, 2020 |
Principal amount° | Value (US $) | ||
Agency Asset-Backed Securities — 0.00% | |||
Fannie Mae REMIC Trust | |||
Series 2001-W2 AS5 6.473% 10/25/31 φ | 9 | $9 | |
Series 2002-W11 AV1 0.472% (LIBOR01M + 0.34%, Floor 0.17%) 11/25/32 • | 2,310 | 2,263 | |
Total Agency Asset-Backed Securities (cost $2,306) | 2,272 | ||
Agency Collateralized Mortgage Obligations — 1.36% | |||
Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C04 2M2 2.999% (LIBOR01M + 2.85%) 11/25/29 • | 1,401,888 | 1,400,326 | |
Series 2018-C02 2M2 2.349% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 • | 1,718,652 | 1,667,998 | |
Series 2018-C03 1M2 2.299% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 • | 2,249,413 | 2,195,684 | |
Series 2018-C05 1M2 2.499% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31 • | 1,804,178 | 1,761,186 | |
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% (LIBOR03M + 0.89%) 1/19/39 • | 5,441 | 5,935 | |
Series 2002-T19 A1 6.50% 7/25/42 | 57,115 | 68,936 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 16,859 | 19,847 | |
Fannie Mae REMIC Trust | |||
Series 2002-W6 2A 7.50% 6/25/42 • | 14,074 | 16,189 | |
Series 2003-W1 2A 5.691% 12/25/42 • | 8,146 | 9,104 | |
Series 2004-W11 1A2 6.50% 5/25/44 | 150,861 | 178,638 | |
Fannie Mae REMICs | |||
Series 2013-44 Z 3.00% 5/25/43 | 184,426 | 183,717 | |
Series 2015-34 OK 0.000% 3/25/44 Ω, ^ | 1,892,749 | 1,846,705 | |
Series 2017-40 GZ 3.50% 5/25/47 | 1,874,865 | 2,066,300 | |
Series 2017-77 HZ 3.50% 10/25/47 | 2,351,189 | 2,490,905 | |
Series 2017-94 CZ 3.50% 11/25/47 | 1,463,693 | 1,574,175 | |
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ♦ | 4,515,000 | 4,850,522 | |
Freddie Mac REMICs Series 4676 KZ 2.50% 7/15/45 | 1,708,222 | 1,782,137 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA1 M2 3.399% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 • | 4,354,460 | 4,479,113 | |
Series 2017-DNA3 M2 2.649% (LIBOR01M + 2.50%) 3/25/30 • | 1,420,000 | 1,435,089 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-HQA2 M2AS 1.199% (LIBOR01M + 1.05%) 12/25/29 • | 3,466,628 | $3,470,351 | |
Series 2018-HQA1 M2 2.449% (LIBOR01M + 2.30%) 9/25/30 • | 2,745,154 | 2,684,267 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2019-HQA4 M2 144A 2.199% (LIBOR01M + 2.05%) 11/25/49 #, • | 2,822,487 | 2,801,766 | |
Series 2020-DNA2 M1 144A 0.899% (LIBOR01M + 0.75%, Floor 0.75%) 2/25/50 #, • | 273,966 | 273,439 | |
Series 2020-DNA2 M2 144A 1.999% (LIBOR01M + 1.85%, Floor 1.85%) 2/25/50 #, • | 1,500,000 | 1,467,495 | |
Series 2020-HQA2 M2 144A 3.249% (LIBOR01M + 3.10%) 3/25/50 #, • | 4,000,000 | 3,932,350 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 14,863 | 18,077 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 268,023 | 311,502 | |
GNMA | |||
Series 2013-113 LY 3.00% 5/20/43 | 862,000 | 933,995 | |
Series 2013-182 CZ 2.50% 12/20/43 | 1,699,656 | 1,755,702 | |
Series 2017-34 DY 3.50% 3/20/47 | 1,103,995 | 1,226,496 | |
Series 2017-52 LE 3.00% 1/16/47 | 19,000 | 20,941 | |
Series 2017-130 YJ 2.50% 8/20/47 | 1,210,000 | 1,307,555 | |
Series 2018-34 TY 3.50% 3/20/48 | 827,000 | 891,881 | |
Total Agency Collateralized Mortgage Obligations (cost $47,018,201) | 49,128,323 | ||
Agency Commercial Mortgage-Backed Securities — 0.57% | |||
FREMF Mortgage Trust | |||
Series 2011-K15 B 144A 4.961% 8/25/44 #, • | 485,000 | 497,282 | |
Series 2012-K22 B 144A 3.685% 8/25/45 #, • | 4,410,000 | 4,624,468 | |
Series 2013-K25 C 144A 3.619% 11/25/45 #, • | 2,800,000 | 2,897,919 | |
Series 2014-K37 B 144A 4.56% 1/25/47 #, • | 4,550,000 | 5,015,631 | |
Series 2014-K717 B 144A 3.63% 11/25/47 #, • | 1,925,000 | 1,958,343 | |
Series 2014-K717 C 144A 3.63% 11/25/47 #, • | 650,000 | 658,157 | |
Series 2015-K44 B 144A 3.68% 1/25/48 #, • | 1,000,000 | 1,076,774 | |
Series 2016-K53 B 144A 4.021% 3/25/49 #, • | 1,465,000 | 1,610,427 | |
Series 2016-K722 B 144A 3.844% 7/25/49 #, • | 2,175,000 | 2,287,845 | |
Total Agency Commercial Mortgage-Backed Securities (cost $19,989,023) | 20,626,846 | ||
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities — 9.93% | |||
Fannie Mae S.F. 30 yr | |||
3.00% 11/1/48 | 5,048,159 | $5,289,491 | |
3.00% 10/1/49 | 20,869,674 | 21,824,186 | |
3.00% 12/1/49 | 21,022,721 | 22,531,612 | |
3.00% 3/1/50 | 5,437,081 | 5,747,767 | |
3.00% 7/1/50 | 15,121,054 | 15,816,500 | |
3.50% 7/1/47 | 9,715,284 | 10,539,540 | |
3.50% 12/1/47 | 2,930,405 | 3,105,836 | |
3.50% 1/1/48 | 2,307,069 | 2,446,024 | |
3.50% 2/1/48 | 8,511,540 | 9,302,714 | |
3.50% 11/1/48 | 7,939,323 | 8,412,824 | |
3.50% 1/1/50 | 18,726,196 | 19,767,769 | |
3.50% 2/1/50 | 7,512,803 | 7,927,669 | |
3.50% 3/1/50 | 7,778,770 | 8,434,179 | |
4.00% 4/1/47 | 2,693,960 | 2,991,285 | |
4.00% 10/1/48 | 12,235,387 | 13,583,204 | |
4.50% 2/1/41 | 3,132,089 | 3,520,538 | |
4.50% 4/1/44 | 322,932 | 370,280 | |
4.50% 2/1/46 | 35,558 | 39,953 | |
4.50% 5/1/46 | 1,385,718 | 1,555,728 | |
4.50% 4/1/48 | 2,326,387 | 2,613,079 | |
4.50% 1/1/49 | 19,467,124 | 21,532,047 | |
4.50% 1/1/50 | 5,376,333 | 5,858,914 | |
5.00% 7/1/49 | 18,414,517 | 20,493,094 | |
5.50% 5/1/44 | 30,576,654 | 35,984,337 | |
6.00% 6/1/41 | 6,137,709 | 7,260,480 | |
6.00% 7/1/41 | 16,992,356 | 20,195,650 | |
6.00% 1/1/42 | 5,010,087 | 5,910,724 | |
Fannie Mae S.F. 30 yr TBA 3.00% 11/1/50 | 3,071,000 | 3,209,675 | |
Freddie Mac S.F. 30 yr | |||
3.00% 11/1/49 | 11,997,826 | 12,535,633 | |
3.00% 12/1/49 | 4,412,516 | 4,656,560 | |
3.00% 1/1/50 | 3,936,635 | 4,185,247 | |
3.50% 11/1/48 | 10,385,739 | 11,470,909 | |
4.00% 7/1/47 | 1,146,476 | 1,231,855 | |
4.50% 4/1/49 | 5,304,882 | 5,846,999 | |
4.50% 8/1/49 | 9,764,205 | 10,898,882 | |
5.50% 6/1/41 | 5,017,967 | 5,839,537 | |
5.50% 9/1/41 | 9,969,208 | 11,604,310 | |
GNMA I S.F. 30 yr 3.00% 3/15/50 | 4,234,796 | 4,422,939 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
GNMA II S.F. 30 yr | |||
5.50% 5/20/37 | 475,723 | $548,447 | |
6.50% 6/20/39 | 2,541 | 2,907 | |
Total Agency Mortgage-Backed Securities (cost $347,046,622) | 359,509,324 | ||
Collateralized Debt Obligations — 2.01% | |||
AMMC CLO 22 Series 2018-22A A 144A 1.245% (LIBOR03M + 1.03%, Floor 1.03%) 4/25/31 #, • | 4,400,000 | 4,318,296 | |
Apex Credit CLO Series 2018-1A A2 144A 1.245% (LIBOR03M + 1.03%) 4/25/31 #, • | 11,200,000 | 10,818,595 | |
Atlas Senior Loan Fund X Series 2018-10A A 144A 1.327% (LIBOR03M + 1.09%) 1/15/31 #, • | 5,794,992 | 5,719,153 | |
Black Diamond CLO Series 2017-2A A2 144A 2.435% (LIBOR03M + 1.30%, Floor 1.30%) 1/20/32 #, • | 2,800,000 | 2,745,341 | |
Catamaran CLO Series 2014-1A A1BR 144A 1.606% (LIBOR03M + 1.39%) 4/22/30 #, • | 5,000,000 | 4,992,520 | |
CFIP CLO Series 2017-1A A 144A 1.438% (LIBOR03M + 1.22%) 1/18/30 #, • | 6,000,000 | 5,970,996 | |
Man GLG US CLO Series 2018-1A A1R 144A 1.358% (LIBOR03M + 1.14%) 4/22/30 #, • | 14,000,000 | 13,790,420 | |
Mariner CLO 5 Series 2018-5A A 144A 1.325% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 8,000,000 | 7,914,000 | |
Midocean Credit CLO IX Series 2018-9A A1 144A 1.368% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #, • | 2,000,000 | 1,963,100 | |
Midocean Credit CLO VIII Series 2018-8A A1 144A 1.403% (LIBOR03M + 1.15%) 2/20/31 #, • | 5,830,000 | 5,733,514 | |
Sounds Point CLO IV-R Series 2013-3RA A 144A 1.368% (LIBOR03M + 1.15%, Floor 1.15%) 4/18/31 #, • | 6,000,000 | 5,899,128 | |
Steele Creek CLO Series 2017-1A A 144A 1.487% (LIBOR03M + 1.25%) 10/15/30 #, • | 3,000,000 | 2,975,289 | |
Total Collateralized Debt Obligations (cost $73,994,667) | 72,840,352 | ||
Principal amount° | Value (US $) | ||
Corporate Bonds — 51.65% | |||
Banking — 8.45% | |||
Akbank T.A.S. 144A 6.80% 2/6/26 # | 1,595,000 | $1,549,380 | |
Ally Financial 5.75% 11/20/25 | 5,970,000 | 6,791,768 | |
Banco de Credito del Peru 144A 2.70% 1/11/25 # | 2,215,000 | 2,298,173 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 425,000 | 447,582 | |
Banco Mercantil del Norte 144A 8.375% #, μ, ψ | 1,235,000 | 1,312,509 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 2,355,000 | 2,342,730 | |
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero 144A 5.95% 10/1/28 #, μ | 1,125,000 | 1,197,849 | |
Bancolombia 3.00% 1/29/25 | 1,550,000 | 1,566,368 | |
Bangkok Bank 144A 3.733% 9/25/34 #, μ | 1,050,000 | 1,030,238 | |
Banistmo 144A 4.25% 7/31/27 # | 2,050,000 | 2,136,510 | |
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, μ | 6,240,000 | 6,308,016 | |
Bank of America | |||
1.898% 7/23/31 μ | 7,870,000 | 7,775,166 | |
1.922% 10/24/31 μ | 2,945,000 | 2,912,870 | |
2.676% 6/19/41 μ | 12,230,000 | 12,386,838 | |
2.831% 10/24/51 μ | 990,000 | 981,728 | |
Bank of China 144A 5.00% 11/13/24 # | 1,640,000 | 1,821,983 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 1,790,000 | 1,861,600 | |
Bank of Montreal 1.85% 5/1/25 | 6,915,000 | 7,216,309 | |
Bank of New York Mellon 4.70% μ, ψ | 6,728,000 | 7,215,780 | |
Barclays 5.20% 5/12/26 | 7,821,000 | 8,821,423 | |
BBVA Bancomer | |||
144A 1.875% 9/18/25 # | 1,120,000 | 1,113,000 | |
144A 5.125% 1/18/33 #, μ | 786,000 | 776,372 | |
144A 6.75% 9/30/22 # | 445,000 | 479,599 | |
BBVA USA | |||
2.875% 6/29/22 | 5,190,000 | 5,371,910 | |
3.875% 4/10/25 | 5,755,000 | 6,181,585 | |
BDO Unibank 2.125% 1/13/26 | 2,085,000 | 2,091,632 | |
Citizens Financial Group 5.65% μ, ψ | 2,830,000 | 3,017,487 | |
Credit Suisse Group | |||
144A 2.593% 9/11/25 #, μ | 2,760,000 | 2,895,296 | |
144A 4.194% 4/1/31 #, μ | 4,470,000 | 5,134,609 | |
144A 5.25% #, μ, ψ | 2,360,000 | 2,381,948 | |
144A 6.25% #, μ, ψ | 14,850,000 | 15,862,488 | |
144A 7.25% #, μ, ψ | 4,240,000 | 4,597,877 | |
DBS Group Holdings 144A 4.52% 12/11/28 #, μ | 1,800,000 | 1,963,766 | |
Deutsche Bank | |||
2.222% 9/18/24 μ | 3,805,000 | 3,849,680 | |
3.547% 9/18/31 μ | 6,835,000 | 6,907,474 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Emirates NBD Bank PJSC 2.625% 2/18/25 | 1,405,000 | $1,468,014 | |
Goldman Sachs Group | |||
2.60% 2/7/30 | 2,710,000 | 2,861,298 | |
3.50% 4/1/25 | 3,910,000 | 4,308,837 | |
ICICI Bank 144A 4.00% 3/18/26 # | 1,850,000 | 1,968,864 | |
JPMorgan Chase & Co. | |||
2.522% 4/22/31 μ | 3,790,000 | 3,999,011 | |
3.109% 4/22/41 μ | 1,930,000 | 2,078,219 | |
3.109% 4/22/51 μ | 2,680,000 | 2,828,027 | |
3.702% 5/6/30 μ | 165,000 | 188,304 | |
4.023% 12/5/24 μ | 13,375,000 | 14,726,926 | |
4.60% μ, ψ | 3,435,000 | 3,391,204 | |
5.00% μ, ψ | 4,030,000 | 4,033,405 | |
Morgan Stanley | |||
1.463% (LIBOR03M + 1.22%) 5/8/24 • | 5,850,000 | 5,941,689 | |
2.188% 4/28/26 μ | 8,630,000 | 9,048,296 | |
3.622% 4/1/31 μ | 2,510,000 | 2,881,444 | |
5.00% 11/24/25 | 9,030,000 | 10,655,846 | |
Natwest Group 8.625% μ, ψ | 10,650,000 | 11,015,614 | |
PNC Bank 4.05% 7/26/28 | 6,875,000 | 8,000,421 | |
PNC Financial Services Group 2.60% 7/23/26 | 8,325,000 | 9,064,721 | |
Popular 6.125% 9/14/23 | 1,195,000 | 1,283,460 | |
QNB Finance | |||
2.625% 5/12/25 | 2,010,000 | 2,094,059 | |
3.50% 3/28/24 | 1,470,000 | 1,565,640 | |
Shinhan Financial Group 144A 3.34% 2/5/30 #, μ | 1,445,000 | 1,514,035 | |
Truist Bank | |||
2.25% 3/11/30 | 5,775,000 | 5,938,807 | |
2.636% 9/17/29 μ | 14,959,000 | 15,521,300 | |
Truist Financial 4.95% μ, ψ | 3,840,000 | 4,080,000 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 1,075,000 | 1,072,622 | |
144A 4.125% 9/24/25 # | 8,480,000 | 9,652,725 | |
6.875% μ, ψ | 6,345,000 | 6,434,077 | |
7.125% μ, ψ | 1,405,000 | 1,441,003 | |
US Bancorp 1.45% 5/12/25 | 4,195,000 | 4,327,799 | |
USB Capital IX 3.50% (LIBOR03M + 1.02%) ψ, • | 9,167,000 | 8,348,799 | |
Wells Fargo & Co. 3.068% 4/30/41 μ | 1,865,000 | 1,936,409 | |
Woori Bank 144A 4.75% 4/30/24 # | 1,525,000 | 1,679,788 | |
305,950,206 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry — 4.75% | |||
AngloGold Ashanti Holdings 3.75% 10/1/30 | 1,580,000 | $1,675,967 | |
Antofagasta 144A 2.375% 10/14/30 # | 3,025,000 | 2,987,187 | |
Avient 144A 5.75% 5/15/25 # | 4,468,000 | 4,708,155 | |
Bioceanico Sovereign Certificate 144A 2.971% 6/5/34 #, ^ | 1,410,980 | 1,037,070 | |
Braskem Netherlands Finance 144A 8.50% 1/23/81 #, μ | 1,370,000 | 1,393,646 | |
Chemours 7.00% 5/15/25 | 3,347,000 | 3,375,449 | |
Corp Nacional del Cobre de Chile | |||
144A 3.15% 1/14/30 # | 6,696,000 | 7,123,305 | |
144A 4.25% 7/17/42 # | 400,000 | 447,125 | |
CSN Islands XI 144A 6.75% 1/28/28 # | 1,015,000 | 1,000,780 | |
CSN Resources 144A 7.625% 4/17/26 # | 410,000 | 421,685 | |
Equate Petrochemical 144A 3.00% 3/3/22 # | 975,000 | 990,171 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 955,000 | 951,419 | |
144A 7.50% 4/1/25 # | 6,430,000 | 6,466,169 | |
Freeport-McMoRan | |||
4.125% 3/1/28 | 3,410,000 | 3,486,725 | |
4.25% 3/1/30 | 3,437,000 | 3,614,212 | |
4.625% 8/1/30 | 1,910,000 | 2,042,315 | |
5.45% 3/15/43 | 4,755,000 | 5,434,632 | |
Fresnillo 144A 4.25% 10/2/50 # | 1,605,000 | 1,637,100 | |
Georgia-Pacific | |||
144A 1.75% 9/30/25 # | 2,465,000 | 2,563,222 | |
144A 2.10% 4/30/27 # | 1,965,000 | 2,046,877 | |
144A 2.30% 4/30/30 # | 4,085,000 | 4,276,283 | |
8.00% 1/15/24 | 11,171,000 | 13,686,001 | |
Gold Fields Orogen Holdings BVI 144A 6.125% 5/15/29 # | 1,735,000 | 2,073,325 | |
Hudbay Minerals | |||
144A 6.125% 4/1/29 # | 550,000 | 563,750 | |
144A 7.625% 1/15/25 # | 3,014,000 | 3,132,676 | |
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 1,045,000 | 1,044,671 | |
Inversiones CMPC 144A 3.85% 1/13/30 # | 1,130,000 | 1,235,260 | |
Israel Chemicals 144A 6.375% 5/31/38 # | 3,717,000 | 4,778,570 | |
Klabin Austria 144A 7.00% 4/3/49 # | 1,615,000 | 1,847,964 | |
LYB International Finance III 2.875% 5/1/25 | 8,342,000 | 8,960,205 | |
MEGlobal Canada 144A 5.875% 5/18/30 # | 985,000 | 1,175,978 | |
Methanex 5.25% 12/15/29 | 7,265,000 | 7,374,710 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Metinvest | |||
144A 7.65% 10/1/27 # | 888,000 | $868,944 | |
144A 7.75% 4/23/23 # | 300,000 | 307,746 | |
144A 8.50% 4/23/26 # | 605,000 | 613,379 | |
Minera Mexico 144A 4.50% 1/26/50 # | 2,150,000 | 2,332,965 | |
Newmont | |||
2.25% 10/1/30 | 7,180,000 | 7,404,183 | |
2.80% 10/1/29 | 11,110,000 | 11,964,954 | |
Nutrien 2.95% 5/13/30 | 2,995,000 | 3,243,141 | |
Nutrition & Biosciences 144A 3.268% 11/15/40 # | 8,745,000 | 9,007,026 | |
OCP | |||
144A 4.50% 10/22/25 # | 1,791,000 | 1,900,106 | |
144A 6.875% 4/25/44 # | 1,515,000 | 1,905,052 | |
Olin | |||
5.00% 2/1/30 | 5,065,000 | 5,114,713 | |
5.625% 8/1/29 | 1,935,000 | 2,002,715 | |
Phosagro OAO Via Phosagro Bond Funding 144A 3.949% 4/24/23 # | 1,005,000 | 1,045,828 | |
