UNITED STATES
SECURITIES AND EXCHANGE
COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF
PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number:
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811-06322
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Exact name of registrant as specified in charter:
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Delaware Pooled
®
Trust
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|
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Address of principal executive offices:
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|
2005
Market Street
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|
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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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Registrant’s 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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|
October 31
|
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Date
of reporting period:
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January 31, 2014
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Item 1. Schedule of Investments.
Schedule of investments
Delaware Pooled
®
Trust — The Core Focus Fixed Income Portfolio
January 31, 2014 (Unaudited)
|
|
|
Principal
|
|
Value
|
|
|
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amount°
|
|
(U.S. $)
|
|
Agency Asset-Backed
Security – 0.43%
|
|
|
|
|
Fannie Mae
Grantor Trust
|
|
|
|
|
|
|
Series 2003-T4 2A5
|
|
|
|
|
|
|
5.407% 9/26/33
|
|
19,257
|
|
$
|
21,238
|
|
Total Agency Asset-Backed Security
(cost
|
|
|
|
|
$19,070)
|
|
|
|
|
21,238
|
|
|
|
Agency
Collateralized Mortgage Obligations – 2.09%
|
|
Fannie Mae
REMICs
|
|
|
|
|
|
|
Series 2010-35 AB
|
|
|
|
|
|
|
5.00% 11/25/49
|
|
8,671
|
|
|
9,355
|
|
Series 2011-105 FP
|
|
|
|
|
|
|
0.558% 6/25/41
•
|
|
43,220
|
|
|
43,054
|
|
Series 2011-134 PA
|
|
|
|
|
|
|
4.00% 9/25/40
|
|
5,347
|
|
|
5,584
|
|
Series 2012-19 HB
|
|
|
|
|
|
|
4.00% 1/25/42
|
|
11,241
|
|
|
11,671
|
|
Series 3800 AF
|
|
|
|
|
|
|
0.66% 2/15/41
•
|
|
33,542
|
|
|
33,697
|
|
Total Agency Collateralized
Mortgage
|
|
|
|
|
Obligations
(cost $103,084)
|
|
|
|
|
103,361
|
|
|
|
Agency
Mortgage-Backed Securities – 24.27%
|
|
|
Fannie
Mae
|
|
|
|
|
|
|
4.50% 5/1/41
|
|
2,892
|
|
|
3,073
|
|
5.50% 1/1/36
|
|
2,777
|
|
|
3,058
|
|
Fannie Mae
ARM
|
|
|
|
|
|
|
2.411% 5/1/43
•
|
|
2,796
|
|
|
2,753
|
|
2.546% 6/1/43
•
|
|
999
|
|
|
992
|
|
3.293% 9/1/43
•
|
|
3,974
|
|
|
4,077
|
|
Fannie Mae S.F.
15 yr
|
|
|
|
|
|
|
2.50% 7/1/27
|
|
762
|
|
|
767
|
|
2.50% 2/1/28
|
|
15,576
|
|
|
15,675
|
|
2.50% 5/1/28
|
|
1,872
|
|
|
1,880
|
|
3.00% 3/1/27
|
|
119,437
|
|
|
123,420
|
|
3.50% 7/1/26
|
|
2,725
|
|
|
2,876
|
|
4.00% 11/1/25
|
|
32,728
|
|
|
35,077
|
|
4.50% 4/1/18
|
|
396
|
|
|
424
|
|
4.50% 8/1/19
|
|
2,252
|
|
|
2,411
|
|
5.00% 1/1/20
|
|
2,222
|
|
|
2,379
|
|
5.00% 6/1/20
|
|
287
|
|
|
308
|
|
5.00% 2/1/21
|
|
1,437
|
|
|
1,539
|
|
6.00% 12/1/20
|
|
534
|
|
|
562
|
|
Fannie Mae S.F.
15 yr TBA
|
|
|
|
|
|
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2.50% 2/1/29
|
|
164,000
|
|
|
164,512
|
|
3.00% 2/1/29
|
|
54,000
|
|
|
55,730
|
|
3.50% 2/1/29
|
|
112,000
|
|
|
118,055
|
|
Fannie Mae S.F.
20 yr
|
|
|
|
|
|
|
3.00% 2/1/33
|
|
5,632
|
|
|
5,668
|
|
3.00% 8/1/33
|
|
1,950
|
|
|
1,963
|
|
3.50% 9/1/33
|
|
1,958
|
|
|
2,036
|
|
5.00% 11/1/23
|
|
320
|
|
|
349
|
|
5.50% 12/1/29
|
|
1,044
|
|
|
1,153
|
|
6.00% 12/1/21
|
|
276
|
|
|
305
|
|
6.00% 9/1/29
|
|
1,881
|
|
|
2,097
|
|
Fannie Mae S.F.
30 yr
|
|
|
|
|
|
|
3.00% 10/1/42
|
|
43,815
|
|
|
42,645
|
|
3.00% 12/1/42
|
|
9,244
|
|
|
8,998
|
|
3.00% 1/1/43
|
|
19,644
|
|
|
19,119
|
|
3.00% 4/1/43
|
|
10,537
|
|
|
10,256
|
|
3.50% 3/1/43
|
|
5,682
|
|
|
5,778
|
|
4.00% 11/1/40
|
|
1,283
|
|
|
1,346
|
|
4.00% 1/1/41
|
|
6,899
|
|
|
7,232
|
|
4.00% 7/1/41
|
|
8,727
|
|
|
9,152
|
|
4.00% 3/1/42
|
|
2,583
|
|
|
2,708
|
|
4.00% 1/1/43
|
|
4,311
|
|
|
4,520
|
|
4.50% 7/1/36
|
|
815
|
|
|
875
|
|
4.50% 11/1/40
|
|
3,112
|
|
|
3,340
|
|
4.50% 2/1/41
|
|
1,475
|
|
|
1,583
|
|
4.50% 3/1/41
|
|
8,077
|
|
|
8,669
|
|
4.50% 5/1/41
|
|
928
|
|
|
998
|
|
4.50% 10/1/41
|
|
6,417
|
|
|
6,885
|
|
4.50% 11/1/41
|
|
4,214
|
|
|
4,521
|
|
4.50% 9/1/43
|
|
2,865
|
|
|
3,076
|
|
5.00% 2/1/35
|
|
18,018
|
|
|
19,715
|
|
5.00% 10/1/35
|
|
1,488
|
|
|
1,625
|
|
5.50% 2/1/33
|
|
2,737
|
|
|
3,023
|
|
5.50% 4/1/34
|
|
986
|
|
|
1,088
|
|
5.50% 8/1/34
|
|
309
|
|
|
341
|
|
5.50% 11/1/34
|
|
1,310
|
|
|
1,444
|
|
5.50% 1/1/35
|
|
298
|
|
|
328
|
|
5.50% 2/1/35
|
|
2,545
|
|
|
2,846
|
|
5.50% 5/1/35
|
|
1,758
|
|
|
1,952
|
|
5.50% 5/1/36
|
|
541
|
|
|
596
|
|
5.50% 7/1/36
|
|
965
|
|
|
1,063
|
|
5.50% 1/1/37
|
|
1,934
|
|
|
2,132
|
|
5.50% 8/1/37
|
|
4,934
|
|
|
5,439
|
|
5.50% 2/1/38
|
|
1,903
|
|
|
2,097
|
|
5.50% 9/1/38
|
|
3,378
|
|
|
3,719
|
|
5.50% 12/1/38
|
|
8,247
|
|
|
9,086
|
|
6.00% 7/1/35
|
|
6,026
|
|
|
6,729
|
|
6.00% 10/1/35
|
|
6,406
|
|
|
7,089
|
|
6.00% 8/1/37
|
|
1,411
|
|
|
1,575
|
|
6.00% 9/1/37
|
|
668
|
|
|
742
|
|
6.00% 4/1/38
|
|
3,852
|
|
|
4,264
|
|
6.00% 9/1/39
|
|
16,971
|
|
|
18,785
|
(continues)
NQ-DPT-197 [1/14] 3/14 (12239)
1
Schedule of
investments
Delaware
Pooled
®
Trust — The Core
Focus Fixed Income Portfolio
|
|
Principal
|
|
Value
|
|
|
amount°
|
|
(U.S. $)
|
|
Agency Mortgage-Backed
Securities
(continued)
|
|
|
|
|
Fannie Mae S.F.
30 yr
|
|
|
|
|
|
6.00% 10/1/39
|
1,024
|
|
$
|
1,135
|
|
6.00% 4/1/40
|
25
|
|
|
28
|
|
6.50% 11/1/36
|
1,241
|
|
|
1,383
|
|
6.50% 10/1/39
|
1,777
|
|
|
1,980
|
|
Fannie Mae S.F.
30 yr TBA
|
|
|
|
|
|
3.00% 2/1/44
|
99,000
|
|
|
96,247
|
|
4.00% 2/1/44
|
6,000
|
|
|
6,285
|
|
4.50% 3/1/44
|
158,000
|
|
|
168,986
|
|
Freddie
Mac
|
|
|
|
|
|
4.50% 1/1/41
|
5,039
|
|
|
5,334
|
|
Freddie Mac
S.F. 15 yr
|
|
|
|
|
|
4.50% 8/1/24
|
3,047
|
|
|
3,290
|
|
Freddie Mac
S.F. 30 yr
|
|
|
|
|
|
3.00% 10/1/42
|
4,517
|
|
|
4,388
|
|
3.00% 11/1/42
|
3,734
|
|
|
3,627
|
|
4.00% 11/1/40
|
3,249
|
|
|
3,396
|
|
4.00% 12/1/40
|
53,887
|
|
|
56,315
|
|
4.50% 10/1/39
|
5,127
|
|
|
5,491
|
|
4.50% 3/1/42
|
16,074
|
|
|
17,220
|
|
4.50% 10/1/43
|
962
|
|
|
1,036
|
|
5.50% 1/1/35
|
9,216
|
|
|
10,128
|
|
5.50% 1/1/37
|
9,075
|
|
|
9,950
|
|
6.00% 8/1/38
|
10,517
|
|
|
11,696
|
|
Total Agency Mortgage-Backed
Securities
|
|
|
|
|
(cost
$1,193,345)
|
|
|
|
1,198,433
|
|
|
|
Commercial Mortgage-Backed
Securities – 2.27%
|
|
|
|
|
Bear Stearns
Commercial
|
|
|
|
|
|
Mortgage Securities
|
|
|
|
|
|
Trust
|
|
|
|
|
|
Series 2006-PW12 A4
|
|
|
|
|
|
5.71% 9/11/38
•
|
45,000
|
|
|
49,238
|
|
Credit Suisse
Commercial
|
|
|
|
|
|
Mortgage Trust
|
|
|
|
|
|
Series 2006-C1 AAB
|
|
|
|
|
|
5.465% 2/15/39
•
|
9,463
|
|
|
9,647
|
|
Goldman Sachs
Mortgage
|
|
|
|
|
|
Securities II
|
|
|
|
|
|
Series 2005-GG4 A4A
|
|
|
|
|
|
4.751% 7/10/39
|
14,370
|
|
|
14,863
|
|
JPMorgan
Chase
|
|
|
|
|
|
Commercial Mortgage
|
|
|
|
|
|
Securities Trust
|
|
|
|
|
|
Series 2005-LDP5 A4
|
|
|
|
|
|
5.24% 12/15/44
•
|
10,000
|
|
|
10,647
|
|
JPMorgan
Chase
|
|
|
|
|
|
Commercial Mortgage
|
|
|
|
|
|
Securities Trust
|
|
|
|
|
|
Series 2006-LDP8 AM
|
|
|
|
|
|
5.44% 5/15/45
|
25,000
|
|
|
27,428
|
|
Total Commercial Mortgage-Backed
|
|
|
|
|
|
Securities
(cost $106,149)
|
|
|
|
111,823
|
|
|
|
Corporate Bonds –
30.85%
|
|
|
|
|
|
Banking
–
5.98%
|
|
|
|
|
|
Abbey National
Treasury
|
|
|
|
|
|
Services
|
|
|
|
|
|
3.05% 8/23/18
|
5,000
|
|
|
5,172
|
|
Bank of
America
|
|
|
|
|
|
2.60% 1/15/19
|
5,000
|
|
|
5,034
|
|
4.125% 1/22/24
|
20,000
|
|
|
20,235
|
|
City
National
|
|
|
|
|
|
5.25% 9/15/20
|
10,000
|
|
|
11,002
|
|
Fifth Third
Bancorp
|
|
|
|
|
|
4.30% 1/16/24
|
15,000
|
|
|
14,997
|
|
Goldman Sachs
Group
|
|
|
|
|
|
2.625% 1/31/19
|
15,000
|
|
|
15,030
|
|
HSBC
Holdings
|
|
|
|
|
|
4.00% 3/30/22
|
15,000
|
|
|
15,570
|
|
JPMorgan
Chase
|
|
|
|
|
|
3.875% 2/1/24
|
20,000
|
|
|
20,007
|
|
6.75% 8/29/49
•
|
10,000
|
|
|
10,185
|
|
KeyCorp 2.30%
12/13/18
|
5,000
|
|
|
5,006
|
|
Morgan
Stanley
|
|
|
|
|
|
2.50% 1/24/19
|
10,000
|
|
|
9,985
|
|
4.10% 5/22/23
|
15,000
|
|
|
14,636
|
|
5.00% 11/24/25
|
10,000
|
|
|
10,168
|
|
Northern
Trust
|
|
|
|
|
|
3.95% 10/30/25
|
10,000
|
|
|
10,055
|
|
PNC
Funding
|
|
|
|
|
|
5.625% 2/1/17
|
23,000
|
|
|
25,673
|
|
Santander
Holdings USA
|
|
|
|
|
|
3.45% 8/27/18
|
5,000
|
|
|
5,190
|
|
State
Street
|
|
|
|
|
|
3.10% 5/15/23
|
10,000
|
|
|
9,479
|
|
SunTrust
Bank
|
|
|
|
|
|
2.35% 11/1/18
|
5,000
|
|
|
5,038
|
|
SVB Financial
Group
|
|
|
|
|
|
5.375% 9/15/20
|
15,000
|
|
|
16,914
|
|
US
Bancorp
|
|
|
|
|
|
3.70% 1/30/24
|
35,000
|
|
|
35,317
|
2 NQ-DPT-197 [1/14] 3/14
(12239)
|
|
Principal
|
|
Value
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Banking (continued)
|
|
|
|
|
|
Wachovia
|
|
|
|
|
|
0.609% 10/15/16
•
|
5,000
|
|
$
|
4,984
|
|
Wells Fargo
|
|
|
|
|
|
3.00% 1/22/21
|
5,000
|
|
|
5,030
|
|
4.125% 8/15/23
|
5,000
|
|
|
4,998
|
|
144A 4.48% 1/16/24 #
|
5,000
|
|
|
5,116
|
|
Zions Bancorp
|
|
|
|
|
|
4.50% 3/27/17
|
10,000
|
|
|
10,662
|
|
|
|
|
|
295,483
|
|
Basic Industry
–
2.24%
|
|
|
|
|
|
Barrick Gold
|
|
|
|
|
|
4.10% 5/1/23
|
10,000
|
|
|
9,248
|
|
CF Industries
|
|
|
|
|
|
6.875% 5/1/18
|
20,000
|
|
|
23,399
|
|
Dow Chemical
|
|
|
|
|
|
8.55% 5/15/19
|
10,000
|
|
|
12,881
|
|
FMC 4.10%
2/1/24
|
5,000
|
|
|
5,096
|
|
Georgia-Pacific
|
|
|
|
|
|
8.00% 1/15/24
|
10,000
|
|
|
13,216
|
|
International
Paper
|
|
|
|
|
|
6.00% 11/15/41
|
5,000
|
|
|
5,700
|
|
Lubrizol 5.50%
10/1/14
|
5,000
|
|
|
5,169
|
|
Mosaic 5.625%
11/15/43
|
5,000
|
|
|
5,151
|
|
Packaging Corp. of
America
|
|
|
|
|
|
4.50% 11/1/23
|
5,000
|
|
|
5,163
|
|
Rio Tinto Finance
U.S.A.
|
|
|
|
|
|
3.50% 11/2/20
|
10,000
|
|
|
10,265
|
|
Rock-Tenn 3.50%
3/1/20
|
5,000
|
|
|
5,079
|
|
Teck Resources
|
|
|
|
|
|
3.75% 2/1/23
|
5,000
|
|
|
4,757
|
|
Weyerhaeuser
|
|
|
|
|
|
4.625% 9/15/23
|
5,000
|
|
|
5,210
|
|
|
|
|
|
110,334
|
|
Brokerage
–
0.69%
|
|
|
|
|
|
Jefferies
Group
|
|
|
|
|
|
6.45% 6/8/27
|
19,000
|
|
|
20,253
|
|
Lazard Group
|
|
|
|
|
|
6.85% 6/15/17
|
12,000
|
|
|
13,766
|
|
|
|
|
|
34,019
|
|
Capital Goods
–
0.41%
|
|
|
|
|
|
Crane 2.75%
12/15/18
|
5,000
|
|
|
5,077
|
|
Ingersoll-Rand
Global
|
|
|
|
|
|
Holding 144A
|
|
|
|
|
|
4.25% 6/15/23 #
|
15,000
|
|
|
15,301
|
|
Ingersoll-Rand
Global
|
|
|
|
|
|
Holding 144A
|
|
|
|
|
|
4.25% 6/15/23 #
|
15,000
|
|
|
15,301
|
|
|
|
|
|
20,378
|
|
Communications
–
1.93%
|
|
|
|
|
|
American Tower
|
|
|
|
|
|
5.00% 2/15/24
|
15,000
|
|
|
15,822
|
|
AT&T 4.30%
12/15/42
|
5,000
|
|
|
4,332
|
|
Crown Castle Towers
144A
|
|
|
|
|
|
4.883% 8/15/20 #
|
20,000
|
|
|
21,805
|
|
Interpublic
Group
|
|
|
|
|
|
3.75% 2/15/23
|
5,000
|
|
|
4,836
|
|
Orange 2.75%
2/6/19
|
10,000
|
|
|
10,051
|
|
Qwest 6.75%
12/1/21
|
5,000
|
|
|
5,591
|
|
Verizon
Communications
|
|
|
|
|
|
5.15% 9/15/23
|
30,000
|
|
|
32,677
|
|
|
|
|
|
95,114
|
|
Consumer Cyclical
–
2.34%
|
|
|
|
|
|
CVS Caremark
|
|
|
|
|
|
4.00% 12/5/23
|
10,000
|
|
|
10,256
|
|
eBay 4.00%
7/15/42
|
5,000
|
|
|
4,259
|
|
Home Depot
|
|
|
|
|
|
3.75% 2/15/24
|
5,000
|
|
|
5,128
|
|
Host Hotels &
Resorts
|
|
|
|
|
|
3.75% 10/15/23
|
5,000
|
|
|
4,795
|
|
5.25% 3/15/22
|
10,000
|
|
|
10,717
|
|
International
Game
|
|
|
|
|
|
Technology
|
|
|
|
|
|
5.35% 10/15/23
|
15,000
|
|
|
15,888
|
|
Marriott
International
|
|
|
|
|
|
3.375% 10/15/20
|
5,000
|
|
|
5,044
|
|
QVC 4.375%
3/15/23
|
20,000
|
|
|
19,291
|
|
TRW Automotive
144A
|
|
|
|
|
|
4.45% 12/1/23 #
|
5,000
|
|
|
4,862
|
|
Viacom 4.25%
9/1/23
|
15,000
|
|
|
15,371
|
|
Wyndham
Worldwide
|
|
|
|
|
|
4.25% 3/1/22
|
15,000
|
|
|
15,159
|
|
Yum Brands
|
|
|
|
|
|
3.875% 11/1/23
|
5,000
|
|
|
4,985
|
|
|
|
|
|
115,755
|
|
Consumer
Non-Cyclical
–
1.48%
|
|
|
|
|
|
Anheuser-Busch
InBev
|
|
|
|
|
|
Finance 3.70% 2/1/24
|
5,000
|
|
|
5,088
|
|
Boston
Scientific
|
|
|
|
|
|
2.65% 10/1/18
|
5,000
|
|
|
5,092
|
(continues)
NQ-DPT-197 [1/14] 3/14 (12239)
3
Schedule of
investments
Delaware
Pooled
®
Trust — The Core
Focus Fixed Income Portfolio
|
|
Principal
|
|
Value
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Consumer Non-Cyclical
(continued)
|
|
|
|
|
|
Boston
Scientific
|
|
|
|
|
|
6.00% 1/15/20
|
5,000
|
|
$
|
5,816
|
|
CareFusion
|
|
|
|
|
|
6.375% 8/1/19
|
10,000
|
|
|
11,591
|
|
Celgene 3.95%
10/15/20
|
10,000
|
|
|
10,615
|
|
Kroger 3.30%
1/15/21
|
15,000
|
|
|
15,080
|
|
Thermo Fisher
Scientific
|
|
|
|
|
|
4.15% 2/1/24
|
10,000
|
|
|
10,187
|
|
Zoetis 3.25%
2/1/23
|
10,000
|
|
|
9,621
|
|
|
|
|
|
73,090
|
|
Electric
–
4.71%
|
|
|
|
|
|
Ameren
Illinois
|
|
|
|
|
|
9.75% 11/15/18
|
35,000
|
|
|
46,698
|
|
American
Transmission
|
|
|
|
|
|
Systems 144A
|
|
|
|
|
|
5.25% 1/15/22 #
|
5,000
|
|
|
5,425
|
|
CenterPoint
Energy
|
|
|
|
|
|
5.95% 2/1/17
|
5,000
|
|
|
5,647
|
|
Cleveland
Electric
|
|
|
|
|
|
Illuminating
|
|
|
|
|
|
5.50% 8/15/24
|
5,000
|
|
|
5,553
|
|
Electricite de France
144A
|
|
|
|
|
|
4.875% 1/22/44 #
|
15,000
|
|
|
14,644
|
|
Entergy
Louisiana
|
|
|
|
|
|
4.05% 9/1/23
|
10,000
|
|
|
10,452
|
|
Exelon
Generation
|
|
|
|
|
|
4.25% 6/15/22
|
15,000
|
|
|
14,801
|
|
Great Plains
Energy
|
|
|
|
|
|
5.292% 6/15/22
|
10,000
|
|
|
11,037
|
|
Integrys Energy
Group
|
|
|
|
|
|
6.11% 12/1/66
•
|
10,000
|
|
|
10,094
|
|
LG&E & KU
Energy
|
|
|
|
|
|
3.75% 11/15/20
|
5,000
|
|
|
5,209
|
|
4.375% 10/1/21
|
15,000
|
|
|
15,832
|
|
MidAmerican
Energy
|
|
|
|
|
|
Holdings 144A
|
|
|
|
|
|
3.75% 11/15/23 #
|
15,000
|
|
|
14,950
|
|
Narragansett Electric
144A
|
|
|
|
|
|
4.17% 12/10/42 #
|
5,000
|
|
|
4,659
|
|
National Rural
Utilities
|
|
|
|
|
|
Cooperative Finance
|
|
|
|
|
|
4.75% 4/30/43
•
|
5,000
|
|
|
4,712
|
|
NextEra Energy
Capital
|
|
|
|
|
|
Holdings
|
|
|
|
|
|
3.625% 6/15/23
|
5,000
|
|
|
4,866
|
|
NextEra Energy
Capital
|
|
|
|
|
|
Holdings
|
|
|
|
|
|
6.35% 10/1/66
•
|
15,000
|
|
|
14,859
|
|
Pennsylvania
Electric
|
|
|
|
|
|
5.20% 4/1/20
|
10,000
|
|
|
11,014
|
|
Public Service of
New
|
|
|
|
|
|
Hampshire
|
|
|
|
|
|
3.50% 11/1/23
|
5,000
|
|
|
5,045
|
|
Southwestern
Electric
|
|
|
|
|
|
Power 6.45% 1/15/19
|
10,000
|
|
|
11,719
|
|
Wisconsin
Energy
|
|
|
|
|
|
6.25% 5/15/67
•
|
15,000
|
|
|
15,386
|
|
|
|
|
|
232,602
|
|
Energy
–
2.12%
|
|
|
|
|
|
Continental
Resources
|
|
|
|
|
|
4.50% 4/15/23
|
15,000
|
|
|
15,388
|
|
KFW 1.875%
4/1/19
|
10,000
|
|
|
10,062
|
|
Petrobras
International
|
|
|
|
|
|
Finance
|
|
|
|
|
|
5.375% 1/27/21
|
5,000
|
|
|
4,962
|
|
Petroleos Mexicanos
144A
|
|
|
|
|
|
3.125% 1/23/19 #
|
10,000
|
|
|
10,065
|
|
Pride
International
|
|
|
|
|
|
6.875% 8/15/20
|
20,000
|
|
|
24,218
|
|
Statoil 2.90%
11/8/20
|
5,000
|
|
|
5,055
|
|
Total Capital
|
|
|
|
|
|
4.45% 6/24/20
|
20,000
|
|
|
22,186
|
|
Woodside Finance
144A
|
|
|
|
|
|
8.75% 3/1/19 #
|
10,000
|
|
|
12,789
|
|
|
|
|
|
104,725
|
|
Finance
Companies
–
0.78%
|
|
|
|
|
|
General Electric
Capital
|
|
|
|
|
|
2.30% 1/14/19
|
10,000
|
|
|
10,111
|
|
4.375% 9/16/20
|
15,000
|
|
|
16,425
|
|
6.00% 8/7/19
|
10,000
|
|
|
11,828
|
|
|
|
|
|
38,364
|
|
Insurance
–
2.16%
|
|
|
|
|
|
Allstate 5.75% 8/15/53
•
|
5,000
|
|
|
5,074
|
|
American
International
|
|
|
|
|
|
Group 6.40% 12/15/20
|
20,000
|
|
|
23,830
|
|
Berkshire
Hathaway
|
|
|
|
|
|
Finance
|
|
|
|
|
|
2.90% 10/15/20
|
15,000
|
|
|
15,181
|
|
Chubb 6.375% 3/29/67
•
|
5,000
|
|
|
5,538
|
4 NQ-DPT-197 [1/14] 3/14
(12239)
|
|
Principal
|
|
Value
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Insurance (continued)
|
|
|
|
|
|
Highmark
144A
|
|
|
|
|
|
4.75% 5/15/21 #
|
5,000
|
|
$
|
4,919
|
|
Liberty Mutual
Group 144A
|
|
|
|
|
|
4.25% 6/15/23 #
|
10,000
|
|
|
9,946
|
|
MetLife 6.40%
12/15/36
|
20,000
|
|
|
20,800
|
|
Prudential
Financial
|
|
|
|
|
|
3.875% 1/14/15
|
5,000
|
|
|
5,156
|
|
5.875% 9/15/42
•
|
10,000
|
|
|
10,300
|
|
6.00% 12/1/17
|
5,000
|
|
|
5,801
|
|
|
|
|
|
106,545
|
|
Natural
Gas
–
1.73%
|
|
|
|
|
|
El Paso
Pipeline Partners
|
|
|
|
|
|
Operating
|
|
|
|
|
|
6.50% 4/1/20
|
10,000
|
|
|
11,616
|
|
Energy Transfer
Partners
|
|
|
|
|
|
3.60% 2/1/23
|
20,000
|
|
|
18,950
|
|
Enterprise
Products
|
|
|
|
|
|
Operating
|
|
|
|
|
|
7.034% 1/15/68
•
|
5,000
|
|
|
5,555
|
|
Kinder Morgan
Energy
|
|
|
|
|
|
Partners
|
|
|
|
|
|
3.50% 9/1/23
|
5,000
|
|
|
4,700
|
|
9.00% 2/1/19
|
5,000
|
|
|
6,399
|
|
Nisource
Finance
|
|
|
|
|
|
6.125% 3/1/22
|
10,000
|
|
|
11,497
|
|
Plains All
American Pipeline
|
|
|
|
|
|
8.75% 5/1/19
|
5,000
|
|
|
6,465
|
|
TransCanada
PipeLines
|
|
|
|
|
|
3.75% 10/16/23
|
5,000
|
|
|
4,987
|
|
6.35% 5/15/67
•
|
10,000
|
|
|
10,327
|
|
Williams
Partners
|
|
|
|
|
|
4.50% 11/15/23
|
5,000
|
|
|
5,079
|
|
|
|
|
|
85,575
|
|
Real Estate
–
1.58%
|
|
|
|
|
|
Alexandria Real
Estate
|
|
|
|
|
|
Equities 4.60% 4/1/22
|
10,000
|
|
|
10,293
|
|
CBL &
Associates
|
|
|
|
|
|
5.25% 12/1/23
|
5,000
|
|
|
5,159
|
|
Corporate
Office Properties
|
|
|
|
|
|
3.60% 5/15/23
|
5,000
|
|
|
4,643
|
|
5.25% 2/15/24
|
5,000
|
|
|
5,254
|
|
Digital Realty
Trust
|
|
|
|
|
|
5.25% 3/15/21
|
10,000
|
|
|
10,426
|
|
5.875% 2/1/20
|
5,000
|
|
|
5,506
|
|
Duke
Realty
|
|
|
|
|
|
3.625% 4/15/23
|
5,000
|
|
|
4,713
|
|
Liberty
Property
|
|
|
|
|
|
4.40% 2/15/24
|
5,000
|
|
|
5,023
|
|
Mid-America
Apartments
|
|
|
|
|
|
4.30% 10/15/23
|
10,000
|
|
|
9,967
|
|
National Retail
Properties
|
|
|
|
|
|
3.30% 4/15/23
|
5,000
|
|
|
4,681
|
|
Regency
Centers
|
|
|
|
|
|
5.875% 6/15/17
|
7,000
|
|
|
7,825
|
|
Weingarten
Realty
|
|
|
|
|
|
Investors
|
|
|
|
|
|
3.50% 4/15/23
|
5,000
|
|
|
4,706
|
|
|
|
|
|
78,196
|
|
Technology
–
1.77%
|
|
|
|
|
|
Broadridge
Financial
|
|
|
|
|
|
Solutions 3.95% 9/1/20
|
5,000
|
|
|
5,126
|
|
EMC 2.65%
6/1/20
|
10,000
|
|
|
10,022
|
|
Fidelity
National
|
|
|
|
|
|
Information Services
|
|
|
|
|
|
3.50% 4/15/23
|
10,000
|
|
|
9,389
|
|
Hewlett-Packard
|
|
|
|
|
|
1.182% 1/14/19
•
|
5,000
|
|
|
5,004
|
|
Microsoft
|
|
|
|
|
|
2.125% 11/15/22
|
5,000
|
|
|
4,627
|
|
National
Semiconductor
|
|
|
|
|
|
6.60% 6/15/17
|
10,000
|
|
|
11,725
|
|
NetApp
|
|
|
|
|
|
2.00% 12/15/17
|
5,000
|
|
|
5,021
|
|
3.25% 12/15/22
|
5,000
|
|
|
4,655
|
|
Seagate HDD
Cayman
|
|
|
|
|
|
144A
|
|
|
|
|
|
3.75% 11/15/18 #
|
5,000
|
|
|
5,112
|
|
Total System
Services
|
|
|
|
|
|
3.75% 6/1/23
|
10,000
|
|
|
9,514
|
|
Xerox 5.625%
12/15/19
|
15,000
|
|
|
16,928
|
|
|
|
|
|
87,123
|
|
Transportation
–
0.83%
|
|
|
|
|
|
Burlington
Northern Santa
|
|
|
|
|
|
Fe
|
|
|
|
|
|
3.00% 3/15/23
|
15,000
|
|
|
14,327
|
|
5.15% 9/1/43
|
5,000
|
|
|
5,290
|
|
ERAC USA
Finance 144A
|
|
|
|
|
|
4.50% 8/16/21 #
|
10,000
|
|
|
10,663
|
(continues)
NQ-DPT-197 [1/14] 3/14 (12239)
5
Schedule of
investments
Delaware
Pooled
®
Trust — The Core
Focus Fixed Income Portfolio
|
|
Principal
|
|
Value
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Transportation
(continued)
|
|
|
|
|
|
Norfolk
Southern
|
|
|
|
|
|
4.80% 8/15/43
|
5,000
|
|
$
|
5,071
|
|
United Parcel
Service
|
|
|
|
|
|
5.125% 4/1/19
|
5,000
|
|
|
5,772
|
|
|
|
|
|
41,123
|
|
Utilities
–
0.10%
|
|
|
|
|
|
American Water
Capital
|
|
|
|
|
|
3.85% 3/1/24
|
5,000
|
|
|
5,024
|
|
|
|
|
|
5,024
|
|
Total Corporate Bonds
(cost
$1,476,320)
|
|
|
1,523,450
|
|
|
|
Non-Agency Asset-Backed
Securities – 0.58%
|
|
|
|
|
John Deere
Owner Trust
|
|
|
|
|
|
Series 2011-A A4
|
|
|
|
|
|
1.96% 4/16/18
|
10,000
|
|
|
10,057
|
|
MASTR
Specialized Loan
|
|
|
|
|
|
Trust
|
|
|
|
|
|
Series 2005-2 A2 144A
|
|
|
|
|
|
5.006% 7/25/35 #
•
|
2,926
|
|
|
2,936
|
|
Mercedes-Benz
Auto Lease
|
|
|
|
|
|
Trust
|
|
|
|
|
|
Series 2013-A A4
|
|
|
|
|
|
0.72% 12/17/18
|
5,000
|
|
|
5,005
|
|
Mid-State Trust
XI
|
|
|
|
|
|
Series 11 A1
|
|
|
|
|
|
4.864% 7/15/38
|
10,137
|
|
|
10,814
|
|
Total Non-Agency Asset-Backed
Securities
|
|
|
|
|
(cost
$27,618)
|
|
|
|
28,812
|
|
|
|
Regional Bond –
0.10%
Δ
|
|
|
|
|
|
Canada
–
0.10%
|
|
|
|
|
|
Province of
Ontario
|
|
|
|
|
|
Canada 2.00% 1/30/19
|
5,000
|
|
|
5,026
|
|
Total Regional Bond
(cost $4,997)
|
|
|
|
5,026
|
|
|
|
Supranational Banks –
0.51%
|
|
|
|
|
|
European
Investment Bank
|
|
|
|
|
|
1.875% 3/15/19
|
10,000
|
|
|
10,033
|
|
3.25% 1/29/24
|
10,000
|
|
|
10,121
|
|
International
Bank for
|
|
|
|
|
|
Reconstruction &
|
|
|
|
|
|
Development
|
|
|
|
|
|
1.875% 3/15/19
|
5,000
|
|
|
5,033
|
|
Total Supranational Banks
(cost
$24,893)
|
|
|
25,187
|
|
|
|
U.S. Treasury Obligations
– 37.59%
|
|
|
|
|
U.S. Treasury
Bills
|
|
|
|
|
|
2.375% 8/31/14
|
490,000
|
|
|
496,336
|
|
U.S. Treasury
Bonds
|
|
|
|
|
|
3.625% 8/15/43
|
215,000
|
|
|
215,067
|
|
U.S. Treasury
Notes
|
|
|
|
|
|
1.50% 12/31/18
|
265,000
|
|
|
265,197
|
|
1.50% 1/31/19
|
270,000
|
|
|
269,884
|
|
2.75% 11/15/23
|
605,000
|
|
|
609,443
|
|
Total U.S. Treasury Obligations
(cost
|
|
|
|
|
$1,839,464)
|
|
|
|
1,855,927
|
|
|
|
|
Number of
|
|
|
|
|
|
Shares
|
|
|
|
|
Preferred Stock –
0.34%
|
|
|
|
|
|
Alabama Power
5.625%
|
620
|
|
|
14,303
|
|
Integrys Energy
Group
|
|
|
|
|
|
6.00%
•
|
100
|
|
|
2,439
|
|
Total Preferred Stock
(cost
$17,597)
|
|
|
16,742
|
|
|
|
|
Principal
|
|
|
|
|
|
amount°
|
|
|
|
|
Short-Term Investments –
14.47%
|
|
|
|
|
Repurchase Agreements
–
9.40%
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
0.01%, dated 1/31/14,
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
$116,913 (collateralized
|
|
|
|
|
|
by U.S. government
|
|
|
|
|
|
obligations
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
market value $119,251)
|
116,913
|
|
|
116,913
|
6 NQ-DPT-197 [1/14] 3/14
(12239)
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
|
Short-Term
Investments
(continued)
|
|
|
|
|
|
Repurchase Agreements
(continued)
|
|
|
|
|
|
|
|
Bank of
Montreal
|
|
|
|
|
|
|
|
0.02%, dated 1/31/14,
|
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
|
|
$19,485 (collateralized
|
|
|
|
|
|
|
|
by U.S. government
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
0.25%-2.75% 4/30/14-
|
|
|
|
|
|
|
|
11/15/23; market value
|
|
|
|
|
|
|
|
$19,875)
|
|
19,485
|
|
$
|
19,485
|
|
|
BNP Paribas
|
|
|
|
|
|
|
|
0.02%, dated 1/31/14,
|
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
|
|
$327,603 (collateralized
|
|
|
|
|
|
|
|
by U.S. government
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
|
market value $334,154)
|
|
327,602
|
|
|
327,602
|
|
|
|
|
|
|
|
464,000
|
|
|
U.S. Treasury Obligations
–
5.07%
≠
|
|
|
|
|
|
|
|
U.S. Treasury
Bills
|
|
|
|
|
|
|
|
0.056% 4/24/14
|
|
181,956
|
|
|
181,945
|
|
|
0.093% 11/13/14
|
|
68,414
|
|
|
68,375
|
|
|
|
|
|
|
|
250,320
|
|
|
Total Short-Term Investments
(cost
|
|
|
|
|
|
$714,296)
|
|
|
|
|
714,320
|
|
|
|
|
|
|
|
|
|
|
Total Value of
|
|
|
|
|
|
|
|
Securities
– 113.50%
|
|
|
|
|
|
|
|
(cost $5,526,833)
|
|
|
|
|
5,604,319
|
|
|
|
|
Liabilities Net of Receivables and
Other
|
|
|
|
|
|
|
|
Assets –
(13.50%)
|
|
|
|
|
(666,427
|
)
|
|
Net
Assets – 100.00%
|
|
|
|
$
|
4,937,892
|
|
____________________
|
#
|
Security
exempt from registration under Rule 144A of the Securities Act of 1933, as
amended. At Jan. 31, 2014, the aggregate value of Rule 144A securities was
$143,192, which represents 2.90% of the Portfolio’s net assets. See Note 5
in “Notes.”
|
|
≠
|
The rate
shown is the effective yield at the time of
purchase.
|
|
°
|
Principal
amount shown is stated in U.S. dollars unless noted that the security is
denominated in another currency.
|
|
•
|
Variable
rate security. The rate shown is the rate as of Jan. 31, 2014. Interest
rates reset periodically.
|
|
Δ
|
Securities have been classified by country of
origin.
|
Summary of
abbreviations:
ARM – Adjustable Rate
Mortgage
MASTR – Mortgage Asset
Securitization Transactions, Inc.
REMIC – Real Estate Mortgage Investment
Conduit
S.F. – Single Family
TBA – To be announced
USD – United States
Dollar
yr – Year
(continues)
NQ-DPT-197 [1/14] 3/14 (12239)
7
Notes
Delaware Pooled
®
Trust — The Core Focus Fixed Income Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust - The Core Focus
Fixed Income Portfolio (Portfolio). This report covers the period of time since
the Portfolio’s 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 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. Debt securities
are valued based upon valuations provided by an independent pricing service or
broker and reviewed by management. To the extent current market prices are not
available, the pricing service may take into account developments related to the
specific security, as well as transactions in comparable securities. 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.
For asset-backed securities, collateralized mortgage obligations, commercial
mortgage securities and U.S. government agency mortgage securities, pricing
vendors utilize matrix pricing which considers prepayment speed, attributes of
the collateral, yield or price of bonds of comparable quality, coupon, maturity
and type as well as broker/dealer-supplied prices. Futures contracts and options
on futures contracts are valued at the daily quoted settlement prices.
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 Portfolio’s Board of Trustees (Board).
Federal & Foreign Income Taxes
— No provision for federal income taxes
has been made as the Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010–Oct. 31, 2013), and has
concluded that no position for federal income tax is required in the Portfolio’s
financial statements. In regards to foreign taxes only, the Portfolio has open
tax years in certain foreign countries it invests in that may date back to the
inception of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
To Be Announced Trades (TBA)
— The Portfolio 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 Portfolio’s ability to manage its
investment portfolio and meet redemption requests. These transactions involve a
commitment by the Portfolio 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 Portfolio on such purchases until
the securities are delivered; however the market value may change prior to
delivery.
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 Portfolio are
charged directly to the Portfolio. 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 Portfolio declares and pays dividends from net investment income and
distributions from net realized gain on investments, if any, annually. The
Portfolio may distribute more frequently, if necessary for tax purposes.
Dividends and distributions, if any, are recorded on the ex-dividend
date.
8 NQ-DPT-197 [1/14] 3/14
(12239)
(Unaudited)
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since the final
tax characteristics cannot be determined until fiscal year end. At Jan. 31,
2014, the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
5,530,474
|
|
|
Aggregate unrealized
appreciation
|
$
|
90,611
|
|
|
Aggregate
unrealized depreciation
|
|
(16,766
|
)
|
|
Net unrealized
appreciation
|
$
|
73,845
|
|
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $170,701 may be carried forward and
applied against future capital gains. Capital loss carryforwards, if not
utilized in future years, will expire as follows: $170,701 expires in
2018.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Fund is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that
are comparable in coupon,
rating, maturity and industry. The derived value of a Level 3 investment may not
represent the value which is received upon disposition and this could impact the
results of operations.
(continues)
NQ-DPT-197 [1/14] 3/14 (12239) 9
(Unaudited)
2. Investments
(continued)
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Agency,
Asset-Backed &
|
|
|
|
|
|
|
|
|
|
Mortgage Backed
Securities
|
$
|
—
|
|
$
|
1,463,667
|
|
$
|
1,463,667
|
|
Corporate Debt
|
|
—
|
|
|
1,523,450
|
|
|
1,523,450
|
|
Foreign
Debt
|
|
—
|
|
|
30,213
|
|
|
30,213
|
|
Preferred Stock
|
|
16,742
|
|
|
—
|
|
|
16,742
|
|
U.S. Treasury
Obligations
|
|
—
|
|
|
1,855,927
|
|
|
1,855,927
|
|
Short-Term Investments
|
|
—
|
|
|
714,320
|
|
|
714,320
|
|
Total
|
$
|
16,742
|
|
$
|
5,587,577
|
|
$
|
5,604,319
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the reporting period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. At Jan. 31, 2014, there were no Level 3 investments.
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.
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 Portfolio may use
futures in the normal course of pursuing its investment objective. The Portfolio
invests 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 Portfolio 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 Portfolio
as unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. Risks of entering into futures contracts
include potential imperfect correlation between the futures contracts and the
underlying securities and the possibility of an illiquid secondary market for
these instruments. When investing in futures, there is reduced counterparty
credit risk to the Portfolio because futures are exchange-traded and the
exchange’s clearing house, as counterparty to all exchange-traded futures,
guarantees against default. At Jan. 31, 2014, there were no futures contracts
outstanding.
4. Securities
Lending
The Portfolio, 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 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
a particular day may be more or less than the value of the security on
loan
.
