UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO
HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file
number:
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811-03363
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Exact name of registrant as specified in
charter:
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Delaware Group
®
Limited-Term
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Government Funds
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Address of principal executive
offices:
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2005 Market Street
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Philadelphia, PA 19103
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Name and address of agent for
service:
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David F. Connor, Esq.
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2005 Market Street
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Philadelphia, PA 19103
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Registrants telephone number, including
area code:
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(800) 523-1918
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Date of fiscal year end:
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December 31
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Date of reporting period:
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March 31,
2013
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Item 1. Schedule of Investments.
Schedule of Investments
(Unaudited)
Delaware Limited-Term Diversified Income
Fund
March 31, 2013
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Principal
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Value
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Amount
o
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|
(U.S. $)
|
Agency Asset-Backed
Securities 0.01%
|
|
|
|
|
|
|
|
Fannie Mae Grantor Trust Series 2003-T4
2A5 5.407% 9/26/33
|
|
USD
|
|
213,201
|
|
$
|
227,153
|
Fannie Mae Whole Loan Series 2001-W2
AS5 6.473% 10/25/31
|
|
|
|
5,302
|
|
|
5,540
|
t
Freddie
Mac Structured Pass Through Securities Series T-30 A5 7.987%
12/25/30
|
|
|
|
5,652
|
|
|
6,047
|
SLM Student Loan
Trust Series 2004-4 A4 0.431% 1/25/19
|
|
|
|
6,940
|
|
|
6,939
|
Total Agency Asset-Backed
Securities (cost $229,712)
|
|
|
|
|
|
|
245,679
|
|
|
|
|
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|
Agency Collateralized
Mortgage Obligations 2.06%
|
|
|
|
|
|
|
|
E.F. Hutton Trust
III Series 1 A 1.034% 10/25/17
|
|
|
|
7,731
|
|
|
7,756
|
Fannie Mae Grantor Trust
|
|
|
|
|
|
|
|
Series 2001-T5 A2
6.991% 2/19/30
|
|
|
|
44,015
|
|
|
52,290
|
Series 2002-T1 A2 7.00%
11/25/31
|
|
|
|
107,739
|
|
|
127,984
|
Fannie Mae REMICs
|
|
|
|
|
|
|
|
Series 2002-90 A1 6.50%
6/25/42
|
|
|
|
1,316
|
|
|
1,546
|
Series 2003-32 PH 5.50%
3/25/32
|
|
|
|
13,086
|
|
|
13,392
|
Series 2003-52 NA 4.00%
6/25/23
|
|
|
|
297,929
|
|
|
319,983
|
Series 2003-120 BL
3.50% 12/25/18
|
|
|
|
1,054,862
|
|
|
1,109,582
|
Series 2004-36 FA
0.604% 5/25/34
|
|
|
|
611,769
|
|
|
615,145
|
Series 2004-49 EB 5.00%
7/25/24
|
|
|
|
87,272
|
|
|
96,871
|
Series 2005-66 FD
0.504% 7/25/35
|
|
|
|
2,632,429
|
|
|
2,633,903
|
Series 2005-110 MB
5.50% 9/25/35
|
|
|
|
35,170
|
|
|
38,625
|
Series 2006-105 FB
0.624% 11/25/36
|
|
|
|
277,927
|
|
|
279,522
|
Series 2010-29 PA 4.50%
10/25/38
|
|
|
|
388,716
|
|
|
401,108
|
Series 2011-105 FP
0.604% 6/25/41
|
|
|
|
4,825,992
|
|
|
4,843,998
|
Series 2011-113 MC
4.00% 12/25/40
|
|
|
|
745,408
|
|
|
774,739
|
Series 2011-88 AB 2.50%
9/25/26
|
|
|
|
537,078
|
|
|
554,016
|
Fannie Mae Whole
Loan Series 2002-W1 2A 6.898% 2/25/42
|
|
|
|
131,583
|
|
|
153,386
|
Freddie Mac REMIC
|
|
|
|
|
|
|
|
Series 2901 CA 4.50%
11/15/19
|
|
|
|
402,231
|
|
|
424,767
|
Series 2931 GC 5.00%
1/15/34
|
|
|
|
280,442
|
|
|
291,428
|
Series 3016 FL 0.593%
8/15/35
|
|
|
|
526,271
|
|
|
527,561
|
Series 3027 DE 5.00%
9/15/25
|
|
|
|
93,547
|
|
|
103,314
|
Series 3067 FA 0.553%
11/15/35
|
|
|
|
5,761,200
|
|
|
5,780,962
|
Series 3173 PE 6.00%
4/15/35
|
|
|
|
40,914
|
|
|
42,423
|
Series 3232 KF 0.653%
10/15/36
|
|
|
|
253,915
|
|
|
255,620
|
Series 3241 FM 0.583%
11/15/36
|
|
|
|
105,366
|
|
|
105,792
|
Series 3297 BF 0.443%
4/15/37
|
|
|
|
1,970,077
|
|
|
1,967,685
|
Series 3316 FB 0.503%
8/15/35
|
|
|
|
423,087
|
|
|
423,084
|
Series 3416 GK 4.00%
7/15/22
|
|
|
|
2,613
|
|
|
2,686
|
Series 3581 PE 4.50%
1/15/39
|
|
|
|
10,333,621
|
|
|
10,921,212
|
Series 3737 NA 3.50%
6/15/25
|
|
|
|
397,978
|
|
|
417,764
|
Series 3780 LF 0.603%
3/15/29
|
|
|
|
1,373,529
|
|
|
1,375,342
|
Series 3800 AF 0.703%
2/15/41
|
|
|
|
5,007,363
|
|
|
5,047,612
|
Series 3803 TF 0.603%
11/15/28
|
|
|
|
1,317,054
|
|
|
1,324,012
|
Series 4163 CW 3.50%
4/15/40
|
|
|
|
4,681,220
|
|
|
4,936,206
|
t
Freddie Mac Structured Pass Through
Securities
|
|
|
|
|
|
|
|
Series T-42 A5 7.50%
2/25/42
|
|
|
|
53,864
|
|
|
64,496
|
Series T-54 2A 6.50%
2/25/43
|
|
|
|
1,238
|
|
|
1,488
|
Series T-58 2A 6.50%
9/25/43
|
|
|
|
914,159
|
|
|
1,066,910
|
Series T-60 1A4C
4.975% 3/25/44
|
|
|
|
605,833
|
|
|
614,051
|
Total Agency
Collateralized Mortgage Obligations (cost $47,313,482)
|
|
|
|
|
|
|
47,718,261
|
|
|
|
|
|
|
|
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Agency Mortgage-Backed
Securities 19.74%
|
|
|
|
|
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|
Fannie Mae
|
|
|
|
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4.00% 9/1/20
|
|
|
|
8,622,278
|
|
|
9,236,696
|
6.50% 8/1/17
|
|
|
|
64,124
|
|
|
70,964
|
9.00% 11/1/15
|
|
|
|
51,408
|
|
|
54,743
|
10.00%
10/1/30
|
|
|
|
102,006
|
|
|
115,788
|
10.50% 6/1/30
|
|
|
|
26,906
|
|
|
27,667
|
Fannie Mae ARM
|
|
|
|
|
2.292%
12/1/33
|
|
184,210
|
|
193,762
|
2.638%
8/1/34
|
|
217,558
|
|
232,315
|
2.645%
4/1/36
|
|
8,803
|
|
9,360
|
2.777%
6/1/34
|
|
153,714
|
|
162,981
|
2.80%
11/1/35
|
|
715,826
|
|
763,811
|
2.811%
11/1/35
|
|
89,972
|
|
96,076
|
2.912%
4/1/36
|
|
871,026
|
|
924,350
|
3.081%
3/1/38
|
|
12,675
|
|
13,460
|
3.456%
1/1/41
|
|
381,763
|
|
403,939
|
3.678%
11/1/39
|
|
893,319
|
|
951,183
