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, 2022 |
Item 1. Reports to Stockholders
Annual report
Fixed income mutual fund
Delaware Diversified Income Fund
October 31, 2022
Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and its summary prospectus, which may be obtained by visiting delawarefunds.com/literature or calling 800 523-1918. Investors should read the prospectus and the summary prospectus carefully before investing.
You can obtain shareholder reports and prospectuses online instead of in the mail.
Visit delawarefunds.com/edelivery.
Experience Delaware Funds by Macquarie®
Macquarie Asset Management (MAM) is a global asset manager that aims to deliver positive impact for everyone. MAM Public Investments traces its roots to 1929 and partners with institutional and individual clients to deliver specialist active investment capabilities across global equities, fixed income, and multi-asset solutions using a conviction-based, long-term approach to investing. In the US, retail investors recognize our Delaware Funds by Macquarie family of funds as one of the oldest mutual fund families.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus for Delaware Diversified Income Fund at delawarefunds.com/literature.
Manage your account online
● | Check your account balance and transactions |
● | View statements and tax forms |
● | Make purchases and redemptions |
Visit delawarefunds.com/account-access.
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and 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.
The Fund is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Fund is governed by US laws and regulations.
This annual report is for the information of Delaware Diversified Income Fund shareholders, but it may be used with prospective investors when preceded or accompanied by the Delaware Fund fact sheet for the most recently completed calendar quarter. These documents are available at delawarefunds.com/literature.
Unless otherwise noted, views expressed herein are current as of October 31, 2022, and subject to change for events occurring after such date.
The Fund is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
© 2022 Macquarie Management Holdings, Inc.
Delaware Diversified Income Fund | October 31, 2022 (Unaudited) |
Performance preview (for the year ended October 31, 2022)
Delaware Diversified Income Fund (Institutional Class shares) | 1-year return | -17.22% | |||
Delaware Diversified Income Fund (Class A shares) | 1-year return | -17.34% | |||
Bloomberg US Aggregate Index (benchmark) | 1-year return | -15.68% |
Past performance does not guarantee future results.
For complete, annualized performance for Delaware Diversified Income Fund, please see the table on page 5.
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 8 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.
Investment objective
The Fund seeks maximum long-term total return, consistent with reasonable risk.
Market review
The fiscal year ended October 31, 2022, was the worst 12-month period for fixed income returns in modern history. High inflation, which was initially dismissed as transitory, dominated the period. In fact, inflation rose throughout the fiscal year, reaching levels not seen in 40 years. That pushed the US Federal Reserve and other central banks to squeeze inflationary pressure out of the economy by aggressively raising interest rates.
Beginning in March, a series of five rate hikes took the federal funds rate from just above 0.00% in January 2022 to a range of 3.00% to 3.25% by the Fund’s fiscal year end. The Fed is expected to increase its target short-term rate to 4.50% in 2023 and possibly higher if necessary to quell inflation.
As the fiscal period neared completion, a recession seemed increasingly likely. Investors were hopeful that the economic contraction would be brief, just enough to prevent inflation from becoming entrenched, a situation that could wreak havoc on consumers and businesses, and lead to tougher measures and a more severe downturn.
Many, but not all, of the causes of inflation during the fiscal year can be traced to the pandemic. As consumers struggled through the global economic shutdown in 2020, governments around the world provided substantial fiscal and monetary relief, including direct payouts to consumers, to ease financial hardship. China’s zero-COVID policy exacerbated global supply-chain issues as supplies of chips and other commodities fell far short of rising demand. Labor shortages led to higher wages. On the geopolitical front, the Russian invasion of Ukraine in February 2022 exacerbated already critical shortages of energy, food, and other commodities.
Against that backdrop, it is not surprising to us that fixed income assets performed poorly. Any exposure to duration (a measure of a security’s sensitivity to interest rates) increased risk as interest rates rose rapidly. In an unusual turn for stressed periods, the higher-quality, more interest-rate-sensitive components of the market such as investment grade corporates and certain high-quality securitized assets, including mortgage-backed securities (MBS), were particularly impacted. Still, no corner of the market was spared, with
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Portfolio management review
Delaware Diversified Income Fund
out-of-benchmark assets such as high yield and emerging markets debt selling off alongside the high-quality ones as investors grappled with higher interest rates and greater uncertainty. In a world in which virtually all assets had negative returns, there was no place to hide.
Source: Bloomberg, unless otherwise noted.
Within the Fund
For the fiscal year ended October 31, 2022, Delaware Diversified Income Fund declined, underperforming its benchmark, the Bloomberg US Aggregate Index, which also declined. The Fund’s Institutional Class shares declined 17.22%. The Fund’s Class A shares declined 17.34% at net asset value and 21.04% at maximum offer price (both figures reflect all distributions reinvested). For the same period, the benchmark declined 15.68%. For complete, annualized performance of Delaware Diversified Income Fund, please see the table on page 5.
The Fund’s performance for the period reflected how we manage assets during periods of distress. At the start of the period, as we considered the possibility of tighter Fed policy and economic uncertainty, we took two important actions. First, we shortened the Fund’s duration in anticipation of rising interest rates. That helped to offset some of the market’s negative performance. Second, we consistently applied our investment approach and stood against the tide in a period of risk avoidance. While many investors avoided credit, agency MBS, and high yield bonds, we sought to take advantage of what we viewed as more-attractive valuations in those areas of the fixed income market when those opportunities presented themselves.
Accordingly, the near-term effect on the Fund was negative as we increased the Fund’s exposure to investment grade credit and agency MBS, in particular, as they continued to widen in the near term. Our objective here was to position the Fund to potentially benefit from an eventual recovery looking through the monetary and economic cycle in the context of historically attractive valuations.
When value is created in the market, we increase exposure to securities that we believe offer the most compelling risk-adjusted potential return. By purchasing these securities at compelling valuations, we believe that when markets stabilize, we should be able to outperform the Fund’s benchmark and potentially benefit from decisions we made during the distressed period.
The Fund’s overweight to investment grade corporate securities and high-quality commercial mortgage-backed securities (CMBS) significantly detracted from performance for the fiscal year. These securities underperformed as we added to the Fund’s exposure while credit spreads widened. The Fund’s out-of-index exposure to emerging markets debt and high-quality high yield securities, while conservative during this period, also detracted, as both sectors underperformed US Treasurys. In a period when spreads indiscriminately widened, any exposure to non-Treasurys also detracted from relative performance during the fiscal year.
Bausch + Lomb Corp. was a significant detractor. We invested in the company’s credits after negative news about a new drug awaiting approval resulted in a spate of underperformance. Additionally, a spinoff was not well received. Nonetheless, we are confident in the company’s ability to manage its balance sheet, and we continue to own its bonds in the Fund.
Russian oil firm Lukoil PJSC, an investment grade private oil producer with a solid
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fundamental profile, was expected to benefit from the energy sector’s improving trends. However, Lukoil’s fortunes changed sharply with the Russian invasion of Ukraine and the imposition of sanctions on Russian firms. As a result, the issuer underperformed. Based on the high degree of economic and political uncertainty, and social considerations, we exited the Fund’s modest exposure to Lukoil.
SVB Financial Group, a bank and financial holding company that operates Silicon Valley Bank, is a company in which we have high conviction based on its profitability, capital ratios, and asset quality. Given what was a high-issuance environment for banks during the fiscal year, however, banks generally underperformed and SVB Financial did even more poorly when it recently released a disappointing earnings report. Despite this, we remain confident in the caliber of SVB Financial’s management and its high-quality assets and capital position.
The Fund benefited from its management of the yield curve. Specifically, we were short duration throughout the period as interest rates increased. We finally returned the Fund to neutral and then modestly long duration as the 10-year Treasury yield crossed 4% and the tightening cycle was nearing its end by the end of the fiscal year. An underweight to MBS early in the period also contributed to the Fund’s performance as these securitized bonds significantly underperformed.
The Fund’s investment in T-Mobile US Inc. also contributed modestly to relative performance. It was a high-conviction position for us based on the company’s strong credit metrics and its large subscriber base relative to peers. That led us to believe it would be a rating-upgrade candidate. The company outperformed, and we still hold T-Mobile in the Fund.
Despite the market’s stress, we see a silver lining: With the sharply higher interest rates of the past year, we believe investors have the opportunity to benefit from significantly improved fixed income returns going forward. As we approach what we foresee as the end of the Fed’s tightening cycle, we are transitioning the Fund’s assets to a longer-duration position. We think that should enable us to take advantage of stable or declining interest rates as the economy tilts its focus from inflation to a likely recession.
As spreads have widened dramatically, particularly in higher-quality segments of the market, we think there will be opportunities for spread compression or yield advantage down the road. Accordingly, we remain constructive on higher-quality sectors, including investment grade corporate bonds, agency MBS, and high-quality securitized credit. We will continue to wait patiently for potentially more favorable opportunities within areas more sensitive to recession risk, such as high yield and emerging market bonds, as we believe their valuations do not fully reflect the risks.
Although we are optimistic about the ability of higher yields to cushion market volatility, we remain uncertain about global monetary policy and its lagging effect on economic activity. Therefore, we think it is highly likely that liquidity and valuations could fluctuate in the coming months, and these fluctuations, in our view, would be suitable to our agile approach to investing, which looks to monetize investor uncertainty.
We have used derivatives primarily for risk-management purposes. The Fund uses interest rate futures to manage yield-curve risk and broader portfolio risks. We may use interest rate options to protect against large changes in interest rates. Currency forwards are generally used to hedge non-US dollar risk
3
Portfolio management review
Delaware Diversified Income Fund
back to US dollars. We might also use foreign exchange (FX) forwards to gain access to a particular currency. However, we generally do that more directly through the bond market. In addition, we used credit default swaps (CDX) to more efficiently capture value in components of the market such as high yield during periods of underperformance, transitioning to cash bonds as liquidity permitted. Overall, these derivatives had a limited positive effect on the Fund’s performance.
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Delaware Diversified Income Fund | October 31, 2022 (Unaudited) |
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 800 523-1918 or visiting delawarefunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through October 31, 2022 |
1 year | 5 year | 10 year | Lifetime | ||||||
Class A (Est. December 29, 1997) | |||||||||
Excluding sales charge | -17.34% | -0.33% | +0.95% | — | |||||
Including sales charge | -21.04% | -1.25% | +0.48% | — | |||||
Class C (Est. October 28, 2002) | |||||||||
Excluding sales charge | -17.96% | -1.08% | +0.19% | — | |||||
Including sales charge | -18.75% | -1.08% | +0.19% | — | |||||
Class R (Est. June 2, 2003) | |||||||||
Excluding sales charge | -17.66%* | -0.59% | +0.68% | — | |||||
Including sales charge | -17.66% | -0.59% | +0.68% | — | |||||
Institutional Class (Est. October 28, 2002) | |||||||||
Excluding sales charge | -17.22% | -0.09% | +1.19% | — | |||||
Including sales charge | -17.22% | -0.09% | +1.19% | — | |||||
Class R6 (Est. May 2, 2016) | |||||||||
Excluding sales charge | -17.15% | 0.00% | — | +0.84% | |||||
Including sales charge | -17.15% | 0.00% | — | +0.84% | |||||
Bloomberg US Aggregate Index | -15.68% | -0.54% | +0.74% | — |
* | Total return for the report period presented in the table differs from the return in “Financial highlights.” The total return presented in the above table is calculated based on the net asset value (NAV) at which shareholder transactions were processed. The total return presented in “Financial highlights” is calculated in the same manner but also takes into account certain adjustments that are necessary under US generally accepted accounting principles required in the annual report. |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” table. Expenses for each class are listed in the “Fund expense ratios” table on page 7. Performance would have been lower had expense limitations not been in effect. | |
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 (12b-1) fee. |
5
Performance summary
Delaware Diversified Income Fund
Class A shares are sold with a maximum front-end sales charge of 4.50%, and have an annual 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.
Class C shares are sold with a contingent deferred sales charge (CDSC) of 1.00% if redeemed during the first 12 months. They are also subject to an annual 12b-1 fee of 1.00% of average daily net assets. Performance for Class C shares, excluding sales charges, assumes either that CDSCs did not apply or that the investment was not redeemed.
Class R shares are available only for certain retirement plan products. They are sold without a sales charge and have an annual 12b-1 fee of 0.50% of average daily net assets.
Class R6 shares are available only to certain investors. In addition, Class R6 shares do not pay any service fees, sub-accounting fees, and/or sub-transfer agency fees to any brokers, dealers, or other financial intermediaries. Class R6 shares pay no 12b-1 fee.
Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise. They also may be affected by economic conditions that hinder an issuer’s ability to make interest and principal payments on its debt. This includes prepayment risk, the risk that the principal of a bond that is held by a portfolio will be prepaid prior to maturity at the time when interest rates are lower than what the bond was paying. A portfolio may then have to reinvest that money at a lower interest rate.
High yielding, non-investment-grade bonds (junk bonds) involve higher risk than investment grade bonds. The high yield secondary market is particularly susceptible to liquidity problems when institutional investors, such as mutual funds and certain other financial institutions, temporarily stop buying bonds for regulatory, financial, or other reasons. In addition, a less liquid secondary market makes it more difficult for the Fund to obtain precise valuations of the high yield securities.
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivatives transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
If and when the Fund invests in forward foreign currency contracts or uses other investments to hedge against currency risks, the Fund will be subject to special risks, including counterparty risk.
The Fund may experience portfolio turnover in excess of 100%, which could result in higher transaction costs and tax liability.
International investments entail risks including fluctuation in currency values, differences in accounting principles, or economic or political instability. Investing in emerging markets can be riskier than investing in established foreign markets due to increased volatility, lower trading volume, and higher risk of market closures. In many emerging markets, there is substantially less publicly available information and the available information may be incomplete or misleading. Legal claims are generally more difficult to pursue.
IBOR risk is the risk that changes related to the use of the London interbank offered rate (LIBOR) or similar rates (such as EONIA) could have adverse impacts on financial instruments that reference these rates. The abandonment of these rates and transition to
6
alternative rates could affect the value and liquidity of instruments that reference them and could affect investment strategy performance.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the following “Fund expense ratios” table. The expense ratios below may differ from the expense ratios in the “Financial highlights” since they are based on different time periods and the expense ratios in the prospectus include acquired fund fees and expenses, if any. See Note 2 in “Notes to financial statements” for additional details. Please see the “Financial highlights” section in this report for the most recent expense ratios. |
Fund expense ratios | Class A | Class C | Class R | Institutional Class | Class R6 | ||||||
Total annual operating expenses (without fee waivers) | 0.87% | 1.62% | 1.12% | 0.62% | 0.53% | ||||||
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 |
7
Performance summary
Delaware Diversified Income Fund
Performance of a $10,000 investment1
For the period October 31, 2012 through October 31, 2022
Starting value | Ending value | ||||||
Delaware Diversified Income Fund — Institutional Class shares | $10,000 | $11,252 | |||||
Bloomberg US Aggregate Index | $10,000 | $10,764 | |||||
Delaware Diversified Income Fund — Class A shares | $9,550 | $10,487 |
1 | The “Performance of a $10,000 investment” graph assumes $10,000 invested in Institutional Class and Class A shares of the Fund on October 31, 2012, and includes the effect of a 4.50% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Expenses are listed in the “Fund expense ratios” table on page 7. Please note additional details on pages 5 through 9. |
The graph also assumes $10,000 invested in the Bloomberg US Aggregate Index as of October 31, 2012. The Bloomberg US Aggregate Index is a broad-based benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.
Performance of other Fund classes will vary due to different charges and expenses.
8
Nasdaq symbols | CUSIPs | |||
Class A | DPDFX | 246248744 | ||
Class C | DPCFX | 246248595 | ||
Class R | DPRFX | 246248553 | ||
Institutional Class | DPFFX | 246248587 | ||
Class R6 | DPZRX | 245917612 |
9
Disclosure of Fund expenses
For the six-month period from May 1, 2022 to October 31, 2022 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from May 1, 2022 to October 31, 2022.
Actual expenses
The first section of the table shown, “Actual Fund return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The Fund’s expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
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Delaware Diversified Income Fund
Expense analysis of an investment of $1,000
Beginning Account Value 5/1/22 | Ending Account Value 10/31/22 | Annualized Expense Ratio | Expenses Paid During Period 5/1/22 to 10/31/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $1,000.00 | $920.60 | 0.70 | % | $3.39 | |||||||||||
Class C | 1,000.00 | 917.10 | 1.45 | % | 7.01 | |||||||||||
Class R | 1,000.00 | 920.60 | 0.95 | % | 4.60 | |||||||||||
Institutional Class | 1,000.00 | 921.80 | 0.45 | % | 2.18 | |||||||||||
Class R6 | 1,000.00 | 922.20 | 0.36 | % | 1.74 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $1,000.00 | $1,021.68 | 0.70 | % | $3.57 | |||||||||||
Class C | 1,000.00 | 1,017.90 | 1.45 | % | 7.38 | |||||||||||
Class R | 1,000.00 | 1,020.42 | 0.95 | % | 4.84 | |||||||||||
Institutional Class | 1,000.00 | 1,022.94 | 0.45 | % | 2.29 | |||||||||||
Class R6 | 1,000.00 | 1,023.39 | 0.36 | % | 1.84 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Fund’s expenses reflected above, the Fund also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
11
Security type / sector allocation | |
Delaware Diversified Income Fund | As of October 31, 2022 (Unaudited) |
Sector designations may be different from the sector designations presented in other Fund materials.