10 NQ-DPT-197 [1/14] 3/14
(12239)
(Unaudited)
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 Mellon’s 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 Portfolio 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 in sufficient
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 Portfolio, or at the discretion of the
lending agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those circumstances, the Portfolio may not
receive an amount from the Collective Trust that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up for this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
5. Credit and Market
Risk
The Portfolio invests in fixed income
securities whose value is derived from an underlying pool of mortgages or
consumer loans. The value of these securities is sensitive to changes in
economic conditions, including delinquencies and/or defaults, and may be
adversely affected by shifts in the market’s perception of the issuers and
changes in interest rates. Investors receive principal and interest payments as
the underlying mortgages and consumer loans are paid back. Some of these
securities are collateralized mortgage obligations (CMOs). CMOs are debt
securities issued by 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 Portfolio’s yield
to maturity. If the underlying mortgage assets experience greater than
anticipated prepayments of principal, the Portfolio may fail to fully recoup its
initial investment in these securities even if the securities are rated in the
highest rating categories. The Portfolio invests in certain obligations that may
have liquidity protection 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 Portfolio will not
pay any additional fees for such credit support, although the existence of
credit support may increase the price of a security.
(continues)
NQ-DPT-197 [1/14] 3/14 (12239)
11
(Unaudited)
5. Credit and Market Risk
(continued)
The Portfolio invests in fixed income
securities whose value is derived from an underlying pool of mortgages or
consumer loans. The value of these securities is sensitive to changes in
economic conditions, including delinquencies and/or defaults, and may be
adversely affected by shifts in the market’s perception of the issuers and
changes in interest rates. Investors receive principal and interest payments as
the underlying mortgages and consumer loans are paid back. Some of these
securities are collateralized mortgage obligations (CMOs). CMOs are debt
securities issued by 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 Portfolio’s yield
to maturity. If the underlying mortgage assets experience greater than
anticipated prepayments of principal, the Portfolio may fail to fully recoup its
initial investment in these securities even if the securities are rated in the
highest rating categories.
The Portfolio invests in certain
obligations that may have liquidity protection 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
Portfolio will not pay any additional fees for such credit support, although the
existence of credit support may increase the price of a security.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio Board has delegated to DMC, the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, no securities held by the Portfolio have been
determined to be illiquid under the Portfolio’s Liquidity Procedures. Rule 144A
securities held by the Portfolio have been identified on the schedule of
investments.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
12 NQ-DPT-197 [1/14] 3/14
(12239)
Schedule of
investments
Delaware
Pooled
®
Trust — The Core Plus Fixed Income Portfolio
January 31,
2014 (Unaudited)
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Agency Asset-Backed Security –
0.21%
|
|
|
|
|
|
Fannie Mae Grantor
Trust
|
|
|
|
|
|
|
|
Series
2003-T4 2A5
|
|
|
|
|
|
|
|
5.407%
9/26/33
|
|
134,798
|
|
$
|
148,665
|
|
Total
Agency Asset-Backed Security
|
|
|
|
|
|
|
|
(cost $133,708)
|
|
|
|
|
148,665
|
|
|
|
|
Agency Collateralized Mortgage
Obligations – 1.34%
|
|
|
Fannie Mae REMICs
|
|
|
|
|
|
|
|
Series
2002-90 A1
|
|
|
|
|
|
|
|
6.50%
6/25/42
|
|
16,814
|
|
|
19,433
|
|
|
Series
2002-90 A2
|
|
|
|
|
|
|
|
6.50%
11/25/42
|
|
37,604
|
|
|
42,934
|
|
|
Series
2012-122 SD
|
|
|
|
|
|
|
|
5.942%
11/25/42
•
Σ
|
|
93,636
|
|
|
23,650
|
|
|
Series
2012-124 SD
|
|
|
|
|
|
|
|
5.992%
11/25/42
•
Σ
|
|
94,063
|
|
|
21,794
|
|
|
Series
2013-26 ID
|
|
|
|
|
|
|
|
3.00% 4/25/33
Σ
|
|
188,907
|
|
|
30,704
|
|
|
Series
2013-44 DI
|
|
|
|
|
|
|
|
3.00% 5/25/33
Σ
|
|
243,771
|
|
|
40,590
|
|
|
Fannie Mae Whole
Loan
|
|
|
|
|
|
|
|
REMIC
Trust
|
|
|
|
|
|
|
|
Series
2004-W11 1A2
|
|
|
|
|
|
|
|
6.50%
5/25/44
|
|
32,185
|
|
|
37,422
|
|
|
Freddie Mac REMICs
|
|
|
|
|
|
|
|
Series 1730
Z
|
|
|
|
|
|
|
|
7.00%
5/15/24
|
|
72,431
|
|
|
82,791
|
|
|
Series 2326
ZQ
|
|
|
|
|
|
|
|
6.50%
6/15/31
|
|
63,221
|
|
|
70,912
|
|
|
Series 3123
HT
|
|
|
|
|
|
|
|
5.00%
3/15/26
|
|
223,272
|
|
|
240,846
|
|
|
Series 3656
PM
|
|
|
|
|
|
|
|
5.00%
4/15/40
|
|
125,000
|
|
|
135,991
|
|
|
Series 4148
SA
|
|
|
|
|
|
|
|
5.94%
12/15/42
•
Σ
|
|
94,778
|
|
|
22,165
|
|
|
Series 4185
LI
|
|
|
|
|
|
|
|
3.00% 3/15/33
Σ
|
|
94,807
|
|
|
15,865
|
|
|
Series 4191
CI
|
|
|
|
|
|
|
|
3.00% 4/15/33
Σ
|
|
95,910
|
|
|
16,004
|
|
|
GNMA
|
|
|
|
|
|
|
|
Series
2010-113 KE
|
|
|
|
|
|
|
|
4.50%
9/20/40
|
|
125,000
|
|
|
135,551
|
|
Total Agency
Collateralized Mortgage
|
|
|
|
|
|
|
|
Obligations
(cost $878,784)
|
|
|
|
|
936,652
|
|
|
|
|
|
|
|
|
|
Agency Mortgage-Backed
Securities – 23.43%
|
|
|
|
Fannie Mae
|
|
|
|
|
|
|
|
2.27%
1/1/23
|
|
54,037
|
|
|
51,365
|
|
|
4.50%
5/1/41
|
|
20,242
|
|
|
21,509
|
|
|
6.50%
8/1/17
|
|
9,065
|
|
|
10,022
|
|
|
Fannie Mae
ARM
|
|
|
|
|
|
|
|
2.301% 8/1/34
•
|
|
42,393
|
|
|
45,010
|
|
|
2.342% 3/1/38
•
|
|
51,099
|
|
|
54,187
|
|
|
2.411% 5/1/43
•
|
|
32,617
|
|
|
32,113
|
|
|
2.546% 4/1/36
•
|
|
39,017
|
|
|
41,584
|
|
|
2.546% 6/1/43
•
|
|
10,989
|
|
|
10,910
|
|
|
3.293% 9/1/43
•
|
|
41,726
|
|
|
42,810
|
|
|
Fannie Mae Relocation 30yr
|
|
|
|
|
|
|
|
5.00%
11/1/33
|
|
3,539
|
|
|
3,827
|
|
|
5.00%
1/1/34
|
|
3,129
|
|
|
3,387
|
|
|
5.00%
11/1/34
|
|
6,534
|
|
|
7,071
|
|
|
5.00%
10/1/35
|
|
18,335
|
|
|
19,830
|
|
|
5.00%
1/1/36
|
|
23,262
|
|
|
25,171
|
|
|
Fannie Mae S.F.
15 yr
|
|
|
|
|
|
|
|
2.50%
7/1/27
|
|
6,098
|
|
|
6,138
|
|
|
2.50%
10/1/27
|
|
42,181
|
|
|
42,461
|
|
|
2.50%
2/1/28
|
|
90,564
|
|
|
91,165
|
|
|
2.50%
5/1/28
|
|
14,037
|
|
|
14,098
|
|
|
3.00%
11/1/27
|
|
6,210
|
|
|
6,421
|
|
|
3.50%
7/1/26
|
|
29,979
|
|
|
31,633
|
|
|
4.00%
4/1/24
|
|
20,394
|
|
|
21,767
|
|
|
4.00%
5/1/24
|
|
91,887
|
|
|
98,133
|
|
|
4.00%
11/1/25
|
|
97,657
|
|
|
104,664
|
|
|
4.50%
1/1/20
|
|
9,531
|
|
|
10,207
|
|
|
5.00%
5/1/20
|
|
14,277
|
|
|
15,437
|
|
|
5.00%
7/1/20
|
|
2,939
|
|
|
3,178
|
|
|
5.00%
5/1/21
|
|
2,692
|
|
|
2,884
|
|
|
5.50%
5/1/20
|
|
336
|
|
|
361
|
|
|
5.50%
6/1/23
|
|
66,163
|
|
|
72,365
|
|
|
6.00%
8/1/22
|
|
42,864
|
|
|
46,086
|
|
|
Fannie Mae S.F. 15 yr
TBA
|
|
|
|
|
|
|
|
2.50%
2/1/29
|
|
2,237,000
|
|
|
2,243,991
|
|
|
3.00%
2/1/29
|
|
2,623,000
|
|
|
2,707,018
|
|
|
3.50%
2/1/29
|
|
1,547,000
|
|
|
1,630,635
|
|
|
Fannie Mae S.F.
20 yr
|
|
|
|
|
|
|
|
3.00%
8/1/33
|
|
15,603
|
|
|
15,703
|
|
|
3.00%
9/1/33
|
|
29,408
|
|
|
29,597
|
|
|
3.50%
9/1/33
|
|
22,517
|
|
|
23,410
|
|
|
5.00%
11/1/23
|
|
2,239
|
|
|
2,445
|
|
|
5.50%
8/1/28
|
|
81,191
|
|
|
89,703
|
|
|
5.50%
12/1/29
|
|
4,175
|
|
|
4,612
|
|
|
6.00%
12/1/21
|
|
3,584
|
|
|
3,966
|
|
|
6.00%
9/1/29
|
|
24,449
|
|
|
27,261
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254)
1
Schedule of
investments
Delaware
Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Agency Mortgage-Backed
Securities
(continued)
|
|
|
|
Fannie Mae S.F. 30 yr
|
|
|
|
|
|
|
|
3.00% 7/1/42
|
|
34,510
|
|
$
|
33,588
|
|
|
3.00% 10/1/42
|
|
506,607
|
|
|
493,075
|
|
|
3.00% 12/1/42
|
|
79,604
|
|
|
77,477
|
|
|
3.00% 1/1/43
|
|
262,860
|
|
|
255,838
|
|
|
3.00% 4/1/43
|
|
104,415
|
|
|
101,626
|
|
|
3.50% 7/1/42
|
|
4,444
|
|
|
4,513
|
|
|
3.50% 8/1/42
|
|
59,619
|
|
|
60,618
|
|
|
4.00% 11/1/40
|
|
12,192
|
|
|
12,783
|
|
|
4.00% 1/1/41
|
|
55,192
|
|
|
57,856
|
|
|
4.00% 3/1/42
|
|
23,249
|
|
|
24,372
|
|
|
4.00% 1/1/43
|
|
25,867
|
|
|
27,119
|
|
|
4.50% 7/1/36
|
|
9,784
|
|
|
10,499
|
|
|
4.50% 4/1/40
|
|
10,923
|
|
|
11,719
|
|
|
4.50% 11/1/40
|
|
28,456
|
|
|
30,533
|
|
|
4.50% 2/1/41
|
|
13,273
|
|
|
14,244
|
|
|
4.50% 3/1/41
|
|
58,095
|
|
|
62,345
|
|
|
4.50% 5/1/41
|
|
9,742
|
|
|
10,484
|
|
|
4.50% 10/1/41
|
|
33,369
|
|
|
35,800
|
|
|
4.50% 11/1/41
|
|
30,204
|
|
|
32,397
|
|
|
4.50% 9/1/43
|
|
23,872
|
|
|
25,630
|
|
|
5.00% 3/1/34
|
|
6,324
|
|
|
6,921
|
|
|
5.00% 2/1/35
|
|
68,104
|
|
|
74,521
|
|
|
5.00% 3/1/35
|
|
10,177
|
|
|
11,117
|
|
|
5.00% 6/1/35
|
|
12,585
|
|
|
13,810
|
|
|
5.00% 10/1/35
|
|
20,423
|
|
|
22,307
|
|
|
5.50% 4/1/34
|
|
10,351
|
|
|
11,426
|
|
|
5.50% 11/1/34
|
|
10,044
|
|
|
11,067
|
|
|
5.50% 12/1/34
|
|
20,124
|
|
|
22,183
|
|
|
5.50% 3/1/35
|
|
15,839
|
|
|
17,463
|
|
|
5.50% 5/1/35
|
|
17,582
|
|
|
19,523
|
|
|
5.50% 12/1/35
|
|
10,969
|
|
|
12,077
|
|
|
5.50% 1/1/36
|
|
10,010
|
|
|
11,046
|
|
|
5.50% 4/1/36
|
|
6,047
|
|
|
6,656
|
|
|
5.50% 5/1/36
|
|
5,275
|
|
|
5,807
|
|
|
5.50% 8/1/37
|
|
28,009
|
|
|
30,846
|
|
|
5.50% 2/1/38
|
|
30,356
|
|
|
33,436
|
|
|
5.50% 9/1/38
|
|
41,127
|
|
|
45,286
|
|
|
6.00% 7/1/35
|
|
90,192
|
|
|
100,710
|
|
|
6.00% 7/1/36
|
|
10,350
|
|
|
11,499
|
|
|
6.00% 8/1/37
|
|
11,284
|
|
|
12,604
|
|
|
6.00% 9/1/37
|
|
6,125
|
|
|
6,801
|
|
|
6.00% 9/1/39
|
|
247,896
|
|
|
274,391
|
|
|
7.00% 12/1/33
|
|
11,211
|
|
|
12,859
|
|
|
7.00% 5/1/35
|
|
1,232
|
|
|
1,405
|
|
|
7.00% 6/1/35
|
|
2,349
|
|
|
2,456
|
|
|
7.00% 12/1/37
|
|
15,075
|
|
|
17,099
|
|
|
7.50% 6/1/31
|
|
1,591
|
|
|
1,883
|
|
|
7.50% 6/1/34
|
|
12,512
|
|
|
14,474
|
|
|
Fannie Mae S.F.
30 yr TBA
|
|
|
|
|
|
|
|
3.00% 2/1/44
|
|
1,061,000
|
|
|
1,031,491
|
|
|
3.50% 2/1/44
|
|
448,000
|
|
|
454,510
|
|
|
4.00% 2/1/44
|
|
462,000
|
|
|
483,945
|
|
|
4.00% 3/1/44
|
|
1,180,000
|
|
|
1,232,178
|
|
|
4.50% 3/1/44
|
|
2,090,000
|
|
|
2,235,320
|
|
|
Freddie Mac
|
|
|
|
|
|
|
|
4.50% 1/1/41
|
|
39,050
|
|
|
41,336
|
|
|
Freddie Mac
ARM
|
|
|
|
|
|
|
|
2.464% 4/1/34
•
|
|
3,457
|
|
|
3,661
|
|
|
Freddie Mac Relocation 30 yr
|
|
|
|
|
|
|
|
5.00% 9/1/33
|
|
2,889
|
|
|
3,129
|
|
|
Freddie Mac S.F.
15 yr
|
|
|
|
|
|
|
|
4.00% 12/1/24
|
|
17,194
|
|
|
18,306
|
|
|
4.00% 8/1/25
|
|
22,979
|
|
|
24,470
|
|
|
4.00% 4/1/26
|
|
25,374
|
|
|
27,022
|
|
|
4.50% 8/1/24
|
|
42,993
|
|
|
46,424
|
|
|
Freddie Mac S.F. 30 yr
|
|
|
|
|
|
|
|
3.00% 10/1/42
|
|
35,235
|
|
|
34,225
|
|
|
3.00% 11/1/42
|
|
29,870
|
|
|
29,018
|
|
|
4.00% 11/1/40
|
|
18,413
|
|
|
19,246
|
|
|
4.50% 10/1/39
|
|
39,390
|
|
|
42,177
|
|
|
4.50% 3/1/42
|
|
134,817
|
|
|
144,424
|
|
|
4.50% 10/1/43
|
|
11,544
|
|
|
12,432
|
|
|
5.50% 9/1/35
|
|
97,173
|
|
|
106,626
|
|
|
5.50% 11/1/35
|
|
11,148
|
|
|
12,228
|
|
|
5.50% 3/1/40
|
|
22,240
|
|
|
24,313
|
|
|
6.00% 8/1/38
|
|
33,117
|
|
|
36,828
|
|
|
7.00% 11/1/33
|
|
1,537
|
|
|
1,774
|
|
|
Freddie Mac S.F.
30 yr TBA
|
|
|
|
|
|
|
|
5.50% 3/1/44
|
|
145,000
|
|
|
158,645
|
|
|
GNMA I S.F. 30 yr
|
|
|
|
|
|
|
|
7.00% 12/15/34
|
|
187,952
|
|
|
221,822
|
|
|
7.50% 12/15/31
|
|
420
|
|
|
482
|
|
|
7.50% 2/15/32
|
|
422
|
|
|
504
|
|
|
NCUA Guaranteed
Notes Trust
|
|
|
|
|
|
|
|
2.90% 10/29/20
|
|
40,000
|
|
|
41,733
|
|
Total Agency
Mortgage-Backed Securities
|
|
|
|
|
|
(cost
$16,248,541)
|
|
|
|
|
16,396,593
|
2 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Commercial Mortgage-Backed
Securities – 1.88%
|
|
|
|
|
|
Bear Stearns Commercial
|
|
|
|
|
|
|
|
Mortgage Securities
|
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
|
Series 2006-PW12 A4
|
|
|
|
|
|
|
|
5.71% 9/11/38
•
|
|
45,000
|
|
$
|
49,238
|
|
|
CD Commercial
Mortgage
|
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
|
Series 2005-CD1 C
|
|
|
|
|
|
|
|
5.219% 7/15/44
•
|
|
40,000
|
|
|
41,585
|
|
|
Commercial Mortgage
Pass
|
|
|
|
|
|
|
|
Through Certificates
|
|
|
|
|
|
|
|
Series 2013-CR12 A4
|
|
|
|
|
|
|
|
4.046% 10/10/46
t
|
|
35,000
|
|
|
36,100
|
|
|
Credit Suisse
Commercial
|
|
|
|
|
|
|
|
Mortgage Trust
|
|
|
|
|
|
|
|
Series 2006-C1 AAB
|
|
|
|
|
|
|
|
5.465% 2/15/39
•
|
|
53,626
|
|
|
54,668
|
|
|
DB-UBS Mortgage Trust
|
|
|
|
|
|
|
|
Series 2011-LC1A A3
|
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
|
5.002% 11/10/46 #
|
|
200,000
|
|
|
223,396
|
|
|
FREMF Mortgage
Trust
|
|
|
|
|
|
|
|
Series 2010-K7 B
144A
|
|
|
|
|
|
|
|
5.435% 4/25/20 #
•
|
|
14,000
|
|
|
15,228
|
|
|
Goldman Sachs Mortgage
|
|
|
|
|
|
|
|
Securities II
|
|
|
|
|
|
|
|
Series 2005-GG4 A4A
|
|
|
|
|
|
|
|
4.751% 7/10/39
|
|
52,690
|
|
|
54,498
|
|
|
Series 2006-GG6 A4
|
|
|
|
|
|
|
|
5.553% 4/10/38
•
|
|
55,000
|
|
|
59,116
|
|
|
Series 2010-C1 C
144A
|
|
|
|
|
|
|
|
5.635% 8/10/43 #
•
|
|
100,000
|
|
|
109,710
|
|
|
JPMorgan
Chase
|
|
|
|
|
|
|
|
Commercial Mortgage
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
Series 2005-LDP5 A4
|
|
|
|
|
|
|
|
5.24% 12/15/44
•
|
|
70,000
|
|
|
74,529
|
|
|
Series 2006-LDP8 AM
|
|
|
|
|
|
|
|
5.44% 5/15/45
|
|
50,000
|
|
|
54,855
|
|
|
Series 2011-C5 A3
|
|
|
|
|
|
|
|
4.171% 8/15/46
|
|
180,000
|
|
|
191,418
|
|
|
LB-UBS Commercial
|
|
|
|
|
|
|
|
Mortgage Trust
|
|
|
|
|
|
|
|
Series 2004-C1 A4
|
|
|
|
|
|
|
|
4.568% 1/15/31
|
|
5,423
|
|
|
5,601
|
|
|
LB-UBS
Commercial
|
|
|
|
|
|
|
|
Mortgage Trust
|
|
|
|
|
|
|
|
Series 2005-C3 B
|
|
|
|
|
|
|
|
4.895% 7/15/40
•
|
|
15,000
|
|
|
15,425
|
|
|
Morgan Stanley Capital
I
|
|
|
|
|
|
|
|
Series 2005-HQ6 A4A
|
|
|
|
|
|
|
|
4.989% 8/13/42
|
|
50,000
|
|
|
52,179
|
|
|
Series 2005-HQ7 AJ
|
|
|
|
|
|
|
|
5.207% 11/14/42
•
|
|
25,000
|
|
|
26,281
|
|
|
Series 2005-HQ7 C
|
|
|
|
|
|
|
|
5.207% 11/14/42
•
|
|
100,000
|
|
|
99,537
|
|
|
Series 2007-T27 A4
|
|
|
|
|
|
|
|
5.65% 6/11/42
•
|
|
55,000
|
|
|
61,969
|
|
|
Timberstar
Trust
|
|
|
|
|
|
|
|
Series 2006-1A A
144A
|
|
|
|
|
|
|
|
5.668% 10/15/36 #
|
|
50,000
|
|
|
54,561
|
|
|
WF-RBS Commercial
|
|
|
|
|
|
|
|
Mortgage Trust
|
|
|
|
|
|
|
|
Series 2012-C9 A3
|
|
|
|
|
|
|
|
2.87% 11/15/45
|
|
35,000
|
|
|
33,577
|
|
Total
Commercial Mortgage-Backed
|
|
|
|
|
Securities
(cost $1,300,144)
|
|
|
|
|
1,313,471
|
|
|
|
|
Convertible Bonds –
0.36%
|
|
|
|
|
|
|
|
Alaska Communications
|
|
|
|
|
|
|
|
Systems Group 144A
|
|
|
|
|
|
|
|
6.25% exercise price
|
|
|
|
|
|
|
|
$10.28, expiration
date
|
|
|
|
|
|
|
|
4/27/18 #
|
|
7,000
|
|
|
5,968
|
|
|
Alere 3.00%
exercise price
|
|
|
|
|
|
|
|
$43.98, expiration
date
|
|
|
|
|
|
|
|
5/15/16
|
|
7,000
|
|
|
7,928
|
|
|
Ares Capital 5.75%
|
|
|
|
|
|
|
|
exercise price
$19.13,
|
|
|
|
|
|
|
|
expiration date
2/1/16
|
|
7,000
|
|
|
7,604
|
|
|
ArvinMeritor
4.00%
|
|
|
|
|
|
|
|
exercise price
$26.73,
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
2/12/27
Φ
|
|
14,000
|
|
|
13,842
|
|
|
BGC Partners 4.50%
|
|
|
|
|
|
|
|
exercise price
$9.84,
|
|
|
|
|
|
|
|
expiration date
7/13/16
|
|
10,000
|
|
|
10,519
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 3
Schedule of
investments
Delaware
Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Convertible Bonds
(continued)
|
|
|
|
|
|
|
|
|
Blucora 144A 4.25%
|
|
|
|
|
|
|
|
|
exercise price
$21.66,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
3/29/19 #
|
|
|
3,000
|
|
$
|
4,065
|
|
|
Chesapeake Energy
2.50%
|
|
|
|
|
|
|
|
|
exercise price
$50.90,
|
|
|
|
|
|
|
|
|
expiration date
5/15/37
|
|
|
3,000
|
|
|
3,052
|
|
|
Ciena 144A 3.75%
|
|
|
|
|
|
|
|
|
exercise price
$20.17,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
10/15/18 #
|
|
|
7,000
|
|
|
10,006
|
|
|
Dendreon 2.875%
exercise
|
|
|
|
|
|
|
|
|
price $51.24,
expiration
|
|
|
|
|
|
|
|
|
date 1/13/16
|
|
|
7,000
|
|
|
5,058
|
|
|
Equinix 4.75% exercise
|
|
|
|
|
|
|
|
|
price $84.32,
expiration
|
|
|
|
|
|
|
|
|
date 6/13/16
|
|
|
1,000
|
|
|
2,281
|
|
|
General Cable
5.00%
|
|
|
|
|
|
|
|
|
exercise price
$35.88,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
11/15/29
ϕ
|
|
|
12,000
|
|
|
12,930
|
|
|
Gilead Sciences 1.625%
|
|
|
|
|
|
|
|
|
exercise price
$22.71,
|
|
|
|
|
|
|
|
|
expiration date
5/1/16
|
|
|
4,000
|
|
|
14,175
|
|
|
Helix Energy
Solutions
|
|
|
|
|
|
|
|
|
Group 3.25% exercise
|
|
|
|
|
|
|
|
|
price $25.02,
expiration
|
|
|
|
|
|
|
|
|
date 3/12/32
|
|
|
6,000
|
|
|
6,802
|
|
|
Hologic 2.00% exercise
|
|
|
|
|
|
|
|
|
price $31.17,
expiration
|
|
|
|
|
|
|
|
|
date 2/27/42
ϕ
|
|
|
7,000
|
|
|
7,109
|
|
|
Illumina 144A
0.25%
|
|
|
|
|
|
|
|
|
exercise price
$83.55,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
3/11/16
#
|
|
|
4,000
|
|
|
7,360
|
|
|
Intel 3.25% exercise
price
|
|
|
|
|
|
|
|
|
$21.94, expiration
date
|
|
|
|
|
|
|
|
|
8/1/39
|
|
|
6,000
|
|
|
7,931
|
|
|
Jefferies Group
3.875%
|
|
|
|
|
|
|
|
|
exercise price
$45.51,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
10/31/29
|
|
|
8,000
|
|
|
8,485
|
|
|
Leap Wireless
International
|
|
|
|
|
|
|
|
|
4.50% exercise price
|
|
|
|
|
|
|
|
|
$93.21, expiration
date
|
|
|
|
|
|
|
|
|
7/10/14
|
|
|
14,000
|
|
|
14,175
|
|
|
Lexington Realty
Trust
|
|
|
|
|
|
|
|
|
144A 6.00% exercise
|
|
|
|
|
|
|
|
|
price $6.76,
expiration
|
|
|
|
|
|
|
|
|
date 1/11/30 #
|
|
|
3,000
|
|
|
4,809
|
|
|
Liberty Interactive
144A
|
|
|
|
|
|
|
|
|
0.75% exercise price
|
|
|
|
|
|
|
|
|
$1,000.00,
expiration
|
|
|
|
|
|
|
|
|
date 3/30/43 #
|
|
|
7,000
|
|
|
8,444
|
|
|
MGM Resorts
International
|
|
|
|
|
|
|
|
|
4.25% exercise price
|
|
|
|
|
|
|
|
|
$18.58, expiration
date
|
|
|
|
|
|
|
|
|
4/10/15
|
|
|
4,000
|
|
|
5,622
|
|
|
Mylan 3.75% exercise
|
|
|
|
|
|
|
|
|
price $13.32,
expiration
|
|
|
|
|
|
|
|
|
date 9/15/15
|
|
|
2,000
|
|
|
6,852
|
|
|
Nuance
Communications
|
|
|
|
|
|
|
|
|
2.75% exercise price
|
|
|
|
|
|
|
|
|
$32.30, expiration
date
|
|
|
|
|
|
|
|
|
11/1/31
|
|
|
9,000
|
|
|
8,966
|
|
|
NuVasive 2.75% exercise
|
|
|
|
|
|
|
|
|
price $42.13,
expiration
|
|
|
|
|
|
|
|
|
date 6/30/17
|
|
|
16,000
|
|
|
18,820
|
|
|
Peabody Energy
4.75%
|
|
|
|
|
|
|
|
|
exercise price
$57.95,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
12/15/41
|
|
|
5,000
|
|
|
3,931
|
|
|
Ryman Hospitality
|
|
|
|
|
|
|
|
|
Properties 144A
3.75%
|
|
|
|
|
|
|
|
|
exercise price
$21.38,
|
|
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
|
|
9/29/14 #
|
|
|
3,000
|
|
|
5,809
|
|
|
SanDisk 1.50%
exercise
|
|
|
|
|
|
|
|
|
price $52.00,
expiration
|
|
|
|
|
|
|
|
|
date 8/11/17
|
|
|
9,000
|
|
|
13,202
|
|
|
SBA Communications
|
|
|
|
|
|
|
|
|
4.00% exercise price
|
|
|
|
|
|
|
|
|
$30.38, expiration
date
|
|
|
|
|
|
|
|
|
9/29/14
|
|
|
2,000
|
|
|
6,118
|
|
|
Steel Dynamics
5.125%
|
|
|
|
|
|
|
|
|
exercise price
$17.14,
|
|
|
|
|
|
|
|
|
expiration date
6/15/14
|
|
|
2,000
|
|
|
2,131
|
|
|
TIBCO Software 2.25%
|
|
|
|
|
|
|
|
|
exercise price
$50.57,
|
|
|
|
|
|
|
|
|
expiration date
4/30/32
|
|
|
12,000
|
|
|
12,038
|
4 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Convertible Bonds
(continued)
|
|
|
|
|
|
|
|
Titan Machinery 3.75%
|
|
|
|
|
|
|
|
exercise
price $43.17,
|
|
|
|
|
|
|
|
expiration
date 4/30/19
|
|
7,000
|
|
$
|
6,024
|
|
|
Vector Group
2.50%
|
|
|
|
|
|
|
|
exercise
price $17.62,
|
|
|
|
|
|
|
|
expiration
date
|
|
|
|
|
|
|
|
1/14/19
•
|
|
2,000
|
|
|
2,436
|
|
Total Convertible Bonds
(cost $225,710)
|
|
|
254,492
|
|
|
|
|
Corporate Bonds –
44.85%
|
|
|
|
|
|
|
Banking – 5.63%
|
|
|
|
|
|
|
|
Banco de Costa
Rica 144A
|
|
|
|
|
|
|
|
5.25% 8/12/18
#
|
|
200,000
|
|
|
199,000
|
|
|
Bancolombia
|
|
|
|
|
|
|
|
5.95%
6/3/21
|
|
100,000
|
|
|
104,750
|
|
|
Bank of
America
|
|
|
|
|
|
|
|
2.60%
1/15/19
|
|
65,000
|
|
|
65,446
|
|
|
4.125%
1/22/24
|
|
115,000
|
|
|
116,352
|
|
|
BB&T 5.25% 11/1/19
|
|
337,000
|
|
|
382,549
|
|
|
BBVA Banco
Continental
|
|
|
|
|
|
|
|
144A 3.25%
4/8/18 #
|
|
70,000
|
|
|
70,000
|
|
|
City National
|
|
|
|
|
|
|
|
5.25%
9/15/20
|
|
90,000
|
|
|
99,016
|
|
|
Fifth Third
Bancorp
|
|
|
|
|
|
|
|
4.30%
1/16/24
|
|
45,000
|
|
|
44,991
|
|
|
Goldman Sachs Group
|
|
|
|
|
|
|
|
2.625%
1/31/19
|
|
80,000
|
|
|
80,161
|
|
|
HBOS Capital
Funding
|
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
|
6.071%
6/29/49 #
•
|
|
215,000
|
|
|
216,075
|
|
|
JPMorgan Chase
|
|
|
|
|
|
|
|
3.875%
2/1/24
|
|
150,000
|
|
|
150,051
|
|
|
4.85%
2/1/44
|
|
45,000
|
|
|
45,077
|
|
|
6.75% 8/29/49
•
|
|
80,000
|
|
|
81,480
|
|
|
KeyBank 5.45%
3/3/16
|
|
250,000
|
|
|
272,306
|
|
|
KeyCorp 2.30% 12/13/18
|
|
60,000
|
|
|
60,076
|
|
|
KFW 1.875%
4/1/19
|
|
110,000
|
|
|
110,678
|
|
|
Morgan Stanley
|
|
|
|
|
|
|
|
2.50%
1/24/19
|
|
70,000
|
|
|
69,897
|
|
|
4.10%
5/22/23
|
|
175,000
|
|
|
170,749
|
|
|
5.00%
11/24/25
|
|
120,000
|
|
|
122,018
|
|
|
Northern
Trust
|
|
|
|
|
|
|
|
3.95%
10/30/25
|
|
40,000
|
|
|
40,220
|
|
|
PNC Bank 6.875% 4/1/18
|
|
250,000
|
|
|
297,679
|
|
|
PNC Financial
Services
|
|
|
|
|
|
|
|
Group
|
|
|
|
|
|
|
|
2.854%
11/9/22
ϕ
|
|
95,000
|
|
|
90,708
|
|
|
RBS Capital Trust I
|
|
|
|
|
|
|
|
2.112%
12/29/49
•
|
|
45,000
|
|
|
43,875
|
|
|
Santander
Holdings USA
|
|
|
|
|
|
|
|
3.45%
8/27/18
|
|
45,000
|
|
|
46,710
|
|
|
State Street
|
|
|
|
|
|
|
|
3.10%
5/15/23
|
|
75,000
|
|
|
71,090
|
|
|
SunTrust
Banks
|
|
|
|
|
|
|
|
2.35%
11/1/18
|
|
75,000
|
|
|
75,564
|
|
|
USB Capital IX
|
|
|
|
|
|
|
|
3.50%
10/29/49
•
|
|
355,000
|
|
|
284,000
|
|
|
VEB Finance
144A
|
|
|
|
|
|
|
|
4.224%
11/21/18 #
|
|
200,000
|
|
|
198,250
|
|
|
Wachovia
|
|
|
|
|
|
|
|
0.609%
10/15/16
•
|
|
55,000
|
|
|
54,824
|
|
|
Wells
Fargo
|
|
|
|
|
|
|
|
3.00%
1/22/21
|
|
10,000
|
|
|
10,061
|
|
|
4.125%
8/15/23
|
|
70,000
|
|
|
69,968
|
|
|
144A 4.48%
1/16/24 #
|
|
56,000
|
|
|
57,300
|
|
|
Zions Bancorp
|
|
|
|
|
|
|
|
4.50%
3/27/17
|
|
25,000
|
|
|
26,654
|
|
|
4.50%
6/13/23
|
|
55,000
|
|
|
54,994
|
|
|
7.75%
9/23/14
|
|
55,000
|
|
|
57,071
|
|
|
|
|
|
|
|
3,939,640
|
|
Basic Industry – 2.40%
|
|
|
|
|
|
|
|
ArcelorMittal
|
|
|
|
|
|
|
|
10.35%
6/1/19
|
|
90,000
|
|
|
112,950
|
|
|
Barrick Gold
|
|
|
|
|
|
|
|
4.10%
5/1/23
|
|
70,000
|
|
|
64,739
|
|
|
Barrick North
America
|
|
|
|
|
|
|
|
Finance 5.75%
5/1/43
|
|
25,000
|
|
|
23,236
|
|
|
CF Industries
|
|
|
|
|
|
|
|
7.125%
5/1/20
|
|
125,000
|
|
|
148,942
|
|
|
Dow
Chemical
|
|
|
|
|
|
|
|
8.55%
5/15/19
|
|
209,000
|
|
|
269,209
|
|
|
FMC 4.10% 2/1/24
|
|
135,000
|
|
|
137,605
|
|
|
FMG Resources
August
|
|
|
|
|
|
|
|
2006
144A
|
|
|
|
|
|
|
|
6.875% 4/1/22
#
|
|
105,000
|
|
|
113,794
|
|
|
Georgia-Pacific
|
|
|
|
|
|
|
|
8.00%
1/15/24
|
|
150,000
|
|
|
198,234
|
|
|
International
Paper
|
|
|
|
|
|
|
|
6.00%
11/15/41
|
|
55,000
|
|
|
62,695
|
|
|
7.50%
8/15/21
|
|
35,000
|
|
|
44,034
|
|
|
Mosaic 5.625% 11/15/43
|
|
55,000
|
|
|
56,659
|
|
|
Novelis 8.75%
12/15/20
|
|
65,000
|
|
|
72,475
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254)
5
Schedule of
investments
Delaware
Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Basic
Industry (continued)
|
|
|
|
|
|
|
Packaging Corp. of America
|
|
|
|
|
|
|
4.50% 11/1/23
|
50,000
|
|
$
|
51,634
|
|
|
Rio Tinto
Finance U.S.A.