|
4.535%
11/1/39
|
|
4,602,921
|
|
4,934,079
|
4.984%
9/1/38
|
|
2,993,968
|
|
3,211,976
|
5.204%
8/1/35
|
|
47,838
|
|
51,599
|
6.028%
6/1/36
|
|
319,159
|
|
344,091
|
6.065%
7/1/36
|
|
245,117
|
|
263,400
|
6.186%
4/1/36
|
|
77,224
|
|
82,710
|
6.244%
8/1/36
|
|
108,421
|
|
115,162
|
6.448%
7/1/36
|
|
148,293
|
|
157,230
|
Fannie Mae FHAVA 30 yr
|
|
|
|
|
7.50% 3/1/25
|
|
4,061
|
|
4,071
|
10.00% 1/1/19
|
|
41,450
|
|
42,463
|
Fannie Mae S.F. 15
yr
|
|
|
|
|
2.50% 2/1/28 to
3/1/28
|
|
9,335,232
|
|
9,711,037
|
3.00%
11/1/27
|
|
106,100
|
|
112,183
|
4.00%
11/1/25
|
|
16,914,388
|
|
18,372,353
|
4.50%
9/1/20
|
|
2,576,303
|
|
2,778,269
|
5.00% 9/1/18 to
9/1/25
|
|
25,131,272
|
|
27,125,614
|
5.50% 1/1/23 to
4/1/23
|
|
89,594
|
|
98,105
|
6.00% 3/1/18 to
8/1/22
|
|
1,638,887
|
|
1,738,808
|
7.00%
11/1/14
|
|
101
|
|
105
|
8.00%
10/1/16
|
|
77,610
|
|
82,551
|
Fannie Mae S.F. 15 yr TBA
|
|
|
|
|
2.50% 5/1/28
|
|
45,370,000
|
|
47,064,287
|
3.00% 4/1/28
|
|
178,287,000
|
|
187,445,103
|
Fannie Mae S.F. 20
yr
|
|
|
|
|
5.50%
12/1/29
|
|
255,519
|
|
279,024
|
6.50%
2/1/22
|
|
119,287
|
|
132,646
|
Fannie Mae S.F. 30 yr
|
|
|
|
|
3.50% 8/1/42
|
|
5,656,984
|
|
6,014,435
|
4.00% 11/1/40 to 1/1/43
|
|
9,545,733
|
|
10,184,210
|
4.50% 7/1/36 to 8/1/41
|
|
1,224,165
|
|
1,320,737
|
5.00% 4/1/33 to 3/1/34
|
|
622,535
|
|
678,342
|
6.00% 9/1/34 to 2/1/41
|
|
10,510,100
|
|
11,645,859
|
6.50% 6/1/29 to 12/1/37
|
|
56,394
|
|
63,735
|
7.00% 12/1/34 to 12/1/37
|
|
1,493,161
|
|
1,707,189
|
7.50% 6/1/31 to 6/1/34
|
|
19,008
|
|
21,993
|
8.00% 11/1/21 to 5/1/24
|
|
80,106
|
|
90,745
|
9.00% 8/1/22
|
|
79,461
|
|
88,659
|
9.25% 6/1/16 to 8/1/16
|
|
22,053
|
|
22,142
|
10.00% 2/1/25
|
|
164,613
|
|
187,055
|
11.00% 9/1/15 to 8/1/20
|
|
13,689
|
|
14,084
|
Fannie Mae S.F. 30 yr
TBA
|
|
|
|
|
3.50%
4/1/43
|
|
22,395,000
|
|
23,647,719
|
3.50%
5/1/43
|
|
28,100,000
|
|
29,601,593
|
Freddie Mac
|
|
|
|
|
6.00% 1/1/17
|
|
13,978
|
|
14,251
|
6.50% 6/17/14 to 3/1/16
|
|
298,560
|
|
315,317
|
Freddie Mac ARM
|
|
|
|
|
2.358%
4/1/33
|
|
103,514
|
|
104,663
|
2.375%
2/1/35
|
|
164,221
|
|
174,607
|
2.763%
7/1/36
|
|
87,375
|
|
93,474
|
2.786%
2/1/37
|
|
9,702
|
|
10,395
|
2.865%
4/1/34
|
|
34,518
|
|
36,820
|
5.024%
8/1/38
|
|
63,224
|
|
67,772
|
5.074%
7/1/38
|
|
3,260,719
|
|
3,503,519
|
5.679%
6/1/37
|
|
566,343
|
|
612,584
|
5.776%
10/1/36
|
|
14,200
|
|
15,270
|
6.171%
10/1/37
|
|
678,680
|
|
737,902
|
Freddie Mac S.F. 15 yr
|
|
|
|
|
5.00% 6/1/18 to 12/1/22
|
|
286,182
|
|
307,101
|
5.50% 7/1/24
|
|
3,372,814
|
|
3,648,404
|
8.00% 7/1/16
|
|
25,065
|
|
26,369
|
Freddie Mac S.F. 30 yr
|
|
|
|
|
5.50%
7/1/40
|
|
3,365,721
|
|
3,654,691
|
6.00%
2/1/36 to 5/1/40
|
|
33,755,291
|
|
37,094,617
|
7.00%
11/1/33
|
|
908
|
|
1,069
|
8.00%
5/1/31
|
|
128,396
|
|
150,874
|
9.00%
9/1/30
|
|
90,565
|
|
99,851
|
11.00%
5/1/20
|
|
2,326
|
|
2,735
|
11.50%
6/1/15 to 3/1/16
|
|
33,200
|
|
34,448
|
GNMA
I GPM 30 yr 12.25% 1/15/14
|
|
1,290
|
|
1,297
|
GNMA I S.F. 15 yr 6.00% 1/15/22
|
|
2,999,624
|
|
3,312,275
|
GNMA
I S.F. 30 yr
|
|
|
|
|
7.50% 12/15/23 to
1/15/32
|
|
165,036
|
|
206,828
|
8.00% 6/15/30
|
|
7,852
|
|
8,213
|
9.00% 5/15/16 to
2/15/17
|
|
10,916
|
|
11,238
|
9.50% 12/15/16 to
8/15/17
|
|
3,381
|
|
3,619
|
11.00% 7/15/13 to
8/15/19
|
|
54,985
|
|
56,698
|
GNMA II GPM 9.75% 12/20/16 to
9/20/17
|
|
10,255
|
|
10,337
|
GNMA
II S.F. 30 yr
|
|
|
|
|
9.50% 11/20/20 to
11/20/21
|
|
75,694
|
|
88,476
|
10.50% 6/20/20
|
|
1,714
|
|
1,723
|
11.00% 9/20/15 to
10/20/15
|
|
15,080
|
|
16,228
|
11.50% 1/20/18 to
8/20/18
|
|
21,088
|
|
22,390
|
12.00% 4/20/14 to
10/20/15
|
|
33,049
|
|
33,659
|
12.50% 10/20/13 to
1/20/14
|
|
2,994
|
|
3,032
|
Total Agency Mortgage-Backed Securities
(cost $453,884,097)
|
|
|
|
457,175,204
|
|
|
|
|
|
Collateralized Debt Obligations
0.04%
|
|
|
|
|
#
Celerity CLO Series
2004-1A C 144A 1.895% 3/30/16
|
|
282,017
|
|
282,036
|
#@
Guggenheim 1888 Fund Series 2002-1A A1 144A 0.854%
1/15/15
|
|
350,473
|
|
350,364
|
#
Newton CDO 144A 1.12%
3/27/14
|
|
265,733
|
|
265,324
|
Total Collateralized Debt Obligations (cost
$889,991)
|
|
|
|
897,724
|
|
|
|
|
|
Commercial Mortgage-Backed Securities
1.62%
|
|
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2005-T20
A4A 5.147% 10/12/42
|
|
1,005,000
|
|
1,101,144
|
t
Commercial Mortgage Pass Through Certificates
|
|
|
|
|
Series
2005-C6 A5A 5.116% 6/10/44
|
|
4,105,000
|
|
4,459,590
|
Series
2006-C1 AAB 5.407% 2/15/39
|
|
93,115
|
|
96,498
|
Credit Suisse First Boston Mortgage Securities Series
2004-C1 A4 4.75% 1/15/37
|
|
3,157,433
|
|
3,220,218
|
#DBUBS Mortgage Trust Series 2011-LC1A A3
144A 5.002% 11/10/46
|
|
1,360,000
|
|
1,600,832
|
GS Mortgage Securities II
|
|
|
|
|
Series 2004-GG2 A6 5.396%
8/10/38
|
|
4,483,000
|
|
4,682,157
|
Series
2005-GG4 A4A 4.751% 7/10/39
|
|
6,435,000
|
|
6,851,011
|
Series 2006-GG6 A4 5.553%
4/10/38
|
|
1,160,000
|
|
1,282,513
|
JPMorgan Chase Commercial Mortgage Securities Series
2005-LDP5 A4 5.201% 12/15/44
|
|
1,625,000
|
|
1,781,140
|
Merrill Lynch Mortgage Trust
|
|
|
|
|
Series
2005-CIP1 A2 4.96% 7/12/38
|
|
359,011
|
|
364,126
|
Series 2005-CKI1 A6 5.274%
11/12/37
|
|
1,795,000
|
|
1,959,549
|
Morgan Stanley Capital I
|
|
|
|
|
Series
2005-HQ6 A4A 4.989% 8/13/42
|
|
5,715,000
|
|
6,151,844
|
Series 2007-T27 A4 5.651%
6/11/42
|
|
3,440,000
|
|
4,024,287
|
Total Commercial Mortgage-Backed Securities
(cost $34,717,108)
|
|
|
|
37,574,909
|
|
Convertible Bonds 0.51%
|
|
|
|
|
L-3
Communications Holdings 3.00% exercise price $91.21, expiration date
8/1/35
|
|
5,520,000
|
|
5,609,700
|
Leap Wireless International 4.50% exercise
price $93.21, expiration date 7/10/14
|
|
6,106,000
|
|
6,251,018
|
Total Convertible Bonds (cost $11,596,252)
|
|
|
|
11,860,718
|
|
Corporate Bonds 37.90%
|
|
|
|
|
Banking 7.12%
|
|
|
|
|
Abbey National Treasury Services 4.00%
4/27/16
|
|
5,820,000
|
|
6,193,295
|
#Bank Nederlandse Gemeenten 144A
|
|
|
|
|
1.375% 3/19/18
|
|
4,490,000
|
|
4,532,475
|
1.75% 10/6/15
|
|
2,000
|
|
2,056
|
2.50% 1/23/23
|
|
6,088,000
|
|
6,087,890
|
Bank of America
|
|
|
|
|
2.00%
1/11/18
|
|
11,135,000
|
|
11,094,591
|
3.30%
1/11/23
|
|