Security type / sector | Percentage of net assets | |||
Agency Collateralized Mortgage Obligations | 3.28 | % | ||
Agency Commercial Mortgage-Backed Securities | 0.20 | % | ||
Agency Mortgage-Backed Securities | 22.00 | % | ||
Collateralized Debt Obligations | 1.73 | % | ||
Convertible Bonds | 0.66 | % | ||
Corporate Bonds | 47.29 | % | ||
Banking | 10.32 | % | ||
Basic Industry | 3.16 | % | ||
Brokerage | 0.63 | % | ||
Capital Goods | 1.90 | % | ||
Communications | 5.22 | % | ||
Consumer Cyclical | 3.02 | % | ||
Consumer Non-Cyclical | 4.47 | % | ||
Electric | 3.79 | % | ||
Energy | 5.28 | % | ||
Finance Companies | 2.33 | % | ||
Industrials | 0.06 | % | ||
Insurance | 1.32 | % | ||
Natural Gas | 0.30 | % | ||
Real Estate | 0.53 | % | ||
Technology | 2.30 | % | ||
Transportation | 2.47 | % | ||
Utilities | 0.19 | % | ||
Municipal Bonds | 0.49 | % | ||
Non-Agency Asset-Backed Securities | 1.77 | % | ||
Non-Agency Collateralized Mortgage Obligations | 2.52 | % | ||
Non-Agency Commercial Mortgage-Backed Securities | 9.64 | % | ||
Loan Agreements | 3.76 | % | ||
Sovereign Bonds | 1.61 | % | ||
US Treasury Obligations | 3.21 | % | ||
Common Stocks | 0.05 | % | ||
Short-Term Investments | 3.24 | % | ||
Securities Lending Collateral | 1.52 | % | ||
Total Value of Securities | 102.97 | % | ||
Obligation to Return Securities Lending Collateral | (1.52 | %) | ||
Liabilities Net of Receivables and Other Assets | (1.45 | %) | ||
Total Net Assets | 100.00 | % |
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Schedule of investments | |
Delaware Diversified Income Fund | October 31, 2022 |
Principal amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations – 3.28% | |||||||
Fannie Mae Connecticut Avenue Securities Series 2017-C04 2M2 6.436% (LIBOR01M + 2.85%) 11/25/29 ● | 1,137,395 | $ | 1,149,118 | ||||
Fannie Mae Grantor Trust | |||||||
Series 1999-T2 A1 7.50% 1/19/39 ● | 3,672 | 3,708 | |||||
Series 2002-T19 A1 6.50% 7/25/42 | 42,354 | 43,107 | |||||
Series 2004-T1 1A2 6.50% 1/25/44 | 11,481 | 11,743 | |||||
Fannie Mae REMIC Trust | |||||||
Series 2002-W6 2A 7.50% 6/25/42 ● | 10,105 | 10,019 | |||||
Series 2003-W1 2A 5.317% 12/25/42 ● | 6,257 | 6,025 | |||||
Series 2004-W11 1A2 6.50% 5/25/44 | 117,930 | 120,354 | |||||
Fannie Mae REMICs | |||||||
Series 2011-118 DC 4.00% 11/25/41 | 59,359 | 55,248 | |||||
Series 2013-44 Z 3.00% 5/25/43 | 22,911 | 17,122 | |||||
Series 2015-34 OK 0.903% 3/25/44 Ω, ^ | 61,826 | 60,824 | |||||
Series 2017-40 GZ 3.50% 5/25/47 | 2,010,603 | 1,777,285 | |||||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 t | 4,515,000 | 4,217,007 | |||||
Freddie Mac REMIC Series 4676 KZ 2.50% 7/15/45 | 1,853,073 | 1,590,377 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2017-HQA2 M2AS 4.636% (LIBOR01M + 1.05%) 12/25/29 ● | 1,817,749 | 1,805,809 | |||||
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||||||
Series 2019-HQA4 M2 144A 5.636% (LIBOR01M + 2.05%) 11/25/49 #, ● | 156,067 | 155,440 | |||||
Series 2020-DNA2 M2 144A 5.436% (LIBOR01M + 1.85%) 2/25/50 #, ● | 672,595 | 660,621 | |||||
Series 2020-DNA6 M2 144A 4.997% (SOFR + 2.00%) 12/25/50 #, ● | 8,496,618 | 8,356,386 | |||||
Series 2020-HQA2 M2 144A 6.686% (LIBOR01M + 3.10%) 3/25/50 #, ● | 1,723,213 | 1,723,733 | |||||
Series 2021-DNA1 M2 144A 4.797% (SOFR + 1.80%) 1/25/51 #, ● | 16,929,808 | 16,092,631 | |||||
Series 2021-DNA3 M2 144A 5.097% (SOFR + 2.10%) 10/25/33 #, ● | 6,770,000 | 6,455,189 | |||||
Series 2021-DNA5 M2 144A 4.647% (SOFR + 1.65%) 1/25/34 #, ● | 7,876,817 | 7,662,688 | |||||
Series 2021-HQA1 M2 144A 5.247% (SOFR + 2.25%) 8/25/33 #, ● | 19,600,000 | 17,921,476 | |||||
Series 2021-HQA2 M2 144A 5.047% (SOFR + 2.05%) 12/25/33 #, ● | 13,430,000 | 11,828,889 |
13
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations (continued) | |||||||
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||||||
Series 2022-DNA1 M2 144A 5.497% (SOFR + 2.50%) 1/25/42 #, ● | 3,500,000 | $ | 3,051,283 | ||||
Series 2022-DNA2 M2 144A 6.747% (SOFR + 3.75%) 2/25/42 #, ● | 2,000,000 | 1,828,215 | |||||
Freddie Mac Structured Pass Through Certificates | |||||||
Series T-54 2A 6.50% 2/25/43 t | 12,584 | 13,019 | |||||
Series T-58 2A 6.50% 9/25/43 t | 192,391 | 193,117 | |||||
GNMA | |||||||
Series 2013-113 LY 3.00% 5/20/43 | 862,000 | 767,867 | |||||
Series 2013-182 CZ 2.50% 12/20/43 | 1,294,749 | 1,159,493 | |||||
Total Agency Collateralized Mortgage Obligations (cost $94,648,083) | 88,737,793 | ||||||
Agency Commercial Mortgage-Backed Securities – 0.20% | |||||||
FREMF Mortgage Trust | |||||||
Series 2014-K37 B 144A 4.561% 1/25/47 #, ● | 4,550,000 | 4,461,903 | |||||
Series 2015-K44 B 144A 3.719% 1/25/48 #, ● | 1,000,000 | 949,519 | |||||
Series 2017-K71 B 144A 3.753% 11/25/50 #, ● | 80,000 | 71,933 | |||||
Total Agency Commercial Mortgage-Backed Securities (cost $5,970,592) | 5,483,355 | ||||||
Agency Mortgage-Backed Securities – 22.00% | |||||||
Fannie Mae 3.00% 2/1/57 | 128,045 | 109,462 | |||||
Fannie Mae S.F. 15 yr | |||||||
2.00% 3/1/36 | 2,624,816 | 2,307,577 | |||||
2.50% 7/1/36 | 14,010,085 | 12,673,895 | |||||
Fannie Mae S.F. 20 yr | |||||||
2.00% 3/1/41 | 8,196,854 | 6,775,215 | |||||
2.00% 5/1/41 | 7,711,780 | 6,355,302 | |||||
3.00% 9/1/37 | 2,532,140 | 2,315,698 | |||||
Fannie Mae S.F. 30 yr | |||||||
2.00% 11/1/50 | 10,582,172 | 8,416,141 | |||||
2.00% 12/1/50 | 5,723,484 | 4,530,779 | |||||
2.00% 12/1/50 | 2,767,267 | 2,201,826 | |||||
2.00% 1/1/51 | 2,762,145 | 2,205,374 | |||||
2.00% 2/1/51 | 7,648,348 | 6,109,477 | |||||
2.00% 3/1/51 | 8,387,407 | 6,638,261 | |||||
2.00% 5/1/51 | 3,210,498 | 2,540,695 | |||||
2.00% 8/1/51 | 3,801,272 | 3,020,191 | |||||
2.00% 1/1/52 | 9,752,064 | 7,760,679 |
14
Principal amount° | Value (US $) | ||||||
Agency Mortgage-Backed Securities (continued) | |||||||
Fannie Mae S.F. 30 yr | |||||||
2.50% 9/1/50 | 7,594,447 | $ | 6,285,588 | ||||
2.50% 10/1/50 | 5,749,027 | 4,742,100 | |||||
2.50% 6/1/51 | 10,373,333 | 8,573,447 | |||||
2.50% 8/1/51 | 19,388,603 | 15,968,426 | |||||
3.00% 10/1/46 | 649,812 | 565,159 | |||||
3.00% 4/1/47 | 5,344,799 | 4,632,737 | |||||
3.00% 11/1/48 | 2,003,302 | 1,738,594 | |||||
3.00% 12/1/49 | 12,529,331 | 10,797,058 | |||||
3.00% 7/1/50 | 2,242,716 | 1,919,469 | |||||
3.00% 8/1/50 | 1,954,236 | 1,672,769 | |||||
3.00% 5/1/51 | 1,505,534 | 1,288,662 | |||||
3.00% 7/1/51 | 12,329,679 | 10,561,180 | |||||
3.00% 8/1/51 | 11,414,721 | 9,748,490 | |||||
3.00% 12/1/51 | 1,716,401 | 1,469,730 | |||||
3.50% 2/1/47 | 4,800,112 | 4,352,412 | |||||
3.50% 7/1/47 | 5,997,752 | 5,440,455 | |||||
3.50% 12/1/47 | 1,059,577 | 949,490 | |||||
3.50% 1/1/48 | 2,300,585 | 2,067,402 | |||||
3.50% 2/1/48 | 4,181,968 | 3,754,810 | |||||
3.50% 12/1/49 | 758,840 | 675,851 | |||||
3.50% 3/1/50 | 2,357,002 | 2,117,879 | |||||
3.50% 8/1/50 | 5,623,414 | 5,060,467 | |||||
3.50% 1/1/52 | 18,282,281 | 16,111,161 | |||||
3.50% 5/1/52 | 7,782,382 | 6,892,059 | |||||
4.00% 3/1/47 | 4,774,669 | 4,467,259 | |||||
4.00% 4/1/47 | 1,348,322 | 1,260,660 | |||||
4.00% 10/1/48 | 6,969,711 | 6,522,765 | |||||
4.50% 6/1/40 | 16,758 | 16,192 | |||||
4.50% 7/1/40 | 21,919 | 20,951 | |||||
4.50% 8/1/41 | 25,757 | 24,926 | |||||
4.50% 4/1/44 | 184,571 | 178,615 | |||||
4.50% 2/1/46 | 18,241 | 17,591 | |||||
4.50% 5/1/46 | 398,587 | 385,746 | |||||
4.50% 4/1/48 | 1,821,008 | 1,769,972 | |||||
4.50% 9/1/48 | 23,331 | 22,218 | |||||
4.50% 1/1/49 | 9,658,750 | 9,247,423 | |||||
4.50% 1/1/49 | 3,010,106 | 2,874,613 | |||||
4.50% 1/1/50 | 4,595,050 | 4,409,378 | |||||
4.50% 9/1/52 | 23,468,544 | 22,034,133 | |||||
5.00% 7/1/47 | 292,537 | 292,842 | |||||
5.00% 7/1/49 | 6,953,596 | 6,804,366 |
15
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Agency Mortgage-Backed Securities (continued) | |||||||
Fannie Mae S.F. 30 yr | |||||||
5.00% 7/1/52 | 8,208,874 | $ | 7,940,557 | ||||
5.00% 10/1/52 | 23,809,093 | 23,049,263 | |||||
5.50% 5/1/44 | 8,446,181 | 8,659,929 | |||||
5.50% 10/1/52 | 14,112,410 | 13,974,692 | |||||
5.50% 11/1/52 | 5,048,000 | 5,020,598 | |||||
6.00% 6/1/41 | 3,912,352 | 4,011,289 | |||||
6.00% 7/1/41 | 10,794,755 | 11,173,939 | |||||
6.00% 1/1/42 | 3,113,996 | 3,223,519 | |||||
Fannie Mae S.F. 30 yr TBA | |||||||
5.50% 11/1/52 | 40,664,000 | 40,106,240 | |||||
6.00% 11/1/52 | 13,945,000 | 14,011,882 | |||||
Freddie Mac S.F. 15 yr | |||||||
2.00% 12/1/35 | 12,423,941 | 10,953,153 | |||||
3.00% 3/1/35 | 25,418,514 | 23,399,491 | |||||
Freddie Mac S.F. 20 yr | |||||||
2.50% 6/1/41 | 16,220,017 | 13,766,902 | |||||
3.00% 4/1/42 | 1,222,624 | 1,059,140 | |||||
5.00% 11/1/42 | 7,610,000 | 7,439,173 | |||||
Freddie Mac S.F. 30 yr | |||||||
2.00% 2/1/52 | 8,362,089 | 6,598,349 | |||||
2.50% 10/1/50 | 6,913,393 | 5,740,422 | |||||
2.50% 2/1/51 | 11,660,869 | 9,644,126 | |||||
2.50% 10/1/51 | 17,469,038 | 14,386,943 | |||||
3.00% 11/1/46 | 97,526 | 84,807 | |||||
3.00% 1/1/50 | 1,879,320 | 1,614,196 | |||||
3.00% 5/1/51 | 15,221,159 | 13,179,164 | |||||
3.00% 8/1/51 | 4,060,452 | 3,472,061 | |||||
3.50% 11/1/48 | 5,602,724 | 5,037,625 | |||||
4.00% 7/1/47 | 405,455 | 379,144 | |||||
4.00% 9/1/52 | 16,325,336 | 14,857,635 | |||||
4.50% 3/1/42 | 19,646 | 19,036 | |||||
4.50% 1/1/49 | 7,561,247 | 7,217,087 | |||||
4.50% 4/1/49 | 2,076,707 | 1,987,079 | |||||
4.50% 8/1/49 | 4,657,287 | 4,458,143 | |||||
5.00% 7/1/52 | 7,859,993 | 7,624,978 | |||||
5.50% 9/1/41 | 5,661,873 | 5,812,171 | |||||
5.50% 9/1/52 | 5,656,625 | 5,657,412 | |||||
5.50% 11/1/52 | 5,774,000 | 5,712,256 | |||||
3.50% 4/1/52 | 20,417,011 | 17,998,921 | |||||
GNMA I S.F. 30 yr 3.00% 3/15/50 | 1,074,745 | 934,104 |
16
Principal amount° | Value (US $) | ||||||
Agency Mortgage-Backed Securities (continued) | |||||||
GNMA II S.F. 30 yr | |||||||
3.00% 8/20/50 | 1,860,180 | $ | 1,655,009 | ||||
5.00% 9/20/52 | 3,827,528 | 3,731,201 | |||||
5.50% 5/20/37 | 326,891 | 336,905 | |||||
5.50% 6/20/49 | 7,890,330 | 7,966,589 | |||||
6.50% 6/20/39 | 1,421 | 1,477 | |||||
Total Agency Mortgage-Backed Securities (cost $677,006,469) | 595,592,224 | ||||||
Collateralized Debt Obligations – 1.73% | |||||||
AMMC CLO 22 | |||||||
Series 2018-22A A 144A 5.388% (LIBOR03M + 1.03%, Floor 1.03%) 4/25/31 #, ● | 4,400,000 | 4,295,381 | |||||
Apex Credit CLO | |||||||
Series 2018-1A A2 144A 5.388% (LIBOR03M + 1.03%) 4/25/31 #, ● | 11,200,000 | 10,814,350 | |||||
Black Diamond CLO DAC | |||||||
Series 2017-2A A2 144A 5.543% (LIBOR03M + 1.30%, Floor 1.30%) 1/20/32 #, ● | 2,700,100 | 2,664,186 | |||||
Catamaran CLO | |||||||
Series 2014-1A A1BR 144A 5.715% (LIBOR03M + 1.39%) 4/22/30 #, ● | 5,000,000 | 4,751,495 | |||||
Man GLG US CLO | |||||||
Series 2018-1A A1R 144A 5.383% (LIBOR03M + 1.14%) 4/22/30 #, ● | 14,700,000 | 14,273,053 | |||||
Saranac CLO VII | |||||||
Series 2014-2A A1AR 144A 4.214% (LIBOR03M + 1.23%) 11/20/29 #, ● | 200,890 | 197,961 | |||||
Signal Peak CLO 5 | |||||||
Series 2018-5A A 144A 5.468% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, ● | 8,400,000 | 8,221,802 | |||||
Venture 42 CLO | |||||||
Series 2021-42A A1A 144A 5.209% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, ● | 300,000 | 284,656 | |||||
Zais CLO 17 | |||||||
Series 2021-17A A1A 144A 5.573% (LIBOR03M + 1.33%, Floor 1.33%) 10/20/33 #, ● | 1,500,000 | 1,457,180 | |||||
Total Collateralized Debt Obligations (cost $48,363,490) | 46,960,064 |
17
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Convertible Bonds – 0.66% | |||||||
Kaman 3.25% exercise price $65.26, maturity date 5/1/24 | 8,044,000 | $ | 7,562,969 | ||||
Liberty Broadband 144A 2.75% exercise price $857.56, maturity date 9/30/50 # | 245,000 | 237,639 | |||||
Liberty Broadband 144A 1.25% exercise price $900.01, maturity date 9/30/50 # | 6,269,000 | 5,996,298 | |||||
Spirit Airlines 1.00% exercise price $49.07, maturity date 5/15/26 | 4,927,000 | 4,091,874 | |||||
Total Convertible Bonds (cost $18,693,173) | 17,888,780 | ||||||
Corporate Bonds – 47.29% | |||||||
Banking – 10.32% | |||||||
Access Bank | |||||||
144A 6.125% 9/21/26 # | 970,000 | 715,084 | |||||
144A 9.125% 10/7/26 #, µ, Ψ | 1,100,000 | 768,570 | |||||
Akbank TAS 144A 6.80% 2/6/26 # | 1,525,000 | 1,387,491 | |||||
Ally Financial 4.70% 5/15/26 µ, Ψ | 3,225,000 | 2,348,203 | |||||
Banco Continental 144A 2.75% 12/10/25 # | 2,175,000 | 1,868,108 | |||||
Banco de Bogota 144A 6.25% 5/12/26 # | 875,000 | 803,683 | |||||
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 425,000 | 397,024 | |||||
Banco GNB Sudameris 144A 7.50% 4/16/31 #, µ | 980,000 | 669,178 | |||||
Banco Industrial 144A 4.875% 1/29/31 #, µ | 735,000 | 657,455 | |||||
Banco Mercantil del Norte 144A 8.375% 10/14/30 #, µ, Ψ | 770,000 | 670,720 | |||||
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 505,000 | 364,432 | |||||
Banco Santander Mexico 144 A 5.375% # | 705,000 | 684,802 | |||||
Bancolombia 7.139% 10/18/27 µ | 1,010,000 | 876,811 | |||||
Bank Hapoalim 144A 3.255% 1/21/32 #, µ | 1,880,000 | 1,547,926 | |||||
Bank Leumi Le-Israel | |||||||
144A 3.275% 1/29/31 #, µ | 720,000 | 616,140 | |||||
144A 5.125% 7/27/27 # | 1,285,000 | 1,254,186 | |||||
Bank of America | |||||||
2.482% 9/21/36 µ | 28,035,000 | 20,065,216 | |||||
2.551% 2/4/28 µ | 2,295,000 | 1,987,271 | |||||
2.972% 2/4/33 µ | 1,680,000 | 1,304,141 | |||||
4.948% 7/22/28 *, µ | 9,545,000 | 9,112,113 | |||||
Bank of New York Mellon | |||||||
4.70% 9/20/25 µ, Ψ | 6,728,000 | 6,458,880 | |||||
5.802% 10/25/28 µ | 1,345,000 | 1,354,871 | |||||
5.834% 10/25/33 µ | 1,820,000 | 1,824,103 |
18
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
Barclays | |||||||
5.501% 8/9/28 µ | 1,550,000 | $ | 1,431,895 | ||||
7.325% 11/2/26 µ | 2,850,000 | 2,847,680 | |||||
BBVA Bancomer 144A 5.875% 9/13/34 #, µ | 960,000 | 804,336 | |||||
CIMB Bank 144A 2.125% 7/20/27 # | 1,275,000 | 1,095,569 | |||||
Citigroup 5.61% 9/29/26 µ | 6,705,000 | 6,620,642 | |||||
Citizens Bank 6.064% 10/24/25 µ | 4,740,000 | 4,775,817 | |||||
Credit Agricole 144A 2.811% 1/11/41 # | 12,388,000 | 7,050,814 | |||||
Credit Suisse Group | |||||||
144A 2.593% 9/11/25 #, µ | 2,760,000 | 2,452,193 | |||||
144A 4.50% 9/3/30 #, *, µ, Ψ | 2,170,000 | 1,297,530 | |||||
144A 6.442% 8/11/28 #, µ | 5,220,000 | 4,715,622 | |||||
Emirates NBD Bank PJSC | |||||||
2.625% 2/18/25 | 710,000 | 665,625 | |||||
6.125% 4/9/26 µ, Ψ | 740,000 | 698,667 | |||||
Fifth Third Bancorp 4.337% 4/25/33 µ | 2,085,000 | 1,811,005 | |||||
Fifth Third Bank 5.852% 10/27/25 µ | 3,500,000 | 3,505,852 | |||||
Goldman Sachs Group | |||||||
1.542% 9/10/27 µ | 12,653,000 | 10,626,525 | |||||
3.615% 3/15/28 µ | 5,395,000 | 4,867,313 | |||||
Hana Bank 144A 1.25% 12/16/26 # | 740,000 | 625,353 | |||||
Huntington National Bank 4.552% 5/17/28 µ | 4,835,000 | 4,619,622 | |||||
ICICI Bank 144A 4.00% 3/18/26 # | 745,000 | 701,564 | |||||
JPMorgan Chase & Co. | |||||||
1.764% 11/19/31 µ | 6,760,000 | 4,926,353 | |||||
1.953% 2/4/32 µ | 3,085,000 | 2,263,051 | |||||
3.109% 4/22/51 µ | 1,215,000 | 760,234 | |||||
3.882% 7/24/38 µ | 4,465,000 | 3,466,831 | |||||
4.60% 2/1/25 µ, Ψ | 3,570,000 | 3,194,793 | |||||
4.851% 7/25/28 µ | 10,385,000 | 9,880,200 | |||||
4.912% 7/25/33 µ | 5,270,000 | 4,799,578 | |||||
KeyCorp 4.789% 6/1/33 *, µ | 7,955,000 | 7,205,513 | |||||
Morgan Stanley | |||||||
0.495% 10/26/29 µ | EUR | 4,650,000 | 3,649,384 | ||||
1.928% 4/28/32 µ | 4,365,000 | 3,169,529 | |||||
2.484% 9/16/36 µ | 14,988,000 | 10,627,964 | |||||
6.138% 10/16/26 µ | 2,120,000 | 2,127,739 | |||||
6.296% 10/18/28 µ | 3,405,000 | 3,437,928 | |||||
6.342% 10/18/33 µ | 1,930,000 | 1,959,488 | |||||
NBK SPC 144A 1.625% 9/15/27 #, µ | 2,470,000 | 2,106,078 | |||||
NongHyup Bank 144A 0.875% 7/28/24 # | 940,000 | 872,105 |
19
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
Oversea-Chinese Banking 144A 4.25% 6/19/24 # | 1,480,000 | $ | 1,453,628 | ||||
PNC Bank 4.05% 7/26/28 | 6,875,000 | 6,245,064 | |||||
PNC Financial Services Group | |||||||
5.671% 10/28/25 µ | 2,775,000 | 2,779,048 | |||||
6.20% 9/15/27 µ, Ψ | 2,455,000 | 2,331,514 | |||||
QNB Finance 2.625% 5/12/25 | 2,770,000 | 2,576,335 | |||||
Shinhan Financial Group 144A 3.34% 2/5/30 #, µ | 855,000 | 788,649 | |||||
State Street 2.203% 2/7/28 µ | 3,055,000 | 2,651,793 | |||||
SVB Financial Group | |||||||
1.80% 2/2/31 | 2,130,000 | 1,459,671 | |||||
4.00% 5/15/26 µ, Ψ | 6,135,000 | 4,300,915 | |||||
4.57% 4/29/33 µ | 9,670,000 | 8,138,047 | |||||
Toronto-Dominion Bank 4.108% 6/8/27 * | 6,445,000 | 6,041,468 | |||||
Truist Bank 2.636% 9/17/29 µ | 15,293,000 | 14,162,774 | |||||
Truist Financial | |||||||
1.887% 6/7/29 µ | 9,490,000 | 7,660,304 | |||||
4.95% 9/1/25 µ, Ψ | 4,255,000 | 4,084,800 | |||||
6.123% 10/28/33 µ | 2,365,000 | 2,372,560 | |||||
UBS Group | |||||||
0.25% 11/5/28 µ | EUR | 2,350,000 | 1,875,904 | ||||
144A 4.703% 8/5/27 #, µ | 2,085,000 | 1,939,149 | |||||
US Bancorp | |||||||
2.215% 1/27/28 µ | 1,860,000 | 1,624,940 | |||||
2.491% 11/3/36 µ | 8,005,000 | 5,875,043 | |||||
2.677% 1/27/33 µ | 1,940,000 | 1,523,964 | |||||
5.727% 10/21/26 µ | 1,985,000 | 1,991,766 | |||||
Wells Fargo & Co. | |||||||
4.611% 4/25/53 µ | 2,740,000 | 2,189,563 | |||||
4.808% 7/25/28 µ | 12,485,000 | 11,833,970 | |||||
279,297,669 | |||||||
Basic Industry – 3.16% | |||||||
AngloGold Ashanti Holdings 3.375% 11/1/28 | 1,970,000 | 1,592,686 | |||||
Antofagasta 144A 5.625% 5/13/32 #, * | 770,000 | 709,127 | |||||
Braskem Netherlands Finance 144A 4.50% 1/31/30 # | 1,000,000 | 813,071 | |||||
Celanese US Holdings | |||||||
6.05% 3/15/25 | 1,370,000 | 1,332,975 | |||||
6.165% 7/15/27 | 1,050,000 | 991,422 | |||||
Corp Nacional del Cobre de Chile | |||||||
144A 3.70% 1/30/50 # | 450,000 | 288,418 | |||||
144A 4.25% 7/17/42 # | 400,000 | 295,280 |
20
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Basic Industry (continued) | |||||||
CSN Resources 144A 5.875% 4/8/32 #, * | 1,420,000 | $ | 1,029,074 | ||||
First Quantum Minerals | |||||||
144A 6.875% 10/15/27 # | 755,000 | 703,424 | |||||
144A 7.50% 4/1/25 # | 6,430,000 | 6,244,880 | |||||
FMG Resources August 2006 Pty 144A 6.125% 4/15/32 #, * | 8,600,000 | 7,562,711 | |||||
Freeport Indonesia 144A 5.315% 4/14/32 # | 985,000 | 833,556 | |||||
GC Treasury Center 144A 5.20% 3/30/52 # | 1,040,000 | 734,585 | |||||
Georgia-Pacific 8.00% 1/15/24 | 11,171,000 | 11,538,158 | |||||
ICL Group 144A 6.375% 5/31/38 # | 872,000 | 824,223 | |||||
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 1,395,000 | 1,317,971 | |||||
International Flavors & Fragrances 144A 3.268% 11/15/40 # | 4,600,000 | 3,073,689 | |||||