Sasol Financing USA 5.875% 3/27/24 | 9,820,000 | 9,522,945 | |
Sociedad Quimica y Minera de Chile 144A 3.625% 4/3/23 # | 1,320,000 | 1,382,231 | |
Syngenta Finance | |||
144A 3.933% 4/23/21 # | 2,540,000 | 2,572,834 | |
144A 4.441% 4/24/23 # | 1,360,000 | 1,438,673 | |
Vale Overseas 3.75% 7/8/30 | 4,485,000 | 4,727,145 | |
Vedanta Resources Finance II 144A 9.25% 4/23/26 # | 1,340,000 | 841,520 | |
171,748,704 | |||
Brokerage — 0.53% | |||
Banco BTG Pactual 144A 4.50% 1/10/25 # | 1,365,000 | 1,388,887 | |
Charles Schwab 5.375% μ, ψ | 6,670,000 | 7,320,325 | |
Jefferies Group | |||
4.15% 1/23/30 | 2,410,000 | 2,747,626 | |
6.45% 6/8/27 | 3,815,000 | 4,740,020 | |
6.50% 1/20/43 | 2,455,000 | 3,161,083 | |
19,357,941 | |||
Capital Goods — 3.22% | |||
Amphenol 2.05% 3/1/25 | 1,620,000 | 1,697,046 | |
ARD Finance 144A PIK 6.50% 6/30/27 #, * | 3,040,000 | 3,093,200 | |
Ashtead Capital 144A 5.25% 8/1/26 # | 1,540,000 | 1,634,325 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Boise Cascade 144A 4.875% 7/1/30 # | 4,847,000 | $5,190,168 | |
Bombardier 144A 6.00% 10/15/22 # | 1,175,000 | 1,069,984 | |
Caterpillar | |||
2.60% 4/9/30 | 6,600,000 | 7,153,171 | |
3.25% 4/9/50 | 3,200,000 | 3,562,788 | |
Cemex 144A 7.375% 6/5/27 # | 1,440,000 | 1,587,974 | |
Covanta Holding 5.00% 9/1/30 | 1,540,000 | 1,576,575 | |
EnPro Industries 5.75% 10/15/26 | 455,000 | 479,370 | |
General Electric | |||
3.45% 5/1/27 | 1,775,000 | 1,883,298 | |
3.625% 5/1/30 | 4,535,000 | 4,789,067 | |
4.35% 5/1/50 | 6,460,000 | 6,839,708 | |
GFL Environmental 144A 3.75% 8/1/25 # | 1,611,000 | 1,614,021 | |
Grupo Cementos de Chihuahua 144A 5.25% 6/23/24 # | 1,360,000 | 1,412,571 | |
L3Harris Technologies | |||
2.90% 12/15/29 | 4,451,000 | 4,861,369 | |
3.85% 6/15/23 | 2,090,000 | 2,258,072 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 6,930,000 | 6,942,751 | |
Otis Worldwide | |||
2.565% 2/15/30 | 15,665,000 | 16,682,171 | |
3.112% 2/15/40 | 3,332,000 | 3,541,391 | |
3.362% 2/15/50 | 573,000 | 621,343 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 7,370,000 | 7,489,763 | |
Roper Technologies | |||
2.35% 9/15/24 | 2,065,000 | 2,183,113 | |
2.95% 9/15/29 | 7,650,000 | 8,369,295 | |
Standard Industries | |||
144A 3.375% 1/15/31 # | 2,892,000 | 2,818,496 | |
144A 5.00% 2/15/27 # | 902,000 | 931,879 | |
TransDigm | |||
5.50% 11/15/27 | 3,075,000 | 3,003,814 | |
144A 6.25% 3/15/26 # | 2,109,000 | 2,201,279 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 1,510,000 | 1,532,332 | |
United Rentals North America 3.875% 2/15/31 | 4,478,000 | 4,531,176 | |
WESCO Distribution 144A 7.25% 6/15/28 # | 4,405,000 | 4,828,299 | |
116,379,809 | |||
Communications — 7.57% | |||
Altice Financing 144A 5.00% 1/15/28 # | 4,940,000 | 4,798,296 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Altice France Holding | |||
144A 6.00% 2/15/28 # | 3,080,000 | $2,959,880 | |
144A 10.50% 5/15/27 # | 4,810,000 | 5,312,044 | |
American Tower 1.875% 10/15/30 | 8,285,000 | 8,170,617 | |
American Tower Trust #1 144A 3.07% 3/15/23 # | 10,235,000 | 10,477,408 | |
AT&T | |||
3.10% 2/1/43 | 2,180,000 | 2,077,136 | |
3.50% 6/1/41 | 6,308,000 | 6,383,905 | |
144A 3.50% 9/15/53 # | 2,450,000 | 2,330,815 | |
3.65% 6/1/51 | 2,315,000 | 2,276,380 | |
C&W Senior Financing 144A 7.50% 10/15/26 # | 3,832,000 | 4,046,190 | |
Charter Communications Operating | |||
3.70% 4/1/51 | 4,350,000 | 4,210,101 | |
4.464% 7/23/22 | 8,590,000 | 9,105,999 | |
4.80% 3/1/50 | 2,410,000 | 2,742,960 | |
5.05% 3/30/29 | 9,240,000 | 11,018,082 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 2,460,000 | 2,135,218 | |
Comcast | |||
3.20% 7/15/36 | 4,820,000 | 5,365,189 | |
3.75% 4/1/40 | 5,160,000 | 6,036,826 | |
Connect Finco 144A 6.75% 10/1/26 # | 5,040,000 | 5,084,100 | |
Crown Castle International | |||
3.80% 2/15/28 | 1,465,000 | 1,643,068 | |
5.25% 1/15/23 | 4,275,000 | 4,688,579 | |
CSC Holdings | |||
144A 3.375% 2/15/31 # | 1,940,000 | 1,868,239 | |
144A 4.625% 12/1/30 # | 2,380,000 | 2,382,654 | |
Digicel Group 0.5 PIK 10.00% 4/1/24 « | 1,117,780 | 852,307 | |
Discovery Communications | |||
4.125% 5/15/29 | 11,890,000 | 13,558,796 | |
5.20% 9/20/47 | 7,050,000 | 8,378,604 | |
Frontier Communications 144A 5.875% 10/15/27 # | 3,290,000 | 3,359,912 | |
Gray Television 144A 4.75% 10/15/30 # | 1,545,000 | 1,525,688 | |
HTA Group 144A 7.00% 12/18/25 # | 1,960,000 | 2,057,647 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 1,875,000 | 1,903,125 | |
Level 3 Financing 144A 3.625% 1/15/29 # | 3,115,000 | 3,019,603 | |
Millicom International Cellular | |||
144A 4.50% 4/27/31 # | 1,085,000 | 1,102,631 | |
144A 6.25% 3/25/29 # | 925,000 | 1,024,729 | |
Nexstar Broadcasting 144A 4.75% 11/1/28 # | 5,490,000 | 5,541,469 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Ooredoo International Finance 144A 5.00% 10/19/25 # | 790,000 | $921,082 | |
Sable International Finance 144A 5.75% 9/7/27 # | 860,000 | 912,838 | |
Sprint Spectrum 144A 4.738% 3/20/25 # | 3,190,000 | 3,479,796 | |
Telefonica Celular del Paraguay 144A 5.875% 4/15/27 # | 1,370,000 | 1,454,598 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 6,242,000 | 6,392,557 | |
Time Warner Cable 7.30% 7/1/38 | 9,865,000 | 13,772,871 | |
Time Warner Entertainment 8.375% 3/15/23 | 5,470,000 | 6,406,938 | |
T-Mobile USA | |||
144A 1.50% 2/15/26 # | 2,150,000 | 2,168,501 | |
144A 2.55% 2/15/31 # | 1,470,000 | 1,497,886 | |
144A 3.00% 2/15/41 # | 3,710,000 | 3,620,589 | |
144A 3.50% 4/15/25 # | 2,400,000 | 2,631,864 | |
144A 3.75% 4/15/27 # | 3,195,000 | 3,563,607 | |
144A 3.875% 4/15/30 # | 8,105,000 | 9,114,964 | |
6.50% 1/15/26 | 1,875,000 | 1,956,094 | |
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 1,750,000 | 1,788,500 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 1,925,000 | 1,866,134 | |
VEON Holdings 144A 4.00% 4/9/25 # | 2,057,000 | 2,148,773 | |
Verizon Communications | |||
3.15% 3/22/30 | 1,510,000 | 1,682,628 | |
4.00% 3/22/50 | 900,000 | 1,083,325 | |
4.50% 8/10/33 | 13,715,000 | 17,054,785 | |
ViacomCBS | |||
4.375% 3/15/43 | 8,160,000 | 8,808,085 | |
4.95% 1/15/31 | 6,200,000 | 7,532,591 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 5,110,000 | 5,122,775 | |
Vodafone Group | |||
4.25% 9/17/50 | 3,080,000 | 3,544,714 | |
4.875% 6/19/49 | 12,805,000 | 15,865,519 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 2,065,000 | 2,086,621 | |
273,916,832 | |||
Consumer Cyclical — 3.09% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 3,545,000 | 3,875,553 | |
Amazon.com | |||
1.20% 6/3/27 | 1,620,000 | 1,637,101 | |
1.50% 6/3/30 | 2,335,000 | 2,354,229 | |
2.50% 6/3/50 | 3,800,000 | 3,761,667 | |
Boyd Gaming 4.75% 12/1/27 | 6,375,000 | 6,212,884 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 3,790,000 | 3,896,120 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Ford Motor Credit 4.542% 8/1/26 | 12,155,000 | $12,382,906 | |
Future Retail 144A 5.60% 1/22/25 # | 1,980,000 | 1,366,200 | |
General Motors | |||
5.00% 10/1/28 | 3,376,000 | 3,828,795 | |
5.40% 10/2/23 | 1,830,000 | 2,025,322 | |
6.125% 10/1/25 | 1,830,000 | 2,146,877 | |
General Motors Financial | |||
5.20% 3/20/23 | 3,465,000 | 3,761,838 | |
5.25% 3/1/26 | 8,093,000 | 9,229,319 | |
5.70% μ, ψ | 2,095,000 | 2,173,562 | |
Home Depot 3.35% 4/15/50 | 1,840,000 | 2,085,950 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 6,876,000 | 7,442,468 | |
Hyundai Capital America 144A 3.50% 11/2/26 # | 1,350,000 | 1,445,622 | |
JD.com 3.875% 4/29/26 | 1,390,000 | 1,543,429 | |
JSM Global 144A 4.75% 10/20/30 # | 3,900,000 | 3,944,850 | |
Lowe's | |||
1.70% 10/15/30 | 3,185,000 | 3,170,270 | |
3.00% 10/15/50 | 4,075,000 | 4,178,710 | |
Meituan 144A 3.05% 10/28/30 # | 2,900,000 | 2,907,329 | |
MGM China Holdings 144A 5.25% 6/18/25 # | 1,480,000 | 1,494,356 | |
MGM Resorts International 4.75% 10/15/28 | 3,265,000 | 3,197,659 | |
Murphy Oil USA 5.625% 5/1/27 | 715,000 | 753,295 | |
Prime Security Services Borrower | |||
144A 5.75% 4/15/26 # | 295,000 | 314,544 | |
144A 6.25% 1/15/28 # | 6,130,000 | 6,202,886 | |
Sands China | |||
144A 3.80% 1/8/26 # | 1,135,000 | 1,165,463 | |
144A 4.375% 6/18/30 # | 1,405,000 | 1,444,368 | |
Scientific Games International 144A 8.25% 3/15/26 # | 4,070,000 | 4,127,814 | |
Shimao Group Holdings 5.60% 7/15/26 | 1,435,000 | 1,574,815 | |
TJX 4.50% 4/15/50 | 1,365,000 | 1,812,223 | |
VF 2.40% 4/23/25 | 2,795,000 | 2,971,301 | |
Yuzhou Group Holdings 7.70% 2/20/25 | 1,305,000 | 1,303,052 | |
111,732,777 | |||
Consumer Non-Cyclical — 6.08% | |||
AbbVie | |||
144A 2.95% 11/21/26 # | 8,950,000 | 9,780,744 | |
144A 4.05% 11/21/39 # | 9,151,000 | 10,465,505 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Anheuser-Busch InBev Worldwide | |||
3.65% 2/1/26 | 6,892,000 | $7,730,928 | |
4.15% 1/23/25 | 2,665,000 | 3,024,359 | |
4.50% 6/1/50 | 7,445,000 | 8,825,219 | |
Aramark Services 144A 5.00% 2/1/28 # | 3,215,000 | 3,247,504 | |
BAT Capital 2.259% 3/25/28 | 4,775,000 | 4,763,917 | |
BAT International Finance 1.668% 3/25/26 | 2,870,000 | 2,884,924 | |
Bausch Health 144A 6.25% 2/15/29 # | 8,535,000 | 8,808,120 | |
Biogen | |||
2.25% 5/1/30 | 2,955,000 | 2,983,680 | |
3.15% 5/1/50 | 8,355,000 | 8,076,712 | |
Bristol-Myers Squibb 2.90% 7/26/24 | 9,120,000 | 9,850,201 | |
Cigna | |||
1.127% 7/15/23 • | 3,240,000 | 3,275,229 | |
2.40% 3/15/30 | 1,865,000 | 1,933,737 | |
3.20% 3/15/40 | 1,780,000 | 1,868,715 | |
4.125% 11/15/25 | 8,751,000 | 10,017,805 | |
CVS Health | |||
3.75% 4/1/30 | 2,100,000 | 2,382,008 | |
4.30% 3/25/28 | 20,226,000 | 23,454,280 | |
4.78% 3/25/38 | 6,524,000 | 7,864,924 | |
DP World 144A 4.70% 9/30/49 # | 1,000,000 | 1,023,550 | |
Encompass Health | |||
4.50% 2/1/28 | 2,045,000 | 2,097,781 | |
4.75% 2/1/30 | 1,473,000 | 1,536,796 | |
5.75% 9/15/25 | 1,280,000 | 1,324,800 | |
Energizer Holdings 144A 4.375% 3/31/29 # | 3,286,000 | 3,322,146 | |
Gilead Sciences 4.15% 3/1/47 | 9,725,000 | 11,356,059 | |
HCA 7.58% 9/15/25 | 160,000 | 189,683 | |
JBS Investments II | |||
144A 5.75% 1/15/28 # | 1,360,000 | 1,431,400 | |
144A 7.00% 1/15/26 # | 910,000 | 973,727 | |
JBS USA LUX 144A 5.75% 6/15/25 # | 1,760,000 | 1,813,680 | |
Kernel Holding 144A 6.50% 10/17/24 # | 1,450,000 | 1,463,412 | |
MHP 144A 7.75% 5/10/24 # | 1,540,000 | 1,612,842 | |
New York & Presbyterian Hospital 4.063% 8/1/56 | 3,760,000 | 4,615,450 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 3,516,000 | 3,718,627 | |
Post Holdings | |||
144A 4.625% 4/15/30 # | 2,162,000 | 2,221,455 | |
144A 5.75% 3/1/27 # | 1,250,000 | 1,312,762 | |
Primo Water Holdings 144A 5.50% 4/1/25 # | 1,205,000 | 1,245,669 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Rede D'or Finance 144A 4.50% 1/22/30 # | 1,660,000 | $1,635,100 | |
Regeneron Pharmaceuticals 1.75% 9/15/30 | 2,200,000 | 2,122,613 | |
Royalty Pharma | |||
144A 1.20% 9/2/25 # | 2,725,000 | 2,714,168 | |
144A 1.75% 9/2/27 # | 1,815,000 | 1,805,000 | |
Stryker 1.95% 6/15/30 | 5,697,000 | 5,781,336 | |
Takeda Pharmaceutical | |||
2.05% 3/31/30 | 3,505,000 | 3,528,227 | |
3.025% 7/9/40 | 2,810,000 | 2,887,489 | |
3.175% 7/9/50 | 2,810,000 | 2,834,262 | |
Tenet Healthcare | |||
5.125% 5/1/25 | 5,336,000 | 5,287,709 | |
144A 6.125% 10/1/28 # | 3,250,000 | 3,162,656 | |
Teva Pharmaceutical Finance Netherlands III | |||
6.75% 3/1/28 | 2,478,000 | 2,607,352 | |
7.125% 1/31/25 | 725,000 | 752,717 | |
Ulker Biskuvi Sanayi 144A 6.95% 10/30/25 # | 2,755,000 | 2,736,894 | |
Universal Health Services 144A 5.00% 6/1/26 # | 1,135,000 | 1,181,603 | |
Upjohn | |||
144A 1.65% 6/22/25 # | 1,045,000 | 1,068,100 | |
144A 2.30% 6/22/27 # | 700,000 | 724,444 | |
144A 2.70% 6/22/30 # | 5,150,000 | 5,321,177 | |
144A 4.00% 6/22/50 # | 1,195,000 | 1,257,562 | |
219,906,759 | |||
Electric — 4.50% | |||
Adani Electricity Mumbai 144A 3.949% 2/12/30 # | 1,535,000 | 1,522,682 | |
AES Gener 144A 7.125% 3/26/79 #, μ | 1,755,000 | 1,817,463 | |
American Transmission Systems 144A 5.25% 1/15/22 # | 5,910,000 | 6,211,112 | |
Calpine | |||
144A 4.50% 2/15/28 # | 1,215,000 | 1,238,085 | |
144A 5.00% 2/1/31 # | 4,090,000 | 4,181,820 | |
144A 5.125% 3/15/28 # | 1,213,000 | 1,252,447 | |
CenterPoint Energy | |||
3.85% 2/1/24 | 2,805,000 | 3,076,970 | |
4.25% 11/1/28 | 7,555,000 | 8,918,140 | |
Centrais Eletricas Brasileiras | |||
144A 3.625% 2/4/25 # | 374,000 | 374,396 | |
144A 4.625% 2/4/30 # | 1,490,000 | 1,510,487 | |
Cikarang Listrindo 144A 4.95% 9/14/26 # | 1,794,000 | 1,847,820 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 955,000 | 991,524 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Comision Federal de Electricidad | |||
144A 4.75% 2/23/27 # | 3,339,000 | $3,651,397 | |
144A 4.875% 1/15/24 # | 380,000 | 414,639 | |
Duke Energy 4.875% μ, ψ | 5,375,000 | 5,696,197 | |
Duke Energy Indiana 3.25% 10/1/49 | 3,645,000 | 3,941,981 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | 1,110,000 | 1,223,483 | |
Entergy Arkansas 4.20% 4/1/49 | 2,415,000 | 2,998,097 | |
Entergy Louisiana 4.95% 1/15/45 | 685,000 | 743,701 | |
Entergy Mississippi 3.85% 6/1/49 | 5,140,000 | 6,049,738 | |
Entergy Texas 3.55% 9/30/49 | 2,030,000 | 2,246,497 | |
Evergy 4.85% 6/1/21 | 1,660,000 | 1,684,622 | |
Evergy Kansas Central 3.45% 4/15/50 | 3,100,000 | 3,512,718 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 2,475,000 | 2,705,013 | |
Interstate Power and Light 4.10% 9/26/28 | 8,345,000 | 9,861,318 | |
Israel Electric 144A 5.00% 11/12/24 # | 2,085,000 | 2,363,650 | |
Kallpa Generacion 144A 4.125% 8/16/27 # | 2,566,000 | 2,704,564 | |
Louisville Gas and Electric 4.25% 4/1/49 | 7,745,000 | 9,530,864 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 2,430,000 | 2,478,413 | |
National Rural Utilities Cooperative Finance 4.75% 4/30/43 μ | 3,045,000 | 3,149,139 | |
NV Energy 6.25% 11/15/20 | 7,391,000 | 7,405,594 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 1,315,000 | 1,270,283 | |
2.50% 2/1/31 | 1,940,000 | 1,843,050 | |
3.30% 8/1/40 | 3,236,000 | 2,984,559 | |
PacifiCorp | |||
2.70% 9/15/30 | 785,000 | 855,898 | |
3.30% 3/15/51 | 795,000 | 868,607 | |
Perusahaan Listrik Negara | |||
144A 4.125% 5/15/27 # | 795,000 | 861,430 | |
144A 5.25% 5/15/47 # | 870,000 | 997,712 | |
PG&E 5.25% 7/1/30 | 6,245,000 | 6,252,806 | |
ReNew Power 144A 5.875% 3/5/27 # | 610,000 | 626,182 | |
Saudi Electricity Global Sukuk 4 4.222% 1/27/24 | 1,820,000 | 1,972,169 | |
Southern California Edison | |||
3.65% 2/1/50 | 4,450,000 | 4,641,545 | |
4.00% 4/1/47 | 1,615,000 | 1,734,876 | |
4.875% 3/1/49 | 7,070,000 | 8,336,257 | |