1,595,000
|
|
1,576,023
|
BB&T 5.20% 12/23/15
|
|
6,410,000
|
|
7,123,600
|
Branch Banking & Trust 0.60% 9/13/16
|
|
9,975,000
|
|
9,872,367
|
BVA
U.S. Senior 4.664% 10/9/15
|
|
2,005,000
|
|
2,057,288
|
#
Commonwealth Bank of Australia 144A 0.56% 9/17/14
|
|
32,225,000
|
|
32,369,143
|
Fifth Third Bancorp
3.625% 1/25/16
|
|
|
|
5,425,000
|
|
5,803,247
|
#
HBOS Capital
Funding 144A 6.071% 6/29/49
|
|
|
|
12,775,000
|
|
11,481,531
|
JPMorgan
Chase
|
|
|
|
|
|
|
0.61%
6/13/16
|
|
|
|
1,750,000
|
|
1,723,482
|
3.45% 3/1/16
|
|
|
|
18,539,000
|
|
19,723,754
|
KeyBank 5.45% 3/3/16
|
|
|
|
6,050,000
|
|
6,788,693
|
#Nederlandse
Waterschapsbank 144A 0.75% 3/29/16
|
|
|
|
2,645,000
|
|
2,641,948
|
PNC Bank 2.95% 1/30/23
|
|
|
|
520,000
|
|
518,051
|
Santander Holdings
USA
|
|
|
|
|
|
|
3.00% 9/24/15
|
|
|
|
3,405,000
|
|
3,493,377
|
4.625% 4/19/16
|
|
|
|
2,090,000
|
|
2,236,586
|
SunTrust Banks
|
|
|
|
|
|
|
0.578%
8/24/15
|
|
|
|
1,310,000
|
|
1,290,603
|
3.60% 4/15/16
|
|
|
|
4,465,000
|
|
4,784,774
|
UBS 1.301% 1/28/14
|
|
|
|
3,289,000
|
|
3,306,211
|
USB Capital IX
3.50% 10/29/49
|
|
|
|
6,960,000
|
|
6,473,496
|
#
USB Realty 144A 1.451% 12/22/49
|
|
|
|
400,000
|
|
348,500
|
Wachovia Bank 5.60% 3/15/16
|
|
|
|
4,805,000
|
|
5,431,048
|
Wells Fargo
|
|
|
|
|
|
|
0.50%
5/16/16
|
|
|
|
1,825,000
|
|
1,796,554
|
2.625%
12/15/16
|
|
|
|
1,800,000
|
|
1,893,276
|
3.45% 2/13/23
|
|
|
|
465,000
|
|
469,098
|
4.75% 2/9/15
|
|
|
|
590,000
|
|
630,662
|
Zions Bancorporation
|
|
|
|
|
|
|
4.50% 3/27/17
|
|
|
|
2,325,000
|
|
2,485,667
|
7.75% 9/23/14
|
|
|
|
685,000
|
|
744,988
|
|
|
|
|
|
|
164,974,274
|
Basic Industry
1.69%
|
|
|
|
|
|
|
Airgas 1.65%
2/15/18
|
|
|
|
2,165,000
|
|
2,170,956
|
Cabot 2.55% 1/15/18
|
|
|
|
3,915,000
|
|
4,028,962
|
CF Industries 6.875%
5/1/18
|
|
|
|
7,410,000
|
|
8,888,043
|
Dow Chemical 5.90% 2/15/15
|
|
|
|
8,540,000
|
|
9,338,404
|
#Freeport-McMoRan
Copper & Gold 144A
|
|
|
|
|
|
|
2.375% 3/15/18
|
|
|
|
2,840,000
|
|
2,855,183
|
3.875% 3/15/23
|
|
|
|
2,950,000
|
|
2,964,479
|
#Georgia-Pacific 144A 5.40%
11/1/20
|
|
|
|
5,750,000
|
|
6,814,273
|
International Paper
5.25% 4/1/16
|
|
|
|
550,000
|
|
609,848
|
Lubrizol 5.50% 10/1/14
|
|
|
|
1,380,000
|
|
1,483,230
|
|
|
|
|
|
|
39,153,378
|
Brokerage
0.62%
|
|
|
|
|
|
|
Jefferies
Group
|
|
|
|
|
|
|
5.125% 1/20/23
|
|
|
|
2,415,000
|
|
2,561,885
|
5.875% 6/8/14
|
|
|
|
2,805,000
|
|
2,980,313
|
^JPMorgan Structured Products 0.641%
5/18/15
|
|
BRL
|
|
2,419,000
|
|
2,947,061
|
Lazard
Group
|
|
|
|
|
|
|
6.85% 6/15/17
|
|
USD
|
|
1,762,000
|
|
2,027,722
|
7.125% 5/15/15
|
|
|
|
3,519,000
|
|
3,894,639
|
|
|
|
|
|
|
14,411,620
|
Capital Goods 1.74%
|
|
|
|
|
|
|
John Deere Capital 1.70%
1/15/20
|
|
|
|
14,000,000
|
|
13,810,118
|
Precision Castparts
1.25% 1/15/18
|
|
|
|
9,105,000
|
|
9,134,491
|
United Technologies 1.80%
6/1/17
|
|
|
|
6,030,000
|
|
6,226,102
|
#URS 144A 4.10%
4/1/17
|
|
|
|
7,140,000
|
|
7,426,942
|
Waste Management 2.60% 9/1/16
|
|
|
|
3,525,000
|
|
3,698,014
|
|
|
|
|
|
|
40,295,667
|
Communications
3.25%
|
|
|
|
|
|
|
AT&T
|
|
|
|
|
|
|
1.70% 6/1/17
|
|
|
|
5,910,000
|
|
5,986,186
|
2.40% 8/15/16
|
|
|
|
3,500,000
|
|
3,652,439
|
#CC Holdings GS V 144A 3.849%
4/15/23
|
|
|
|
3,000,000
|
|
3,028,644
|
#Cox Communications
144A 5.875% 12/1/16
|
|
|
|
4,450,000
|
|
5,193,070
|
#Crown Castle Towers 144A 3.214%
8/15/15
|
|
|
|
2,790,000
|
|
2,912,461
|
#Deutsche Telekom
International Finance 144A 2.25% 3/6/17
|
|
|
|
1,760,000
|
|
1,804,697
|
Discovery Communications 3.25%
4/1/23
|
|
|
|
3,175,000
|
|
3,228,197
|
Interpublic
Group
|
|
|
|
|
|
|
2.25% 11/15/17
|
|
|
|
1,600,000
|
|
1,601,376
|
3.75% 2/15/23
|
|
|
|
2,050,000
|
|
1,992,846
|
#NBCUniversal Enterprise 144A
|
|
|
|
|
|
|
1.662% 4/15/18
|
|
|
|
1,455,000
|
|
1,459,334
|
1.974% 4/15/19
|
|
|
|
1,095,000
|
|
1,099,586
|
Rogers Communications 7.50%
3/15/15
|
|
5,960,000
|
|
6,718,237
|
Telecom Italia Capital
|
|
|
|
|
4.95% 9/30/14
|
|
10,000
|
|
10,370
|
5.25% 11/15/13
|
|
1,700,000
|
|
1,735,698
|
Time Warner Cable
|
|
|
|
|
5.85%
5/1/17
|
|
9,300,000
|
|
10,810,163
|
7.50%
4/1/14
|
|
2,705,000
|
|
2,885,532
|
8.25%
2/14/14
|
|
1,510,000
|
|
1,606,617
|
Verizon Communications
0.894% 3/28/14
|
|
5,115,000
|
|
5,143,838
|
Viacom 3.25% 3/15/23
|
|
1,225,000
|
|
1,232,874
|
Virgin Media Secured Finance 6.50% 1/15/18
|
|
5,500,000
|
|
5,885,000
|
#Vivendi 144A 3.45% 1/12/18
|
|
6,920,000
|
|
7,172,151
|
|
|
|
|
75,159,316
|
Consumer Cyclical 5.32%
|
|
|
|
|
#ADT
144A 2.25% 7/15/17
|
|
3,055,000
|
|
3,069,887
|
#American Honda Finance 144A 1.60%
2/16/18
|
|
8,840,000
|
|
8,956,326
|
Brinker International 5.75% 6/1/14
|
|
4,000,000
|
|
4,208,156
|
Carnival 1.20% 2/5/16
|
|
7,835,000
|
|
7,850,474
|
Costco Wholesale 1.70% 12/15/19
|
|
10,075,000
|
|
10,087,624
|
#Daimler Finance North America 144A 1.875%
1/11/18
|
|
7,370,000
|
|
7,435,571
|
Dollar General 4.125% 7/15/17
|
|
650,000
|
|
701,188
|
eBay 1.35% 7/15/17
|
|
980,000
|
|
991,866
|
Ford Motor Credit
|
|
|
|
|
3.00%
6/12/17
|
|
1,000,000
|
|
1,026,589
|
3.984%
6/15/16
|
|
1,800,000
|
|
1,908,455
|
4.25%
2/3/17
|
|
5,055,000
|
|
5,414,572
|
#Hyundai Capital America 144A
|
|
|
|
|
2.125%
10/2/17
|
|
255,000
|
|
257,352
|
4.00%
6/8/17
|
|
2,170,000
|
|
2,337,750
|
Lowe's 1.625% 4/15/17
|
|
7,610,000
|
|
7,778,881
|
Mattel 1.70% 3/15/18
|
|
5,010,000
|
|
5,043,261
|
Target 0.473% 7/18/14
|
|
21,300,000
|
|
21,349,885
|
Time Warner
|
|
|
|
|
3.15%
7/15/15
|
|
5,500,000
|
|
5,795,543
|
5.875%
11/15/16
|
|
3,265,000
|
|
3,799,947
|
Walgreen 1.80% 9/15/17
|
|
11,685,000
|
|
11,840,375
|
#Wesfarmers 144A 1.874% 3/20/18
|
|
4,500,000
|
|
4,544,064
|
Western Union
|
|
|
|
|
2.875%
12/10/17
|
|
2,160,000
|
|
2,194,605
|
3.65%
8/22/18
|
|
910,000
|
|
940,111
|
Wyndham Worldwide 2.95% 3/1/17
|
|
5,570,000
|
|
5,737,033
|
|
|
|
|
123,269,515
|
Consumer Non-Cyclical 6.11%
|
|
|
|
|
#AbbVie 144A 1.75% 11/6/17
|
|
7,590,000
|
|
7,690,757
|
Allergan 1.35% 3/15/18
|
|
2,040,000
|
|
2,049,757
|
Anheuser-Busch InBev Worldwide
|
|
|
|
|
1.375%
7/15/17
|
|
7,420,000
|
|
7,489,548
|
5.60%
3/1/17
|
|
4,490,000
|
|
5,223,859
|
Bard (C.R.) 1.375% 1/15/18
|
|