Klabin Austria 144A 3.20% 1/12/31 #, * | 965,000 | 729,410 | |||||
LYB International Finance III 3.375% 10/1/40 | 5,345,000 | 3,578,575 | |||||
MEGlobal Canada 144A 5.00% 5/18/25 # | 885,000 | 857,300 | |||||
Methanex 5.25% 12/15/29 * | 7,585,000 | 6,505,625 | |||||
Metinvest 144A 7.75% 10/17/29 # | 825,000 | 341,138 | |||||
Newmont | |||||||
2.25% 10/1/30 | 5,370,000 | 4,150,256 | |||||
2.60% 7/15/32 | 3,230,000 | 2,466,847 | |||||
2.80% 10/1/29 | 11,440,000 | 9,457,785 | |||||
Novelis 144A 4.75% 1/30/30 # | 1,775,000 | 1,511,341 | |||||
OCP | |||||||
144A 3.75% 6/23/31 # | 350,000 | 262,698 | |||||
144A 5.125% 6/23/51 # | 795,000 | 489,399 | |||||
144A 6.875% 4/25/44 # | 630,000 | 498,802 | |||||
Phosagro OAO Via Phosagro Bond Funding DAC 144A 3.949% 4/24/23 # | 1,005,000 | 613,218 | |||||
Sasol Financing USA 4.375% 9/18/26 | 1,480,000 | 1,299,536 | |||||
Stillwater Mining 144A 4.00% 11/16/26 # | 1,335,000 | 1,102,069 | |||||
Vale Overseas 3.75% 7/8/30 | 1,380,000 | 1,137,214 | |||||
Vedanta Resources Finance II 144A 8.95% 3/11/25 # | 1,890,000 | 1,195,775 | |||||
Volcan Cia Minera 144A 4.375% 2/11/26 # | 767,000 | 644,959 | |||||
Westlake 3.125% 8/15/51 | 15,085,000 | 8,874,232 | |||||
85,601,429 | |||||||
Brokerage – 0.63% | |||||||
Charles Schwab 5.375% 6/1/25 µ, Ψ | 6,935,000 | 6,804,969 |
21
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Brokerage (continued) | |||||||
Jefferies Financial Group | |||||||
2.625% 10/15/31 | 4,525,000 | $ | 3,223,164 | ||||
6.45% 6/8/27 | 3,845,000 | 3,872,827 | |||||
6.50% 1/20/43 | 2,615,000 | 2,404,075 | |||||
XP 144A 3.25% 7/1/26 # | 980,000 | 856,946 | |||||
17,161,981 | |||||||
Capital Goods – 1.90% | |||||||
Ardagh Metal Packaging Finance USA 144A 3.25% 9/1/28 # | 5,447,000 | 4,480,103 | |||||
Ashtead Capital | |||||||
144A 1.50% 8/12/26 # | 1,775,000 | 1,473,912 | |||||
144A 2.45% 8/12/31 # | 1,570,000 | 1,127,805 | |||||
Boeing | |||||||
3.25% 2/1/28 | 9,130,000 | 7,918,449 | |||||
3.75% 2/1/50 | 9,140,000 | 5,865,293 | |||||
Eaton 4.15% 3/15/33 | 4,625,000 | 4,107,408 | |||||
GCC 144A 3.614% 4/20/32 # | 1,470,000 | 1,159,499 | |||||
Holcim Finance Luxembourg | |||||||
0.50% 4/23/31 | EUR | 2,400,000 | 1,660,186 | ||||
0.625% 4/6/30 | EUR | 2,300,000 | 1,681,048 | ||||
Otis Worldwide | |||||||
3.112% 2/15/40 | 3,332,000 | 2,318,152 | |||||
3.362% 2/15/50 | 2,293,000 | 1,490,896 | |||||
SAN Miguel Industrias Pet 144A 3.50% 8/2/28 # | 2,025,000 | 1,624,004 | |||||
Standard Industries 144A 3.375% 1/15/31 # | 4,196,000 | 3,149,476 | |||||
State Agency of Roads of Ukraine 144A 6.25% 6/24/30 # | 1,340,000 | 201,959 | |||||
Teledyne Technologies | |||||||
2.25% 4/1/28 | 5,455,000 | 4,525,149 | |||||
2.75% 4/1/31 | 5,315,000 | 4,158,956 | |||||
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 1,510,000 | 1,403,530 | |||||
UltraTech Cement 144A 2.80% 2/16/31 # | 1,635,000 | 1,211,967 | |||||
United Rentals North America 3.875% 2/15/31 | 2,426,000 | 2,014,526 | |||||
51,572,318 | |||||||
Communications – 5.22% | |||||||
Altice Financing 144A 5.00% 1/15/28 # | 1,345,000 | 1,067,034 | |||||
Altice France 144A 5.50% 10/15/29 # | 3,690,000 | 2,820,728 | |||||
America Movil 4.70% 7/21/32 | 1,280,000 | 1,174,366 |
22
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Communications (continued) | |||||||
AT&T | |||||||
3.50% 6/1/41 | 5,059,000 | $ | 3,583,451 | ||||
3.50% 9/15/53 | 14,090,000 | 9,058,779 | |||||
Axian Telecom 144A 7.375% 2/16/27 # | 840,000 | 727,860 | |||||
CCO Holdings 144A 4.25% 1/15/34 # | 8,000,000 | 5,892,640 | |||||
Cellnex Finance 144A 3.875% 7/7/41 # | 8,368,000 | 5,140,881 | |||||
Charter Communications Operating | |||||||
3.85% 4/1/61 | 4,690,000 | 2,712,642 | |||||
4.40% 12/1/61 | 9,909,000 | 6,301,440 | |||||
Comcast 3.20% 7/15/36 | 5,285,000 | 4,032,969 | |||||
Connect Finco 144A 6.75% 10/1/26 # | 5,240,000 | 4,934,246 | |||||
Crown Castle 2.10% 4/1/31 | 1,095,000 | 818,743 | |||||
CSC Holdings | |||||||
144A 4.625% 12/1/30 # | 2,580,000 | 1,861,902 | |||||
144A 5.50% 4/15/27 # | 200,000 | 187,979 | |||||
CT Trust 144A 5.125% 2/3/32 # | 1,745,000 | 1,398,047 | |||||
Discovery Communications 4.00% 9/15/55 | 18,950,000 | 10,843,692 | |||||
Frontier Communications Holdings 144A 5.875% 10/15/27 # | 3,255,000 | 2,998,689 | |||||
IHS Holding 144A 5.625% 11/29/26 # | 1,525,000 | 1,163,346 | |||||
Sprint Spectrum 144A 4.738% 9/20/29 # | 2,131,250 | 2,101,822 | |||||
Summit Digitel Infrastructure 144A 2.875% 8/12/31 #, * | 1,820,000 | 1,250,471 | |||||
Telefonica Moviles Chile 144A 3.537% 11/18/31 # | 985,000 | 741,877 | |||||
Time Warner Cable 7.30% 7/1/38 | 10,225,000 | 9,563,379 | |||||
Time Warner Entertainment 8.375% 3/15/23 | 5,655,000 | 5,717,115 | |||||
T-Mobile USA | |||||||
1.50% 2/15/26 | 2,235,000 | 1,961,402 | |||||
2.40% 3/15/29 | 1,330,000 | 1,087,767 | |||||
2.55% 2/15/31 | 1,525,000 | 1,207,503 | |||||
3.00% 2/15/41 | 15,875,000 | 10,697,072 | |||||
3.75% 4/15/27 | 5,850,000 | 5,400,061 | |||||
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 1,715,000 | 1,376,682 | |||||
VEON Holdings 144A 3.375% 11/25/27 # | 2,210,000 | 1,137,598 | |||||
Verizon Communications | |||||||
2.355% 3/15/32 | 4,320,000 | 3,275,295 | |||||
2.875% 11/20/50 | 2,755,000 | 1,629,875 | |||||
3.40% 3/22/41 | 5,315,000 | 3,786,032 | |||||
4.50% 8/10/33 | 14,895,000 | 13,287,073 | |||||
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 5,310,000 | 4,232,496 |
23
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Communications (continued) | |||||||
Warnermedia Holdings | |||||||
144A 3.755% 3/15/27 # | 4,400,000 | $ | 3,916,745 | ||||
144A 5.141% 3/15/52 # | 3,285,000 | 2,298,310 | |||||
141,388,009 | |||||||
Consumer Cyclical – 3.02% | |||||||
Alibaba Group Holding 2.70% 2/9/41 | 1,080,000 | 554,868 | |||||
Alsea 144A 7.75% 12/14/26 # | 1,425,000 | 1,356,664 | |||||
Amazon.com 2.50% 6/3/50 | 3,585,000 | 2,134,609 | |||||
Aptiv | |||||||
3.10% 12/1/51 | 10,966,000 | 6,134,259 | |||||
3.25% 3/1/32 | 2,407,000 | 1,923,048 | |||||
Arcos Dorados 144A 6.125% 5/27/29 # | 915,000 | 843,108 | |||||
AutoNation 3.85% 3/1/32 | 5,595,000 | 4,362,216 | |||||
B2W Digital 144A 4.375% 12/20/30 # | 1,290,000 | 888,535 | |||||
Carnival | |||||||
144A 4.00% 8/1/28 # | 1,510,000 | 1,219,325 | |||||
144A 7.625% 3/1/26 #, * | 5,634,000 | 4,245,923 | |||||
Daimler Trucks Finance North America 144A 2.375% 12/14/28 # | 8,380,000 | 6,800,804 | |||||
Falabella 144A 3.375% 1/15/32 # | 970,000 | 694,632 | |||||
Ford Motor Credit | |||||||
2.30% 2/10/25 | 915,000 | 829,356 | |||||
2.90% 2/16/28 | 2,020,000 | 1,644,801 | |||||
2.90% 2/10/29 | 1,330,000 | 1,045,692 | |||||
4.542% 8/1/26 | 3,657,000 | 3,374,241 | |||||
Future Retail 144A 5.60% 1/22/25 # | 1,295,000 | 40,534 | |||||
General Motors | |||||||
5.40% 10/15/29 | 3,070,000 | 2,848,885 | |||||
5.60% 10/15/32 | 1,125,000 | 1,022,329 | |||||
6.125% 10/1/25 | 1,905,000 | 1,898,282 | |||||
6.60% 4/1/36 | 4,338,000 | 4,097,998 | |||||
General Motors Financial | |||||||
5.25% 3/1/26 | 8,099,000 | 7,854,310 | |||||
5.70% 9/30/30 *, µ, Ψ | 2,260,000 | 1,929,475 | |||||
Hutama Karya Persero 144A 3.75% 5/11/30 # | 400,000 | 346,953 | |||||
JD.com 3.875% 4/29/26 | 1,180,000 | 1,094,128 | |||||
Kia 144A 2.375% 2/14/25 # | 1,475,000 | 1,358,832 | |||||
MercadoLibre 3.125% 1/14/31 | 1,160,000 | 841,238 |
24
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical (continued) | |||||||
MGM China Holdings | |||||||
144A 4.75% 2/1/27 #, * | 1,170,000 | $ | 880,519 | ||||
144A 5.25% 6/18/25 # | 455,000 | 362,558 | |||||
MGM Resorts International 4.75% 10/15/28 * | 12,633,000 | 10,982,214 | |||||
Nemak 144A 3.625% 6/28/31 # | 1,505,000 | 1,097,092 | |||||
Royal Caribbean Cruises 144A 5.50% 4/1/28 #, * | 3,305,000 | 2,554,435 | |||||
Sands China | |||||||
3.75% 8/8/31 | 1,005,000 | 659,963 | |||||
4.30% 1/8/26 | 1,135,000 | 931,290 | |||||
Studio City Finance 144A 6.50% 1/15/28 # | 1,560,000 | 655,954 | |||||
VICI Properties 4.95% 2/15/30 | 2,580,000 | 2,335,254 | |||||
81,844,324 | |||||||
Consumer Non-Cyclical – 4.47% | |||||||
1375209 BC 144A 9.00% 1/30/28 # | 1,367,000 | 1,329,408 | |||||
AbbVie 4.05% 11/21/39 | 9,497,000 | 7,663,373 | |||||
Anheuser-Busch InBev Worldwide 4.50% 6/1/50 | 8,407,000 | 6,874,029 | |||||
Bausch Health | |||||||
144A 11.00% 9/30/28 # | 2,430,000 | 1,883,250 | |||||
144A 14.00% 10/15/30 # | 486,000 | 280,665 | |||||
Baxter International 3.132% 12/1/51 | 5,234,000 | 3,195,634 | |||||
Bristol-Myers Squibb 3.70% 3/15/52 | 1,580,000 | 1,174,576 | |||||
Central American Bottling 144A 5.25% 4/27/29 # | 1,460,000 | 1,287,745 | |||||
Cia Cervecerias Unidas 144A 3.35% 1/19/32 # | 705,000 | 567,599 | |||||
Coca-Cola Icecek 144A 4.50% 1/20/29 # | 1,760,000 | 1,418,824 | |||||
CSL Finance | |||||||
144A 4.05% 4/27/29 # | 1,045,000 | 960,767 | |||||
144A 4.75% 4/27/52 # | 1,690,000 | 1,420,851 | |||||
CVS Health | |||||||
2.70% 8/21/40 | 10,910,000 | 7,061,108 | |||||
3.75% 4/1/30 | 2,100,000 | 1,856,202 | |||||
4.78% 3/25/38 | 15,679,000 | 13,639,651 | |||||
5.05% 3/25/48 | 2,860,000 | 2,434,703 | |||||
Gilead Sciences 4.15% 3/1/47 | 10,000,000 | 7,823,108 | |||||
HCA 144A 3.125% 3/15/27 # | 8,625,000 | 7,632,585 | |||||
Indofood CBP Sukses Makmur Tbk Pt 3.541% 4/27/32 | 1,125,000 | 824,361 | |||||
InRetail Consumer 144A 3.25% 3/22/28 # | 1,230,000 | 975,562 | |||||
JBS USA LUX 144A 3.00% 2/2/29 # | 3,868,000 | 3,142,202 | |||||
Kernel Holding 144A 6.50% 10/17/24 # | 1,050,000 | 352,685 | |||||
MARB BondCo 144A 3.95% 1/29/31 # | 1,130,000 | 839,415 |
25
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
MHP 144A 6.25% 9/19/29 # | 960,000 | $ | 432,000 | ||||
Natura & Co. Luxembourg Holdings 144A 6.00% 4/19/29 #, * | 950,000 | 793,250 | |||||
New York & Presbyterian Hospital 4.063% 8/1/56 | 130,000 | 99,510 | |||||
Pilgrim’s Pride 144A 5.875% 9/30/27 # | 2,808,000 | 2,748,470 | |||||
Regeneron Pharmaceuticals | |||||||
1.75% 9/15/30 | 2,200,000 | 1,659,267 | |||||
2.80% 9/15/50 | 3,635,000 | 2,135,197 | |||||
Royalty Pharma | |||||||
1.75% 9/2/27 | 7,435,000 | 6,133,360 | |||||
3.35% 9/2/51 | 3,138,000 | 1,850,559 | |||||
3.55% 9/2/50 | 3,376,000 | 2,068,009 | |||||
Takeda Pharmaceutical | |||||||
3.025% 7/9/40 | 2,810,000 | 1,949,669 | |||||
3.175% 7/9/50 | 12,660,000 | 8,178,960 | |||||
Tenet Healthcare | |||||||
144A 4.25% 6/1/29 # | 4,760,000 | 4,017,559 | |||||
144A 6.125% 10/1/28 #, * | 3,395,000 | 2,943,889 | |||||
Teva Pharmaceutical Finance Netherlands III | |||||||
5.125% 5/9/29 * | 800,000 | 688,448 | |||||
6.75% 3/1/28 * | 850,000 | 803,186 | |||||
Viatris | |||||||
2.70% 6/22/30 | 5,270,000 | 3,946,976 | |||||
4.00% 6/22/50 | 10,090,000 | 5,865,474 | |||||
120,952,086 | |||||||
Electric – 3.79% | |||||||
Abu Dhabi National Energy PJSC 144A 2.00% 4/29/28 # | 1,660,000 | 1,400,557 | |||||
AES Andes 144A 7.125% 3/26/79 #, µ | 1,320,000 | 1,085,332 | |||||
Alfa Desarrollo 144A 4.55% 9/27/51 # | 1,230,498 | 790,208 | |||||
Azure Power Energy 144A 3.575% 8/19/26 # | 860,713 | 626,168 | |||||
Calpine | |||||||
144A 4.50% 2/15/28 # | 1,270,000 | 1,143,384 | |||||
144A 5.00% 2/1/31 # | 4,275,000 | 3,622,028 | |||||
144A 5.125% 3/15/28 #, * | 1,268,000 | 1,126,997 | |||||
Cikarang Listrindo 144A 4.95% 9/14/26 # | 1,524,000 | 1,320,595 | |||||
Consorcio Transmantaro 144A 5.20% 4/11/38 # | 1,120,000 | 964,622 | |||||
Duke Energy 4.875% 9/16/24 µ, Ψ | 5,585,000 | 5,012,538 | |||||
Enel Finance International 144A 2.875% 7/12/41 # | 6,725,000 | 3,720,021 | |||||
Energo-Pro 144A 8.50% 2/4/27 # | 1,560,000 | 1,439,615 |
26
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Electric (continued) | |||||||
Entergy Arkansas 4.20% 4/1/49 | 2,570,000 | $ | 1,991,672 | ||||
Entergy Louisiana 4.95% 1/15/45 | 685,000 | 588,769 | |||||
Entergy Mississippi 3.85% 6/1/49 | 4,545,000 | 3,261,464 | |||||
Entergy Texas 3.55% 9/30/49 | 2,160,000 | 1,448,203 | |||||
Evergy Kansas Central 3.45% 4/15/50 | 3,230,000 | 2,185,348 | |||||
Fells Point Funding Trust 144A 3.046% 1/31/27 # | 2,150,000 | 1,913,893 | |||||
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 2,615,000 | 1,982,051 | |||||
Greenko Power II 144A 4.30% 12/13/28 # | 1,104,575 | 854,665 | |||||
JSW Hydro Energy 144A 4.125% 5/18/31 #, * | 1,251,200 | 965,369 | |||||
Louisville Gas and Electric 4.25% 4/1/49 | 8,025,000 | 6,193,945 | |||||
Minejesa Capital 144A 5.625% 8/10/37 #, * | 860,000 | 552,473 | |||||
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 659,000 | 459,059 | |||||
NextEra Energy Capital Holdings | |||||||
3.00% 1/15/52 | 2,970,000 | 1,826,361 | |||||
5.00% 7/15/32 | 3,110,000 | 2,958,307 | |||||
Oglethorpe Power | |||||||
3.75% 8/1/50 | 4,332,000 | 2,906,573 | |||||
5.05% 10/1/48 | 3,280,000 | 2,638,926 | |||||
Oryx Funding 144A 5.80% 2/3/31 # | 1,655,000 | 1,453,744 | |||||
Pacific Gas and Electric | |||||||
2.10% 8/1/27 | 1,370,000 | 1,127,509 | |||||
3.25% 6/1/31 | 1,150,000 | 896,256 | |||||
3.30% 8/1/40 | 13,248,000 | 8,624,284 | |||||
4.95% 7/1/50 | 1,352,000 | 1,010,586 | |||||
Perusahaan Listrik Negara | |||||||
144A 4.125% 5/15/27 # | 795,000 | 728,633 | |||||
144A 5.25% 5/15/47 # | 870,000 | 619,927 | |||||
Perusahaan Perseroan Persero 144A 3.875% 7/17/29 # | 1,355,000 | 1,139,812 | |||||
PG&E 5.25% 7/1/30 * | 3,570,000 | 3,166,911 | |||||
Saudi Electricity Global Sukuk 4 4.222% 1/27/24 | 1,370,000 | 1,346,174 | |||||
Southern California Edison | |||||||
3.45% 2/1/52 | 2,173,000 | 1,422,897 | |||||
3.65% 2/1/50 | 9,065,000 | 6,078,314 | |||||
4.00% 4/1/47 | 1,720,000 | 1,230,471 | |||||
4.875% 3/1/49 | 7,525,000 | 6,058,569 | |||||
Sweihan PV Power PJSC 144A 3.625% 1/31/49 # | 993,210 | 760,302 | |||||
UEP Penonome II 144A 6.50% 10/1/38 # | 729,390 | 547,042 | |||||
Vistra Operations 144A 5.125% 5/13/25 # | 11,760,000 | 11,364,675 | |||||
102,555,249 |
27
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Energy – 5.28% | |||||||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 495,000 | $ | 425,873 | ||||
BP Capital Markets 4.875% 3/22/30 µ, Ψ | 8,350,000 | 7,073,494 | |||||
BP Capital Markets America 2.721% 1/12/32 | 3,875,000 | 3,146,367 | |||||
Canacol Energy 144A 5.75% 11/24/28 # | 1,580,000 | 1,190,355 | |||||
CNX Resources 144A 6.00% 1/15/29 #, * | 6,370,000 | 5,955,122 | |||||
ConocoPhillips 3.80% 3/15/52 | 3,830,000 | 2,857,283 | |||||
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 4,821,000 | 4,519,157 | |||||
Ecopetrol | |||||||
4.625% 11/2/31 | 1,485,000 | 1,026,510 | |||||
5.375% 6/26/26 | 890,000 | 810,376 | |||||
EIG Pearl Holdings 144A 3.545% 8/31/36 # | 1,655,000 | 1,276,419 | |||||
Energean Israel Finance 144A 4.875% 3/30/26 # | 995,000 | 897,988 | |||||
Energy Transfer | |||||||
5.25% 4/15/29 | 1,975,000 | 1,852,883 | |||||
6.25% 4/15/49 | 11,420,000 | 9,985,902 | |||||
6.50% 11/15/26 µ, Ψ | 9,375,000 | 8,085,937 | |||||
Enterprise Products Operating | |||||||
3.20% 2/15/52 | 14,770,000 | 9,142,036 | |||||
3.30% 2/15/53 | 1,540,000 | 966,189 | |||||
Galaxy Pipeline Assets Bidco | |||||||
144A 2.16% 3/31/34 # | 554,796 | 453,276 | |||||
144A 2.94% 9/30/40 # | 1,614,105 | 1,215,765 | |||||
Geopark 144A 5.50% 1/17/27 # | 1,285,000 | 1,049,425 | |||||
Guara Norte 144A 5.198% 6/15/34 # | 1,605,497 | 1,262,314 | |||||
KazTransGas JSC 144A 4.375% 9/26/27 # | 2,216,000 | 1,822,877 | |||||
Kosmos Energy 144A 7.75% 5/1/27 # | 970,000 | 784,788 | |||||
MC Brazil Downstream Trading 144A 7.25% 6/30/31 # | 720,000 | 551,333 | |||||
MPLX | |||||||
1.75% 3/1/26 | 1,905,000 | 1,662,194 | |||||
4.125% 3/1/27 | 6,130,000 | 5,688,861 | |||||
Murphy Oil 5.875% 12/1/27 | 5,278,000 | 5,132,433 | |||||
NuStar Logistics | |||||||
5.625% 4/28/27 | 665,000 | 617,985 | |||||
6.375% 10/1/30 | 6,373,000 | 5,920,644 | |||||
Oil and Gas Holding 144A 7.625% 11/7/24 # | 650,000 | 646,042 | |||||
ONEOK 7.50% 9/1/23 | 8,310,000 | 8,415,561 | |||||
PDC Energy 5.75% 5/15/26 | 3,395,000 | 3,258,894 |
28
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Energy (continued) | |||||||
Pertamina Persero 144A 3.65% 7/30/29 # | 660,000 | $ | 567,525 | ||||
Petrobras Global Finance 6.75% 6/3/50 | 810,000 | 652,641 | |||||
Petroleos Mexicanos | |||||||
6.75% 9/21/47 | 1,319,000 | 796,796 | |||||
6.95% 1/28/60 | 1,149,000 | 691,471 | |||||
7.69% 1/23/50 | 465,000 | 303,764 | |||||
Petronas Capital | |||||||
144A 2.48% 1/28/32 # | 800,000 | 638,288 | |||||
144A 3.50% 4/21/30 # | 600,000 | 534,723 | |||||
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 1,195,000 | 1,024,808 | |||||
SA Global Sukuk 144A 2.694% 6/17/31 # | 925,000 | 758,734 | |||||
Sabine Pass Liquefaction | |||||||
5.625% 3/1/25 | 6,050,000 | 6,028,085 | |||||
5.75% 5/15/24 | 9,021,000 | 9,014,075 | |||||
Saudi Arabian Oil | |||||||
144A 3.50% 11/24/70 # | 410,000 | 250,621 | |||||
144A 4.25% 4/16/39 # | 1,892,000 | 1,558,611 | |||||
Southwestern Energy 7.75% 10/1/27 * | 6,035,000 | 6,215,809 | |||||
Targa Resources Partners 5.00% 1/15/28 | 1,810,000 | 1,673,118 | |||||
Tengizchevroil Finance Co. International 144A 2.625% 8/15/25 # | 1,075,000 | 861,231 | |||||
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 7,605,000 | 6,197,906 | |||||
Thaioil Treasury Center 144A 2.50% 6/18/30 # | 1,250,000 | 908,494 | |||||
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 1,145,000 | 999,241 | |||||
Tullow Oil 144A 10.25% 5/15/26 # | 1,075,000 | 917,394 | |||||
Uzbekneftegaz JSC | |||||||
144A 4.75% 11/16/28 # | 420,000 | 318,224 | |||||
4.75% 11/16/28 | 350,000 | 265,186 | |||||
Valero Energy 3.65% 12/1/51 | 4,015,000 | 2,671,810 | |||||
YPF 144A 6.95% 7/21/27 # | 2,180,000 | 1,327,969 | |||||
142,870,807 | |||||||
Finance Companies – 2.33% | |||||||
AerCap Ireland Capital DAC | |||||||
2.45% 10/29/26 | 3,595,000 | 3,038,762 | |||||
3.00% 10/29/28 | 9,365,000 | 7,572,402 | |||||
3.40% 10/29/33 | 9,270,000 | 6,712,996 | |||||
3.65% 7/21/27 | 4,851,000 | 4,222,075 | |||||
4.50% 9/15/23 | 1,235,000 | 1,213,107 | |||||
4.625% 10/15/27 | 2,165,000 | 1,948,404 | |||||
6.50% 7/15/25 | 3,600,000 | 3,546,095 |
29
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Finance Companies (continued) | |||||||
Agile Group Holdings 5.50% 5/17/26 | 835,000 | $ | 161,945 | ||||
Air Lease | |||||||
2.875% 1/15/26 * | 5,665,000 | 5,039,832 | |||||
2.875% 1/15/32 | 6,310,000 | 4,720,415 | |||||
3.00% 2/1/30 | 14,315,000 | 11,155,002 | |||||
3.375% 7/1/25 | 1,850,000 | 1,713,510 | |||||