Southwestern Electric Power 4.10% 9/15/28 | 13,080,000 | 15,207,690 | |
Three Gorges Finance I Cayman Islands 144A 2.15% 9/22/30 # | 1,045,000 | 1,038,817 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 595,000 | $655,481 | |
Vistra Operations 144A 5.50% 9/1/26 # | 4,854,000 | 5,029,957 | |
WEC Energy Group 1.80% 10/15/30 | 2,510,000 | 2,486,146 | |
162,968,036 | |||
Energy — 6.98% | |||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 1,295,000 | 1,548,263 | |
AES Andres 144A 7.95% 5/11/26 # | 1,525,000 | 1,549,797 | |
BP Capital Markets 4.875% μ, ψ | 7,115,000 | 7,488,537 | |
Crestwood Midstream Partners 6.25% 4/1/23 | 1,755,000 | 1,704,421 | |
Ecopetrol | |||
5.375% 6/26/26 | 935,000 | 1,030,847 | |
6.875% 4/29/30 | 850,000 | 1,024,463 | |
Energy Transfer Operating | |||
5.25% 4/15/29 | 6,185,000 | 6,698,509 | |
6.25% 4/15/49 | 10,930,000 | 11,527,944 | |
ENN Energy Holdings 144A 2.625% 9/17/30 # | 1,590,000 | 1,601,257 | |
Enterprise Products Operating 3.20% 2/15/52 | 14,125,000 | 13,097,697 | |
Equinor 1.75% 1/22/26 | 1,715,000 | 1,780,985 | |
Galaxy Pipeline Assets Bidco | |||
144A 1.75% 9/30/27 # | 3,635,000 | 3,627,725 | |
144A 2.625% 3/31/36 # | 5,450,000 | 5,444,708 | |
Gazprom PJSC via Gaz Finance 144A 3.25% 2/25/30 # | 1,410,000 | 1,408,731 | |
Geopark | |||
144A 5.50% 1/17/27 # | 1,425,000 | 1,243,327 | |
144A 6.50% 9/21/24 # | 510,000 | 480,675 | |
Gran Tierra Energy 144A 7.75% 5/23/27 # | 1,400,000 | 458,514 | |
Greenko Solar Mauritius 144A 5.95% 7/29/26 # | 1,880,000 | 1,992,043 | |
Grupo Energia Bogota 144A 4.875% 5/15/30 # | 7,105,000 | 8,112,134 | |
India Green Energy Holdings 144A 5.375% 4/29/24 # | 965,000 | 968,420 | |
Infraestructura Energetica Nova | |||
144A 3.75% 1/14/28 # | 840,000 | 837,740 | |
144A 4.875% 1/14/48 # | 1,260,000 | 1,206,192 | |
KazMunayGas National JSC 144A 6.375% 10/24/48 # | 679,000 | 906,288 | |
KazTransGas JSC 144A 4.375% 9/26/27 # | 6,907,000 | 7,558,883 | |
Lukoil Securities 144A 3.875% 5/6/30 # | 5,655,000 | 6,009,003 | |
Marathon Oil 4.40% 7/15/27 | 20,370,000 | 20,470,988 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
MPLX | |||
1.75% 3/1/26 | 1,830,000 | $1,822,058 | |
2.65% 8/15/30 | 1,760,000 | 1,696,026 | |
4.00% 3/15/28 | 925,000 | 1,003,911 | |
4.125% 3/1/27 | 5,760,000 | 6,298,256 | |
4.70% 4/15/48 | 2,100,000 | 2,073,079 | |
5.50% 2/15/49 | 7,235,000 | 8,000,175 | |
Murphy Oil 5.875% 12/1/27 | 4,591,000 | 3,626,982 | |
NiSource | |||
0.95% 8/15/25 | 2,035,000 | 2,031,476 | |
5.65% μ, ψ | 3,660,000 | 3,661,793 | |
Noble Energy 3.90% 11/15/24 | 3,765,000 | 4,164,185 | |
NuStar Logistics | |||
5.625% 4/28/27 | 665,000 | 653,239 | |
6.375% 10/1/30 | 6,083,000 | 6,132,424 | |
Oil and Gas Holding 144A 7.625% 11/7/24 # | 650,000 | 695,936 | |
Oleoducto Central 144A 4.00% 7/14/27 # | 1,655,000 | 1,734,688 | |
ONEOK 7.50% 9/1/23 | 7,805,000 | 8,892,740 | |
PDC Energy 5.75% 5/15/26 | 3,250,000 | 3,069,219 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 660,000 | 714,450 | |
Petrobras Global Finance | |||
5.093% 1/15/30 | 6,095,000 | 6,373,084 | |
6.75% 6/3/50 | 1,310,000 | 1,439,258 | |
Petroleos Mexicanos | |||
5.95% 1/28/31 | 1,150,000 | 963,988 | |
6.49% 1/23/27 | 430,000 | 400,545 | |
6.50% 1/23/29 | 6,835,000 | 6,104,680 | |
6.75% 9/21/47 | 924,000 | 718,775 | |
Petronas Capital 144A 3.50% 4/21/30 # | 600,000 | 669,855 | |
Pioneer Natural Resources 1.90% 8/15/30 | 4,715,000 | 4,417,151 | |
Precision Drilling 144A 7.125% 1/15/26 # | 775,000 | 491,009 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 1,810,000 | 1,871,585 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 5,735,000 | 6,569,381 | |
5.75% 5/15/24 | 8,662,000 | 9,758,551 | |
Saudi Arabian Oil | |||
144A 2.875% 4/16/24 # | 1,370,000 | 1,437,141 | |
144A 3.50% 4/16/29 # | 795,000 | 877,424 | |
144A 4.25% 4/16/39 # | 2,142,000 | 2,442,977 | |
Schlumberger Holdings 144A 4.30% 5/1/29 # | 7,635,000 | 8,385,430 | |
Southwestern Energy 7.75% 10/1/27 | 5,780,000 | 5,978,688 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Targa Resources Partners 5.375% 2/1/27 | 4,760,000 | $4,794,819 | |
Tengizchevroil Finance Co. International 144A 2.625% 8/15/25 # | 6,236,000 | 6,267,960 | |
Tengizchevroil Finance International 144A 3.25% 8/15/30 # | 2,370,000 | 2,403,000 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 10,520,000 | 10,736,629 | |
Transocean Proteus 144A 6.25% 12/1/24 # | 1,046,500 | 926,153 | |
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 1,350,000 | 1,113,750 | |
Tullow Oil 144A 7.00% 3/1/25 # | 970,000 | 511,675 | |
YPF 144A 8.50% 6/27/29 # | 1,800,000 | 1,010,700 | |
252,712,936 | |||
Finance Companies — 0.94% | |||
AerCap Ireland Capital DAC | |||
3.65% 7/21/27 | 7,528,000 | 7,090,997 | |
4.50% 9/15/23 | 1,235,000 | 1,283,362 | |
4.625% 10/15/27 | 2,015,000 | 1,998,112 | |
6.50% 7/15/25 | 3,450,000 | 3,800,537 | |
Air Lease | |||
2.875% 1/15/26 | 4,205,000 | 4,170,282 | |
3.00% 2/1/30 | 7,405,000 | 6,895,740 | |
3.375% 7/1/25 | 1,780,000 | 1,824,664 | |
Bangkok Bank 144A 5.00% #, μ, ψ | 1,140,000 | 1,136,256 | |
BOC Aviation 144A 2.625% 9/17/30 # | 1,535,000 | 1,497,585 | |
GE Capital Funding 144A 3.45% 5/15/25 # | 4,190,000 | 4,480,034 | |
34,177,569 | |||
Insurance — 1.41% | |||
AIA Group 144A 3.375% 4/7/30 # | 1,120,000 | 1,245,937 | |
American International Group 3.40% 6/30/30 | 3,890,000 | 4,337,359 | |
AssuredPartners 144A 7.00% 8/15/25 # | 2,686,000 | 2,748,087 | |
Brighthouse Financial 5.625% 5/15/30 | 2,220,000 | 2,622,556 | |
Centene | |||
3.375% 2/15/30 | 2,725,000 | 2,834,640 | |
144A 5.375% 8/15/26 # | 2,535,000 | 2,687,100 | |
GTCR AP Finance 144A 8.00% 5/15/27 # | 1,100,000 | 1,174,250 | |
HUB International 144A 7.00% 5/1/26 # | 3,545,000 | 3,637,188 | |
MetLife | |||
3.85% μ, ψ | 4,095,000 | 4,116,949 | |
6.40% 12/15/36 | 40,000 | 49,513 | |
144A 9.25% 4/8/68 # | 8,985,000 | 12,955,576 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Insurance (continued) | |||
Prudential Financial | |||
3.70% 3/13/51 | 4,795,000 | $5,298,259 | |
5.375% 5/15/45 μ | 4,135,000 | 4,472,861 | |
USI 144A 6.875% 5/1/25 # | 2,955,000 | 3,015,917 | |
51,196,192 | |||
Natural Gas — 0.08% | |||
Sempra Energy 4.875% μ, ψ | 2,785,000 | 2,903,363 | |
2,903,363 | |||
Real Estate — 0.14% | |||
Arabian Centres Sukuk 144A 5.375% 11/26/24 # | 1,380,000 | 1,293,750 | |
Corporate Office Properties 5.25% 2/15/24 | 2,239,000 | 2,458,071 | |
Kaisa Group Holdings 9.375% 6/30/24 | 1,645,000 | 1,494,589 | |
5,246,410 | |||
REITs — 0.04% | |||
Goodman HK Finance 4.375% 6/19/24 | 1,418,000 | 1,533,498 | |
1,533,498 | |||
Technology — 2.35% | |||
Alphabet | |||
1.10% 8/15/30 | 1,125,000 | 1,098,151 | |
1.90% 8/15/40 | 1,325,000 | 1,248,555 | |
2.05% 8/15/50 | 1,410,000 | 1,276,447 | |
Black Knight InfoServ 144A 3.625% 9/1/28 # | 3,093,000 | 3,135,529 | |
Broadcom | |||
3.15% 11/15/25 | 2,260,000 | 2,439,107 | |
4.15% 11/15/30 | 2,690,000 | 3,018,908 | |
5.00% 4/15/30 | 7,195,000 | 8,499,473 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 4,963,000 | 4,655,914 | |
Equinix 5.375% 5/15/27 | 1,680,000 | 1,832,268 | |
Fiserv 2.65% 6/1/30 | 3,095,000 | 3,288,661 | |
Gartner 144A 3.75% 10/1/30 # | 3,290,000 | 3,368,466 | |
Global Payments | |||
2.65% 2/15/25 | 5,301,000 | 5,611,939 | |
2.90% 5/15/30 | 1,584,000 | 1,683,384 | |
3.20% 8/15/29 | 3,445,000 | 3,728,222 | |
International Business Machines | |||
1.95% 5/15/30 | 2,920,000 | 2,965,452 | |
3.00% 5/15/24 | 7,960,000 | 8,608,348 | |
Iron Mountain | |||
144A 4.50% 2/15/31 # | 1,395,000 | 1,390,564 | |
144A 5.25% 7/15/30 # | 4,750,000 | 4,880,625 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
Microchip Technology 144A 4.25% 9/1/25 # | 2,205,000 | $2,286,685 | |
NXP | |||
144A 2.70% 5/1/25 # | 485,000 | 516,693 | |
144A 3.40% 5/1/30 # | 940,000 | 1,035,963 | |
144A 4.30% 6/18/29 # | 800,000 | 928,482 | |
144A 4.875% 3/1/24 # | 9,620,000 | 10,781,516 | |
ServiceNow 1.40% 9/1/30 | 2,780,000 | 2,688,707 | |
Tencent Holdings 144A 3.28% 4/11/24 # | 1,600,000 | 1,702,529 | |
Xilinx 2.375% 6/1/30 | 2,215,000 | 2,267,907 | |
84,938,495 | |||
Transportation — 1.40% | |||
Aeropuertos Argentina 2000 144A PIK 9.375% 2/1/27 #, * | 2,027,108 | 1,287,214 | |
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 1,985,000 | 481,362 | |
ASG Finance Designated Activity 144A 7.875% 12/3/24 # | 1,926,000 | 1,405,980 | |
Autoridad del Canal de Panama 144A 4.95% 7/29/35 # | 1,330,000 | 1,669,888 | |
Azul Investments 144A 5.875% 10/26/24 # | 2,050,000 | 1,635,305 | |
Delta Air Lines 144A 7.00% 5/1/25 # | 15,420,000 | 16,843,365 | |
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 1,695,000 | 1,856,661 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 8,415,000 | 8,777,897 | |
Rutas 2 and 7 Finance 144A 3.413% 9/30/36 #, ^ | 2,175,000 | 1,533,375 | |
Southwest Airlines | |||
5.125% 6/15/27 | 5,210,000 | 5,800,402 | |
5.25% 5/4/25 | 6,240,000 | 6,944,979 | |
Union Pacific 3.25% 2/5/50 | 2,160,000 | 2,323,075 | |
50,559,503 | |||
Utilities — 0.12% | |||
Essential Utilities | |||
2.704% 4/15/30 | 2,055,000 | 2,176,403 | |
3.351% 4/15/50 | 1,985,000 | 2,082,856 | |
4,259,259 | |||
Total Corporate Bonds (cost $1,784,022,954) | 1,869,488,289 | ||
Principal amount° | Value (US $) | ||
Municipal Bonds — 0.03% | |||
Oregon State Taxable Pension (Taxable Build America Bonds) 5.892% 6/1/27 | 150,000 | $186,887 | |
South Carolina Public Service Authority Series D 4.77% 12/1/45 | 790,000 | 993,725 | |
Total Municipal Bonds (cost $1,038,181) | 1,180,612 | ||
Non-Agency Asset-Backed Securities — 1.96% | |||
Citicorp Residential Mortgage Trust Series 2006-3 A5 5.128% 11/25/36 • | 4,387,391 | 4,524,936 | |
CNH Equipment Trust Series 2019-B A2 2.55% 9/15/22 | 1,583,200 | 1,588,881 | |
Contimortgage Home Equity Loan Trust Series 1996-4 A8 7.22% 1/15/28 | 2,106 | 2,018 | |
Ford Credit Auto Owner Trust | |||
Series 2018-1 A 144A 3.19% 7/15/31 # | 5,805,000 | 6,334,675 | |
Series 2020-A A2 1.03% 10/15/22 | 3,272,035 | 3,284,109 | |
Hardee's Funding Series 2018-1A A2I 144A 4.25% 6/20/48 # | 3,038,000 | 3,048,663 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 8,223,600 | 7,301,488 | |
Mercedes-Benz Auto Lease Trust | |||
Series 2019-B A2 2.01% 12/15/21 | 489,635 | 491,158 | |
Series 2020-A A2 1.82% 3/15/22 | 1,515,756 | 1,521,957 | |
Mercedes-Benz Master Owner Trust | |||
Series 2018-BA A 144A 0.488% (LIBOR01M + 0.34%) 5/15/23 #, • | 2,325,000 | 2,328,109 | |
Series 2019-AA A 144A 0.498% (LIBOR01M + 0.35%) 5/15/23 #, • | 8,605,000 | 8,615,807 | |
Nissan Master Owner Trust Receivables Series 2019-B A 0.578% (LIBOR01M + 0.43%) 11/15/23 • | 2,000,000 | 2,004,178 | |
Popular ABS Mortgage Pass Through Trust Series 2006-C A4 0.399% (LIBOR01M + 0.25%, Cap 14.00%, Floor 0.25%) 7/25/36 ♦, • | 709,346 | 707,553 | |
Taco Bell Funding Series 2016-1A A2II 144A 4.377% 5/25/46 # | 2,757,375 | 2,763,717 | |
Tesla Auto Lease Trust Series 2019-A A2 144A 2.13% 4/20/22 # | 2,761,822 | 2,791,294 | |
Towd Point Mortgage Trust | |||
Series 2015-5 A1B 144A 2.75% 5/25/55 #, • | 638,722 | 644,046 | |
Series 2015-6 A1B 144A 2.75% 4/25/55 #, • | 1,007,334 | 1,024,117 | |
Series 2016-1 A1B 144A 2.75% 2/25/55 #, • | 503,040 | 510,195 | |
Series 2016-2 A1 144A 3.00% 8/25/55 #, • | 687,931 | 706,079 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Towd Point Mortgage Trust | |||
Series 2016-3 A1 144A 2.25% 4/25/56 #, • | 796,331 | $805,684 | |
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 778,917 | 798,297 | |
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 414,861 | 425,898 | |
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 2,705,000 | 2,866,072 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 756,096 | 788,917 | |
Trafigura Securitisation Finance Series 2018-1A A1 144A 0.878% (LIBOR01M + 0.73%) 3/15/22 #, • | 5,810,000 | 5,791,147 | |
Volvo Financial Equipment Master Owner Trust Series 2017-A A 144A 0.648% (LIBOR01M + 0.50%) 11/15/22 #, • | 4,685,000 | 4,685,758 | |
Wendy's Funding Series 2018-1A A2I 144A 3.573% 3/15/48 # | 4,478,363 | 4,608,952 | |
Total Non-Agency Asset-Backed Securities (cost $69,989,008) | 70,963,705 | ||
Non-Agency Collateralized Mortgage Obligations — 2.45% | |||
Agate Bay Mortgage Trust | |||
Series 2015-1 B1 144A 3.799% 1/25/45 #, • | 1,965,796 | 2,021,834 | |
Series 2015-1 B2 144A 3.799% 1/25/45 #, • | 1,111,534 | 1,136,551 | |
Banc of America Mortgage Trust Series 2004-K 2A1 3.631% 12/25/34 • | 292,917 | 296,621 | |
Chase Home Lending Mortgage Trust Series 2019-ATR2 A3 144A 3.50% 7/25/49 #, • | 890,361 | 914,219 | |
CHL Mortgage Pass Through Trust Series 2004-HYB2 2A 3.991% 7/20/34 ♦, • | 40,409 | 37,908 | |
Citicorp Mortgage Securities Trust Series 2006-3 1A9 5.75% 6/25/36 | 203,327 | 204,943 | |
Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 144A 2.549% (LIBOR01M + 2.40%) 4/25/31 #, • | 1,625,944 | 1,616,924 | |
Series 2019-R01 2M2 144A 2.599% (LIBOR01M + 2.45%) 7/25/31 #, • | 1,376,066 | 1,363,971 | |
Credit Suisse First Boston Mortgage Securities Series 2005-5 6A3 5.00% 7/25/35 | 699,137 | 704,165 | |
CSMC Trust Series 2013-TH1 A1 144A 2.13% 2/25/43 #, • | 3,048,131 | 3,121,535 | |
Flagstar Mortgage Trust Series 2018-5 A7 144A 4.00% 9/25/48 #, • | 134,986 | 135,285 | |
Galton Funding Mortgage Trust Series 2018-1 A43 144A 3.50% 11/25/57 #, • | 497,491 | 501,772 | |
GS Mortgage-Backed Securities Trust Series 2020-PJ1 A1 144A 3.50% 5/25/50 #, • | 1,403,733 | 1,429,707 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
GSR Mortgage Loan Trust Series 2004-9 4A1 3.162% 8/25/34 • | 210,818 | $205,692 | |
Holmes Master Issuer Series 2018-2A A2 144A 0.695% (LIBOR03M + 0.42%) 10/15/54 #, • | 904,913 | 904,054 | |
JPMorgan Mortgage Trust | |||
Series 2005-A8 1A1 2.949% 11/25/35 • | 108,203 | 98,302 | |
Series 2006-S1 1A1 6.00% 4/25/36 | 1,393,311 | 1,505,491 | |
Series 2007-A1 7A4 3.452% 7/25/35 • | 21,537 | 19,167 | |
Series 2014-2 B1 144A 3.399% 6/25/29 #, • | 1,109,462 | 1,127,743 | |
Series 2014-2 B2 144A 3.399% 6/25/29 #, • | 413,364 | 418,533 | |
Series 2014-IVR6 2A4 144A 2.295% 7/25/44 #, • | 2,004,456 | 2,024,748 | |
Series 2015-1 B2 144A 2.126% 12/25/44 #, • | 2,562,758 | 2,600,637 | |
Series 2015-4 B1 144A 3.612% 6/25/45 #, • | 2,255,184 | 2,317,678 | |
Series 2015-4 B2 144A 3.612% 6/25/45 #, • | 1,618,978 | 1,654,105 | |
Series 2015-5 B2 144A 2.58% 5/25/45 #, • | 2,626,644 | 2,681,725 | |
Series 2015-6 B1 144A 3.568% 10/25/45 #, • | 1,611,396 | 1,656,795 | |
Series 2015-6 B2 144A 3.568% 10/25/45 #, • | 1,560,104 | 1,595,804 | |