7,605,000
|
|
7,603,114
|
Cardinal Health 1.70% 3/15/18
|
|
3,235,000
|
|
3,228,850
|
CareFusion
|
|
|
|
|
#144A
3.30% 3/1/23
|
|
2,295,000
|
|
2,317,030
|
6.375%
8/1/19
|
|
1,500,000
|
|
1,815,695
|
Conagra Foods 1.90% 1/25/18
|
|
10,155,000
|
|
10,267,152
|
Dr. Pepper Snapple Group 2.00%
1/15/20
|
|
6,060,000
|
|
5,989,856
|
Express Scripts Holding 3.50%
11/15/16
|
|
2,895,000
|
|
3,121,511
|
#Heineken 144A 1.40% 10/1/17
|
|
10,800,000
|
|
10,762,566
|
#Imperial Tobacco Finance 144A 2.05%
2/11/18
|
|
8,520,000
|
|
8,583,380
|
Ingredion 1.80% 9/25/17
|
|
3,545,000
|
|
3,555,642
|
#Korea Expressway 144A 1.875%
10/22/17
|
|
2,610,000
|
|
2,611,984
|
Kraft Foods Group 2.25% 6/5/17
|
|
6,985,000
|
|
7,253,580
|
McKesson 5.70% 3/1/17
|
|
400,000
|
|
468,066
|
Medtronic 1.375% 4/1/18
|
|
7,150,000
|
|
7,158,594
|
Molson Coors Brewing 2.00% 5/1/17
|
|
6,345,000
|
|
6,500,433
|
Mondelez International 2.625%
5/8/13
|
|
4,000,000
|
|
4,007,840
|
Newell Rubbermaid 2.05% 12/1/17
|
|
1,620,000
|
|
1,630,775
|
#Pernod-Ricard 144A
|
|
|
|
|
2.95%
1/15/17
|
|
4,970,000
|
|
5,224,648
|
5.75%
4/7/21
|
|
1,060,000
|
|
1,261,722
|
Quest Diagnostics 5.45% 11/1/15
|
|
6,000,000
|
|
6,617,718
|
Stryker 1.30%
4/1/18
|
|
8,000,000
|
|
7,976,888
|
Yale University 2.90%
10/15/14
|
|
2,482,000
|
|
2,573,998
|
#Zoetis 144A 1.875%
2/1/18
|
|
8,540,000
|
|
8,604,947
|
|
|
|
|
141,589,910
|
Electric 1.27%
|
|
|
|
|
American Electric Power 1.65%
12/15/17
|
|
1,460,000
|
|
1,466,580
|
Appalachian Power
3.40% 5/24/15
|
|
4,180,000
|
|
4,397,389
|
CenterPoint Energy 5.95%
2/1/17
|
|
2,365,000
|
|
2,750,223
|
Duke Energy Carolinas
1.75% 12/15/16
|
|
7,045,000
|
|
7,267,876
|
#
Electricite de
France 144A 5.25% 12/29/49
|
|
3,025,000
|
|
3,010,864
|
Jersey Central Power
& Light 5.625% 5/1/16
|
|
4,560,000
|
|
5,131,131
|
Kansas City Power & Light 3.15%
3/15/23
|
|
5,220,000
|
|
5,303,076
|
|
|
|
|
29,327,139
|
Energy
2.61%
|
|
|
|
|
Devon Energy 1.875%
5/15/17
|
|
4,000,000
|
|
4,042,792
|
Murphy Oil
|
|
|
|
|
2.50%
12/1/17
|
|
2,755,000
|
|
2,769,458
|
3.70% 12/1/22
|
|
1,650,000
|
|
1,606,199
|
Noble Holding
International 3.05% 3/1/16
|
|
13,895,000
|
|
14,502,490
|
Petrobras International Finance 3.50%
2/6/17
|
|
13,190,000
|
|
13,651,558
|
Petrohawk
Energy
|
|
|
|
|
7.25%
8/15/18
|
|
9,605,000
|
|
10,759,531
|
7.875%
6/1/15
|
|
315,000
|
|
326,016
|
#Ras Laffan Liquefied Natural Gas III
144A 5.832% 9/30/16
|
|
161,600
|
|
174,366
|
Shell International
Finance 3.10% 6/28/15
|
|
1,930,000
|
|
2,041,043
|
#Sinopec Group Overseas Development
144A 2.75% 5/17/17
|
|
290,000
|
|
303,089
|
Transocean 2.50%
10/15/17
|
|
4,840,000
|
|
4,906,482
|
Weatherford Bermuda 4.95%
10/15/13
|
|
30,000
|
|
30,612
|
#Woodside Finance
144A 8.125% 3/1/14
|
|
4,940,000
|
|
5,257,380
|
|
|
|
|
60,371,016
|
Finance Companies
1.22%
|
|
|
|
|
#CDP Financial 144A 3.00%
11/25/14
|
|
6,350,000
|
|
6,601,003
|
#GECC/LJ VP Holdings
144A 3.80% 6/18/19
|
|
2,235,000
|
|
2,409,066
|
General Electric Capital
|
|
|
|
|
0.54%
9/15/14
|
|
3,535,000
|
|
3,538,097
|
4.375% 9/16/20
|
|
2,630,000
|
|
2,941,755
|
6.00% 8/7/19
|
|
6,790,000
|
|
8,254,664
|
International Lease
Finance
|
|
|
|
|
6.625%
11/15/13
|
|
341,000
|
|
352,083
|
8.75%
3/15/17
|
|
3,596,000
|
|
4,247,775
|
|
|
|
|
28,344,443
|
Insurance 2.05%
|
|
|
|
|
American International Group
|
|
|
|
|
6.40% 12/15/20
|
|
2,585,000
|
|
3,206,418
|
8.25% 8/15/18
|
|
505,000
|
|
655,715
|
Chubb 6.375% 3/29/67
|
|
3,030,000
|
|
3,344,363
|
MetLife
|
|
|
|
|
1.756% 12/15/17
|
|
5,105,000
|
|
5,173,509
|
6.75% 6/1/16
|
|
7,570,000
|
|
8,905,673
|
#Metropolitan Life
Global Funding I 144A 3.125% 1/11/16
|
|
7,500,000
|
|
7,939,058
|
Principal Financial Group 1.85%
11/15/17
|
|
5,050,000
|
|
5,108,191
|
Prudential Financial 5.625% 6/15/43
|
|
1,200,000
|
|
1,248,000
|
WellPoint 1.875% 1/15/18
|
|
10,535,000
|
|
10,682,110
|
#
ZFS Finance USA Trust II 144A 6.45% 12/15/65
|
|
1,015,000
|
|
1,098,738
|
|
|
|
|
47,361,775
|
Natural Gas 1.64%
|
|
|
|
|
Energy Transfer Partners
|
|
|
|
|
3.60% 2/1/23
|
|
2,525,000
|
|
2,517,839
|
8.50% 4/15/14
|
|
229,000
|
|
246,559
|
Enterprise Products
Operating 9.75% 1/31/14
|
|
4,450,000
|
|
4,782,144
|
#GDF Suez 144A 1.625%
10/10/17
|
|
7,595,000
|
|
7,642,560
|
Kinder Morgan Energy
Partners 3.50% 9/1/23
|
|
1,955,000
|
|
1,986,157
|
Sempra Energy 2.30% 4/1/17
|
|
5,490,000
|
|
5,711,741
|
Spectra Energy
Capital 3.30% 3/15/23
|
|
1,600,000
|
|
1,608,717
|
Sunoco Logistics Partners Operations
3.45% 1/15/23
|
|
4,010,000
|
|
3,975,622
|
Williams Partners
7.25% 2/1/17
|
|
7,945,000
|
|
9,565,588
|
|
|
|
|
38,036,927
|
Real Estate Investment Trusts
0.58%
|
|
|
|
|
#American Tower Trust I 144A 1.551%
3/15/18
|
|
3,775,000
|
|
3,803,681
|
Health Care REIT
3.625% 3/15/16
|
|
7,305,000
|
|
7,744,958
|
Ventas Realty 2.70% 4/1/20
|
|
1,770,000
|
|
1,778,604
|
|
|
|
|
13,327,243
|
Technology 1.81%
|
|
|
|
|
Corning 1.45% 11/15/17
|
|
3,800,000
|
|
3,820,334
|
Hewlett-Packard
|
|
|
|
|
3.00% 9/15/16
|
|
2,770,000
|
|
2,869,482
|
3.30% 12/9/16
|
|
2,735,000
|
|
2,850,792
|
Intel 2.70%
12/15/22
|
|
2,900,000
|
|
2,879,346
|
Microsoft 2.125%
11/15/22
|
|
2,660,000
|
|
2,605,566
|
National Semiconductor 6.60%
6/15/17
|
|
3,325,000
|
|
4,038,385
|
NetApp
|
|
|
|
|
2.00% 12/15/17
|
|
2,700,000
|
|
2,718,120
|
3.25% 12/15/22
|
|
1,860,000
|
|
1,834,927
|
Oracle 5.75% 4/15/18
|
|
265,000
|
|
320,118
|
Symantec 2.75%
6/15/17
|
|
2,205,000
|
|
2,276,208
|
Xerox
|
|
|
|
|
1.11%
5/16/14
|
|
2,260,000
|
|
2,256,789
|
4.25% 2/15/15
|
|
8,500,000
|
|
8,957,444
|
6.35% 5/15/18
|
|
3,890,000
|
|
4,564,156
|
|
|
|
|
41,991,667
|
Transportation
0.87%
|
|
|
|
|
Burlington Northern
Santa Fe 7.00% 2/1/14
|
|
4,235,000
|
|
4,457,656
|
CSX 5.60% 5/1/17
|
|
1,371,000
|
|
1,596,662
|
#ERAC USA Finance
144A
|
|
|
|
|
1.40% 4/15/16
|
|
1,220,000
|
|
1,228,009
|
2.25% 1/10/14
|
|
7,840,000
|
|
7,933,594
|
2.75% 7/1/13
|
|
2,095,000
|
|
2,106,248
|
#Penske Truck Leasing 144A 3.75%
5/11/17
|
|
2,700,000
|
|
2,895,237
|
|
|
|
|
20,217,406
|
Total Corporate
Bonds (cost $861,497,389)
|
|
|
|
877,831,296
|
|
|
|
|
|
Municipal Bonds 1.28%
|
|
|
|
|