4.125% 12/15/26 µ, Ψ | 1,925,000 | 1,275,485 | |||||
4.625% 10/1/28 | 5,320,000 | 4,720,501 | |||||
Bangkok Bank 144A 5.00% 9/23/25 #, µ, Ψ | 940,000 | 838,377 | |||||
China Evergrande Group 10.00% 4/11/23 | 1,510,000 | 60,355 | |||||
CIFI Holdings Group | |||||||
5.25% 5/13/26 | 300,000 | 22,191 | |||||
6.45% 11/7/24 | 1,170,000 | 102,375 | |||||
Country Garden Holdings | |||||||
2.70% 7/12/26 | 690,000 | 63,737 | |||||
4.20% 2/6/26 | 613,000 | 60,082 | |||||
Goodman HK Finance 4.375% 6/19/24 | 1,368,000 | 1,336,948 | |||||
Huarong Finance 2019 3.875% 11/13/29 | 1,280,000 | 786,757 | |||||
Inversiones La Construccion 144A 4.75% 2/7/32 # | 1,485,000 | 1,101,024 | |||||
MAF Global Securities 7.875% 6/30/27 µ, Ψ | 1,000,000 | 967,550 | |||||
MDGH GMTN RSC 144A 5.50% 4/28/33 # | 750,000 | 746,693 | |||||
63,126,620 | |||||||
Industrials – 0.06% | |||||||
Bidvest Group UK 144A 3.625% 9/23/26 # | 1,805,000 | 1,531,597 | |||||
1,531,597 | |||||||
Insurance – 1.32% | |||||||
AIA Group 144A 3.375% 4/7/30 # | 920,000 | 784,214 | |||||
Aon 2.90% 8/23/51 | 6,525,000 | 3,806,844 | |||||
Arthur J Gallagher & Co. 3.50% 5/20/51 | 4,819,000 | 3,113,499 | |||||
Brighthouse Financial | |||||||
3.85% 12/22/51 | 3,290,000 | 1,939,751 | |||||
4.70% 6/22/47 | 3,689,000 | 2,567,291 | |||||
5.625% 5/15/30 | 5,965,000 | 5,555,719 | |||||
Brown & Brown 2.375% 3/15/31 | 2,647,000 | 1,956,634 | |||||
Centene 3.375% 2/15/30 | 2,725,000 | 2,267,881 | |||||
Jackson Financial | |||||||
3.125% 11/23/31 | 2,497,000 | 1,843,565 | |||||
4.00% 11/23/51 | 4,936,000 | 2,984,663 |
30
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Insurance (continued) | |||||||
MetLife | |||||||
3.85% 9/15/25 µ, ѱ | 4,280,000 | $ | 3,771,702 | ||||
6.40% 12/15/66 | 45,000 | 41,628 | |||||
Prudential Financial 3.70% 3/13/51 | 4,795,000 | 3,406,724 | |||||
Sagicor Financial 144A 5.30% 5/13/28 # | 1,885,000 | 1,726,594 | |||||
35,766,709 | |||||||
Natural Gas – 0.30% | |||||||
ENN Energy Holdings 144A 2.625% 9/17/30 # | 1,520,000 | 1,160,628 | |||||
Medco Laurel Tree 144A 6.95% 11/12/28 # | 1,505,000 | 1,156,584 | |||||
Sempra Energy 4.875% 10/15/25 µ, ѱ | 1,810,000 | 1,648,615 | |||||
Southern Co. Gas Capital 5.15% 9/15/32 | 4,274,000 | 4,063,992 | |||||
8,029,819 | |||||||
Real Estate – 0.53% | |||||||
American Homes 4 Rent 3.625% 4/15/32 | 4,070,000 | 3,282,157 | |||||
American Tower Trust #1 Series 13 2A 144A 3.07% 3/15/48 # | 10,355,000 | 10,262,608 | |||||
CIBANCO Institucion de Banca Multiple Trust 144A 4.375% 7/22/31 # | 1,450,000 | 913,442 | |||||
14,458,207 | |||||||
Technology – 2.30% | |||||||
Autodesk 2.40% 12/15/31 | 6,390,000 | 4,932,212 | |||||
Broadcom 144A 3.469% 4/15/34 # | 17,087,000 | 12,813,059 | |||||
Broadridge Financial Solutions 2.60% 5/1/31 | 7,647,000 | 5,955,733 | |||||
CA Magnum Holdings 144A 5.375% 10/31/26 # | 950,000 | 798,074 | |||||
CDW | |||||||
2.67% 12/1/26 | 1,425,000 | 1,228,211 | |||||
3.276% 12/1/28 | 10,765,000 | 8,763,551 | |||||
Entegris Escrow 144A 4.75% 4/15/29 # | 3,030,000 | 2,681,561 | |||||
Iron Mountain 144A 5.25% 7/15/30 # | 2,410,000 | 2,082,994 | |||||
Iron Mountain Information Management Services 144A 5.00% 7/15/32 # | 7,560,000 | 6,251,855 | |||||
KLA 4.95% 7/15/52 | 3,605,000 | 3,144,895 | |||||
Lenovo Group 144A 6.536% 7/27/32 # | 1,060,000 | 884,170 | |||||
NXP | |||||||
3.125% 2/15/42 | 2,495,000 | 1,570,332 | |||||
3.25% 5/11/41 | 4,750,000 | 3,092,834 | |||||
5.55% 12/1/28 | 1,230,000 | 1,185,512 | |||||
PayPal Holdings 4.40% 6/1/32 | 2,385,000 | 2,193,796 |
31
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Technology (continued) | |||||||
SK Hynix | |||||||
144A 1.50% 1/19/26 # | 1,345,000 | $ | 1,159,317 | ||||
144A 2.375% 1/19/31 # | 1,530,000 | 1,104,837 | |||||
Tencent Holdings | |||||||
144A 2.88% 4/22/31 #, * | 780,000 | 577,561 | |||||
144A 3.68% 4/22/41 #, * | 855,000 | 540,006 | |||||
TSMC Global 144A 4.625% 7/22/32 # | 1,290,000 | 1,187,249 | |||||
62,147,759 | |||||||
Transportation – 2.47% | |||||||
Abertis Infraestructuras Finance 3.248% 11/24/25 µ, ѱ | EUR | 4,300,000 | 3,540,501 | ||||
Aeropuertos Argentina 2000 144A 8.50% 8/1/31 # | 1,465,300 | 1,058,284 | |||||
Azul Investments | |||||||
144A 5.875% 10/26/24 # | 1,135,000 | 859,828 | |||||
144A 7.25% 6/15/26 # | 1,055,000 | 669,623 | |||||
Burlington Northern Santa Fe | |||||||
2.875%6/15/52 | 3,840,000 | 2,416,194 | |||||
4.45%1/15/53 | 3,160,000 | 2,657,775 | |||||
DAE Funding 144A 1.55% 8/1/24 # | 500,000 | 453,759 | |||||
Delta Air Lines | |||||||
144A 7.00% 5/1/25 # | 11,265,000 | 11,424,784 | |||||
7.375%1/15/26 * | 2,635,000 | 2,694,274 | |||||
Gol Finance 144A 8.00% 6/30/26 # | 875,000 | 513,791 | |||||
Grupo Aeromexico 144A 8.50% 3/17/27 # | 11,055,000 | 9,110,039 | |||||
International Container Terminal Services 4.75% 6/17/30 | 1,670,000 | 1,454,069 | |||||
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 1,060,966 | 874,029 | |||||
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 10,716,000 | 10,607,876 | |||||
Misc Capital Two Labuan 144A 3.75% 4/6/27 # | 1,780,000 | 1,617,543 | |||||
Rutas 2 and 7 Finance 144A 2.981% 9/30/36 #, ^ | 2,072,000 | 1,240,703 | |||||
United Airlines | |||||||
144A 4.375% 4/15/26 # | 5,365,000 | 4,906,389 | |||||
144A 4.625% 4/15/29 # | 12,586,000 | 10,786,517 | |||||
66,885,978 | |||||||
Utilities – 0.19% | |||||||
Essential Utilities | |||||||
2.704%4/15/30 | 2,130,000 | 1,732,557 | |||||
3.351%4/15/50 | 2,060,000 | 1,295,784 | |||||
Israel Electric 144A 3.75% 2/22/32 # | 1,465,000 | 1,226,817 |
32
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Utilities (continued) | |||||||
Sociedad de Transmision Austral 144A 4.00% 1/27/32 # | 955,000 | $ | 777,259 | ||||
5,032,417 | |||||||
Total Corporate Bonds (cost $1,579,518,060) | 1,280,222,978 | ||||||
Municipal Bonds – 0.49% | |||||||
Commonwealth of Puerto Rico(Restructured - | |||||||
Capital Appreciation) | |||||||
Series A 2.993% 7/1/24^ | 435,895 | 396,656 | |||||
Series A 4.364% 7/1/33^ | 1,685,898 | 859,353 | |||||
Series A-1 4.00% 7/1/33 | 1,310,042 | 1,111,295 | |||||
Series A-1 4.00% 7/1/35 | 951,451 | 779,809 | |||||
Series A-1 4.00% 7/1/37 | 1,010,652 | 806,379 | |||||
GDB Debt Recovery Authority of Puerto Rico 7.50% 8/20/40 | 9,962,226 | 8,604,873 | |||||
South Carolina Public Service Authority Series D 4.77% 12/1/45 | 820,000 | 679,411 | |||||
Total Municipal Bonds (cost $15,173,209) | 13,237,776 | ||||||
Non-Agency Asset-Backed Securities – 1.77% | |||||||
Citicorp Residential Mortgage Trust Series 2006-3 A5 4.561% 11/25/36 ● | 1,579,426 | 1,499,788 | |||||
Contimortgage Home Equity Loan Trust Series 1996-4 A8 7.22% 1/15/28 | 1,547 | 1,347 | |||||
DataBank Issuer Series 2021-1A A2 144A 2.06% 2/27/51 # | 4,450,000 | 3,798,190 | |||||
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 13,905,000 | 11,301,780 | |||||
Domino’s Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 21,798,050 | 17,481,513 | |||||
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 680,000 | 619,977 | |||||
GM Financial Automobile Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 1,020,000 | 983,201 | |||||
JPMorgan Chase Bank Series 2021-3 B 144A 0.76% 2/26/29 # | 2,049,538 | 1,940,386 | |||||
PFS Financing Series 2021-A A 144A 0.71% 4/15/26 # | 4,950,000 | 4,619,275 | |||||
Towd Point Mortgage Trust Series 2017-1 A1 144A 2.75% 10/25/56 #, ● | 149,204 | 146,400 |
33
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Non-Agency Asset-Backed Securities (continued) | |||||||
Towd Point Mortgage Trust | |||||||
Series 2017-2 A1 144A 2.75% 4/25/57 #, ● | 83,155 | $ | 81,914 | ||||
Series 2017-4 M1 144A 3.25% 6/25/57 #, ● | 2,705,000 | 2,300,352 | |||||
Series 2018-1 A1 144A 3.00% 1/25/58 #, ● | 515,077 | 495,689 | |||||
UNIFY Auto Receivables Trust Series 2021-1A A3 144A 0.51% 6/16/25 # | 2,694,034 | 2,657,731 | |||||
Total Non-Agency Asset-Backed Securities (cost $56,334,138) | 47,927,543 | ||||||
Non-Agency Collateralized Mortgage Obligations – 2.52% | |||||||
Agate Bay Mortgage Trust | |||||||
Series 2015-1 B1 144A 3.676% 1/25/45 #, ● | 815,881 | 766,649 | |||||
Series 2015-1 B2 144A 3.676% 1/25/45 #, ● | 461,329 | 433,225 | |||||
Citicorp Mortgage Securities Trust Series 2006-3 1A9 5.75% 6/25/36 | 130,720 | 111,615 | |||||
Connecticut Avenue Securities Trust | |||||||
Series 2018-R07 1M2 144A 5.986% (LIBOR01M + 2.40%) 4/25/31 #, ● | 228,489 | 227,286 | |||||
Series 2019-R01 2M2 144A 6.036% (LIBOR01M + 2.45%) 7/25/31 #, ● | 237,937 | 237,041 | |||||
Series 2022-R01 1M2 144A 4.897% (SOFR + 1.90%) 12/25/41 #, ● | 3,900,000 | 3,540,400 | |||||
Series 2022-R02 2M2 144A 5.997% (SOFR + 3.00%) 1/25/42 #, ● | 2,200,000 | 1,963,499 | |||||
Flagstar Mortgage Trust Series 2021-2 A6 144A 2.50% 4/25/51 #, ● | 2,888,875 | 2,451,482 | |||||
GS Mortgage-Backed Securities Trust | |||||||
Series 2021-PJ4 A8 144A 2.50% 9/25/51 #, ● | 6,069,738 | 5,150,743 | |||||
Series 2021-PJ7 A2 144A 2.50% 1/25/52 #, ● | 5,757,303 | 4,438,748 | |||||
JPMorgan Mortgage Trust | |||||||
Series 2014-2 B1 144A 3.42% 6/25/29 #, ● | 546,605 | 463,907 | |||||
Series 2014-2 B2 144A 3.42% 6/25/29 #, ● | 216,947 | 183,461 | |||||
Series 2015-1 B2 144A 3.643% 12/25/44 #, ● | 1,672,267 | 1,604,537 | |||||
Series 2015-4 B1 144A 3.556% 6/25/45 #, ● | 1,566,314 | 1,365,983 | |||||
Series 2015-4 B2 144A 3.556% 6/25/45 #, ● | 1,140,259 | 991,797 | |||||
Series 2015-5 B2 144A 3.83% 5/25/45 #, ● | 1,816,159 | 1,757,552 | |||||
Series 2015-6 B1 144A 3.535% 10/25/45 #, ● | 1,098,428 | 995,706 | |||||
Series 2015-6 B2 144A 3.535% 10/25/45 #, ● | 1,014,136 | 917,854 | |||||
Series 2016-4 B1 144A 3.804% 10/25/46 #, ● | 982,419 | 857,494 | |||||
Series 2016-4 B2 144A 3.804% 10/25/46 #, ● | 1,694,308 | 1,463,179 | |||||
Series 2017-1 B3 144A 3.449% 1/25/47 #, ● | 2,940,981 | 2,397,290 | |||||
Series 2017-2 A3 144A 3.50% 5/25/47 #, ● | 248,319 | 211,076 |
34
Principal amount° | Value (US $) | ||||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||||
JPMorgan Mortgage Trust | |||||||
Series 2020-2 A3 144A 3.50% 7/25/50 #, ● | 247,075 | $ | 213,111 | ||||
Series 2020-5 A3 144A 3.00% 12/25/50 #, ● | 2,506,766 | 2,065,043 | |||||
Series 2020-7 A3 144A 3.00% 1/25/51 #, ● | 1,092,426 | 889,814 | |||||
Series 2021-1 A3 144A 2.50% 6/25/51 #, ● | 1,981,346 | 1,529,553 | |||||
Series 2021-10 A3 144A 2.50% 12/25/51 #, ● | 3,850,181 | 2,968,401 | |||||
Series 2021-11 A3 144A 2.50% 1/25/52 #, ● | 9,626,091 | 7,421,495 | |||||
Series 2021-13 A3 144A 2.50% 4/25/52 #, ● | 3,475,740 | 2,679,716 | |||||
Series 2021-13 B1 144A 3.143% 4/25/52 #, ● | 4,853,321 | 3,704,725 | |||||
Morgan Stanley Residential Mortgage Loan Trust | |||||||
Series 2020-1 A2A 144A 2.50% 12/25/50 #, ● | 4,106,200 | 3,150,182 | |||||
Series 2021-1 A2 144A 2.50% 3/25/51 #, ● | 1,867,159 | 1,446,539 | |||||
Series 2021-4 A3 144A 2.50% 7/25/51 #, ● | 1,887,097 | 1,452,455 | |||||
New Residential Mortgage Loan Trust Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, ● | 562,579 | 525,671 | |||||
RCKT Mortgage Trust | |||||||
Series 2021-1 A1 144A 2.50% 3/25/51 #, ● | 2,040,458 | 1,568,045 | |||||
Series 2021-6 A1 144A 2.50% 12/25/51 #, ● | 4,173,060 | 3,186,219 | |||||
Sequoia Mortgage Trust | |||||||
Series 2013-4 B2 3.442% 4/25/43 ● | 366,181 | 337,654 | |||||
Series 2015-1 B2 144A 3.917% 1/25/45 #, ● | 715,637 | 656,292 | |||||
Series 2015-2 B2 144A 3.78% 5/25/45 #, ● | 180,311 | 161,374 | |||||
Series 2017-5 B1 144A 3.797% 8/25/47 #, ● | 220,040 | 185,762 | |||||
Series 2020-4 A2 144A 2.50% 11/25/50 #, ● | 1,476,485 | 1,142,027 | |||||
Wells Fargo Mortgage-Backed Securities Trust Series 2006-20 A1 5.50% 12/25/21 | 1,082 | 1,075 | |||||
Series 2020-1 A1 144A 3.00% 12/25/49 #, ● | 612,051 | 499,422 | |||||
Total Non-Agency Collateralized Mortgage Obligations (cost $84,381,740) | 68,315,099 | ||||||
Non-Agency Commercial Mortgage-Backed Securities – 9.64% | |||||||
BANK | |||||||
Series 2017-BNK5 A5 3.39% 6/15/60 | 6,740,000 | 6,082,996 | |||||
Series 2017-BNK5 B 3.896% 6/15/60 ● | 2,870,000 | 2,501,263 | |||||
Series 2019-BN20 A3 3.011% 9/15/62 | 6,255,000 | 5,282,005 | |||||
Series 2019-BN21 A5 2.851% 10/17/52 | 8,200,000 | 6,854,912 | |||||
Series 2019-BN23 A3 2.92% 12/15/52 | 8,570,000 | 7,170,304 | |||||
Series 2022-BNK39 A4 2.928% 2/15/55 | 7,305,000 | 5,879,358 | |||||
Series 2022-BNK39 B 3.239% 2/15/55 ● | 3,195,000 | 2,433,431 | |||||
Series 2022-BNK39 C 3.27% 2/15/55 ● | 2,092,000 | 1,478,008 |
35
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||||||
BANK | |||||||
Series 2022-BNK40 B 3.394% 3/15/64 ● | 4,550,000 | $ | 3,475,989 | ||||
Series 2022-BNK41 A4 3.79% 4/15/65 ● | 6,500,000 | 5,642,714 | |||||
Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3 B 3.879% 2/15/50 ● | 30,000 | 26,203 | |||||
Benchmark Mortgage Trust | |||||||
Series 2018-B1 A5 3.666% 1/15/51 ● | 10,673,000 | 9,667,799 | |||||
Series 2020-B17 A5 2.289% 3/15/53 | 6,844,000 | 5,438,368 | |||||
Series 2020-B19 A5 1.85% 9/15/53 | 835,000 | 638,399 | |||||
Series 2020-B21 A5 1.978% 12/17/53 | 3,594,000 | 2,731,020 | |||||
Series 2020-B22 A5 1.973% 1/15/54 | 8,045,000 | 6,094,835 | |||||
Series 2021-B29 A5 2.388% 9/15/54 | 5,500,000 | 4,236,560 | |||||
Series 2022-B32 B 3.202% 1/15/55 ● | 4,505,000 | 3,356,600 | |||||
Series 2022-B32 C 3.455% 1/15/55 ● | 5,500,000 | 3,921,002 | |||||
Series 2022-B33 B 3.615% 3/15/55 ● | 2,250,000 | 1,759,509 | |||||
Series 2022-B33 C 3.615% 3/15/55 ● | 2,250,000 | 1,652,584 | |||||
BMO Mortgage Trust Series 2022-C1 A5 3.374% 2/15/55 ● | 3,550,000 | 2,941,635 | |||||
Cantor Commercial Real Estate Lending | |||||||
Series 2019-CF1 A5 3.786% 5/15/52 | 8,080,000 | 7,254,774 | |||||
Series 2019-CF2 A5 2.874% 11/15/52 | 5,870,000 | 4,782,186 | |||||
Series 2019-CF3 A4 3.006% 1/15/53 | 3,222,000 | 2,658,343 | |||||
CD Mortgage Trust | |||||||
Series 2016-CD2 A3 3.248% 11/10/49 | 5,351,527 | 4,915,946 | |||||
Series 2017-CD6 B 3.911% 11/13/50 ● | 1,925,000 | 1,664,091 | |||||
Series 2019-CD8 A4 2.912% 8/15/57 | 3,500,000 | 2,947,220 | |||||
CFCRE Commercial Mortgage Trust | |||||||
Series 2016-C7 A3 3.838% 12/10/54 | 10,020,000 | 9,321,877 | |||||
Citigroup Commercial Mortgage Trust Series 2020-555 A 144A 2.647% 12/10/41 # | 3,600,000 | 2,922,309 | |||||
COMM Mortgage Trust | |||||||
Series 2013-CR6 AM 144A 3.147% 3/10/46 # | 6,825,000 | 6,766,505 | |||||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,650,000 | 1,646,412 | |||||
Series 2014-CR19 A5 3.796% 8/10/47 | 3,793,800 | 3,646,395 | |||||
Series 2014-CR20 AM 3.938% 11/10/47 | 10,705,000 | 10,026,090 | |||||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 130,000 | 119,778 | |||||
Series 2015-CR23 A4 3.497% 5/10/48 | 115,000 | 108,147 | |||||
Series 2016-CR28 A4 3.762% 2/10/49 | 3,290,000 | 3,084,631 |
36
Principal amount° | Value (US $) | ||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||||||
DB-JPM Mortgage Trust Series 2016-C1 A4 3.276% 5/10/49 | 3,185,000 | $ | 2,936,722 | ||||
Grace Trust Series 2020-GRCE A 144A 2.347% 12/10/40 # | 3,050,000 | 2,277,768 | |||||
GS Mortgage Securities Trust | |||||||
Series 2017-GS5 A4 3.674% 3/10/50 | 7,010,000 | 6,416,104 | |||||
Series 2017-GS6 A3 3.433% 5/10/50 | 3,495,000 | 3,182,959 | |||||
Series 2018-GS9 B 4.321% 3/10/51 ● | 125,000 | 106,724 | |||||
Series 2019-GC39 A4 3.567% 5/10/52 | 7,311,000 | 6,492,128 | |||||
Series 2019-GC42 A4 3.001% 9/1/52 | 5,440,000 | 4,611,443 | |||||
Series 2020-GC47 A5 2.377% 5/12/53 | 14,745,000 | 11,765,282 | |||||
JPM-BB Commercial Mortgage Securities Trust Series 2015-C31 A3 3.801% 8/15/48 | 9,362,777 | 8,810,643 | |||||
JPM-DB Commercial Mortgage Securities Trust Series 2017-C7 A5 3.409% 10/15/50 | 290,000 | 260,728 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||
Series 2013-LC11 B 3.499% 4/15/46 | 8,570,000 | 8,340,918 | |||||
Series 2015-JP1 A5 3.914% 1/15/49 | 3,925,000 | 3,691,757 | |||||
Series 2016-JP2 AS 3.056% 8/15/49 | 180,000 | 157,867 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||
Series 2014-C17 A5 3.741% 8/15/47 | 3,356,000 | 3,241,880 | |||||
Series 2015-C26 A5 3.531% 10/15/48 | 4,045,000 | 3,804,284 | |||||
Series 2016-C29 A4 3.325% 5/15/49 | 2,595,000 | 2,386,985 | |||||
Morgan Stanley Capital I Trust | |||||||
Series 2016-BNK2 B 3.485% 11/15/49 | 1,500,000 | 1,296,801 | |||||
Series 2019-L3 A4 3.127% 11/15/52 | 4,000,000 | 3,364,598 | |||||
Series 2020-HR8 A4 2.041% 7/15/53 | 29,609,000 | 22,840,581 | |||||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, ● | 820,000 | 804,218 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2014-LC18 A5 3.405% 12/15/47 | 2,415,029 | 2,299,086 | |||||
Series 2015-NXS3 A4 3.617% 9/15/57 | 2,350,000 | 2,208,531 | |||||
Series 2016-BNK1 A3 2.652% 8/15/49 | 5,945,000 | 5,281,549 | |||||
Series 2020-C58 A4 2.092% 7/15/53 | 4,158,000 | 3,171,512 | |||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $312,381,075) | 260,881,266 |
37
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Loan Agreements – 3.76% | |||||||
Advantage Sales & Marketing Tranche B-1 8.284% (LIBOR03M + 4.50%) 10/28/27 ● | 1,921,306 | $ | 1,678,981 | ||||
Amentum Government Services Holdings Tranche 3 7.392% (SOFR03M + 3.00%) 2/15/29 ● | 5,749,325 | 5,591,219 | |||||
Applied Systems 1st Lien 6.674% (LIBOR03M + 3.00%) 9/19/24 ● | 2,245,693 | 2,220,849 | |||||
Applied Systems 2nd Lien 9.174% (LIBOR03M + 5.50%) 9/19/25 ● | 5,848,974 | 5,779,518 | |||||
Bausch & Lomb 6.618% (SOFR01M + 2.25%) 5/10/27 ● | 2,967,562 | 2,786,725 | |||||
Berry Global Tranche Z 5.05% (LIBOR01M + 1.75%) 7/1/26 ● | 1,989,252 | 1,963,256 | |||||
BW Gas & Convenience Holdings Tranche B 7.254% (LIBOR01M + 3.50%) 3/31/28 ● | 699,148 | 681,669 | |||||
Calpine | |||||||
5.76% (LIBOR01M + 2.00%) 4/5/26 ● | 928,800 | 912,474 | |||||
6.26% (LIBOR01M + 2.50%) 12/16/27 ● | 654,722 | 648,448 | |||||
Camelot US Acquisition l 6.754% (LIBOR01M + 3.00%) 10/30/26 ● | 1,548,126 | 1,525,484 | |||||
Castlelake Aviation One Designated Activity 6.043% (LIBOR03M + 2.75%) 10/22/26 ● | 2,150,751 | 2,115,802 | |||||
Charter Communications Operating Tranche B2 5.51% (LIBOR01M + 1.75%) 2/1/27 ● | 1,959,091 | 1,926,438 | |||||
Connect US Finco 7.26% (LIBOR01M + 3.50%) 12/11/26 ● | 1,899,300 | 1,840,896 | |||||
Core & Main Tranche B-1 6.525% (LIBOR01M + 2.50%) 7/27/28 ● | 2,631,923 | 2,573,526 | |||||
Entegis Tranche B 5.821% (SOFR03M + 3.00%) 7/6/29 ● | 4,545,000 | 4,528,665 | |||||
Epicor Software 2nd Lien 11.504% (LIBOR01M + 7.75%) 7/31/28 ● | 2,085,000 | 2,053,725 | |||||