|
|
|
|
|
|
|
3.50% 11/2/20
|
25,000
|
|
|
25,662
|
|
|
Rock-Tenn
|
|
|
|
|
|
|
3.50% 3/1/20
|
70,000
|
|
|
71,104
|
|
|
4.00% 3/1/23
|
20,000
|
|
|
19,938
|
|
|
Rockwood
Specialties
|
|
|
|
|
|
|
Group
|
|
|
|
|
|
|
4.625% 10/15/20
|
80,000
|
|
|
81,600
|
|
|
Teck Resources
|
|
|
|
|
|
|
3.75% 2/1/23
|
45,000
|
|
|
42,813
|
|
|
Vale
Overseas
|
|
|
|
|
|
|
5.625% 9/15/19
|
25,000
|
|
|
27,309
|
|
|
Weyerhaeuser
|
|
|
|
|
|
|
4.625% 9/15/23
|
55,000
|
|
|
57,314
|
|
|
|
|
|
|
1,681,946
|
|
Brokerage – 0.47%
|
|
|
|
|
|
|
Jefferies
Group
|
|
|
|
|
|
|
5.125% 1/20/23
|
70,000
|
|
|
72,720
|
|
|
6.45% 6/8/27
|
30,000
|
|
|
31,979
|
|
|
6.50% 1/20/43
|
15,000
|
|
|
15,603
|
|
|
Lazard Group
|
|
|
|
|
|
|
6.85% 6/15/17
|
184,000
|
|
|
211,082
|
|
|
|
|
|
|
331,384
|
|
Capital Goods – 1.78%
|
|
|
|
|
|
|
Algeco Scotsman
Global
|
|
|
|
|
|
|
Finance
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
8.50% 10/15/18 #
|
265,000
|
|
|
288,188
|
|
|
144A
|
|
|
|
|
|
|
10.75% 10/15/19 #
|
200,000
|
|
|
216,500
|
|
|
Ball 5.75% 5/15/21
|
85,000
|
|
|
89,675
|
|
|
Cemex
Espana
|
|
|
|
|
|
|
Luxembourg 144A
|
|
|
|
|
|
|
9.25% 5/12/20 #
|
75,000
|
|
|
81,488
|
|
|
Crane
|
|
|
|
|
|
|
2.75% 12/15/18
|
35,000
|
|
|
35,540
|
|
|
4.45% 12/15/23
|
35,000
|
|
|
35,991
|
|
|
Ingersoll-Rand
Global
|
|
|
|
|
|
|
Holding
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
2.875% 1/15/19 #
|
40,000
|
|
|
40,300
|
|
|
144A 4.25% 6/15/23 #
|
235,000
|
|
|
239,710
|
|
|
Metalloinvest Finance
|
|
|
|
|
|
|
144A 6.50% 7/21/16 #
|
200,000
|
|
|
209,000
|
|
|
URS 3.85% 4/1/17
|
10,000
|
|
|
10,344
|
|
|
|
|
|
|
1,246,736
|
|
Communications – 7.21%
|
|
|
|
|
|
|
America Movil
|
|
|
|
|
|
|
5.00% 3/30/20
|
105,000
|
|
|
114,797
|
|
|
American Tower
|
|
|
|
|
|
|
5.00% 2/15/24
|
80,000
|
|
|
84,383
|
|
|
American Tower Trust I
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
1.551% 3/15/43 #
|
30,000
|
|
|
29,500
|
|
|
144A 3.07% 3/15/23 #
|
65,000
|
|
|
62,673
|
|
|
AT&T 4.30% 12/15/42
|
125,000
|
|
|
108,291
|
|
|
CC Holdings GS V
|
|
|
|
|
|
|
3.849% 4/15/23
|
65,000
|
|
|
62,690
|
|
|
CenturyLink
|
|
|
|
|
|
|
5.80% 3/15/22
|
70,000
|
|
|
69,300
|
|
|
Crown Castle Towers 144A
|
|
|
|
|
|
|
4.883% 8/15/20 #
|
275,000
|
|
|
299,822
|
|
|
Digicel Group 144A
|
|
|
|
|
|
|
8.25% 9/30/20 #
|
100,000
|
|
|
104,500
|
|
|
DISH DBS
|
|
|
|
|
|
|
5.00% 3/15/23
|
295,000
|
|
|
277,300
|
|
|
7.875% 9/1/19
|
50,000
|
|
|
57,188
|
|
|
Intelsat Jackson Holdings
|
|
|
|
|
|
|
144A 5.50% 8/1/23 #
|
85,000
|
|
|
81,494
|
|
|
Intelsat Luxembourg 144A
|
|
|
|
|
|
|
8.125% 6/1/23 #
|
400,000
|
|
|
434,500
|
|
|
Interpublic Group
|
|
|
|
|
|
|
3.75% 2/15/23
|
60,000
|
|
|
58,029
|
|
|
MTS International Funding
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
8.625% 6/22/20 #
|
100,000
|
|
|
117,250
|
|
|
Myriad International
|
|
|
|
|
|
|
Holdings 144A
|
|
|
|
|
|
|
6.375% 7/28/17 #
|
100,000
|
|
|
110,750
|
|
|
Nielsen Finance
|
|
|
|
|
|
|
4.50% 10/1/20
|
460,000
|
|
|
456,550
|
|
|
Orange
|
|
|
|
|
|
|
2.75% 2/6/19
|
95,000
|
|
|
95,484
|
|
|
5.50% 2/6/44
|
30,000
|
|
|
30,578
|
|
|
Qwest 6.75% 12/1/21
|
65,000
|
|
|
72,682
|
|
|
SBA Tower Trust 144A
|
|
|
|
|
|
|
2.24% 4/16/18 #
|
45,000
|
|
|
44,550
|
6 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
|
Communications
(continued)
|
|
|
|
|
|
|
|
|
|
SES 144A 3.60%
4/4/23 #
|
|
175,000
|
|
$
|
170,726
|
|
|
Sinclair Television
Group
|
|
|
|
|
|
|
|
6.125% 10/1/22
|
|
|
|
115,000
|
|
|
116,725
|
|
|
Sprint
144A
|
|
|
|
|
|
|
|
|
|
7.125% 6/15/24 #
|
|
|
|
100,000
|
|
|
100,750
|
|
|
Sprint Communications
|
|
|
|
|
|
|
|
|
|
6.00% 12/1/16
|
|
|
|
55,000
|
|
|
59,675
|
|
|
6.00% 11/15/22
|
|
|
|
145,000
|
|
|
143,188
|
|
|
Telefonica
Emisiones
|
|
|
|
|
|
|
|
|
|
5.289% 12/9/22
|
|
GBP
|
|
50,000
|
|
|
87,070
|
|
|
6.421% 6/20/16
|
|
|
|
50,000
|
|
|
55,831
|
|
|
Telemar Norte Leste
144A
|
|
|
|
|
|
|
|
5.50% 10/23/20 #
|
|
|
|
100,000
|
|
|
94,125
|
|
|
Time Warner
Cable
|
|
|
|
|
|
|
|
|
|
8.25% 4/1/19
|
|
|
|
110,000
|
|
|
130,217
|
|
|
UPCB Finance III 144A
|
|
|
|
|
|
|
|
|
|
6.625% 7/1/20 #
|
|
|
|
150,000
|
|
|
159,750
|
|
|
Verizon
Communications
|
|
|
|
|
|
|
|
5.15% 9/15/23
|
|
|
|
215,000
|
|
|
234,188
|
|
|
6.40% 9/15/33
|
|
|
|
60,000
|
|
|
70,509
|
|
|
6.55% 9/15/43
|
|
|
|
65,000
|
|
|
78,303
|
|
|
Virgin Media Secured
|
|
|
|
|
|
|
|
|
|
Finance 6.50%
1/15/18
|
|
300,000
|
|
|
311,250
|
|
|
Zayo
Group
|
|
|
|
|
|
|
|
|
|
10.125% 7/1/20
|
|
|
|
394,000
|
|
|
457,532
|
|
|
|
|
|
|
|
|
|
5,042,150
|
|
Consumer Cyclical
– 1.97%
|
|
|
|
|
|
|
|
|
|
Amazon.com
|
|
|
|
|
|
|
|
|
|
2.50% 11/29/22
|
|
|
|
100,000
|
|
|
93,040
|
|
|
CVS
Caremark
|
|
|
|
|
|
|
|
|
|
4.00% 12/5/23
|
|
|
|
220,000
|
|
|
225,627
|
|
|
Daimler Finance North
|
|
|
|
|
|
|
|
|
|
America 144A
|
|
|
|
|
|
|
|
|
|
2.25% 7/31/19 #
|
|
|
|
150,000
|
|
|
149,526
|
|
|
Ford Motor
Credit
|
|
|
|
|
|
|
|
|
|
12.00% 5/15/15
|
|
|
|
100,000
|
|
|
114,054
|
|
|
General Motors 144A
|
|
|
|
|
|
|
|
|
|
3.50% 10/2/18 #
|
|
|
|
50,000
|
|
|
51,312
|
|
|
Home
Depot
|
|
|
|
|
|
|
|
|
|
3.75% 2/15/24
|
|
|
|
50,000
|
|
|
51,276
|
|
|
Host Hotels &
Resorts
|
|
|
|
|
|
|
|
|
|
3.75% 10/15/23
|
|
|
|
95,000
|
|
|
91,102
|
|
|
4.75% 3/1/23
|
|
|
|
75,000
|
|
|
77,620
|
|
|
5.25% 3/15/22
|
|
|
|
10,000
|
|
|
10,717
|
|
|
5.875% 6/15/19
|
|
|
|
40,000
|
|
|
43,420
|
|
|
International
Game
|
|
|
|
|
|
|
|
|
|
Technology
|
|
|
|
|
|
|
|
|
|
5.35% 10/15/23
|
|
|
|
120,000
|
|
|
127,101
|
|
|
Marriott International
|
|
|
|
|
|
|
|
|
|
3.375% 10/15/20
|
|
|
|
50,000
|
|
|
50,442
|
|
|
QVC 4.375%
3/15/23
|
|
|
|
150,000
|
|
|
144,681
|
|
|
TRW Automotive 144A
|
|
|
|
|
|
|
|
|
|
4.45% 12/1/23 #
|
|
|
|
45,000
|
|
|
43,762
|
|
|
Wyndham
Worldwide
|
|
|
|
|
|
|
|
|
|
4.25% 3/1/22
|
|
|
|
30,000
|
|
|
30,317
|
|
|
5.625% 3/1/21
|
|
|
|
40,000
|
|
|
43,735
|
|
|
Yum Brands
|
|
|
|
|
|
|
|
|
|
3.875% 11/1/23
|
|
|
|
30,000
|
|
|
29,912
|
|
|
|
|
|
|
|
|
|
1,377,644
|
|
Consumer Non-Cyclical –
4.46%
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch
InBev
|
|
|
|
|
|
|
|
|
|
Finance 3.70% 2/1/24
|
|
|
|
95,000
|
|
|
96,663
|
|
|
Boston Scientific
|
|
|
|
|
|
|
|
|
|
2.65% 10/1/18
|
|
|
|
140,000
|
|
|
142,572
|
|
|
6.00% 1/15/20
|
|
|
|
85,000
|
|
|
98,880
|
|
|
BRF
144A
|
|
|
|
|
|
|
|
|
|
5.875% 6/6/22 #
|
|
|
|
100,000
|
|
|
99,250
|
|
|
CareFusion
|
|
|
|
|
|
|
|
|
|
6.375% 8/1/19
|
|
|
|
280,000
|
|
|
324,553
|
|
|
Celgene
|
|
|
|
|
|
|
|
|
|
3.25% 8/15/22
|
|
|
|
225,000
|
|
|
220,381
|
|
|
3.95% 10/15/20
|
|
|
|
85,000
|
|
|
90,224
|
|
|
Coca-Cola Femsa
|
|
|
|
|
|
|
|
|
|
2.375% 11/26/18
|
|
|
|
150,000
|
|
|
151,177
|
|
|
Community Health
Systems
|
|
|
|
|
|
|
|
|
|
7.125% 7/15/20
|
|
|
|
470,000
|
|
|
501,138
|
|
|
Constellation Brands
|
|
|
|
|
|
|
|
|
|
3.75% 5/1/21
|
|
|
|
30,000
|
|
|
28,762
|
|
|
4.25% 5/1/23
|
|
|
|
20,000
|
|
|
18,950
|
|
|
Del
Monte
|
|
|
|
|
|
|
|
|
|
7.625% 2/15/19
|
|
|
|
25,000
|
|
|
26,000
|
|
|
Immucor
|
|
|
|
|
|
|
|
|
|
11.125% 8/15/19
|
|
|
|
10,000
|
|
|
11,288
|
|
|
JBS Investments
144A
|
|
|
|
|
|
|
|
|
|
7.75% 10/28/20 #
|
|
|
|
200,000
|
|
|
206,000
|
|
|
Kroger 3.30% 1/15/21
|
|
|
|
295,000
|
|
|
296,579
|
|
|
Mylan
144A
|
|
|
|
|
|
|
|
|
|
6.00% 11/15/18 #
|
|
|
|
120,000
|
|
|
127,674
|
|
|
Pernod-Ricard 144A
|
|
|
|
|
|
|
|
|
|
5.75% 4/7/21 #
|
|
|
|
150,000
|
|
|
169,502
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 7
Schedule of
investments
Delaware
Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Consumer Non-Cyclical
(continued)
|
|
|
|
|
|
|
Thermo Fisher
Scientific
|
|
|
|
|
|
|
4.15% 2/1/24
|
15,000
|
|
$
|
15,280
|
|
|
Yale University
|
|
|
|
|
|
|
2.90% 10/15/14
|
80,000
|
|
|
81,505
|
|
|
Zimmer
Holdings
|
|
|
|
|
|
|
4.625% 11/30/19
|
120,000
|
|
|
133,647
|
|
|
Zoetis 3.25% 2/1/23
|
295,000
|
|
|
283,815
|
|
|
|
|
|
|
3,123,840
|
|
Electric –
5.46%
|
|
|
|
|
|
|
AES 7.375% 7/1/21
|
110,000
|
|
|
122,375
|
|
|
Ameren
Illinois
|
|
|
|
|
|
|
9.75% 11/15/18
|
295,000
|
|
|
393,698
|
|
|
American Transmission
|
|
|
|
|
|
|
Systems 144A
|
|
|
|
|
|
|
5.25% 1/15/22 #
|
50,000
|
|
|
54,249
|
|
|
CenterPoint
Energy
|
|
|
|
|
|
|
5.95% 2/1/17
|
60,000
|
|
|
67,766
|
|
|
Cleveland Electric
|
|
|
|
|
|
|
Illuminating
|
|
|
|
|
|
|
5.50% 8/15/24
|
75,000
|
|
|
83,289
|
|
|
CMS
Energy
|
|
|
|
|
|
|
6.25% 2/1/20
|
35,000
|
|
|
41,064
|
|
|
ComEd Financing III
|
|
|
|
|
|
|
6.35% 3/15/33
|
60,000
|
|
|
57,277
|
|
|
Electricite de
France
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
4.875% 1/22/44 #
|
130,000
|
|
|
126,914
|
|
|
144A
|
|
|
|
|
|
|
5.25% 1/29/49 #
•
|
100,000
|
|
|
96,795
|
|
|
144A
|
|
|
|
|
|
|
5.625% 12/29/49 #
•
|
100,000
|
|
|
97,525
|
|
|
Entergy Louisiana
|
|
|
|
|
|
|
4.05% 9/1/23
|
315,000
|
|
|
329,223
|
|
|
Exelon
Generation
|
|
|
|
|
|
|
4.25% 6/15/22
|
115,000
|
|
|
113,476
|
|
|
Great Plains Energy
|
|
|
|
|
|
|
4.85% 6/1/21
|
35,000
|
|
|
37,697
|
|
|
5.292% 6/15/22
|
105,000
|
|
|
115,883
|
|
|
Indiana Michigan
Power
|
|
|
|
|
|
|
3.20% 3/15/23
|
10,000
|
|
|
9,623
|
|
|
Integrys Energy Group
|
|
|
|
|
|
|
6.11% 12/1/66
•
|
90,000
|
|
|
90,846
|
|
|
IPALCO
Enterprises
|
|
|
|
|
|
|
5.00% 5/1/18
|
35,000
|
|
|
37,100
|
|
|
LG&E & KU
Energy
|
|
|
|
|
|
|
3.75% 11/15/20
|
70,000
|
|
|
72,927
|
|
|
4.375% 10/1/21
|
165,000
|
|
|
174,153
|
|
|
MidAmerican
Energy
|
|
|
|
|
|
|
Holdings 144A
|
|
|
|
|
|
|
3.75% 11/15/23 #
|
295,000
|
|
|
294,010
|
|
|
Narragansett Electric
144A
|
|
|
|
|
|
|
4.17% 12/10/42 #
|
35,000
|
|
|
32,612
|
|
|
National Rural
Utilities
|
|
|
|
|
|
|
Cooperative Finance
|
|
|
|
|
|
|
4.75% 4/30/43
•
|
70,000
|
|
|
65,975
|
|
|
NextEra Energy Capital
|
|
|
|
|
|
|
Holdings
|
|
|
|
|
|
|
3.625% 6/15/23
|
140,000
|
|
|
136,241
|
|
|
6.35% 10/1/66
•
|
135,000
|
|
|
133,730
|
|
|
6.65% 6/15/67
•
|
5,000
|
|
|
5,098
|
|
|
NV
Energy
|
|
|
|
|
|
|
6.25% 11/15/20
|
75,000
|
|
|
89,026
|
|
|
Pennsylvania Electric
|
|
|
|
|
|
|
5.20% 4/1/20
|
140,000
|
|
|
154,197
|
|
|
PPL Capital
Funding
|
|
|
|
|
|
|
6.70% 3/30/67
•
|
40,000
|
|
|
40,428
|
|
|
Public Service of New
|
|
|
|
|
|
|
Hampshire
|
|
|
|
|
|
|
3.50% 11/1/23
|
45,000
|
|
|
45,404
|
|
|
Public Service
Oklahoma
|
|
|
|
|
|
|
5.15% 12/1/19
|
125,000
|
|
|
140,236
|
|
|
Puget Energy
|
|
|
|
|
|
|
6.00% 9/1/21
|
30,000
|
|
|
34,567
|
|
|
Puget Sound
Energy
|
|
|
|
|
|
|
6.974% 6/1/67
•
|
110,000
|
|
|
115,915
|
|
|
SCANA 4.125% 2/1/22
|
270,000
|
|
|
269,712
|
|
|
Wisconsin
Energy
|
|
|
|
|
|
|
6.25% 5/15/67
•
|
135,000
|
|
|
138,477
|
|
|
|
|
|
|
3,817,508
|
|
Energy –
4.26%
|
|
|
|
|
|
|
Continental Resources
|
|
|
|
|
|
|
4.50% 4/15/23
|
115,000
|
|
|
117,974
|
|
|
Ecopetrol 7.625%
7/23/19
|
47,000
|
|
|
55,225
|
|
|
KazMunayGas National
|
|
|
|
|
|
|
144A 9.125% 7/2/18 #
|
100,000
|
|
|
119,625
|
|
|
Lukoil
International
|
|
|
|
|
|
|
Finance
|
|
|
|
|
|
|
6.125% 11/9/20
|
200,000
|
|
|
213,500
|
8 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
|
Energy
(continued)
|
|
|
|
|
|
|
|
Newfield Exploration
|
|
|
|
|
|
|
|
5.625% 7/1/24
|
|
50,000
|
|
$
|
50,250
|
|
|
Pacific Rubiales
Energy
|
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
|
7.25% 12/12/21 #
|
|
100,000
|
|
|
105,500
|
|
|
Petrobras Global Finance
|
|
|
|
|
|
|
|
3.00% 1/15/19
|
|
70,000
|
|
|
66,139
|
|
|
Petrobras
International
|
|
|
|
|
|
|
|
Finance
|
|
|
|
|
|
|
|
5.375% 1/27/21
|
|
70,000
|
|
|
69,466
|
|
|
Petrohawk Energy
|
|
|
|
|
|
|
|
7.25% 8/15/18
|
|
170,000
|
|
|
182,376
|
|
|
Petroleos de
Venezuela
|
|
|
|
|
|
|
|
8.50% 11/2/17
|
|
35,000
|
|
|
27,248
|
|
|
Petroleos Mexicanos
|
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
|
3.125% 1/23/19 #
|
|
35,000
|
|
|
35,229
|
|
|
3.50% 1/30/23
|
|
15,000
|
|
|
13,601
|
|
|
144A
|
|
|
|
|
|
|
|
6.375% 1/23/45 #
|
|
10,000
|
|
|
10,026
|
|
|
Plains
Exploration &
|
|
|
|
|
|
|
|
Production
|
|
|
|
|
|
|
|
6.50% 11/15/20
|
|
45,000
|
|
|
49,556
|
|
|
Pride International
|
|
|
|
|
|
|
|
6.875% 8/15/20
|
|
265,000
|
|
|
320,888
|
|
|
QEP
Resources
|
|
|
|
|
|
|
|
5.375% 10/1/22
|
|
405,000
|
|
|
393,862
|
|
|
Samson Investment 144A
|
|
|
|
|
|
|
|
10.50% 2/15/20 #
|
|
205,000
|
|
|
226,525
|
|
|
SandRidge
Energy
|
|
|
|
|
|
|
|
8.75% 1/15/20
|
|
115,000
|
|
|
124,775
|
|
|
Statoil 2.90% 11/8/20
|
|
45,000
|
|
|
45,491
|
|
|
Talisman
Energy
|
|
|
|
|
|
|
|
5.50% 5/15/42
|
|
160,000
|
|
|
156,858
|
|
|
Whiting Petroleum
|
|
|
|
|
|
|
|
5.00% 3/15/19
|
|
405,000
|
|
|
418,162
|
|
|
Woodside
Finance
|
|
|
|
|
|
|
|
144A 8.125% 3/1/14 #
|
|
10,000
|
|
|
10,055
|
|
|
144A 8.75% 3/1/19 #
|
|
130,000
|
|
|
166,251
|
|
|
|
|
|
|
|
2,978,582
|
|
Financials – 0.66%
|
|
|
|
|
|
|
|
General Electric Capital
|
|
|
|
|
|
|
|
2.10% 12/11/19
|
|
130,000
|
|
|
128,501
|
|
|
4.375% 9/16/20
|
|
95,000
|
|
|
104,024
|
|
|
6.00% 8/7/19
|
|
100,000
|
|
|
118,284
|
|
|
International
Lease Finance
|
|
|
|
|
|
|
|
5.875% 4/1/19
|
|
30,000
|
|
|
32,400
|
|
|
6.25% 5/15/19
|
|
53,000
|
|
|
57,770
|
|
|
8.75% 3/15/17
|
|
15,000
|
|
|
17,531
|
|
|
|
|
|
|
|
458,510
|
|
Insurance – 2.20%
|
|
|
|
|
|
|
|
Allstate 5.75% 8/15/53
•
|
|
60,000
|
|
|
60,892
|
|
|
American International
|
|
|
|
|
|
|
|
Group
|
|
|
|
|
|
|
|
6.40% 12/15/20
|
|
290,000
|
|
|
345,533
|
|
|
8.175% 5/15/58
•
|
|
60,000
|
|
|
74,850
|
|
|
Berkshire Hathaway
|
|
|
|
|
|
|
|
Finance
|
|
|
|
|
|
|
|
2.90% 10/15/20
|
|
65,000
|
|
|
65,783
|
|
|
Chubb 6.375%
3/29/67
•
|
|
85,000
|
|
|
94,138
|
|
|
Five Corners Funding Trust
|
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
|
4.419% 11/15/23 #
|
|
100,000
|
|
|
100,614
|
|
|
Highmark
|
|
|
|
|
|
|
|
144A 4.75% 5/15/21 #
|
|
40,000
|
|
|
39,356
|
|
|
144A
|
|
|
|
|
|
|
|
6.125% 5/15/41 #
|
|
15,000
|
|
|
13,838
|
|
|
ING U.S. 5.65% 5/15/53
•
|
|
45,000
|
|
|
43,222
|
|
|
Liberty Mutual
Group
|
|
|
|
|
|
|
|
144A 4.25% 6/15/23 #
|
|
120,000
|
|
|
119,346
|
|
|
144A 4.95% 5/1/22 #
|
|
25,000
|
|
|
26,524
|
|
|
Metropolitan Life Global
|
|
|
|
|
|
|
|
Funding I 144A
|
|
|
|
|
|
|
|
3.00% 1/10/23 #
|
|
320,000
|
|
|
306,845
|
|
|
Prudential
Financial
|
|
|
|
|
|
|
|
3.875% 1/14/15
|
|
65,000
|
|
|
67,022
|
|
|
6.00% 12/1/17
|
|
120,000
|
|
|
139,230
|
|
|
XL Group
|
|
|
|
|
|
|
|
6.50% 12/29/49
•
|
|
45,000
|
|
|
44,325
|
|
|
|
|
|
|
|
1,541,518
|
|
Natural Gas – 2.63%
|
|
|
|
|
|
|
|
El Paso Pipeline
Partners
|
|
|
|
|
|
|
|
Operating
|
|
|
|
|
|
|
|
6.50% 4/1/20
|
|
105,000
|
|
|
121,967
|
|
|
Enbridge Energy Partners
|
|
|
|
|
|
|
|
8.05% 10/1/37
•
|
|
115,000
|
|
|
129,620
|
|
|
Energy Transfer
Partners
|
|
|
|
|
|
|
|
3.60% 2/1/23
|
|
80,000
|
|
|
75,799
|
|
|
5.95% 10/1/43
|
|
90,000
|
|
|
93,183
|
|
|
9.70% 3/15/19
|
|
59,000
|
|
|
76,941
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 9
Schedule of
investments
Delaware
Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Natural Gas (continued)
|
|
|
|
|
|
|
Enterprise
Products
|
|
|
|
|
|
|
Operating
|
|
|
|
|
|
|
4.05% 2/15/22
|
120,000
|
|
$
|
124,833
|
|
|
7.034% 1/15/68
•
|
120,000
|
|
|
133,316
|
|
|
Kinder Morgan Energy
|
|
|
|
|
|
|
Partners
|
|
|
|
|
|
|
3.50% 9/1/23
|
115,000
|
|
|
108,093
|
|
|
9.00% 2/1/19
|
115,000
|
|
|
147,170
|
|
|
NiSource
Finance
|
|
|
|
|
|
|
5.80% 2/1/42
|
40,000
|
|
|
44,184
|
|
|
6.125% 3/1/22
|
270,000
|
|
|
310,429
|
|
|
Plains All American
Pipeline
|
|
|
|
|
|
|
8.75% 5/1/19
|
100,000
|
|
|
129,298
|
|
|
Regency Energy
Partners
|
|
|
|
|
|
|
4.50% 11/1/23
|
85,000
|
|
|
77,881
|
|
|
TransCanada PipeLines
|
|
|
|
|
|
|
6.35% 5/15/67
•
|
180,000
|
|
|
185,890
|
|
|
Williams
Partners
|
|
|
|
|
|
|
4.50% 11/15/23
|
80,000
|
|
|
81,257
|
|
|
|
|
|
|
1,839,861
|
|
Real Estate –
1.79%
|
|
|
|
|
|
|
Alexandria Real Estate
|
|
|
|
|
|
|
Equities 3.90%
6/15/23
|
85,000
|
|
|
81,068
|
|
|
CBL &
Associates
|
|
|
|
|
|
|
5.25% 12/1/23
|
50,000
|
|
|
51,591
|
|
|
Corporate Office
Properties
|
|
|
|
|
|
|
3.60% 5/15/23
|
45,000
|
|
|
41,789
|
|
|
5.25% 2/15/24
|
55,000
|
|
|
57,789
|
|
|
CubeSmart
|
|
|
|
|
|
|
4.375% 12/15/23
|
25,000
|
|
|
25,282
|
|
|
DDR
|
|
|
|
|
|
|
7.875% 9/1/20
|
165,000
|
|
|
205,494
|
|
|
9.625% 3/15/16
|
105,000
|
|
|
122,529
|
|
|
Digital Realty
Trust
|
|
|
|
|
|
|
5.25% 3/15/21
|
125,000
|
|
|
130,330
|
|
|
5.875% 2/1/20
|
55,000
|
|
|
60,561
|
|
|
Duke Realty
|
|
|
|
|
|
|
3.625% 4/15/23
|
45,000
|
|
|
42,414
|
|
|
Liberty
Property
|
|
|
|
|
|
|
4.40% 2/15/24
|
55,000
|
|
|
55,257
|
|
|
Mid-America Apartments
|
|
|
|
|
|
|
4.30% 10/15/23
|
35,000
|
|
|
34,886
|
|
|
National Retail
Properties
|
|
|
|
|
|
|
3.30% 4/15/23
|
20,000
|
|
|
18,724
|
|
|
3.80% 10/15/22
|
30,000
|
|
|
29,366
|
|
|
Prologis 3.35% 2/1/21
|
45,000
|
|
|
44,529
|
|
|
Regency
Centers
|
|
|
|
|
|
|
5.875% 6/15/17
|
93,000
|
|
|
103,963
|
|
|
WEA Finance 144A
|
|
|
|
|
|
|
4.625% 5/10/21 #
|
70,000
|
|
|
75,099
|
|
|
Weingarten
Realty
|
|
|
|
|
|
|
Investors
|
|
|
|
|
|
|
3.50% 4/15/23
|
50,000
|
|
|
47,056
|
|
|
4.45% 1/15/24
|
25,000
|
|
|
25,131
|
|
|
|
|
|
|
1,252,858
|
|
Technology –
2.27%
|
|
|
|
|
|
|
Apple 2.40% 5/3/23
|
110,000
|
|
|
100,915
|
|
|
BMC Software
Finance
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
8.125% 7/15/21 #
|
485,000
|
|
|
503,188
|
|
|
Broadridge Financial
|
|
|
|
|
|
|
Solutions 3.95%
9/1/20
|
50,000
|
|
|
51,260
|
|
|
EMC 2.65%
6/1/20
|
15,000
|
|
|
15,033
|
|
|
Fidelity National
|
|
|
|
|
|
|
Information Services
|
|
|
|
|
|
|
3.50% 4/15/23
|
115,000
|
|
|
107,979
|
|
|
GXS
Worldwide
|
|
|
|
|
|
|
9.75% 6/15/15
|
120,000
|
|
|
123,492
|
|
|
Microsoft
|
|
|
|
|
|
|
2.125% 11/15/22
|
25,000
|
|
|
23,137
|
|
|
National
Semiconductor
|
|
|
|
|
|
|
6.60% 6/15/17
|
155,000
|
|
|
181,731
|
|
|
NetApp
|
|
|
|
|
|
|
2.00% 12/15/17
|
40,000
|
|
|
40,170
|
|
|
3.25% 12/15/22
|
55,000
|
|
|
51,201
|
|
|
Seagate HDD
Cayman
|
|
|
|
|
|
|
144A
|
|
|
|
|
|
|
3.75% 11/15/18 #
|
60,000
|
|
|
61,350
|
|
|
Total System Services
|
|
|
|
|
|
|
2.375% 6/1/18
|
15,000
|
|
|
14,947
|
|
|
3.75% 6/1/23
|
135,000
|
|
|
128,434
|
|
|
VeriSign 4.625%
5/1/23
|
195,000
|
|
|
187,688
|
|
|
|
|
|
|
1,590,525
|
|
Transportation –
1.55%
|
|
|
|
|
|
|
Brambles USA
144A
|
|
|
|
|
|
|
5.35% 4/1/20 #
|
120,000
|
|
|
132,811
|
|
|
Burlington
Northern Santa
|
|
|
|
|
|
|
Fe 5.15% 9/1/43
|
90,000
|
|
|
95,212
|
|
|
ERAC USA Finance 144A
|
|
|
|
|
|
|
5.25% 10/1/20 #
|
235,000
|
|
|
262,444
|
10 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
|
Transportation (continued)
|
|
|
|
|
|
|
|
|
Norfolk
Southern
|
|
|
|
|
|
|
|
|
3.85%
1/15/24
|
|
|
215,000
|
|
$
|
219,513
|
|
|
4.80%
8/15/43
|
|
|
40,000
|
|
|
40,572
|
|
|
Red de Carreteras de
|
|
|
|
|
|
|
|
|
Occidente
144A
|
|
|
|
|
|
|
|
|
9.00% 6/10/28
#
|
MXN
|
|
2,000,000
|
|
|
132,534
|
|
|
United Parcel
Service
|
|
|
|
|
|
|
|
|
5.125%
4/1/19
|
|
|
175,000
|
|
|
202,014
|
|
|
|
|
|
|
|
|
1,085,100
|
|
Utilities – 0.11%
|
|
|
|
|
|
|
|
|
American Water
Capital
|
|
|
|
|
|
|
|
3.85%
3/1/24
|
|
|
80,000
|
|
|
80,388
|
|
|
|
|
|
|
|
|
80,388
|
|
|
|
|
Total Corporate Bonds
(cost
$30,563,077)
|
|
|
31,388,190
|
|
|
|
|
Municipal Bonds – 0.54%
|
|
|
|
|
|
|
|
California Statewide
|
|
|
|
|
|
|
|
|
Communities
|
|
|
|
|
|
|
|
|
Development
Authority
|
|
|
|
|
|
|
|
(Kaiser
Permanente)
|
|
|
|
|
|
|
|
|
Series A 5.00%
4/1/42
|
|
25,000
|
|
|
25,587
|
|
|
Fairfax County,
Virginia
|
|
|
|
|
|
|
|
|
Series B 5.00%
4/1/24
|
|
25,000
|
|
|
30,156
|
|
|
Golden State,
California
|
|
|
|
|
|
|
|
Tobacco
Securitization
|
|
|
|
|
|
|
|
Corporation
Settlement
|
|
|
|
|
|
|
|
Revenue
(Asset-Backed
|
|
|
|
|
|
|
|
Senior Notes)
Series A-1
|
|
|
|
|
|
|
|
5.125%
6/1/47
|
|
|
50,000
|
|
|
36,224
|
|
|
5.75%
6/1/47
|
|
|
55,000
|
|
|
43,539
|
|
|
Maryland State
Local
|
|
|
|
|
|
|
|
|
Facilities
|
|
|
|
|
|
|
|
|
Series A 5.00%
8/1/21
|
|
30,000
|
|
|
36,251
|
|
|
New Jersey State
|
|
|
|
|
|
|
|
|
Transportation
Trust
|
|
|
|
|
|
|
|
|
Fund
|
|
|
|
|
|
|
|
|
Series A
5.00%
|
|
|
|
|
|
|
|
|
6/15/42
|
|
|
15,000
|
|
|
15,502
|
|
|
Series AA
5.00%
|
|
|
|
|
|
|
|
|
6/15/44
|
|
|
40,000
|
|
|
41,344
|
|
|
New York City
Transitional
|
|
|
|
|
|
|
|
|
Finance
Authority (New
|
|
|
|
|
|
|
|
|
York City
Recovery)
|
|
|
|
|
|
|
|
|
Series 13
5.00%
|
|
|
|
|
|
|
|
|
11/1/22
|
|
|
40,000
|
|
|
47,519
|
|
|
New York City Water
&
|
|
|
|
|
|
|
|
|
Sewer
System
|
|
|
|
|
|
|
|
|
(Second
Generation)
|
|
|
|
|
|
|
|
|
Series BB
5.00%
|
|
|
|
|
|
|
|
|
6/15/47
|
|
|
10,000
|
|
|
10,461
|
|
|
New York City,
New York
|
|
|
|
|
|
|
|
|
Series I 5.00%
8/1/22
|
|
|
20,000
|
|
|
23,335
|
|
|
New York State Thruway
|
|
|
|
|
|
|
|
|
Authority
|
|
|
|
|
|
|
|
|
Series A 5.00%
5/1/19
|
|
|
30,000
|
|
|
34,922
|
|
|
Texas A&M
University
|
|
|
|
|
|
|
|
|
Series D
5.00%
|
|
|
|
|
|
|
|
|
5/15/22
|
|
|
5,000
|
|
|
6,007
|
|
|
Series D
5.00%
|
|
|
|
|
|
|
|
|
5/15/23
|
|
|
5,000
|
|
|
5,998
|
|
|
Texas Private Activity
Bond
|
|
|
|
|
|
|
|
|
Surface
Transportation
|
|
|
|
|
|
|
|
|
Senior Lien
Revenue
|
|
|
|
|
|
|
|
|
Bond (NTE
Mobility)
|
|
|
|
|
|
|
|
|
6.75% 6/30/43
(AMT)
|
|
|
20,000
|
|
|
21,502
|
|
Total Municipal Bonds
(cost
$369,284)
|
|
|
378,347
|
|
|
|
|
Non-Agency Asset-Backed Securities –
2.23%
|
|
|
|
|
|
Ally Master Owner
Trust
|
|
|
|
|
|
|
|
|
Series 2013-2
A
|
|
|
|
|
|
|
|
|
0.61% 4/15/18
•
|
|
|
100,000
|
|
|
100,222
|
|
|
American Express
Credit
|
|
|
|
|
|
|
|
|
Account Secured
Note
|
|
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
|
|
Series 2012-4
A
|
|
|
|
|
|
|
|
|
0.40% 5/15/20
•
|
|
|
180,000
|
|
|
179,396
|
|
|
Appalachian Consumer
|
|
|
|
|
|
|
|
|
Rate Relief
Funding
|
|
|
|
|
|
|
|
|
Series 2013-1
A1
|
|
|
|
|
|
|
|
|
2.008%
2/1/24
|
|
|
100,000
|
|
|
99,647
|
|
|
Avis Budget
Rental Car
|
|
|
|
|
|
|
|
|
Funding
AESOP
|
|
|
|
|
|
|
|
|
Series 2011-2A
A 144A
|
|
|
|
|
|
|
|
|
2.37% 11/20/14
#
|
|
|
100,000
|
|
|
101,025
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 11
Schedule of investments
Delaware Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Non-Agency Asset-Backed Securities
(continued)
|
|
|
|
|
|
California Republic
Auto
|
|
|
|
|
|
|
Receivables
Trust
|
|
|
|
|
|
|
Series 2013-1
A2 144A
|
|
|
|
|
|
|
1.41% 9/17/18
#
|
92,544
|
|
$
|
92,533
|
|
|
Capital One
Multi-Asset
|
|
|
|
|
|
|
Execution
Trust
|
|
|
|
|
|
|
Series 2007-A1
A1
|
|
|
|
|
|
|
0.21% 11/15/19
•
|
100,000
|
|
|
99,254
|
|
|
Series 2013-A2
A2
|
|
|
|
|
|
|
0.34% 2/15/19
•
|
125,000
|
|
|
124,838
|
|
|
Citicorp Residential
|
|
|
|
|
|
|
Mortgage
Securities
|
|
|
|
|
|
|
Series 2006-3
A5
|
|
|
|
|
|
|
5.948%
11/25/36
|
300,000
|
|
|
287,574
|
|
|
John Deere Owner
Trust
|
|
|
|
|
|
|
Series 2011-A
A4
|
|
|
|
|
|
|
1.96%
4/16/18
|
70,000
|
|
|
70,398
|
|
|
MASTR Specialized Loan
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
Series 2005-2
A2 144A
|
|
|
|
|
|
|
5.006% 7/25/35
#
•
|
22,236
|
|
|
22,317
|
|
|
Mercedes-Benz
Auto Lease
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
Series 2013-A
A4
|
|
|
|
|
|
|
0.72%
12/17/18
|
50,000
|
|
|
50,048
|
|
|
Mid-State Trust
|
|
|
|
|
|
|
Series 11
A1
|
|
|
|
|
|
|
4.864%
7/15/38
|
12,164
|
|
|
12,976
|
|
|
Navistar
Financial Owner
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
Series 2012-A
A2 144A
|
|
|
|
|
|
|
0.85% 3/18/15
#
|
11,550
|
|
|
11,552
|
|
|
Trafigura
Securitisation
|
|
|
|
|
|
|
Finance
|
|
|
|
|
|
|
Series 2012-1A
A 144A
|
|
|
|
|
|
|
2.56% 10/15/15
#
•
|
145,000
|
|
|
146,745
|
|
|
Volvo Financial
Equipment
|
|
|
|
|
|
|
Series 2012-1A
A4
|
|
|
|
|
|
|
144A 1.09%
8/15/17 #
|
95,000
|
|
|
95,250
|
|
|
World Omni Automobile
|
|
|
|
|
|
|
Lease
Securitization
|
|
|
|
|
|
|
Trust
|
|
|
|
|
|
|
Series 2012-A
A3
|
|
|
|
|
|
|
0.93%
11/16/15
|
70,000
|
|
|
70,175
|
|
Total Non-Agency Asset-Backed
Securities
|
|
|
|
|
|
(cost
$1,540,491)
|
|
|
|
1,563,950
|
|
|
|
|
Regional Bond – 0.14%
Δ
|
|
|
|
|
|
Canada – 0.14%
|
|
|
|
|
|
|
Province of
Ontario
|
|
|
|
|
|
|
Canada 2.00%
1/30/19
|
95,000
|
|
|
95,502
|
|
|
|
|
Total Regional Bond
(cost $94,946)
|
|
|
95,502
|
|
|
|
|
Senior Secured Loans – 10.83%
«
|
|
|
|
|
|
|
Activision Blizzard
Tranche
|
|
|
|
|
|
|
B 1st
Lien
|
|
|
|
|
|
|
3.25%
9/12/20
|
155,000
|
|
|
156,557
|
|
|
Allegion U.S.
Holding
|
|
|
|
|
|
|
Tranche
B
|
|
|
|
|
|
|
3.00%
12/26/20
|
80,000
|
|
|
80,350
|
|
|
Aramark Tranche D
|
|
|
|
|
|
|
4.00%
9/30/19
|
75,000
|
|
|
75,562
|
|
|
Azure Midstream
Tranche B
|
|
|
|
|
|
|
6.50%
10/21/18
|
100,000
|
|
|
101,219
|
|
|
BJ’s Wholesale Club
|
|
|
|
|
|
|
Tranche B 1st
Lien
|
|
|
|
|
|
|
4.50%
9/26/19
|
149,812
|
|
|
151,440
|
|
|
Burlington Coat
Factory
|
|
|
|
|
|
|
Warehouse
Tranche B2
|
|
|
|
|
|
|
4.00%
2/23/17
|
285,519
|
|
|
288,597
|
|
|
Calpine Construction
|
|
|
|
|
|
|
Financal
Tranche B
|
|
|
|
|
|
|
3.00%
5/1/20
|
149,250
|
|
|
148,993
|
|
|
Chrysler Group
Tranche B
|
|
|
|
|
|
|
4.25%
5/24/17
|
194,222
|
|
|
195,540
|
|
|
Clear Channel Communi-
|
|
|
|
|
|
|
cations Tranche
B
|
|
|
|
|
|
|
3.65%
1/29/16
|
522,000
|
|
|
510,022
|
|
|
DaVita Tranche
B
|
|
|
|
|
|
|
4.50%
10/20/16
|
58,937
|
|
|
59,268
|
|
|
DaVita Tranche B2
|
|
|
|
|
|
|
4.00%
8/1/19
|
49,500
|
|
|
49,974
|
12 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Senior Secured Loans«
(continued)
|
|
|
|
|
|
Drillships
Financing
|
|
|
|
|
|
|
Holding Tranche B1
|
|
|
|
|
|
|
6.00% 2/17/21
|
54,725
|
|
$
|
56,093
|
|
|
Emdeon 1st Lien
|
|
|
|
|
|
|
3.75% 11/2/18
|
107,813
|
|
|
108,330
|
|
|
Energy Transfer
1st Lien
|
|
|
|
|
|
|
3.25% 12/2/19
|
125,000
|
|
|
125,234
|
|
|
First Data 1st Lien
|
|
|
|
|
|
|
4.00% 4/5/17
|
84,068
|
|
|
84,226
|
|
|
Gray
Television
|
|
|
|
|
|
|
4.50% 10/11/19
|
134,324
|
|
|
135,500
|
|
|
HCA Tranche B4
|
|
|
|
|
|
|
2.75% 5/1/18
|
498,750
|
|
|
500,192
|
|
|
HCA Tranche B5
1st Lien
|
|
|
|
|
|
|
2.75% 3/31/17
|
125,685
|
|
|
126,069
|
|
|
Hilton Worldwide Finance
|
|
|
|
|
|
|
Tranche B2
|
|
|
|
|
|
|
3.75% 9/23/20
|
357,105
|
|
|
360,067
|
|
|
Houghton
International 1st
|
|
|
|
|
|
|
Lien 4.00% 12/10/19
|
193,050
|
|
|
194,337
|
|
|
Houghton International
|
|
|
|
|
|
|
2nd Lien
|
|
|
|
|
|
|
9.50% 11/20/20
|
125,000
|
|
|
128,438
|
|
|
IASIS Healthcare
Tranche B
|
|
|
|
|
|
|
1st Lien 4.50%
5/3/18
|
29,475
|
|
|
29,773
|
|
|
Immucor Tranche B2
|
|
|
|
|
|
|
5.00% 8/19/18
|
186,839
|
|
|
188,473
|
|
|
Infor U.S.