Railsplitter Tobacco Settlement
Authority, Illinois Revenue 5.00% 6/1/15
|
|
3,995,000
|
|
4,329,621
|
State of California
2.50% 6/20/13
|
|
25,200,000
|
|
25,335,576
|
Total Municipal
Bonds (cost $29,422,362)
|
|
|
|
29,665,197
|
|
|
|
|
|
Non-Agency Asset-Backed Securities
24.80%
|
|
|
|
|
Ally Master Owner
Trust
|
|
|
|
|
Series 2010-4 A 1.273% 8/15/17
|
|
13,780,000
|
|
13,988,588
|
Series 2011-1 A1 1.073% 1/15/16
|
|
17,855,000
|
|
17,950,739
|
Series 2012-3 A1 0.903% 6/15/17
|
|
9,000,000
|
|
9,056,223
|
American Express Credit Account Master Trust
|
|
|
|
|
Series 2011-1 A 0.373%
4/17/17
|
|
8,010,000
|
|
8,021,230
|
Series 2011-1 B 0.903%
4/17/17
|
|
3,750,000
|
|
3,772,189
|
#
ARI Fleet Lease
Trust 144A
|
|
|
|
|
Series 2012-A A 0.753% 3/15/20
|
|
6,013,325
|
|
6,032,243
|
Series 2012-B A 0.503% 1/15/21
|
|
14,156,411
|
|
14,121,699
|
Bank of America Credit Card Trust
|
|
|
|
|
Series 2006-A7 A7 0.243%
12/15/16
|
|
2,656,000
|
|
2,655,965
|
Series 2007-A4 A4 0.243%
11/15/19
|
|
6,495,000
|
|
6,438,649
|
Series 2007-A6 A6 0.263%
9/15/16
|
|
7,915,000
|
|
7,916,718
|
Series 2007-A10 A10
0.273% 12/15/16
|
|
4,900,000
|
|
4,904,925
|
Series 2008-C5 C5 4.953%
3/15/16
|
|
15,700,000
|
|
16,092,013
|
BMW Vehicle Lease Trust Series 2012-1
A3 0.75% 2/20/15
|
|
6,575,000
|
|
6,591,733
|
#
Cabela's Master Credit Card Trust 144A
|
|
|
|
|
Series 2010-2A A2 0.903%
9/17/18
|
|
9,630,000
|
|
9,739,272
|
Series 2012-1A A2 0.733%
2/18/20
|
|
4,600,000
|
|
4,638,244
|
Series 2012-2A A2 0.683%
6/15/20
|
|
6,000,000
|
|
6,012,660
|
Capital One Multi-Asset Execution
Trust
|
|
|
|
|
Series 2004-A1
A1 0.413% 12/15/16
|
|
2,405,000
|
|
2,406,506
|
Series 2006-A8
A8 0.233% 4/15/16
|
|
2,200,000
|
|
2,199,949
|
Series 2007-A1
A1 0.253% 11/15/19
|
|
3,675,000
|
|
3,652,605
|
Series 2007-A2
A2 0.283% 12/16/19
|
|
5,000,000
|
|
4,972,625
|
Series 2007-A7 A7 5.75% 7/15/20
|
|
2,075,000
|
|
2,491,859
|
Chase Funding
Mortgage Loan Asset-Backed Certificates Series 2002-3 1A6 4.707%
6/25/32
|
|
3,106
|
|
3,117
|
Chase Issuance
Trust
|
|
|
|
|
Series 2008-A6 A6 1.403% 5/15/15
|
|
7,813,000
|
|
7,825,188
|
Series 2012-A6 A 0.333% 8/15/17
|
|
13,000,000
|
|
13,003,952
|
Series 2012-A9 A9 0.353% 10/16/17
|
|
11,500,000
|
|
11,508,878
|
Series 2012-A10 A10 0.463% 12/16/19
|
|
5,930,000
|
|
5,930,000
|
Series 2013-A2 A2 0.303% 2/15/17
|
|
10,100,000
|
|
10,101,858
|
#
Chesapeake Funding 144A
|
|
|
|
|
|
|
Series 2009-2A A 1.953%
9/15/21
|
|
|
|
10,326,501
|
|
10,370,172
|
Series 2012-1A A 0.953%
11/7/23
|
|
|
|
7,835,000
|
|
7,868,252
|
Series 2012-2A A 0.653%
5/7/24
|
|
|
|
10,620,000
|
|
10,618,237
|
Citibank Credit
Card Issuance Trust Series 2008-A6 A6 1.403% 5/22/17
|
|
|
|
7,250,000
|
|
7,416,823
|
#
Citibank Omni Master Trust Series 2009-A14A A14 144A 2.953%
8/15/18
|
|
|
|
15,780,000
|
|
16,334,762
|
Conseco Financial Series GT 1997-6 A8
7.07% 1/15/29
|
|
|
|
542,520
|
|
577,612
|
Discover Card Master Trust
|
|
|
|
|
|
|
Series 2010-A2 A2 0.783%
3/15/18
|
|
|
|
10,000,000
|
|
10,122,670
|
Series 2011-A1 A1 0.553%
8/15/16
|
|
|
|
3,620,000
|
|
3,628,026
|
Series 2011-A3 A 0.413%
3/15/17
|
|
|
|
10,940,000
|
|
10,972,065
|
Series 2011-A4 A4 0.553%
5/15/19
|
|
|
|
7,810,000
|
|
7,865,802
|
Series 2012-A4 A4 0.573%
11/15/19
|
|
|
|
10,255,000
|
|
10,309,926
|
Series 2012-A5 A5 0.403%
1/16/18
|
|
|
|
4,000,000
|
|
4,004,640
|
Series 2013-A1 A1 0.503%
8/17/20
|
|
|
|
9,300,000
|
|
9,300,000
|
#Enterprise Fleet Financing
144A
|
|
|
|
|
|
|
Series 2011-3 A2 1.62% 5/20/17
|
|
|
|
5,220,756
|
|
5,252,822
|
Series 2012-1 A2 1.14% 11/20/17
|
|
|
|
2,368,907
|
|
2,378,705
|
Ford Credit Floorplan Master Owner Trust
|
|
|
|
|
|
|
#Series 2010-3 A2 144A
1.903% 2/15/17
|
|
|
|
20,785,000
|
|
21,356,837
|
Series 2010-5 A2 0.903%
9/15/15
|
|
|
|
4,950,000
|
|
4,961,340
|
Series 2011-1 A2 0.803%
2/15/16
|
|
|
|
17,990,000
|
|
18,060,143
|
Series 2013-1 A2 0.583%
1/15/18
|
|
|
|
8,500,000
|
|
8,495,215
|
GE Capital Credit Card Master Note
Trust
|
|
|
|
|
|
|
Series 2011-1 A
0.753% 1/15/17
|
|
|
|
3,000,000
|
|
3,012,450
|
Series 2012-3 A
0.653% 3/15/20
|
|
|
|
500,000
|
|
503,236
|
Series 2012-6 A 1.36% 8/17/20
|
|
|
|
2,140,000
|
|
2,158,055
|
GE Dealer Floorplan Master Note Trust
|
|
|
|
|
|
|
Series 2012-1 A 0.773%
2/20/17
|
|
|
|
9,125,000
|
|
9,173,691
|
Series 2012-2 A 0.953%
4/22/19
|
|
|
|
24,865,000
|
|
25,188,668
|
Series 2012-3 A 0.693%
6/20/17
|
|
|
|
17,485,000
|
|
17,563,805
|
GE Equipment Transportation Series
2013-1 A3 0.69% 11/25/16
|
|
|
|
5,825,000
|
|
5,821,988
|
#Golden Credit Card
Trust 144A
|
|
|
|
|
|
|
Series 2012-2A A1 1.77%
1/15/19
|
|
|
|
1,010,000
|
|
1,037,197
|
Series 2012-3A
A 0.653% 7/17/17
|
|
|
|
17,580,000
|
|
17,710,532
|
Series 2012-5A A 0.79%
9/15/17
|
|
|
|
1,050,000
|
|
1,051,960
|
Series 2013-1A
A 0.452% 2/15/18
|
|
|
|
9,000,000
|
|
9,000,000
|
#
Gracechurch Card
Funding Series 2012-1A A1 144A 0.903% 2/15/17
|
|
|
|
14,615,000
|
|
14,770,474
|
#
MASTR Specialized Loan Trust Series 2005-2 A2 144A 5.006%
7/25/35
|
|
|
|
103,581
|
|
104,906
|
MBNA Credit Card Master Note Trust
Series 2004-B1 B1 4.45% 8/15/16
|
|
|
|
7,475,000
|
|
7,745,632
|
#
Mercedes-Benz Master Owner Trust Series 2012-BA A 144A
0.473% 11/15/16
|
|
|
|
7,345,000
|
|
7,345,000
|
#Navistar Financial Dealer Note Master
Trust 144A
|
|
|
|
|
|
|
Series 2011-1 A
1.354% 10/25/16
|
|
|
|
8,850,000
|
|
8,888,825
|
Series 2012-A A2 0.85% 3/18/15
|
|
|
|
3,447,101
|
|
3,451,896
|
Nissan Master Owner Trust Receivables
|
|
|
|
|
|
|
Series 2012-A A 0.673%
5/15/17
|
|
|
|
14,440,000
|
|
14,502,078
|
Series 2013-A A 0.503%
2/15/18
|
|
|
|
7,420,000
|
|
7,420,000
|
#
Penarth Master
Issuer Series 2011-2A A1 144A 0.953% 11/18/15
|
|
|
|
11,000,000
|
|
11,034,760
|
#
PFS Financing 144A
|
|
|
|
|
|
|
Series 2012-AA A 1.403%
2/15/16
|
|
|
|
6,705,000
|
|
6,748,797
|
Series 2013-AA A 0.753%
2/15/18
|
|
|
|
9,300,000
|
|
9,299,805
|
#
Trafigura
Securitisation Finance Series 2012-1A A 144A 2.603% 10/15/15
|
|
|
|
3,700,000
|
|
3,775,156
|
#
Volkswagen Credit Auto Master Trust Series 2011-1A 144A
0.883% 9/20/16
|
|
|
|
15,000,000
|
|
15,101,265
|
Total Non-Agency
Asset-Backed Securities (cost $573,984,657)