Series 2016-4 B1 144A 3.868% 10/25/46 #, • | 1,029,051 | 1,072,185 | |
Series 2016-4 B2 144A 3.868% 10/25/46 #, • | 1,806,545 | 1,869,522 | |
Series 2017-1 B3 144A 3.51% 1/25/47 #, • | 3,207,083 | 3,236,546 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 796,581 | 819,047 | |
Series 2019-LTV3 A3 144A 3.50% 3/25/50 #, • | 899,279 | 922,393 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 1,105,339 | 1,134,792 | |
Series 2020-5 A3 144A 3.00% 12/25/50 #, • | 9,760,149 | 10,018,637 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 3,418,797 | 3,513,614 | |
MASTR ARM Trust Series 2004-10 2A2 3.119% 10/25/34 • | 19,324 | 17,405 | |
New Residential Mortgage Loan Trust Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 1,180,018 | 1,244,282 | |
Sequoia Mortgage Trust | |||
Series 2013-4 B2 3.48% 4/25/43 • | 1,025,796 | 1,044,178 | |
Series 2013-12 B3 144A 4.151% 12/25/43 #, • | 2,644,411 | 2,679,193 | |
Series 2014-2 A4 144A 3.50% 7/25/44 #, • | 567,398 | 583,840 | |
Series 2015-1 B2 144A 3.864% 1/25/45 #, • | 1,503,248 | 1,529,380 | |
Series 2017-4 A1 144A 3.50% 7/25/47 #, • | 698,400 | 714,019 | |
Series 2018-5 A4 144A 3.50% 5/25/48 #, • | 528,658 | 530,895 | |
Series 2020-3 A1 144A 3.00% 4/25/50 #, • | 1,878,453 | 1,925,272 | |
Series 2020-4 A2 144A 2.50% 11/25/50 #, =, • | 2,500,000 | 2,572,000 | |
Silverstone Master Issuer Series 2018-1A 1A 144A 0.599% (LIBOR03M + 0.39%) 1/21/70 #, • | 3,360,000 | 3,354,792 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Thornburg Mortgage Securities Trust Series 2007-4 1A1 2.429% 9/25/37 • | 568,328 | $557,194 | |
Washington Mutual Mortgage Pass Through Certificates Trust Series 2005-1 5A2 6.00% 3/25/35 ♦ | 3,525 | 79 | |
Wells Fargo Mortgage Backed Securities Trust | |||
Series 2020-3 A1 144A 3.00% 6/25/50 #, • | 9,178,380 | 9,434,723 | |
Series 2020-4 A1 144A 3.00% 7/25/50 #, • | 4,269,036 | 4,393,603 | |
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-20 A1 5.50% 12/25/21 | 34,670 | 34,626 | |
Series 2006-AR5 2A1 4.001% 4/25/36 • | 385,610 | 373,858 | |
Series 2007-AR10 2A1 3.986% 1/25/38 • | 712,315 | 644,381 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 2,095,489 | 2,148,493 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $87,385,722) | 88,664,858 | ||
Non-Agency Commercial Mortgage-Backed Securities — 8.03% | |||
Banc of America Commercial Mortgage Trust Series 2017-BNK3 B 3.879% 2/15/50 • | 30,000 | 32,493 | |
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 6,515,000 | 7,264,715 | |
Series 2017-BNK5 B 3.896% 6/15/60 • | 2,775,000 | 2,992,919 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 4,585,000 | 5,137,653 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 5,125,000 | 5,644,387 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 8,000,000 | 8,747,414 | |
Benchmark Mortgage Trust | |||
Series 2018-B1 A5 3.666% 1/15/51 • | 7,815,000 | 8,851,265 | |
Series 2018-B3 A5 4.025% 4/10/51 | 1,615,000 | 1,869,165 | |
Series 2020-B17 A5 2.289% 3/15/53 | 2,563,000 | 2,668,279 | |
Series 2020-B20 A5 2.034% 10/15/53 | 16,000,000 | 16,318,269 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 8,080,000 | 9,290,468 | |
Series 2019-CF2 A5 2.874% 11/15/52 | 5,400,000 | 5,856,069 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 3,000,000 | 3,287,584 | |
CD Mortgage Trust | |||
Series 2016-CD2 A3 3.248% 11/10/49 | 5,440,000 | 5,874,918 | |
Series 2017-CD6 B 3.911% 11/13/50 • | 1,925,000 | 2,059,112 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 3,400,000 | 3,696,754 | |
CFCRE Commercial Mortgage Trust | |||
Series 2011-C2 C 144A 5.739% 12/15/47 #, • | 1,745,000 | 1,755,554 | |
Series 2016-C7 A3 3.839% 12/10/54 | 9,835,000 | 10,939,644 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 3,550,000 | 3,849,665 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Citigroup Commercial Mortgage Trust | |||
Series 2016-P3 A4 3.329% 4/15/49 | 5,500,000 | $5,993,586 | |
Series 2017-C4 A4 3.471% 10/12/50 | 2,710,000 | 3,024,412 | |
Series 2018-C5 A4 4.228% 6/10/51 • | 2,750,000 | 3,202,504 | |
Series 2019-C7 A4 3.102% 12/15/72 | 2,800,000 | 3,098,383 | |
Series 2020-555 A 144A 2.647% 12/10/41 # | 3,500,000 | 3,672,878 | |
COMM Mortgage Trust | |||
Series 2013-CR6 AM 144A 3.147% 3/10/46 # | 6,720,000 | 6,957,063 | |
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,550,000 | 1,632,747 | |
Series 2014-CR19 A5 3.796% 8/10/47 | 2,895,000 | 3,162,215 | |
Series 2014-CR20 AM 3.938% 11/10/47 | 10,355,000 | 11,189,006 | |
Series 2016-CR28 A4 3.762% 2/10/49 | 3,290,000 | 3,677,487 | |
DB-JPM Mortgage Trust | |||
Series 2016-C1 A4 3.276% 5/10/49 | 3,020,000 | 3,295,787 | |
Series 2016-C3 A5 2.89% 8/10/49 | 4,500,000 | 4,859,196 | |
DB-UBS Mortgage Trust Series 2011-LC1A C 144A 5.594% 11/10/46 #, • | 2,205,000 | 2,205,744 | |
GRACE Mortgage Trust Series 2014-GRCE A 144A 3.369% 6/10/28 # | 2,620,000 | 2,631,419 | |
GS Mortgage Securities Trust | |||
Series 2010-C1 C 144A 5.635% 8/10/43 #, • | 3,115,000 | 2,782,105 | |
Series 2015-GC32 A4 3.764% 7/10/48 | 3,096,000 | 3,417,869 | |
Series 2017-GS5 A4 3.674% 3/10/50 | 6,835,000 | 7,709,479 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 3,380,000 | 3,768,979 | |
Series 2018-GS9 A4 3.992% 3/10/51 • | 3,375,000 | 3,885,396 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 7,241,000 | 8,178,117 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 2,835,000 | 3,104,178 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 3,000,000 | 3,151,263 | |
Series 2020-GC47 B 3.571% 5/12/53 • | 2,260,000 | 2,464,511 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C31 A3 3.801% 8/15/48 | 10,785,000 | 11,954,354 | |
Series 2015-C33 A4 3.77% 12/15/48 | 7,550,000 | 8,440,266 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 8,420,000 | 8,207,978 | |
Series 2015-JP1 A5 3.914% 1/15/49 | 3,755,000 | 4,229,454 | |
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 3,260,000 | 3,240,532 | |
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 3,260,000 | 3,180,552 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 2,551,992 | 1,477,357 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2014-C17 A5 3.741% 8/15/47 | 3,256,000 | 3,529,516 | |
Series 2015-C26 A5 3.531% 10/15/48 | 3,925,000 | 4,335,374 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2016-C29 A4 3.325% 5/15/49 | 2,500,000 | $2,743,143 | |
Morgan Stanley Capital I Trust | |||
Series 2006-HQ10 B 5.448% 11/12/41 • | 3,335,153 | 3,285,537 | |
Series 2006-T21 B 144A 5.579% 10/12/52 #, • | 1,519,529 | 1,513,959 | |
Series 2016-BNK2 B 3.485% 11/15/49 | 1,500,000 | 1,542,511 | |
Series 2019-L3 A4 3.127% 11/15/52 | 4,000,000 | 4,419,188 | |
UBS Commercial Mortgage Trust | |||
Series 2012-C1 A3 3.40% 5/10/45 | 3,851,707 | 3,929,483 | |
Series 2018-C9 A4 4.117% 3/15/51 • | 4,100,000 | 4,699,177 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 670,000 | 677,761 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 2,415,029 | 2,619,239 | |
Series 2015-NXS3 A4 3.617% 9/15/57 | 2,270,000 | 2,508,303 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 5,790,000 | 6,068,526 | |
Series 2017-C38 A5 3.453% 7/15/50 | 4,140,000 | 4,630,135 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $279,326,271) | 290,432,996 | ||
Loan Agreements — 5.07% | |||
Acrisure Tranche B 0.036% (LIBOR01M + 0.035%) 2/15/27 • | 1,265,638 | 1,223,714 | |
Advantage Sales & Marketing TBD 10/31/27 X | 3,655,000 | 3,566,670 | |
American Airlines Tranche B 2.148% (LIBOR01M + 2.00%) 12/14/23 • | 898,507 | 747,726 | |
Applied Systems 1st Lien 4.25% (LIBOR03M + 3.25%) 9/19/24 • | 2,218,567 | 2,210,842 | |
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) 9/19/25 • | 4,729,152 | 4,767,576 | |
Aramark Services Tranche B-3 1.898% (LIBOR01M + 1.75%) 3/11/25 • | 1,744,079 | 1,671,046 | |
Array Technologies 5.00% (LIBOR03M + 4.00%) 10/14/27 • | 584,435 | 577,129 | |
Aruba Investments Holdings 2nd Lien TBD 10/28/28 | 950,000 | 945,250 | |
Aruba Investments TBD 10/28/27 X | 950,000 | 945,250 | |
AssuredPartners 3.648% (LIBOR01M + 3.50%) 2/12/27 • | 977,005 | 944,520 | |
AthenaHealth Tranche B 1st Lien 4.75% (LIBOR03M + 4.50%) 2/11/26 • | 689,500 | 676,572 | |
Avantor Tranche B TBD 10/30/27 X | 2,225,000 | 2,202,750 | |
Ball Metalpack Finco 2nd Lien 9.75% (LIBOR03M + 8.75%) 7/24/26 • | 360,000 | 291,600 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Bausch Health 3.149% (LIBOR01M + 3.00%) 6/2/25 • | 1,065,938 | $1,042,787 | |
Berry Global Tranche W 2.147% (LIBOR01M + 2.00%) 10/1/22 • | 3,350,000 | 3,320,919 | |
Berry Global Tranche Y 2.147% (LIBOR01M + 2.00%) 7/1/26 • | 2,133,000 | 2,064,821 | |
Blue Ribbon 1st Lien 5.00% (LIBOR01M + 4.00%) 11/15/21 • | 1,161,481 | 1,085,985 | |
Boxer Parent 4.398% (LIBOR01M + 4.25%) 10/2/25 • | 1,802,846 | 1,752,892 | |
Buckeye Partners 2.897% (LIBOR01M + 2.75%) 11/1/26 • | 1,570,598 | 1,540,659 | |
BWay Holding 3.479% (LIBOR03M + 3.25%) 4/3/24 • | 1,052,883 | 987,736 | |
Caesars Resort Collection Tranche B-1 4.649% (LIBOR01M + 4.50%) 7/21/25 • | 1,570,000 | 1,522,573 | |
Calpine | |||
2.40% (LIBOR01M + 2.25%) 1/15/24 • | 970,944 | 949,098 | |
2.40% (LIBOR01M + 2.25%) 4/5/26 • | 898,625 | 877,170 | |
Camelot US Acquisition I 4.00% (LIBOR01M + 3.00%) 10/30/26 • | 1,765,000 | 1,741,834 | |
Carnival 8.50% (LIBOR01M + 7.50%) 6/30/25 • | 1,346,625 | 1,356,725 | |
Change Healthcare Holdings 3.50% (LIBOR01M + 2.50%) 3/1/24 • | 1,110,046 | 1,085,963 | |
Charter Communications Operating Tranche B2 1.90% (LIBOR01M + 1.75%) 2/1/27 • | 1,897,463 | 1,851,892 | |
Chemours Tranche B-2 0.019% (LIBOR01M + 0.018%) 4/3/25 • | 1,635,555 | 1,570,133 | |
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) 4/18/24 • | 2,413,002 | 2,274,857 | |
Connect US Finco 5.50% (LIBOR01M + 4.50%) 12/12/26 • | 1,938,260 | 1,903,856 | |
Core & Main 3.75% (LIBOR03M + 2.75%) 8/1/24 • | 2,538,045 | 2,474,594 | |
CSC Holdings | |||
2.398% (LIBOR01M + 2.25%) 7/17/25 • | 1,799,725 | 1,741,684 | |
2.648% (LIBOR01M + 2.50%) 4/15/27 • | 1,362,330 | 1,321,744 | |
DaVita Tranche B-1 1.897% (LIBOR01M + 1.75%) 8/12/26 • | 2,406,736 | 2,359,164 | |
EFS Cogen Holdings I Tranche B 4.50% (LIBOR03M + 3.50%) 9/24/27 • | 1,810,000 | 1,798,688 | |
Ensemble RCM 3.964% (LIBOR03M + 3.75%) 8/3/26 • | 1,059,300 | 1,039,438 | |
Epicor Software Tranche B 5.25% (LIBOR01M + 4.25%) 7/30/27 • | 3,665,000 | 3,658,128 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
ESH Hospitality 2.148% (LIBOR01M + 2.00%) 9/18/26 • | 1,228,916 | $1,192,356 | |
ExamWorks Group Tranche B-1 4.25% (LIBOR03M + 3.25%) 7/27/23 • | 1,430,675 | 1,418,156 | |
Frontier Communications Tranche B-1 6.00% (LIBOR03M + 2.75%) 6/17/24 • | 1,970,933 | 1,939,398 | |
Garda World Security Tranche B 1st Lien 4.90% (LIBOR01M + 4.75%) 10/30/26 • | 575,436 | 574,788 | |
Gardner Denver Tranche B-1 1.898% (LIBOR01M + 1.75%) 3/1/27 • | 2,277,003 | 2,205,847 | |
Gentiva Health Services Tranche B 3.437% (LIBOR01M + 3.25%) 7/2/25 • | 1,795,711 | 1,762,042 | |
Global Medical Response 5.75% (LIBOR03M + 4.75%) 10/2/25 • | 5,505,000 | 5,343,291 | |
Granite US Holdings Tranche B 5.47% (LIBOR03M + 5.25%) 9/30/26 • | 412,061 | 387,337 | |
Gray Television Tranche B-2 2.399% (LIBOR01M + 2.25%) 2/7/24 • | 2,027,963 | 1,985,882 | |
Grupo Aeromexico TBD 8/19/22 X, = | 1,750,000 | 1,750,000 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 3,466,312 | 3,461,980 | |
HCA Tranche B-12 1.898% (LIBOR01M + 1.75%) 3/13/25 • | 4,688,009 | 4,673,776 | |
Hilton Worldwide Finance Tranche B-2 1.899% (LIBOR01M + 1.75%) 6/22/26 • | 316,470 | 300,816 | |
HUB International 3.215% (LIBOR03M + 3.00%) 4/25/25 • | 3,421,250 | 3,296,802 | |
Informatica 3.398% (LIBOR01M + 3.25%) 2/25/27 • | 3,532,597 | 3,421,320 | |
Informatica 2nd Lien 7.125% 2/14/25 | 2,739,000 | 2,783,509 | |
Invictus 1st Lien 3.148% (LIBOR01M + 3.00%) 3/28/25 • | 1,021,804 | 987,318 | |
IQVIA Tranche B-3 1.97% (LIBOR03M + 1.75%) 6/11/25 • | 2,575,712 | 2,537,721 | |
Iron Mountain Information Management Tranche B 1.898% (LIBOR01M + 1.75%) 1/2/26 • | 2,716,268 | 2,621,198 | |
JBS USA LUX 2.147% (LIBOR01M + 2.00%) 5/1/26 • | 561,450 | 549,812 | |
LS Group OpCo Acquisition Tranche B TBD 10/26/27 X | 2,220,000 | 2,203,350 | |
Merrill Communications Tranche B 1st Lien 6.00% (LIBOR06M + 5.00%) 10/5/26 • | 628,650 | 627,078 | |
Microchip Technology 2.15% (LIBOR01M + 2.00%) 5/29/25 • | 2,395,017 | 2,379,049 | |
Milano Acquisition Tranche B 4.75% (LIBOR03M + 4.00%) 10/1/27 • | 3,225,000 | 3,174,609 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Mileage Plus Holdings 6.25% (LIBOR03M + 5.25%) 6/20/27 • | 2,100,000 | $2,140,524 | |
Numericable US Tranche B-11 2.898% (LIBOR01M + 2.75%) 7/31/25 • | 1,502,711 | 1,435,089 | |
Numericable US Tranche B-13 4.237% (LIBOR03M + 4.00%) 8/14/26 • | 617,400 | 600,885 | |
ON Semiconductor Tranche B-4 2.148% (LIBOR01M + 2.00%) 9/16/26 • | 2,849,032 | 2,790,271 | |
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 • | 2,456,250 | 2,376,039 | |
PG&E 5.50% (LIBOR03M + 4.50%) 6/23/25 • | 3,491,250 | 3,471,612 | |
PQ 4.00% (LIBOR03M + 3.00%) 2/7/27 • | 997,500 | 991,266 | |
PQ Tranche B 2.464% (LIBOR03M + 2.25%) 2/8/27 • | 1,991,600 | 1,939,321 | |
Prestige Brands Tranche B-4 2.148% (LIBOR01M + 2.00%) 1/26/24 • | 1,444,513 | 1,438,193 | |
Pretium PKG Holdings TBD 10/29/27 X | 1,580,000 | 1,558,275 | |
Prime Security Services Borrower Tranche B-1 4.25% (LIBOR01M + 3.25%) 9/23/26 • | 1,361,734 | 1,345,469 | |
Reynolds Group Holdings Tranche B-2 3.398% (LIBOR01M + 3.25%) 2/5/26 • | 1,300,000 | 1,270,750 | |
RP Crown Parent Tranche B-1 4.00% (LIBOR01M + 3.00%) 2/2/26 • | 2,703,225 | 2,645,782 | |
Russell Investments US Institutional Holdco 4.00% (LIBOR03M + 3.00%) 6/2/25 • | 300,467 | 297,087 | |
Ryan Specialty Group 4.00% (LIBOR01M + 3.25%) 9/1/27 • | 1,625,000 | 1,614,166 | |
Scientific Games International Tranche B-5 2.975% (LIBOR01M + 2.75%) 8/14/24 • | 3,044,754 | 2,839,945 | |
Sinclair Television Group Tranche B 2.251% (LIBOR01M + 2.25%) 1/3/24 • | 2,106,084 | 2,051,678 | |
Solenis International 1st Lien 4.256% (LIBOR03M + 4.00%) 6/26/25 • | 1,700,392 | 1,661,071 | |
Spirit Aerosystems 6.00% (LIBOR01M + 5.25%) 1/30/25 • | 2,135,000 | 2,137,669 | |
SS&C Technologies Tranche B-3 1.898% (LIBOR01M + 1.75%) 4/16/25 • | 1,194,802 | 1,163,224 | |
SS&C Technologies Tranche B-4 1.898% (LIBOR01M + 1.75%) 4/16/25 • | 839,432 | 817,246 | |
Stars Group Holdings 3.72% (LIBOR03M + 3.50%) 7/10/25 • | 608,548 | 609,205 | |