Tranche B5 1st
|
|
|
|
|
|
|
Lien 3.75% 6/3/20
|
53,285
|
|
|
53,544
|
|
|
Intelsat Jackson Holdings
|
|
|
|
|
|
|
Tranche B2
|
|
|
|
|
|
|
3.75% 6/30/19
|
143,958
|
|
|
145,272
|
|
|
Landry’s Tranche
B
|
|
|
|
|
|
|
4.75% 4/24/18
|
184,918
|
|
|
186,998
|
|
|
Level 3 Financing Tranche B
|
|
|
|
|
|
|
4.00% 1/15/20
|
50,000
|
|
|
50,406
|
|
|
MultiPlan Tranche B
|
|
|
|
|
|
|
4.00% 8/18/17
|
10,226
|
|
|
10,315
|
|
|
Neiman Marcus Group
|
|
|
|
|
|
|
5.00% 10/18/20
|
185,000
|
|
|
187,402
|
|
|
Novelis Tranche B
|
|
|
|
|
|
|
3.75% 3/10/17
|
49,491
|
|
|
49,880
|
|
|
Nuveen Investments 1st
|
|
|
|
|
|
|
Lien 4.00% 5/13/17
|
200,000
|
|
|
200,063
|
|
|
Nuveen Investments 2nd
|
|
|
|
|
|
|
Lien 6.50% 2/28/19
|
320,000
|
|
|
319,600
|
|
|
OSI Restaurants Tranche B
|
|
|
|
|
|
|
1st Lien
|
|
|
|
|
|
|
3.50% 10/26/19
|
116,875
|
|
|
117,353
|
|
|
Patheon 4.25% 1/23/21
|
525,000
|
|
|
525,047
|
|
|
PQ Tranche B
|
|
|
|
|
|
|
4.50% 8/7/17
|
34,650
|
|
|
35,006
|
|
|
Rite Aid 2nd Lien
|
|
|
|
|
|
|
4.875% 6/13/21
|
350,000
|
|
|
357,000
|
|
|
Samson Investment 2nd
|
|
|
|
|
|
|
Lien 5.00% 9/25/18
|
90,000
|
|
|
91,035
|
|
|
Scientific Games
|
|
|
|
|
|
|
International
|
|
|
|
|
|
|
4.25% 5/22/20
|
195,000
|
|
|
196,201
|
|
|
Smart & Final Tranche B 1st
|
|
|
|
|
|
|
Lien 4.50% 11/15/19
|
120,781
|
|
|
120,886
|
|
|
Sprouts Farmers
|
|
|
|
|
|
|
4.00% 4/12/20
|
154,606
|
|
|
155,669
|
|
|
Truven Health Analytics
|
|
|
|
|
|
|
Tranche B
|
|
|
|
|
|
|
4.50% 5/23/19
|
88,877
|
|
|
89,211
|
|
|
Univision Communications
|
|
|
|
|
|
|
Tranche C1 1st Lien
|
|
|
|
|
|
|
4.50% 2/22/20
|
64,402
|
|
|
64,833
|
|
|
Univision Communications
|
|
|
|
|
|
|
Tranche C2
|
|
|
|
|
|
|
4.50% 2/6/20
|
99,250
|
|
|
99,870
|
|
|
USI Insurance Services
|
|
|
|
|
|
|
Tranche B 1st Lien
|
|
|
|
|
|
|
4.25% 12/3/18
|
49,501
|
|
|
49,872
|
|
|
Valeant Pharmaceuticals
|
|
|
|
|
|
|
Tranche B
|
|
|
|
|
|
|
4.50% 5/30/20
|
199,400
|
|
|
201,674
|
|
|
Vantage Drilling Tranche B
|
|
|
|
|
|
|
1st Lien
|
|
|
|
|
|
|
5.00% 10/25/17
|
55,500
|
|
|
55,934
|
|
|
Visant 5.25% 12/22/16
|
91,461
|
|
|
90,743
|
|
|
Zayo Group Tranche B 1st
|
|
|
|
|
|
|
Lien 4.00% 7/2/19
|
268,867
|
|
|
270,884
|
|
Total Senior Secured Loans
|
|
|
|
|
|
|
(cost $7,537,980)
|
|
|
|
7,578,952
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 13
Schedule of investments
Delaware Pooled
®
Trust — The Core Plus Fixed Income Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Sovereign Bonds –
0.11%
Δ
|
|
|
|
|
|
Hungary – 0.04%
|
|
|
|
|
|
|
Hungary
Government
|
|
|
|
|
|
|
International Bond
|
|
|
|
|
|
|
5.75% 11/22/23
|
30,000
|
|
$
|
29,738
|
|
|
|
|
|
|
29,738
|
|
Romania –
0.07%
|
|
|
|
|
|
|
Romanian Government
|
|
|
|
|
|
|
International Bond
144A
|
|
|
|
|
|
|
4.875% 1/22/24 #
|
48,000
|
|
|
47,040
|
|
|
|
|
|
|
47,040
|
|
Total Sovereign Bonds
(cost $77,051)
|
|
|
76,778
|
|
|
|
|
Supranational Banks –
0.50%
|
|
|
|
|
|
|
European Investment
Bank
|
|
|
|
|
|
|
1.875% 3/15/19
|
95,000
|
|
|
95,317
|
|
|
3.25% 1/29/24
|
135,000
|
|
|
136,629
|
|
|
Inter-American
|
|
|
|
|
|
|
Development Bank
|
|
|
|
|
|
|
4.375% 1/24/44
|
40,000
|
|
|
41,102
|
|
|
International Bank for
|
|
|
|
|
|
|
Reconstruction &
|
|
|
|
|
|
|
Development
|
|
|
|
|
|
|
1.875% 3/15/19
|
75,000
|
|
|
75,496
|
|
Total
Supranational Banks
(cost
$343,364)
|
|
|
348,544
|
|
|
|
|
U.S. Treasury Obligations –
8.48%
|
|
|
|
|
|
U.S. Treasury Bonds
|
|
|
|
|
|
|
3.625% 8/15/43
|
375,000
|
|
|
375,117
|
|
|
3.75% 11/15/43
|
35,000
|
|
|
35,820
|
|
|
U.S. Treasury
Notes
|
|
|
|
|
|
|
1.50% 12/31/18
|
1,180,000
|
|
|
1,180,876
|
|
|
1.50% 1/31/19
|
1,225,000
|
|
|
1,224,473
|
|
|
2.375% 12/31/20
|
15,000
|
|
|
15,248
|
|
|
2.75% 11/15/23
∞
|
3,077,000
|
|
|
3,099,597
|
|
Total U.S. Treasury
Obligations
|
|
|
|
|
|
(cost $5,846,003)
|
|
|
|
5,931,131
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Convertible Preferred Stock –
0.08%
|
|
|
|
|
|
ArcelorMittal 6.00%
|
|
|
|
|
|
|
exercise price
$20.61,
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
12/21/15
|
125
|
|
|
3,086
|
|
|
Bank of America
7.25%
|
|
|
|
|
|
|
exercise price
$50.00,
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
12/31/49
|
1
|
|
|
1,117
|
|
|
Chesapeake Energy 144A
|
|
|
|
|
|
|
5.75% exercise price
|
|
|
|
|
|
|
$27.83, expiration
date
|
|
|
|
|
|
|
12/31/49 #
|
4
|
|
|
4,548
|
|
|
Dominion
Resources
|
|
|
|
|
|
|
6.00% exercise price
|
|
|
|
|
|
|
$65.27, expiration
date
|
|
|
|
|
|
|
7/1/16
|
30
|
|
|
1,681
|
|
|
6.125% exercise
price
|
|
|
|
|
|
|
$65.27, expiration
date
|
|
|
|
|
|
|
4/1/16
|
30
|
|
|
1,678
|
|
|
Goodyear Tire &
Rubber
|
|
|
|
|
|
|
5.875% exercise
price
|
|
|
|
|
|
|
$18.21, expiration
date
|
|
|
|
|
|
|
3/31/14
|
115
|
|
|
7,594
|
|
|
HealthSouth
6.50%
|
|
|
|
|
|
|
exercise price
$30.18,
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
12/31/49
|
6
|
|
|
7,202
|
|
|
Intelsat 5.75% exercise
|
|
|
|
|
|
|
price $22.05,
expiration
|
|
|
|
|
|
|
date 5/1/16
|
120
|
|
|
6,303
|
|
|
MetLife 5.00%
exercise
|
|
|
|
|
|
|
price $44.27,
expiration
|
|
|
|
|
|
|
date 3/26/14
|
125
|
|
|
3,644
|
|
|
SandRidge Energy 8.50%
|
|
|
|
|
|
|
exercise price
$8.01,
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
12/31/49
|
79
|
|
|
8,038
|
|
|
Wells Fargo
7.50%
|
|
|
|
|
|
|
exercise price
$156.71,
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
12/31/49
|
7
|
|
|
8,102
|
|
Total Convertible Preferred
Stock
|
|
|
|
|
|
(cost $51,290)
|
|
|
|
52,993
|
14 NQ-DPT-164 [1/14] 3/14
(12254)
|
|
|
|
Number of
|
|
Value
|
|
|
|
|
|
Shares
|
|
(U.S. $)
|
|
|
Preferred Stock – 0.27%
|
|
|
|
|
|
|
|
|
Alabama Power 5.625%
|
|
1,855
|
|
$
|
42,795
|
|
|
|
Integrys Energy
Group
|
|
|
|
|
|
|
|
|
6.00%
•
|
|
1,950
|
|
|
47,560
|
|
|
|
National Retail
Properties
|
|
|
|
|
|
|
|
|
5.70%
|
|
1,225
|
|
|
24,745
|
|
|
|
Public Storage
5.20%
|
|
1,200
|
|
|
23,916
|
|
|
|
Wells Fargo 5.20%
|
|
2,400
|
|
|
51,000
|
|
|
Total Preferred Stock
(cost
$214,544)
|
|
|
190,016
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
|
|
|
Contracts
|
|
|
|
|
|
Option Purchased – 0.00%
|
|
|
|
|
|
|
|
Currency Call Option – 0.00%
|
|
|
|
|
|
|
|
USD vs TRY strike price TRY 200,
|
|
|
|
|
|
|
|
|
expiration date
3/12/14
|
|
107,400
|
|
|
10
|
|
|
Total Option Purchased
(cost
$554)
|
|
|
10
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
amount°
|
|
|
|
|
|
Short-Term Investments – 22.61%
|
|
|
|
|
|
Repurchase Agreements – 22.61%
|
|
|
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
|
$3,985,863
|
|
|
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
|
|
market
value
|
|
|
|
|
|
|
|
|
$4,065,577)
|
|
3,985,860
|
|
|
3,985,860
|
|
|
|
Bank of Montreal
|
|
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
|
$664,311
(collateralized
|
|
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
|
0.25%-2.75%
|
|
|
|
|
|
|
|
|
4/30/14-11/15/23;
|
|
|
|
|
|
|
|
|
market value
$677,597)
|
|
664,310
|
|
|
664,310
|
|
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
|
$11,168,849
|
|
|
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
|
|
market
value
|
|
|
|
|
|
|
|
|
$11,392,207)
|
|
11,168,830
|
|
$
|
11,168,830
|
|
|
Total Short-Term Investments
|
|
|
|
|
|
|
(cost $15,819,000)
|
|
|
|
|
15,819,000
|
|
|
Total Value of
|
|
|
|
|
|
|
|
|
Securities – 117.86%
|
|
|
|
|
|
|
|
|
(cost
$81,244,471)
|
|
|
|
|
82,473,286
|
|
|
|
|
|
Liabilities Net of Receivables and
Other
|
|
|
|
|
|
|
Assets – (17.86%)
✢
|
|
|
|
|
(12,495,480
|
)
|
|
Net Assets – 100.00%
|
|
|
|
$
|
69,977,806
|
|
____________________
|
#
|
Security exempt from
registration under Rule 144A of the Securities Act of 1933, as amended. At
Jan. 31, 2014, the aggregate value of Rule 144A securities was $8,706,652,
which represents 12.44% of the Portfolio’s net assets. See Note 5 in
“Notes.”
|
|
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.
|
|
✢
|
Of this amount, $8,034,875
represents receivable for securities sold, $21,019,910 represents payable
for securities purchased and includes foreign currency valued at $119,204
with a cost of $119,222.
|
|
°
|
Principal amount shown is
stated in U.S. dollars unless noted that the security is denominated in
another currency.
|
|
•
|
Variable rate security. The
rate shown is the rate as of Jan. 31, 2014. Interest rates reset
periodically.
|
|
∞
|
Fully or partially pledged as
collateral for futures contracts.
|
|
Δ
|
Securities have been classified
by country of origin.
|
|
Σ
|
Interest only security.An
interest only security is the interest only portion of a fixed income
security which is separated and sold individually from the principal
portion of the security.
|
|
«
|
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 U.S. 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 Jan. 31, 2014.
|
|
ϕ
|
Step coupon bond. Coupon
increases or decreases periodically based on a predetermined schedule.
Stated rate in effect at Jan. 31,
2014.
|
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 15
Schedule of investments
Delaware Pooled
®
Trust — The Core Plus Fixed Income Portfolio
The following foreign currency
exchange contracts, futures contracts and swap contracts were outstanding at
Jan. 31, 2014:
1
Foreign Currency Exchange
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
|
Contracts to
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
Counterparty
|
|
|
Receive (Deliver)
|
|
In Exchange For
|
|
Settlement Date
|
|
(Depreciation)
|
|
BAML
|
|
|
CAD
|
(104,364
|
)
|
|
USD
|
96,252
|
|
|
|
2/14/14
|
|
|
$
|
2,559
|
|
|
BAML
|
|
|
CLP
|
7,578,475
|
|
|
USD
|
(13,623
|
)
|
|
|
2/14/14
|
|
|
|
(2
|
)
|
|
BAML
|
|
|
ZAR
|
(151,869
|
)
|
|
USD
|
13,623
|
|
|
|
2/14/14
|
|
|
|
(17
|
)
|
|
BNYM
|
|
|
NGN
|
(4,239,386
|
)
|
|
USD
|
26,027
|
|
|
|
2/3/14
|
|
|
|
(35
|
)
|
|
DB
|
|
|
EUR
|
(156,748
|
)
|
|
USD
|
213,395
|
|
|
|
2/14/14
|
|
|
|
1,965
|
|
|
TD
|
|
|
JPY
|
(289,409
|
)
|
|
USD
|
2,810
|
|
|
|
2/14/14
|
|
|
|
(23
|
)
|
|
UBS
|
|
|
COP
|
27,434,483
|
|
|
USD
|
(13,605
|
)
|
|
|
2/14/14
|
|
|
|
(6
|
)
|
|
UBS
|
|
|
MXN
|
(1,379,184
|
)
|
|
USD
|
102,778
|
|
|
|
2/14/14
|
|
|
|
(285
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,156
|
|
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
|
|
Notional
|
|
Notional
|
|
Expiration
|
|
Appreciation
|
|
Contracts to Buy (Sell)
|
|
Cost (Proceeds)
|
|
Value
|
|
Date
|
|
(Depreciation)
|
|
(2
|
)
|
S&P 500
E-mini
|
|
$
|
(181,847
|
)
|
|
$
|
(177,660
|
)
|
|
|
3/22/14
|
|
|
$
|
4,187
|
|
35
|
|
U.S. Treasury 5 yr
Notes
|
|
|
4,200,230
|
|
|
|
4,221,875
|
|
|
|
4/1/14
|
|
|
|
21,645
|
|
50
|
|
U.S. Treasury 10
yr Notes
|
|
|
6,243,401
|
|
|
|
6,287,500
|
|
|
|
3/21/14
|
|
|
|
44,099
|
|
5
|
|
U.S. Treasury Long
Bonds
|
|
|
667,365
|
|
|
|
667,969
|
|
|
|
3/21/14
|
|
|
|
604
|
|
|
|
|
|
|
|
$
|
10,929,149
|
|
|
|
|
|
|
|
|
|
|
$
|
70,535
|
Swap Contracts
CDS Contract
2
|
|
|
Swap
|
|
|
|
Annual
|
|
|
|
Unrealized
|
|
|
|
Referenced
|
|
Notional
|
|
Protection
|
|
Termination
|
|
Appreciation
|
|
Counterparty
|
|
Obligation
|
|
Value
|
|
Payments
|
|
Date
|
|
(Depreciation)
|
|
|
|
Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchased:
|
|
|
|
|
|
|
|
|
|
|
JPMC
|
|
CDX.EM.20-V1
|
|
$365,000
|
|
5.00%
|
|
12/20/18
|
|
$
|
1,120
|
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
foreign currency exchange contracts and notional values presented above
represent the Portfolio’s total exposure in such contracts, whereas only the net
unrealized appreciation (depreciation) is reflected in the Portfolio’s net
assets.
1
See Note 3 in
“Notes.“
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 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.
Summary of
abbreviations:
AMT – Subject to
Alternative Minimum Tax
ARM – Adjustable
Rate Mortgage
BAML – Bank of America Merrill Lynch
BNYM – BNY
Mellon
CAD – Canadian Dollar
CDS – Credit Default Swap
CDX.EM – Credit Default Swap Emerging Markets
Index
CLP – Chilean Peso
COP – Columbian Peso
DB – Deutsche Bank
EUR
– European Monetary Unit
GBP – British Pound Sterling
GNMA – Government
National Mortgage Association
JPMC – JPMorgan Chase Bank
JPY – Japanese
Yen
MNB – Mellon National Bank
MASTR –
Mortgage Asset Securitization Transactions, Inc.
MXN – Mexican Peso
NCUA –
National Credit Union Administration
NGN – Nigerian Naira
REMIC – Real
Estate Mortgage Investment Conduit
S.F. – Single Family
TBA – To be
announced
TD – Toronto Dominion Bank
TRY – Turkish Lira
UBS – Union
Bank of Switzerland
USD – United States Dollar
yr – Year
ZAR – South
African Rand
16 NQ-DPT-164 [1/14] 3/14
(12254)
Notes
Delaware Pooled
®
Trust — The Core Plus Fixed Income Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust – The Core Plus
Fixed Income Portfolio (Portfolio). This report covers the period of time since
the Portfolio’s 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 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. U.S. government
and agency securities are valued at the mean between the bid and ask prices,
which approximates fair value. Other 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. Valuations for fixed income securities utilize matrix
systems, which reflect such factors as security prices, yields, maturities, and
ratings, and are supplemented by dealer and exchange quotations. For
asset-backed securities, collateralized mortgage obligations, commercial
mortgage securities and U.S. government agency mortgage securities, pricing
vendors utilize matrix pricing which considers prepayment speed, attributes of
the collateral, yield or price of bonds of comparable quality, coupon, maturity
and type as well as broker/dealer-supplied prices. Swap prices are derived using
daily swap curves and models that incorporate a number of market data factors,
such as discounted cash flows, trades and values of the underlying reference
instruments. Foreign currency exchange contracts and foreign cross currency
exchange contracts are valued at the mean between the bid and ask prices, which
approximates fair value. Interpolated values are derived when the settlement
date of the contract is an interim date for which quotations are not available.
Futures contracts and options on futures contracts are valued at the daily
quoted settlement prices. Exchange-traded options are valued at the last
reported sale price or, if no sales are reported, at the mean between the last
reported bid and ask prices, which approximates fair value. Generally, other
securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith under the direction of the
Portfolio’s Board of Trustees (Board). In determining whether market quotations
are readily available or fair valuation will be used, various factors will be
taken into consideration, such as market closures or suspension of trading in a
security. The Portfolio 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 Portfolio 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 Portfolio may
frequently value foreign securities using fair value prices based on third-party
vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes
— No provision for federal income taxes
has been made as the Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010 – Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements. In regard to foreign taxes only, the Portfolio
has open tax years in certain foreign countries it invests in that may date back
to the inception of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
To Be Announced Trades (TBA)
— The Portfolio may contract to purchase
or sell 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 Portfolio’s ability to
manage its investment portfolio and meet redemption requests. These transactions
involve a commitment by the Portfolio to purchase or deliver
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 Portfolio on such purchases until the securities are delivered;
however, the market value may change prior to delivery.
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 17
(Unaudited)
1. Significant Accounting Policies
(continued)
Foreign Currency Transactions
— Transactions denominated in foreign
currencies are recorded at the prevailing exchange rates on the valuation date
in accordance with the Portfolio’s 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 Portfolio generally
bifurcates that portion of realized gains and losses on investments in debt
securities which is due to changes in foreign exchange rates from that which is
due to changes in market prices of debt securities. The Portfolio reports
certain foreign currency related transactions as components of realized gains
(losses) for financial reporting purposes, whereas such components are treated
as ordinary income (loss) for federal income tax purposes.
Use of Estimates
— The preparation of financial statements in conformity
with 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 Portfolio are
charged directly to the Portfolio. 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 Portfolio
declares and pays distributions from net investment income and net realized gain
on investments, if any, annually. The Portfolio may distribute more frequently,
if necessary for tax purposes. Dividends and distributions, if any, are recorded
on the ex-dividend date.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
81,295,783
|
|
|
Aggregate unrealized
appreciation
|
$
|
1,529,462
|
|
|
Aggregate
unrealized depreciation
|
|
(351,959
|
)
|
|
Net unrealized
appreciation
|
$
|
1,177,503
|
|
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $1,915,115 may be carried forward
and applied against future capital gains. Capital loss carryforwards will expire
as follows: $1,651,753 expires in 2016.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation. At Oct. 31, 2013, short-term losses of $263,362 will be
carried forward under the Act.
18 NQ-DPT-164 [1/14] 3/14
(12254)
(Unaudited)
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 value
securities)
|
|
|
|
|
Level 3 –
|
inputs are significant
unobservable inputs (including the Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Agency, Asset-Backed &
|
|
|
|
|
|
|
|
|
|
Mortgage- Backed
Securities
|
$
|
—
|
|
$
|
20,359,331
|
|
$
|
20,359,331
|
|
Corporate Debt
|
|
—
|
|
|
31,642,682
|
|
|
31,642,682
|
|
Foreign Debt
|
|
—
|
|
|
520,824
|
|
|
520,824
|
|
Senior Secured Loans
|
|
—
|
|
|
7,578,952
|
|
|
7,578,952
|
|
Municipal Bonds
|
|
—
|
|
|
378,347
|
|
|
378,347
|
|
Convertible Preferred
Stock
1
|
|
21,408
|
|
|
31,585
|
|
|
52,993
|
|
Preferred Stock
|
|
190,016
|
|
|
—
|
|
|
190,016
|
|
U.S. Treasury Obligations
|
|
—
|
|
|
5,931,131
|
|
|
5,931,131
|
|
Short-Term Investments
|
|
—
|
|
|
15,819,000
|
|
|
15,819,000
|
|
Option Purchased
|
|
—
|
|
|
10
|
|
|
10
|
|
Total
|
$
|
211,424
|
|
$
|
82,261,862
|
|
$
|
82,473,286
|
|
Foreign Currency Exchange
|
|
|
|
|
|
|
|
|
|
Contracts
|
$
|
—
|
|
$
|
4,156
|
|
$
|
4,156
|
|
Futures Contracts
|
|
70,535
|
|
|
—
|
|
|
70,535
|
|
Swap Contracts
|
|
—
|
|
|
1,120
|
|
|
1,120
|
1
Security type is valued
across multiple levels. Level 1 investments represent exchange-traded
investments while Level 2 investments represent matrix-priced investments. These
amounts attributed to Level 1 and Level 2 investments represents the following
percentages of the total market value of this security type.
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 19
(Unaudited)
2. Investments
(continued)
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Convertible
Preferred Stock
|
|
40.40%
|
|
59.60%
|
|
100.00%
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. Management has determined not to provide additional disclosure on Level
3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered
significant to the Portfolio’s net assets at the end of the period. At Jan. 31,
2014, there were no Level 3 investments.
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 Portfolio may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Portfolio 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 Portfolio 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 Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their contracts.
The Portfolio’s maximum risk of loss from counterparty credit risk is the value
of its currency exchanged with the counterparty. The risk is generally mitigated
by having a netting arrangement between the Portfolio and the counterparty and
by the posting of collateral by the counterparty to the Portfolio to cover the
Portfolio’s exposure to the counterparty.
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 Portfolio may use
futures in the normal course of pursuing its investment objective. The Portfolio
invested in futures contracts to hedge its existing portfolio securities against
fluctuations in fair value caused by changes in prevailing interest rates or
market conditions. Upon entering into a futures contract, the Portfolio 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 Portfolio as unrealized gains or losses until the contracts are closed. When
the contracts are closed, the Portfolio records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed. Risks of entering into futures contracts
include potential imperfect correlation between the futures contracts and the
underlying securities and the possibility of an illiquid secondary market for
these instruments. When investing in futures, there is reduced counterparty
credit risk to the Portfolio because futures are exchange-traded and the
exchange’s clearinghouse, as counterparty to all exchange-traded futures,
guarantees against default.
20 NQ-DPT-164 [1/14] 3/14
(12254)
(Unaudited)
Options Contracts
— During the period ended Jan. 31, 2014, the Portfolio
entered into options contracts in the normal course of pursuing its investment
objective. The Portfolio may buy or write options contracts for any number of
reasons, including without limitation: to manage the Portfolio’s exposure to
changes in securities prices and foreign currencies; as an efficient means of
adjusting the Portfolio’s overall exposure to certain markets; to protect the
value of portfolio securities; and as a cash management tool. The Portfolio may
buy or write call or put options on securities, futures, swaps, swaptions,
financial indices, and foreign currencies. When the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio has a realized gain or loss. If a put option
is exercised, the premium reduces the cost basis of the securities purchased by
the Portfolio. The Portfolio, 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 Portfolio 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.
Swap Contracts
— The Portfolio may enter into CDS contracts in the
normal course of pursuing its investment objective. The Portfolio 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 Portfolio 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 (S&P) or Baa3 by Moody’s Investors Service (Moody’s) or is determined
to be of equivalent credit quality by the Manager.
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
referenced 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 Portfolio in connection with an unwinding
or assignment of a CDS contract. Upon the occurrence of a credit event, the
seller of protection would pay the par (or other agreed-upon) value of the
reference security (or basket of securities) to the counterparty. Credit events
generally include, among others, bankruptcy, failure to pay, and obligation
default.
During the period ended Jan. 31,
2014, the Portfolio entered into CDS contracts as a purchaser of protection.
Periodic payments (receipts) on such contracts are accrued daily and recorded as
unrealized losses (gains) on swap contracts. Upon payment or 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. (receipt) The change in value of CDS contracts is recorded daily 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. For the period ended Jan. 31, 2014, the
Portfolio did not enter into any CDS contract as a seller of protection. Initial
margin and variation margin are posted to central counterparties for CDS basket
trades, as determined by the applicable central counterparty.
CDS contracts may involve greater
risks than if the Portfolio had invested in the reference obligation directly.
CDS contracts are subject to general market risk, liquidity risk, counterparty
risk and credit risk. The Portfolio’s maximum risk of loss from counterparty
credit risk, either as the seller of protection or the buyer of protection, is
the fair value of the contract. This risk is trading CDS baskets through a
central counterparty.
Swaps Generally
. The value of open swaps may differ from that which
would be realized in the event the Portfolio 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 Portfolio, 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: (1)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. 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.
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 21
(Unaudited)
4. Securities Lending (continued)
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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio continues to record
dividends or interest, as applicable, on the securities loaned and is subject to
change in value of the securities loaned that may occur during the term of the
loan. The Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those circumstances, the Portfolio may not
receive an amount from the Collective Trust that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up for this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
5. Credit and Market
Risk
Some countries in which the Portfolio
invests require governmental approval for the repatriation of investment income,
capital or the proceeds of sales of securities by foreign investors. In
addition, if there is deterioration in a country’s balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
The securities exchanges of certain
foreign markets are substantially smaller, less liquid and more volatile than
the major securities markets in the United States. Consequently, acquisition and
disposition of securities by the Portfolio may be inhibited. In addition, a
significant portion of the aggregate market value of securities listed on the
major securities exchanges in emerging markets is held by a smaller number of
investors. This may limit the number of shares available for acquisition or
disposition by the Portfolio.
The Portfolio may invest a portion of
its net assets in high-yield fixed income securities, which are securities rated
BB or lower by S&P and Ba or lower by Moody’s, or similarly rated by another
nationally recognized statistical rating organization. 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.
22 NQ-DPT-164 [1/14] 3/14
(12254)
(Unaudited)
The Portfolio invests in fixed income
securities whose value is derived from an underlying pool of mortgages or
consumer loans. The value of these securities is sensitive to changes in
economic conditions, including delinquencies and/or defaults, and may be
adversely affected by shifts in the market’s perception of the issuers and
changes in interest rates. Investors receive principal and interest payments as
the underlying mortgages and consumer loans are paid back. Some of these
securities are collateralized mortgage obligations (CMOs). CMOs are debt
securities issued by 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 Portfolio’s yield
to maturity. If the underlying mortgage assets experience greater than
anticipated prepayments of principal, the Portfolio may fail to fully recoup its
initial investment in these securities even if the securities are rated in the
highest rating categories.
The Portfolio invests in certain
obligations that may have liquidity protection 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
Portfolio will not pay any additional fees for such credit support, although the
existence of credit support may increase the price of a security.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the 15% limit on investments in illiquid securities. As of
Jan. 31, 2014, no securities held by the Portfolio have been determined to be
illiquid under the Portfolio’s Liquidity Procedures. Rule 144A securities have
been identified on the schedule of investments.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
(continues)
NQ-DPT-164 [1/14] 3/14 (12254) 23
Schedule of investments
Delaware Pooled
®
Trust — The Emerging Markets Portfolio
January 31, 2014 (Unaudited)
|
|
|
|
Number of
|
|
Value
|
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common Stock – 93.78%
Δ
|
|
|
|
|
|
|
Brazil – 8.17%
|
|
|
|
|
|
|
|
AMBEV
ADR
|
|
637,200
|
|
$
|
4,167,288
|
|
|
CCR
|
|
924,300
|
|
|
5,953,339
|
|
|
Cielo
|
|
164,929
|
|
|
4,391,362
|
|
|
CPFL Energia
|
|
319,980
|
|
|
2,401,806
|
|
|
Diagnosticos da
America
|
|
253,700
|
|
|
1,562,557
|
|
|
EcoRodovias
Infraestrutura
|
|
|
|
|
|
|
|
e Logistica
|
|
499,400
|
|
|
2,545,953
|
|
|
Transmissora
Alianca de
|
|
|
|
|
|
|
|
Energia
Eletrica
|
|
257,000
|
|
|
1,887,528
|
|
|
Vale ADR
|
|
108,900
|
|
|
1,481,040
|
|
|
|
|
|
|
|
24,390,873
|
|
Chile – 3.46%
|
|
|
|
|
|
|
|
Banco Santander
Chile
|
|
|
|
|
|
|
|
ADR
|
|
116,870
|
|
|
2,276,628
|
|
|
Cia Cervecerias Unidas
|
|
208,209
|
|
|
2,217,980
|
|
|
Enersis
ADR
|
|
375,000
|
|
|
4,976,250
|
|
|
Inversiones Aguas
|
|
|
|
|
|
|
|
Metropolitanas
ADR
|
|
|
|
|
|
|
|
144A #
|
|
26,500
|
|
|
852,259
|
|
|
|
|
|
|
|
10,323,117
|
|
China – 18.84%
n
|
|
|
|
|
|
|
|
Beijing
Enterprises
|
|
|
|
|
|
|
|
Holdings
|
|
523,499
|
|
|
4,422,805
|
|
|
Belle International
|
|
|
|
|
|
|
|
Holdings
|
|
4,158,515
|
|
|
4,502,946
|
|
|
China
BlueChemical Class H
|
|
4,127,000
|
|
|
2,252,154
|
|
|
China Gas Holdings
|
|
661,331
|
|
|
926,548
|
|
|
China
Mobile
|
|
1,111,000
|
|
|
10,601,525
|
|
|
China Resources Power
|
|
|
|
|
|
|
|
Holdings
|
|
2,524,000
|
|
|
6,000,850
|
|
|
China Shenhua
Energy
|
|
|
|
|
|
|
|
Class H
|
|
1,405,000
|
|
|
3,606,270
|
|
|
Golden Eagle Retail
Group
|
|
2,173,000
|
|
|
2,967,312
|
|
|
Hengan
International
|
|
|
|
|
|
|
|
Group
|
|
329,500
|
|
|
3,544,588
|
|
|
Huabao International
|
|
|
|
|
|
|
|
Holdings
|
|
4,127,000
|
|
|
2,089,718
|
|
|
Jiangsu
Expressway Class H
|
|
3,812,000
|
|
|
4,785,863
|
|
|
Mindray Medical
|
|
|
|
|
|
|
|
International
ADR
|
|
176,679
|
|
|
6,190,832
|
|
|
Sands
China
|
|
567,600
|
|
|
4,358,747
|
|
|
|
|
|
|
|
56,250,158
|
|
Colombia – 0.38%
|
|
|
|
|
|
|
|
BanColombia ADR
|
|
26,000
|
|
|
1,142,440
|
|
|
|
|
|
|
|
1,142,440
|
|
India – 7.03%
|
|
|
|
|
|
|
|
Axis
Bank
|
|
218,138
|
|
|
3,909,380
|
|
|
Cairn India
|
|
347,477
|
|
|
1,796,228
|
|
|
GAIL
India
|
|
175,855
|
|
|
1,005,723
|
|
|
Housing Development
|
|
|
|
|
|
|
|
Finance
|
|
256,753
|
|
|
3,308,779
|
|
|
Larsen &
Toubro
|
|
382,870
|
|
|
6,020,273
|
|
|
Lupin
|
|
104,528
|
|
|
1,469,344
|
|
|
Rural
Electrification
|
|
631,557
|
|
|
1,811,871
|
|
|
Zee Entertainment
|
|
|
|
|
|
|
|
Enterprises
|
|
392,847
|
|
|
1,669,384
|
|
|
|
|
|
|
|
20,990,982
|
|
Indonesia – 6.33%
|
|
|
|
|
|
|
|
Astra
International
|
|
7,349,000
|
|
|
3,866,610
|
|
|
Bank Mandiri
|
|
6,920,500
|
|
|
4,908,762
|
|
|
Bank Rakyat
Indonesia
|
|
8,472,100
|
|
|
5,789,671
|
|
|
Perusahaan Gas Negara
|
|
11,125,700
|
|
|
4,327,761
|
|
|
|
|
|
|
|
18,892,804
|
|
Kazakhstan – 0.72%
|
|
|
|
|
|
|
|
KazMunaiGas
Exploration
|
|
|
|
|
|
|
|
Production GDR
|
|
148,240
|
|
|
2,145,033
|
|
|
|
|
|
|
|
2,145,033
|
|
Malaysia – 2.93%
|
|
|
|
|
|
|
|
AMMB Holdings
|
|
1,611,100
|
|
|
3,524,401
|
|
|
Genting
Malaysia
|
|
2,393,800
|
|
|
3,113,140
|
|
|
Malayan Banking
|
|
735,763
|
|
|
2,119,768
|
|
|
|
|
|
|
|
8,757,309
|
|
Mexico – 7.62%
|
|
|
|
|
|
|
|
America Movil
Series L
|
|
|
|
|
|
|
|
ADR
|
|
188,200
|
|
|
4,001,132
|
|
|
Compartamos
|
|
843,900
|
|
|
1,524,607
|
|
|
Fibra Uno
Administracion
|
|
2,424,200
|
|
|
7,827,079
|
|
|
Grupo Aeroportuario
del
|
|
|
|
|
|
|
|
Pacifico ADR
|
|
29,100
|
|
|
1,576,929
|
|
|
Grupo
Financiero
|
|
|
|
|
|
|
|
Santander
|
|
|
|
|
|
|
|
Mexico Class B
ADR
|
|
509,014
|
|
|
5,629,695
|
|
|
Kimberly-Clark de
Mexico
|
|
|
|
|
|
|
|
Class A
|
|
847,600
|
|
|
2,178,048
|
|
|
|
|
|
|
|
22,737,490
|
(continues)
NQ-DPT-151 [1/14] 3/14 (12247) 1
Schedule of
investments
Delaware
Pooled
®
Trust — The Emerging Markets Portfolio
|
|
|
|
Number of
|
|
Value
|
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common Stock
Δ
(continued)
|
|
|
|
|
|
|
Peru – 1.98%
|
|
|
|
|
|
|
|
Credicorp
|
|
44,930
|
|
$
|
5,927,166
|
|
|
|
|
|
|
|
5,927,166
|
|
Philippines – 2.14%
|
|
|
|
|
|
|
|
Philippine Long
Distance
|
|
|
|
|
|
|
|
Telephone
ADR
|
|
107,400
|
|
|
6,398,892
|
|
|
|
|
|
|
|
6,398,892
|
|
Republic of Korea – 7.91%
|
|
|
|
|
|
|
|
Hyundai
Mobis
|
|
40,169
|
|
|
11,388,125
|
|
|
Kangwon Land
|
|
110,070
|
|
|
3,424,378
|
|
|
Samsung
Electronics
|
|
7,522
|
|
|
8,817,332
|
|
|
|
|
|
|
|
23,629,835
|
|
Romania – 0.41%
|
|
|
|
|
|
|
|
Societatea Nationala
de
|
|
|
|
|
|
|
|
Gaze Naturale
GDR †
|
|
123,512
|
|
|
1,210,418
|
|
|
|
|
|
|
|
1,210,418
|
|
Russia – 4.30%
|
|
|
|
|
|
|
|
Gazprom
ADR
|
|
870,199
|
|
|
7,166,115
|
|
|
Sberbank of Russia ADR
|
|
525,267
|
|
|
5,670,357
|
|
|
|
|
|
|
|
12,836,472
|
|
South Africa – 2.51%
|
|
|
|
|
|
|
|
Bidvest
Group
|
|
99,032
|
|
|
2,215,309
|
|
|
Clicks Group
|
|
256,435
|
|
|
1,316,018
|
|
|
Life Healthcare
Group
|
|
|
|
|
|
|
|
Holdings
|
|
409,413
|
|
|
1,309,207
|
|
|
Tiger Brands
|
|
66,264
|
|
|
1,589,846
|
|
|
Truworths
International
|
|
162,024
|
|
|
1,068,672
|
|
|
|
|
|
|
|
7,499,052
|
|
Taiwan – 5.69%
|
|
|
|
|
|
|
|
Asustek Computer
|
|
61,000
|
|
|
558,957
|
|
|
Quanta
Computer
|
|
1,176,000
|
|
|
2,874,710
|
|
|
Taiwan Mobile
|
|
1,749,000
|
|
|
5,125,640
|
|
|
Taiwan
Semiconductor
|
|
|
|
|
|
|
|
Manufacturing
|
|
2,449,588
|
|
|
8,424,618
|
|
|
|
|
|
|
|
16,983,925
|
|
Thailand – 2.93%
|
|
|
|
|
|
|
|
Kasikornbank Foreign
|
|
157,954
|
|
|
812,969
|
|
|
Kasikornbank
NVDR
|
|
246,600
|
|
|
1,268,203
|
|
|
PTT
|
|
796,300
|
|
|
6,654,922
|
|
|
|
|
|
|
|
8,736,094
|
|
Turkey – 4.19%
|
|
|
|
|
|
|
|
Tofas Turk
Otomobil
|
|
|
|
|
|
|
|
Fabrikasi
|
|
224,808
|
|
|
1,057,398
|
|
|
Tupras Turkiye Petrol
|
|
|
|
|
|
|
|
Rafinerileri
|
|
373,712
|
|
|
6,159,744
|
|
|
Turk
Telekomunikasyon
|
|
2,131,707
|
|
|
5,299,579
|
|
|
|
|
|
|
|
12,516,721
|
|
United Kingdom – 3.82%
|
|
|
|
|
|
|
|
SABMiller
|
|
101,187
|
|
|
4,538,408
|
|
|
Unilever
|
|
178,551
|
|
|
6,853,415
|
|
|
|
|
|
|
|
11,391,823
|
|
United States – 2.42%
|
|
|
|
|
|
|
|
Yum! Brands
|
|
107,641
|
|
|
7,228,093
|
|
|
|
|
|
|
|
7,228,093
|
|
Total Common Stock
|
|
|
|
|
|
|
|
(cost $299,108,531)
|
|
|
|
|
279,988,697
|
|
|
|
|
Preferred Stock – 4.63%
Δ
|
|
|
|
|
|
|
Brazil – 3.72%
|
|
|
|
|
|
|
|
Petroleo
Brasileiro
|
|
691,200
|
|
|
4,211,315
|
|
|
Vale ADR
|
|
562,500
|
|
|
6,907,500
|
|
|
|
|
|
|
|
11,118,815
|
|
Republic of Korea – 0.91%
|
|
|
|
|
|
|
|
Hyundai Motor
|
|
22,777
|
|
|
2,721,966
|
|
|
|
|
|
|
|
2,721,966
|
|
Total Preferred Stock
|
|
|
|
|
|
|
|
(cost $19,159,673)
|
|
|
|
|
13,840,781
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
amount°
|
|
|
|
|
Short-Term Investments – 1.46%
|
|
|
|
|
Repurchase Agreements – 1.03%
|
|
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
$771,018
(collateralized
|
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
|
market value
$786,438)
|
|
771,018
|
|
$
|
771,018
|
2 NQ-DPT-151 [1/14] 3/14
(12247)
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Short-Term Investments
(continued)
|
|
|
|
|
Repurchase Agreements (continued)
|
|
|
|
|
|
|
|
Bank of
Montreal
|
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
|
to be repurchased
on
|
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
|
$128,503
(collateralized
|
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
0.25%-2.75%
4/30/14-
|
|
|
|
|
|
|
|
11/15/23; market
value
|
|
|
|
|
|
|
|
$131,073)
|
|
128,503
|
|
$
|
128,503
|
|
|
BNP Paribas
|
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
|
to be repurchased
on
|
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
|
$2,160,483
|
|
|
|
|
|
|
|
(collateralized by
U.S.
|
|
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
|
market value
|
|
|
|
|
|
|
|
$2,203,689)
|
|
2,160,479
|
|
|
2,160,479
|
|
|
|
|
|
|
|
3,060,000
|
|
U.S. Treasury Obligations – 0.43%
≠
|
|
|
|
|
|
|
|
U.S. Treasury
Bills
|
|
|
|
|
|
|
|
0.04% 4/24/14
|
|
1,113,915
|
|
|
1,113,850
|
|
|
0.093%
11/13/14
|
|
175,101
|
|
|
175,003
|
|
|
|
|
|
|
|
1,288,853
|
|
|
|
|
Total Short-Term Investments
(cost
|
|
|
|
|
|
$4,348,733)
|
|
|
|
|
4,348,853
|
|
|
|
|
Total Value of
|
|
|
|
|
|
|
|
Securities – 99.87%
|
|
|
|
|
|
|
|
(cost
$322,616,937)
|
|
|
|
|
298,178,331
|
|
|
|
|
Receivables and Other Assets Net
of
|
|
|
|
|
|
Liabilities – 0.13%
|
|
|
|
|
375,417
|
|
Net Assets – 100.00%
|
|
|
|
$
|
298,553,748
|
____________________
|
#
|
Security exempt from registration
under Rule 144A of the Securities Act of 1933, as amended. At Jan. 31,
2014, the aggregate value of Rule 144A securities was $852,259, which
represented 0.29% of the Portfolio’s net assets. See Note 5 in
“Notes.”
|
|
≠
|
The rate shown is the effective
yield at the time of purchase.
|
|
n
|
Securities listed and traded on
the Hong Kong Stock Exchange. These securities have significant business
operations in China.
|
|
°
|
Principal amount shown is stated
in U.S. dollars unless noted that the security is denominated in another
currency.
|
|
†
|
Non income producing
security.
|
|
Δ
|
Securities have been classified by
country of origin.
|
The following foreign currency
exchange contracts were outstanding at Jan. 31, 2014:
1
Foreign Currency Exchange
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Contracts
to
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
Counterparty
|
|
Receive (Deliver)
|
|
In Exchange For
|
|
Settlement Date
|
|
(Depreciation)
|
|
MNB
|
|
BRL
|
173,067
|
|
|
USD
|
(71,717
|
)
|
|
|
2/5/14
|
|
|
$
|
(78
|
)
|
|
MNB
|
|
HKD
|
(1,603,980
|
)
|
|
USD
|
206,525
|
|
|
|
2/5/14
|
|
|
|
(74
|
)
|
|
MNB
|
|
IDR
|
(251,028,023
|
)
|
|
USD
|
20,454
|
|
|
|
2/3/14
|
|
|
|
(89
|
)
|
|
MNB
|
|
IDR
|
1,157,353,175
|
|
|
USD
|
(94,774
|
)
|
|
|
2/4/14
|
|
|
|
(85
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(326
|
)
|
The use of foreign currency exchange
contracts involves elements of market risk and risks in excess of the amount
disclosed in the financial statements. The foreign currency exchange contracts
presented above represent the Portfolio’s total exposure in such contracts,
whereas only the net unrealized appreciation (depreciation) is reflected in the
Portfolio’s net assets.
1
See Note 3 in
“Notes.”
Summary of
abbreviations:
ADR – American
Depositary Receipt
BRL – Brazilian Real
GDR – Global Depositary Receipt
HKD – Hong Kong Dollar
IDR – Indonesian Rupiah
MNB – Mellon National
Bank
NVDR – Non-Voting Depositary Receipt
USD – United States
Dollar
(continues)
NQ-DPT-151 [1/14] 3/14 (12247) 3
Notes
Delaware Pooled
®
Trust — The Emerging Markets Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust -The Emerging
Markets Portfolio (Portfolio). This report covers the period of time since the
Portfolio’s 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 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. U.S. government and agency securities are valued at the
mean between the bid and ask prices, which approximates fair value. 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. 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
Portfolio’s Board of Trustees (Board). In determining whether market quotations
are readily available or fair valuation will be used, various factors will be
taken into consideration, such as market closures or suspension of trading in a
security. The Portfolio 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 Portfolio 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 Portfolio 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 Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010 – Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements. In regard to foreign taxes only, the Portfolio
has open tax years in certain foreign countries it invests in that may date back
to the inception of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
Foreign Currency Transactions
— Transactions denominated in foreign
currencies are recorded at the prevailing exchange rates on the valuation date
in accordance with the Portfolio’s 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 Portfolio generally does not
bifurcate that portion of realized gains and losses on investments which is due
to changes in foreign exchange rates from that which is due to changes in market
prices. The changes are included with the net realized and unrealized gain or
loss on investments. The Portfolio reports certain foreign currency related
transactions as components of realized gains (losses) for financial reporting
purposes, whereas such components are treated as ordinary income (loss) for
federal income tax purposes.
Use of Estimates
— The preparation of financial statements in conformity
with 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.
4 NQ-DPT-151 [1/14] 3/14
(12247)
(Unaudited)
Reimbursement Fees
— The Emerging Markets Portfolio may
charge a 0.55% purchase reimbursement fee and a 0.55% redemption reimbursement
fee. These fees are designed to reflect an approximation of the brokerage and
other transaction costs associated with the investment of an investor’s purchase
amount or the disposition of assets to meet redemptions, and to limit the extent
to which the Portfolio (and, indirectly, the Portfolio’s existing shareholders)
would have to bear such costs. These fees are accounted for as an addition to
paid-in capital for the Portfolio in the statements of changes in net
assets.
Other
— Expenses directly attributable to the Portfolio are
charged directly to the Portfolio. 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. Foreign dividends are also recorded on the ex-dividend date or as
soon after the ex-dividend date that the Portfolio is aware of such dividends,
net of all tax withholdings, a portion of which may be reclaimable. Withholding
taxes and reclaims on foreign dividends have been recorded in accordance with
the Portfolio’s understanding of the applicable country’s tax rules and rates.