Epicor Software Tranche C 7.004% (LIBOR01M + 3.25%) 7/30/27 ● | 1,734,152 | 1,650,263 | |||||
Frontier Communications Tranche B 7.438% (LIBOR03M + 3.75%) 5/1/28 ● | 3,284,826 | 3,117,651 | |||||
Global Medical Response 7.378% (LIBOR01M + 4.25%) 10/2/25 ● | 905,267 | 708,749 | |||||
Hamilton Projects Acquiror 8.174% (LIBOR03M + 4.50%) 6/17/27 ● | 1,565,157 | 1,543,245 | |||||
Heartland Dental 7.254% (LIBOR01M + 3.50%) 4/30/25 ● | 2,267,673 | 2,109,745 | |||||
Hexion Holdings 1st Lien 7.413% (SOFR03M + 4.50%) 3/15/29 ● | 2,620,050 | 2,243,418 |
38
Principal amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
HUB International 7.326% (LIBOR02M + 3.00%) 4/25/25 ● | 1,662,703 | $ | 1,632,756 | ||||
Informatica 6.563% (LIBOR01M + 2.75%) 10/27/28 ● | 1,731,300 | 1,689,749 | |||||
LSF9 Atlantis Holdings Tranche B 10.803% (SOFR03M + 6.25%) 3/31/29 ● | 4,030,000 | 3,890,630 | |||||
Mileage Plus Holdings 8.777% (LIBOR03M + 5.25%) 6/21/27 ● | 2,042,500 | 2,089,733 | |||||
Organon & Co. 6.188% (LIBOR03M + 3.00%) 6/2/28 ● | 5,789,783 | 5,661,580 | |||||
Pelican Products 7.924% (LIBOR03M + 4.25%) 12/29/28 ● | 749,338 | 678,150 | |||||
Peraton Tranche B 1st Lien 7.504% (LIBOR01M + 3.75%) 2/1/28 ● | 2,896,502 | 2,795,124 | |||||
PG&E Tranche B 6.813% (LIBOR01M + 3.00%) 6/23/25 ● | 2,640,852 | 2,605,201 | |||||
Pilot Travel Centers Tranche B 5.829% (SOFR01M + 2.10%) 8/4/28 ● | 1,121,287 | 1,095,357 | |||||
Prestige Brands Tranche B-5 5.429% (LIBOR01M + 2.00%) 7/3/28 ● | 23,889 | 23,883 | |||||
RealPage 1st Lien 6.754% (LIBOR01M + 3.00%) 4/24/28 ● | 1,597,830 | 1,505,156 | |||||
Russell Investments US Institutional Holdco 6.935% (LIBOR01M + 3.50%) 5/30/25 ● | 92 | 85 | |||||
Ryan Specialty Group Tranche B-1 6.829% (SOFR01M + 3.10%) 9/1/27 ● | 1,651,300 | 1,633,238 | |||||
Sinclair Television Group Tranche B-4 7.231% (SOFR01M + 2.75%) 4/21/29 ● | 3,332,262 | 3,129,828 | |||||
SS&C Technologies Holdings Tranche B-3 5.504% (LIBOR01M + 1.75%) 4/16/25 ● | 867,043 | 850,244 | |||||
SS&C Technologies Holdings Tranche B-4 5.504% (LIBOR01M + 1.75%) 4/16/25 ● | 703,861 | 690,224 | |||||
Standard Industries 6.675% (LIBOR03M + 2.50%) 9/22/28 ● | 7,759,696 | 7,615,590 | |||||
Transdigm Tranche F 5.924% (LIBOR03M + 2.25%) 12/9/25 ● | 1,856,543 | 1,815,510 | |||||
UKG 1st Lien 6.998% (LIBOR03M + 3.25%) 5/4/26 ● | 2,847,709 | 2,754,492 | |||||
Ultimate Software Group 1st Lien 7.504% (LIBOR01M + 3.75%) 5/4/26 ● | 1,964,029 | 1,913,155 | |||||
Vertical Midco Tranche B 6.871% (LIBOR03M + 3.50%) 7/30/27 ● | 21 | 20 | |||||
Viasat 7.996% (SOFR01M + 3.50%) 3/2/29 ● | 4,013,675 | 3,812,991 |
39
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
Vistra Operations 5.436% (LIBOR01M + 1.75%) 12/31/25 ● | 2,907,635 | $ | 2,888,471 | ||||
White Cap Buyer 7.131% (SOFR01M + 4.00%) 10/19/27 ● | 898,212 | 852,834 | |||||
Total Loan Agreements (cost $104,229,105) | 101,824,747 | ||||||
Sovereign Bonds – 1.61%∆ | |||||||
Albania – 0.01% | |||||||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 400,000 | 348,243 | ||||
348,243 | |||||||
Angola – 0.04% | |||||||
Angolan Government International Bonds | |||||||
144A 8.25% 5/9/28 # | 433,000 | 366,210 | |||||
8.25% 5/9/28 | 499,000 | 422,029 | |||||
144A 8.75% 4/14/32 # | 400,000 | 323,956 | |||||
1,112,195 | |||||||
Argentina – 0.02% | |||||||
Argentine Republic Government International Bonds | |||||||
0.50% 7/9/30 ~ | 1,973,950 | 420,997 | |||||
1.00% 7/9/29 | 100,503 | 20,859 | |||||
1.50% 7/9/35 ~ | 703,250 | 140,454 | |||||
582,310 | |||||||
Azerbaijan – 0.02% | |||||||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 753,000 | 607,001 | |||||
607,001 | |||||||
Bahrain – 0.03% | |||||||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 800,000 | 764,094 | |||||
764,094 | |||||||
Bermuda – 0.03% | |||||||
Bermuda Government International Bond 144A 5.00% 7/15/32 # | 900,000 | 836,132 | |||||
836,132 |
40
Principal amount° | Value (US $) | ||||||
Sovereign Bonds∆ (continued) | |||||||
Brazil – 0.03% | |||||||
Brazilian Government International Bond 4.75% 1/14/50 | 1,072,000 | $ | 720,152 | ||||
720,152 | |||||||
Chile – 0.05% | |||||||
Chile Government International Bonds | |||||||
3.10% 5/7/41 | 791,000 | 524,036 | |||||
3.50% 1/31/34 | 600,000 | 485,433 | |||||
3.50% 1/25/50 | 700,000 | 462,356 | |||||
1,471,825 | |||||||
Colombia – 0.11% | |||||||
Colombia Government International Bonds | |||||||
3.25% 4/22/32 | 2,333,000 | 1,554,131 | |||||
4.125% 2/22/42 | 1,087,000 | 613,662 | |||||
5.00% 6/15/45 | 728,000 | 443,607 | |||||
5.20% 5/15/49 | 400,000 | 244,017 | |||||
2,855,417 | |||||||
Costa Rica – 0.01% | |||||||
Costa Rica Government International Bond 144A 5.625% 4/30/43 # | 300,000 | 219,035 | |||||
219,035 | |||||||
Dominican Republic – 0.09% | |||||||
Dominican Republic International Bonds | |||||||
144A 4.875% 9/23/32 # | 2,335,000 | 1,807,886 | |||||
144A 5.30% 1/21/41 # | 500,000 | 346,263 | |||||
144A 5.50% 2/22/29 # | 400,000 | 350,754 | |||||
2,504,903 | |||||||
Ecuador – 0.02% | |||||||
Ecuador Government International Bonds | |||||||
144A 2.50% 7/31/35 #, ~ | 939,584 | 347,952 | |||||
144A 5.50% 7/31/30 #, ~ | 358,533 | 191,973 | |||||
144A 6.61% 7/31/30 #, ^ | 101,490 | 32,041 | |||||
571,966 | |||||||
Egypt – 0.08% | |||||||
Egypt Government International Bonds | |||||||
144A 5.75% 5/29/24 # | 1,255,000 | 1,188,542 | |||||
144A 8.70% 3/1/49 # | 1,480,000 | 885,398 | |||||
2,073,940 |
41
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Sovereign Bonds∆ (continued) | |||||||
El Salvador – 0.01% | |||||||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 437,000 | $ | 153,366 | ||||
153,366 | |||||||
Gabon – 0.01% | |||||||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 435,000 | 307,066 | |||||
307,066 | |||||||
Ghana – 0.01% | |||||||
Ghana Government International Bond 144A 7.875% 3/26/27 # | 753,000 | 238,596 | |||||
238,596 | |||||||
Guatemala – 0.04% | |||||||
Guatemala Government Bonds | |||||||
144A 4.875% 2/13/28 # | 594,000 | 548,598 | |||||
144A 5.25% 8/10/29 # | 450,000 | 415,839 | |||||
964,437 | |||||||
Honduras – 0.01% | |||||||
Honduras Government International Bond 6.25% 1/19/27 | 200,000 | 158,291 | |||||
158,291 | |||||||
Hong Kong – 0.05% | |||||||
Airport Authority | |||||||
144A 2.50% 1/12/32 # | 985,000 | 796,167 | |||||
144A 3.25% 1/12/52 # | 975,000 | 641,317 | |||||
1,437,484 | |||||||
Indonesia – 0.05% | |||||||
Indonesia Government International Bonds | |||||||
2.95% 1/11/23 | 500,000 | 498,744 | |||||
4.65% 9/20/32 | 600,000 | 556,584 | |||||
5.25% 1/17/42 | 400,000 | 363,679 | |||||
1,419,007 | |||||||
Ivory Coast – 0.05% | |||||||
Ivory Coast Government International Bonds | |||||||
144A 4.875% 1/30/32 # | EUR | 200,000 | 139,385 | ||||
144A 6.125% 6/15/33 # | 1,667,000 | 1,308,505 | |||||
1,447,890 |
42
Principal amount° | Value (US $) | ||||||
Sovereign Bonds∆ (continued) | |||||||
Jordan – 0.01% | |||||||
Jordan Government International Bond 144A 5.75% 1/31/27 # | 380,000 | $ | 349,845 | ||||
349,845 | |||||||
Kazakhstan – 0.01% | |||||||
Kazakhstan Government International Bond 4.875% 10/14/44 | 366,000 | 281,359 | |||||
281,359 | |||||||
Kenya – 0.02% | |||||||
Republic of Kenya Government International Bond 144A 8.00% 5/22/32 # | 615,000 | 432,806 | |||||
432,806 | |||||||
Lebanon – 0.01% | |||||||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 2,062,000 | 131,452 | |||||
131,452 | |||||||
Mexico – 0.04% | |||||||
Mexico Government International Bonds | |||||||
3.50% 2/12/34 | 956,000 | 731,775 | |||||
4.875% 5/19/33 | 500,000 | 440,910 | |||||
1,172,685 | |||||||
Morocco – 0.02% | |||||||
Morocco Government International Bonds | |||||||
144A 1.375% 3/30/26 # | EUR | 300,000 | 262,597 | ||||
144A 2.375% 12/15/27 # | 400,000 | 330,000 | |||||
592,597 | |||||||
Nigeria – 0.04% | |||||||
Nigeria Government International Bonds | |||||||
7.143% 2/23/30 | 500,000 | 328,465 | |||||
144A 7.875% 2/16/32 # | 1,103,000 | 714,082 | |||||
1,042,547 | |||||||
Oman – 0.04% | |||||||
Oman Government International Bonds | |||||||
144A 6.75% 1/17/48 # | 889,000 | 749,472 | |||||
7.375% 10/28/32 | 363,000 | 372,279 | |||||
1,121,751 |
43
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Sovereign Bonds∆ (continued) | |||||||
Pakistan – 0.00% | |||||||
Pakistan Government International Bond 144A 7.375% 4/8/31 # | 250,000 | $ | 80,000 | ||||
80,000 | |||||||
Panama – 0.04% | |||||||
Panama Bonos del Tesoro 3.362% 6/30/31 | 500,000 | 411,210 | |||||
Panama Government International Bond 144A 3.75% 4/17/26 # | 710,000 | 666,690 | |||||
1,077,900 | |||||||
Paraguay – 0.04% | |||||||
Paraguay Government International Bonds | |||||||
144A 4.95% 4/28/31 # | 500,000 | 459,733 | |||||
144A 5.40% 3/30/50 # | 727,000 | 560,131 | |||||
1,019,864 | |||||||
Peru – 0.07% | |||||||
Peruvian Government International Bonds | |||||||
2.392% 1/23/26 | 1,040,000 | 939,781 | |||||
2.844% 6/20/30 | 1,042,000 | 847,938 | |||||
1,787,719 | |||||||
Philippines – 0.04% | |||||||
Philippine Government International Bond 3.229% 3/29/27 | 1,190,000 | 1,102,122 | |||||
1,102,122 | |||||||
Qatar – 0.10% | |||||||
Qatar Government International Bonds | |||||||
144A 4.00% 3/14/29 # | 1,555,000 | 1,478,461 | |||||
144A 4.40% 4/16/50 # | 1,569,000 | 1,322,702 | |||||
2,801,163 | |||||||
Republic of North Macedonia – 0.01% | |||||||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 300,000 | 263,943 | ||||
263,943 | |||||||
Romania – 0.01% | |||||||
Romanian Government International Bonds | |||||||
144A 2.625% 12/2/40 # | EUR | 155,000 | 80,554 | ||||
144A 3.375% 1/28/50 # | EUR | 359,000 | 189,701 | ||||
270,255 |
44
Principal amount° | Value (US $) | ||||||
Sovereign Bonds∆ (continued) | |||||||
Saudi Arabia – 0.06% | |||||||
Saudi Government International Bonds | |||||||
144A 3.625% 3/4/28 # | 1,170,000 | $ | 1,090,311 | ||||
144A 5.50% 10/25/32 # | 500,000 | 507,188 | |||||
1,597,499 | |||||||
Senegal – 0.02% | |||||||
Senegal Government International Bonds | |||||||
144A 5.375% 6/8/37 # | EUR | 200,000 | 121,428 | ||||
144A 6.75% 3/13/48 # | 563,000 | 360,855 | |||||
482,283 | |||||||
Serbia – 0.03% | |||||||
Serbia International Bonds | |||||||
144A 1.00% 9/23/28 # | EUR | 550,000 | 383,737 | ||||
144A 3.125% 5/15/27 # | EUR | 400,000 | 337,966 | ||||
721,703 | |||||||
South Africa – 0.04% | |||||||
Republic of South Africa Government International Bonds | |||||||
4.85% 9/30/29 | 430,000 | 366,343 | |||||
4.875% 4/14/26 * | 331,000 | 311,555 | |||||
5.65% 9/27/47 | 200,000 | 134,000 | |||||
5.75% 9/30/49 | 595,000 | 397,417 | |||||
1,209,315 | |||||||
Sri Lanka – 0.01% | |||||||
Sri Lanka Government International Bonds | |||||||
144A 6.20% 5/11/27 # | 1,155,000 | 266,039 | |||||
144A 7.55% 3/28/30 # | 310,000 | 71,570 | |||||
337,609 | |||||||
Trinidad and Tobago – 0.02% | |||||||
Trinidad & Tobago Government International Bond 144A 4.50% 6/26/30 # | 550,000 | 500,680 | |||||
500,680 | |||||||
Turkey – 0.08% | |||||||
Hazine Mustesarligi Varlik Kiralama 144A 5.125% 6/22/26 # | 450,000 | 399,280 | |||||
Turkey Government International Bonds | |||||||
6.35% 8/10/24 | 300,000 | 294,309 | |||||
7.625% 4/26/29 | 1,600,000 | 1,419,128 | |||||
2,112,717 |
45
Schedule of investments
Delaware Diversified Income Fund
Principal amount° | Value (US $) | ||||||
Sovereign Bonds∆ (continued) | |||||||
Ukraine – 0.01% | |||||||
Ukraine Government International Bond 144A 7.75% 9/1/28 # | 2,192,000 | $ | 372,640 | ||||
372,640 | |||||||
Uruguay – 0.03% | |||||||
Uruguay Government International Bonds | |||||||
4.375% 1/23/31 | 608,000 | 579,988 | |||||
5.10% 6/18/50 | 329,000 | 295,282 | |||||
875,270 | |||||||
Uzbekistan – 0.04% | |||||||
Republic of Uzbekistan International Bond 144A 5.375% 2/20/29 # | 1,326,000 | 1,117,898 | |||||
1,117,898 | |||||||
Total Sovereign Bonds (cost $60,783,445) | 43,648,972 | ||||||
US Treasury Obligations – 3.21% | |||||||
US Treasury Bonds | |||||||
2.25% 8/15/46 | 23,680,000 | 16,040,425 | |||||
3.00% 8/15/52 | 23,545,000 | 18,861,754 | |||||
US Treasury Floating Rate Note 4.20% (USBMMY3M + 0.04%) 7/31/24 ● | 19,745,000 | 19,725,794 | |||||
US Treasury Notes | |||||||
3.50% 9/15/25 | 1,055,000 | 1,028,543 | |||||
4.125% 10/31/27 | 14,730,000 | 14,654,048 | |||||
US Treasury Strip Principal 2.26% 5/15/44 ^ | 43,355,000 | 16,545,191 | |||||
Total US Treasury Obligations (cost $106,675,680) | 86,855,755 | ||||||
Number of shares | |||||||
Common Stocks – 0.05% | |||||||
Communications – 0.00% | |||||||
Century Communications =, † | 7,875,000 | 0 | |||||
0 | |||||||
Transportation – 0.05% | |||||||
Grupo Aeromexico † | 140,061 | 1,279,091 | |||||
1,279,091 | |||||||
Total Common Stocks (cost $2,527,700) | 1,279,091 |
46
Number of shares | Value (US $) | ||||||
Short-Term Investments – 3.24% | |||||||
Money Market Mutual Funds – 3.24% | |||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.87%) | 21,963,307 | $ | 21,963,307 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.87%) | 21,963,307 | 21,963,307 | |||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 3.14%) | 21,963,307 | 21,963,307 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.88%) | 21,963,307 | 21,963,307 | |||||
Total Short-Term Investments (cost $87,853,228) | 87,853,228 | ||||||
Total Value of Securities Before Securities Lending Collateral—101.45% (cost $3,254,539,187) | 2,746,708,671 | ||||||
Securities Lending Collateral** – 1.52% | |||||||
Money Market Mutual Fund – 1.52% | |||||||
Dreyfus Institutional Preference Government Money Market Fund - Institutional Shares (seven-day effective yield 3.17%) | 41,022,418 | 41,022,418 | |||||
Total Securities Lending Collateral (cost $41,022,418) | 41,022,418 | ||||||
Total Value of Securities—102.97% (cost $3,295,561,605) | $ | 2,787,731,089■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at October 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
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. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
47
Schedule of investments
Delaware Diversified Income Fund
♦ | 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. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At October 31, 2022, the aggregate value of Rule 144A securities was $663,493,525, which represents 24.51% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at October 31, 2022. Rate will reset at a future date. |
Ψ | Perpetual security. Maturity date represents next call date. |
* | Fully or partially on loan. |
Δ | Securities have been classified by country of risk. |
~ | 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, 2022. |
‡ | Non-income producing security. Security is currently in default. |
= | 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. |
** | See Note 11 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $39,449,177 of securities loaned. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at October 31, 2022:1
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | |||||||||
BNYM | EUR | (230 | ) | USD | 227 | 11/1/22 | $ | — | |||||
JPMCB | EUR | (2,186,000 | ) | USD | 2,201,371 | 11/18/22 | 38,107 | ||||||
TD | EUR | (15,334,253 | ) | USD | 15,711,287 | 11/18/22 | 536,518 | ||||||
Total Foreign Currency Exchange Contracts | $ | 574,625 |
48
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||||||||||||||||
(1) | Euro-Bobl | $ | (118,264 | ) | $ | (121,741 | ) | 12/8/22 | $ | 3,477 | $ | — | $ | 200 | |||||||||||||
US | |||||||||||||||||||||||||||
Treasury | |||||||||||||||||||||||||||
5 yr | |||||||||||||||||||||||||||
2,438 | Notes | 259,875,562 | 268,313,328 | 12/30/22 | — | (8,437,766 | ) | (1,059,741 | ) | ||||||||||||||||||
US | |||||||||||||||||||||||||||
Treasury | |||||||||||||||||||||||||||
10 yr | |||||||||||||||||||||||||||
1,242 | Notes | 137,357,438 | 137,290,838 | 12/20/22 | 66,600 | — | (831,594 | ) | |||||||||||||||||||
US | |||||||||||||||||||||||||||
Treasury | |||||||||||||||||||||||||||
10 yr | |||||||||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
(352) | Notes | (40,826,502 | ) | (44,148,881 | ) | 12/20/22 | 3,322,379 | — | 225,498 | ||||||||||||||||||
US | |||||||||||||||||||||||||||
Treasury | |||||||||||||||||||||||||||
Long | |||||||||||||||||||||||||||
209 | Bonds | 25,184,500 | 28,685,777 | 12/20/22 | — | (3,501,277 | ) | (156,750 | ) | ||||||||||||||||||
US | |||||||||||||||||||||||||||
Treasury | |||||||||||||||||||||||||||
Long | |||||||||||||||||||||||||||
(6) | Bonds | (723,000 | ) | (823,485 | ) | 12/20/22 | 100,485 | — | 4,500 | ||||||||||||||||||
US | |||||||||||||||||||||||||||
Treasury | |||||||||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
89 | Bonds | 11,361,406 | 13,363,284 | 12/20/22 | — | (2,001,878 | ) | (150,187 | ) | ||||||||||||||||||
Total Futures Contracts | $ | 402,559,120 | $ | 3,492,941 | $ | (13,940,921 | ) | $ | (1,968,074 | ) |
49
Schedule of investments
Delaware Diversified Income Fund
Swap Contracts
CDS Contracts2
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | ||||||||||||||
Over-The-Counter: | |||||||||||||||||||
Protection Purchased/ Moody’s Ratings: | |||||||||||||||||||
JPMCB Mexico 10.375% 1/28/33 Baa2 6/22/26-Quarterly | 5,579,000 | 1.000 | % | $ | 45,812 | $ | 30,368 | $ | 15,444 | ||||||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 6/20/26-Quarterly | 6,783,000 | 1.000 | % | 240,403 | 155,974 | 84,429 | |||||||||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 9/20/27-Quarterly | 1,300,000 | 1.000 | % | 89,740 | 79,830 | 9,910 | |||||||||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 9/20/27-Quarterly | 1,300,000 | 1.000 | % | 89,740 | 78,137 | 11,603 | |||||||||||||
Total CDS Contracts | $ | 465,695 | $ | 344,309 | $ | 121,386 |
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts and foreign currency exchange contract presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1 | See Note 9 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. |
50
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 $(17,456). |
Summary of abbreviations:
BB – Barclays Bank
BNYM – Bank of New York Mellon
CDS – Credit Default Swap
CLO – Collateralized Loan Obligation
DAC – Designated Activity Company
DB – Deutsche Bank
FREMF – Freddie Mac Multifamily
GMTN – Global Medium Term Note
GNMA – Government National Mortgage Association
GS – Goldman Sachs
ICE – Intercontinental Exchange, Inc.