Surf Holdings 1st Lien 3.749% (LIBOR03M + 3.50%) 3/5/27 • | 927,675 | 899,149 | |
Tecta America 4.648% (LIBOR01M + 4.50%) 11/20/25 • | 800,077 | 760,073 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Telenet Financing Tranche AR 2.148% (LIBOR01M + 2.00%) 4/30/28 • | 2,530,000 | $2,447,380 | |
Terrier Media Buyer 4.398% (LIBOR01M + 4.25%) 12/17/26 • | 1,283,302 | 1,254,228 | |
Titan Acquisition 3.361% (LIBOR03M + 3.00%) 3/28/25 • | 231,419 | 220,013 | |
Transdigm Tranche F 2.398% (LIBOR01M + 2.25%) 12/9/25 • | 1,767,369 | 1,666,483 | |
Ultimate Software Group 4.75% (LIBOR03M + 4.00%) 5/4/26 • | 9,185,000 | 9,143,539 | |
Ultimate Software Group 1st Lien 3.898% (LIBOR01M + 3.75%) 5/4/26 • | 5,696,238 | 5,603,674 | |
United Rentals (North America) 1.898% (LIBOR01M + 1.75%) 10/31/25 • | 220,500 | 219,870 | |
USI 4.22% (LIBOR03M + 4.00%) 12/2/26 • | 506,034 | 501,053 | |
USI Tranche B 3.22% (LIBOR03M + 3.00%) 5/16/24 • | 2,656,114 | 2,564,810 | |
USIC Holdings Tranche B 4.25% (LIBOR01M + 3.25%) 12/8/23 • | 414,623 | 408,274 | |
Vertical Midco Tranche B 4.567% (LIBOR06M + 4.25%) 7/30/27 • | 3,140,000 | 3,102,059 | |
Vistra Operations 1.898% (LIBOR01M + 1.75%) 12/31/25 • | 2,759,636 | 2,700,993 | |
Windstream Services 7.25% (LIBOR03M + 6.25%) 8/11/27 • | 538,650 | 510,371 | |
Zekelman Industries 2.148% (LIBOR01M + 2.00%) 1/24/27 • | 793,015 | 771,826 | |
Total Loan Agreements (cost $185,567,048) | 183,639,982 | ||
Sovereign BondsΔ — 2.45% | |||
Albania — 0.01% | |||
Albania Government International Bond | |||
144A 3.50% 6/16/27 # | EUR | 400,000 | 482,165 |
482,165 | |||
Angola — 0.01% | |||
Angolan Government International Bond | |||
8.25% 5/9/28 | 499,000 | 393,973 | |
393,973 | |||
Argentina — 0.06% | |||
Argentine Republic Government International Bond | |||
0.125% 7/9/30 ~ | 5,078,070 | 1,863,652 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Argentina (continued) | |||
Argentine Republic Government International Bond | |||
0.125% 7/9/35 ~ | 703,250 | $231,369 | |
1.00% 7/9/29 | 164,405 | 67,899 | |
2,162,920 | |||
Azerbaijan — 0.02% | |||
Republic of Azerbaijan International Bond | |||
144A 3.50% 9/1/32 # | 753,000 | 733,987 | |
733,987 | |||
Bahrain — 0.03% | |||
Bahrain Government International Bond | |||
144A 7.375% 5/14/30 # | 800,000 | 888,764 | |
888,764 | |||
Bermuda — 0.02% | |||
Bermuda Government International Bond | |||
144A 2.375% 8/20/30 # | 800,000 | 823,000 | |
823,000 | |||
Brazil — 0.02% | |||
Brazilian Government International Bond | |||
4.75% 1/14/50 | 872,000 | 855,977 | |
855,977 | |||
Chile — 0.02% | |||
Chile Government International Bond | |||
3.50% 1/25/50 | 700,000 | 773,500 | |
773,500 | |||
Colombia — 0.06% | |||
Colombia Government International Bond | |||
4.00% 2/26/24 | 1,296,000 | 1,383,888 | |
5.00% 6/15/45 | 728,000 | 847,938 | |
2,231,826 | |||
Costa Rica — 0.01% | |||
Costa Rica Government International Bond | |||
144A 7.158% 3/12/45 # | 200,000 | 159,750 | |
159,750 | |||
Dominican Republic — 0.09% | |||
Dominican Republic International Bond | |||
144A 4.50% 1/30/30 # | 867,000 | 876,754 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Dominican Republic (continued) | |||
Dominican Republic International Bond | |||
144A 4.875% 9/23/32 # | 500,000 | $508,750 | |
144A 6.00% 7/19/28 # | 1,607,000 | 1,773,421 | |
3,158,925 | |||
Ecuador — 0.03% | |||
Ecuador Government International Bond | |||
144A 0.50% 7/31/30 #, ~ | 358,533 | 240,220 | |
144A 0.50% 7/31/35 #, ~ | 939,584 | 517,946 | |
144A 0.50% 7/31/40 #, ~ | 430,619 | 215,314 | |
144A 6.61% 7/31/30 #, ^ | 101,490 | 46,686 | |
1,020,166 | |||
Egypt — 0.34% | |||
Egypt Government International Bond | |||
144A 5.577% 2/21/23 # | 9,340,000 | 9,637,619 | |
144A 5.75% 5/29/24 # | 1,030,000 | 1,057,206 | |
7.903% 2/21/48 | 446,000 | 424,253 | |
144A 8.70% 3/1/49 # | 1,280,000 | 1,293,371 | |
12,412,449 | |||
El Salvador — 0.02% | |||
El Salvador Government International Bond | |||
144A 7.125% 1/20/50 # | 862,000 | 646,500 | |
646,500 | |||
Gabon — 0.01% | |||
Gabon Government International Bond | |||
144A 6.625% 2/6/31 # | 435,000 | 389,669 | |
389,669 | |||
Georgia — 0.01% | |||
Georgia Government International Bond | |||
6.875% 4/12/21 | 389,000 | 396,388 | |
396,388 | |||
Ghana — 0.02% | |||
Ghana Government International Bond | |||
144A 7.875% 3/26/27 # | 753,000 | 734,032 | |
734,032 | |||
Guatemala — 0.02% | |||
Guatemala Government Bond | |||
144A 4.875% 2/13/28 # | 594,000 | 669,735 | |
669,735 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Honduras — 0.02% | |||
Honduras Government International Bond | |||
144A 5.625% 6/24/30 # | 700,000 | $775,250 | |
775,250 | |||
Indonesia — 0.03% | |||
Indonesia Government International Bond | |||
2.95% 1/11/23 | 500,000 | 521,547 | |
144A 4.625% 4/15/43 # | 387,000 | 454,560 | |
976,107 | |||
Israel — 0.01% | |||
Israel Government International Bond | |||
2.75% 7/3/30 | 340,000 | 372,399 | |
372,399 | |||
Ivory Coast — 0.04% | |||
Ivory Coast Government International Bond | |||
144A 6.125% 6/15/33 # | 1,491,000 | 1,509,269 | |
1,509,269 | |||
Jordan — 0.01% | |||
Jordan Government International Bond | |||
144A 5.75% 1/31/27 # | 380,000 | 393,325 | |
393,325 | |||
Kenya — 0.09% | |||
Kenya Government International Bond | |||
144A 6.875% 6/24/24 # | 734,000 | 779,196 | |
144A 8.00% 5/22/32 # | 2,175,000 | 2,292,581 | |
3,071,777 | |||
Lebanon — 0.01% | |||
Lebanon Government International Bond | |||
6.25% 5/27/22 ‡ | 2,062,000 | 318,785 | |
318,785 | |||
Mexico — 0.04% | |||
Mexico Government International Bond | |||
3.25% 4/16/30 | 807,000 | 835,415 | |
4.60% 2/10/48 | 595,000 | 644,858 | |
1,480,273 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Mongolia — 0.10% | |||
Development Bank of Mongolia 144A 7.25% 10/23/23 # | 2,270,000 | $2,374,673 | |
Mongolia Government International Bond 144A 5.625% 5/1/23 # | 1,226,000 | 1,279,637 | |
3,654,310 | |||
Morocco — 0.01% | |||
Morocco Government International Bond | |||
144A 1.375% 3/30/26 # | EUR | 300,000 | 347,283 |
347,283 | |||
Nigeria — 0.04% | |||
Nigeria Government International Bond | |||
144A 7.875% 2/16/32 # | 1,410,000 | 1,372,872 | |
1,372,872 | |||
North Macedonia — 0.01% | |||
North Macedonia Government International Bond | |||
144A 3.675% 6/3/26 # | EUR | 300,000 | 380,818 |
380,818 | |||
Oman — 0.02% | |||
Oman Government International Bond | |||
144A 6.75% 1/17/48 # | 889,000 | 730,522 | |
730,522 | |||
Panama — 0.24% | |||
Panama Government International Bond | |||
2.252% 9/29/32 | 500,000 | 508,125 | |
3.75% 3/16/25 | 6,489,000 | 7,109,641 | |
144A 3.75% 4/17/26 # | 710,000 | 769,189 | |
4.50% 5/15/47 | 365,000 | 451,430 | |
8,838,385 | |||
Paraguay — 0.19% | |||
Paraguay Government International Bond | |||
144A 4.95% 4/28/31 # | 5,200,000 | 6,084,000 | |
144A 5.40% 3/30/50 # | 727,000 | 888,758 | |
6,972,758 | |||
Peru — 0.03% | |||
Peruvian Government International Bond | |||
2.844% 6/20/30 | 1,042,000 | 1,140,011 | |
1,140,011 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Philippines — 0.02% | |||
Philippine Government International Bond | |||
2.457% 5/5/30 | 700,000 | $749,667 | |
749,667 | |||
Qatar — 0.12% | |||
Qatar Government International Bond | |||
144A 3.40% 4/16/25 # | 200,000 | 219,752 | |
144A 4.00% 3/14/29 # | 1,905,000 | 2,235,917 | |
144A 4.40% 4/16/50 # | 1,569,000 | 2,002,656 | |
4,458,325 | |||
Romania — 0.20% | |||
Romanian Government International Bond | |||
144A 3.00% 2/14/31 # | 6,410,000 | 6,655,400 | |
144A 3.375% 1/28/50 # | EUR | 359,000 | 436,252 |
7,091,652 | |||
Russia — 0.07% | |||
Russian Foreign Bond - Eurobond | |||
144A 4.25% 6/23/27 # | 1,600,000 | 1,800,111 | |
144A 5.25% 6/23/47 # | 600,000 | 788,966 | |
2,589,077 | |||
Saudi Arabia — 0.02% | |||
Saudi Government International Bond | |||
144A 2.90% 10/22/25 # | 300,000 | 321,132 | |
144A 3.625% 3/4/28 # | 395,000 | 438,999 | |
760,131 | |||
Senegal — 0.02% | |||
Senegal Government International Bond | |||
144A 6.75% 3/13/48 # | 563,000 | 552,059 | |
552,059 | |||
Serbia — 0.01% | |||
Serbia International Bond | |||
144A 3.125% 5/15/27 # | EUR | 400,000 | 507,617 |
507,617 | |||
South Africa — 0.03% | |||
Republic of South Africa Government International Bond | |||
4.875% 4/14/26 | 331,000 | 343,992 | |
5.75% 9/30/49 | 595,000 | 538,201 | |
882,193 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Sri Lanka — 0.02% | |||
Sri Lanka Government International Bond | |||
144A 6.20% 5/11/27 # | 1,155,000 | $623,700 | |
144A 7.55% 3/28/30 # | 310,000 | 167,372 | |
791,072 | |||
Trinidad and Tobago — 0.01% | |||
Trinidad & Tobago Government International Bond | |||
144A 4.50% 6/26/30 # | 350,000 | 355,688 | |
355,688 | |||
Turkey — 0.05% | |||
Turkey Government International Bond | |||
6.35% 8/10/24 | 300,000 | 296,556 | |
7.625% 4/26/29 | 1,600,000 | 1,616,616 | |
1,913,172 | |||
Ukraine — 0.06% | |||
Ukraine Government International Bond | |||
144A 7.75% 9/1/26 # | 2,192,000 | 2,222,754 | |
2,222,754 | |||
Uruguay — 0.09% | |||
Uruguay Government International Bond | |||
4.375% 1/23/31 | 2,635,000 | 3,185,886 | |
3,185,886 | |||
Uzbekistan — 0.04% | |||
Republic of Uzbekistan Bond | |||
144A 5.375% 2/20/29 # | 1,126,000 | 1,250,378 | |
1,250,378 | |||
Total Sovereign Bonds (cost $87,312,028) | 88,577,541 | ||
Supranational Banks — 0.10% | |||
Banco Latinoamericano de Comercio Exterior 144A 2.375% 9/14/25 # | 500,000 | 512,315 | |
Banque Ouest Africaine de Developpement | |||
144A 4.70% 10/22/31 # | 2,309,000 | 2,429,230 | |
144A 5.00% 7/27/27 # | 723,000 | 777,948 | |
Total Supranational Banks (cost $3,515,665) | 3,719,493 | ||
US Treasury Obligations — 11.77% | |||
US Treasury Bond 4.375% 2/15/38 | 21,040,000 | 31,483,566 |
Principal amount° | Value (US $) | ||
US Treasury Obligations (continued) | |||
US Treasury Inflation Indexed Notes | |||
0.125% 1/15/30 | 95,730,342 | $104,513,199 | |
0.125% 7/15/30 | 67,876,301 | 74,502,793 | |
US Treasury Notes | |||
0.25% 9/30/25 | 124,300,000 | 123,547,401 | |
0.625% 8/15/30 | 59,515,000 | 58,134,067 | |
1.625% 8/15/29 | 1,460,000 | 1,563,455 | |
US Treasury Strip Principal 2.26% 5/15/44 ^ | 47,005,000 | 32,257,745 | |
Total US Treasury Obligations (cost $418,379,537) | 426,002,226 |
Number of shares | |||
Common Stock — 0.00% | |||
Communications — 0.00% | |||
Century Communications =, † | 7,875,000 | 0 | |
0 | |||
Total Common Stock (cost $238,403) | 0 | ||
Preferred Stock — 0.10% | |||
USB Realty 144A 1.384% (LIBOR03M + 1.147%) #, • | 4,485,000 | 3,489,330 | |
Total Preferred Stock (cost $3,482,875) | 3,489,330 | ||
Short-Term Investments — 2.54% | |||
Money Market Mutual Funds — 2.54% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 23,006,275 | 23,006,275 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 23,006,275 | 23,006,275 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 23,006,275 | 23,006,275 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 23,006,275 | 23,006,275 | |
Total Short-Term Investments (cost $92,025,100) | 92,025,100 | ||
Total Value of Securities Before Securities Lending Collateral—100.02% (cost $3,500,333,611) | 3,620,291,249 |
Principal amount | Value (US $) | ||
Securities Lending Collateral** — 1.39% | |||
Repurchase Agreements — 1.39% | |||
Bank of Montreal 0.07%, dated 10/30/20, to be repurchased on 11/2/20, repurchase price $11,701,052 (collateralized by US government obligations 0.125%−7.875% 2/15/21−10/15/24; market value $11,935,034) | 11,700,984 | $11,700,984 | |
Bank of Nova Scotia 0.07%, dated 10/30/20, to be repurchased on 11/2/20, repurchase price $11,701,052 (collateralized by US government obligations 0.00%−8.00% 11/5/20−8/15/25; market value $11,935,085) | 11,700,984 | 11,700,984 | |
BofA Securities 0.07%, dated 10/30/20, to be repurchased on 11/2/20, repurchase price $11,701,052 (collateralized by US government obligations 1.75% 12/31/24; market value $11,935,022) | 11,700,984 | 11,700,984 | |
Credit Agricole 0.07%, dated 10/30/20, to be repurchased on 11/2/20, repurchase price $11,701,052 (collateralized by US government obligations 2.50% 1/31/25; market value $11,935,043) | 11,700,984 | 11,700,984 | |
JP Morgan Securities 0.07%, dated 10/30/20, to be repurchased on 11/2/20, repurchase price $3,448,407 (collateralized by US government obligations 0.155%−2.625% 7/31/22−3/31/25; market value $3,517,362) | 3,448,387 | 3,448,387 | |
Total Securities Lending Collateral** (cost $50,252,323) | 50,252,323 | ||
Total Value of Securities—101.41% (cost $3,550,585,934) | $3,670,543,572■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
† | Non-income producing security. |
~ | 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. |
Δ | Securities have been classified by country of origin. |
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.” |
‡ | Non-income producing security. Security is currently in default. |
« | PIK. The first payment of cash and/or principal will be made after October 31, 2020. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
* | PIK. 100% of the income received was in the form of both cash and principal. |
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. |
# | 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 $996,358,643, which represents 27.53% of the Fund's net assets. See Note 11 in “Notes to financial statements.” |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Ω | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
• | 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. |
φ | Step coupon bond. Stated rate in effect at October 31, 2020 through maturity date. |
ψ | No contractual maturity date. |
■ | Includes $48,563,862 of securities loaned. |
Borrower | Principal Amount | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
Grupo Aeromexico 12.50% 8/19/22 | $3,500,000 | $3,500,000 | $3,500,000 | $— | ||||
Grupo Aeromexico TBD 8/19/22 | $1,750,000 | $1,750,000 | $1,750,000 | $— |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
JPMCB | EUR | 31,125,000 | USD | (36,436,792) | 1/15/21 | $— | $(116,702) | |||||
JPMCB | EUR | (1,635,000) | USD | 1,921,039 | 1/22/21 | 12,851 | — | |||||
Total Foreign Currency Exchange Contracts | $12,851 | $(116,702) |
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 | |||||||
474 | US Treasury 5 yr Notes | $59,535,141 | $59,688,092 | 12/31/20 | $— | $(152,951) | $(22,221) | ||||||
(925) | US Treasury 10 yr Notes | (127,852,344) | (129,193,976) | 12/21/20 | 1,341,632 | — | 173,437 | ||||||