|
|
|
|
|
|
574,333,852
|
|
|
|
|
|
|
|
Non-Agency Collateralized Mortgage Obligations
0.04%
|
|
|
|
|
|
|
American Home Mortgage Investment Trust
Series 2005-2 5A1 5.064% 9/25/35
|
|
|
|
113,051
|
|
114,491
|
Bank of America
Alternative Loan Trust
|
|
|
|
|
|
|
Series 2005-3 2A1 5.50%
4/25/20
|
|
|
|
129,662
|
|
135,813
|
Series 2005-6 7A1 5.50%
7/25/20
|
|
|
|
96,275
|
|
100,161
|
Bank of America
Mortgage Securities Series 2002-K 2A1 2.833% 10/20/32
|
|
|
|
3,642
|
|
3,726
|
#
GSMPS Mortgage Loan Trust Series 1998-2 A 144A 7.75%
5/19/27
|
|
|
|
123,462
|
|
128,286
|
JPMorgan Mortgage
Trust Series 2006-A2 3A3 5.454% 4/25/36
|
|
|
|
325,455
|
|
292,227
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
|
|
|
|
Series 2004-EE 3A1
3.045% 12/25/34
|
|
|
|
24,700
|
|
25,591
|
Series 2006-AR5 2A1
2.639% 4/25/36
|
|
|
|
259,601
|
|
238,623
|
Total Non-Agency
Collateralized Mortgage Obligations (cost $894,943)
|
|
|
|
|
|
1,038,918
|
|
Δ
Regional Bonds 3.96%
|
|
|
|
|
|
|
Australia
3.82%
|
|
|
|
|
|
|
New South Wales
Treasury 6.00% 4/1/15
|
|
AUD
|
|
40,265,000
|
|
44,246,645
|
Queensland Treasury
|
|
|
|
|
5.75% 11/21/14
|
|
AUD
|
|
40,200,000
|
|
43,579,660
|
6.25% 6/14/19
|
|
AUD
|
|
668,000
|
|
791,924
|
|
|
|
|
|
|
88,618,229
|
Canada 0.14%
|
|
|
|
|
|
|
Province of Manitoba
Canada 1.125% 6/1/18
|
|
USD
|
|
3,150,000
|
|
3,151,701
|
|
|
|
|
|
|
3,151,701
|
Total Regional Bonds
(cost $90,747,875)
|
|
|
|
|
|
91,769,930
|
|
«
Senior Secured Loan
0.00%
|
|
|
|
|
|
|
Seven Seas Cruises 4.75%
12/21/18
|
|
|
|
83,938
|
|
85,358
|
Total
Senior Secured Loan (cost $84,099)
|
|
|
|
|
|
85,358
|
|
|
|
|
|
|
|
Δ
Sovereign Bonds
3.68%
|
|
|
|
|
|
|
Brazil
0.86%
|
|
|
|
|
|
|
Brazil
Notas do Tesouro Nacional Serie F 10.00% 1/1/15
|
|
BRL
|
|
39,160,000
|
|
19,866,027
|
|
|
|
|
|
|
19,866,027
|
Indonesia 1.42%
|
|
|
|
|
|
|
Indonesia Retail Bond
7.95% 8/15/13
|
|
IDR
|
|
315,700,000,000
|
|
32,950,081
|
|
|
|
|
|
|
32,950,081
|
Norway
0.93%
|
|
|
|
|
|
|
#Kommunalbanken 144A 1.00% 3/15/18
|
|
USD
|
|
3,288,000
|
|
3,265,556
|
Norwegian Government
6.50% 5/15/13
|
|
NOK
|
|
106,000,000
|
|
18,249,095
|
|
|
|
|
|
|
21,514,651
|
Republic of Korea
0.47%
|
|
|
|
|
|
|
Korea
Treasury Inflation-Linked Bond 2.75% 3/10/17
|
|
KRW
|
|
10,997,280,000
|
|
10,816,642
|
|
|
|
|
|
|
10,816,642
|
Total
Sovereign Bonds (cost $91,615,672)
|
|
|
|
|
|
85,147,401
|
|
|
|
|
|
|
|
U.S.
Treasury Obligations 0.95%
|
|
|
|
|
|
|
U.S. Treasury
Notes
|
|
|
|
|
|
|
∞0.75% 2/28/18
|
|
USD
|
|
16,755,000
|
|
16,753,693
|
2.00% 2/15/23
|
|
|
|
5,085,000
|
|
5,150,154
|
Total
U.S. Treasury Obligations (cost $21,854,819)
|
|
|
|
|
|
21,903,847
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
Shares
|
|
|
Preferred Stock 0.32%
|
|
|
|
|
|
|
PNC Financial Services Group
8.25%
|
|
|
|
7,260,000
|
|
7,340,564
|
Total
Preferred Stock (cost $7,271,507)
|
|
|
|
|
|
7,340,564
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
Amount
°
|
|
|
Short-Term Investments 15.86%
|
|
|
|
|
|
|
≠
Discount Notes
1.92%
|
|
|
|
|
|
|
Federal
Home Loan Bank
|
|
|
|
|
|
|
0.085% 5/24/13
|
|
USD
|
|
41,497,935
|
|
41,495,486
|
0.12% 4/2/13
|
|
|
|
3,020,873
|
|
3,020,873
|
|
|
|
|
|
|
44,516,359
|
Repurchase Agreements 4.34%
|
|
|
|
|
|
|
Bank of
America 0.07%, dated 3/28/13, to be
|
|
|
|
|
|
|
repurchased on 4/1/13, repurchase price $51,676,459
|
|
|
|
|
|
|
(collateralized by U.S. Government obligations
0.125%-1.50%
|
|
|
|
|
|
|
8/31/18-1/15/22; market value $52,709,581)
|
|
|
|
51,676,057
|
|
51,676,057
|
|
|
|
|
|
|
|
BNP
Paribas 0.15%, dated 3/28/13, to be
|
|
|
|
|
|
|
repurchased on 4/1/13, repurchase price $48,795,413
|
|
|
|
|
|
|
(collateralized by U.S. Government obligations
0.25%-0.875%
|
|
|
|
|
|
|
2/28/14-7/31/19; market value $49,819,232)
|
|
|
|
48,794,600
|
|
48,794,600
|
|
|
|
|
|
|
100,470,657
|
≠
U.S. Treasury Obligations 9.60%
|
|
|
|
|
|
|
U.S.
Treasury Bills
|
|
|
|
|
|
|
0.04% 4/11/13
|
|
|
|
49,165,531
|
|
49,165,138
|
0.058% 4/18/13
|
|
|
|
83,674,923
|
|
83,673,668
|
0.065% 4/25/13
|
|
|
|
27,973,781
|
|
27,973,166
|
0.065% 5/9/13
|
|
|
|
21,975,861
|
|
21,974,806
|
0.101% 4/15/13
|
|
|
|
39,669,836
|
|
39,669,519
|
|
|
|
|
|
|
222,456,297
|
Total
Short-Term Investments (cost $367,437,105)
|
|
|
|
|
|
367,443,313
|
Total Value of Securities
112.77%
|
|
|
|
|
(cost
$2,593,441,070)
|
|
|
2,612,032,171
|
|
z«
Liabilities Net of Receivables and Other
Assets (12.77%)
|
|
|
(295,881,856
|
)
|
Net Assets Applicable to 263,367,594 Shares
Outstanding 100.00%
|
|
$
|
2,316,150,315
|
|
°
Principal
amount is stated in the currency in which each security is denominated.
t
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.
Variable rate
security. The rate shown is the rate as of March 31, 2013. Interest rates reset
periodically.
@Illiquid security. At March 31,
2013, the aggregate value of illiquid securities was $350,364, which represented
0.02% of the Funds net assets. See Note 5 in Notes.
#Security exempt from
registration under Rule 144A of the Securities Act of 1933, as amended. At March
31, 2013, the aggregate value of Rule 144A securities was $456,192,116, which
represented 19.70% of the Funds net assets. See Note 5 in "Notes."
^Zero
coupon security. The rate shown is the yield at the time of
purchase.
Δ
Securities have been classified by
country of origin.
«Senior secured loans
generally pay interest at rates which are periodically redetermined by reference
to a base lending rate plus a premium. These base lending rates are generally:
(i) the prime rate offered by one or more United States banks, (ii) the lending
rate offered by one or more European banks such as the London Inter-Bank Offered
Rate (LIBOR), and (iii) the certificate of deposit rate. Senior secured loans
may be
subject to
restrictions on resale. Stated rate in effect at March 31,
2013.
∞
Fully or partially pledged as
collateral for futures contracts.
≠
The rate
shown is the effective yield at the time of purchase.
«
Includes foreign currency
valued at $198,239 with a cost of $208,179.
z
Of this amount,
$341,149,467 represents payable for securities purchased as of March 31,
2013.