JPM – JPMorgan
JPMCB – JPMorgan Chase Bank
JSC – Joint Stock Company
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR02M – ICE LIBOR USD 2 Month
LIBOR03M – ICE LIBOR USD 3 Month
PJSC – Private Joint Stock Company
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
TBA – To be announced
TD – TD Bank
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
yr – Year
Summary of currencies:
EUR – European Monetary Unit
51
Schedule of investments
Delaware Diversified Income Fund
Summary of currencies: (continued)
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
52
Statement of assets and liabilities | |
Delaware Diversified Income Fund | October 31, 2022 |
Assets: | ||||
Investments, at value*,† | $ | 2,746,708,671 | ||
Short-term investments held as collateral for loaned securities, at value= | 41,022,418 | |||
Cash | 2,882,897 | |||
Cash collateral due from brokers | 8,068,541 | |||
Foreign currencies, at value∆ | 5,878,270 | |||
Receivable for securities sold | 36,011,442 | |||
Dividends and interest receivable | 20,544,221 | |||
Receivable for fund shares sold | 4,615,668 | |||
Unrealized appreciation on foreign currency exchange contracts | 574,625 | |||
Upfront payments paid on over the counter credit default swap contracts | 344,309 | |||
Unrealized appreciation on over the counter credit default swap contracts | 121,386 | |||
Securities lending income receivable | 15,036 | |||
Other assets | 28,006 | |||
Total Assets | 2,866,815,490 | |||
Liabilities: | ||||
Payable for securities purchased | 97,418,105 | |||
Obligation to return securities lending collateral | 41,022,418 | |||
Payable for fund shares redeemed | 15,639,833 | |||
Variation margin due to broker on future contracts | 1,968,074 | |||
Other accrued expenses | 1,195,041 | |||
Cash collateral due to brokers | 920,000 | |||
Investment management fees payable to affiliates | 599,511 | |||
Distribution fees payable to affiliates | 366,727 | |||
Distribution payable | 324,065 | |||
Administration expenses payable to affiliates | 105,677 | |||
Swap payments payable | 8,547 | |||
Total Liabilities | 159,567,998 | |||
Total Net Assets | $ | 2,707,247,492 | ||
Net Assets Consist of: | ||||
Paid-in capital | $ | 3,408,963,295 | ||
Total distributable earnings (loss) | (701,715,803 | ) | ||
Total Net Assets | $ | 2,707,247,492 |
53
Statement of assets and liabilities
Delaware Diversified Income Fund
Net Asset Value | ||||
Class A: | ||||
Net assets | $ | 511,883,454 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 70,120,007 | |||
Net asset value per share | $ | 7.30 | ||
Sales charge | 4.50 | % | ||
Offering price per share, equal to net asset value per share / (1 - sales charge) | $ | 7.64 | ||
Class C: | ||||
Net assets | $ | 46,151,277 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 6,324,023 | |||
Net asset value per share | $ | 7.30 | ||
Class R: | ||||
Net assets | $ | 15,252,763 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,090,594 | |||
Net asset value per share | $ | 7.30 | ||
Institutional Class: | ||||
Net assets | $ | 1,981,547,129 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 271,272,312 | |||
Net asset value per share | $ | 7.30 | ||
Class R6: | ||||
Net assets | $ | 152,412,869 | ||
Shares of beneficial interest outstanding, unlimited authorization, no par | 20,864,762 | |||
Net asset value per share | $ | 7.30 | ||
* Investments, at cost | $ | 3,254,539,187 | ||
† Including securities on loan | 39,449,177 | |||
= Short-term investments held as collateral for loaned securities, at cost | 41,022,418 | |||
∆ Foreign currencies, at cost | 6,134,763 |
See accompanying notes, which are an integral part of the financial statements.
54
Statement of operations | |
Delaware Diversified Income Fund | Year ended October 31, 2022 |
Investment Income: | ||||
Interest | $ | 112,607,853 | ||
Dividends | 843,018 | |||
Securities lending income | 167,280 | |||
Foreign tax withheld | (82,146 | ) | ||
113,536,005 | ||||
Expenses: | ||||
Management fees | 16,163,224 | |||
Distribution expenses — Class A | 1,542,117 | |||
Distribution expenses — Class C | 640,144 | |||
Distribution expenses — Class R | 89,353 | |||
Dividend disbursing and transfer agent fees and expenses | 3,767,884 | |||
Accounting and administration expenses | 526,148 | |||
Reports and statements to shareholders expenses | 484,730 | |||
Legal fees | 201,552 | |||
Trustees’ fees and expenses | 169,701 | |||
Custodian fees | 166,134 | |||
Registration fees | 65,076 | |||
Audit and tax fees | 48,809 | |||
Other | 358,986 | |||
24,223,858 | ||||
Less expenses waived | (6,542,205 | ) | ||
Less expenses paid indirectly | (786 | ) | ||
Total operating expenses | 17,680,867 | |||
Net Investment Income (Loss) | 95,855,138 |
55
Statement of operations
Delaware Diversified Income Fund
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (152,676,530 | ) | |
Foreign currencies | (9,150,172 | ) | ||
Foreign currency exchange contracts | 7,990,839 | |||
Futures contracts | (2,883,802 | ) | ||
Options written | (1,029,146 | ) | ||
Swap contracts | 1,477,269 | |||
Net realized gain (loss) | (156,271,542 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (570,419,603 | ) | ||
Foreign currencies | (374,646 | ) | ||
Foreign currency exchange contracts | (347,986 | ) | ||
Futures contracts | (9,223,497 | ) | ||
Swap contracts | (13,304 | ) | ||
Net change in unrealized appreciation (depreciation) | (580,379,036 | ) | ||
Net Realized and Unrealized Gain (Loss) | (736,650,578 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (640,795,440 | ) |
See accompanying notes, which are an integral part of the financial statements.
56
Statements of changes in net assets
Delaware Diversified Income Fund
Year ended | ||||||||
10/31/22 | 10/31/21 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 95,855,138 | $ | 85,999,477 | ||||
Net realized gain (loss) | (156,271,542 | ) | 53,383,815 | |||||
Net change in unrealized appreciation (depreciation) | (580,379,036 | ) | (63,045,840 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (640,795,440 | ) | 76,337,452 | |||||
Dividends and Distributions to Shareholders from: | ||||||||
Distributable earnings: | ||||||||
Class A | (23,066,930 | ) | (18,967,282 | ) | ||||
Class C | (1,934,727 | ) | (1,862,937 | ) | ||||
Class R | (625,346 | ) | (548,609 | ) | ||||
Institutional Class | (104,246,421 | ) | (80,849,624 | ) | ||||
Class R6 | (7,782,275 | ) | (2,738,331 | ) | ||||
Return of capital: | ||||||||
Class A | (288,676 | ) | — | |||||
Class C | (29,940 | ) | — | |||||
Class R | (8,363 | ) | — | |||||
Institutional Class | (1,212,051 | ) | — | |||||
Class R6 | (88,931 | ) | — | |||||
(139,283,660 | ) | (104,966,783 | ) | |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 78,530,690 | 153,227,523 | ||||||
Class C | 5,302,387 | 11,748,362 | ||||||
Class R | 2,780,118 | 4,314,172 | ||||||
Institutional Class | 651,922,761 | 1,066,676,879 | ||||||
Class R6 | 22,800,364 | 52,334,081 | ||||||
Net assets from merger:1 | ||||||||
Class R6 | — | 159,933,281 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 22,005,751 | 16,471,265 | ||||||
Class C | 1,919,000 | 1,770,649 | ||||||
Class R | 631,046 | 534,388 | ||||||
Institutional Class | 101,807,214 | 75,367,845 | ||||||
Class R6 | 7,409,284 | 2,533,655 | ||||||
895,108,615 | 1,544,912,100 |
57
Statements of changes in net assets
Delaware Diversified Income Fund
Year ended | ||||||||
10/31/22 | 10/31/21 | |||||||
Capital Share Transactions (continued): | ||||||||
Cost of shares redeemed: | ||||||||
Class A | $ | (166,056,657 | ) | $ | (182,345,423 | ) | ||
Class C | (26,446,748 | ) | (83,953,367 | ) | ||||
Class R | (5,697,939 | ) | (9,587,287 | ) | ||||
Institutional Class | (1,321,551,288 | ) | (662,572,994 | ) | ||||
Class R6 | (67,358,062 | ) | (18,106,567 | ) | ||||
(1,587,110,694 | ) | (956,565,638 | ) | |||||
Increase (decrease) in net assets derived from capital share transactions | (692,002,079 | ) | 588,346,462 | |||||
Net Increase (Decrease) in Net Assets | (1,472,081,179 | ) | 559,717,131 | |||||
Net Assets: | ||||||||
Beginning of year | 4,179,328,671 | 3,619,611,540 | ||||||
End of year | $ | 2,707,247,492 | $ | 4,179,328,671 |
1 | See Note 7 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
58
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Financial highlights
Delaware Diversified Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Calculated using average shares outstanding. |
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. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
60
Year ended | |||||||||||||||||||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |||||||||||||||||
$ | 9.17 | $ | 9.23 | $ | 8.85 | $ | 8.19 | $ | 8.74 | ||||||||||||
0.21 | 0.19 | 0.22 | 0.27 | 0.29 | |||||||||||||||||
(1.77 | ) | (0.02 | ) | 0.42 | 0.68 | (0.53 | ) | ||||||||||||||
(1.56 | ) | 0.17 | 0.64 | 0.95 | (0.24 | ) | |||||||||||||||
(0.25 | ) | (0.23 | ) | (0.26 | ) | (0.27 | ) | (0.25 | ) | ||||||||||||
(0.06 | ) | — | 2 | — | — | — | |||||||||||||||
— | 2 | — | — | (0.02 | ) | (0.06 | ) | ||||||||||||||
(0.31 | ) | (0.23 | ) | (0.26 | ) | (0.29 | ) | (0.31 | ) | ||||||||||||
$ | 7.30 | $ | 9.17 | $ | 9.23 | $ | 8.85 | $ | 8.19 | ||||||||||||
(17.34% | ) | 1.90% | 7.37% | 11.82% | 4 | (2.77% | ) | ||||||||||||||
$ | 511,883 | $ | 716,494 | $ | 733,935 | $ | 751,229 | $ | 734,630 | ||||||||||||
0.70% | 0.69% | 0.69% | 0.70% | 0.77% | |||||||||||||||||
0.89% | 0.86% | 0.86% | 0.88% | 0.87% | |||||||||||||||||
2.57% | 2.04% | 2.47% | 3.16% | 3.37% | |||||||||||||||||
2.38% | 1.87% | 2.30% | 2.98% | 3.27% | |||||||||||||||||
106% | 198% | 112% | 167% | 122% |
61
Financial highlights
Delaware Diversified Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Calculated using average shares outstanding. |
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. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
62
Year ended | ||||||||||||||||||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | ||||||||||||||||
$ | 9.17 | $ | 9.22 | $ | 8.85 | $ | 8.19 | $ | 8.74 | |||||||||||
0.15 | 0.12 | 0.15 | 0.20 | 0.22 | ||||||||||||||||
(1.77 | ) | (0.01 | ) | 0.41 | 0.69 | (0.52 | ) | |||||||||||||
(1.62 | ) | 0.11 | 0.56 | 0.89 | (0.30 | ) | ||||||||||||||
(0.19 | ) | (0.16 | ) | (0.19 | ) | (0.21 | ) | (0.19 | ) | |||||||||||
(0.06 | ) | — | 2 | — | — | — | ||||||||||||||
— | 2 | — | — | (0.02 | ) | (0.06 | ) | |||||||||||||
(0.25 | ) | (0.16 | ) | (0.19 | ) | (0.23 | ) | (0.25 | ) | |||||||||||
$ | 7.30 | $ | 9.17 | $ | 9.22 | $ | 8.85 | $ | 8.19 | |||||||||||
(17.96% | ) | 1.25% | 6.45% | 10.99% | 4 | (3.49% | ) | |||||||||||||
$ | 46,151 | $ | 79,733 | $ | 149,707 | $ | 250,652 | $ | 382,168 | |||||||||||
1.45% | 1.44% | 1.44% | 1.45% | 1.52% | ||||||||||||||||
1.64% | 1.61% | 1.61% | 1.63% | 1.62% | ||||||||||||||||
1.82% | 1.29% | 1.72% | 2.41% | 2.62% | ||||||||||||||||
1.63% | 1.12% | 1.55% | 2.23% | 2.52% | ||||||||||||||||
106% | 198% | 112% | 167% | 122% |
63
Financial highlights
Delaware Diversified Income Fund Class R
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Calculated using average shares outstanding. |
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. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
64
Year ended | ||||||||||||||||||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | ||||||||||||||||
$ | 9.17 | $ | 9.22 | $ | 8.85 | $ | 8.19 | $ | 8.73 | |||||||||||
0.19 | 0.17 | 0.20 | 0.25 | 0.27 | ||||||||||||||||
(1.77 | ) | (0.01 | ) | 0.41 | 0.68 | (0.52 | ) | |||||||||||||
(1.58 | ) | 0.16 | 0.61 | 0.93 | (0.25 | ) | ||||||||||||||
(0.23 | ) | (0.21 | ) | (0.24 | ) | (0.25 | ) | (0.23 | ) | |||||||||||
(0.06 | ) | — | 2 | — | — | — | ||||||||||||||
— | 2 | — | — | (0.02 | ) | (0.06 | ) | |||||||||||||
(0.29 | ) | (0.21 | ) | (0.24 | ) | (0.27 | ) | (0.29 | ) | |||||||||||
$ | 7.30 | $ | 9.17 | $ | 9.22 | $ | 8.85 | $ | 8.19 | |||||||||||
(17.55% | ) | 1.76% | 6.99% | 11.54% | 4 | (2.90% | ) | |||||||||||||
$ | 15,253 | $ | 21,563 | $ | 26,403 | $ | 36,082 | $ | 46,060 | |||||||||||
0.95% | 0.94% | 0.94% | 0.95% | 1.02% | ||||||||||||||||
1.14% | 1.11% | 1.11% | 1.13% | 1.12% | ||||||||||||||||
2.32% | 1.79% | 2.22% | 2.91% | 3.12% | ||||||||||||||||
2.13% | 1.62% | 2.05% | 2.73% | 3.02% | ||||||||||||||||
106% | 198% | 112% | 167% | 122% |
65
Financial highlights
Delaware Diversified Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Calculated using average shares outstanding. |
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. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
66
Year ended | ||||||||||||||||||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | ||||||||||||||||
$ | 9.18 | $ | 9.23 | $ | 8.86 | $ | 8.20 | $ | 8.74 | |||||||||||
0.23 | 0.21 | 0.25 | 0.29 | 0.31 | ||||||||||||||||
(1.78 | ) | (0.01 | ) | 0.40 | 0.68 | (0.52 | ) | |||||||||||||
(1.55 | ) | 0.20 | 0.65 | 0.97 | (0.21 | ) | ||||||||||||||
(0.27 | ) | (0.25 | ) | (0.28 | ) | (0.29 | ) | (0.27 | ) | |||||||||||
(0.06 | ) | — | 2 | — | — | — | ||||||||||||||
— | 2 | — | — | (0.02 | ) | (0.06 | ) | |||||||||||||
(0.33 | ) | (0.25 | ) | (0.28 | ) | (0.31 | ) | (0.33 | ) | |||||||||||
$ | 7.30 | $ | 9.18 | $ | 9.23 | $ | 8.86 | $ | 8.20 | |||||||||||
(17.22% | ) | 2.27% | 7.52% | 12.09% | 4 | (2.41% | ) | |||||||||||||
$ | 1,981,547 | $ | 3,129,804 | $ | 2,671,510 | $ | 2,619,167 | $ | 2,886,234 | |||||||||||
0.45% | 0.44% | 0.44% | 0.45% | 0.52% | ||||||||||||||||
0.64% | 0.61% | 0.61% | 0.63% | 0.62% | ||||||||||||||||
2.82% | 2.29% | 2.72% | 3.41% | 3.62% | ||||||||||||||||
2.63% | 2.12% | 2.55% | 3.23% | 3.52% | ||||||||||||||||
106% | 198% | 112% | 167% | 122% |
67
Financial highlights
Delaware Diversified Income Fund Class R6
Selected data for each share of the Fund outstanding throughout each period were as follows:
Net asset value, beginning of period |
Income (loss) from investment operations: |
Net investment income1 |
Net realized and unrealized gain (loss) |
Total from investment operations |
Less dividends and distributions from: |
Net investment income |
Net realized gain |
Return of capital |
Total dividends and distributions |
Net asset value, end of period |
Total return3 |
Ratios and supplemental data: |
Net assets, end of period (000 omitted) |
Ratio of expenses to average net assets5 |
Ratio of expenses to average net assets prior to fees waived5 |
Ratio of net investment income to average net assets |
Ratio of net investment income to average net assets prior to fees waived |
Portfolio turnover |
1 | Calculated using average shares outstanding. |
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. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.31% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
68
Year ended | ||||||||||||||||||||
10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | ||||||||||||||||
$ | 9.18 | $ | 9.23 | $ | 8.86 | $ | 8.20 | $ | 8.74 | |||||||||||
0.24 | 0.22 | 0.25 | 0.30 | 0.31 | ||||||||||||||||
(1.78 | ) | (0.01 | ) | 0.41 | 0.68 | (0.51 | ) | |||||||||||||
(1.54 | ) | 0.21 | 0.66 | 0.98 | (0.20 | ) | ||||||||||||||
(0.28 | ) | (0.26 | ) | (0.29 | ) | (0.30 | ) | (0.28 | ) | |||||||||||
(0.06 | ) | — | 2 | — | — | — | ||||||||||||||
— | 2 | — | — | (0.02 | ) | (0.06 | ) | |||||||||||||
(0.34 | ) | (0.26 | ) | (0.29 | ) | (0.32 | ) | (0.34 | ) | |||||||||||
$ | 7.30 | $ | 9.18 | $ | 9.23 | $ | 8.86 | $ | 8.20 | |||||||||||
(17.15% | ) | 2.35% | 7.61% | 12.18% | 4 | (2.33% | ) | |||||||||||||
$ | 152,413 | $ | 231,735 | $ | 38,057 | $ | 23,584 | $ | 17,835 | |||||||||||
0.36% | 0.36% | 0.36% | 0.36% | 0.44% | ||||||||||||||||
0.55% | 0.53% | 0.53% | 0.54% | 0.54% | ||||||||||||||||
2.91% | 2.37% | 2.80% | 3.50% | 3.70% | ||||||||||||||||
2.72% | 2.20% | 2.63% | 3.32% | 3.60% | ||||||||||||||||
106% | 198% | 112% | 167% | 122% |
69
Notes to financial statements | |
Delaware Diversified Income Fund | October 31, 2022 |
Delaware Group® Adviser Funds (Trust) is organized as a Delaware statutory trust and offers one series: Delaware Diversified Income Fund (Fund). The Trust is an open-end investment company. The Fund is considered diversified under the Investment Company Act of 1940, as amended, and offers Class A, Class C, Class R, Institutional Class, and Class R6 shares. Class A shares are sold with a maximum front-end sales charge of 4.50%. There is no front-end sales charge when you purchase $1,000,000 or more of Class A shares. However, if Delaware Distributors, L.P. (DDLP) paid your financial intermediary a commission on your purchase of $1,000,000 or more of Class A shares, for shares purchased prior to July 1, 2020, you will have to pay a limited contingent deferred sales charge (Limited CDSC) of 1.00% if you redeem these shares within the first year after your purchase and 0.50% if you redeem these shares within the second year; or for shares purchased on or after July 1, 2020, you will have to pay a Limited CDSC of 1.00% if you redeem these shares within the first 18 months after your purchase, unless a specific waiver of the Limited CDSC applies. Class C shares have no upfront sales charge, but are sold with a contingent deferred sales charge (CDSC) of 1.00%, which will be incurred if redeemed during the first 12 months. Class R, Institutional Class, and Class R6 shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Class R6 shares do not pay any service fees, sub-accounting fees, and/or sub-transfer agency fees to any brokers, dealers, or other financial intermediaries.
1. Significant Accounting Policies
The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Fund.
Security Valuation — Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap options contracts (swaptions) and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable
70
quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Open-end investment companies are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Fund’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities that are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken or expected to be taken on the Fund’s federal income tax returns through the year ended October 31, 2022 and for all open tax years (years ended October 31, 2019–October 31, 2021), 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, 2022, the Fund did not incur any interest or tax penalties.
Class Accounting — Investment income and common expenses are allocated to the various classes of the Fund on the basis of “settled shares” of each class in relation to the net assets of the Fund. Realized and unrealized gain (loss) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class. Class R6 shares will not be allocated any expenses related to service fees, sub-accounting fees, and/or sub-transfer agency fees paid to brokers, dealers, or other financial intermediaries.