345 | US Treasury 10 yr Ultra Notes | 54,262,031 | 55,233,196 | 12/21/20 | — | (971,165) | (118,594) | ||||||
(33) | US Treasury 10 yr Ultra Notes | (5,190,281) | (5,260,336) | 12/21/20 | 70,055 | — | 11,344 | ||||||
Total Futures Contracts | $(19,533,024) | $1,411,687 | $(1,124,116) | $43,966 |
CDS Contracts2 | ||||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||
Over-The-Counter: | ||||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||||
JPMCB-Mexico 3.60% 12/31/22 WR 6/20/25-Quarterly | 9,960,000 | 1.000% | $70,031 | $660,420 | $— | $(590,389) | $— |
1 | See Note 8 in "Notes to financial statements." |
2 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
3 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
4 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(11,067). |
Summary of abbreviations: |
ABS – Asset-Backed Security |
ARM – Adjustable Rate Mortgage |
Summary of abbreviations: (continued) |
BB – Barclays Bank |
CD – Certificate of Deposit |
CDS – Credit Default Swap |
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 |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
PIK – Payment-in-kind |
PJSC – Private Joint Stock Company |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
TBA – To be announced |
TBD – To be determined |
yr – Year |
Summary of currencies: |
EUR – European Monetary Unit |
USD – US Dollar |
Delaware Diversified Income Fund | October 31, 2020 |
Assets: | |
Investments, at value*,† | $3,620,291,249 |
Short-term investments held as collateral for loaned securities, at value= | 50,252,323 |
Cash | 4,167,281 |
Cash collateral due from broker | 792,266 |
Foreign currencies, at valueΔ | 100,755 |
Receivable for securities sold | 2,633,572 |
Dividends and interest receivable | 23,467,066 |
Receivable for fund shares sold | 9,180,254 |
Variation margin due from broker on future contracts | 43,966 |
Unrealized appreciation on foreign currency exchange contracts | 12,851 |
Upfront payments paid on over the counter credit default swap contracts | 660,420 |
Securities lending income receivable | 13,584 |
Total Assets | 3,711,615,587 |
Liabilities: | |
Obligation to return securities lending collateral | 50,269,347 |
Payable for securities purchased | 29,070,938 |
Payable for fund shares redeemed | 8,370,292 |
Distribution payable | 1,475,197 |
Investment management fees payable to affiliates | 916,369 |
Other accrued expenses | 783,593 |
Unrealized depreciation on over the counter credit default swap contracts | 590,389 |
Distribution fees payable to affiliates | 297,511 |
Unrealized depreciation on foreign currency exchange contracts | 116,702 |
Cash collateral due to broker | 50,000 |
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 28,546 |
Trustees' fees and expenses payable to affiliates | 14,600 |
Accounting and administration expenses payable to affiliates | 10,884 |
Legal fees payable to affiliates | 4,187 |
Reports and statements to shareholders expenses payable to affiliates | 3,663 |
Swap payments payable | 1,829 |
Total Liabilities | 92,004,047 |
Total Net Assets | $3,619,611,540 |
Net Assets Consist of: | |
Paid-in capital | $3,519,146,784 |
Total distributable earnings (loss) | 100,464,756 |
Total Net Assets | $3,619,611,540 |
Net Asset Value | |
Class A: | |
Net assets | $733,934,671 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 79,542,494 |
Net asset value per share | $9.23 |
Sales charge | 4.50% |
Offering price per share, equal to net asset value per share / (1 - sales charge) | $9.66 |
Class C: | |
Net assets | $149,706,418 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 16,230,351 |
Net asset value per share | $9.22 |
Class R: | |
Net assets | $26,403,033 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,863,231 |
Net asset value per share | $9.22 |
Institutional Class: | |
Net assets | $2,671,510,392 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 289,348,164 |
Net asset value per share | $9.23 |
Class R6: | |
Net assets | $38,057,026 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,122,039 |
Net asset value per share | $9.23 |
*Investments, at cost | $3,500,333,611 |
†Including securities on loan | 48,563,862 |
=Short-term investments held as collateral for loaned securities, at cost | 50,252,323 |
ΔForeign currencies, at cost | 113,626 |
Delaware Diversified Income Fund | Year ended October 31, 2020 |
Investment Income: | |
Interest | $112,851,642 |
Dividends | 726,007 |
Securities lending income | 223,347 |
113,800,996 | |
Expenses: | |
Management fees | 16,663,613 |
Distribution expenses — Class A | 1,816,609 |
Distribution expenses — Class C | 2,037,225 |
Distribution expenses — Class R | 151,717 |
Dividend disbursing and transfer agent fees and expenses | 3,654,194 |
Accounting and administration expenses | 624,114 |
Reports and statements to shareholders expenses | 347,968 |
Trustees' fees and expenses | 207,692 |
Legal fees | 142,478 |
Custodian fees | 116,749 |
Registration fees | 104,639 |
Audit and tax fees | 62,124 |
Other | 182,485 |
26,111,607 | |
Less expenses waived | (6,149,006) |
Less expenses paid indirectly | (18,650) |
Total operating expenses | 19,943,951 |
Net Investment Income | 93,857,045 |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | $108,262,012 |
Foreign currencies | (65,459) |
Foreign currency exchange contracts | 780,996 |
Futures contracts | 3,759,810 |
Options purchased | (92,831) |
Swap contracts | 1,941,765 |
Net realized gain | 114,586,293 |
Net change in unrealized appreciation (depreciation) of: | |
Investments | 34,092,224 |
Foreign currencies | (5,720) |
Foreign currency exchange contracts | (97,797) |
Futures contracts | 6,838,124 |
Swap contracts | (1,292,623) |
Net change in unrealized appreciation (depreciation) | 39,534,208 |
Net Realized and Unrealized Gain | 154,120,501 |
Net Increase in Net Assets Resulting from Operations | $247,977,546 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Increase in Net Assets from Operations: | |||
Net investment income | $93,857,045 | $123,844,457 | |
Net realized gain | 114,586,293 | 128,312,246 | |
Net change in unrealized appreciation (depreciation) | 39,534,208 | 173,864,463 | |
Net increase in net assets resulting from operations | 247,977,546 | 426,021,166 | |
Dividends and Distributions to Shareholders from: | |||
Distributable earnings: | |||
Class A | (21,122,241) | (22,544,242) | |
Class C | (4,397,534) | (8,073,410) | |
Class R | (806,439) | (1,197,989) | |
Institutional Class | (82,233,267) | (92,317,482) | |
Class R6 | (993,617) | (718,779) | |
Return of capital: | |||
Class A | — | (2,021,690) | |
Class C | — | (674,723) | |
Class R | — | (97,155) | |
Institutional Class | — | (7,043,737) | |
Class R6 | — | (63,430) | |
(109,553,098) | (134,752,637) | ||
Capital Share Transactions: | |||
Proceeds from shares sold: | |||
Class A | 179,125,617 | 194,863,391 | |
Class C | 18,526,577 | 24,525,491 | |
Class R | 7,056,142 | 6,656,272 | |
Institutional Class | 945,627,888 | 968,865,207 | |
Class R6 | 26,009,599 | 9,817,748 | |
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||
Class A | 20,011,247 | 23,256,589 | |
Class C | 4,188,456 | 8,181,972 | |
Class R | 810,214 | 1,268,443 | |
Institutional Class | 80,019,030 | 89,527,168 | |
Class R6 | 888,885 | 682,694 | |
1,282,263,655 | 1,327,644,975 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Capital Share Transactions (continued): | |||
Cost of shares redeemed: | |||
Class A | $(245,218,023) | $(256,450,812) | |
Class C | (131,855,891) | (189,192,561) | |
Class R | (18,648,409) | (21,034,017) | |
Institutional Class | (1,072,460,660) | (1,532,091,068) | |
Class R6 | (13,608,054) | (6,357,789) | |
(1,481,791,037) | (2,005,126,247) | ||
Decrease in net assets derived from capital share transactions | (199,527,382) | (677,481,272) | |
Net Decrease in Net Assets | (61,102,934) | (386,212,743) | |
Net Assets: | |||
Beginning of year | 3,680,714,474 | 4,066,927,217 | |
End of year | $3,619,611,540 | $3,680,714,474 |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
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 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 | The average shares outstanding have been applied for per share information. |
2 | Amount is less than $(0.005) 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 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 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. See Note 13 in “Notes to financial statements.” |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$8.85 | $8.19 | $8.74 | $8.81 | $8.74 | ||||
0.22 | 0.27 | 0.29 | 0.28 | 0.22 | ||||
0.42 | 0.68 | (0.53) | (0.03) | 0.12 | ||||
0.64 | 0.95 | (0.24) | 0.25 | 0.34 | ||||
(0.26) | (0.27) | (0.25) | (0.32) | (0.26) | ||||
— | (0.02) | (0.06) | —2 | (0.01) | ||||
(0.26) | (0.29) | (0.31) | (0.32) | (0.27) | ||||
$9.23 | $8.85 | $8.19 | $8.74 | $8.81 | ||||
7.37%4 | 11.82%4, 5 | (2.77%)4 | 2.89% | 3.96% | ||||
$733,935 | $751,229 | $734,630 | $893,311 | $1,259,472 | ||||
0.69% | 0.70% | 0.77% | 0.89% | 0.89% | ||||
0.86% | 0.88% | 0.87% | 0.89% | 0.89% | ||||
2.47% | 3.16% | 3.37% | 3.24% | 2.54% | ||||
2.30% | 2.98% | 3.27% | 3.24% | 2.54% | ||||
112% | 167% | 122% | 125% | 240% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
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 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 | The average shares outstanding have been applied for per share information. |
2 | Amount is less than $(0.005) 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 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 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. See Note 13 in “Notes to financial statements.” |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$8.85 | $8.19 | $8.74 | $8.81 | $8.74 | ||||
0.15 | 0.20 | 0.22 | 0.22 | 0.16 | ||||
0.41 | 0.69 | (0.52) | (0.04) | 0.11 | ||||
0.56 | 0.89 | (0.30) | 0.18 | 0.27 | ||||
(0.19) | (0.21) | (0.19) | (0.25) | (0.19) | ||||
— | (0.02) | (0.06) | —2 | (0.01) | ||||
(0.19) | (0.23) | (0.25) | (0.25) | (0.20) | ||||
$9.22 | $8.85 | $8.19 | $8.74 | $8.81 | ||||
6.45%4 | 10.99%4, 5 | (3.49%)4 | 2.13% | 3.19% | ||||
$149,707 | $250,652 | $382,168 | $620,954 | $879,706 | ||||
1.44% | 1.45% | 1.52% | 1.64% | 1.64% | ||||
1.61% | 1.63% | 1.62% | 1.64% | 1.64% | ||||
1.72% | 2.41% | 2.62% | 2.49% | 1.79% | ||||
1.55% | 2.23% | 2.52% | 2.49% | 1.79% | ||||
112% | 167% | 122% | 125% | 240% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
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 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 | The average shares outstanding have been applied for per share information. |
2 | Amount is less than $(0.005) 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. |
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 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. See Note 13 in “Notes to financial statements.” |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$8.85 | $8.19 | $8.73 | $8.81 | $8.73 | ||||
0.20 | 0.25 | 0.27 | 0.26 | 0.20 | ||||
0.41 | 0.68 | (0.52) | (0.04) | 0.13 | ||||
0.61 | 0.93 | (0.25) | 0.22 | 0.33 | ||||
(0.24) | (0.25) | (0.23) | (0.30) | (0.24) | ||||
— | (0.02) | (0.06) | —2 | (0.01) | ||||
(0.24) | (0.27) | (0.29) | (0.30) | (0.25) | ||||
$9.22 | $8.85 | $8.19 | $8.73 | $8.81 | ||||
6.99%4 | 11.54%4, 5 | (2.90%)4 | 2.52% | 3.82% | ||||
$26,403 | $36,082 | $46,060 | $61,630 | $77,484 | ||||
0.94% | 0.95% | 1.02% | 1.14% | 1.14% | ||||
1.11% | 1.13% | 1.12% | 1.14% | 1.14% | ||||
2.22% | 2.91% | 3.12% | 2.99% | 2.29% | ||||
2.05% | 2.73% | 3.02% | 2.99% | 2.29% | ||||
112% | 167% | 122% | 125% | 240% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
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 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 | The average shares outstanding have been applied for per share information. |
2 | Amount is less than $(0.005) 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. |
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 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. See Note 13 in “Notes to financial statements.” |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$8.86 | $8.20 | $8.74 | $8.82 | $8.74 | ||||
0.25 | 0.29 | 0.31 | 0.30 | 0.24 | ||||
0.40 | 0.68 | (0.52) | (0.04) | 0.13 | ||||
0.65 | 0.97 | (0.21) | 0.26 | 0.37 | ||||
(0.28) | (0.29) | (0.27) | (0.34) | (0.28) | ||||
— | (0.02) | (0.06) | —2 | (0.01) | ||||
(0.28) | (0.31) | (0.33) | (0.34) | (0.29) | ||||
$9.23 | $8.86 | $8.20 | $8.74 | $8.82 | ||||
7.52%4 | 12.09%4, 5 | (2.41%)4 | 3.03% | 4.34% | ||||
$2,671,510 | $2,619,167 | $2,886,234 | $2,819,555 | $2,672,906 | ||||
0.44% | 0.45% | 0.52% | 0.64% | 0.64% | ||||
0.61% | 0.63% | 0.62% | 0.64% | 0.64% | ||||
2.72% | 3.41% | 3.62% | 3.49% | 2.79% | ||||
2.55% | 3.23% | 3.52% | 3.49% | 2.79% | ||||
112% | 167% | 122% | 125% | 240% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income2 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Return of capital |
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 assets7 |
Ratio of expenses to average net assets prior to fees waived7 |
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 | The average shares outstanding have 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 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. See Note 13 in “Notes to financial statements.” |
7 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
8 | Portfolio turnover is representative of the Fund for the entire year. |
Year ended | 5/2/161 to 10/31/16 | |||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |||||
$8.86 | $8.20 | $8.74 | $8.81 | $8.75 | ||||
0.25 | 0.30 | 0.31 | 0.31 | 0.12 | ||||
0.41 | 0.68 | (0.51) | (0.04) | 0.08 | ||||
0.66 | 0.98 | (0.20) | 0.27 | 0.20 | ||||
(0.29) | (0.30) | (0.28) | (0.34) | (0.13) | ||||
— | (0.02) | (0.06) | —3 | (0.01) | ||||
(0.29) | (0.32) | (0.34) | (0.34) | (0.14) | ||||
$9.23 | $8.86 | $8.20 | $8.74 | $8.81 | ||||
7.61%5 | 12.18%5, 6 | (2.33%)5 | 3.14% | 2.50% | ||||
$38,057 | $23,584 | $17,835 | $12,935 | $2 | ||||
0.36% | 0.36% | 0.44% | 0.55% | 0.55% | ||||
0.53% | 0.54% | 0.54% | 0.55% | 0.55% | ||||
2.80% | 3.50% | 3.70% | 3.57% | 2.75% | ||||
2.63% | 3.32% | 3.60% | 3.57% | 2.75% | ||||
112% | 167% | 122% | 125% | 240%8 |
Delaware Diversified Income Fund | October 31, 2020 |
(US GAAP) and are consistently followed by the Fund.