The Portfolio declares and pays distributions from net investment income and net
realized gain on investments, if any, annually. Dividends and distributions, if
any, are recorded on the ex-dividend date. The Portfolio may distribute more
frequently, if necessary for tax purposes.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
|
$
|
324,635,694
|
|
|
Aggregate unrealized
appreciation
|
|
$
|
26,345,555
|
|
|
Aggregate
unrealized depreciation
|
|
|
(52,802,918
|
)
|
|
Net unrealized
depreciation
|
|
$
|
(26,457,363
|
)
|
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the
disposition of the investments. Valuations may also be based upon current market
prices of securities that are comparable in coupon, rating, maturity and
industry. The derived value of a Level 3 investment may not represent the value
which is received upon disposition and this could impact the results of
operations.
(continues)
NQ-DPT-151 [1/14] 3/14 (12247) 5
(Unaudited)
2. Investments (continued)
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common
Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
Brazil
|
|
$
|
24,390,873
|
|
$
|
—
|
|
|
$
|
24,390,873
|
|
|
Chile
|
|
|
9,470,858
|
|
|
852,259
|
|
|
|
10,323,117
|
|
|
China
|
|
|
6,190,832
|
|
|
50,059,326
|
|
|
|
56,250,158
|
|
|
Colombia
|
|
|
1,142,440
|
|
|
—
|
|
|
|
1,142,440
|
|
|
India
|
|
|
—
|
|
|
20,990,982
|
|
|
|
20,990,982
|
|
|
Indonesia
|
|
|
—
|
|
|
18,892,804
|
|
|
|
18,892,804
|
|
|
Kazakhstan
|
|
|
2,145,033
|
|
|
—
|
|
|
|
2,145,033
|
|
|
Malaysia
|
|
|
—
|
|
|
8,757,309
|
|
|
|
8,757,309
|
|
|
Mexico
|
|
|
22,737,490
|
|
|
—
|
|
|
|
22,737,490
|
|
|
Peru
|
|
|
5,927,166
|
|
|
—
|
|
|
|
5,927,166
|
|
|
Philippines
|
|
|
6,398,892
|
|
|
—
|
|
|
|
6,398,892
|
|
|
Republic of
Korea
|
|
|
—
|
|
|
23,629,835
|
|
|
|
23,629,835
|
|
|
Romania
|
|
|
1,210,418
|
|
|
—
|
|
|
|
1,210,418
|
|
|
Russia
|
|
|
—
|
|
|
12,836,472
|
|
|
|
12,836,472
|
|
|
South
Africa
|
|
|
—
|
|
|
7,499,052
|
|
|
|
7,499,052
|
|
|
Taiwan
|
|
|
—
|
|
|
16,983,925
|
|
|
|
16,983,925
|
|
|
Thailand
|
|
|
6,654,922
|
|
|
2,081,172
|
|
|
|
8,736,094
|
|
|
Turkey
|
|
|
—
|
|
|
12,516,721
|
|
|
|
12,516,721
|
|
|
United
Kingdom
|
|
|
—
|
|
|
11,391,823
|
|
|
|
11,391,823
|
|
|
United
States
|
|
|
7,228,093
|
|
|
—
|
|
|
|
7,228,093
|
|
|
Preferred Stock
|
|
|
11,118,815
|
|
|
2,721,966
|
|
|
|
13,840,781
|
|
|
Short-Term
Investments
|
|
|
—
|
|
|
4,348,853
|
|
|
|
4,348,853
|
|
|
Total
|
|
$
|
104,615,832
|
|
$
|
193,562,499
|
|
|
$
|
298,178,331
|
|
|
Foreign Currency
Exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
$
|
—
|
|
$
|
(326
|
)
|
|
$
|
(326
|
)
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. This does
not include transfers between Level 1 investments and Level 2 investments due to
the Portfolio utilizing international fair value pricing during the period. In
accordance with the fair valuation procedures described in Note 1, international
fair value pricing of securities in the Portfolio occurs when market volatility
exceeds an established rolling threshold. If the threshold is exceeded on a
given date, then prices of international securities (those traded on exchanges
that close at a different time than the time that the Porfolio’s Net Asset Value
is determined) will be established using a separate pricing feed from a third
party vendor designed to establish a price for each such security as of the time
that the Portfolio’s Net Asset Value is determined. Further, international fair
value pricing uses other observable market-based inputs in place of the closing
exchange price due to the events occuring after the close of the exchange or
market on which the investment is principally traded, causing a change in
classification between levels. The Portfolio’s policy is to recognize transfers
between levels at the beginning of the reporting period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of period in relation to net
assets. At Jan. 31, 2014, there were no Level 3 investments.
6 NQ-DPT-151 [1/14] 3/14
(12247)
(Unaudited)
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 Portfolio may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Portfolio 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 Portfolio 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 Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their contracts.
The Portfolio’s maximum risk of loss from counterparty credit risk is the value
of its currency exchanged with the counterparty. The risk is generally mitigated
by having a netting arrangement between the Portfolio and the counterparty and
by the posting of collateral by the counterparty to the Portfolio to cover the
Portfolio’s exposure to the counterparty.
4. Securities
Lending
The Portfolio, 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: (1)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio or, at the discretion of the lending
agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio records
security lending income net of allocations to the security lending agent and the
borrower.
(continues)
N
Q-DPT-151
[1/14] 3/14 (12247) 7
(Unaudited)
4. Securities Lending
(continued)
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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those circumstances, the Portfolio may not
receive an amount from the Collective Trust that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up for this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
5. Credit and Market
Risk
Some countries in which the Portfolio
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 United States. Consequently, acquisition and
disposition of securities by the Portfolio may be inhibited. In addition, a
significant portion of the aggregate market value of equity securities listed on
the major securities exchanges in emerging markets is held by a smaller number
of investors. This may limit the number of shares available for acquisition or
disposition by the Portfolio.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, no securities have been determined to be
illiquid under the Portfolio’s Liquidity Procedures. Rule 144A securities held
by the Portfolio have been identified on the schedule of investments.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
8 NQ-DPT-151 [1/14] 3/14
(12247)
Schedule of Investments
Delaware Pooled
®
Trust — The Emerging Markets Portfolio II
January 31, 2014 (Unaudited)
|
|
|
Number of
|
|
Value
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common Stock –
101.81%
Δ
|
|
|
|
|
|
Argentina – 0.74%
|
|
|
|
|
|
|
Cresud ADR
|
8,100
|
|
$
|
69,579
|
|
|
IRSA Inversiones y
|
|
|
|
|
|
|
Representaciones ADR
|
4,000
|
|
|
38,920
|
|
|
YPF ADR
|
8,000
|
|
|
177,520
|
|
|
|
|
|
|
286,019
|
|
Bahrain – 0.03%
|
|
|
|
|
|
|
Aluminum Bahrain GDR
|
|
|
|
|
|
|
144A #
|
1,800
|
|
|
11,650
|
|
|
|
|
|
|
11,650
|
|
Brazil – 17.27%
|
|
|
|
|
|
|
All America Latina
|
|
|
|
|
|
|
Logistica
|
36,422
|
|
|
99,784
|
|
|
B2W Cia Digital †
|
50,000
|
|
|
482,654
|
|
|
Banco Bradesco ADR
|
7,373
|
|
|
77,638
|
|
|
Banco Santander Brasil
|
|
|
|
|
|
|
ADR
|
48,000
|
|
|
219,360
|
|
|
BB Seguridade
|
|
|
|
|
|
|
Participacoes
|
16,900
|
|
|
159,004
|
|
|
Brasil Foods ADR
|
16,900
|
|
|
298,792
|
|
|
Braskem ADR †
|
12,800
|
|
|
193,920
|
|
|
Centrais Eletricas
|
|
|
|
|
|
|
Brasileiras ADR
|
21,300
|
|
|
45,156
|
|
|
Cia Brasileira de
|
|
|
|
|
|
|
Distribuicao Grupo
Pao
|
|
|
|
|
|
|
de Acucar ADR
|
2,300
|
|
|
88,021
|
|
|
Cyrela Brazil Realty
|
|
|
|
|
|
|
Empreendimentos e
|
|
|
|
|
|
|
Participacoes
|
15,780
|
|
|
93,397
|
|
|
Fibria Celulose ADR †
|
40,600
|
|
|
453,502
|
|
|
Gerdau
|
11,700
|
|
|
68,812
|
|
|
Gerdau ADR
|
13,000
|
|
|
91,650
|
|
|
Gol Linhas Aereas
|
|
|
|
|
|
|
Inteligentes ADR †
|
45,200
|
|
|
177,636
|
|
|
Hypermarcas
|
78,500
|
|
|
496,176
|
|
|
Itau Unibanco Holding
|
|
|
|
|
|
|
ADR
|
55,000
|
|
|
673,200
|
|
|
JBS
|
32,815
|
|
|
114,928
|
|
|
Petroleo Brasileiro ADR
|
53,200
|
|
|
596,372
|
|
|
Santos Brasil Participacoes
|
5,900
|
|
|
39,835
|
|
|
Telefonica Brasil ADR
|
3,255
|
|
|
61,845
|
|
|
Tim Participacoes ADR
|
72,800
|
|
|
1,894,984
|
|
|
Vale ADR
|
21,600
|
|
|
293,760
|
|
|
|
|
|
|
6,720,426
|
|
Chile – 0.85%
|
|
|
|
|
|
|
Sociedad Quimica y Minera
|
|
|
|
|
|
|
de Chile ADR
|
13,300
|
|
|
331,303
|
|
|
|
|
|
|
331,303
|
|
China/Hong Kong – 19.89%
|
|
|
|
|
|
|
Baidu ADR †
|
15,000
|
|
|
2,347,504
|
|
|
Bank of China
|
612,000
|
|
|
258,313
|
|
|
China Construction Bank
|
299,590
|
|
|
207,540
|
|
|
China Mengniu Dairy
|
67,000
|
|
|
306,886
|
|
|
China Mobile
|
50,000
|
|
|
477,116
|
|
|
China Mobile ADR
|
7,200
|
|
|
344,520
|
|
|
China Petroleum &
|
|
|
|
|
|
|
Chemical ADR
|
3,770
|
|
|
297,189
|
|
|
China Telecom
|
428,000
|
|
|
196,645
|
|
|
China Unicom Hong Kong
|
|
|
|
|
|
|
ADR
|
17,100
|
|
|
222,984
|
|
|
CNOOC ADR
|
1,600
|
|
|
246,448
|
|
|
Fu Shou Yuan International
|
|
|
|
|
|
|
Group †
|
429,000
|
|
|
271,862
|
|
|
Industrial & Commercial
|
|
|
|
|
|
|
Bank of China
|
599,999
|
|
|
369,935
|
|
|
PetroChina ADR
|
1,700
|
|
|
163,047
|
|
|
SINA †
|
2,000
|
|
|
130,380
|
|
|
Sohu.com †
|
16,000
|
|
|
1,164,480
|
|
|
Tianjin Development
|
|
|
|
|
|
|
Holdings †
|
190,000
|
|
|
118,532
|
|
|
Tingyi Cayman Islands
|
|
|
|
|
|
|
Holding
|
42,000
|
|
|
108,664
|
|
|
Tsingtao Brewery
|
24,000
|
|
|
176,032
|
|
|
Uni-President China
|
|
|
|
|
|
|
Holdings
|
364,000
|
|
|
329,286
|
|
|
|
|
|
|
7,737,363
|
|
Colombia – 1.05%
|
|
|
|
|
|
|
Cemex Latam Holdings †
|
61,058
|
|
|
408,886
|
|
|
|
|
|
|
408,886
|
|
India – 7.00%
|
|
|
|
|
|
|
Cairn India
|
74,000
|
|
|
382,531
|
|
|
ICICI Bank ADR
|
2,600
|
|
|
83,642
|
|
|
Reliance Industries GDR
|
|
|
|
|
|
|
144A #
|
55,000
|
|
|
1,443,894
|
|
|
Steel Authority of India
|
49,589
|
|
|
50,665
|
|
|
Tata Chemicals
|
62,463
|
|
|
261,384
|
|
|
Ultratech Cement
|
2,784
|
|
|
75,934
|
|
|
United Spirits
|
10,793
|
|
|
425,664
|
|
|
|
|
|
|
2,723,714
|
(continues)
NQ-DPT-596 [1/14] 3/14 (12251) 1
Schedule of Investments
Delaware Pooled
®
Trust — The Emerging Markets Portfolio II
|
|
|
Number of
|
|
Value
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common Stock
Δ
(continued)
|
|
|
|
|
|
Indonesia – 1.42%
|
|
|
|
|
|
|
Global
Mediacom
|
2,369,600
|
|
$
|
357,976
|
|
|
Tambang Batubara Bukit
|
|
|
|
|
|
|
Asam Persero
|
118,500
|
|
|
89,635
|
|
|
United
Tractors
|
67,106
|
|
|
105,728
|
|
|
|
|
|
|
553,339
|
|
Israel – 2.29%
|
|
|
|
|
|
|
Teva Pharmaceutical
|
|
|
|
|
|
|
Industries ADR
|
20,000
|
|
|
892,600
|
|
|
|
|
|
|
892,600
|
|
Malaysia – 0.56%
|
|
|
|
|
|
|
UEM
Sunrise
|
356,100
|
|
|
219,630
|
|
|
|
|
|
|
219,630
|
|
Mexico – 7.41%
|
|
|
|
|
|
|
America Movil Series L
|
|
|
|
|
|
|
ADR
|
11,000
|
|
|
233,860
|
|
|
Cemex ADR
†
|
65,007
|
|
|
804,137
|
|
|
Desarrolladora Homex
|
|
|
|
|
|
|
ADR †
|
14,300
|
|
|
22,022
|
|
|
Empresas ICA ADR
†
|
27,200
|
|
|
209,440
|
|
|
Fomento Economico
|
|
|
|
|
|
|
Mexicano ADR
|
2,500
|
|
|
225,600
|
|
|
Grupo Financiero
Banorte
|
|
|
|
|
|
|
Class O
|
24,300
|
|
|
153,462
|
|
|
Grupo Financiero
|
|
|
|
|
|
|
Santander
|
|
|
|
|
|
|
Mexico Class B
ADR
|
19,400
|
|
|
214,564
|
|
|
Grupo Televisa
ADR
|
30,000
|
|
|
871,800
|
|
|
Wal-Mart de Mexico Class
V
|
61,629
|
|
|
147,485
|
|
|
|
|
|
|
2,882,370
|
|
Peru – 0.37%
|
|
|
|
|
|
|
Cia de
Minas
|
|
|
|
|
|
|
Buenaventura
ADR
|
11,500
|
|
|
142,600
|
|
|
|
|
|
|
142,600
|
|
Poland – 1.87%
|
|
|
|
|
|
|
Jastrzebska Spolka
|
|
|
|
|
|
|
Weglowa
|
2,926
|
|
|
42,803
|
|
|
Orange
Polska
|
120,000
|
|
|
399,835
|
|
|
Polski Koncern Naftowy
|
|
|
|
|
|
|
Orlen
|
8,460
|
|
|
103,874
|
|
|
Powszechna
Kasa
|
|
|
|
|
|
|
Oszczednosci
Bank
|
|
|
|
|
|
|
Polski
|
13,921
|
|
|
179,962
|
|
|
|
|
|
|
726,474
|
|
Republic of Korea – 19.47%
|
|
|
|
|
|
|
Hitejinro Holdings †
|
20,000
|
|
|
211,671
|
|
|
KB Financial
Group ADR
|
28,000
|
|
|
939,400
|
|
|
KCC
|
1,455
|
|
|
655,933
|
|
|
KT ADR
|
28,300
|
|
|
400,445
|
|
|
KT&G
|
5,530
|
|
|
387,142
|
|
|
LG Display
ADR
|
17,800
|
|
|
208,794
|
|
|
LG Electronics
|
5,107
|
|
|
307,840
|
|
|
LG
Uplus
|
28,207
|
|
|
285,889
|
|
|
Lotte Chilsung Beverage
†
|
425
|
|
|
636,728
|
|
|
Lotte
Confectionery †
|
257
|
|
|
442,075
|
|
|
Samsung Electronics
|
1,267
|
|
|
1,485,185
|
|
|
Samsung Life
Insurance
|
4,270
|
|
|
405,511
|
|
|
SK Telecom ADR
|
55,000
|
|
|
1,206,700
|
|
|
|
|
|
|
7,573,313
|
|
Russia – 6.26%
|
|
|
|
|
|
|
Etalon Group
GDR
|
|
|
|
|
|
|
144A #=†
|
4,800
|
|
|
21,600
|
|
|
Gazprom ADR
|
50,000
|
|
|
411,752
|
|
|
LUKOIL
ADR
|
3,400
|
|
|
193,800
|
|
|
LUKOIL ADR (London
|
|
|
|
|
|
|
International
Exchange)
|
3,600
|
|
|
204,386
|
|
|
MegaFon
GDR
|
14,100
|
|
|
420,153
|
|
|
Mobile Telesystems ADR
|
19,400
|
|
|
334,650
|
|
|
Rosneft
GDR
|
52,800
|
|
|
361,110
|
|
|
Sberbank =
|
141,095
|
|
|
379,850
|
|
|
VTB
Bank
|
16,155,925
|
|
|
20,947
|
|
|
VTB Bank GDR
|
33,800
|
|
|
87,238
|
|
|
|
|
|
|
2,435,486
|
|
South Africa – 2.39%
|
|
|
|
|
|
|
Anglo American
Platinum †
|
1,687
|
|
|
67,378
|
|
|
ArcelorMittal South
|
|
|
|
|
|
|
Africa †
|
27,354
|
|
|
93,882
|
|
|
Impala Platinum
Holdings
|
4,413
|
|
|
46,099
|
|
|
Sasol ADR
|
5,200
|
|
|
250,588
|
|
|
Standard Bank
Group
|
27,267
|
|
|
288,131
|
|
|
Vodacom Group
|
17,262
|
|
|
182,755
|
|
|
|
|
|
|
928,833
|
|
Taiwan – 4.90%
|
|
|
|
|
|
|
Hon Hai Precision
Industry
|
251,254
|
|
|
701,032
|
2 NQ-DPT-596 [1/14] 3/14
(12251)
|
|
|
Number of
|
|
Value
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common
Stock
Δ
(continued)
|
|
|
|
|
|
|
Taiwan (continued)
|
|
|
|
|
|
|
|
Mitac Holdings †
|
472,000
|
|
$
|
402,229
|
|
|
|
Taiwan Semiconductor
|
|
|
|
|
|
|
|
Manufacturing
|
95,000
|
|
|
326,724
|
|
|
|
Taiwan Semiconductor
|
|
|
|
|
|
|
|
Manufacturing ADR
|
12,800
|
|
|
216,576
|
|
|
|
United Microelectronics
|
634,000
|
|
|
259,113
|
|
|
|
|
|
|
|
1,905,674
|
|
|
Thailand – 1.25%
|
|
|
|
|
|
|
|
Bangkok Bank
|
37,099
|
|
|
192,311
|
|
|
|
PTT
|
27,160
|
|
|
226,984
|
|
|
|
PTT Exploration &
|
|
|
|
|
|
|
|
Production
|
14,571
|
|
|
67,505
|
|
|
|
|
|
|
|
486,800
|
|
|
Turkey – 1.28%
|
|
|
|
|
|
|
|
Anadolu Efes
Biracilik Ve
|
|
|
|
|
|
|
|
Malt Sanayii
|
19,910
|
|
|
201,825
|
|
|
|
Turkcell Iletisim Hizmetleri
|
|
|
|
|
|
|
|
ADR †
|
20,600
|
|
|
256,470
|
|
|
|
Turkiye Sise ve
Cam
|
|
|
|
|
|
|
|
Fabrikalari
|
34,199
|
|
|
37,876
|
|
|
|
|
|
|
|
496,171
|
|
|
United
Kingdom – 0.25%
|
|
|
|
|
|
|
|
Anglo American ADR
|
8,400
|
|
|
99,119
|
|
|
|
|
|
|
|
99,119
|
|
|
United States – 5.26%
|
|
|
|
|
|
|
|
Archer-Daniels-Midland
|
11,900
|
|
|
469,812
|
|
|
|
Avon Products
|
16,300
|
|
|
242,707
|
|
|
|
Bunge
|
3,500
|
|
|
265,160
|
|
|
|
Yahoo †
|
29,700
|
|
|
1,069,794
|
|
|
|
|
|
|
|
2,047,473
|
|
|
Total Common Stock
|
|
|
|
|
|
|
|
(cost $39,374,012)
|
|
|
|
39,609,243
|
|
|
|
|
|
|
Preferred Stock –
1.08%
Δ
|
|
|
|
|
|
|
Republic of Korea – 1.08%
|
|
|
|
|
|
|
|
LG Electronics
|
17,861
|
|
|
420,098
|
|
|
Total Preferred Stock
|
|
|
|
|
|
|
|
(cost $307,186)
|
|
|
|
420,098
|
|
|
|
|
|
|
|
|
|
|
Total Value of
|
|
|
|
|
|
|
|
Securities - 102.89%
|
|
|
|
|
|
|
|
(cost $39,681,198)
|
|
|
$
|
40,029,341
|
|
|
|
|
|
Liabilities Net of Receivables and Other
|
|
|
|
|
|
|
|
Assets - (2.89%)
|
|
|
|
(1,124,119
|
)
|
|
Net
Assets - 100.00%
|
|
|
$
|
38,905,222
|
|
|
#
|
Security exempt from
registration under Rule 144A of the Securities Act of 1933, as amended. At
Jan. 31, 2014, the aggregate value of Rule 144A securities was $1,477,144,
which represented 3.80% of the Portfolio’s net assets. See Note 5 in
“Notes.”
|
|
=
|
Security is being fair valued in accordance
with the Portfolio’s fair valuation policy.At Jan. 31, 2013, the aggregate
value of fair valued securities was $401,450, which represented 1.03% of
the Portfolio’s net assets. See Note 1 in “Notes.”
|
|
†
|
Non income producing security.
|
|
Δ
|
Securities have been classified by
country of origin.
|
The following foreign currency
exchange contracts were outstanding at Jan. 31, 2014:
1
Foreign Currency Exchange
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Contracts
to
|
|
|
|
|
|
|
|
Appreciation
|
|
Counterparty
|
|
Receive (Deliver)
|
|
In Exchange For
|
|
Settlement Date
|
|
(Depreciation)
|
|
BNYM
|
|
HKD
|
36,153
|
|
USD
|
(4,657
|
)
|
|
2/4/14
|
|
$
|
0
|
|
BNYM
|
|
HKD
|
35,305
|
|
USD
|
(4,546
|
)
|
|
2/5/14
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
—
|
The use of foreign currency exchange
contracts involves elements of market risk and risks in excess of the amounts
disclosed in the financial statements. The foreign currency exchange contracts
presented above represent the Portfolio’s total exposure in such contracts,
whereas only the net unrealized appreciation (depreciation) is reflected in the
Portfolio’s net assets.
1
See Note 3 in
“Notes.”
Summary of
abbreviations:
ADR – American
Depositary Receipt
BNYM – Bank of New York Mellon
GDR – Global Depositary
Receipt
HKD – Hong Kong Dollar
USD – United States Dollar
(continues)
NQ-DPT-596 [1/14] 3/14 (12251) 3
Notes
Delaware Pooled
®
Trust — The Emerging Markets Portfolio II
January 31, 2014 (Unaudited)
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 Pooled
®
Trust - The Emerging
Markets Portfolio II (Portfolio). This report covers the period of time since
the Portfolio’s 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. 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. 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 Portfolio’s Board of Trustees (Board). In determining
whether market quotations are readily available or fair valuation will be used,
various factors will be taken into consideration, such as market closures or
suspension of trading in a security. The Portfolio 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 Portfolio 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 Portfolio 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 Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010 - Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements. In regard to foreign taxes only, the Portfolio
has open tax years in certain foreign countries it invests in that may date back
to the inception of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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. At Jan. 31,
2014, the Portfolio held no investments in repurchase agreements.
Foreign Currency Transactions
— Transactions denominated in foreign
currencies are recorded at the prevailing exchange rates on the valuation date
in accordance with the Portfolio’s 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 Portfolio generally does not
bifurcate that portion of realized gains and losses on investments which is due
to changes in foreign exchange rates from that which is due to changes in market
prices. The changes are included with the net realized and unrealized gain or
loss on investments. The Portfolio reports certain foreign currency related
transactions as components of realized gains (losses) for financial reporting
purposes, whereas such components are treated as ordinary income (loss) for
federal income tax purposes.
Use of Estimates
— The preparation of financial statements in conformity
with 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.
4 NQ-DPT-596 [1/14] 3/14
(12251)
(Unaudited)
Other
— Expenses directly attributable to the Portfolio are
charged directly to the Portfolio. 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. Foreign dividends are also recorded on the ex-dividend date or as
soon after the ex-dividend date that the Portfolio is aware of such dividends,
net of all tax withholdings, a portion of which may be reclaimable. Withholding
taxes and reclaims on foreign dividends have been recorded in accordance with
the Portfolio’s understanding of the applicable country’s tax rules and rates.
The Portfolio declares and pays distributions from net investment income and net
realized gain on investments, if any, annually. The Portfolio may distribute
more frequently, if necessary for tax purposes. Dividends and distributions, if
any, are recorded on the ex-dividend date.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
39,685,241
|
|
|
Aggregate unrealized
appreciation
|
$
|
6,441,904
|
|
|
Aggregate
unrealized depreciation
|
|
(6,097,804
|
)
|
|
Net unrealized
appreciation
|
$
|
344,100
|
|
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
(continues)
NQ-DPT-596 [1/14] 3/14 (12251) 5
(Unaudited)
2. Investments
(continued)
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common
Stock
|
|
|
|
|
|
|
|
|
|
Argentina
|
$
|
286,019
|
|
$
|
—
|
|
$
|
286,019
|
|
Bahrain
|
|
—
|
|
|
11,650
|
|
|
11,650
|
|
Brazil
|
|
6,720,426
|
|
|
—
|
|
|
6,720,426
|
|
Chile
|
|
331,303
|
|
|
—
|
|
|
331,303
|
|
China/Hong
Kong
|
|
5,188,414
|
|
|
2,548,949
|
|
|
7,737,363
|
|
Colombia
|
|
408,886
|
|
|
—
|
|
|
408,886
|
|
India
|
|
83,642
|
|
|
2,640,072
|
|
|
2,723,714
|
|
Indonesia
|
|
—
|
|
|
553,339
|
|
|
553,339
|
|
Israel
|
|
892,600
|
|
|
—
|
|
|
892,600
|
|
Malaysia
|
|
—
|
|
|
219,630
|
|
|
219,630
|
|
Mexico
|
|
2,882,370
|
|
|
—
|
|
|
2,882,370
|
|
Peru
|
|
142,600
|
|
|
—
|
|
|
142,600
|
|
Poland
|
|
—
|
|
|
726,474
|
|
|
726,474
|
|
Republic of
Korea
|
|
2,755,339
|
|
|
4,817,974
|
|
|
7,573,313
|
|
Russia
|
|
889,560
|
|
|
1,545,926
|
|
|
2,435,486
|
|
South Africa
|
|
250,588
|
|
|
678,245
|
|
|
928,833
|
|
Taiwan
|
|
216,576
|
|
|
1,689,098
|
|
|
1,905,674
|
|
Thailand
|
|
294,489
|
|
|
192,311
|
|
|
486,800
|
|
Turkey
|
|
256,470
|
|
|
239,701
|
|
|
496,171
|
|
United
Kingdom
|
|
—
|
|
|
99,119
|
|
|
99,119
|
|
United States
|
|
2,047,473
|
|
|
—
|
|
|
2,047,473
|
|
Preferred
Stock
|
|
—
|
|
|
420,098
|
|
|
420,098
|
|
Total
|
$
|
23,646,755
|
|
$
|
16,382,586
|
|
$
|
40,029,341
|
|
Foreign Currency
Exchange
|
|
|
|
|
|
|
|
|
|
Contracts
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. This does
not include transfers between Level 1 investments and Level 2 investments due to
the Portfolio utilizing international fair value pricing during the period. In
accordance with the fair valuation procedures described in Note 1, international
fair value pricing of securities in the Portfolio occurs when market volatility
exceeds an established rolling threshold. If the threshold is exceeded on a
given date, then prices of international securities (those traded on exchanges
that close at a different time than the time that the Porfolio’s Net Asset Value
is determined) will be established using a separate pricing feed from a third
party vendor designed to establish a price for each such security as of the time
that the Portfolio’s Net Asset Value is determined. Further, international fair
value pricing uses other observable market-based inputs in place of the closing
exchange price due to the events occuring after the close of the exchange or
market on which the investment is principally traded, causing a change in
classification between levels. The Portfolio’s policy is to recognize transfers
between levels at the beginning of the reporting period.
A reconciliation of Level 3
investments is presented when the Series has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. At Jan. 31, 2014. there were no Level 3 investments.
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 Portfolio enters into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Portfolio 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 Portfolio 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.
6 NQ-DPT-596 [1/14] 3/14
(12251)
(Unaudited)
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 Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their contracts.
The Portfolio’s maximum risk of loss from counterparty credit risk is the value
of its currency exchanged with the counterparty. The risk is generally mitigated
by having a netting arrangement between the Portfolio and the counterparty and
by the posting of collateral by the counterparty to the Portfolio to cover the
Portfolio’s exposure to the counterparty.
4. Securities
Lending
The Portfolio, 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: (1)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those
circumstances, the Portfolio may not receive an amount from the Collective Trust
that is equal in amount to the collateral the Portfolio would be required to
return to the borrower of the securities and the Portfolio would be required to
make up for this shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
(continues)
NQ-DPT-596 [1/14] 3/14 (12251) 7
(Unaudited)
5. Credit and Market
Risk
Some countries in which the Portfolio
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 United States. Consequently, acquisition and
disposition of securities by the Portfolio may be inhibited. In addition, a
significant portion of the aggregate market value of equity securities listed on
the major securities exchanges in emerging markets is held by a smaller number
of investors. This may limit the number of shares available for acquisition or
disposition by the Portfolio.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, no securities have been determined to be
illiquid under the Portfolio’s Liquidity Procedures. Rule 144A securities have
been identified on the schedule of investments.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
8 NQ-DPT-596 [1/14] 3/14
(12251)
Schedule
of investments
Delaware Pooled Trust — The Focus
Smid-Cap Growth Equity Portfolio
January 31, 2014 (Unaudited)
|
|
|
Number
|
|
|
|
|
|
|
of
|
|
Value
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common Stock –
96.81%
|
|
|
|
|
|
Consumer Discretionary –
20.07%
|
|
|
|
|
|
|
DineEquity
|
43,275
|
|
$
|
3,367,228
|
|
|
Dunkin’ Brands Group
|
30,125
|
|
|
1,401,716
|
|
|
Interval Leisure Group
|
60,900
|
|
|
1,607,760
|
|
|
K12 †
|
88,250
|
|
|
1,937,088
|
|
|
Sally Beauty Holdings †
|
108,075
|
|
|
3,067,168
|
|
|
Ulta Salon Cosmetics &
|
|
|
|
|
|
|
Fragrance †
|
31,050
|
|
|
2,661,296
|
|
|
|
|
|
|
14,042,256
|
|
Energy – 4.78%
|
|
|
|
|
|
|
Core Laboratories
|
18,700
|
|
|
3,345,804
|
|
|
|
|
|
|
3,345,804
|
|
Financials –
18.47%
|
|
|
|
|
|
|
Affiliated Managers
|
|
|
|
|
|
|
Group †
|
16,025
|
|
|
3,192,821
|
|
|
CommonWealth REIT
|
104,100
|
|
|
2,558,778
|
|
|
Heartland Payment
|
|
|
|
|
|
|
Systems
|
79,575
|
|
|
3,430,478
|
|
|
MSCI Class A †
|
87,450
|
|
|
3,735,864
|
|
|
|
|
|
|
12,917,941
|
|
Healthcare –
10.24%
|
|
|
|
|
|
|
ABIOMED †
|
85,125
|
|
|
2,340,086
|
|
|
athenahealth †
|
9,175
|
|
|
1,352,395
|
|
|
Techne
|
38,150
|
|
|
3,466,690
|
|
|
|
|
|
|
7,159,171
|
|
Producer Durables –
10.79%
|
|
|
|
|
|
|
Expeditors International of
|
|
|
|
|
|
|
Washington
|
61,050
|
|
|
2,494,503
|
|
|
Graco
|
44,050
|
|
|
3,061,034
|
|
|
Ritchie Bros Auctioneers
|
86,875
|
|
|
1,994,650
|
|
|
|
|
|
|
7,550,187
|
|
Technology –
27.15%
|
|
|
|
|
|
|
Blackbaud
|
63,550
|
|
|
2,189,933
|
|
|
Ellie Mae †
|
29,950
|
|
|
781,695
|
|
|
Logitech International
|
|
|
|
|
|
|
Class R
|
150,305
|
|
|
2,362,930
|
|
|
NeuStar Class A †
|
58,100
|
|
|
1,969,009
|
|
|
NIC
|
85,575
|
|
|
1,860,400
|
|
|
SBA Communications Class A †
|
40,000
|
|
|
3,710,000
|
|
|
VeriFone Systems †
|
95,500
|
|
|
2,770,455
|
|
|
VeriSign †
|
56,925
|
|
|
3,344,344
|
|
|
|
|
|
|
18,988,766
|
|
Utilities – 5.31%
|
|
|
|
|
|
|
j2 Global
|
81,950
|
|
|
3,716,433
|
|
|
|
|
|
|
3,716,433
|
|
Total Common Stock
(cost $51,397,826)
|
|
|
67,720,558
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
amount°
|
|
|
|
|
Short-Term Investments
– 3.20%
|
|
|
|
|
Repurchase Agreements –
2.00%
|
|
|
|
|
|
|
Bank of America Merril
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
$353,005
(collateralized
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
market value
$360,065)
|
353,005
|
|
|
353,005
|
|
|
Bank of Montreal
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
$58,834
(collateralized
|
|
|
|
|
|
|
by U.S. government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.75% 4/30/14-
|
|
|
|
|
|
|
11/15/23; market
value
|
|
|
|
|
|
|
$60,011)
|
58,834
|
|
|
58,834
|
|
|
BNP Paribas
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
$989,162
(collateralized
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
market
value
|
|
|
|
|
|
|
$1,008,944)
|
989,161
|
|
|
989,161
|
|
|
|
|
|
|
1,401,000
|
|
U.S. Treasury Obligation –
1.20%≠
|
|
|
|
|
(continues)
NQ-DPT-196 [1/14] 3/14 (12238)
1
Schedule of
investments
Delaware Pooled
Trust — The Focus Smid-Cap Growth Equity Portfolio
|
|
Principal
|
|
|
|
|
|
|
amount°
|
|
Value (U.S. $)
|
|
|
Short-Term
Investments
(continued)
|
|
|
|
|
|
U.S. Treasury Obligations – 0.00%≠
|
|
|
|
|
|
|
U.S. Treasury
Bills
|
|
|
|
|
|
|
0.055% 4/24/14
|
605,878
|
|
$
|
605,843
|
|
|
0.093% 11/13/14
|
234,313
|
|
|
234,182
|
|
|
|
|
|
|
840,025
|
|
|
|
|
Total Short-Term
Investments
(cost
|
|
|
|
|
|
$2,240,943)
|
|
|
|
2,241,025
|
|
|
|
|
Total Value of
|
|
|
|
|
|
|
Securities – 100.01%
|
|
|
|
|
|
|
(cost $53,638,769)
|
|
|
|
69,961,583
|
|
|
|
|
Liabilities Net of
Receivables and Other
|
|
|
|
|
|
Assets
– (0.01%)
|
|
|
|
(9,272
|
)
|
|
Net Assets – 100.00%
|
|
|
$
|
69,952,311
|
|
____________________
|
≠
|
The rate shown is the effective yield
at the time of purchase.
|
|
°
|
Principal amount shown is stated in
U.S. dollars unless noted that the security is denominated in another
currency.
|
|
†
|
Non income producing
security.
|
Summary of abbreviations:
REIT – Real Estate Investment
Trust
2
NQ-DPT-196 [1/14] 3/14 (12238)
Notes
Delaware Pooled
®
Trust — The Focus Smid-Cap Growth Equity Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust – The Focus
Smid-Cap Growth Equity Portfolio (Portfolio). This report covers the period of
time since the Portfolio’s 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. U.S. government and agency securities are valued at the
mean between the bid and ask prices, which approximates fair value. 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. 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
Portfolio’s Board of Trustees (Board). In determining whether market quotations
are readily available or fair valuation will be used, various factors will be
taken into consideration, such as market closures or suspension of trading in a
security. The Portfolio 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 Portfolio 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 Portfolio 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 Portfolio intends to continue to qualify for federal
income tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year.
Management has analyzed the
Portfolio’s tax positions taken for all open federal income tax years (October
31, 2010 – October 31, 2013), and has concluded that no provision for federal
income tax is required in the Portfolio’s financial statements. In regard to
foreign taxes only, the Portfolio has open tax years in certain foreign
countries it invests in that may date back to the inception of the
Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain U.S.
government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
Foreign Currency
Transactions
— Transactions denominated
in foreign currencies are recorded at the prevailing exchange rates on the
valuation date in accordance with the Portfolio’s 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 Portfolio generally does not
bifurcate that portion of realized gains and losses on investments which is due
to changes in foreign exchange rates from that which is due to changes in market
prices. The changes are included with the net realized and unrealized gain or
loss on investments. The Portfolio reports certain foreign currency related
transactions as components of realized gains (losses) for financial reporting
purposes, whereas such components are treated as ordinary income (loss) for
federal income tax purposes.
Use of Estimates
— The preparation of financial statements in conformity
with 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.
(continues)
NQ-DPT-196 [1/14] 3/14 (12238) 3
(Unaudited)
1. Significant Accounting Policies
(continued)
Other
— Expenses directly attributable to the Portfolio are
charged directly to the Portfolio. 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. Foreign dividends are also recorded on the ex-dividend date or as
soon after the ex-dividend date that the Portfolio is aware of such dividends,
net of all tax withholdings, a portion of which may be reclaimable. Withholding
taxes and reclaims on foreign dividends have been recorded in accordance with
the Portfolio’s understanding of the applicable country’s tax rules and rates.
The Portfolio declares and pays dividends from net investment income and
distributions from net realized gains on investments, if any, annually.
Dividends and distributions, if any, are recorded on the ex-dividend date. The
Portfolio may distribute more frequently, if necessary for tax
purposes.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of Investments
|
$
|
54,177,362
|
|
|
Aggregate unrealized appreciation
|
$
|
16,799,932
|
|
|
Aggregate unrealized depreciation
|
|
(1,015,711
|
)
|
|
Net unrealized appreciation
|
$
|
15,784,221
|
|
For federal income tax purposes, at
October 31, 2013, capital loss carryforwards of $237,690 may be carried forward
and applied against future capital gains. Capital loss carryforwards will expire
in 2017.
On December 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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
Portfolio’s own assumptions used to determine the fair value of
investments) (e.g., broker-quoted securities, fair valued
securities)
|
4 NQ-DPT-196 [1/14] 3/14
(12238)
(Unaudited)
Level 3 investments are valued using significant unobservable inputs. The
Portfolio may also use an income-based valuation approach in which the
anticipated future cash flows of the investment are discounted to calculate fair
value. Discounts may also be applied due to the nature or duration of any
restrictions on the disposition of the investments. Valuations may also be based
upon current market prices of securities that are comparable in coupon, rating,
maturity and industry. The derived value of a Level 3 investment may not
represent the value which is received upon disposition and this could impact the
results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
Consumer
Discretionary
|
|
$
|
14,042,256
|
|
$
|
—
|
|
$
|
14,042,256
|
|
Energy
|
|
|
3,345,804
|
|
|
—
|
|
|
3,345,804
|
|
Financials
|
|
|
12,917,941
|
|
|
—
|
|
|
12,917,941
|
|
Healthcare
|
|
|
7,159,171
|
|
|
—
|
|
|
7,159,171
|
|
Producer Durables
|
|
|
7,550,187
|
|
|
—
|
|
|
7,550,187
|
|
Technology
|
|
|
16,625,836
|
|
|
2,362,930
|
|
|
18,988,766
|
|
Utilities
|
|
|
3,716,433
|
|
|
—
|
|
|
3,716,433
|
|
Short-Term Investments
|
|
|
—
|
|
|
2,241,025
|
|
|
2,241,025
|
|
Total
|
|
$
|
65,357,628
|
|
$
|
4,603,955
|
|
$
|
69,961,583
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. This does
not include transfers between Level 1 investments and Level 2 investments due to
the Portfolio utilizing international fair value pricing during the period. In
accordance with the Fair Valuation Procedures described in Note 1, international
fair value pricing of securities in the Portfolio occurs when market volatility
exceeds an established rolling threshold. If the treshold is exceeded on a given
date, then prices of international securities (those that traded on exchanges
that close at a different time than the time that the Portfolio’s Net Asset
Value is determined) will be established using a separate pricing feed from a
third party vendor designed to establish a price for each such security as of
the time that the Portfolio’s Net Asset Value is determined. Further,
international fair value pricing uses other observable market-based inputs in
place of the closing exchange price due to the events occuring after the close
of the exchange or market on which the investment is principally traded, causing
a change in classification between levels. The Portfolio’s policy is to
recognize transfers between levels at the beginning of the reporting
period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. At Jan. 31, 2014, there were no Level 3 investments.
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 Portfolio 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 Portfolio 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.
(continues)
NQ-DPT-196 [1/14] 3/14 (12238) 5
(Unaudited)
3. Derivatives
(continued)
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 Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their contracts.
The Portfolio’s maximum risk of loss from counterparty credit risk is the value
of its currency exchanged with the counterparty. The risk is generally mitigated
by having a netting arrangement between the Portfolio and the counterparty and
by the posting of collateral by the counterparty to the Portfolio to cover the
Portfolio’s exposure to the counterparty. No foreign currency exchange contracts
were outstanding at Jan. 31, 2014.
4. Securities
Lending
The Portfolio, 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: (1)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those circumstances, the Portfolio may not
receive an amount from the Collective Trust that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up for this shortfall. At
Jan. 31, 2014, the Portfolio had no securities out on loan.
6
NQ-DPT-196 [1/14] 3/14 (12238)
(Unaudited)
5. Credit and Market
Risk
The Portfolio invests a significant
portion of its assets in small- and mid-sized companies and may be subject to
certain risks associated with ownership of securities of such companies.
Investments in small- or mid-sized companies may be more volatile than
investments in larger companies for a number of reasons, which include more
limited financial resources or a dependence on narrow product lines. Because the
Portfolio expects to hold a concentrated portfolio of a limited number of
securities, the Portfolio’s risk is increased because each investment has a
greater effect on the Portfolio’s overall performance.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities have been determined to be illiquid under the Portfolio’s Liquidity
Procedures.
6. Subsequent
Events
Delaware Investments has signed an
agreement with its Focus Growth Equity Team, the Portfolio’s current portfolio
management team, to establish a new joint venture called Jackson Square
Partners. DMC has obtained Board approval to appoint Jackson Square Partners as
the sub-advisor to the Portfolio and to authorize a proxy solicitation to obtain
the requisite prior shareholder approval. If the new sub-advosory arrangements
are not approved by shareholders, DMC will pursue an alternative recommendation
and the Portfolio’s Board of Trustees will determine an appropriate course of
action.
Management has determined that no
other material events or transactions occurred subsequent to Jan. 31, 2014 that
would require recognition or disclosure in the Portfolio’s schedule of
investments.