The following foreign currency exchange
contracts, futures contracts and swap contracts were outstanding at March 31,
2013:
1
Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
Contracts to
|
|
In Exchange
|
|
Settlement
|
|
Appreciation
|
Counterparty
|
|
|
Receive
(Deliver)
|
|
For
|
|
Date
|
|
(Depreciation)
|
BAML
|
|
EUR
|
|
(21,916,330
|
)
|
|
USD
|
|
28,540,102
|
|
|
4/12/13
|
|
|
$
|
443,904
|
|
|
GSC
|
|
EUR
|
|
(34,014,848
|
)
|
|
USD
|
|
44,264,542
|
|
|
4/12/13
|
|
|
|
658,341
|
|
|
HSBC
|
|
EUR
|
|
19,180,184
|
|
|
USD
|
|
(25,111,268
|
)
|
|
4/12/13
|
|
|
|
(522,743
|
)
|
|
JPMC
|
|
EUR
|
|
8,196,528
|
|
|
USD
|
|
(10,665,323
|
)
|
|
4/12/13
|
|
|
|
(157,574
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
421,928
|
|
|
Futures
Contract
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
Contract
|
|
|
Notional
|
|
Notional
|
|
|
|
Appreciation
|
To Buy (Sell)
|
|
|
Cost
|
|
Value
|
|
Expiration Date
|
|
(Depreciation)
|
(1,996) U.S. Treasury 10yr Note
|
|
$
|
(260,890,983
|
)
|
|
$
|
(263,440,812
|
)
|
|
6/29/13
|
|
$
|
(2,549,830
|
)
|
Swap Contract
|
CDS Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
Swap
|
|
Notional
|
|
Annual Protection
|
|
Termination
|
|
Appreciation
|
Counterparty
|
|
|
Referenced
Obligation
|
|
Value
|
|
Payments
|
|
Date
|
|
(Depreciation)
|
|
|
Protection Purchased:
|
|
|
|
|
|
|
|
|
|
|
|
|
ITRAXX Europe Subordinate
|
|
|
|
|
|
|
|
|
|
|
JPMC
|
|
Financials 18.1 5 yr
CDS
|
|
EUR 10,400,000
|
|
5.00%
|
|
12/20/17
|
|
$
|
(342,822
|
)
|
The use of foreign currency exchange
contracts, futures contracts and swap contracts involves elements of market risk
and risks in excess of the amounts disclosed in the financial statements. The
notional values and foreign currency exchange contracts presented above
represent the Funds total exposure in such contracts, whereas only the net
unrealized appreciation (depreciation) is reflected in the Funds net assets.
1
See Note 3 in Notes.
Summary of Abbreviations:
ARM Adjustable Rate Mortgage
AUD
Australian Dollar
BAML Bank of America Merrill Lynch
BRL Brazilian
Real
CDO Collateralized Debt Obligation
CDS Credit Default Swap
CLO
Collateralized Loan Obligation
EUR European Monetary
Unit
FHAVA Federal Housing Administration
& Veterans Administration
GNMA Government National Mortgage
Association
GPM Graduated Payment Mortgage
GSC Goldman Sachs
Capital
GSMPS Goldman Sachs Reperforming Mortgage Securities
HSBC Hong
Kong Shanghai Bank
IDR Indonesian Rupiah
JPMC JPMorgan Chase
Bank
KRW South Korean Won
MASTR Mortgage Asset Securitization
Transactions, Inc.
NOK Norwegian
Krone
REIT Real Estate Investment
Trust
REMIC Real Estate Mortgage Investment
Conduit
S.F. Single Family
TBA To be announced
USD United States
Dollar
yr Year
1. Significant Accounting
Policies
The following accounting policies
are in accordance with U.S. generally accepted accounting principles (U.S. GAAP)
and are consistently followed by Delaware Group
®
Limited-Term
Government Funds Delaware Limited-Term Diversified Income Fund (Fund). This
report covers the period of time since the Funds last fiscal year end.
Security Valuation
Equity securities, except those traded on the Nasdaq Stock
Market, Inc. (Nasdaq), are valued at the last quoted sales price as of the time
of the regular close of the New York Stock Exchange (NYSE) on the valuation
date. 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, then the mean between the bid
and ask prices will be used, which approximates fair value. Securities listed on
a foreign exchange are normally valued at the last quoted sales price on the
valuation date. Debt securities and credit default swap (CDS) 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. U.S. government and agency securities are valued at the mean between
the bid and ask prices, which approximates fair value. Valuations for fixed
income securities utilize matrix systems, which reflect such factors as security
prices, yields, maturities, and ratings, and are supplemented by dealer and
exchange quotations. Swap prices are derived using daily swap curves and models
that incorporate a number of market data factors, such as discounted cash flows,
trades and values of the underlying reference instruments. Foreign currency
exchange contracts and foreign cross currency exchange contracts are valued at
the mean between the bid and ask prices, which approximates fair value.
Interpolated values are derived when the settlement date of the contract is an
interim date for which quotations are not available. Futures contracts and
options on futures contracts are valued at the daily quoted settlement prices.
Exchange-traded options are valued at the last reported sale price or, if no
sales are reported, at the mean between the last reported bid and ask prices,
which approximates fair value. Generally, other securities and assets for which
market quotations are not readily available are valued at fair value as
determined in good faith under the direction of the Funds Board of Trustees
(Board). In determining whether market quotations are readily available or fair
valuation will be used, various factors will be taken into consideration, such
as market closures or suspension of trading in a security. The Fund may use fair
value pricing more frequently for securities traded primarily in non-U.S.
markets because, among other things, most foreign markets close well before the
Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier
close of these foreign markets gives rise to the possibility that significant
events, including broad market moves, government actions or pronouncements,
aftermarket trading, or news events may have occurred in the interim. To account
for this, the Fund may frequently value foreign securities using fair value
prices based on third-party vendor modeling tools (international fair value
pricing).
Federal & 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 Funds 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 Funds tax positions taken for all open federal income tax years
(December 31, 2009 December 31, 2012), and has concluded that no provision for
federal income tax is required in the Funds financial statements. In regard to
foreign taxes only, the Fund has open tax years in certain foreign countries it
invests in that may date back to the inception of the Fund.
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 gains (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.
Repurchase
Agreements
The Fund may purchase certain
U.S. government securities subject to the counterpartys agreement to repurchase
them at an agreed upon date and price. The counterparty will be required on a
daily basis to maintain the value of the collateral subject to the agreement at
not less than the repurchase price (including accrued interest). The agreements
are conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Funds custodian or a third-party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements as of the date of this report were entered into on March
28, 2013.
To Be Announced
Trades
The Fund may contract to purchase
securities for a fixed price at a transaction date beyond the customary
settlement period (e.g., "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 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; however, the market value may change prior
to delivery.
Foreign Currency
Transactions
Transactions denominated in
foreign currencies are recorded at the prevailing exchange rates on the
valuation date in accordance with the Funds prospectus. The value of all assets
and liabilities denominated in foreign currencies is translated daily into U.S.
dollars at the exchange rate of such currencies against the U.S. 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 isolates 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. The Fund reports certain foreign currency
related transactions as components of realized gains (losses) for financial
reporting purposes, whereas such components are treated as ordinary income
(loss) for federal income tax purposes.
Use of Estimates
The preparation of financial statements in conformity with
U.S. 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
Investments
®
Family of Funds are generally allocated among such funds
on the basis of average net assets. Management fees and some other expenses are
paid monthly. Security transactions are recorded on the date the securities are
purchased or sold (trade date) for financial reporting purposes. Costs used in
calculating realized gains and losses on the sale of investment securities are
those of the specific securities sold. Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Discounts
and premiums on debt securities are amortized to interest income over the lives
of the respective securities using the effective interest method. Realized gains
(losses) on paydowns of asset- and mortgage-backed securities are classified as
interest income. The Fund declares dividends daily from net investment income
and pays such dividends monthly and declares and pays distributions from net
realized gain on investments, if any, annually. The Fund may distribute income
dividends and capital gains more frequently, if necessary for tax purposes.
Dividends and distributions, if any, are recorded on the ex-dividend date.
2. Investments
At March 31, 2013, the cost of investments for federal income
tax purposes has been estimated since final tax characteristics cannot be
determined until fiscal year end. At March 31, 2013, the cost of investments and
unrealized appreciation (depreciation) for the Fund were as follows:
Cost of
investments
|
$
|
2,593,748,376
|
|
Aggregate unrealized
appreciation
|
$
|
32,772,319
|
|
Aggregate unrealized
depreciation
|
|
(14,488,524
|
)
|
Net unrealized appreciation
|
$
|
18,283,795
|
|
U.S. 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 entitys own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Funds investment
in its entirety is assigned a level based upon the observability of the inputs
which are significant to the overall valuation. The three level hierarchy of
inputs is summarized below.