“more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken or expected to be taken on the Fund’s federal income tax returns through the year ended October 31, 2020 and for all open tax years (years ended October 31, 2017–October 31, 2019), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. If applicable, the Fund recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” 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. During the year ended October 31, 2020, the Fund did not incur any interest or tax penalties.
pay/reimburse the Fund to the extent necessary to ensure total annual operating expenses (excluding any distribution and service (12b-1) fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) do not exceed 0.45% of the Fund’s Class A, Class C, Class R, and Institutional Class average daily net assets and 0.36% of the Fund’s Class R6 shares average daily net assets from November 1, 2019 through October 31, 2020.* For purposes of those waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses, as may be agreed upon from time to time by the Board and DMC. These waivers and reimbursements apply only to expenses paid directly by the Fund and may be terminated only by agreement of DMC and the Fund. The waivers and reimbursements are accrued daily and received monthly.
broker/dealers on sales of those shares.
March 1, 2021.
Purchases other than US government securities | $1,812,524,594 |
Purchases of US government securities | 2,126,678,841 |
Sales other than US government securities | 1,422,963,272 |
Sales of US government securities | 2,659,122,917 |
Cost of investments and derivatives | $3,569,678,542 |
Aggregate unrealized appreciation of investments and derivatives | $138,543,130 |
Aggregate unrealized depreciation of investments and derivatives | (38,084,769) |
Net unrealized appreciation of investments and derivatives | $100,458,361 |
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 | Level 3 | Total | ||||||
Securities | |||||||||
Assets: | |||||||||
Agency Asset-Backed Securities | $— | $2,272 | $— | $2,272 | |||||
Agency Collateralized Mortgage Obligations | — | 49,128,323 | — | 49,128,323 | |||||
Agency Commercial Mortgage-Backed Securities | — | 20,626,846 | — | 20,626,846 | |||||
Agency Mortgage-Backed Securities | — | 359,509,324 | — | 359,509,324 | |||||
Collateralized Debt Obligations | — | 72,840,352 | — | 72,840,352 | |||||
Common Stock | — | — | — | — | |||||
Corporate Bonds | — | 1,869,488,289 | — | 1,869,488,289 | |||||
Loan Agreements1 | — | 181,889,982 | 1,750,000 | 183,639,982 | |||||
Municipal Bonds | — | 1,180,612 | — | 1,180,612 | |||||
Non-Agency Asset-Backed Securities | — | 70,963,705 | — | 70,963,705 |
Level 1 | Level 2 | Level 3 | Total | ||||||||
Non-Agency Collateralized Mortgage Obligations1 | $— | $86,092,858 | $2,572,000 | $88,664,858 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 290,432,996 | — | 290,432,996 | |||||||
Preferred Stock | — | 3,489,330 | — | 3,489,330 | |||||||
Sovereign Bonds | — | 88,577,541 | — | 88,577,541 | |||||||
Supranational Banks | — | 3,719,493 | — | 3,719,493 | |||||||
US Treasury Obligations | — | 426,002,226 | — | 426,002,226 | |||||||
Short-Term Investments | 92,025,100 | — | — | 92,025,100 | |||||||
Securities Lending Collateral | — | 50,252,323 | — | 50,252,323 | |||||||
Total Value of Securities | $92,025,100 | $3,574,196,472 | $4,322,000 | $3,670,543,572 | |||||||
Derivatives2 | |||||||||||
Assets: | |||||||||||
Futures Contracts | $1,411,687 | $— | $— | $1,411,687 | |||||||
Foreign Currency Exchange Contracts | — | 12,851 | — | 12,851 | |||||||
Liabilities: | |||||||||||
Foreign Currency Exchange Contracts | $— | $(116,702) | $— | $(116,702) | |||||||
Futures Contracts | (1,124,116) | — | — | (1,124,116) | |||||||
Swap Contracts | — | (590,389) | — | (590,389) |
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 | — | 99.05% | 0.95% | 100.00% | |||
Non-Agency Collateralized Mortgage Obligations | — | 97.10% | 2.90% | 100.00% |
Year ended | |||
10/31/20 | 10/31/19 | ||
Ordinary income | $109,553,098 | $124,851,902 | |
Return of capital | — | 9,900,735 | |
Total | $109,553,098 | $134,752,637 |
Shares of beneficial interest | $3,519,146,784 |
Undistributed ordinary income | 1,481,592 |
Distributions payable | (1,475,197) |
Unrealized appreciation of investments, foreign currencies, and derivatives | 100,458,361 |
Net assets | $3,619,611,540 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Shares sold: | |||
Class A | 19,813,427 | 22,787,394 | |
Class C | 2,054,828 | 2,892,843 | |
Class R | 786,040 | 788,782 | |
Institutional Class | 104,522,545 | 113,601,162 | |
Class R6 | 2,854,734 | 1,155,819 | |
Shares issued upon reinvestment of dividends and distributions: | |||
Class A | 2,228,200 | 2,729,184 | |
Class C | 467,876 | 966,505 | |
Class R | 90,413 | 149,345 | |
Institutional Class | 8,899,219 | 10,512,575 | |
Class R6 | 98,482 | 79,913 | |
141,815,764 | 155,663,522 | ||
Shares redeemed: | |||
Class A | (27,361,061) | (30,320,193) | |
Class C | (14,614,348) | (22,191,878) | |
Class R | (2,091,393) | (2,485,160) | |
Institutional Class | (119,739,688) | (180,487,124) | |
Class R6 | (1,493,671) | (748,754) | |
(165,300,161) | (236,233,109) | ||
Net decrease | (23,484,397) | (80,569,587) |
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||
Class A Shares | Class C Shares | Institutional Class Shares | Class A Shares | Institutional Class Shares | Class R6 Shares | Value | ||||||||||
Year ended | ||||||||||||||||
10/31/20 | 293,413 | 664,659 | 9,465 | 608,714 | 347,083 | 12,123 | $8,735,392 | |||||||||
Year ended | ||||||||||||||||
10/31/19 | 1,699,752 | 260,053 | 14,637 | 246,786 | 1,728,833 | — | 16,367,285 |
Asset Derivatives Fair Value | ||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Total | |||
Unrealized appreciation on foreign currency exchange contracts | $12,851 | $— | $12,851 | |||
Variation margin due from broker on futures contracts* | — | 1,411,687 | 1,411,687 | |||
Total | $12,851 | $1,411,687 | $1,424,538 |
Liability Derivatives Fair Value | ||||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Credit Contracts | Total | ||||
Unrealized depreciation on foreign currency exchange contracts | $(116,702) | $— | $— | $(116,702) | ||||
Variation margin due to broker on futures contracts* | — | (1,124,116) | — | (1,124,116) | ||||
Unrealized depreciation on over the counter credit default swap contracts | — | — | (590,389) | (590,389) | ||||
Total | $(116,702) | $(1,124,116) | $(590,389) | $(1,831,207) | ||||
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through October 31, 2020. Only current day variation margin is reported on the “Statement of assets and liabilities.” |
October 31, 2020 was as follows:
Net Realized Gain (Loss) on: | |||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Swap Contracts | Total | |||||
Currency contracts | $780,996 | $— | $— | $— | $780,996 | ||||
Interest rate contracts | — | 3,759,810 | — | — | 3,759,810 | ||||
Equity contracts | — | — | (92,831) | — | (92,831) | ||||
Credit contracts | — | — | — | 1,971,826 | 1,971,826 | ||||
Total | $780,996 | $3,759,810 | $(92,831) | $1,971,826 | $6,419,801 |
Net Change in Unrealized Appreciation (Depreciation) of: | |||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swap Contracts | Total | ||||
Currency contracts | $(97,797) | $— | $— | $(97,797) | |||
Interest rate contracts | — | 6,838,124 | — | 6,838,124 | |||
Credit contracts | — | — | (1,322,684) | (1,322,684) | |||
Total | $(97,797) | $6,838,124 | $(1,322,684) | $5,417,643 |
Long Derivative Volume | Short Derivative Volume | ||||
Foreign currency exchange contracts (average notional value) | $3,944,829 | $1,422,706 | |||
Futures contracts (average notional value) | 368,786,699 | 154,137,886 | |||
Options contracts (average notional value)* | 1,038 | — | |||
CDS contracts (average notional value)** | 7,038,063 | 2,619,881 | |||
*Long represents purchased options and short represents written options. | |||||
**Long represents buying protection and short represents selling protection. |
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
JPMorgan Chase Bank | $12,851 | $(707,091) | $(694,240) |
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) | ||||||
JPMorgan Chase Bank | $(694,240) | $— | $50,000 | $— | $— | $(644,240) |
Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
The Bank of New York Mellon | $48,563,862 | $(48,563,862) | $— | $(48,563,862) | $— | |||||
(a)The value of the related collateral exceeded the value of the net position, purchase agreements, and securities lending transactions as of October 31, 2020. | ||||||||||
(b)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
Securities Lending Transactions | Overnight and continuous | Under 30 days | Between 30 & 90 days | Over 90 Days | Total | |||||
Repurchase Agreements | $50,252,323 | $— | $— | $— | $50,252,323 |
Receivables— Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities which amends the amortization period for certain callable debt securities purchased at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management has implemented ASU 2017-08 and determined that the impact of this guidance to the Fund’s net assets at the end of the year is not material.
October 31, 2020, that would require recognition or disclosure in the Fund's financial statements.
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) Ordinary Income Distributions (Tax Basis) | 100.00% |
Total Distributions (Tax Basis) | 100.00% |
Sub-Adviser to the Fund. In reviewing the nature, extent, and quality of services, the Board considered reports furnished to it throughout the year at regular Board Meetings covering matters such as relative performance of the Fund; compliance of portfolio managers with the investment policies, strategies, and restrictions for the Fund; the compliance of Sub-Adviser personnel with its Code of Ethics; and adherence to fair value pricing procedures as established by the Board. The Board was pleased with the
Sub-Advisers.
poorest/worst performing 25% of funds in the Performance Universe make up the fourth quartile. Comparative annualized performance for each Fund was shown for the past 1-, 3-, 5-, and 10-year periods, to the extent, applicable, ended January 31, 2020. The Board’s objective is that the Fund’s performance for the 1-, 3-, and 5-year periods be at or above the median of its Performance Universe.
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.
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 U.S. Growth Fund | November 10, 2020 (Unaudited) |
Delaware U.S. Growth Fund (Institutional Class shares) | 1-year return | +27.10% |
Delaware U.S. Growth Fund (Class A shares) | 1-year return | +26.82% |
Russell 1000® Growth Index (benchmark) | 1-year return | +29.22% |
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 7 for a description of the index. Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Regardless of policy outcomes and oscillating investor sentiment in any given period, we remain consistent in our long-term investment philosophy: we want the Fund to own what we view as strong secular-growth companies with solid business models and competitive positions that we believe can grow market share and have the potential to deliver shareholder value in a variety market environments. |
with 20.5 million non-farm jobs lost in April alone. Gross domestic product (GDP) plummeted, dropping a record-setting 9.1% in the
second quarter.
COVID-19 cases and uncertainty over the US election. Even so, the US economy ended the period in solidly favorable territory. Overseas, meanwhile, international markets had the same
post-March market gains and ended the 12-month period up 8.25%.
COVID-19 pandemic, ServiceNow also successfully stabilized and reaccelerated growth in a rapid time frame as it focused on rapidly digitizing large companies, a trend that, in our view, has the potential to lead to additional tailwinds in upcoming years.
Delaware U.S. Growth 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 3, 1993) | ||||
Excluding sales charge | +26.82% | +12.61% | +14.03% | +8.63% |
Including sales charge | +19.53% | +11.28% | +13.36% | +8.39% |
Class C (Est. May 23, 1994) | ||||
Excluding sales charge | +25.82% | +11.76% | +13.19% | +8.19% |
Including sales charge | +24.82% | +11.76% | +13.19% | +8.19% |
Class R (Est. June 2, 2003) | ||||
Excluding sales charge | +26.45% | +12.32% | +13.75% | +9.34% |
Including sales charge | +26.45% | +12.32% | +13.75% | +9.34% |
Institutional Class (Est. February 3, 1994) | ||||
Excluding sales charge | +27.10% | +12.89% | +14.32% | +8.78% |
Including sales charge | +27.10% | +12.89% | +14.32% | +8.78% |
Class R6 (Est. May 2, 2016) | ||||
Excluding sales charge | +27.39% | — | — | +16.46% |
Including sales charge | +27.39% | — | — | +16.46% |
Russell 1000 Growth Index | +29.22% | +17.32% | +16.31% | +10.32%* |
*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. |
(12b-1) fee.
12b-1 fee of 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales
charge applied.
Fund expense ratios | Class A | Class C | Class R | Institutional Class | Class R6 |
Total annual operating expenses (without fee waivers) | 1.14% | 1.89% | 1.39% | 0.89% | 0.67% |
Net expenses (including fee waivers, if any) | 1.09% | 1.84% | 1.34% | 0.84% | 0.62% |
Type of waiver | Contractual | Contractual | Contractual | Contractual | Contractual |
For period beginning October 31, 2010 through October 31, 2020 | Starting value | Ending value | |
Russell 1000 Growth Index | $10,000 | $45,289 | |
Delaware U.S. Growth Fund — Institutional Class shares | $10,000 | $38,115 | |
Delaware U.S. Growth Fund — Class A shares | $9,425 | $35,042 |
through 8.