(continues)
NQ-DPT-196 [1/14] 3/14 (12238) 7
Schedule of investments
Delaware Pooled
®
Trust — The High-Yield Bond Portfolio
January 31, 2014 (Unaudited)
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Convertible Bonds – 0.49%
|
|
|
|
|
|
Equinix
4.75% exercise
|
|
|
|
|
|
price
$84.32, expiration
|
|
|
|
|
|
date
6/13/16
|
120,000
|
|
$
|
273,675
|
|
Salix
Pharmaceuticals
|
|
|
|
|
|
1.50%
exercise price
|
|
|
|
|
|
$65.81,
expiration date
|
|
|
|
|
|
3/15/19
|
239,000
|
|
|
384,192
|
|
Total Convertible Bonds
(cost $610,118)
|
|
|
657,867
|
|
|
|
Corporate Bonds – 79.75%
|
|
|
|
|
|
Automobiles – 3.27%
|
|
|
|
|
|
American
Axle &
|
|
|
|
|
|
Manufacturing
|
|
|
|
|
|
7.75%
11/15/19
|
328,000
|
|
|
373,920
|
|
Chassix
144A
|
|
|
|
|
|
9.25%
8/1/18 #
|
325,000
|
|
|
348,562
|
|
Chrysler
Group
|
|
|
|
|
|
8.25%
6/15/21
|
265,000
|
|
|
298,456
|
|
Cooper-Standard
Holding
|
|
|
|
|
|
144A
PIK 7.375%
|
|
|
|
|
|
4/1/18
#
❆
|
600,000
|
|
|
615,750
|
|
General
Motors 144A
|
|
|
|
|
|
6.25%
10/2/43 #
|
375,000
|
|
|
398,438
|
|
General
Motors Financial
|
|
|
|
|
|
6.75%
6/1/18
|
585,000
|
|
|
671,288
|
|
International
Automotive
|
|
|
|
|
|
Components
Group
|
|
|
|
|
|
144A
9.125% 6/1/18 #
|
721,000
|
|
|
755,248
|
|
LKQ
144A
|
|
|
|
|
|
4.75%
5/15/23 #
|
570,000
|
|
|
531,525
|
|
Meritor
6.75% 6/15/21
|
375,000
|
|
|
393,750
|
|
|
|
|
|
4,386,937
|
|
Banking – 2.38%
|
|
|
|
|
|
Barclays
Bank
|
|
|
|
|
|
7.625%
11/21/22
|
560,000
|
|
|
596,400
|
|
Credit
Suisse Group 144A
|
|
|
|
|
|
7.50%
12/11/49 #
•
|
610,000
|
|
|
642,794
|
|
HBOS
Capital Funding
|
|
|
|
|
|
144A
|
|
|
|
|
|
6.071%
6/29/49 #
•
|
889,000
|
|
|
893,445
|
|
JPMorgan
Chase
|
|
|
|
|
|
6.75%
8/29/49
•
|
385,000
|
|
|
392,122
|
|
RBS
Capital Trust I
|
|
|
|
|
|
2.112%
12/29/49
•
|
680,000
|
|
|
663,000
|
|
|
|
|
|
3,187,761
|
|
Basic Industry – 9.70%
|
|
|
|
|
|
AK Steel
7.625% 5/15/20
|
262,000
|
|
|
260,035
|
|
APERAM
144A
|
|
|
|
|
|
7.75%
4/1/18 #
|
220,000
|
|
|
230,450
|
|
ArcelorMittal
|
|
|
|
|
|
6.125%
6/1/18
|
924,000
|
|
|
1,008,315
|
|
Arch Coal
144A
|
|
|
|
|
|
8.00%
1/15/19 #
|
400,000
|
|
|
400,000
|
|
Builders
FirstSource 144A
|
|
|
|
|
|
7.625%
6/1/21 #
|
628,000
|
|
|
664,110
|
|
Cemex
144A
|
|
|
|
|
|
7.25%
1/15/21 #
|
375,000
|
|
|
386,250
|
|
Cemex
Espana
|
|
|
|
|
|
Luxembourg
144A
|
|
|
|
|
|
9.25%
5/12/20 #
|
298,000
|
|
|
323,777
|
|
CPG Merger
Sub 144A
|
|
|
|
|
|
8.00%
10/1/21 #
|
610,000
|
|
|
648,125
|
|
FMG
Resources August
|
|
|
|
|
|
2006
144A
|
|
|
|
|
|
6.875%
4/1/22 #
|
827,000
|
|
|
896,261
|
|
HD
Supply
|
|
|
|
|
|
11.50%
7/15/20
|
550,000
|
|
|
653,125
|
|
Headwaters
|
|
|
|
|
|
7.625%
4/1/19
|
391,000
|
|
|
424,235
|
|
Inmet
Mining 144A
|
|
|
|
|
|
8.75%
6/1/20 #
|
528,000
|
|
|
603,240
|
|
JMC Steel
Group 144A
|
|
|
|
|
|
8.25%
3/15/18 #
|
586,000
|
|
|
607,975
|
|
LSB
Industries 144A
|
|
|
|
|
|
7.75%
8/1/19 #
|
295,000
|
|
|
314,175
|
|
Masonite
International
|
|
|
|
|
|
144A
8.25% 4/15/21 #
|
677,000
|
|
|
744,700
|
|
New Gold
144A
|
|
|
|
|
|
6.25%
11/15/22 #
|
564,000
|
|
|
544,260
|
|
Nortek
8.50% 4/15/21
|
442,000
|
|
|
490,620
|
|
Perstorp
Holding 144A
|
|
|
|
|
|
8.75%
5/15/17 #
|
600,000
|
|
|
643,500
|
|
Ply Gem
Industries 144A
|
|
|
|
|
|
6.50%
2/1/22 #
|
115,000
|
|
|
113,706
|
|
Ryerson
|
|
|
|
|
|
9.00%
10/15/17
|
317,000
|
|
|
343,549
|
|
11.25%
10/15/18
|
135,000
|
|
|
148,162
|
|
Sappi
Papier Holding
|
|
|
|
|
|
144A
|
|
|
|
|
|
6.625%
4/15/21 #
|
511,000
|
|
|
516,110
|
|
144A
|
|
|
|
|
|
8.375%
6/15/19 #
|
400,000
|
|
|
444,000
|
(continues)
NQ-DPT-096 [1/14] 3/14 (12246)
1
Schedule of
investments
Delaware
Pooled
®
Trust — The High-Yield Bond Portfolio
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Basic Industry
(continued)
|
|
|
|
|
|
Taminco
Global Chemical
|
|
|
|
|
|
144A
9.75% 3/31/20 #
|
195,000
|
|
$
|
221,325
|
|
TPC Group
144A
|
|
|
|
|
|
8.75%
12/15/20 #
|
665,000
|
|
|
718,200
|
|
U.S.
Coatings Acquisition
|
|
|
|
|
|
144A
7.375% 5/1/21 #
|
345,000
|
|
|
373,462
|
|
Wise
Metals Group 144A
|
|
|
|
|
|
8.75%
12/15/18 #
|
275,000
|
|
|
292,875
|
|
|
|
|
|
13,014,542
|
|
Capital Goods – 4.35%
|
|
|
|
|
|
Accudyne
Industries 144A
|
|
|
|
|
|
7.75%
12/15/20 #
|
550,000
|
|
|
585,750
|
|
Beverage
Packaging
|
|
|
|
|
|
Holdings
Luxembourg II
|
|
|
|
|
|
144A
|
|
|
|
|
|
5.625%
12/15/16 #
|
145,000
|
|
|
148,262
|
|
144A
6.00% 6/15/17 #
|
150,000
|
|
|
154,125
|
|
BlueLine
Rental Finance
|
|
|
|
|
|
144A
7.00% 2/1/19 #
|
355,000
|
|
|
367,869
|
|
BOE
Intermediate Holding
|
|
|
|
|
|
144A
PIK 9.00%
|
|
|
|
|
|
11/1/17
#
✥
|
370,465
|
|
|
397,324
|
|
BOE Merger
144A PIK
|
|
|
|
|
|
9.50%
11/1/17 #
❆
|
593,000
|
|
|
628,580
|
|
Consolidated
Container
|
|
|
|
|
|
144A
|
|
|
|
|
|
10.125%
7/15/20 #
|
471,000
|
|
|
501,615
|
|
Milacron
144A
|
|
|
|
|
|
7.75%
2/15/21 #
|
490,000
|
|
|
522,462
|
|
Plastipak
Holdings 144A
|
|
|
|
|
|
6.50%
10/1/21 #
|
485,000
|
|
|
499,550
|
|
Reynolds
Group Issuer
|
|
|
|
|
|
8.25%
2/15/21
|
485,000
|
|
|
517,738
|
|
9.00%
4/15/19
|
184,000
|
|
|
197,110
|
|
9.875%
8/15/19
|
590,000
|
|
|
654,900
|
|
TransDigm
7.50% 7/15/21
|
610,000
|
|
|
663,375
|
|
|
|
|
|
5,838,660
|
|
Consumer Cyclical –
6.58%
|
|
|
|
|
|
BI-LO 144A
PIK 8.625%
|
|
|
|
|
|
9/15/18
#
❆
|
425,000
|
|
|
445,188
|
|
Burlington
Coat Factory
|
|
|
|
|
|
Warehouse
|
|
|
|
|
|
10.00%
2/15/19
|
564,000
|
|
|
631,680
|
|
Burlington
Holdings 144A
|
|
|
|
|
|
PIK
9.00% 2/15/18 #
❆
|
115,000
|
|
|
118,162
|
|
CDR DB Sub
144A
|
|
|
|
|
|
7.75%
10/15/20 #
|
757,000
|
|
|
736,182
|
|
Chinos
Intermediate
|
|
|
|
|
|
Holdings
144A PIK
|
|
|
|
|
|
7.75%
5/1/19 #
❆
|
665,000
|
|
|
681,625
|
|
Dave &
Buster’s
|
|
|
|
|
|
11.00%
6/1/18
|
286,000
|
|
|
308,880
|
|
Dave &
Buster’s
|
|
|
|
|
|
Entertainment
144A
|
|
|
|
|
|
8.91%
2/15/16 #^
|
697,000
|
|
|
581,995
|
|
Landry’s
144A
|
|
|
|
|
|
9.375%
5/1/20 #
|
722,000
|
|
|
788,785
|
|
Michaels
Stores 144A
|
|
|
|
|
|
5.875%
12/15/20 #
|
485,000
|
|
|
486,212
|
|
Pantry
8.375% 8/1/20
|
554,000
|
|
|
594,165
|
|
Party City
Holdings
|
|
|
|
|
|
8.875%
8/1/20
|
593,000
|
|
|
662,678
|
|
Quiksilver
144A
|
|
|
|
|
|
7.875%
8/1/18 #
|
665,000
|
|
|
724,850
|
|
Rite Aid
6.75% 6/15/21
|
665,000
|
|
|
704,900
|
|
Roundy’s
Supermarkets
|
|
|
|
|
|
144A
|
|
|
|
|
|
10.25%
12/15/20 #
|
235,000
|
|
|
249,100
|
|
Tempur-Pedic
International
|
|
|
|
|
|
6.875%
12/15/20
|
425,000
|
|
|
466,969
|
|
Wok
Acquisition 144A
|
|
|
|
|
|
10.25%
6/30/20 #
|
599,000
|
|
|
653,659
|
|
|
|
|
|
8,835,030
|
|
Consumer Non-Cyclical –
1.65%
|
|
|
|
|
|
Crestview
DS Merger Sub II
|
|
|
|
|
|
144A
10.00% 9/1/21 #
|
405,000
|
|
|
443,475
|
|
JBS
Investments 144A
|
|
|
|
|
|
7.75%
10/28/20 #
|
200,000
|
|
|
206,000
|
|
JBS USA
144A
|
|
|
|
|
|
8.25%
2/1/20 #
|
486,000
|
|
|
529,132
|
|
Smithfield
Foods
|
|
|
|
|
|
6.625%
8/15/22
|
450,000
|
|
|
475,875
|
|
Spectrum
Brands
|
|
|
|
|
|
6.375%
11/15/20
|
103,000
|
|
|
109,952
|
|
6.625%
11/15/22
|
416,000
|
|
|
444,600
|
|
|
|
|
|
2,209,034
|
|
Energy –
11.88%
|
|
|
|
|
|
AmeriGas
Finance
|
|
|
|
|
|
7.00%
5/20/22
|
708,000
|
|
|
773,490
|
2 NQ-DPT-096 [1/14] 3/14
(12246)
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Energy (continued)
|
|
|
|
|
|
AmeriGas
Partners
|
|
|
|
|
|
6.50%
5/20/21
|
9,000
|
|
$
|
9,652
|
|
Calumet Specialty
Products
|
|
|
|
|
|
Partners
|
|
|
|
|
|
7.625%
1/15/22
|
350,000
|
|
|
371,438
|
|
9.375%
5/1/19
|
613,000
|
|
|
681,962
|
|
Chaparral
Energy
|
|
|
|
|
|
7.625%
11/15/22
|
267,000
|
|
|
289,028
|
|
8.25%
9/1/21
|
312,000
|
|
|
341,640
|
|
CHC
Helicopter
|
|
|
|
|
|
9.375%
6/1/21
|
285,000
|
|
|
299,962
|
|
Chesapeake
Energy
|
|
|
|
|
|
5.375%
6/15/21
|
110,000
|
|
|
114,950
|
|
6.125%
2/15/21
|
95,000
|
|
|
102,838
|
|
6.625%
8/15/20
|
480,000
|
|
|
537,600
|
|
Comstock
Resources
|
|
|
|
|
|
7.75%
4/1/19
|
484,000
|
|
|
517,880
|
|
Drill Rigs Holdings
144A
|
|
|
|
|
|
6.50%
10/1/17 #
|
584,000
|
|
|
620,500
|
|
Exterran
Partners
|
|
|
|
|
|
6.00%
4/1/21
|
590,000
|
|
|
588,525
|
|
Genesis
Energy
|
|
|
|
|
|
5.75%
2/15/21
|
665,000
|
|
|
678,300
|
|
Halcon
Resources
|
|
|
|
|
|
8.875%
5/15/21
|
169,000
|
|
|
169,422
|
|
144A
9.75% 7/15/20 #
|
665,000
|
|
|
692,431
|
|
Hercules
Offshore
|
|
|
|
|
|
144A
7.50% 10/1/21 #
|
300,000
|
|
|
312,750
|
|
144A
8.75% 7/15/21 #
|
175,000
|
|
|
196,000
|
|
Key Energy
Services
|
|
|
|
|
|
6.75%
3/1/21
|
615,000
|
|
|
634,988
|
|
Laredo
Petroleum
|
|
|
|
|
|
144A
|
|
|
|
|
|
5.625%
1/15/22 #
|
285,000
|
|
|
283,931
|
|
7.375%
5/1/22
|
136,000
|
|
|
149,260
|
|
Linn
Energy
|
|
|
|
|
|
6.50%
5/15/19
|
84,000
|
|
|
86,730
|
|
144A
7.00% 11/1/19 #
|
325,000
|
|
|
331,500
|
|
8.625%
4/15/20
|
129,000
|
|
|
139,965
|
|
Midstates
Petroleum
|
|
|
|
|
|
9.25%
6/1/21
|
775,000
|
|
|
809,875
|
|
Murphy Oil U.S.A.
144A
|
|
|
|
|
|
6.00%
8/15/23 #
|
445,000
|
|
|
446,112
|
|
Northern
Blizzard
|
|
|
|
|
|
Resources
144A
|
|
|
|
|
|
7.25%
2/1/22 #
|
620,000
|
|
|
620,775
|
|
Northern Oil &
Gas
|
|
|
|
|
|
8.00%
6/1/20
|
580,000
|
|
|
614,800
|
|
NuStar
Logistics
|
|
|
|
|
|
6.75%
2/1/21
|
400,000
|
|
|
416,000
|
|
Oasis Petroleum
144A
|
|
|
|
|
|
6.875%
3/15/22 #
|
630,000
|
|
|
670,950
|
|
Offshore Group
Investment
|
|
|
|
|
|
7.125%
4/1/23
|
270,000
|
|
|
271,350
|
|
PDC
Energy
|
|
|
|
|
|
7.75%
10/15/22
|
535,000
|
|
|
579,138
|
|
Pioneer Energy
Services
|
|
|
|
|
|
9.875%
3/15/18
|
556,000
|
|
|
589,360
|
|
Samson Investment
144A
|
|
|
|
|
|
10.50%
2/15/20 #
|
426,000
|
|
|
470,730
|
|
SandRidge
Energy
|
|
|
|
|
|
7.50%
3/15/21
|
106,000
|
|
|
110,505
|
|
8.125%
10/15/22
|
681,000
|
|
|
715,901
|
|
8.75%
1/15/20
|
114,000
|
|
|
123,690
|
|
Ultra Petroleum
144A
|
|
|
|
|
|
5.75%
12/15/18 #
|
560,000
|
|
|
581,000
|
|
|
|
|
|
15,944,928
|
|
Financials – 0.73%
|
|
|
|
|
|
Nuveen Investments
144A
|
|
|
|
|
|
9.50%
10/15/20 #
|
944,000
|
|
|
979,400
|
|
|
|
|
|
979,400
|
|
Healthcare –
7.43%
|
|
|
|
|
|
Air Medical
Group
|
|
|
|
|
|
Holdings
|
|
|
|
|
|
9.25%
11/1/18
|
312,000
|
|
|
340,080
|
|
Alere 6.50%
6/15/20
|
360,000
|
|
|
371,700
|
|
Biomet 6.50%
10/1/20
|
945,000
|
|
|
985,162
|
|
Community Health
Systems
|
|
|
|
|
|
144A
6.875% 2/1/22 #
|
670,000
|
|
|
688,006
|
|
7.125%
7/15/20
|
163,000
|
|
|
173,799
|
|
8.00%
11/15/19
|
386,000
|
|
|
425,565
|
|
HCA
Holdings
|
|
|
|
|
|
7.75%
5/15/21
|
135,000
|
|
|
148,500
|
|
Healthcare
Technology
|
|
|
|
|
|
Intermediate
144A PIK
|
|
|
|
|
|
7.375%
9/1/18 #
❆
|
595,000
|
|
|
618,056
|
|
Immucor
|
|
|
|
|
|
11.125%
8/15/19
|
612,000
|
|
|
690,795
|
|
Kinetic
Concepts
|
|
|
|
|
|
10.50%
11/1/18
|
423,000
|
|
|
488,565
|
|
12.50%
11/1/19
|
290,000
|
|
|
330,600
|
(continues)
NQ-DPT-096 [1/14] 3/14 (12246)
3
Schedule of
investments
Delaware
Pooled
®
Trust — The High-Yield Bond Portfolio
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Healthcare
(continued)
|
|
|
|
|
|
MPH Intermediate
Holding
|
|
|
|
|
|
2
144A PIK 8.375%
|
|
|
|
|
|
8/1/18
#
❆
|
295,000
|
|
$
|
304,956
|
|
Par
Pharmaceutical
|
|
|
|
|
|
7.375%
10/15/20
|
871,000
|
|
|
923,260
|
|
Radnet
Management
|
|
|
|
|
|
10.375%
4/1/18
|
328,000
|
|
|
331,280
|
|
Salix
Pharmaceuticals
|
|
|
|
|
|
144A
6.00% 1/15/21 #
|
755,000
|
|
|
788,975
|
|
Service
Corporation
|
|
|
|
|
|
International
144A
|
|
|
|
|
|
5.375%
1/15/22 #
|
125,000
|
|
|
127,031
|
|
Tenet
Healthcare
|
|
|
|
|
|
144A
6.00% 10/1/20 #
|
575,000
|
|
|
606,266
|
|
8.125%
4/1/22
|
375,000
|
|
|
410,156
|
|
Truven Health
Analytics
|
|
|
|
|
|
10.625%
6/1/20
|
218,000
|
|
|
247,975
|
|
Valeant
Pharmaceuticals
|
|
|
|
|
|
International
|
|
|
|
|
|
144A
|
|
|
|
|
|
5.625%
12/1/21 #
|
510,000
|
|
|
529,125
|
|
144A
|
|
|
|
|
|
6.375%
10/15/20 #
|
291,000
|
|
|
312,098
|
|
144A
7.00% 10/1/20 #
|
115,000
|
|
|
124,488
|
|
|
|
|
|
9,966,438
|
|
Insurance –
2.45%
|
|
|
|
|
|
American
International
|
|
|
|
|
|
Group
|
|
|
|
|
|
8.175%
5/15/58
•
|
562,000
|
|
|
701,095
|
|
Hockey Merger Sub 2
144A
|
|
|
|
|
|
7.875%
10/1/21 #
|
450,000
|
|
|
470,250
|
|
Liberty Mutual Group
144A
|
|
|
|
|
|
7.00%
3/15/37 #
•
|
575,000
|
|
|
600,875
|
|
Onex USI Aquisition
144A
|
|
|
|
|
|
7.75%
1/15/21 #
|
585,000
|
|
|
603,281
|
|
XL Group
|
|
|
|
|
|
6.50%
12/29/49
•
|
925,000
|
|
|
911,125
|
|
|
|
|
|
3,286,626
|
|
Media – 7.17%
|
|
|
|
|
|
CCO Holdings
|
|
|
|
|
|
5.25%
9/30/22
|
484,000
|
|
|
467,665
|
|
Cequel
Communications
|
|
|
|
|
|
Holdings
I 144A
|
|
|
|
|
|
6.375%
9/15/20 #
|
446,000
|
|
|
458,265
|
|
Clear Channel
Worldwide
|
|
|
|
|
|
Holdings
|
|
|
|
|
|
7.625%
3/15/20
|
704,000
|
|
|
746,060
|
|
Columbus
International
|
|
|
|
|
|
144A
|
|
|
|
|
|
11.50%
11/20/14 #
|
310,000
|
|
|
326,198
|
|
CSC Holdings
|
|
|
|
|
|
6.75%
11/15/21
|
615,000
|
|
|
673,425
|
|
DISH DBS 5.00%
3/15/23
|
795,000
|
|
|
747,300
|
|
Gray Television
|
|
|
|
|
|
7.50%
10/1/20
|
605,000
|
|
|
648,862
|
|
MDC Partners
144A
|
|
|
|
|
|
6.75%
4/1/20 #
|
690,000
|
|
|
731,400
|
|
Nara Cable Funding
144A
|
|
|
|
|
|
8.875%
12/1/18 #
|
700,000
|
|
|
761,000
|
|
Nielsen Luxembourg
144A
|
|
|
|
|
|
5.50%
10/1/21 #
|
90,000
|
|
|
92,925
|
|
ONO Finance II
144A
|
|
|
|
|
|
10.875%
7/15/19 #
|
265,000
|
|
|
296,800
|
|
RCN Telecom
Services
|
|
|
|
|
|
144A
8.50% 8/15/20 #
|
325,000
|
|
|
330,688
|
|
Satelites
Mexicanos
|
|
|
|
|
|
9.50%
5/15/17
|
257,000
|
|
|
274,990
|
|
Univision
Communications
|
|
|
|
|
|
144A
8.50% 5/15/21 #
|
1,036,000
|
|
|
1,142,190
|
|
UPCB Finance VI
144A
|
|
|
|
|
|
6.875%
1/15/22 #
|
430,000
|
|
|
462,250
|
|
Virgin Media Finance
144A
|
|
|
|
|
|
6.375%
4/15/23 #
|
800,000
|
|
|
820,000
|
|
VTR Finance
144A
|
|
|
|
|
|
6.875%
1/15/24 #
|
645,000
|
|
|
647,359
|
|
|
|
|
|
9,627,377
|
|
Services – 6.98%
|
|
|
|
|
|
Algeco Scotsman
Global
|
|
|
|
|
|
Finance
|
|
|
|
|
|
144A
|
|
|
|
|
|
8.50%
10/15/18 #
|
580,000
|
|
|
630,750
|
|
144A
|
|
|
|
|
|
10.75%
10/15/19 #
|
865,000
|
|
|
936,362
|
|
ARAMARK 144A
|
|
|
|
|
|
5.75%
3/15/20 #
|
615,000
|
|
|
641,138
|
|
Avis Budget Car
Rental
|
|
|
|
|
|
5.50%
4/1/23
|
465,000
|
|
|
451,050
|
|
Carlson Wagonlit
144A
|
|
|
|
|
|
6.875%
6/15/19 #
|
335,000
|
|
|
351,331
|
4 NQ-DPT-096 [1/14] 3/14
(12246)
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Services
(continued)
|
|
|
|
|
|
Darling Escrow
144A
|
|
|
|
|
|
5.375%
1/15/22 #
|
235,000
|
|
$
|
237,056
|
|
DigitalGlobe
|
|
|
|
|
|
5.25%
2/1/21
|
565,000
|
|
|
557,938
|
|
H&E Equipment
Services
|
|
|
|
|
|
7.00%
9/1/22
|
462,000
|
|
|
503,580
|
|
M/I Homes
|
|
|
|
|
|
8.625%
11/15/18
|
591,000
|
|
|
644,190
|
|
Mattamy Group
144A
|
|
|
|
|
|
6.50%
11/15/20 #
|
580,000
|
|
|
581,450
|
|
MGM Resorts
International
|
|
|
|
|
|
6.75%
10/1/20
|
170,000
|
|
|
183,600
|
|
7.75%
3/15/22
|
234,000
|
|
|
264,420
|
|
11.375%
3/1/18
|
549,000
|
|
|
708,210
|
|
PHH
|
|
|
|
|
|
6.375%
8/15/21
|
245,000
|
|
|
246,838
|
|
7.375%
9/1/19
|
256,000
|
|
|
277,120
|
|
Pinnacle
Entertainment
|
|
|
|
|
|
7.75%
4/1/22
|
210,000
|
|
|
228,900
|
|
8.75%
5/15/20
|
36,000
|
|
|
39,600
|
|
PNK Finance
144A
|
|
|
|
|
|
6.375%
8/1/21 #
|
265,000
|
|
|
272,950
|
|
Seven Seas
Cruises
|
|
|
|
|
|
9.125%
5/15/19
|
595,000
|
|
|
660,450
|
|
Stena 144A
|
|
|
|
|
|
7.00%
2/1/24 #
|
655,000
|
|
|
669,738
|
|
Watco 144A
|
|
|
|
|
|
6.375%
4/1/23 #
|
280,000
|
|
|
278,600
|
|
|
|
|
|
9,365,271
|
|
Technology &
Electronics – 5.48%
|
|
|
|
|
|
ACI Worldwide
144A
|
|
|
|
|
|
6.375%
8/15/20 #
|
360,000
|
|
|
377,100
|
|
Activision
Blizzard
|
|
|
|
|
|
144A
|
|
|
|
|
|
5.625%
9/15/21 #
|
445,000
|
|
|
461,688
|
|
144A
|
|
|
|
|
|
6.125%
9/15/23 #
|
200,000
|
|
|
209,000
|
|
BMC Software
Finance
|
|
|
|
|
|
144A
|
|
|
|
|
|
8.125%
7/15/21 #
|
950,000
|
|
|
985,625
|
|
First Data
|
|
|
|
|
|
144A
|
|
|
|
|
|
11.25%
1/15/21 #
|
855,000
|
|
|
946,912
|
|
144A
|
|
|
|
|
|
11.75%
8/15/21 #
|
805,000
|
|
|
831,163
|
|
First Data Holdings
144A
|
|
|
|
|
|
PIK
14.50%
|
|
|
|
|
|
9/24/19
#
✥
|
355,000
|
|
|
330,150
|
|
Freescale
Semiconductor
|
|
|
|
|
|
144A
6.00% 1/15/22 #
|
305,000
|
|
|
317,962
|
|
10.75%
8/1/20
|
60,000
|
|
|
69,150
|
|
Infor U.S. 9.375%
4/1/19
|
533,000
|
|
|
602,290
|
|
j2 Global 8.00%
8/1/20
|
777,000
|
|
|
839,160
|
|
NCR Escrow
|
|
|
|
|
|
144A
|
|
|
|
|
|
5.875%
12/15/21 #
|
175,000
|
|
|
182,438
|
|
144A
|
|
|
|
|
|
6.375%
12/15/23 #
|
540,000
|
|
|
564,300
|
|
Viasystems 144A
|
|
|
|
|
|
7.875%
5/1/19 #
|
596,000
|
|
|
640,700
|
|
|
|
|
|
7,357,638
|
|
Telecommunications – 7.74%
|
|
|
|
|
|
CenturyLink
|
|
|
|
|
|
6.75%
12/1/23
|
400,000
|
|
|
407,000
|
|
Comcel Trust
144A
|
|
|
|
|
|
6.875%
2/6/24 #
|
210,000
|
|
|
206,289
|
|
Digicel Group
144A
|
|
|
|
|
|
8.25%
9/30/20 #
|
1,050,000
|
|
|
1,097,250
|
|
Hughes Satellite
Systems
|
|
|
|
|
|
7.625%
6/15/21
|
439,000
|
|
|
500,460
|
|
Intelsat
Luxembourg
|
|
|
|
|
|
144A
7.75% 6/1/21 #
|
860,000
|
|
|
925,575
|
|
144A
8.125% 6/1/23 #
|
860,000
|
|
|
934,175
|
|
Level 3
Communications
|
|
|
|
|
|
8.875%
6/1/19
|
233,000
|
|
|
256,300
|
|
Level 3
Financing
|
|
|
|
|
|
144A
|
|
|
|
|
|
6.125%
1/15/21 #
|
110,000
|
|
|
112,750
|
|
7.00%
6/1/20
|
602,000
|
|
|
642,635
|
|
MetroPCS Wireless
144A
|
|
|
|
|
|
6.25%
4/1/21 #
|
240,000
|
|
|
250,200
|
|
Sprint
|
|
|
|
|
|
144A
|
|
|
|
|
|
7.125%
6/15/24 #
|
765,000
|
|
|
770,738
|
|
144A
7.25% 9/15/21 #
|
615,000
|
|
|
664,969
|
|
144A
|
|
|
|
|
|
7.875%
9/15/23 #
|
410,000
|
|
|
438,700
|
|
Sprint Capital
|
|
|
|
|
|
6.90%
5/1/19
|
410,000
|
|
|
444,850
|
|
T-Mobile USA
|
|
|
|
|
|
6.125%
1/15/22
|
195,000
|
|
|
199,875
|
(continues)
NQ-DPT-096 [1/14] 3/14 (12246)
5
Schedule of
investments
Delaware
Pooled
®
Trust — The High-Yield Bond Portfolio
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Corporate Bonds
(continued)
|
|
|
|
|
|
Telecommunications
(continued)
|
|
|
|
|
|
T-Mobile
USA
|
|
|
|
|
|
6.50%
1/15/24
|
115,000
|
|
$
|
117,731
|
|
6.731%
4/28/22
|
235,000
|
|
|
247,631
|
|
Wind
Acquisition Finance
|
|
|
|
|
|
144A
7.25% 2/15/18 #
|
220,000
|
|
|
231,550
|
|
144A
|
|
|
|
|
|
11.75%
7/15/17 #
|
210,000
|
|
|
221,812
|
|
Windstream
|
|
|
|
|
|
7.50%
6/1/22
|
335,000
|
|
|
342,538
|
|
7.50%
4/1/23
|
10,000
|
|
|
10,050
|
|
7.75%
10/1/21
|
370,000
|
|
|
390,350
|
|
Zayo
Group
|
|
|
|
|
|
10.125%
7/1/20
|
842,000
|
|
|
977,772
|
|
|
|
|
|
10,391,200
|
|
Utilities – 1.96%
|
|
|
|
|
|
AES
|
|
|
|
|
|
7.375%
7/1/21
|
438,000
|
|
|
487,275
|
|
8.00%
6/1/20
|
2,000
|
|
|
2,325
|
|
AES Gener
144A
|
|
|
|
|
|
8.375%
12/18/73 #
•
|
400,000
|
|
|
421,000
|
|
Calpine
|
|
|
|
|
|
144A
|
|
|
|
|
|
5.875%
1/15/24 #
|
145,000
|
|
|
144,638
|
|
144A
6.00% 1/15/22 #
|
595,000
|
|
|
618,800
|
|
Elwood
Energy
|
|
|
|
|
|
8.159%
7/5/26
|
262,464
|
|
|
282,477
|
|
Enel
144A
|
|
|
|
|
|
8.75%
9/24/73 #
•
|
420,000
|
|
|
456,750
|
|
GenOn
Energy
|
|
|
|
|
|
9.875%
10/15/20
|
207,000
|
|
|
219,420
|
|
|
|
|
|
2,632,685
|
|
Total Corporate Bonds
(cost
$102,890,159)
|
|
|
107,023,527
|
|
|
|
Senior Secured Loans –
10.48%
«
|
|
|
|
|
|
Akorn
Tranche B
|
|
|
|
|
|
4.50%
11/13/20
|
355,000
|
|
|
359,438
|
|
Allegion
U.S. Holding
|
|
|
|
|
|
Tranche
B
|
|
|
|
|
|
3.00%
12/26/20
|
195,000
|
|
|
195,853
|
|
Applied
Systems Tranche
|
|
|
|
|
|
1st
Lien 4.25% 1/15/21
|
441,000
|
|
|
445,851
|
|
Applied
Systems Tranche
|
|
|
|
|
|
2nd
Lien
|
|
|
|
|
|
7.50%
1/15/22
|
165,000
|
|
|
169,280
|
|
Ardagh
Group Tranche B
|
|
|
|
|
|
4.00%
12/17/19
|
380,000
|
|
|
381,900
|
|
Azure
Midstream Tranche B
|
|
|
|
|
|
6.50%
10/21/18
|
205,000
|
|
|
207,499
|
|
BJ’s
Wholesale Club 2nd
|
|
|
|
|
|
Lien
8.50% 3/31/20
|
335,000
|
|
|
345,085
|
|
BJ’s
Wholesale Club
|
|
|
|
|
|
Tranche
B 1st Lien
|
|
|
|
|
|
4.50%
9/26/19
|
315,000
|
|
|
318,425
|
|
BMC
Software 1st Lien
|
|
|
|
|
|
5.00%
8/9/20
|
184,000
|
|
|
184,524
|
|
Borgata
Tranch B 1st Lien
|
|
|
|
|
|
6.75%
8/15/18
|
635,000
|
|
|
642,938
|
|
Citycenter
Holdings Tranche
|
|
|
|
|
|
B
5.00% 10/9/20
|
320,000
|
|
|
324,367
|
|
Clear
Channel Communi-
|
|
|
|
|
|
cations
Tranche D
|
|
|
|
|
|
6.75%
1/30/19
|
650,000
|
|
|
632,067
|
|
Community
Health Systems
|
|
|
|
|
|
Tranche
D
|
|
|
|
|
|
4.25%
1/27/21
|
360,000
|
|
|
364,179
|
|
Drillships
Financing
|
|
|
|
|
|
Holding
Tranche B1
|
|
|
|
|
|
6.00%
2/17/21
|
304,236
|
|
|
311,841
|
|
Drillships
Financing
|
|
|
|
|
|
Holding
Tranche B2
|
|
|
|
|
|
5.50%
7/15/16
|
355,000
|
|
|
359,733
|
|
Gentiva
Health Services
|
|
|
|
|
|
Tranche
B
|
|
|
|
|
|
6.50%
10/10/19
|
640,000
|
|
|
644,400
|
|
Getty
Images Tranche B
|
|
|
|
|
|
4.75%
9/19/19
|
242,915
|
|
|
229,598
|
|
Gray
Television
|
|
|
|
|
|
4.50%
10/11/19
|
439,000
|
|
|
442,841
|
|
Hostess
Brands 1st Lien
|
|
|
|
|
|
6.75%
3/12/20
|
445,000
|
|
|
462,800
|
|
Hudson’s
Bay 2nd Lien
|
|
|
|
|
|
8.25%
10/7/21
|
440,000
|
|
|
456,133
|
|
Ineos U.S.
Finance
|
|
|
|
|
|
4.00%
5/4/18
|
608,456
|
|
|
612,530
|
|
KIK Custom
Products 1st
|
|
|
|
|
|
Lien
5.50% 5/23/19
|
95,000
|
|
|
95,079
|
|
KIK Custom
Products 2nd
|
|
|
|
|
|
Lien
9.50% 11/23/19
|
45,000
|
|
|
45,477
|
|
Kinetic
Concepts Tranche
|
|
|
|
|
|
E1
4.00% 5/8/18
|
785,000
|
|
|
793,128
|
6 NQ-DPT-096 [1/14] 3/14
(12246)
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Senior Secured Loans«
(continued)
|
|
|
|
|
LTS Buyer
2nd Lien
|
|
|
|
|
|
8.00%
3/15/21
|
155,000
|
|
$
|
158,681
|
|
Moxie
Liberty Tranche B
|
|
|
|
|
|
7.50%
8/21/20
|
345,000
|
|
|
352,762
|
|
Moxie
Patriot (Panda
|
|
|
|
|
|
Power
Fund) Tranche B1
|
|
|
|
|
|
6.75%
12/18/20
|
340,000
|
|
|
349,775
|
|
Neiman
Marcus Group
|
|
|
|
|
|
5.00%
10/18/20
|
663,338
|
|
|
671,950
|
|
Nuveen
Investments 2nd
|
|
|
|
|
|
Lien
6.50% 2/28/19
|
335,000
|
|
|
334,581
|
|
Otter
Products Tranche B
|
|
|
|
|
|
5.25%
4/29/19
|
118,481
|
|
|
119,296
|
|
Panda
Temple Power II
|
|
|
|
|
|
Tranche
B 1st Lien
|
|
|
|
|
|
7.25%
3/28/19
|
355,000
|
|
|
365,206
|
|
Patheon
4.25% 1/23/21
|
715,000
|
|
|
715,064
|
|
Polymer
Group Tranche B
|
|
|
|
|
|
5.25%
12/13/19
|
545,000
|
|
|
550,791
|
|
Quickrete
2nd Lien
|
|
|
|
|
|
7.00%
3/19/21
|
60,000
|
|
|
61,740
|
|
Ranpak 2nd
Lien
|
|
|
|
|
|
8.50%
4/10/20
|
86,000
|
|
|
88,580
|
|
Rite Aid
2nd Lien
|
|
|
|
|
|
5.75%
8/3/20
|
295,000
|
|
|
303,076
|
|
Samson
Investment 2nd
|
|
|
|
|
|
Lien
5.00% 9/25/18
|
305,000
|
|
|
308,508
|
|
Toys R Us
Property Tranche
|
|
|
|
|
|
B
6.00% 7/31/19
|
279,300
|
|
|
266,592
|
|
Vantage
Drilling Tranche B
|
|
|
|
|
|
1st
Lien 5.75% 3/28/19
|
390,000
|
|
|
396,825
|
|
Total Senior Secured Loans
(cost
|
|
|
|
|
|
$13,913,977)
|
|
|
|
14,068,393
|
|
|
|
|
Number of
|
|
|
|
|
|
Shares
|
|
|
|
|
Common Stock –
2.95%
|
|
|
|
|
|
Akorn
|
12,910
|
|
|
293,057
|
|
B/E
Aerospace †
|
3,480
|
|
|
276,556
|
|
Century
Communi-
|
|
|
|
|
|
cations
=†
|
60,000
|
|
|
0
|
|
CenturyLink
|
8,788
|
|
|
253,622
|
|
DIRECTV
Class A †
|
3,700
|
|
|
256,891
|
|
General
Motors †
|
6,950
|
|
|
250,756
|
|
Hertz
Global Holdings †
|
12,500
|
|
|
325,250
|
|
Kodiak Oil
& Gas †
|
33,306
|
|
|
353,377
|
|
Las Vegas
Sands
|
3,370
|
|
|
257,872
|
|
Mueller
Water Products
|
|
|
|
|
|
Class
A
|
40,010
|
|
|
347,287
|
|
Quiksilver
†
|
49,966
|
|
|
352,260
|
|
Range
Resources
|
3,883
|
|
|
334,676
|
|
Rockwood
Holdings
|
2,086
|
|
|
142,954
|
|
Time
Warner Cable
|
1,970
|
|
|
262,542
|
|
United
Rentals †
|
3,111
|
|
|
251,804
|
|
Total Common Stock
(cost $3,724,859)
|
|
|
|
3,958,904
|
|
|
|
Convertible Preferred
Stock – 0.99%
|
|
|
|
|
Chesapeake
Energy 144A
|
|
|
|
|
|
5.75%
exercise price
|
|
|
|
|
|
$27.83,
expiration date
|
|
|
|
|
|
12/31/49
#
|
572
|
|
|
650,292
|
|
Intelsat
5.75% exercise
|
|
|
|
|
|
price
$22.05, expiration
|
|
|
|
|
|
date
5/1/16
|
5,550
|
|
|
291,514
|
|
SandRidge
Energy 7.00%
|
|
|
|
|
|
exercise
price $7.76,
|
|
|
|
|
|
expiration
date
|
|
|
|
|
|
12/31/49
|
3,800
|
|
|
378,812
|
|
Total Convertible Preferred Stock
(cost
|
|
|
|
|
$1,290,327)
|
|
|
|
1,320,618
|
|
|
|
Preferred Stock –
1.24%
|
|
|
|
|
|
Ally
Financial
|
|
|
|
|
|
144A
7.00% #
|
800
|
|
|
778,275
|
|
8.50%
•
|
5,000
|
|
|
135,150
|
|
GMAC
Capital Trust I
|
|
|
|
|
|
8.125%
•
|
7,000
|
|
|
191,660
|
|
Regions
Financial 6.375%
|
24,000
|
|
|
559,440
|
|
Total Preferred Stock
(cost
$1,493,893)
|
|
|
1,664,525
|
(continues)
NQ-DPT-096 [1/14] 3/14 (12246)
7
Schedule of
investments
Delaware
Pooled
®
Trust — The High-Yield Bond Portfolio
|
|
Principal
amount°
|
|
Value
(U.S. $)
|
|
Short-Term Investments –
4.06%
|
|
|
|
|
|
Repurchase
Agreements – 4.06%
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
to
be repurchased on
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
$1,374,227
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
market
value
|
|
|
|
|
|
$1,401,710)
|
1,374,226
|
|
$
|
1,374,226
|
|
Bank of
Montreal
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
to
be repurchased on
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
$229,038
(collateralized
|
|
|
|
|
|
by
U.S. government
|
|
|
|
|
|
obligations
|
|
|
|
|
|
0.25%-2.75%
4/30/14-
|
|
|
|
|
|
11/15/23;
market value
|
|
|
|
|
|
$233,619)
|
229,038
|
|
|
229,038
|
|
BNP Paribas
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
to
be repurchased on
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
$3,850,743
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
market
value
|
|
|
|
|
|
$3,927,751)
|
3,850,736
|
|
|
3,850,736
|
|
Total Short-Term Investments
(cost
|
|
|
|
|
$5,454,000)
|
|
|
|
5,454,000
|
|
|
|
|
|
|
|
Total Value of
|
|
|
|
|
|
Securities –
99.96%
|
|
|
|
|
|
(cost
$129,377,333)
|
|
|
|
134,147,834
|
|
|
|
|
|
|
|
Receivables and Other Assets Net of
|
|
|
|
|
|
Liabilities –
0.04%
|
|
|
$
|
55,191
|
|
Net Assets –
100.00%
|
|
|
$
|
134,203,025
|
____________________
|
#
|
Security exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended. At Jan. 31, 2014, the aggregate value of Rule 144A securities was
$61,740,902, which represents 46.01% of the Portfolio’s net assets. See
Note 4 in “Notes.”
|
|
✥
|
100% of the
income received was in the form of additional par.
|
|
❆
|
100% of the
income received was in the form of cash.
|
|
=
|
Security is
being fair valued in accordance with the Portfolio’s fair valuation
policy. At Jan. 31, 2014, the aggregate value of fair valued securities was
$0, which represents 0.00% of the Portfolio’s net assets. See Note 1 in
“Notes.”
|
|
°
|
Principal amount
shown is stated in U.S. dollars unless noted that the security is
denominated in another currency.
|
|
†
|
Non income
producing security.
|
|
•
|
Variable rate
security. The rate shown is the rate as of Jan. 31, 2014. Interest rates
reset periodically.
|
|
^
|
Zero coupon
security. The rate shown is the yield at the time of
purchase.
|
|
«
|
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 U.S. 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 Jan. 31,
2014.
|
PIK – Pay-in-kind
8 NQ-DPT-096 [1/14] 3/14
(12246)
Notes
Delaware Pooled
®
Trust — The High-Yield Bond Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust - The High-Yield
Bond Portfolio (Portfolio). This report covers the period of time since the
Portfolio’s 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 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. Debt securities
are valued based upon valuations provided by an independent pricing service or
broker and reviewed by management. To the extent current market prices are not
available, the pricing service may take into account developments related to the
specific security, as well as transactions in comparable securities. 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.