71
Notes to financial statements
Delaware Diversified Income Fund
1. Significant Accounting Policies (continued)
To Be Announced Trades (TBA) — The Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Fund on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery. At October 31, 2022, the Fund posted $213,000 cash collateral for TBA trades from The Bank of New York Mellon (BNY Mellon), which is included in “Cash collateral due from brokers” on the “Statement of assets and liabilities.”
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Fund’s prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Fund generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), attributable to changes in foreign exchange rates, is included on the “Statement of operations” under “Net realized gain (loss) on foreign currencies.” The Fund reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Derivative Financial Instruments - The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Fund must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
72
Segregation and Collateralizations - In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Fund may deliver collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged/received to cover obligations of the Fund under derivative contracts, if any, will be reported separately on the “Statement of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedule of investments.”
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such fund on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Income and capital gain distributions from any investment companies (Underlying Funds) in which the Fund invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Withholding taxes and reclaims on foreign interest have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The Fund may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Fund will accrue such taxes as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. The Fund declares dividends daily from net investment income and pays the dividends monthly and declares and pays dividends from net realized gain on investments, if any, annually. The Fund may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than
73
Notes to financial statements
Delaware Diversified Income Fund
1. Significant Accounting Policies (continued)
$1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.”
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.55% on the first $500 million of average daily net assets of the Fund, 0.50% on the next $500 million, 0.45% on the next $1.5 billion, and 0.425% on average daily net assets in excess of $2.5 billion.
DMC may permit its affiliates, Macquarie Investment Management Global Limited (MIMGL) and Macquarie Funds Management Hong Kong Limited (together, the “Affiliated Sub-Advisors”), to execute Fund equity security trades on its behalf. DMC may also seek quantitative support from MIMGL. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Fund, may pay each Affiliated Sub- Advisor a portion of its investment management fee.
DMC has contractually agreed to waive all or a portion of its investment advisory fee and/or pay/ reimburse 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) in order to prevent total annual fund operating expenses from exceeding 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, 2021 through October 31, 2022.* 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 only be terminated by agreement of DMC and the Fund. The waivers and reimbursements are accrued daily and received monthly.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis.
74
This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the year ended October 31, 2022, the Fund paid $149,114 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Fund. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of the retail funds within the Delaware Funds at the following annual rates: 0.014% of the first $20 billion; 0.011% of the next $5 billion; 0.007% of the next $5 billion; 0.004% of the next $20 billion; 0.002% of the next $25 billion; and 0.0015% of average daily net assets in excess of $75 billion. The fees payable to DIFSC under the shareholder services agreement described above are allocated among all retail funds in the Delaware Funds on a relative NAV basis. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the year ended October 31, 2022, the Fund paid $305,883 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Fund. Sub-transfer agency fees are paid by the Fund and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Fund pays DDLP, the distributor and an affiliate of DMC, annual 12b-1 fees of 0.25%, 1.00%, and 0.50% of the average daily net assets of the Class A, Class C, and Class R shares, respectively. The fees are calculated daily and paid monthly. Institutional Class and Class R6 shares do not pay a 12b-1 fee.
As provided in the investment management agreement, the Fund bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Fund. For the year ended October 31, 2022, the Fund paid $98,403 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
For the year ended October 31, 2022, DDLP earned $7,777 for commissions on sales of the Fund’s Class A shares. For the year ended October 31, 2022, DDLP received gross CDSC commissions of $10,885 and $6,960 on redemptions of the Fund’s Class A and Class C shares, respectively, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Fund.
In addition to the management fees and other expenses of the Fund, the Fund indirectly bears the investment management fees and other expenses of any Underlying Funds in which it invests. The amount of these fees and expenses incurred indirectly by the Fund will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
75
Notes to financial statements
Delaware Diversified Income Fund
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
* | The aggregate contractual waiver period covering this report is from February 26, 2021 through February 28, 2023. |
3. Investments
For the year ended October 31, 2022, the Fund made purchases and sales of investment securities other than short-term investments as follows:
Purchases other than US government securities | $ | 1,027,528,179 | ||
Purchases of US government securities | 2,529,125,394 | |||
Sales other than US government securities | 1,217,703,407 | |||
Sales of US government securities | 2,924,777,514 |
The tax cost of investments and derivatives includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be the final tax cost basis adjustments but which approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. At October 31, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes for the Fund were as follows:
Cost of investments and derivatives | $ | 3,297,943,474 | ||
Aggregate unrealized appreciation of investments and derivatives | $ | 14,465,346 | ||
Aggregate unrealized depreciation of investments and derivatives | (534,429,700 | ) | ||
Net unrealized depreciation of investments and derivatives | $ | (519,964,354 | ) |
US GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Fund’s
76
investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 | – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 | – | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of October 31, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 88,737,793 | $— | $ | 88,737,793 | |||||||||
Agency Commercial Mortgage-Backed Securities | — | 5,483,355 | — | 5,483,355 | ||||||||||||
Agency Mortgage-Backed Securities | — | 595,592,224 | — | 595,592,224 | ||||||||||||
Collateralized Debt Obligations | — | 46,960,064 | — | 46,960,064 | ||||||||||||
Common Stocks | 1,279,091 | — | — | 1 | 1,279,091 | |||||||||||
Convertible Bonds | — | 17,888,780 | — | 17,888,780 | ||||||||||||
Corporate Bonds | — | 1,280,222,978 | — | 1,280,222,978 | ||||||||||||
Loan Agreements | — | 101,824,747 | — | 101,824,747 | ||||||||||||
Municipal Bonds | — | 13,237,776 | — | 13,237,776 | ||||||||||||
Non-Agency Asset-Backed Securities | — | 47,927,543 | — | 47,927,543 |
77
Notes to financial statements
Delaware Diversified Income Fund
3. Investments (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Non-Agency Collateralized Mortgage Obligations | $ | — | $ | 68,315,099 | $— | $ | 68,315,099 | |||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 260,881,266 | — | 260,881,266 | ||||||||||||
Sovereign Bonds | — | 43,648,972 | — | 43,648,972 | ||||||||||||
US Treasury Obligations | — | 86,855,755 | — | 86,855,755 | ||||||||||||
Short-Term Investments | 87,853,228 | — | — | 87,853,228 | ||||||||||||
Securities Lending Collateral | 41,022,418 | — | — | 41,022,418 | ||||||||||||
Total Value of Securities | $ | 130,154,737 | $ | 2,657,576,352 | $— | $ | 2,787,731,089 | |||||||||
Derivatives2 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 574,625 | $— | $ | 574,625 | |||||||||
Futures Contracts | 3,492,941 | — | — | 3,492,941 | ||||||||||||
OTC Credit Default Swaps | — | 121,386 | — | 121,386 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | $ | (13,940,921 | ) | $ | — | $— | $ | (13,940,921 | ) |
1 | The securities that have been valued at zero on the “Schedule of investments” are considered to be Level 3 investments in this table. |
2 | Foreign currency exchange contracts, futures contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end. |
During the year ended October 31, 2022, there were no transfers into or out of Level 3 investments. The Fund’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to the Fund’s net assets at the beginning or end of the year. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to the Fund’s net assets at the end of the year.
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4. Dividend and Distribution Information
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP. Additionally, distributions from net gains on foreign currency transactions and net short-term gains on sales of investment securities are treated as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the years ended October 31, 2022 and 2021 were as follows:
Year ended | |||||||
10/31/22 | 10/31/21 | ||||||
Ordinary income | $ | 114,710,544 | $ | 104,966,783 | |||
Long-term capital gains | 22,945,155 | — | |||||
Return of capital | 1,627,961 | — | |||||
Total | $ | 139,283,660 | $ | 104,966,783 |
5. Components of Net Assets on a Tax Basis
As of October 31, 2022, the components of net assets on a tax basis were as follows:
Shares of beneficial interest | $ | 3,408,963,295 | ||
Distributions payable | (324,065 | ) | ||
Capital loss carryforwards | (181,427,384 | ) | ||
Unrealized depreciation of investments, foreign currencies, and | ||||
derivatives | (519,964,354 | ) | ||
Net assets | $ | 2,707,247,492 |
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales, mark-to-market of foreign currency exchange contracts, mark-to-market of swap contracts, mark-to-market of futures contracts, tax deferral of straddles losses, and market discount and premium on debt instruments.
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Results of operations and net assets were not affected by these reclassifications. For the year ended October 31, 2022, the Fund had no reclassifications.
At October 31, 2022, capital loss carryforwards available to offset future realized capital gains are as follows:
Loss carryforward character | ||||||||||||
Short-term | Long-term | Total | ||||||||||
$ | 101,343,801 | $ | 80,083,583 | $ | 181,427,384 |
79
Notes to financial statements
Delaware Diversified Income Fund
6. Capital Shares
Transactions in capital shares were as follows:
Year ended | ||||||||
10/31/22 | 10/31/21 | |||||||
Shares sold: | ||||||||
Class A | 9,350,545 | 16,454,475 | ||||||
Class C | 622,663 | 1,264,410 | ||||||
Class R | 335,176 | 465,089 | ||||||
Institutional Class | 78,513,554 | 114,933,678 | ||||||
Class R6 | 2,774,201 | 5,625,914 | ||||||
Shares from merger:1 | ||||||||
Class R6 | — | 17,178,655 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class A | 2,648,564 | 1,776,189 | ||||||
Class C | 229,257 | 190,437 | ||||||
Class R | 75,911 | 57,606 | ||||||
Institutional Class | 12,209,855 | 8,121,337 | ||||||
Class R6 | 889,088 | 273,792 | ||||||
107,648,814 | 166,341,582 | |||||||
Shares redeemed: | ||||||||
Class A | (20,003,538 | ) | (19,648,722 | ) | ||||
Class C | (3,224,445 | ) | (8,988,650 | ) | ||||
Class R | (673,021 | ) | (1,033,398 | ) | ||||
Institutional Class | (160,502,371 | ) | (71,351,905 | ) | ||||
Class R6 | (8,049,672 | ) | (1,949,255 | ) | ||||
(192,453,047 | ) | (102,971,930 | ) | |||||
Net increase (decrease) | (84,804,233 | ) | 63,369,652 |
1 | See Note 7. |
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Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table above and on the “Statements of changes in net assets.” For the years ended October 31, 2022 and October 31, 2021, the Fund had the following exchange transactions:
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 | ||||||||||||||||||||||||||||
10/31/22 | 106,750 | 40,679 | 868,077 | 46,615 | 106,747 | 862,775 | $ | 8,033,059 | ||||||||||||||||||||
10/31/21 | 161,173 | 274,887 | 756,347 | 274,816 | 141,687 | 777,123 | 11,206,874 |
7. Reorganization
On February 24, 2021, the Board approved a proposal to reorganize (the “Reorganization”) Macquarie Core Plus Bond Portfolio (the “Acquired Fund”), a series of Macquarie Institutional Portfolios, with and into Delaware Diversified Income Fund (the “Acquiring Fund”), a series of the Trust. Pursuant to an Agreement and Plan of Reorganization (the “Plan”): (i) all of the property, assets, and goodwill of the Acquired Fund were acquired by the Acquiring Fund, and (ii) the Trust, on behalf of the Acquiring Fund, assumed the liabilities of the Acquired Fund, in exchange for shares of the Acquiring Fund. In accordance with the Plan, the Acquired Fund liquidated and dissolved following the Reorganization. The purpose of the transaction was to allow shareholders of the Acquired Fund to own shares of the Acquiring Fund, a fund with a similar investment objective and style as, and potentially lower net expenses than the Acquired Fund. The Reorganization was accomplished by a tax-free exchange of shares on July 23, 2021. For financial reporting purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The share transactions associated with the Reorganization are as follows:
Acquired Fund Net Assets | Acquired Fund Shares Outstanding | Shares Converted to Acquiring Fund | Acquiring Fund Net Assets | Conversion Ratio | ||||||||||||
Macquarie Core Plus Bond Portfolio - Portfolio Class | Delaware Diversified Income Fund - Class R6 | |||||||||||||||
$159,933,281 | 15,712,373 | 17,178,655 | $63,938,093 | 1.0933 |
The net assets of the Acquiring Fund before the Reorganization were $3,949,385,507. The net assets of the Acquiring Fund immediately following the Reorganization were $4,109,318,788.
81
Notes to financial statements
Delaware Diversified Income Fund
7. Reorganization (continued)
Assuming the Reorganization had been completed on November 1, 2020, the Acquiring Fund’s pro forma results of operations for the year ended October 31, 2021, would have been as follows:
Net investment income | $ | 88,918,474 | ||
Net realized gain on investments | 54,945,611 | |||
Net change in unrealized appreciation (depreciation) | (62,849,732 | ) | ||
Net increase in net assets resulting from operations | $ | 81,014,353 |
8. Line of Credit
The Fund, along with certain other funds in the Delaware Funds (Participants), was a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants were charged an annual commitment fee of 0.15%, which was allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants were permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant was individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expired on October 31, 2022.
On October 31, 2022, the Fund, along with the other Participants, entered into an amendment to the agreement for a $355,000,000 revolving line of credit to be used as described above. It operates substantially the same manner as the Original Agreement. Under the amendment to the agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The line of credit available under the agreement expires on October 30, 2023.
The Fund had no amounts outstanding as of October 31, 2022, or at any time during the year then ended.
9. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — The Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Fund may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Fund may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Fund may enter into these contracts to facilitate or expedite
82
the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the year ended October 31, 2022, the Fund entered into foreign currency exchange contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies to increase/decrease exposure to foreign currencies.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Fund may use futures contracts in the normal course of pursuing its investment objective. The Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. At October 31, 2022, the Fund posted $7,855,541 in cash collateral for open futures contracts, which is included in “Cash collateral due from brokers” on the “Statement of assets and liabilities.”
83
Notes to financial statements
Delaware Diversified Income Fund
9. Derivatives (continued)
During the year ended October 31, 2022, the Fund entered into futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts — The Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. No options contracts were outstanding at October 31, 2022.
During the year ended October 31, 2022, the Fund used options contracts to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions.
Swap Contracts — The Fund may enter into interest rate swap contracts and CDS contracts in the normal course of pursuing its investment objective. The Fund may enter into interest rate swaps to manage its sensitivity to interest rates or to hedge against changes in interest rates. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at least BBB- by Standard & Poor’s Financial Services LLC (S&P) or Baa3 by Moody’s Investors Service, Inc. (Moody’s) or is determined to be of equivalent credit quality by DMC.
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of
84
protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the year ended October 31, 2022, the Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for centrally cleared CDS basket trades, as determined by the applicable central counterparty.
CDS contracts may involve greater risks than if the Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Fund’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty, and (2) for cleared swaps, trading these instruments through a central counterparty.
During the year ended October 31, 2022, the Fund entered into CDS contracts to hedge against credit events and to gain exposure to certain securities or markets.
Swaps Generally. For centrally cleared swaps, payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The value of open swaps may differ from that which would be realized in the event the Fund terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument, or basket of
85
Notes to financial statements
Delaware Diversified Income Fund
9. Derivatives (continued)
instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedule of investments.”
At October 31, 2022, the Fund received $920,000 in cash collateral for open over-the-counter credit default swap contracts, which is included in “Cash collateral due to brokers” on the “Statement of assets and liabilities.”
Fair values of derivative instruments as of October 31, 2022 were as follows:
Asset Derivatives Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Credit Contracts | Total | ||||||||||||
Unrealized appreciation on foreign currency exchange contracts | $ | 574,625 | $ | — | $ | — | $ | 574,625 | ||||||||
Variation margin due from broker on futures contracts* | — | 3,492,941 | — | 3,492,941 | ||||||||||||
Unrealized appreciation on over the counter credit default swap contracts | — | — | 121,386 | 121,386 | ||||||||||||
Total | $ | 574,625 | $ | 3,492,941 | $ | 121,386 | $ | 4,188,952 |
Liability Derivatives Fair Value | ||||||||
Statement of Assets and Liabilities Location | Interest Rate Contracts | Total | ||||||
Variation margin due to broker on futures contracts* | $ | (13,940,921 | ) | $ | (13,940,921 | ) |
* | Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through October 31, 2022. Only current day variation margin is reported on the Fund’s “Statement of assets and liabilities.” |
86
The effect of derivative instruments on the “Statement of operations” for the year ended October 31, 2022 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Written | Swap Contracts | Total | ||||||||||||||||
Currency contracts | $ | 7,990,839 | $ | — | $ | (1,029,146 | ) | $ | — | $ | 6,961,693 | |||||||||
Interest rate contracts | — | (2,883,802 | ) | — | — | (2,883,802 | ) | |||||||||||||
Credit contracts | — | — | — | 1,477,269 | 1,477,269 | |||||||||||||||
Total | $ | 7,990,839 | $ | (2,883,802 | ) | $ | (1,029,146 | ) | $ | 1,477,269 | $ | 5,555,160 |
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Swap Contracts | Total | |||||||||||||
Currency contracts | $ | (347,986 | ) | $ | — | $ | — | $ | (347,986 | ) | ||||||
Interest rate contracts | — | (9,223,497 | ) | — | (9,223,497 | ) | ||||||||||
Credit contracts | — | — | (13,304 | ) | (13,304 | ) | ||||||||||
Total | $ | (347,986 | ) | $ | (9,223,497 | ) | $ | (13,304 | ) | $ | (9,584,787 | ) |
The table below summarizes the average daily balance of derivative holdings by the Fund during the year ended October 31, 2022:
Long Derivative Volume | Short Derivative Volume | |||||||
Foreign currency exchange contracts (average notional value) | USD | 80,825 | USD | 50,137,214 | ||||
Futures contracts (average notional value) | 312,710,537 | 146,880,761 | ||||||
Options contracts (average value)* | 362,972 | 157,309 | ||||||
CDS contracts (average notional value)** | EUR | — | EUR | 4,567,262 | ||||
CDS contracts (average notional value)** | USD | 12,754,063 | USD | 734,014 |
* | Long represents purchased options and short represents written options. |
** | Long represents buying protection and short represents selling protection. |
10. Offsetting
The Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master
87
Notes to financial statements
Delaware Diversified Income Fund
10. Offsetting (continued)
Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statement of assets and liabilities.”
At October 31, 2022, the Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||||||||||
JPMorgan Chase Bank | $ | 159,493 | — | $ | 159,493 | |||||||||
TD Bank | 536,518 | — | 536,518 | |||||||||||
Total | $ | 696,011 | — | $ | 696,011 |
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 | $ | 159,493 | $— | $ | (159,493 | ) | $— | $— | $ | — | ||||||||||||||||
TD Bank | 536,518 | — | (430,000 | ) | — | — | 106,518 | |||||||||||||||||||
Total | $ | 696,011 | $— | $ | (589,493 | ) | $— | $— | $ | 106,518 |
Securities Lending
Securities lending transactions are entered into by the Fund under master securities lending agreements (each, an MSLA) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral (see also Note 11).
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As of October 31, 2022, the following table is a summary of the Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Received | Net Collateral Received | Net Exposure(b) | ||||||||||||||||
Bank of New York Mellon | $39,449,177 | $(39,449,177 | ) | $— | $(39,449,177 | ) | $— |
(a) | The value of the related collateral exceeded the value of the derivatives and securities lending transactions as of October 31, 2022, as applicable. |
(b) | Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
11. Securities Lending
The Fund, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with BNY Mellon. At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each fund of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other
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Notes to financial statements
Delaware Diversified Income Fund
11. Securities Lending (continued)
bank obligations; certain money market funds; and asset-backed securities. The Fund can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.
The Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Fund’s cash collateral account may be less than the amount the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2022:
Securities Lending Transactions | Overnight and continuous | Under 30 days | Between 30 & 90 days | Over 90 Days | Total | |||||||||||||||
Money Market Mutual Fund | $41,022,418 | $— | $— | $— | $41,022,418 |
At October 31, 2022, the value of securities on loan was $39,449,177, for which the Fund received cash collateral of $41,022,418. Investments purchased with cash collateral are presented on the “Schedule of investments” under the caption “Securities Lending Collateral.”
12. Credit and Market Risk
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and
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lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
Beginning in late February 2022, global financial markets have experienced and may continue to experience significant volatility related to military action by Russia in Ukraine. As a result of this military action, the US and many other countries have imposed sanctions on Russia and certain Russian individuals, banks and corporations. The ongoing hostilities and resulting sanctions are expected to have a severe adverse effect on the region’s economies and more globally, including significant negative impact on markets for certain securities and commodities, such as oil and natural gas. Any cessation of trading on the Russian securities markets will impact the value and liquidity of certain portfolio holdings. The extent and duration of military action, sanctions, and resulting market disruptions are impossible to predict, but could be substantial and prolonged and impact the Fund’s performance.
When interest rates rise, fixed income securities (i.e., debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
The Fund invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages or consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including
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Notes to financial statements
Delaware Diversified Income Fund
12. Credit and Market Risk (continued)
prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Fund invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by S&P and Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Some countries in which the Fund may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Fund may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Fund.
The Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that
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such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high-grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
The Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended (1933 Act), and other securities which may not be readily marketable. The Fund may also invest in securities exempt from registration under Section (4)(a)(2) of the 1933 Act, which exempts from registration transactions by an issuer not involving any public offering. The relative illiquidity of these securities may impair the Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Fund’s limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Fund’s 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
13. Contractual Obligations
The Fund enters into contracts in the normal course of business that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.
14. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of
93
Notes to financial statements
Delaware Diversified Income Fund
14. Recent Accounting Pronouncements (continued)
LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating ASU 2020-04, but does not believe there will be a material impact.
15. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to October 31, 2022, that would require recognition or disclosure in the Fund’s financial statements.
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Report of independent
registered public accounting firm
To the Board of Trustees of Delaware Group® Adviser Funds and Shareholders of Delaware Diversified Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Delaware Diversified Income Fund (one of the series constituting Delaware Group® Adviser Funds, referred to hereafter as the “Fund”) as of October 31, 2022, the related statement of operations for the year ended October 31, 2022, the statements of changes in net assets for each of the two years in the period ended October 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2022 and the financial highlights for each of the five years in the period ended October 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2022 by correspondence with the custodian, transfer agents, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2022
We have served as the auditor of one or more investment companies in Delaware Funds by Macquarie® since 2010.
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Other Fund information (Unaudited)
Delaware Diversified Income Fund
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Fund has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Fund in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Fund’s liquidity risk; (2) classification of each of the Fund’s portfolio holdings into one of four liquidity categories (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).
In assessing and managing the Fund’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Fund during both normal and reasonably foreseeable stressed conditions; and (3) the Fund’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Fund’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Fund primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 17-19, 2022, the Program Administrator provided the required written annual report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2021 through March 31, 2022. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Fund’s liquidity needs. The Fund’s HLIM is set at an appropriate level and the Fund complied with its HLIM at all times during the reporting period.
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Tax Information
The information set forth below is for the Fund’s fiscal year as required by federal income tax laws. Shareholders, however, must report distributions on a calendar year basis for income tax purposes, which may include distributions for portions of two fiscal years of the Fund. Accordingly, the information needed by shareholders for income tax purposes will be sent to them in January of each year. Please consult your tax advisor for proper treatment of this information.
All disclosures are based on financial information available as of the date of this annual report and, accordingly are subject to change. For any and all items requiring reporting, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For the fiscal year ended October 31, 2022, the Fund reports distributions paid during the year as follows:
(A) Long-Term Capital Gains Distributions (Tax Basis) | 16.47 | % | ||
(B) Ordinary Income Distributions (Tax Basis) | 82.36 | % | ||
(C) Return of Capital (Tax Basis) | 1.17 | % | ||
Total Distributions (Tax Basis) | 100.00 | % |
(A), (B) and (C) is based on a percentage of the Fund’s total distributions.