Level 1 - inputs are quoted prices in
active markets for identical investments (e.g., equity securities, open-end
investment companies, futures contracts, exchange-traded options
contracts)
Level 2 - other observable inputs
(including, but not limited to: quoted prices for similar assets or liabilities
in markets that are active, quoted prices for identical or similar assets or
liabilities in markets that are not active, inputs other than quoted prices that
are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) (e.g., debt securities,
government securities, swap contracts, foreign currency exchange contracts,
foreign securities utilizing international fair value pricing, broker-quoted
securities, fair valued securities)
Level 3 - inputs are significant
unobservable inputs (including the Fund's own assumptions used to determine the
fair value of investments) (e.g., broker-quoted securities, fair valued
securities)
Level 3 investments are valued using
significant unobservable inputs. The Fund may also use an income-based valuation
approach in which the anticipated future cash flows of the investment are
discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Funds investments by fair value hierarchy levels as of March
31, 2013:
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
Agency, Asset- &
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed
Securities
|
|
$
|
-
|
|
|
$
|
1,118,086,823
|
|
|
$
|
-
|
|
$
|
1,118,086,823
|
|
Corporate Debt
|
|
|
-
|
|
|
|
886,142,621
|
|
|
|
4,532,475
|
|
|
890,675,096
|
|
Foreign Debt
|
|
|
-
|
|
|
|
176,917,331
|
|
|
|
-
|
|
|
176,917,331
|
|
Municipal Bonds
|
|
|
-
|
|
|
|
29,665,197
|
|
|
|
-
|
|
|
29,665,197
|
|
U.S. Treasury Obligations
|
|
|
-
|
|
|
|
21,903,847
|
|
|
|
-
|
|
|
21,903,847
|
|
Preferred Stock
|
|
|
-
|
|
|
|
7,340,564
|
|
|
|
-
|
|
|
7,340,564
|
|
Short-Term Investments
|
|
|
-
|
|
|
|
367,443,313
|
|
|
|
-
|
|
|
367,443,313
|
|
Total
|
|
$
|
-
|
|
|
$
|
2,607,499,696
|
|
|
$
|
4,532,475
|
|
$
|
2,612,032,171
|
|
|
Foreign Currency Exchange
Contracts
|
$
|
-
|
|
|
$
|
421,928
|
|
|
$
|
-
|
|
$
|
421,928
|
|
Futures Contract
|
|
|
(2,549,830
|
)
|
|
|
-
|
|
|
|
-
|
|
|
(2,549,830
|
)
|
Swap Contract
|
|
|
-
|
|
|
|
(342,822
|
)
|
|
|
-
|
|
|
(342,822
|
)
|
During the period ended March 31, 2013,
there were no transfers between Level 1 investments, Level 2 investments or
Level 3 investments that had a significant impact to the Fund. The Funds policy
is to recognize transfers between levels at the beginning of the reporting
period.
A reconciliation of Level 3 investments
is presented when the Fund has a significant amount of Level 3 investments at
the beginning, interim or end of the period in relation to net assets.
Management has determined not to provide additional disclosure on Level 3 inputs
under ASU No. 2011-04 since the Level 3 investments are not considered
significant to the Funds net assets at the end of the period.
3. Derivatives
U.S. 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 U.S. 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 use these contracts to
hedge the U.S. dollar value of securities it already owns that are denominated
in foreign currencies. 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.
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 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 fair value caused by changes in prevailing market interest
rates. Upon entering into a futures contract, the Fund deposits cash or pledges
U.S 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 exchanges
clearinghouse, as counterparty to all exchange-traded futures, guarantees
against default.
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
Funds exposure to changes in securities prices and foreign currencies; as an
efficient means of adjusting the Funds 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 options 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 options written.
Premiums received from writing options that expire unexercised are treated by
the Fund on the expiration date as realized gains. The difference between the
premium received and the amount paid on effecting a closing purchase
transaction, including brokerage commissions, is treated as realized gain or
loss. If a call option is exercised, the premium is added to the proceeds from
the sale of the underlying security in determining whether the Fund has a
realized gain or loss. If a put option is exercised, the premium reduces the
cost basis of the securities purchased by the Fund. The Fund, as writer of an
option, bears the market risk of an unfavorable change in the price of the
security underlying the written option. When writing options, the Fund is
subject to minimal counterparty risk because the counterparty is only obligated
to pay premiums and does not bear the market risk of an unfavorable market
change. There were no transactions in options contracts during the period ended
March 31, 2013.
Swap Contracts
The Fund enters into CDS contracts in the normal course of
pursuing its investment objective. 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.
Credit Default
Swaps.
A CDS contract is a risk-transfer
instrument through which one party (purchaser of protection) transfers to
another party (seller of protection) the financial risk of a credit event (as
defined in the CDS agreement), as it relates to a particular reference security
or basket of securities (such as an index). In exchange for the protection
offered by the seller of protection, the purchaser of protection agrees to pay
the seller of protection a periodic amount at a stated rate that is applied to
the notional amount of the CDS contract. In addition, an upfront payment may be
made or received by 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 period ended March 31, 2013,
the Fund entered into CDS contracts as a purchaser of protection. Periodic
payments on such contracts are accrued daily and recorded as unrealized losses
on swap contracts. Upon payment, such amounts are recorded as realized losses 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 as unrealized appreciation or depreciation daily. 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. The Fund had posted
$3,260,000 in cash collateral for certain open derivatives. The Fund also
received $510,000 in cash collateral and $597,000 in securities collateral for
certain open derivatives.
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 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.
Swaps Generally.
The value of open swaps may differ from that which would be
realized in the event the Fund terminated its position in the agreement. Risks
of entering into these contracts include the potential inability of the
counterparty to meet the terms of the contracts. This type of risk is generally
limited to the amount of favorable movement in the value of the underlying
security, instrument or basket of instruments, if any, at the day of default.
Risks also arise from potential losses from adverse market movements and such
losses could exceed the unrealized amounts shown on the schedule of investments.
4
.
Securities
Lending
The Fund, along with other funds
in the Delaware Investments
®
Family of Funds, may lend its securities
pursuant to a security lending agreement (Lending Agreement) with The Bank of
New York Mellon (BNY Mellon). At the time a security is loaned, the borrower
must post collateral equal to the required percentage of the market value of the
loaned security, including any accrued interest. The required percentage is: (i)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. dollars; and (ii) 105% with respect to foreign securities.
With respect to each loan, if on any business day the aggregate market value of
securities collateral plus cash collateral held is less than the aggregate
market value of the securities which are the subject of such loan, the borrower
will be notified to provide additional collateral by the end of the following
business day which, together with the collateral already held, will be not less
than the applicable initial collateral requirements for such security loan. If
the aggregate market value of securities collateral and cash collateral held
with respect to a security loan exceeds the applicable initial collateral
requirement, upon request of the borrower BNY Mellon must return enough
collateral to the borrower by the end of the following business day to reduce
the value of the remaining collateral to the applicable initial collateral
requirement for such security loan. As a result of the foregoing, the value of
the collateral held with respect to a loaned security may be temporarily more or
less than the value of the security on loan.
Cash collateral received is generally
invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust)
established by BNY Mellon for the purpose of investment on behalf of funds
managed by Delaware Management Company (DMC), a series of Delaware Management
Business Trust, that participate in BNY Mellons securities lending program. The
Collective Trust may invest in U.S. government securities and high quality
corporate debt, asset-backed and other money market securities and in repurchase
agreements collateralized by such securities, provided that the Collective Trust
will generally have a dollar-weighted average portfolio maturity of 60 days or
less. The Fund can also accept U.S. 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 Collective Trust used for the
investment of cash collateral received from borrowers of securities seeks to
maintain a net asset value per unit of $1.00, but there can be no assurance that
it will always be able to do so. The Fund may incur investment losses as a
result of investing securities lending collateral in the Collective Trust. This
could occur if an investment in the Collective Trust defaulted or if it were
necessary to liquidate assets in the Collective Trust to meet returns on
outstanding security loans at a time when the Collective Trusts net asset value
per unit was less than $1.00. Under those circumstances, the Fund may not
receive an amount from the Collective Trust that is equal in amount to the
collateral the Fund would be required to return to the borrower of the
securities and the Fund would be required to make up for this shortfall.
During the period ended March 31, 2013,
the Fund had no securities out on loan.
5. Credit and Market Risk
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 countrys balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
The securities exchanges of certain
foreign markets are substantially smaller, less liquid and more volatile than
the major securities markets in the United States. Consequently, acquisition and
disposition of securities by 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 high yield fixed
income securities, which are securities rated lower than BBB- by Standard &
Poors and Baa3 by Moodys Investors Service, 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.
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 markets perception of the issuers and
changes in interest rates. Investors receive principal and interest payments as
the underlying mortgages and consumer loans are paid back. Some of these
securities are collateralized mortgage obligations (CMOs). CMOs are debt
securities issued by U.S. government agencies or by financial institutions and
other mortgage lenders, which are collateralized by a pool of mortgages held
under an indenture. Prepayment of mortgages may shorten the stated maturity of
the obligations and can result in a loss of premium, if any has been paid.
Certain of these securities may be stripped (securities which provide only the
principal or interest feature of the underlying security). The yield to maturity
on an interest-only CMO is extremely sensitive not only to changes in prevailing
interest rates, but also to the rate of principal payments (including
prepayments) on the related underlying mortgage assets. A rapid rate of
principal payments may have a material adverse effect on the Funds 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 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 of
the Securities Act of 1933, as amended, and other securities which may not be
readily marketable. The relative illiquidity of these securities may impair the
Fund from disposing of them in a timely manner and at a fair price when it is
necessary or desirable to do so. While maintaining oversight, the Funds Board
has delegated to DMC, the day-to-day functions of determining whether individual
securities are liquid for purposes of the Funds 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 Funds 15% limit on
investments in illiquid securities. Rule 144A and illiquid securities have been
identified on the schedule of investments.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to March 31, 2013 that would
require recognition or disclosure in the Funds schedule of investments.
Item 2. Controls and Procedures.
The registrants principal executive
officer and principal financial officer have evaluated the registrants
disclosure controls and procedures within 90 days of the filing of this report
and have concluded that they are effective in providing reasonable assurance
that the information required to be disclosed by the registrant in its reports
or statements filed under the Securities Exchange Act of 1934 is recorded,
processed, summarized and reported within the time periods specified in the
rules and forms of the Securities and Exchange Commission.
There were no significant changes in
the registrants internal control over financial reporting that occurred during
the registrants last fiscal quarter that have materially affected, or are
reasonably likely to materially affect, the registrants internal control over
financial reporting.
Item 3. Exhibits.
File as exhibits as part of this
Form a separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2(a) under the Act
(17 CFR 270.30a-2(a)), exactly as set forth below:
Global Acquisitions (PK) (USOTC:AASP)
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