October 31, 2010. The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the US equity universe. It
Nasdaq symbols | CUSIPs | |
Class A | DUGAX | 245917505 |
Class C | DEUCX | 245917703 |
Class R | DEURX | 245917711 |
Institutional Class | DEUIX | 245917802 |
Class R6 | DUZRX | 245917596 |
(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 | $1,212.10 | 1.09% | $6.06 |
Class C | 1,000.00 | 1,207.60 | 1.84% | 10.21 |
Class R | 1,000.00 | 1,210.40 | 1.34% | 7.45 |
Institutional Class | 1,000.00 | 1,213.40 | 0.84% | 4.67 |
Class R6 | 1,000.00 | 1,214.90 | 0.62% | 3.45 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,019.66 | 1.09% | $5.53 |
Class C | 1,000.00 | 1,015.89 | 1.84% | 9.32 |
Class R | 1,000.00 | 1,018.40 | 1.34% | 6.80 |
Institutional Class | 1,000.00 | 1,020.91 | 0.84% | 4.27 |
Class R6 | 1,000.00 | 1,022.02 | 0.62% | 3.15 |
*“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 U.S. Growth Fund | As of October 31, 2020 (Unaudited) |
Security type / sector | Percentage of net assets |
Common Stock♦ | 99.69% |
Communication Services | 14.97% |
Consumer Discretionary | 12.55% |
Financials | 2.91% |
Healthcare | 11.85% |
Industrials | 7.67% |
Materials | 3.01% |
Technology* | 46.73% |
Short-Term Investments | 0.37% |
Total Value of Securities | 100.06% |
Liabilities Net of Receivables and Other Assets | (0.06%) |
Total Net Assets | 100.00% |
♦Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
*To monitor compliance with the Fund's concentration guidelines as described in the Fund's Prospectus and Statement of Additional Information, the 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). Technology sector consisted of Application Software, Commercial Services, Computer Aided Design, Computer Software, Diversified Financial Services, Electronic Forms, Enterprise Software/Service, and Internet. As of October 31, 2020, such amounts, as a percentage of total net assets were 13.51%, 4.31%, 3.29%, 5.07%, 9.66%, 2.26%, 6.71%, and 1.92%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Technology sector for financial reporting purposes may exceed 25%. |
Top 10 equity holdings | Percentage of net assets |
Microsoft | 8.66% |
Amazon.com | 6.48% |
Visa Class A | 5.51% |
Twilio Class A | 5.07% |
ServiceNow | 4.86% |
Charter Communications Class A | 4.74% |
Uber Technologies | 4.49% |
PayPal Holdings | 4.31% |
Mastercard Class A | 4.15% |
Match Group | 3.84% |
Delaware U.S. Growth Fund | October 31, 2020 |
Number of shares | Value (US $) | ||
Common Stock — 99.69%♦ | |||
Communication Services — 14.97% | |||
Alphabet Class A † | 50,494 | $81,603,858 | |
Charter Communications Class A † | 191,660 | 115,728,141 | |
Match Group † | 803,093 | 93,785,201 | |
Netflix † | 156,927 | 74,656,451 | |
365,773,651 | |||
Consumer Discretionary — 12.55% | |||
Amazon.com † | 52,168 | 158,389,873 | |
NIKE Class B | 737,296 | 88,534,504 | |
Starbucks | 688,094 | 59,836,654 | |
306,761,031 | |||
Financials — 2.91% | |||
KKR & Co. Class A | 2,085,547 | 71,221,430 | |
71,221,430 | |||
Healthcare — 11.85% | |||
Edwards Lifesciences † | 1,153,142 | 82,668,750 | |
Illumina † | 200,198 | 58,597,955 | |
Intuitive Surgical † | 114,800 | 76,580,784 | |
IQVIA Holdings † | 465,257 | 71,644,925 | |
289,492,414 | |||
Industrials — 7.67% | |||
Uber Technologies † | 3,279,913 | 109,581,893 | |
Waste Management | 721,002 | 77,803,326 | |
187,385,219 | |||
Materials — 3.01% | |||
Ball | 826,050 | 73,518,450 | |
73,518,450 | |||
Technology — 46.73% | |||
Adobe † | 123,296 | 55,125,642 | |
Autodesk † | 341,090 | 80,340,338 | |
Coupa Software † | 263,630 | 70,573,751 | |
Mastercard Class A | 351,092 | 101,339,195 | |
Microsoft | 1,044,777 | 211,535,999 | |
Paycom Software † | 256,575 | 93,416,392 | |
PayPal Holdings † | 566,160 | 105,379,361 | |
ServiceNow † | 238,618 | 118,729,158 | |
Twilio Class A † | 444,466 | 123,992,680 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Technology (continued) | |||
Visa Class A | 741,325 | $134,706,166 | |
Wix.com † | 189,816 | 46,945,293 | |
1,142,083,975 | |||
Total Common Stock (cost $1,649,587,830) | 2,436,236,170 | ||
Short-Term Investments — 0.37% | |||
Money Market Mutual Funds — 0.37% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 2,249,241 | 2,249,241 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 2,249,241 | 2,249,241 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 2,249,241 | 2,249,241 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 2,249,242 | 2,249,242 | |
Total Short-Term Investments (cost $8,996,965) | 8,996,965 | ||
Total Value of Securities—100.06% (cost $1,658,584,795) | $2,445,233,135 |
♦ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
Summary of abbreviations: |
GS – Goldman Sachs |
Delaware U.S. Growth Fund | October 31, 2020 |
Assets: | |
Investments, at value* | $2,445,233,135 |
Dividends receivable | 141,461 |
Foreign tax reclaims receivable | 319,313 |
Receivable for fund shares sold | 4,850,318 |
Total Assets | 2,450,544,227 |
Liabilities: | |
Payable for fund shares redeemed | 4,691,776 |
Investment management fees payable to affiliates | 1,322,731 |
Dividend disbursing and transfer agent fees and expenses payable to non-affiliates | 429,385 |
Other accrued expenses | 203,215 |
Distribution fees payable to affiliates | 59,314 |
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 20,303 |
Trustees' fees and expenses payable to affiliates | 9,872 |
Accounting and administration expenses payable to affiliates | 7,839 |
Legal fees payable to affiliates | 2,687 |
Reports and statements to shareholders expenses payable to affiliates | 2,479 |
Total Liabilities | 6,749,601 |
Total Net Assets | $2,443,794,626 |
Net Assets Consist of: | |
Paid-in capital | $1,392,576,570 |
Total distributable earnings (loss) | 1,051,218,056 |
Total Net Assets | $2,443,794,626 |
Net Asset Value | |
Class A: | |
Net assets | $137,134,675 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 5,465,081 |
Net asset value per share | $25.09 |
Sales charge | 5.75% |
Offering price per share, equal to net asset value per share / (1 - sales charge) | $26.62 |
Class C: | |
Net assets | $28,395,681 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 1,435,302 |
Net asset value per share | $19.78 |
Class R: | |
Net assets | $5,640,075 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 240,911 |
Net asset value per share | $23.41 |
Institutional Class: | |
Net assets | $2,268,085,092 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 79,603,418 |
Net asset value per share | $28.49 |
Class R6: | |
Net assets | $4,539,103 |
Shares of beneficial interest outstanding, unlimited authorization, no par | 158,039 |
Net asset value per share | $28.72 |
*Investments, at cost | $1,658,584,795 |
Delaware U.S. Growth Fund | Year ended October 31, 2020 |
Investment Income: | |
Dividends | $15,859,500 |
Expenses: | |
Management fees | 13,831,730 |
Distribution expenses — Class A | 307,185 |
Distribution expenses — Class C | 317,930 |
Distribution expenses — Class R | 35,591 |
Dividend disbursing and transfer agent fees and expenses | 6,038,536 |
Accounting and administration expenses | 430,712 |
Reports and statements to shareholders expenses | 342,195 |
Trustees' fees and expenses | 135,867 |
Legal fees | 126,902 |
Registration fees | 77,577 |
Custodian fees | 68,785 |
Audit and tax fees | 35,877 |
Other | 69,297 |
21,818,184 | |
Less expenses waived | (1,175,667) |
Less expenses paid indirectly | (4,849) |
Total operating expenses | 20,637,668 |
Net Investment Loss | (4,778,168) |
Net Realized and Unrealized Gain: | |
Net realized gain on investments | 284,874,274 |
Net change in unrealized appreciation (depreciation) of investments | 300,692,536 |
Net Realized and Unrealized Gain | 585,566,810 |
Net Increase in Net Assets Resulting from Operations | $580,788,642 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Increase (Decrease) in Net Assets from Operations: | |||
Net investment loss | $(4,778,168) | $(1,425,856) | |
Net realized gain | 284,874,274 | 253,425,227 | |
Net change in unrealized appreciation (depreciation) | 300,692,536 | 64,481,697 | |
Net increase in net assets resulting from operations | 580,788,642 | 316,481,068 | |
Dividends and Distributions to Shareholders from: | |||
Distributable earnings: | |||
Class A | (12,780,403) | (22,103,445) | |
Class C | (4,508,811) | (9,202,271) | |
Class R | (1,081,857) | (2,359,022) | |
Institutional Class | (220,903,754) | (378,745,021) | |
Class R6 | (352,300) | (396,421) | |
(239,627,125) | (412,806,180) | ||
Capital Share Transactions: | |||
Proceeds from shares sold: | |||
Class A | 27,604,145 | 18,693,850 | |
Class C | 3,876,101 | 3,989,204 | |
Class R | 2,031,407 | 1,249,403 | |
Institutional Class | 561,725,417 | 360,626,895 | |
Class R6 | 1,154,307 | 995,744 | |
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||
Class A | 12,521,618 | 21,757,061 | |
Class C | 4,470,467 | 9,094,712 | |
Class R | 1,081,853 | 2,359,015 | |
Institutional Class | 219,841,424 | 375,520,072 | |
Class R6 | 351,822 | 396,421 | |
834,658,561 | 794,682,377 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Capital Share Transactions (continued): | |||
Cost of shares redeemed: | |||
Class A | $(36,600,314) | $(38,220,973) | |
Class C | (18,410,975) | (18,725,232) | |
Class R | (7,214,005) | (6,129,926) | |
Institutional Class | (1,065,340,123) | (923,991,101) | |
Class R6 | (969,306) | (372,631) | |
(1,128,534,723) | (987,439,863) | ||
Decrease in net assets derived from capital share transactions | (293,876,162) | (192,757,486) | |
Net Increase (Decrease) in Net Assets | 47,285,355 | (289,082,598) | |
Net Assets: | |||
Beginning of year | 2,396,509,271 | 2,685,591,869 | |
End of year | $2,443,794,626 | $2,396,509,271 |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment loss1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return2 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets4 |
Ratio of expenses to average net assets prior to fees waived4 |
Ratio of net investment loss to average net assets |
Ratio of net investment loss to average net assets prior to fees waived |
Portfolio turnover |
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 and does not reflect the impact of a sales charge. |
3 | Total return during the period 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 Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$22.15 | $24.41 | $26.37 | $22.99 | $26.84 | ||||
(0.10) | (0.06) | (0.08) | (0.07) | (0.01) | ||||
5.49 | 2.25 | 1.29 | 5.10 | (0.81) | ||||
5.39 | 2.19 | 1.21 | 5.03 | (0.82) | ||||
— | — | — | — | (0.08) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (2.95) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (3.03) | ||||
$25.09 | $22.15 | $24.41 | $26.37 | $22.99 | ||||
26.82%3 | 14.04%3 | 4.89% | 23.66% | (3.48%) | ||||
$137,135 | $116,986 | $122,621 | $148,867 | $200,191 | ||||
1.09% | 1.11% | 1.12% | 1.06% | 1.05% | ||||
1.14% | 1.15% | 1.12% | 1.06% | 1.05% | ||||
(0.42%) | (0.28%) | (0.31%) | (0.31%) | (0.06%) | ||||
(0.47%) | (0.32%) | (0.31%) | (0.31%) | (0.06%) | ||||
54% | 35% | 39% | 43% | 22% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment loss1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return2 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets4 |
Ratio of expenses to average net assets prior to fees waived4 |
Ratio of net investment loss to average net assets |
Ratio of net investment loss to average net assets prior to fees waived |
Portfolio turnover |
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 and does not reflect the impact of a sales charge. |
3 | Total return during the period 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 Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$18.09 | $20.97 | $23.25 | $20.60 | $24.46 | ||||
(0.21) | (0.18) | (0.23) | (0.22) | (0.17) | ||||
4.35 | 1.75 | 1.12 | 4.52 | (0.74) | ||||
4.14 | 1.57 | 0.89 | 4.30 | (0.91) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (2.95) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (2.95) | ||||
$19.78 | $18.09 | $20.97 | $23.25 | $20.60 | ||||
25.82%3 | 13.22%3 | 4.08% | 22.80% | (4.24%) | ||||
$28,396 | $35,599 | $45,629 | $64,233 | $80,537 | ||||
1.84% | 1.86% | 1.87% | 1.81% | 1.80% | ||||
1.89% | 1.90% | 1.87% | 1.81% | 1.80% | ||||
(1.17%) | (1.03%) | (1.06%) | (1.06%) | (0.81%) | ||||
(1.22%) | (1.07%) | (1.06%) | (1.06%) | (0.81%) | ||||
54% | 35% | 39% | 43% | 22% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment loss1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return2 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets4 |
Ratio of expenses to average net assets prior to fees waived4 |
Ratio of net investment loss to average net assets |
Ratio of net investment loss to average net assets prior to fees waived |
Portfolio turnover |
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 during the period 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 Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$20.88 | $23.34 | $25.41 | $22.26 | $26.08 | ||||
(0.14) | (0.11) | (0.13) | (0.13) | (0.07) | ||||
5.12 | 2.10 | 1.23 | 4.93 | (0.79) | ||||
4.98 | 1.99 | 1.10 | 4.80 | (0.86) | ||||
— | — | — | — | (0.01) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (2.95) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (2.96) | ||||
$23.41 | $20.88 | $23.34 | $25.41 | $22.26 | ||||
26.45%3 | 13.78%3 | 4.62% | 23.39% | (3.72%) | ||||
$5,640 | $9,382 | $12,904 | $17,200 | $21,358 | ||||
1.34% | 1.36% | 1.37% | 1.31% | 1.30% | ||||
1.39% | 1.40% | 1.37% | 1.31% | 1.30% | ||||
(0.67%) | (0.53%) | (0.56%) | (0.56%) | (0.31%) | ||||
(0.72%) | (0.57%) | (0.56%) | (0.56%) | (0.31%) | ||||
54% | 35% | 39% | 43% | 22% |
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income (loss)1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return2 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets4 |
Ratio of expenses to average net assets prior to fees waived4 |
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 | 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 during the period 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 Fund invests. |
Year ended | ||||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | 10/31/16 | ||||
$24.78 | $26.66 | $28.46 | $24.66 | $28.57 | ||||
(0.04) | (0.01) | (0.01) | (0.02) | 0.05 | ||||
6.20 | 2.58 | 1.39 | 5.51 | (0.87) | ||||
6.16 | 2.57 | 1.38 | 5.49 | (0.82) | ||||
— | — | (0.01) | (0.04) | (0.14) | ||||
(2.45) | (4.45) | (3.17) | (1.65) | (2.95) | ||||
(2.45) | (4.45) | (3.18) | (1.69) | (3.09) | ||||
$28.49 | $24.78 | $26.66 | $28.46 | $24.66 | ||||
27.10%3 | 14.33%3 | 5.15% | 24.00% | (3.24%) | ||||
$2,268,085 | $2,231,134 | $2,502,062 | $2,780,191 | $2,536,591 | ||||
0.84% | 0.86% | 0.87% | 0.81% | 0.80% | ||||
0.89% | 0.90% | 0.87% | 0.81% | 0.80% | ||||
(0.17%) | (0.03%) | (0.06%) | (0.06%) | 0.19% | ||||
(0.22%) | (0.07%) | (0.06%) | (0.06%) | 0.19% | ||||
54% | 35% | 39% | 43% | 22% |
Net asset value, beginning of period |
Income from investment operations: |
Net investment income2 |
Net realized and unrealized gain |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
4 | Total return during the period 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. |
6 | Portfolio turnover is representative of the Fund for the entire year ended October 31, 2016. |
Year ended | 5/2/161 to 10/31/16 | |||||||
10/31/20 | 10/31/19 | 10/31/18 | 10/31/17 | |||||
$24.91 | $26.72 | $28.50 | $24.68 | $23.75 | ||||
0.01 | 0.05 | 0.05 | 0.02 | 0.04 | ||||
6.25 | 2.59 | 1.38 | 5.52 | 0.89 | ||||
6.26 | 2.64 | 1.43 | 5.54 | 0.93 | ||||
— | — | (0.04) | (0.07) | — | ||||
(2.45) | (4.45) | (3.17) | (1.65) | — | ||||
(2.45) | (4.45) | (3.21) | (1.72) | — | ||||
$28.72 | $24.91 | $26.72 | $28.50 | $24.68 | ||||
27.39%4 | 14.60%4 | 5.36% | 24.19% | 3.92% | ||||
$4,539 | $3,408 | $2,376 | $2,053 | $2 | ||||
0.62% | 0.63% | 0.65% | 0.67% | 0.66% | ||||
0.65% | 0.67% | 0.65% | 0.67% | 0.66% | ||||
0.05% | 0.20% | 0.16% | 0.08% | 0.34% | ||||
0.02% | 0.16% | 0.16% | 0.08% | 0.34% | ||||
54% | 35% | 39% | 43% | 22%6 |
Delaware U.S. Growth Fund | October 31, 2020 |
sub-accounting fees, and/or sub-transfer agency fees to any brokers, dealers, or other financial intermediaries.
(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
pay/reimburse the Fund to the extent necessary to ensure total annual operating expenses (excluding any distribution and service (12b-1) fees, taxes, interest, acquired fund fees and expenses, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), do not exceed 0.84% of the Fund’s average daily net assets of Class A, Class C, Class R, and Institutional Class shares and 0.62% of the Fund’s average daily net assets of Class R6 shares from November 1, 2019 through October 31, 2020.* These waivers and reimbursements may only be terminated by agreement of DMC and the Fund. The waivers and reimbursements are accrued daily and received monthly.
broker/dealers on sales of those shares.
Purchases | $1,278,577,971 |
Sales | $1,815,615,816 |
Cost of investments | $1,663,402,092 |
Aggregate unrealized appreciation of investments | $806,917,514 |
Aggregate unrealized depreciation of investments | (25,086,471) |
Net unrealized appreciation of investments | $781,831,043 |
income-based valuation approach in which the anticipated future cash flows of the investment are
Level 1 | |
Securities | |
Assets: | |
Common Stock | $2,436,236,170 |
Short-Term Investments | 8,996,965 |
Total Value of Securities | $2,445,233,135 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Ordinary income | $— | $24,678,317 | |
Long-term capital gains | 239,627,125 | 388,127,863 | |
Total | $239,627,125 | $412,806,180 |
Shares of beneficial interest | $1,392,576,570 |
Undistributed ordinary income | 20,422,472 |
Undistributed long-term capital gains | 248,964,541 |
Unrealized appreciation of investments | 781,831,043 |
Net assets | $2,443,794,626 |
Year ended | |||
10/31/20 | 10/31/19 | ||
Shares sold: | |||
Class A | 1,218,848 | 884,948 | |
Class C | 221,126 | 232,613 | |
Class R | 94,807 | 60,517 | |
Institutional Class | 22,944,032 | 15,145,860 | |
Class R6 | 45,489 | 44,151 | |
Shares issued upon reinvestment of dividends and distributions: | |||
Class A | 610,811 | 1,256,184 | |
Class C | 274,768 | 639,122 | |
Class R | 56,435 | 144,194 | |
Institutional Class | 9,463,686 | 19,426,801 | |
Class R6 | 15,054 | 20,434 | |
34,945,056 | 37,854,824 | ||
Shares redeemed: | |||
Class A | (1,645,050) | (1,883,363) | |
Class C | (1,028,777) | (1,079,175) | |
Class R | (359,722) | (308,187) | |
Institutional Class | (42,847,718) | (38,385,729) | |
Class R6 | (39,338) | (16,662) | |
(45,920,605) | (41,673,116) | ||
Net decrease | (10,975,549) | (3,818,292) |
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||
Class A Shares | Class C Shares | Institutional Class Shares | Class A Shares | Institutional Class Shares | Class R6 Shares | Value | ||||||||||
Year ended | ||||||||||||||||
10/31/20 | 8,047 | 16,847 | 1,379 | 12,123 | 8,315 | 1,371 | $525,846 | |||||||||
Year ended | ||||||||||||||||
10/31/19 | 4,282 | 12,234 | — | 9,383 | 4,437 | — | 297,638 |
short term.
the Fund.
October 31, 2020, that would require recognition or disclosure in the Fund's financial statements.
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) | 100.00% |
poorest/worst performing 25% of funds in the Performance Universe make up the fourth quartile. Comparative annualized performance for each Fund was shown for the past 1-, 3-, 5-, and 10-year periods, to the extent, applicable, ended January 31, 2020. The Board’s objective is that the Fund’s performance for the 1-, 3-, and 5-year periods be at or above the median of its Performance Universe.
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 $79,310 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 $115,560 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 $10,700 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 $17,310 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.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
DELAWARE GROUP® ADVISER FUNDS
/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 |