For the fiscal year ended October 31, 2022, certain interest income paid by the Fund, determined to be Qualified Interest Income may be subject to relief from US withholding for foreign shareholders, as provided by the American Jobs Creation Act of 2004; the Tax Relief Unemployment Insurance Reauthorization, and Job Creations Act of 2010; and as extended by the American Taxpayer Relief Act of 2012. For the year ended October 31, 2022, the Fund has reported maximum distributions of Qualified Interest Income of $101,491,773.
The percentage of the ordinary dividends reported is treated as a Section 163(j) interest dividend and thus is eligible to be treated as interest income for purposes of Section 163(j) and the regulations thereunder is 90.29%.
Board Consideration of Investment Management Agreement and Sub-Advisory Agreements at a Meeting Held on August 9-11, 2022
At a meeting held on August 9-11, 2022 (the “Annual Contract Renewal Meeting”), the Board of Trustees (the “Board”), including a majority of Trustees each of whom is not an “interested person” as defined under the Investment Company Act of 1940 (the “Independent Trustees”), approved the renewal of the Delaware Diversified Income Fund (the “Fund”) Investment Management Agreement with Delaware Management Company (“DMC”); and the Sub-Advisory Agreements with Macquarie Investment Management Global Limited (“MIMGL”), Macquarie
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Other Fund information (Unaudited)
Delaware Diversified Income Fund
Board Consideration of Investment Management Agreement and Sub-Advisory Agreements at a Meeting Held on August 9-11, 2022 (continued)
Investment Management Austria Kapitalanlage AG (“MIMAK”), and Macquarie Investment Management Europe Limited (“MIMEL” and together with MIMGL and MIMAK, the “Affiliated Sub-Advisers”).
Prior to the Meeting, including at a Board meeting held in May 2022, the Trustees conferred extensively among themselves and with representatives of DMC about these matters. Also, the Board was assisted by the applicable Investment Committee, with each Investment Committee assisting the full Board in the discharge of its duties in reviewing investment performance and other matters throughout the year. The Independent Trustees were assisted in their evaluation of the Investment Management Agreement and the Sub-Advisory Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately.
In providing information to the Board, DMC was guided by a detailed set of requests for information submitted to them by independent legal counsel on behalf of the Independent Trustees at the start of the Board’s annual contract renewal process earlier in 2022. In considering and approving the Investment Management Agreement and the Sub-Advisory Agreements, the Trustees considered the information they believed relevant, including but not limited to the information discussed below. The Board considered not only the specific information presented in connection with the Meeting, but also the knowledge gained over time through interaction with DMC about various topics. In this regard, the Board reviewed reports of DMC at each of its quarterly meetings, which included information about, among other things, Fund performance, investment strategies, and expenses. In addition, the Investment Committees confer with portfolio managers at various times throughout the year. In considering information relating to the approval of the Fund’s Investment Management Agreement and the Sub-Advisory Agreements, the Independent Trustees also received information from an independent fund consultant, JDL Consultants, LLC (“JDL”).
The Board did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.
After its deliberations, the Board unanimously approved the continuation of the Investment Management Agreement and the Sub-Advisory Agreements for a one-year term. The following summarizes a number of important, but not necessarily all, factors considered by the Board in support of its approval.
Nature, extent, and quality of services. The Board received and considered various information regarding the nature, extent, and quality of the advisory services provided to the Fund by DMC under its Investment Management Agreement, and the experience of the officers and employees of DMC who provide these services, including the Fund’s portfolio managers. The Board’s review included consideration of DMC’s investment process and oversight and research and analysis capabilities, and its ability to attract and retain qualified investment professionals. The Board considered information regarding DMC’s programs for risk management, including investment, operational, liquidity, valuation, and compliance risks. The Board received information with respect to the cybersecurity program and business continuity
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plans of DMC and its affiliates. The Board also considered non-advisory services that DMC and its affiliates provide to the Delaware Funds, including third party oversight, transfer agent, internal audit, valuation, portfolio trading, and legal and compliance. The Board took into account the benefits to shareholders of investing in a Fund that is part of a family of funds managed by an affiliate of Macquarie Group Ltd. (“Macquarie”), the parent company of DMC, and the resources available to DMC as part of Macquarie’s global asset management business.
The Board received and considered various information with respect to the services provided by the Affiliated Sub-Advisers under the Sub-Advisory Agreements and the credentials and experience of the officers and employees of the Affiliated Sub-Advisers who provide these services. The Board considered the division of responsibilities between DMC and the Affiliated Sub-Advisers and the oversight provided by DMC. The Board considered the expertise of the Affiliated Sub-Advisers with respect to certain asset classes and/or investment styles. The Affiliated Sub-Advisers are part of Macquarie’s global investment platform that has offices and personnel that are located around the world. As a result, the Board noted that DMC had stated that the Affiliated Sub-Advisers can provide research, investment and trading analysis on the markets and economies of various countries in which the Fund may invest, make recommendations regarding securities and assist with security trades, as applicable. The Board took into account that the Sub-Advisory Agreements may benefit the Fund and its shareholders by permitting DMC to use the resources and talents of the Affiliated Sub-Advisers in managing the Fund.
The Board concluded that, overall, it was satisfied with the nature, extent and quality of services provided (and expected to be provided) to the Fund by DMC and the Affiliated Sub-Advisers.
Investment performance. The Board received and considered information with respect to the investment performance of the Fund, including performance reports and discussions with portfolio managers at meetings of the Board’s Investment Committees throughout the year as well as reports provided by Broadridge Financial Solutions, an independent investment company data provider (“Broadridge”), furnished for the Annual Contract Renewal Meeting. The Broadridge reports prepared for the Fund showed its investment performance in comparison to a group of similar funds (the “Performance Universe”). The Board received a description of the methodology used by Broadridge to select the funds in the Performance Universe. Comparative annualized performance for the Fund was shown for the past 1-, 3-, 5-, and 10-year periods and since inception, as applicable, ended December 31, 2021.
The Performance Universe for the Fund consisted of the Fund and all retail and institutional core plus bond funds, regardless of asset size or primary channel of distribution. The Board noted that the Broadridge report comparison showed that the Fund’s total return for the 1- and 10-year periods was in the second quartile and for the 3- and 5-year periods was in the first quartile of its Performance Universe. The Broadridge report comparison showed that the Fund’s total return for the 1-, 3-, 5- and 10-year periods was above the median of its Performance Universe. The Board also noted that the Fund outperformed its benchmark index for the 1-, 3-, 5- and 10-year periods. The Board noted that the Fund was generally performing in line with its Performance Universe and benchmark during the periods under review.
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Other Fund information (Unaudited)
Delaware Diversified Income Fund
Board Consideration of Investment Management Agreement and Sub-Advisory Agreements at a Meeting Held on August 9-11, 2022 (continued)
Comparative expenses. The Board received and considered expense data for the Fund. Management provided the Board with information on pricing levels and fee structures for the Fund as of its most recently completed fiscal year. The Board also considered on the comparative analysis of contractual management fees and actual total expense ratios of the Fund versus contractual management fees and actual total expense ratios of a group of similar funds as selected by Broadridge (the “Expense Group”). In reviewing comparative costs, the Fund’s contractual management fee and the actual management fee incurred by the Fund were compared with the contractual management fees (assuming all funds were similar in size to the Fund) and actual management fees, taking into account any applicable breakpoints and fee waivers, with the Fund’s expense universe, which is comprised of the Fund, its Expense Group and all other similar institutional funds, excluding outliers (the “Expense Universe”). The Fund’s total expenses were also compared with those of its Expense Universe. The Broadridge total expenses, for comparative consistency, were shown by Broadridge for Institutional Class shares and comparative total expenses including 12b-1 and non-12b-1 service fees.
The expense comparisons for the Fund showed that its actual management fee was below the median of its Expense Universe and its actual total expenses were below its Expense Group average.
The Board also received and considered information about the nature and extent of services offered and fee rates charged by DMC to other types of clients with investment strategies similar to those of the Fund. In this regard, the Board received information about the significantly greater scope of services, and compliance, reporting and other legal burdens and risks of managing registered investment companies compared with those associated with managing assets of other types of clients, including third-party sub-advised fund clients, unregistered funds and separately managed accounts.
The Board noted that DMC, and not the Fund, pays the sub-advisory fees to the Affiliated Sub-Advisers and, accordingly, that the retention of the Affiliated Sub-Advisers does not increase the fees and expenses incurred by the Fund.
Based on its consideration of the factors and information it deemed relevant, including those described here, the Board determined that the compensation payable to DMC under the Investment Management Agreement and to the Affiliated Sub-Advisers under the Sub-Advisory Agreements was reasonable.
Economies of scale. The Board received and considered information about the potential for DMC to realize economies of scale in the provision of management services to the Fund, the difficulties of calculating economies of scale at an individual Fund level, and the extent to which potential scale benefits are shared with shareholders, including the extent to which any economies of scale are reflected in the level of management fees charged. DMC discussed its advisory fee pricing and structure for the Delaware Funds complex, including the current breakpoints. The Board noted that, as of March 31, 2022, the Fund’s net assets exceeded its third breakpoint level and that breakpoints result in a lower advisory fee than would otherwise be
100
the case in the absence of breakpoints, when the asset levels specified in the breakpoints schedule are exceeded. The Board noted that the Fund may also benefit from economies of scale through initial fee setting, fee waivers and expense reimbursements, as well as DMC’s investment in its business, including investments in business infrastructure, technology and cybersecurity.
Management profitability. The Board received and considered the Investment Management Profitability Analysis that addressed the overall profitability of DMC’s business in providing management and other services to the Fund and the Delaware Funds as a whole, including the methodology used by DMC in allocating costs for the purpose of determining profitability. The Board also reviewed a report prepared by JDL regarding DMC’s profitability as compared to certain peer fund complexes and the Independent Trustees discussed DMC’s profitability in such context with representatives from JDL. Based on its review, the Board determined that DMC’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.
Ancillary benefits. The Board received and considered information regarding the extent to which DMC and its affiliates might derive ancillary benefits from fund operations, including the potential for procuring additional business as a result of the prestige and visibility associated with its role as investment manager to the Delaware Funds; the benefits from allocation of fund brokerage to improve trading efficiencies; and the fees that various affiliates received for serving as transfer agent and for overseeing fund accounting and financial administration services to the Delaware Funds. The Board received information from DMC regarding its view of the performance of its affiliates in providing transfer agent and fund accounting and financial administration oversight services and the organizational structure employed to provide these services pursuant to their contracts with the Fund.
Based on its consideration of the factors and information it deemed relevant, including the costs of providing investment management and other services to the Fund and the ongoing commitment of DMC and its affiliates to the Fund, the Board did not find that any ancillary benefits received by DMC and its affiliates were unreasonable.
Conclusion. Based on its review, consideration and evaluation of all factors it believed relevant, including the above-described factors and conclusions, the Board, including all of the Independent Trustees, approved the continuation of DMC’s Investment Management Agreement and of the Affiliated Sub-Advisers’ Sub-Advisory Agreements for an additional one-year period.
Form N-PORT and proxy voting information
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities, are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in
101
Other Fund information (Unaudited)
Delaware Diversified Income Fund
Form N-PORT and proxy voting information (continued)
the Fund’s most recent Form N-PORT are available without charge on the Fund’s website at delawarefunds.com/literature.
Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
102
Board of trustees / directors and officers addendum
Delaware Funds by Macquarie®
A mutual fund is governed by a Board of Trustees/Directors (“Trustees”), which has oversight responsibility for the management of a fund’s business affairs. Trustees establish procedures and oversee and review the performance of the investment manager, the distributor, and others who perform services for the fund. The independent fund trustees, in particular, are advocates for shareholder interests. Each trustee has served in that capacity since he or she was elected to or appointed to the Board of Trustees, and will continue to serve until his or her retirement or the election of a new trustee in his or her place. The following is a list of the Trustees and Officers with certain background and related information.
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Interested Trustee | ||||||||||
Shawn K. Lytle2 | President, | President and | 127 | Macquarie Asset | None | |||||
100 Independence | Chief Executive | Chief Executive | Management3 | |||||||
610 Market Street | Officer, | Officer | (2015–Present) | |||||||
Philadelphia, PA | and Trustee | since August 2015 | -Global Head of | |||||||
19106-2354 | Macquarie Asset | |||||||||
February 1970 | Trustee since | Management Public | ||||||||
September 2015 | Investments | |||||||||
(2019–Present) | ||||||||||
-Head of Americas of | ||||||||||
Macquarie Group | ||||||||||
(2017–Present) | ||||||||||
-Deputy Global Head of | ||||||||||
Macquarie Asset | ||||||||||
Management | ||||||||||
(2017–2019) | ||||||||||
-Head of Macquarie | ||||||||||
Asset Management | ||||||||||
Americas (2015–2017) |
103
Board of trustees / directors and officers addendum
Delaware Funds by Macquarie®
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Independent Trustees | ||||||||||
Jerome D. | Trustee | Since January 2019 | 127 | Stonebrook Capital | None | |||||
Abernathy | Management, LLC | |||||||||
100 Independence | (financial | |||||||||
610 Market Street | technology: macro | |||||||||
Philadelphia, PA | factors and databases) | |||||||||
19106-2354 | -Managing Member | |||||||||
July 1959 | (1993-Present) | |||||||||
Thomas L. Bennett | Chair and Trustee | Trustee since March | 127 | Private Investor | None | |||||
100 Independence | 2005 | (2004–Present) | ||||||||
610 Market Street | Chair since March | |||||||||
Philadelphia, PA | 2015 | |||||||||
19106-2354 | ||||||||||
October 1947 | ||||||||||
Ann D. Borowiec | Trustee | Since March 2015 | 127 | J.P. Morgan Chase & Co. | Banco Santander International | |||||
100 Independence | (1987-2013) | (2016–2019) | ||||||||
610 Market Street | -Chief Executive Officer, | Santander Bank, N.A. | ||||||||
Philadelphia, PA | Private Wealth | (2016-2019) | ||||||||
19106-2354 | Management | |||||||||
November 1958 | (2011–2013) |
104
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Joseph W. Chow | Trustee | Since January 2013 | 127 | Private Investor | None | |||||
100 Independence | (2011–Present) | |||||||||
610 Market Street | ||||||||||
Philadelphia, PA | ||||||||||
19106-2354 | ||||||||||
January 1953 | ||||||||||
H. Jeffrey Dobbs | Trustee | Since April 20194 | 127 | KPMG LLP | TechAccel LLC | |||||
100 Independence | (2002-2015) | (2015–Present) | ||||||||
610 Market Street | -Global Sector Chairman, | PatientsVoices, Inc. | ||||||||
Philadelphia, PA | Industrial Manufacturing | (2018–Present) | ||||||||
19106-2354 | (2010-2015) | Valparaiso University Board | ||||||||
May 1955 | (2012-Present) | |||||||||
Ivy Funds Complex (2019-2021) |
105
Board of trustees / directors and officers addendum
Delaware Funds by Macquarie®
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
John A. Fry | Trustee | Since January 2001 | 127 | Drexel University | Federal Reserve | |||||
100 Independence | -President | Bank of Philadelphia | ||||||||
610 Market Street | (2010–Present) | (2020–Present) | ||||||||
Philadelphia, PA | FS Credit Real Estate Income | |||||||||
19106-2354 | Trust, Inc. (2018–Present) | |||||||||
May 1960 | vTv Therapeutics Inc. | |||||||||
(2017–Present) | ||||||||||
Community Health Systems | ||||||||||
(2004–Present) | ||||||||||
Drexel Morgan & Co. | ||||||||||
(2015–2019) |
106
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Joseph Harroz, Jr. | Trustee | Since November | 127 | University of Oklahoma | OU Medicine, Inc. | |||||
100 Independence | 19984 | -President | (2020–Present) | |||||||
610 Market Street | (2020–Present) | Big 12 Athletic Conference | ||||||||
Philadelphia, PA | -Interim President | (2019-Present) | ||||||||
19106-2354 | (2019–2020) | Valliance Bank | ||||||||
January 1967 | -Vice President and | (2007–Present) | ||||||||
Dean, College of Law | Ivy Funds Complex | |||||||||
(2010–2019) | (1998-2021) | |||||||||
Brookhaven Investments | ||||||||||
LLC (commercial | ||||||||||
enterprises) | ||||||||||
-Managing Member | ||||||||||
(2019–Present) | ||||||||||
St. Clair, LLC | ||||||||||
(commercial enterprises) | ||||||||||
-Managing Member | ||||||||||
(2019–Present) |
107
Board of trustees / directors and officers addendum
Delaware Funds by Macquarie®
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Sandra A.J. | Trustee | Since April 20194 | 127 | Children’s Mercy | Brixmor Property Group Inc. | |||||
Lawrence | Hospitals and Clinics | (2021-Present) | ||||||||
100 Independence | (2005–2019) | Sera Prognostics Inc. | ||||||||
610 Market Street | -Chief Administrative | (biotechnology) (2021-Present) | ||||||||
Philadelphia, PA | Officer | Recology (resource recovery) | ||||||||
19106-2354 | (2016–2019) | (2021-Present) | ||||||||
September 1957 | Evergy, Inc., Kansas City Power | |||||||||
& Light Company, KCP&L | ||||||||||
Greater Missouri Operations | ||||||||||
Company, Westar Energy, Inc. | ||||||||||
and Kansas Gas and Electric | ||||||||||
Company (related utility | ||||||||||
companies) (2018-Present) | ||||||||||
National Association of Corporate | ||||||||||
Directors (2017-Present) | ||||||||||
Ivy Funds Complex (2019-2021) | ||||||||||
American Shared Hospital | ||||||||||
Services (medical device) | ||||||||||
(2017-2021) | ||||||||||
Westar Energy (utility) | ||||||||||
(2004-2018) |
108
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Frances A. | Trustee | Since September | 127 | Banco Itaú International | Florida Chapter of National | |||||
Sevilla-Sacasa | 2011 | -Chief Executive Officer | Association of Corporate | |||||||
100 Independence | (2012–2016) | Directors (2021-Present) | ||||||||
610 Market Street | Callon Petroleum Company | |||||||||
Philadelphia, PA | (2019-Present) | |||||||||
19106-2354 | Camden Property Trust | |||||||||
January 1956 | (2011-Present) | |||||||||
New Senior Investment | ||||||||||
Group Inc. (2021) | ||||||||||
Carrizo Oil & Gas, Inc. | ||||||||||
(2018-2019) | ||||||||||
Thomas K. Whitford | Trustee | Since January 2013 | 127 | PNC Financial Services | HSBC USA Inc. | |||||
100 Independence | Group (1983–2013) | (2014–2022) | ||||||||
610 Market Street | -Vice Chairman | HSBC North America | ||||||||
Philadelphia, PA | (2009-2013) | Holdings Inc. | ||||||||
19106-2354 | (2013–2022) | |||||||||
March 1956 | HSBC Finance Corporation | |||||||||
(2013–2018) |
109
Board of trustees / directors and officers addendum
Delaware Funds by Macquarie®
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Christianna Wood | Trustee | Since January 2019 | 127 | Gore Creek | The Merger Fund | |||||
100 Independence | Capital, Ltd. | (2013–2021), | ||||||||
610 Market Street | -Chief Executive Officer | The Merger Fund VL | ||||||||
Philadelphia, PA | and President | (2013–2021), | ||||||||
19106-2354 | (2009–Present) | WCM Alternatives: Event-Driven | ||||||||
August 1959 | Fund (2013–2021), | |||||||||
and WCM Alternatives: Credit | ||||||||||
Event Fund (2017–2021) | ||||||||||
Grange Insurance | ||||||||||
(2013–Present) | ||||||||||
H&R Block Corporation | ||||||||||
(2008–Present) |
110
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Janet L. Yeomans | Trustee | Since April 1999 | 127 | 3M Company | Okabena Company (2009–2017) | |||||
100 Independence | (1995-2012) | |||||||||
610 Market Street | -Vice President and | |||||||||
Philadelphia, PA | Treasurer (2006–2012) | |||||||||
19106-2354 | ||||||||||
July 1948 | ||||||||||
Officers | ||||||||||
David F. Connor | Senior Vice President, | Senior Vice President, | 127 | David F. Connor has | None5 | |||||
100 Independence | General Counsel, and | since May 2013; | served in various | |||||||
610 Market Street | Secretary | General Counsel | capacities at different | |||||||
Philadelphia, PA | since May 2015; | times at Macquarie Asset | ||||||||
19106-2354 | Secretary since | Management. | ||||||||
December 1963 | October 2005 | |||||||||
Daniel V. Geatens | Senior Vice President | Senior Vice President | 127 | Daniel V. Geatens has | None5 | |||||
100 Independence | and Treasurer | and Treasurer since | served in various | |||||||
610 Market Street | October 2007 | capacities at different | ||||||||
Philadelphia, PA | times at Macquarie Asset | �� | ||||||||
19106-2354 | Management. | |||||||||
October 1972 |
111
Board of trustees / directors and officers addendum
Delaware Funds by Macquarie®
Name, Address, and Birth Date | Position(s) Held with the Trust | Length of Time Served1 | Number of Funds in Fund Complex Overseen by Trustee | Principal Occupation(s) During the Past Five Years | Other Directorships Held by Trustee During the Past Five Years | |||||
Richard Salus | Senior Vice President | Senior Vice President | 127 | Richard Salus has | None | |||||
100 Independence | and Chief Financial | and Chief Financial | served in various | |||||||
610 Market Street | Officer | Officer since | capacities at different | |||||||
Philadelphia, PA | November 2006 | times at Macquarie Asset | ||||||||
19106-2354 | Management. | |||||||||
October 1963 |
1 | “Length of Time Served” refers to the time since the Trustee or officer began serving one or more of the Trusts in the Delaware Funds complex. |
2 | Shawn K. Lytle is considered to be an “Interested Trustee” because he is an executive officer of the Funds’ investment advisor. |
3 | Macquarie Asset Management is the marketing name for certain companies comprising the asset management division of Macquarie Group, including the Funds’ investment advisor, principal underwriter, and transfer agent. |
4 | Includes time served on the Board of Ivy Funds prior to the date when Ivy Funds joined the Delaware Funds complex. |
5 | David F. Connor serves as Senior Vice President and Secretary, and Daniel V. Geatens serves as Senior Vice President, Treasurer, and Chief Financial Officer, for the six portfolios of the Optimum Fund Trust, which have the same investment manager, principal underwriter, and transfer agent as the Funds. Mr. Geatens also serves as the Chief Financial Officer and Treasurer for Macquarie Global Infrastructure Total Return Fund Inc., which has the same investment manager as the Funds. |
The Statement of Additional Information for the Fund(s) includes additional information about the Trustees and Officers and is available, without charge, upon request by calling 800 523-1918.
112
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:
H. Jeffrey Dobbs
Sandra A.J. Lawrence
Frances Sevilla-Sacasa, Chair
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 $47,480 for the fiscal year ended October 31, 2022.
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 $43,650 for the fiscal year ended October 31, 2021.
(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, 2022.
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 $2,050,189 for the registrant’s fiscal year ended October 31, 2022. 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, 2021.
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 $1,134,001 for the registrant’s fiscal year ended October 31, 2021. 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 $5,634 for the fiscal year ended October 31, 2022. 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, 2022.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $5,265 for the fiscal year ended October 31, 2021. 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, 2021.
(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, 2022.
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, 2022. 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, 2021.
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, 2021. 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 $50,000 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 $9,044,000 and $9,044,000 for the registrant’s fiscal years ended October 31, 2022 and October 31, 2021, 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 officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)) and provide 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 (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) 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.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
DELAWARE GROUP® ADVISER FUNDS
/s/SHAWN K. LYTLE | |||
By: | Shawn K. Lytle | ||
Title: | President and Chief Executive Officer | ||
Date: | January 4, 2023 |
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, 2023 | ||
/s/RICHARD SALUS | |||
By: | Richard Salus | ||
Title: | Chief Financial Officer | ||
Date: | January 4, 2023 |