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 Portfolio’s Board of Trustees (Board). In determining whether
market quotations are readily available or fair valuation will be used, various
factors will be taken into consideration, such as market closures or suspension
of trading in a security. The Portfolio 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 Portfolio 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
Portfolio may frequently value foreign securities using fair value prices based
on third-party vendor modeling tools (international fair value
pricing).
Federal Income Taxes
— No provision for federal income taxes
has been made as the Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010–Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
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 Portfolio are
charged directly to the Portfolio. 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. The Portfolio declares and pays distributions from net
investment income and realized gain on investments, if any, annually. Dividends
and distributions, if any, are recorded on the ex-dividend date. The Portfolio
may distribute more frequently, if necessary for tax purposes.
(continues)
NQ-DPT-096 [1/14] 3/14 (12246)
9
(Unaudited)
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
129,406,165
|
|
|
Aggregate unrealized
appreciation
|
$
|
5,295,156
|
|
|
Aggregate
unrealized depreciation
|
|
(553,487
|
)
|
|
Net unrealized
appreciation
|
$
|
4,741,669
|
|
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $1,262,438 may be carried forward
and applied against future capital gains. Capital loss carryforwards will expire
as follows: $1,262,438 expires in 2017.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
10 NQ-DPT-096 [1/14] 3/14
(12246)
(Unaudited)
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Corporate
Debt
|
|
$
|
—
|
|
$
|
107,681,394
|
|
$
|
107,681,394
|
|
Senior Secured Loans
|
|
|
—
|
|
|
14,068,393
|
|
|
14,068,393
|
|
Common
Stock
|
|
|
3,958,904
|
|
|
—
|
|
|
3,958,904
|
|
Convertible Preferred
Stock
1
|
|
|
291,514
|
|
|
1,029,104
|
|
|
1,320,618
|
|
Preferred
Stock
1
|
|
|
886,250
|
|
|
778,275
|
|
|
1,664,525
|
|
Short-Term Investments
|
|
|
—
|
|
|
5,454,000
|
|
|
5,454,000
|
|
Total
|
|
$
|
5,136,668
|
|
$
|
129,011,166
|
|
$
|
134,147,834
|
____________________
|
1
Security type is
valued across multiple levels. The amount attributed to Level 1
investments and Level 2 investments represents the following percentages
of the total market value of this security type for the Portfolio. Level 1
investments represents exchange-traded investments, while Level 2
investments represents matrix-priced
investments.
|
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Convertible
Preferred Stock
|
|
22.07%
|
|
77.93%
|
|
100.00%
|
|
Preferred Stock
|
|
53.24%
|
|
46.76%
|
|
100.00%
|
The securities that have been deemed
worthless in the schedule of investments are considered to be Level 3 securities
in this table.
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the reporting period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. Management has determined not to provide additional disclosure on Level
3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered
significant to the Portfolio’s net assets at the end of the period.
3. Securities
Lending
The Portfolio, 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 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.
Cash collateral received is generally
invested in the Delaware Investments Collateral Fund No. 1 (the “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 Mellon’s 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 Portfolio 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
Portfolio, or at the discretion of the lending agent, replace the loaned
securities. The Portfolio continues to record dividends or interest, as
applicable, on the
(continues)
NQ-DPT-096 [1/14] 3/14 (12246)
11
(Unaudited)
3. Securities Lending
(continued)
securities loaned and is subject to
change in value of the securities loaned that may occur during the term of the
loan. The Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio may incur investment losses as a
result of investing securities lending collateral in the Collective Trust or
another collateral investment pool. This could occur if an investment in a
collateral investment pool defaulted or if it were necessary to liquidate assets
in the collateral investment pool to meet returns on outstanding security loans
at a time when the collateral investment pool’s net asset value per unit was
less than $1.00. Under those circumstances, the Portfolio may not receive an
amount from the collateral investment pool that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities on loan.
4. Credit and Market
Risk
The Portfolio invests in high yield
fixed income securities, which are securities rated lower than BBB- by Standard
& Poor’s and Baa3 by Moody’s 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 Portfolio invests in certain
obligations that may have liquidity protection 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
Portfolio will not pay any additional fees for such credit support, although the
existence of credit support may increase the price of a security.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, no securities have been determined to be
illiquid under the Portfolio’s Liquidity Procedures. Rule 144A securities have
been identified in the schedule of investments.
5. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
12 NQ-DPT-096 [1/14] 3/14
(12246)
Schedule of Investments
Delaware Pooled
®
Trust
— The International Equity Portfolio
January 31, 2014 (Unaudited)
|
|
|
|
Number of
|
|
Value
|
|
|
|
|
Shares
|
|
(U.S. $)
|
|
Common Stock – 99.57%
Δ
|
|
|
|
|
|
|
Australia – 2.19%
|
|
|
|
|
|
|
|
AMP
|
|
1,423,668
|
|
$
|
5,314,946
|
|
|
QBE Insurance Group
|
|
474,429
|
|
|
4,766,839
|
|
|
|
|
|
|
|
10,081,785
|
|
Belgium – 0.00%
|
|
|
|
|
|
|
|
Ageas VVPR Strip
«
=†
|
|
36,617
|
|
|
0
|
|
|
|
|
|
|
|
0
|
|
China – 2.24%
|
|
|
|
|
|
|
|
China Mobile
|
|
638,000
|
|
|
6,088,004
|
|
|
Jardine
Matheson
|
|
|
|
|
|
|
|
Holdings
|
|
78,815
|
|
|
4,222,912
|
|
|
|
|
|
|
|
10,310,916
|
|
France – 13.85%
|
|
|
|
|
|
|
|
Carrefour
|
|
57,931
|
|
|
1,990,869
|
|
|
Cie de Saint-Gobain
|
|
192,175
|
|
|
10,079,271
|
|
|
GDF Suez VVPR
Strip =†
|
|
162,519
|
|
|
0
|
|
|
Orange
|
|
822,232
|
|
|
10,179,738
|
|
|
Sanofi
|
|
139,139
|
|
|
13,603,880
|
|
|
Societe Generale
|
|
86,492
|
|
|
4,887,330
|
|
|
Total
|
|
219,755
|
|
|
12,538,787
|
|
|
Vallourec
|
|
70,791
|
|
|
3,534,684
|
|
|
Vinci
|
|
108,453
|
|
|
7,092,453
|
|
|
|
|
|
|
|
63,907,012
|
|
Germany – 8.39%
|
|
|
|
|
|
|
|
Daimler
|
|
73,419
|
|
|
6,133,070
|
|
|
Deutsche
Telekom
|
|
879,590
|
|
|
14,223,799
|
|
|
GEA Group
|
|
105,119
|
|
|
4,917,743
|
|
|
RWE
|
|
153,120
|
|
|
5,650,520
|
|
|
SAP
|
|
101,959
|
|
|
7,801,717
|
|
|
|
|
|
|
|
38,726,849
|
|
Israel – 3.30%
|
|
|
|
|
|
|
|
Teva
Pharmaceutical
|
|
|
|
|
|
|
|
Industries
ADR
|
|
341,116
|
|
|
15,224,007
|
|
|
|
|
|
|
|
15,224,007
|
|
Italy – 2.45%
|
|
|
|
|
|
|
|
ENI
|
|
497,649
|
|
|
11,302,196
|
|
|
|
|
|
|
|
11,302,196
|
|
Japan – 15.39%
|
|
|
|
|
|
|
|
Astellas
Pharma
|
|
122,400
|
|
|
7,563,719
|
|
|
Canon
|
|
419,800
|
|
|
12,262,120
|
|
|
Hoya
|
|
227,700
|
|
|
6,291,904
|
|
|
Kao
|
|
328,500
|
|
|
10,413,552
|
|
|
Kirin
Holdings
|
|
88,000
|
|
|
1,196,716
|
|
|
NTT DOCOMO
|
|
145,800
|
|
|
2,334,260
|
|
|
Seven & I
Holdings
|
|
220,473
|
|
|
8,690,397
|
|
|
Takeda Pharmaceutical
|
|
216,800
|
|
|
10,076,163
|
|
|
Tokio Marine
Holdings
|
|
254,652
|
|
|
7,435,016
|
|
|
Tokyo Electron
|
|
91,200
|
|
|
4,754,568
|
|
|
|
|
|
|
|
71,018,415
|
|
Netherlands – 6.85%
|
|
|
|
|
|
|
|
Koninklijke
Ahold
|
|
720,980
|
|
|
12,002,255
|
|
|
Reed Elsevier
|
|
400,863
|
|
|
8,268,154
|
|
|
Royal Dutch
Shell Class A
|
|
328,816
|
|
|
11,357,688
|
|
|
|
|
|
|
|
31,628,097
|
|
Singapore – 3.90%
|
|
|
|
|
|
|
|
SembCorp Industries
|
|
1,150,000
|
|
|
4,722,399
|
|
|
Singapore
Telecommunications
|
|
2,624,602
|
|
|
7,242,499
|
|
|
United Overseas Bank
|
|
386,642
|
|
|
6,047,265
|
|
|
|
|
|
|
|
18,012,163
|
|
Spain – 7.46%
|
|
|
|
|
|
|
|
Banco
Santander
|
|
663,760
|
|
|
5,711,089
|
|
|
Iberdrola
|
|
2,524,205
|
|
|
15,544,899
|
|
|
Telefonica
|
|
855,186
|
|
|
13,172,509
|
|
|
|
|
|
|
|
34,428,497
|
|
Switzerland – 10.26%
|
|
|
|
|
|
|
|
ABB †
|
|
460,319
|
|
|
11,450,302
|
|
|
Nestle
|
|
126,154
|
|
|
9,143,056
|
|
|
Novartis
|
|
179,863
|
|
|
14,217,309
|
|
|
Zurich Insurance
Group †
|
|
43,150
|
|
|
12,511,637
|
|
|
|
|
|
|
|
47,322,304
|
|
Taiwan – 0.82%
|
|
|
|
|
|
|
|
Taiwan Semiconductor
|
|
|
|
|
|
|
|
Manufacturing
ADR
|
|
224,332
|
|
|
3,795,697
|
|
|
|
|
|
|
|
3,795,697
|
|
United Kingdom – 22.47%
|
|
|
|
|
|
|
|
AMEC
|
|
341,755
|
|
|
5,777,608
|
|
|
BG Group
|
|
534,577
|
|
|
8,985,960
|
|
|
BP
|
|
1,268,231
|
|
|
9,940,113
|
|
|
Compass Group
|
|
669,588
|
|
|
10,008,146
|
|
|
G4S
|
|
1,634,542
|
|
|
6,398,486
|
|
|
GlaxoSmithKline
|
|
508,816
|
|
|
13,079,896
|
|
|
National
Grid
|
|
941,480
|
|
|
12,188,194
|
|
|
Tesco
|
|
2,466,157
|
|
|
12,960,750
|
|
|
Unilever
|
|
347,056
|
|
|
13,321,229
|
(continues)
NQ-DPT-031 [1/14] 3/14 (12237) 1
Schedule of
Investments
Delaware Pooled
®
Trust — The International Equity Portfolio
|
|
|
Number of
|
|
Value
|
|
|
|
|
Shares
|
|
(U.S. $)
|
|
|
Common Stock
Δ
(continued)
|
|
|
|
|
|
|
United Kingdom (continued)
|
|
|
|
|
|
|
|
Vodafone
Group
|
2,977,867
|
|
$
|
11,036,154
|
|
|
|
|
|
|
|
103,696,536
|
|
|
Total Common Stock
|
|
|
|
|
|
|
|
(cost $393,574,692)
|
|
|
|
459,454,474
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
amount°
|
|
|
|
|
|
Short-Term Investments – 0.85%
|
|
|
|
|
|
Repurchase Agreements – 0.69%
|
|
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
|
0.01%,
dated 1/31/14,
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
$799,239
(collateralized
|
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
|
market
value $815,223)
|
799,238
|
|
|
799,238
|
|
|
|
Bank of Montreal
|
|
|
|
|
|
|
|
0.02%,
dated 1/31/14,
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
$133,207
(collateralized
|
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
0.25%-2.75%
4/30/14-
|
|
|
|
|
|
|
|
11/15/23;
market value
|
|
|
|
|
|
|
|
$135,871)
|
133,206
|
|
|
133,206
|
|
|
|
BNP
Paribas
|
|
|
|
|
|
|
|
0.02%,
dated 1/31/14,
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
$2,239,559
|
|
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
|
market
value
|
|
|
|
|
|
|
|
$2,284,347)
|
2,239,556
|
|
|
2,239,556
|
|
|
|
|
|
|
|
3,172,000
|
|
|
U.S. Treasury Obligation – 0.16%
≠
|
|
|
|
|
|
|
|
U.S. Treasury Bill
0.065%
|
|
|
|
|
|
|
|
4/24/14
|
744,987
|
|
|
744,944
|
|
|
|
|
|
|
|
744,944
|
|
|
Total Short-Term Investments
(cost
|
|
|
|
|
|
|
|
$3,916,877)
|
|
|
|
3,916,944
|
|
|
|
|
|
|
Total Value of
|
|
|
|
|
|
|
|
Securities – 100.42%
|
|
|
|
|
|
|
|
(cost
$397,491,569)
|
|
|
|
463,371,418
|
|
|
|
|
|
|
Liabilities Net of Receivables and
Other
|
|
|
|
|
|
|
Assets – (0.42%)
|
|
|
|
(1,933,551
|
)
|
|
Net Assets – 100.00%
|
|
|
$
|
461,437,867
|
|
____________________
|
«
|
Dividend coupon which when
presented with the corresponding coupon of the share benefits from a
reduced withholding tax of 15% (rather than 25%) on dividends
paid.
|
|
=
|
Security is being fair valued
in accordance with the Portfolio’s fair valuation policy. At Jan. 31, 2013,
the aggregate value of fair valued securities was $0,which represents
0.00% of the Portfolio’s net assets. See Note 1 in
“Notes.”
|
|
≠
|
The rate shown is the effective
yield at the time of purchase.
|
|
°
|
Principal amount shown is
stated in U.S. dollars unless noted that the security is denominated in
another currency.
|
|
†
|
Non income producing
security.
|
|
Δ
|
Securities have been classified
by country of origin.
|
2 NQ-DPT-031 [1/14] 3/14
(12237)
The following foreign currency
exchange contracts were outstanding at Jan. 31, 2014:
1
Foreign Currency Exchange
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Contracts to
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
Counterparty
|
|
|
Receive (Deliver)
|
|
In Exchange For
|
|
Settlement Date
|
|
(Depreciation)
|
|
BNYM
|
|
AUD
|
|
(10,649,000
|
)
|
|
USD
|
|
9,270,593
|
|
|
4/30/14
|
|
|
$
|
4,957
|
|
|
BNYM
|
|
CHF
|
|
1,096,179
|
|
|
USD
|
|
(1,217,706
|
)
|
|
2/3/14
|
|
|
|
(8,569
|
)
|
|
BNYM
|
|
CHF
|
|
253,646
|
|
|
USD
|
|
(280,458
|
)
|
|
2/4/14
|
|
|
|
(672
|
)
|
|
BNYM
|
|
EUR
|
|
162,697
|
|
|
USD
|
|
(220,016
|
)
|
|
2/4/14
|
|
|
|
(561
|
)
|
|
BNYM
|
|
GBP
|
|
129,846
|
|
|
USD
|
|
(213,779
|
)
|
|
2/4/14
|
|
|
|
(311
|
)
|
|
BNYM
|
|
SGD
|
|
271,343
|
|
|
USD
|
|
(212,901
|
)
|
|
2/3/14
|
|
|
|
(325
|
)
|
|
BNYM
|
|
SGD
|
|
285,454
|
|
|
USD
|
|
(223,745
|
)
|
|
2/4/14
|
|
|
|
(114
|
)
|
|
BNYM
|
|
SGD
|
|
182,956
|
|
|
USD
|
|
(143,371
|
)
|
|
2/5/14
|
|
|
|
(40
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(5,635
|
)
|
The use of foreign currency exchange
contracts involves elements of market risk and risks in excess of the amounts
disclosed in the financial statements. The foreign currency exchange contracts
presented above represent the Portfolio’s total exposure in such contracts,
whereas only the net unrealized appreciation (depreciation) is reflected in the
Portfolio’s net assets.
1
See Note 3 in
“Notes.”
Summary of
abbreviations:
ADR – American
Depositary Receipt
AUD – Australian Dollar
BNYM – BNY Mellon
CHF –
Swiss Franc
EUR – European Monetary Unit
GBP – British Pound
Sterling
SGD – Singapore Dollar
USD – United States Dollar
VVPR Strip –
Dividend Coupon
(continues)
NQ-DPT-031 [1/14] 3/14 (12237) 3
Notes
Delaware Pooled
®
Trust — The International Equity Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust - The
International Equity Portfolio (Portfolio). This report covers the period of
time since the Portfolio’s 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. U.S. government and agency securities are valued at the
mean between the bid and ask prices, which approximates fair value. 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. 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
Portfolio’s Board of Trustees (Board). In determining whether market quotations
are readily available or fair valuation will be used, various factors will be
taken into consideration, such as market closures or suspension of trading in a
security. The Portfolio 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 Portfolio 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 Portfolio 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 Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (October 31, 2010 – October 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements. In regard to foreign taxes only, the Portfolio
has open tax years in certain foreign countries it invests in that may date back
to the inception date of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
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 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 Portfolio generally does not
bifurcate that portion of realized gains and losses on investments which is due
to changes in foreign exchange rates from that which is due to changes in market
prices. The changes are included with the net realized and unrealized gain or
loss on investments. The Portfolio reports certain foreign currency related
transactions as components of realized gains (losses) for financial reporting
purposes, whereas such components are treated as ordinary income (loss) for
federal income tax purposes.
Use of Estimates
— The preparation of financial statements in conformity
with 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.
4 NQ-DPT-031 [1/14] 3/14
(12237)
(Unaudited)
Other
— Expenses directly attributable to the Portfolio are
charged directly to the Portfolio. 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. Foreign dividends are also recorded on the ex-dividend date or as
soon after the ex-dividend date that the Portfolio is aware of such dividends,
net of all tax withholdings, a portion of which maybe reclaimable. Withholding
taxes and reclaims on foreign dividends have been recorded in accordance with
the Portfolio’s understanding of the applicable country’s tax rules and rates.
The Portfolio declares and pays distributions from net investment income and
distributions from net realized gain on investments, if any, annually. The
Portfolio may distribute more frequently, if necessary for tax purposes.
Dividends and distributions, if any, are recorded on the ex-dividend
date.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
403,018,743
|
|
|
Aggregate unrealized
appreciation
|
$
|
91,697,615
|
|
|
Aggregate
unrealized depreciation
|
|
(31,344,940
|
)
|
|
Net unrealized
appreciation
|
$
|
60,352,675
|
|
For federal income tax purposes, at
October 31, 2013, capital loss carryforwards of $178,010,832 may be carried
forward and applied against future capital gains. Capital loss carryforwards
will expire as follows: $156,031,998 expires in 2017 and $13,859,481 expires in
2018.
On December 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation. At October 31, 2013, short-term losses of $3,201 and
long-term losses of $8,166,152 will be carried forward under the Act.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’s own assumptions used to
determine the fair value of investments) (e.g., broker-quoted securities,
fair valued securities)
|
(continues)
NQ-DPT-031 [1/14] 3/14 (12237) 5
(Unaudited)
2. Investments
(continued)
Level 3 investments are valued using
significant unobservable inputs. The Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
|
Common
Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia
|
|
$
|
—
|
|
$
|
10,081,785
|
|
|
$
|
10,081,785
|
|
|
Belgium
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
China
|
|
|
—
|
|
|
10,310,916
|
|
|
|
10,310,916
|
|
|
France
|
|
|
—
|
|
|
63,907,012
|
|
|
|
63,907,012
|
|
|
Germany
|
|
|
—
|
|
|
38,726,849
|
|
|
|
38,726,849
|
|
|
Israel
|
|
|
15,224,007
|
|
|
—
|
|
|
|
15,224,007
|
|
|
Italy
|
|
|
—
|
|
|
11,302,196
|
|
|
|
11,302,196
|
|
|
Japan
|
|
|
—
|
|
|
71,018,415
|
|
|
|
71,018,415
|
|
|
Netherlands
|
|
|
—
|
|
|
31,628,097
|
|
|
|
31,628,097
|
|
|
Singapore
|
|
|
—
|
|
|
18,012,163
|
|
|
|
18,012,163
|
|
|
Spain
|
|
|
—
|
|
|
34,428,497
|
|
|
|
34,428,497
|
|
|
Switzerland
|
|
|
—
|
|
|
47,322,304
|
|
|
|
47,322,304
|
|
|
Taiwan
|
|
|
3,795,697
|
|
|
—
|
|
|
|
3,795,697
|
|
|
United
Kingdom
|
|
|
—
|
|
|
103,696,536
|
|
|
|
103,696,536
|
|
|
Short-Term Investments
|
|
|
—
|
|
|
3,916,944
|
|
|
|
3,916,944
|
|
|
Total
|
|
$
|
19,019,704
|
|
$
|
444,351,714
|
|
|
$
|
463,371,418
|
|
|
Foreign Currency
Exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
$
|
—
|
|
$
|
(5,635
|
)
|
|
$
|
(5,635
|
)
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. This does
not include transfers between Level 1 investments and Level 2 investments due to
the Portfolio utilizing international fair value pricing during the year. In
accordance with the Fair Valuation Procedures described in Note 1, international
fair value pricing of securities in the Portfolio occurs when market volatility
exceeds an established rolling threshold. If the threshold is exceeded on a
given date, then prices of international securities (those that traded on
exchanges that close at a different time than the time that the Portfolio’s Net
Asset Value is determined) will be established using a separate pricing feed
from a third party vendor designed to establish a price for each such security
as of the time that the Portfolio’s Net Asset Value is determined. Further,
international fair value pricing uses other observable market-based inputs in
place of the closing exchange price due to the events occurring after the close
of the exchange or market on which the investment is principally traded,
causing a change in classification between levels. The Portfolio’s 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. At Jan. 31, 2014, there were no Level 3 investments.
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.
6 NQ-DPT-031 [1/14] 3/14
(12237)
(Unaudited)
Foreign Currency Exchange
Contracts
— The Portfolio may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Portfolio 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 Portfolio 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 Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their contracts.
The Portfolio’s maximum risk of loss from counterparty credit risk is the value
of its currency exchanged with the counterparty. The risk is generally mitigated
by having a netting arrangement between the Portfolio and the counterparty and
by the posting of collateral by the counterparty to the Portfolio to cover the
Portfolio exposure to the counterparty.
4. Securities
Lending
The Portfolio, 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio continues to record
dividends or interest, as applicable, on the securities loaned and is subject to
change in value of the securities loaned that may occur during the term of the
loan. The Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio records
security lending income net of allocations to the security lending agent and the
borrower.
(continues)
NQ-DPT-031 [1/14] 3/14 (12237) 7
(Unaudited)
4. Securities Lending
(continued)
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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those circumstances, the Portfolio 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 Portfolio would be required to make up this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
5. Credit and Market
Risk
Some countries in which the Portfolio
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 United States. Consequently, acquisition and
disposition of securities by the Portfolio may be inhibited. In addition, a
significant portion of the aggregate market value of equity securities listed on
the major securities exchanges in emerging markets is held by a smaller number
of investors. This may limit the number of shares available for acquisition or
disposition by the Portfolio.
The Portfolio may invest up to 10% 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 10% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities have been determined to be illiquid under the Portfolio’s Liquidity
Procedures.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
8 NQ-DPT-031 [1/14] 3/14
(12237)
Schedule of investments
Delaware Pooled
®
Trust
— The Labor Select International Equity Portfolio
January 31, 2014 (Unaudited)
|
|
|
|
Number of
|
|
Value
|
|
|
|
|
shares
|
|
(U.S. $)
|
|
Common Stock –
99.29%
Δ
|
|
|
|
|
|
|
Australia
–
2.20%
|
|
|
|
|
|
|
|
AMP
|
|
1,510,768
|
|
$
|
5,640,114
|
|
|
QBE Insurance
Group
|
|
516,556
|
|
|
5,190,111
|
|
|
|
|
|
|
|
10,830,225
|
|
Belgium
–
0.00%
|
|
|
|
|
|
|
|
Ageas VVPR Strip
«
=†
|
|
15,275
|
|
|
0
|
|
|
|
|
|
|
|
0
|
|
France
–
15.46%
|
|
|
|
|
|
|
|
Carrefour
|
|
66,918
|
|
|
2,299,719
|
|
|
Cie de Saint-Gobain
|
|
207,966
|
|
|
10,907,484
|
|
|
GDF
Suez
|
|
529,138
|
|
|
11,681,219
|
|
|
GDF Suez VVPR Strip =†
|
|
101,871
|
|
|
0
|
|
|
Orange
|
|
987,430
|
|
|
12,224,991
|
|
|
Sanofi
|
|
147,670
|
|
|
14,437,971
|
|
|
Societe
Generale
|
|
84,726
|
|
|
4,787,540
|
|
|
Total
|
|
143,572
|
|
|
8,191,936
|
|
|
Vallourec
|
|
76,023
|
|
|
3,795,924
|
|
|
Vinci
|
|
117,299
|
|
|
7,670,951
|
|
|
|
|
|
|
|
75,997,735
|
|
Germany
–
7.60%
|
|
|
|
|
|
|
|
Daimler
|
|
71,140
|
|
|
5,942,693
|
|
|
GEA Group
|
|
109,166
|
|
|
5,107,072
|
|
|
RWE
|
|
166,569
|
|
|
6,146,823
|
|
|
SAP
|
|
105,019
|
|
|
8,035,863
|
|
|
Telefonica
Deutschland
|
|
|
|
|
|
|
|
Holding
|
|
1,521,595
|
|
|
12,123,645
|
|
|
|
|
|
|
|
37,356,096
|
|
Israel
–
3.27%
|
|
|
|
|
|
|
|
Teva Pharmaceutical
|
|
|
|
|
|
|
|
Industries ADR
|
|
360,400
|
|
|
16,084,652
|
|
|
|
|
|
|
|
16,084,652
|
|
Japan
–
16.15%
|
|
|
|
|
|
|
|
Astellas Pharma
|
|
104,000
|
|
|
6,426,689
|
|
|
Canon
|
|
473,600
|
|
|
13,833,587
|
|
|
Hoya
|
|
250,900
|
|
|
6,932,977
|
|
|
Kao
|
|
365,200
|
|
|
11,576,954
|
|
|
Kirin Holdings
|
|
85,000
|
|
|
1,155,919
|
|
|
NTT DOCOMO
|
|
153,500
|
|
|
2,457,537
|
|
|
Seven & I Holdings
|
|
286,200
|
|
|
11,281,162
|
|
|
Takeda Pharmaceutical
|
|
234,800
|
|
|
10,912,744
|
|
|
Tokio Marine Holdings
|
|
309,900
|
|
|
9,048,080
|
|
|
Tokyo Electron
|
|
110,600
|
|
|
5,765,957
|
|
|
|
|
|
|
|
79,391,606
|
|
Netherlands – 7.68%
|
|
|
|
|
|
|
|
Koninklijke Ahold
|
|
771,027
|
|
|
12,835,394
|
|
|
Reed Elsevier
|
|
448,786
|
|
|
9,256,609
|
|
|
Royal Dutch Shell Class A
|
|
452,445
|
|
|
15,627,977
|
|
|
|
|
|
|
|
37,719,980
|
|
Singapore – 4.74%
|
|
|
|
|
|
|
|
SembCorp Industries
|
|
1,361,000
|
|
|
5,588,857
|
|
|
Singapore Telecommuni-
cations
|
|
3,646,000
|
|
|
10,061,012
|
|
|
United Overseas Bank
|
|
488,705
|
|
|
7,643,579
|
|
|
|
|
|
|
|
23,293,448
|
|
Spain
–
7.57%
|
|
|
|
|
|
|
|
Banco Santander
|
|
780,800
|
|
|
6,718,118
|
|
|
Iberdrola
|
|
2,663,694
|
|
|
16,403,917
|
|
|
Telefonica
|
|
915,536
|
|
|
14,102,086
|
|
|
|
|
|
|
|
37,224,121
|
|
Switzerland
–
10.41%
|
|
|
|
|
|
|
|
ABB †
|
|
488,953
|
|
|
12,162,564
|
|
|
Nestle
|
|
136,184
|
|
|
9,869,984
|
|
|
Novartis
|
|
193,498
|
|
|
15,295,090
|
|
|
Zurich Insurance Group †
|
|
47,724
|
|
|
13,837,899
|
|
|
|
|
|
|
|
51,165,537
|
|
United Kingdom
–
24.21%
|
|
|
|
|
|
|
|
AMEC
|
|
393,984
|
|
|
6,660,575
|
|
|
BG Group
|
|
577,195
|
|
|
9,702,346
|
|
|
BP
|
|
1,861,098
|
|
|
14,586,873
|
|
|
Compass Group
|
|
615,909
|
|
|
9,205,821
|
|
|
G4S
|
|
1,747,896
|
|
|
6,842,216
|
|
|
GlaxoSmithKline
|
|
546,006
|
|
|
14,035,922
|
|
|
National Grid
|
|
1,108,899
|
|
|
14,355,563
|
|
|
Sainsbury (J.)
|
|
2,223,122
|
|
|
12,591,486
|
|
|
Tesco
|
|
454,119
|
|
|
2,386,597
|
|
|
Unilever
|
|
387,580
|
|
|
14,876,683
|
|
|
Vodafone Group
|
|
3,713,877
|
|
|
13,763,852
|
|
|
|
|
|
|
|
119,007,934
|
|
Total Common Stock
|
|
|
|
|
|
|
|
(cost $441,219,387)
|
|
|
|
|
488,071,334
|
(continues)
NQ-DPT-094 [1/14] 3/14 (12243) 1
Schedule of
investments
Delaware
Pooled
®
Trust — The Labor Select International Equity
Portfolio
|
|
|
|
Principal
|
|
Value
|
|
|
|
|
amount°
|
|
(U.S. $)
|
|
Short-Term Investments – 1.46%
|
|
|
|
|
|
|
|
Repurchase Agreements
–
1.46%
|
|
|
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
|
$1,809,878
|
|
|
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
|
|
5/8/14-11/30/23;
|
|
|
|
|
|
|
|
|
market
value
|
|
|
|
|
|
|
|
|
$1,846,074)
|
|
1,809,876
|
|
$
|
1,809,876
|
|
|
|
Bank of Montreal
|
|
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
|
$301,647
(collateralized
|
|
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
|
|
0.25%-2.75%
4/30/14-
|
|
|
|
|
|
|
|
|
11/15/23;
market value
|
|
|
|
|
|
|
|
|
$307,679)
|
|
301,646
|
|
|
301,646
|
|
|
|
BNP
Paribas
|
|
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
|
|
$5,071,486
|
|
|
|
|
|
|
|
|
(collateralized
by U.S.
|
|
|
|
|
|
|
|
|
government
obligations
|
|
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
|
|
market
value
|
|
|
|
|
|
|
|
|
$5,172,908)
|
|
5,071,478
|
|
|
5,071,478
|
|
|
|
|
|
Total Short-Term Investments
(cost
|
|
|
|
|
|
|
$7,183,000)
|
|
|
|
|
7,183,000
|
|
|
Total Value of
|
|
|
|
|
|
|
|
|
Securities – 100.75%
|
|
|
|
|
|
|
|
|
(cost
$448,402,387)
|
|
|
|
|
495,254,334
|
|
|
Liabilities Net of Receivables and
Other
|
|
|
|
|
|
|
Assets – (0.75%)
|
|
|
|
|
(3,675,604
|
)
|
|
Net Assets – 100.00%
|
|
|
|
$
|
491,578,730
|
|
____________________
|
«
|
Dividend coupon
which when presented with the corresponding coupon of the share benefits
from a reduced withholding tax of 15% (rather than 25%) on dividends
paid.
|
|
=
|
Security is
being fair valued in accordance with the Portfolio’s fair valuation
policy.At Jan. 31, 2014, the aggregate value of fair valued securities was
$0,which represents 0.00% of the Portfolio’s net assets. See Note 1 in
“Notes.”
|
|
°
|
Principal amount
shown is stated in U.S. dollars unless noted that the security is
denominated in another currency.
|
|
†
|
Non income
producing security.
|
|
Δ
|
Securities have
been classified by country of origin.
|
The following foreign currency
exchange contracts were outstanding at Jan. 31, 2014:
1
Foreign Currency Exchange
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Contracts
to
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
Counterparty
|
|
Receive (Deliver)
|
|
In Exchange For
|
|
Settlement Date
|
|
(Depreciation)
|
|
BNYM
|
|
AUD
|
(11,433,000
|
)
|
|
USD
|
9,953,112
|
|
|
|
4/30/14
|
|
|
$
|
5,322
|
|
|
BNYM
|
|
CHF
|
1,446,134
|
|
|
USD
|
(1,606,459
|
)
|
|
|
2/3/14
|
|
|
|
(11,305
|
)
|
|
BNYM
|
|
CHF
|
715,218
|
|
|
USD
|
(790,821
|
)
|
|
|
2/4/14
|
|
|
|
(1,895
|
)
|
|
BNYM
|
|
GBP
|
(1,053,045
|
)
|
|
USD
|
1,733,102
|
|
|
|
2/4/14
|
|
|
|
1,891
|
|
|
BNYM
|
|
JPY
|
24,196,628
|
|
|
USD
|
(236,923
|
)
|
|
|
2/3/14
|
|
|
|
(105
|
)
|
|
BNYM
|
|
SGD
|
126,868
|
|
|
USD
|
(99,442
|
)
|
|
|
2/4/14
|
|
|
|
(51
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(6,143
|
)
|
The use of foreign currency exchange
contracts involves elements of market risk and risks in excess of the amount
disclosed in the financial statements. The foreign currency exchange contracts
presented above represent the Portfolio’s total exposure in such contracts,
whereas only the net unrealized appreciation (depreciation) is reflected in the
Portfolio’s net assets.
1
See Note 3 in
“Notes.”
Summary of
abbreviations:
ADR
–
American Depositary Receipt
AUD
–
Australian Dollar
BNYM
–
BNY
Mellon
CHF
–
Swiss Franc
GBP
–
British Pound Sterling
JPY
–
Japanese Yen
SGD
–
Singapore Dollar
USD
–
United States
Dollar
VVPR Strip
–
Dividend Coupon
2 NQ-DPT-094 [1/14] 3/14
(12243)
Notes
Delaware Pooled
®
Trust
— The Labor Select International Equity Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust – The Labor
Select International Equity Portfolio (Portfolio). This report covers the period
of time since the Portfolio’s 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 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. U.S. government and agency securities are valued at the
mean between the bid and ask prices, which approximates fair value. 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. 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
Portfolio’s Board of Trustees (Board). In determining whether market quotations
are readily available or fair valuation will be used, various factors will be
taken into consideration, such as market closures or suspension of trading in a
security. The Portfolio 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 Portfolio 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 Portfolio 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 Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010–Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements. In regard to foreign taxes only, the Portfolio
has open tax years in certain foreign countries it invests in that may date back
to the inception date of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
Foreign Currency Transactions
— Transactions denominated in foreign
currencies are recorded at the prevailing exchange rates on the valuation date
in accordance with the Portfolio’s 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 Portfolio generally does not
bifurcate that portion of realized gains and losses on investments which is due
to changes in foreign exchange rates from that which is due to changes in market
prices. The changes are included with the net realized and unrealized gain or
loss on investments. The Portfolio reports certain foreign currency related
transactions as components of realized gains (losses) for financial reporting
purposes, whereas such components are treated as ordinary income (loss) for
federal income tax purposes.
Use of Estimates
— The preparation of financial statements in conformity
with 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.
(continues)
N
Q-DPT-094
[1/14] 3/14 (12243) 3
(Unaudited)
1. Significant Accounting Policies
(continued)
Other
— Expenses directly attributable to the Portfolio are
charged directly to the Portfolio. 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. Foreign dividends are also recorded on the ex-dividend date or as
soon after the ex-dividend date that the Portfolio is aware of such dividends,
net of all tax withholdings, a portion of which may be reclaimable. Withholding
taxes and reclaims on foreign dividends have been recorded in accordance with
the Portfolio’s understanding of the applicable country’s tax rules and rates.
The Portfolio declares and pays distributions from net investment income and net
realized gain on investments, if any, annually. Dividends and distributions, if
any, are recorded on the ex-dividend date. The Portfolio may distribute more
frequently, if necessary for tax purposes.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
|
$
|
451,296,709
|
|
|
Aggregate unrealized
appreciation
|
|
$
|
88,860,263
|
|
|
Aggregate
unrealized depreciation
|
|
|
(44,902,638
|
)
|
|
Net unrealized
appreciation
|
|
$
|
43,957,625
|
|
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $90,062,151 may be carried forward
and applied against future capital gains. Such capital loss carryforwards will
expire as follows: $71,586,349 expires in 2017 and $18,475,802 expires in
2018.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation. At Oct. 31, 2013, long-term losses of $7,908,885 carried
forward under the Act.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’s own assumptions used to
determine the fair value of investments) (e.g., broker-quoted securities,
fair valued securities)
|
4 NQ-DPT-094 [1/14] 3/14
(12243)
(Unaudited)
Level 3 investments are valued using
significant unobservable inputs. The Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common
Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia
|
|
$
|
—
|
|
$
|
10,830,225
|
|
|
$
|
10,830,225
|
|
|
Belgium
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
France
|
|
|
—
|
|
|
75,997,735
|
|
|
|
75,997,735
|
|
|
Germany
|
|
|
—
|
|
|
37,356,096
|
|
|
|
37,356,096
|
|
|
Israel
|
|
|
16,084,652
|
|
|
—
|
|
|
|
16,084,652
|
|
|
Japan
|
|
|
—
|
|
|
79,391,606
|
|
|
|
79,391,606
|
|
|
Netherlands
|
|
|
—
|
|
|
37,719,980
|
|
|
|
37,719,980
|
|
|
Singapore
|
|
|
—
|
|
|
23,293,448
|
|
|
|
23,293,448
|
|
|
Spain
|
|
|
—
|
|
|
37,224,121
|
|
|
|
37,224,121
|
|
|
Switzerland
|
|
|
—
|
|
|
51,165,537
|
|
|
|
51,165,537
|
|
|
United Kingdom
|
|
|
—
|
|
|
119,007,934
|
|
|
|
119,007,934
|
|
|
Short-Term
Investments
|
|
|
—
|
|
|
7,183,000
|
|
|
|
7,183,000
|
|
|
Total
|
|
$
|
16,084,652
|
|
$
|
479,169,682
|
|
|
$
|
495,254,334
|
|
|
Foreign Currency
Exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
$
|
—
|
|
$
|
(6,143
|
)
|
|
$
|
(6,143
|
)
|
The securities that have been deemed
worthless on the schedule of investments are considered to be Level 3 securities
in this table.
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio.This does
not include transfers between Level 1 investments and Level 2 investments due to
the Portfolio utilizing international fair value pricing during the year. In
accordance with the Fair Valuation Procedures described in Note 1, International
Fair Value pricing of securities in the Portfolio occurs when market volatility
exceeds an established rolling threshold. If the threshold is exceeded on a
given date, then prices of international securities (those that traded on
exchanges that close at a different time than the time that the Portfolio’s Net
Asset Value is determined) will be established using a separate pricing feed
from a third party vendor designed to establish a price for each such security
as of the time that the Portfolio’s Net Asset Value is determined. Further,
International Fair Value pricing uses other observable market-based inputs in
place of the closing exchange price due to the events occurring after the close
of the exchange or market on which the investment is principally traded,
causing a change in classification between levels. The Portfolio’s policy is to
recognize transfers between levels at the beginning of the reporting
period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. Management has determined not to provide additional disclosure on Level
3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered
significant to the Portfolio’s net assets at the end of the period.
(continues)
N
Q-DPT-094 [1/14] 3/14 (12243) 5
(Unaudited)
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 Portfolio may enter into
foreign currency exchange contracts and foreign cross currency exchange
contracts as a way of managing foreign exchange rate risk. The Portfolio 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 Portfolio 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 Portfolio could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of their contracts.
The Portfolio’s maximum risk of loss from counterparty credit risk is the value
of its currency exchanged with the counterparty. The risk is generally mitigated
by having a netting arrangement between the Portfolio and the counterparty and
by the posting of collateral by the counterparty to the Portfolio to cover the
Portfolio’s exposure to the counterparty.
4. Securities
Lending
The Portfolio, 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio or, at the discretion of the lending
agent, replace the loaned securities. The Portfolio continues to record
dividends or interest, as applicable, on the securities loaned and is subject to
change in value of the securities loaned that may occur during the term of the
loan. The Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio records
security lending income net of allocations to the security lending agent and the
borrower.
6 NQ-DPT-094 [1/14] 3/14
(12243)
(Unaudited)
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 Portfolio may incur investment losses as a
result of investing securities lending collateral in the Collective Trust or
another collateral investment pool. This could occur if an investment in a
collateral investment pool defaulted or if it were necessary to liquidate assets
in the collateral investment pool to meet returns on outstanding security loans
at a time when the collateral investment pool’s net asset value per unit was
less than $1.00. Under those circumstances, the Portfolio may not receive an
amount from the collateral investment pool that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
5. Credit and Market
Risk
Some countries in which the Portfolio
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 United States. Consequently, acquisition and
disposition of securities by the Portfolio may be inhibited. In addition, a
significant portion of the aggregate market value of equity securities listed on
the major securities exchanges in emerging markets is held by a smaller number
of investors. This may limit the number of shares available for acquisition or
disposition by the Portfolio.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities have been determined to be illiquid under the Portfolio’s Liquidity
Procedures.
6. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
(continues)
N
Q-DPT-094 [1/14] 3/14 (12243) 7
Schedule
of investments
Delaware Pooled
®
Trust — The Large-Cap Growth Equity Portfolio
January 31, 2014 (Unaudited)
|
|
|
Number of
|
|
Value
|
|
|
|
Shares
|
|
(U.S.
$)
|
|
Common Stock – 98.09%
²
|
|
|
|
|
|
Consumer Discretionary –
18.35%
|
|
|
|
|
|
|
eBay †
|
143,825
|
|
$
|
7,651,490
|
|
|
L Brands
|
145,375
|
|
|
7,611,835
|
|
|
Liberty Interactive Class A †
|
401,625
|
|
|
10,727,404
|
|
|
NIKE Class B
|
77,850
|
|
|
5,671,372
|
|
|
priceline.com †
|
9,415
|
|
|
10,779,139
|
|
|
Sally Beauty Holdings †
|
142,575
|
|
|
4,046,278
|
|
|
|
|
|
|
46,487,518
|
|
Consumer Staples –
4.24%
|
|
|
|
|
|
|
Walgreen
|
187,250
|
|
|
10,738,788
|
|
|
|
|
|
|
10,738,788
|
|
Energy – 8.58%
|
|
|
|
|
|
|
EOG Resources
|
73,925
|
|
|
12,215,367
|
|
|
Kinder Morgan
|
279,746
|
|
|
9,514,161
|
|
|
|
|
|
|
21,729,528
|
|
Financial Services –
19.38%
|
|
|
|
|
|
|
CME Group
|
72,775
|
|
|
5,440,659
|
|
|
IntercontinentalExchange
|
|
|
|
|
|
|
Group
|
38,550
|
|
|
8,048,855
|
|
|
MasterCard Class A
|
187,900
|
|
|
14,220,272
|
|
|
Progressive
|
266,075
|
|
|
6,183,583
|
|
|
Visa Class A
|
70,575
|
|
|
15,203,974
|
|
|
|
|
|
|
49,097,343
|
|
Healthcare –
13.46%
|
|
|
|
|
|
|
Allergan
|
86,175
|
|
|
9,875,655
|
|
|
Celgene †
|
78,150
|
|
|
11,873,330
|
|
|
Novo Nordisk ADR
|
172,500
|
|
|
6,843,075
|
|
|
Perrigo
|
35,325
|
|
|
5,498,690
|
|
|
|
|
|
|
34,090,750
|
|
Materials & Processing –
1.74%
|
|
|
|
|
|
|
Syngenta ADR
|
62,150
|
|
|
4,402,084
|
|
|
|
|
|
|
4,402,084
|
|
Technology –
32.34%
|
|
|
|
|
|
|
Adobe Systems †
|
171,300
|
|
|
10,139,247
|
|
|
Apple
|
9,460
|
|
|
4,735,676
|
|
|
Crown Castle
|
|
|
|
|
|
|
International †
|
164,275
|
|
|
11,656,954
|
|
|
Google Class A †
|
11,065
|
|
|
13,067,433
|
|
|
Intuit
|
106,675
|
|
|
7,813,944
|
|
|
Microsoft
|
262,450
|
|
|
9,933,732
|
|
|
QUALCOMM
|
162,550
|
|
|
12,064,461
|
|
|
Teradata †
|
101,100
|
|
|
4,157,232
|
|
|
VeriFone Systems †
|
80,050
|
|
|
2,322,250
|
|
|
VeriSign †
|
102,950
|
|
|
6,048,312
|
|
|
|
|
|
|
81,939,241
|
|
|
|
|
Total Common Stock
(cost $180,395,847)
|
|
|
248,485,252
|
|
|
|
|
Warrant – 0.08%
|
|
|
|
|
|
|
Kinder Morgan CW17
|
|
|
|
|
|
|
exercise price
$40.00,
|
|
|
|
|
|
|
expiration date
|
|
|
|
|
|
|
5/25/17 †
|
73,532
|
|
|
216,919
|
|
Total Warrant
(cost
$147,730)
|
|
|
|
216,919
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
amount°
|
|
|
|
|
Short-Term Investments – 1.65%
|
|
|
|
|
Repurchase Agreements –
1.39%
|
|
|
|
|
|
|
Bank of America Merrill
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
|
to be
repurchased on
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
$890,451
(collateralized
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
5/8/14-11/15/23;
|
|
|
|
|
|
|
market value
$908,259)
|
890,450
|
|
|
890,450
|
|
|
Bank of Montreal
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
$148,409
(collateralized
|
|
|
|
|
|
|
by U.S. government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.75% 4/30/14-
|
|
|
|
|
|
|
11/15/23; market
value
|
|
|
|
|
|
|
$151,377)
|
148,408
|
|
|
148,408
|
(continues)
NQ-DPT-192 [1/14] 3/14 (12240) 1
Schedule of
investments
Delaware
Pooled
®
Trust — The Large-Cap Growth Equity
Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S.
$)
|
|
Short-Term Investments
(continued)
|
|
|
|
|
Repurchase Agreements (continued)
|
|
|
|
|
|
|
BNP
Paribas
|
|
|
|
|
|
|
0.02%, dated 1/31/14,
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
|
$2,495,146
|
|
|
|
|
|
|
(collateralized by U.S.
|
|
|
|
|
|
|
government obligations
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
market value
|
|
|
|
|
|
|
$2,545,045)
|
|
2,495,142
|
|
$
|
2,495,142
|
|
|
|
|
|
|
3,534,000
|
|
U.S. Treasury Obligations – 0.26%≠
|
|
|
|
|
|
|
U.S. Treasury Bills
|
|
|
|
|
|
|
0.051% 4/24/14
|
|
419,125
|
|
|
419,100
|
|
0.093% 11/13/14
|
|
230,712
|
|
|
230,583
|
|
|
|
|
|
|
649,683
|
|
|
|
Total Short-Term
Investments
(cost
|
|
|
|
|
$4,183,619)
|
|
|
|
|
4,183,683
|
|
|
|
Total Value of
|
|
|
|
|
|
|
Securities – 99.82%
|
|
|
|
|
|
|
(cost $184,727,196)
|
|
|
|
|
252,885,854
|
|
|
|
Receivables and Other
Assets Net of
|
|
|
|
|
Liabilities – 0.18%
|
|
|
|
|
445,341
|
|
Net Assets – 100.00%
|
|
|
|
$
|
253,331,195
|
____________________
|
²
|
Narrow industries are utilized for compliance purposes for
diversification whereas broad sectors are used for financial
reporting.
|
|
≠
|
The rate shown is the effective yield
at the time of purchase.
|
|
°
|
Principal amount shown is stated in
U.S. dollars unless noted that the security is denominated in another
currency.
|
|
†
|
Non income producing
security.
|
ADR –
American Depositary Receipt
2
NQ-DPT-192 [1/14] 3/14 (12240)
Notes
Delaware Pooled
®
Trust — The Large-Cap Growth Equity Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust – The Large-Cap Growth
Equity Portfolio (Portfolio). This report covers the period of time since the
Portfolio’s 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 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. U.S. government and
agency securities are valued at the mean between the bid and ask prices, which
approximates fair value. Investment company securities are valued at net asset
value per share, as reported by the underlying investment company. 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 Portfolio’s Board of Trustees (Board). In determining whether
market quotations are readily available or fair valuation will be used, various
factors will be taken into consideration, such as market closures or suspension
of trading in a security. The Portfolio 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 Portfolio 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
Portfolio 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 Portfolio intends to continue to qualify for federal
income tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year.
Management has analyzed the
Portfolio’s tax positions taken for all open federal income tax years (Oct. 31,
2010–Oct. 31, 2013), and has concluded that no provision for federal income tax
is required in the Portfolio’s financial statements. In regard to foreign taxes
only, the Portfolio has open tax years in certain foreign countries it invests
in that may date back to the inception date of the Portfolio.
Repurchase Agreements
— The Portfolio may purchase certain U.S.
government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
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 Portfolio are
charged directly to the Portfolio. 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. Foreign dividends are also recorded on the ex-dividend date or as soon
after the ex-dividend date that the Portfolio is aware of such dividends, net of
all tax withholdings, a portion of which may be reclaimable.Withholding taxes
and reclaims on foreign dividends have been recorded in accordance with the
Portfolio’s understanding of the applicable country’s tax rules and rates. The
Portfolio declares and pays distributions from net investment income and net
realized gain on investments, if any, annually. Dividends and distributions, if
any, are recorded on ex-dividend date. The Portfolio may distribute more
frequently, if necessary for tax purposes.
(continues)
NQ-DPT-192 [1/14] 3/14 (12240) 3
(Unaudited)
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since the final
tax characteristics cannot be determined until fiscal year end. At Jan. 31,
2014, the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of Investments
|
$
|
185,883,767
|
|
|
Aggregate unrealized appreciation
|
$
|
70,944,784
|
|
|
Aggregate unrealized depreciation
|
|
(3,942,697
|
)
|
|
Net unrealized appreciation
|
$
|
67,002,087
|
|
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $129,337 may be carried forward and
applied against future capital gains. Capital loss carryforwards, if not
utilized in future years, will expire as follows: $129,337 expires in
2018.
On December 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Fund is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
U.S. GAAP defines fair value as the
price that the portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three level
hierarchy of inputs is summarized below.
|
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 value
securities)
|
|
|
|
|
Level 3 –
|
inputs are significant
unobservable inputs (including the Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
4
NQ-DPT-192 [1/14] 3/14 (12240)
(Unaudited)
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common Stock
|
$
|
248,485,252
|
|
$
|
—
|
|
$
|
248,485,252
|
|
Warrant
|
|
216,919
|
|
|
—
|
|
|
216,919
|
|
Short-Term Investments
|
|
—
|
|
|
4,183,683
|
|
|
4,183,683
|
|
Total
|
$
|
248,702,171
|
|
$
|
4,183,683
|
|
$
|
252,885,854
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the reporting period.
3. Securities
Lending
The Portfolio, 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 on any particular day may
be 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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio records
security lending income net of allocations to the security lending agent and the
borrower.
(continues)
NQ-DPT-192 [1/14] 3/14 (12240) 5
(Unaudited)
3. Securities Lending
(continued)
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 Trust’s 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.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
4. Credit and Market
Risk
Because the Portfolio expects to hold
a concentrated portfolio of a limited number of securities, the Portfolio’s risk
is increased because each investment has a greater effect on the Portfolio’s
overall performance.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so.While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities held by the Portfolio have been determined to be illiquid under the
Portfolio’s Liquidity Procedures.
5. Subsequent
Events
Delaware Investments has signed an
agreement with its Focus Growth Equity Team, the Portfolio’s current portfolio
management team, to establish a new joint venture called Jackson Square
Partners. Delaware Managment Company has obtained Board approval to appoint
Jackson Square Partners as the sub-advisor to the Portfolio and to authorize a
proxy solicitation to obtain the requisite prior shareholder approval. If the
new sub-advisory arrangements are not approved by shareholders, Delaware
Management Company will pursue an alternative recommendation and the Portfolio’s
Board of Trustees will determine an appropriate course of action.
Management has determined that no
other material events or transactions occurred subsequent to Jan. 31, 2014 that
would require recognition or disclosure in the Portfolio’s schedule of
investments.
6
NQ-DPT-192 [1/14] 3/14 (12240)
Schedule of investments
Delaware Pooled
®
Trust — The Large-Cap Value Equity Portfolio
January 31, 2014 (Unaudited)
|
|
|
Number of
|
|
Value
|
|
|
|
Shares
|
|
(U.S.
$)
|
|
Common
Stock – 98.76%
|
|
|
|
|
|
|
Consumer Discretionary – 5.81%
|
|
|
|
|
|
|
Johnson
Controls
|
|
62,700
|
|
$
|
2,891,724
|
|
Lowe’s
|
|
61,700
|
|
|
2,856,093
|
|
|
|
|
|
|
5,747,817
|
|
Consumer Staples – 11.87%
|
|
|
|
|
|
|
Archer-Daniels-Midland
|
|
75,200
|
|
|
2,968,896
|
|
CVS Caremark
|
|
43,800
|
|
|
2,966,136
|
|
Kraft
Foods Group
|
|
56,033
|
|
|
2,933,328
|
|
Mondelez
International
|
|
|
|
|
|
|
Class
A
|
|
88,100
|
|
|
2,885,275
|
|
|
|
|
|
|
11,753,635
|
|
Energy – 14.83%
|
|
|
|
|
|
|
Chevron
|
|
25,400
|
|
|
2,835,402
|
|
ConocoPhillips
|
|
45,000
|
|
|
2,922,750
|
|
Halliburton
|
|
61,100
|
|
|
2,994,511
|
|
Marathon Oil
|
|
89,900
|
|
|
2,947,821
|
|
Occidental
Petroleum
|
|
34,000
|
|
|
2,977,380
|
|
|
|
|
|
|
14,677,864
|
|
Financials – 11.76%
|
|
|
|
|
|
|
Allstate
|
|
58,400
|
|
|
2,990,080
|
|
Bank of
New York Mellon
|
|
92,400
|
|
|
2,953,104
|
|
Marsh &
McLennan
|
|
64,800
|
|
|
2,962,008
|
|
Travelers
|
|
33,600
|
|
|
2,731,008
|
|
|
|
|
|
|
11,636,200
|
|
Healthcare – 18.04%
|
|
|
|
|
|
|
Baxter
International
|
|
43,600
|
|
|
2,977,880
|
|
Cardinal
Health
|
|
43,900
|
|
|
2,986,078
|
|
Johnson &
Johnson
|
|
32,900
|
|
|
2,910,663
|
|
Merck
|
|
57,700
|
|
|
3,056,369
|
|
Pfizer
|
|
99,811
|
|
|
3,034,254
|
|
Quest
Diagnostics
|
|
55,100
|
|
|
2,892,750
|
|
|
|
|
|
|
17,857,994
|
|
Industrials – 9.12%
|
|
|
|
|
|
|
Northrop
Grumman
|
|
25,500
|
|
|
2,946,525
|
|
Raytheon
|
|
32,600
|
|
|
3,099,282
|
|
Waste
Management
|
|
71,300
|
|
|
2,978,914
|
|
|
|
|
|
|
9,024,721
|
|
Information Technology – 15.25%
|
|
|
|
|
|
|
Broadcom
Class A
|
|
108,400
|
|
|
3,225,984
|
|
Cisco Systems
|
|
134,900
|
|
|
2,955,659
|
|
Intel
|
|
120,300
|
|
|
2,952,162
|
|
Motorola
Solutions
|
|
46,000
|
|
|
2,934,800
|
|
Xerox
|
|
279,100
|
|
|
3,028,235
|
|
|
|
|
|
|
15,096,840
|
|
Materials – 3.03%
|
|
|
|
|
|
|
duPont (E.I.)
deNemours
|
|
49,200
|
|
|
3,001,692
|
|
|
|
|
|
|
3,001,692
|
|
Telecommunications – 5.99%
|
|
|
|
|
|
|
AT&T
|
|
88,400
|
|
|
2,945,488
|
|
Verizon
Communications
|
|
62,100
|
|
|
2,982,042
|
|
|
|
|
|
|
5,927,530
|
|
Utilities – 3.06%
|
|
|
|
|
|
|
Edison
International
|
|
62,800
|
|
|
3,024,448
|
|
|
|
|
|
|
3,024,448
|
|
Total Common Stock
(cost
$88,059,982)
|
|
|
|
|
97,748,741
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
amount°
|
|
|
|
|
Short-Term Investments – 1.11%
|
|
|
|
|
|
|
Repurchase Agreements – 0.84%
|
|
|
|
|
|
|
Bank of
America Merrill
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
0.01%,
dated 1/31/14,
|
|
|
|
|
|
|
to
be repurchased on
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
$208,880
(collateralized
|
|
|
|
|
|
|
by
U.S. government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
market
value $213,058)
|
|
208,880
|
|
|
208,880
|
|
Bank of
Montreal
|
|
|
|
|
|
|
0.02%,
dated 1/31/14,
|
|
|
|
|
|
|
to
be repurchased on
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
$34,813
(collateralized
|
|
|
|
|
|
|
by
U.S. government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.75%
4/30/14-
|
|
|
|
|
|
|
11/15/23;
market value
|
|
|
|
|
|
|
$35,510)
|
|
34,813
|
|
|
34,813
|
(continues)
NQ-DPT-029 [1/14] 3/14 (12242) 1
Schedule of investments
Delaware Pooled
®
Trust — The Large-Cap Value Equity Portfolio
|
|
|
Principal
|
|
Value
|
|
|
|
amount°
|
|
(U.S.
$)
|
|
Short-Term Investments
(continued)
|
|
|
|
|
Repurchase Agreements (continued)
|
|
|
|
|
|
|
BNP
Paribas
|
|
|
|
|
|
|
0.02%,
dated 1/31/14,
|
|
|
|
|
|
|
to
be repurchased on
|
|
|
|
|
|
|
2/3/14,
repurchase price
|
|
|
|
|
|
|
$585,308
(collateralized
|
|
|
|
|
|
|
by
U.S. government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
market
value $597,012)
|
|
585,307
|
|
$
|
585,307
|
|
|
|
|
|
|
829,000
|
|
U.S. Treasury Obligations – 0.27%≠
|
|
|
|
|
|
|
U.S. Treasury
Bills
|
|
|
|
|
|
|
0.056%
4/24/14
|
|
198,135
|
|
|
198,123
|
|
0.093%
11/13/14
|
|
72,681
|
|
|
72,640
|
|
|
|
|
|
|
270,763
|
|
|
|
Total Short-Term
Investments
(cost
|
|
|
|
|
$1,099,737)
|
|
|
|
|
1,099,763
|
|
Total Value of
|
|
|
|
|
|
|
Securities –
99.87%
|
|
|
|
|
|
|
(cost
$89,159,719)
|
|
|
|
|
98,848,504
|
|
Receivables and Other
Assets Net of
|
|
|
|
|
Liabilities –
0.13%
|
|
|
|
|
126,579
|
|
Net Assets – 100.00%
|
|
|
|
$
|
98,975,083
|
____________________
|
≠
|
The rate shown
is the effective yield at the time of purchase.
|
|
°
|
Principal amount
shown is stated in U.S. dollars unless noted that the security is
denominated in another currency.
|
2 NQ-DPT-029 [1/14] 3/14
(12242)
Notes
Delaware Pooled
®
Trust — The Large-Cap Value Equity Portfolio
January 31, 2014 (Unaudited)
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 the Delaware Pooled
®
Trust – The
Large-Cap Value Equity Portfolio (Portfolio). This report covers the period of
time since the Portfolio’s 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 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. U.S. government
and agency securities are valued at the mean between the 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 Portfolio’s Board of
Trustees (Board). In determining whether market quotations are readily available
or fair valuation will be used, various factors will be taken into
consideration, such as market closures or suspension of trading in a security.
The Portfolio 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 Portfolio 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 Portfolio may frequently value foreign
securities using fair value prices based on third-party vendor modeling tools
(international fair value pricing).
Federal Income Taxes
— No provision for federal income taxes
has been made as the Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010–Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
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 Portfolio are
charged directly to the Portfolio. 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. The Portfolio declares and pays distributions from net investment
income and net realized gain on investments, if any, annually. The Portfolio may
distribute more frequently, if necessary for tax purposes. Dividends and
distributions, if any, are recorded on ex-dividend date.
(continues)
NQ-DPT-029 [1/14] 3/14 (12242) 3
(Unaudited)
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
89,228,480
|
|
|
Aggregate unrealized
appreciation
|
$
|
10,357,712
|
|
|
Aggregate
unrealized depreciation
|
|
(737,688
|
)
|
|
Net unrealized
appreciation
|
$
|
9,620,024
|
|
For federal income tax purposes, at
October 31, 2013, capital loss carryforwards of $207,581 may be carried forward
and applied against future capital gains. Capital loss carryforwards will expire
as follows: $207,581 expires in 2017.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes are generally effective for taxable years beginning after
the date of enactment. Under the Act, the Fund is permitted to carry forward
capital losses incurred in taxable years beginning after the date of enactment
for an unlimited period. However, any losses incurred during those future
taxable years will be required to be utilized prior to the losses incurred in
pre-enactment taxable years, which carry an expiration date. As a result of this
ordering rule, pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital loss carryforwards will
retain their character as either short-term or long-term capital losses rather
than being considered all short-term as permitted under previous
regulation.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three–level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
4 NQ-DPT-029 [1/14] 3/14
(12242)
(Unaudited)
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common
Stock
|
|
$
|
97,748,741
|
|
$
|
—
|
|
$
|
97,748,741
|
|
Short-Term Investments
|
|
|
—
|
|
|
1,099,763
|
|
|
1,099,763
|
|
Total
|
|
$
|
97,748,741
|
|
$
|
1,099,763
|
|
$
|
98,848,504
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the reporting period.
3. Securities
Lending
The Portfolio, 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Trust’s 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.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
(continues)
NQ-DPT-029 [1/14] 3/14 (12242) 5
(Unaudited)
4. Credit and Market
Risk
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day–to–day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities have been determined to be illiquid under the Portfolio’s Liquidity
Procedures.
5. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
6 NQ-DPT-029 [1/14] 3/14
(12242)
|
Schedule of
investments
|
|
|
Delaware REIT Fund
|
January 31, 2014
(Unaudited)
|
|
|
|
|
Number
of
|
|
|
|
|
|
|
Shares
|
|
Value (U.S. $)
|
|
Common Stock –
96.51%
|
|
|
|
|
|
|
Diversified REITs
–
6.07%
|
|
|
|
|
|
|
|
Cousins
Properties
|
|
174,500
|
|
$
|
1,875,875
|
|
|
Lexington Realty Trust
|
|
236,666
|
|
|
2,558,359
|
|
|
Vornado Realty
Trust
|
|
96,832
|
|
|
8,892,082
|
|
|
|
|
|
|
|
13,326,316
|
|
Healthcare REITs
– 8.17%
|
|
|
|
|
|
|
|
Health Care REIT
|
|
49,300
|
|
|
2,855,456
|
|
|
Healthcare Realty
Trust
|
|
98,099
|
|
|
2,248,429
|
|
|
Healthcare Trust of America Class
A
|
|
180,800
|
|
|
1,939,984
|
|
|
LTC
Properties
|
|
17,725
|
|
|
672,664
|
|
|
Sabra Health Care REIT
|
|
52,000
|
|
|
1,504,360
|
|
|
Ventas
|
|
139,777
|
|
|
8,720,687
|
|
|
|
|
|
|
|
17,941,580
|
|
Hotel REITs –
7.05%
|
|
|
|
|
|
|
|
Hilton Worldwide Holdings
†
|
|
34,780
|
|
|
752,987
|
|
|
Host Hotels &
Resorts
|
|
332,964
|
|
|
6,123,208
|
|
|
LaSalle Hotel
Properties
|
|
42,850
|
|
|
1,318,066
|
|
|
Pebblebrook Hotel
Trust
|
|
69,713
|
|
|
2,100,453
|
|
|
RLJ Lodging Trust
|
|
103,310
|
|
|
2,580,684
|
|
|
Strategic Hotels
& Resorts †
|
|
280,300
|
|
|
2,609,593
|
|
|
|
|
|
|
|
15,484,991
|
|
Industrial REITs
– 6.71%
|
|
|
|
|
|
|
|
DCT Industrial Trust
|
|
111,000
|
|
|
799,200
|
|
|
First Industrial
Realty Trust
|
|
195,570
|
|
|
3,355,981
|
|
|
First Potomac Realty
Trust
|
|
104,505
|
|
|
1,364,835
|
|
|
Prologis
|
|
238,157
|
|
|
9,230,965
|
|
|
|
|
|
|
|
14,750,981
|
|
Mall REITs –
15.68%
|
|
|
|
|
|
|
|
General Growth
Properties
|
|
362,111
|
|
|
7,292,915
|
|
|
Macerich
|
|
50,151
|
|
|
2,838,547
|
|
|
Simon Property Group
|
|
146,458
|
|
|
22,677,557
|
|
|
Taubman
Centers
|
|
25,200
|
|
|
1,638,504
|
|
|
|
|
|
|
|
34,447,523
|
|
Manufactured
Housing REIT – 0.85%
|
|
|
|
|
|
|
|
Equity Lifestyle
Properties
|
|
47,536
|
|
|
1,868,640
|
|
|
|
|
|
|
|
1,868,640
|
|
Multifamily REITs
–
14.97%
|
|
|
|
|
|
|
|
American Campus
Communities
|
|
48,600
|
|
|
1,689,336
|
|
|
Apartment Investment &
Management
|
|
90,500
|
|
|
2,531,285
|
|
|
AvalonBay
Communities
|
|
48,851
|
|
|
6,033,098
|
|
|
Camden Property Trust
|
|
31,586
|
|
|
1,952,646
|
|
|
Equity
Residential
|
|
163,323
|
|
|
9,044,828
|
NQ-095 [1/14] 3/14 (12244)
1
Schedule of
investments
Delaware REIT
Fund
|
|
|
|
Number of
|
|
|
|
|
|
|
Shares
|
|
Value (U.S. $)
|
|
Common Stock
(continued)
|
|
|
|
|
|
|
Multifamily REITs
(continued)
|
|
|
|
|
|
|
|
Essex Property Trust
|
|
33,927
|
|
$
|
5,373,019
|
|
|
Post
Properties
|
|
52,700
|
|
|
2,473,211
|
|
|
UDR
|
|
155,500
|
|
|
3,784,870
|
|
|
|
|
|
|
|
32,882,293
|
|
Office REITs – 14.54%
|
|
|
|
|
|
|
|
Boston
Properties
|
|
83,674
|
|
|
9,044,323
|
|
|
Brandywine Realty Trust
|
|
274,200
|
|
|
3,907,350
|
|
|
Corporate Office
Properties Trust
|
|
72,000
|
|
|
1,789,200
|
|
|
Douglas Emmett
|
|
171,600
|
|
|
4,363,788
|
|
|
Highwoods
Properties
|
|
97,400
|
|
|
3,617,436
|
|
|
Kilroy Realty
|
|
58,775
|
|
|
3,103,320
|
|
|
SL Green
Realty
|
|
65,362
|
|
|
6,128,995
|
|
|
|
|
|
|
|
31,954,412
|
|
Office/Industrial REITs – 4.42%
|
|
|
|
|
|
|
|
Duke Realty
|
|
337,900
|
|
|
5,308,409
|
|
|
Liberty Property
Trust
|
|
61,109
|
|
|
2,224,368
|
|
|
PS Business Parks
|
|
27,729
|
|
|
2,178,667
|
|
|
|
|
|
|
|
9,711,444
|
|
Self-Storage REITs – 4.20%
|
|
|
|
|
|
|
|
Extra Space
Storage
|
|
45,694
|
|
|
2,086,388
|
|
|
Public Storage
|
|
45,266
|
|
|
7,133,469
|
|
|
|
|
|
|
|
9,219,857
|
|
Shopping Center REITs – 10.20%
|
|
|
|
|
|
|
|
DDR
|
|
312,675
|
|
|
4,899,617
|
|
|
Equity One
|
|
90,000
|
|
|
2,039,400
|
|
|
Federal Realty
Investment Trust
|
|
17,976
|
|
|
1,959,384
|
|
|
Kimco Realty
|
|
208,779
|
|
|
4,365,569
|
|
|
Ramco-Gershenson
Properties Trust
|
|
129,200
|
|
|
2,063,324
|
|
|
Regency Centers
|
|
75,519
|
|
|
3,635,485
|
|
|
Tanger Factory
Outlet Centers
|
|
103,100
|
|
|
3,441,478
|
|
|
|
|
|
|
|
22,404,257
|
|
Single
Tenant REITs – 2.36%
|
|
|
|
|
|
|
|
National Retail Properties
|
|
72,675
|
|
|
2,412,810
|
|
|
Spirit Realty
Capital
|
|
261,111
|
|
|
2,767,777
|
|
|
|
|
|
|
|
5,180,587
|
|
Specialty REIT – 1.29%
|
|
|
|
|
|
|
|
EPR Properties
|
|
55,400
|
|
|
2,829,832
|
|
|
|
|
|
|
|
2,829,832
|
|
Total Common Stock
(cost $202,582,484)
|
|
|
|
|
212,002,713
|
2 NQ-095 [1/14] 3/14
(12244)
|
|
|
|
Principal amount°
|
|
Value (U.S. $)
|
|
Short-Term
Investments – 2.45%
|
|
|
|
|
|
|
Repurchase Agreements – 1.83%
|
|
|
|
|
|
|
|
Bank of America Merrill Lynch
|
|
|
|
|
|
|
|
0.01%, dated 1/31/14, to be
repurchased on 2/3/14,
|
|
|
|
|
|
|
|
repurchase price $1,012,907
(collateralized by U.S.
|
|
|
|
|
|
|
|
government obligations
0.00%-1.25%
|
|
|
|
|
|
|
|
5/8/14-11/30/18; market value
$1,033,164)
|
|
1,012,906
|
|
$
|
1,012,906
|
|
|
Bank of
Montreal
|
|
|
|
|
|
|
|
0.02%, dated 1/31/14, to be
repurchased on 2/3/14,
|
|
|
|
|
|
|
|
repurchase price $168,818
(collateralized by U.S.
|
|
|
|
|
|
|
|
government obligations
0.25%-2.75%
|
|
|
|
|
|
|
|
4/30/14-11/15/23; market value
$172,194)
|
|
168,817
|
|
|
168,817
|
|
|
BNP Paribas
|
|
|
|
|
|
|
|
0.02%, dated 1/31/14, to be
repurchased on 2/3/14,
|
|
|
|
|
|
|
|
repurchase price $2,838,281
(collateralized by U.S.
|
|
|
|
|
|
|
|
government obligations
0.25%-2.375%
|
|
|
|
|
|
|
|
3/31/14-12/31/20; market value
$2,895,042)
|
|
2,838,277
|
|
|
2,838,277
|
|
|
|
|
|
|
|
4,020,000
|
|
U.S. Treasury Obligations – 0.62%≠
|
|
|
|
|
|
|
|
U.S. Treasury
Bills
|
|
|
|
|
|
|
|
0.04% 4/24/14
|
|
983,345
|
|
|
983,288
|
|
|
0.093% 11/13/14
|
|
384,076
|
|
|
383,861
|
|
|
|
|
|
|
|
1,367,149
|
|
Total Short-Term Investments
(cost $5,387,016)
|
|
|
|
|
5,387,149
|
|
|
|
|
Total Value of Securities – 98.96%
|
|
|
|
|
|
|
|
(cost $207,969,500)
|
|
|
|
|
217,389,862
|
|
|
|
|
Receivables and Other Assets Net of Liabilities –
1.04%
|
|
|
|
|
2,290,228
|
|
Net Assets – 100.00%
|
|
|
|
$
|
219,680,090
|
|
≠
|
The rate shown
is the effective yield at the time of purchase.
|
|
°
|
Principal amount
shown is stated in U.S. dollars unless noted that the security is
denominated in another currency.
|
|
†
|
Non income
producing security.
|
REIT – Real Estate Investment
Trust
NQ-095 [1/14] 3/14 (12244)
3
|
Notes
|
|
|
Delaware REIT Fund
|
January 31, 2014
(Unaudited)
|
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 Pooled
®
Trust - Delaware REIT
Fund (Fund). This report covers the period of time since the Fund’s 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 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. U.S. government
and agency securities are valued at the mean between the 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 Fund’s Board of Trustees
(Board). In determining whether market quotations are readily available or fair
valuation will be used, various factors will be taken into consideration, such
as market closures or suspension of trading in a security.
Federal 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 for all open federal income tax years
(Oct. 31, 2010–Oct. 31, 2013), and has concluded that no provision for federal
income tax is required in the Fund’s financial statements.
Class Accounting
— Investment income, common expenses and realized and unrealized gain
(loss) on investments are allocated to the various classes of the Fund on the
basis of daily net assets of each class. Distribution expenses relating to a
specific class are charged directly to that class.
Repurchase Agreements
— The Fund may purchase certain U.S.
government securities subject to the counterparty’s 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 Fund’s 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 Jan.
31, 2014.
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.
4 NQ-095 [1/14] 3/14
(12244)
(Unaudited)
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.
Distributions received from investments in Real Estate Investment Trusts (REITs)
are recorded as dividend income on the ex-dividend date, subject to
reclassification upon notice of the character of such distributions by the
issuer. The Fund declares and pays distributions from net investment income
quarterly and 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.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the Fund
were as follows:
|
Cost of
investments
|
|
$
|
212,987,764
|
|
|
Aggregate unrealized
appreciation
|
|
$
|
11,626,703
|
|
|
Aggregate
unrealized depreciation
|
|
|
(7,224,605
|
)
|
|
Net unrealized
appreciation
|
|
$
|
4,402,098
|
|
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 entity’s 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 Fund’s investment
in its entirety is assigned a level based upon the observability of the inputs
which are significant to the overall valuation. The three-level hierarchy of
inputs is summarized below.
|
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)
|
NQ-095 [1/14] 3/14 (12244)
5
(Unaudited)
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 Jan.
31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common Stock
|
|
$
|
212,002,713
|
|
$
|
—
|
|
$
|
212,002,713
|
|
Short-Term
Investments
|
|
|
—
|
|
|
5,387,149
|
|
|
5,387,149
|
|
Total
|
|
$
|
212,002,713
|
|
$
|
5,387,149
|
|
$
|
217,389,862
|
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Fund. The Fund’s
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. At Jan. 31, 2014, there were no Level 3 investments.
3. 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: (1)
102% with respect to U.S. securities and foreign securities that are denominated
and payable in U.S. 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.
6 NQ-095 [1/14] 3/14
(12244)
(Unaudited)
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.
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 Mellon’s 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 Trust’s 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.
At Jan. 31, 2014, the Fund had no
securities out on loan.
4. Credit and Market
Risk
The Fund concentrates its investments
in the real estate industry and is subject to the risks associated with that
industry. If the Fund holds real estate directly as a result of defaults or
receives rental income directly from real estate holdings, its tax status as a
regulated investment company may be jeopardized. The Fund is also affected by
interest rate changes, particularly if the REITs it holds use floating rate debt
to finance their ongoing operations. Its investments may also tend to fluctuate
more in value than a portfolio that invests in a broader range of
industries.
NQ-095 [1/14] 3/14 (12244)
7
(Unaudited)
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 Fund’s 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. As of Jan. 31, 2014, there were no Rule 144A
securities and no securities held by the Fund have been determined to be
illiquid under the Fund’s Liquidity Procedures.
5. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Fund’s schedule of
investments.
8 NQ-095 [1/14] 3/14
(12244)
Schedule of investments
Delaware Pooled
®
Trust — The Real Estate Investment Trust Portfolio II
January 31, 2014 (Unaudited)
|
|
|
Number of
|
|
Value
|
|
|
|
shares
|
|
(U.S. $)
|
|
Common Stock – 96.53%
|
|
|
|
|
|
Diversified REITs – 6.07%
|
|
|
|
|
|
|
Cousins
Properties
|
3,055
|
|
$
|
32,841
|
|
|
Lexington Realty Trust
|
4,170
|
|
|
45,078
|
|
|
Vornado Realty
Trust
|
1,695
|
|
|
155,652
|
|
|
|
|
|
|
233,571
|
|
Healthcare REITs – 8.17%
|
|
|
|
|
|
|
Health Care REIT
|
860
|
|
|
49,811
|
|
|
Healthcare
Realty Trust
|
1,730
|
|
|
39,652
|
|
|
Healthcare Trust of
America
|
|
|
|
|
|
|
Class A
|
3,180
|
|
|
34,121
|
|
|
LTC
Properties
|
310
|
|
|
11,764
|
|
|
Sabra Health Care REIT
|
910
|
|
|
26,326
|
|
|
Ventas
|
2,445
|
|
|
152,544
|
|
|
|
|
|
|
314,218
|
|
Hotel REITs – 7.07%
|
|
|
|
|
|
|
Hilton Worldwide
|
|
|
|
|
|
|
Holdings
†
|
610
|
|
|
13,206
|
|
|
Host Hotels
& Resorts
|
5,823
|
|
|
107,085
|
|
|
LaSalle Hotel
Properties
|
750
|
|
|
23,070
|
|
|
Pebblebrook
Hotel Trust
|
1,255
|
|
|
37,813
|
|
|
RLJ Lodging Trust
|
1,805
|
|
|
45,089
|
|
|
Strategic Hotels
&
|
|
|
|
|
|
|
Resorts †
|
4,905
|
|
|
45,666
|
|
|
|
|
|
|
271,929
|
|
Industrial REITs – 6.70%
|
|
|
|
|
|
|
DCT Industrial
Trust
|
1,955
|
|
|
14,076
|
|
|
First Industrial Realty
Trust
|
3,410
|
|
|
58,516
|
|
|
First Potomac
Realty Trust
|
1,825
|
|
|
23,834
|
|
|
Prologis
|
4,165
|
|
|
161,435
|
|
|
|
|
|
|
257,861
|
|
Mall REITs – 15.65%
|
|
|
|
|
|
|
General Growth
Properties
|
6,328
|
|
|
127,446
|
|
|
Macerich
|
873
|
|
|
49,412
|
|
|
Simon Property
Group
|
2,561
|
|
|
396,545
|
|
|
Taubman Centers
|
440
|
|
|
28,609
|
|
|
|
|
|
|
602,012
|
|
Manufactured Housing REIT – 0.85%
|
|
|
|
|
|
Equity Lifestyle
Properties
|
830
|
|
|
32,627
|
|
|
|
|
|
|
32,627
|
|
Multifamily REITs – 14.99%
|
|
|
|
|
|
|
American Campus
|
|
|
|
|
|
|
Communities
|
850
|
|
|
29,546
|
|
|
Apartment
Investment &
|
|
|
|
|
|
|
Management
|
1,585
|
|
|
44,332
|
|
|
AvalonBay Communities
|
857
|
|
|
105,840
|
|
|
Camden Property
Trust
|
555
|
|
|
34,310
|
|
|
Equity Residential
|
2,860
|
|
|
158,387
|
|
|
Essex Property
Trust
|
594
|
|
|
94,072
|
|
|
Post Properties
|
930
|
|
|
43,645
|
|
|
UDR
|
2,725
|
|
|
66,326
|
|
|
|
|
|
|
576,458
|
|
Office REITs – 14.57%
|
|
|
|
|
|
|
Boston Properties
|
1,475
|
|
|
159,433
|
|
|
Brandywine
Realty Trust
|
4,790
|
|
|
68,258
|
|
|
Corporate Office
Properties
|
|
|
|
|
|
|
Trust
|
1,265
|
|
|
31,435
|
|
|
Douglas
Emmett
|
3,000
|
|
|
76,290
|
|
|
Highwoods Properties
|
1,705
|
|
|
63,324
|
|
|
Kilroy
Realty
|
1,025
|
|
|
54,120
|
|
|
SL Green Realty
|
1,145
|
|
|
107,367
|
|
|
|
|
|
|
560,227
|
|
Office/Industrial REITs – 4.42%
|
|
|
|
|
|
|
Duke
Realty
|
5,910
|
|
|
92,846
|
|
|
Liberty Property Trust
|
1,075
|
|
|
39,130
|
|
|
PS Business
Parks
|
485
|
|
|
38,106
|
|
|
|
|
|
|
170,082
|
|
Self-Storage REITs – 4.19%
|
|
|
|
|
|
|
Extra Space Storage
|
800
|
|
|
36,528
|
|
|
Public
Storage
|
790
|
|
|
124,496
|
|
|
|
|
|
|
161,024
|
|
Shopping Center REITs – 10.20%
|
|
|
|
|
|
|
DDR
|
5,500
|
|
|
86,185
|
|
|
Equity
One
|
1,575
|
|
|
35,690
|
|
|
Federal Realty
Investment
|
|
|
|
|
|
|
Trust
|
318
|
|
|
34,662
|
|
|
Kimco
Realty
|
3,645
|
|
|
76,217
|
|
|
Ramco-Gershenson
|
|
|
|
|
|
|
Properties
Trust
|
2,255
|
|
|
36,012
|
|
|
Regency
Centers
|
1,320
|
|
|
63,545
|
|
|
Tanger Factory Outlet
|
|
|
|
|
|
|
Centers
|
1,800
|
|
|
60,084
|
|
|
|
|
|
|
392,395
|
|
Single Tenant REITs – 2.35%
|
|
|
|
|
|
|
National Retail
Properties
|
1,270
|
|
|
42,164
|
(continues)
NQ-DPT-188 [1/14] 3/14 (12252) 1
Schedule of
investments
Delaware
Pooled
®
Trust — The Real Estate Investment Trust Portfolio
II
|
|
|
Number of
|
|
Value
|
|
|
|
shares
|
|
(U.S. $)
|
|
Common Stock
(continued)
|
|
|
|
|
|
Single Tenant REITs
(continued)
|
|
|
|
|
|
|
Spirit Realty Capital
|
4,560
|
|
$
|
48,336
|
|
|
|
|
|
|
90,500
|
|
Specialty REIT –
1.30%
|
|
|
|
|
|
|
EPR Properties
|
975
|
|
|
49,803
|
|
|
|
|
|
|
49,803
|
|
Total Common Stock
(cost $3,623,267)
|
|
|
3,712,707
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
amount°
|
|
|
|
|
Short-Term Investments –
2.36%
|
|
|
|
|
Repurchase Agreements –
1.79%
|
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
0.01%, dated
1/31/14,
|
|
|
|
|
|
|
to be repurchased
on
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
$17,386
(collateralized
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
market value
$17,733)
|
17,386
|
|
|
17,386
|
|
|
Bank of Montreal
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
to be repurchased
on
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
$2,897
(collateralized by
|
|
|
|
|
|
|
U.S.
government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.75%
4/30/14-
|
|
|
|
|
|
|
11/15/23; market
value
|
|
|
|
|
|
|
$2,956)
|
2,897
|
|
|
2,897
|
|
|
BNP Paribas
|
|
|
|
|
|
|
0.02%, dated
1/31/14,
|
|
|
|
|
|
|
to be repurchased
on
|
|
|
|
|
|
|
2/3/14, repurchase
price
|
|
|
|
|
|
|
$48,717
(collateralized
|
|
|
|
|
|
|
by U.S.
government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
market value
$49,691)
|
48,717
|
|
|
48,717
|
|
|
|
|
|
|
69,000
|
|
U.S. Treasury
Obligations – 0.57%
≠
|
|
|
|
|
|
|
U.S. Treasury Bills
|
|
|
|
|
|
|
0.04%
4/24/14
|
16,296
|
|
|
16,295
|
|
|
0.093%
11/13/14
|
5,468
|
|
|
5,465
|
|
|
|
|
|
|
21,760
|
|
Total Short-Term Investments
(cost $90,758)
|
|
|
90,760
|
|
|
|
|
|
|
Total Value of
|
|
|
|
|
|
|
Securities –
98.89%
|
|
|
|
|
|
|
(cost
$3,714,025)
|
|
|
|
3,803,467
|
|
|
|
|
Receivables and Other Assets Net of
|
|
|
|
|
|
|
Liabilities –
1.11%
|
|
|
|
42,567
|
|
Net Assets –
100.00%
|
|
|
$
|
3,846,034
|
____________________
|
≠
|
The rate shown is the effective
yield at the time of purchase.
|
|
°
|
Principal amount shown is
stated in U.S. dollars unless noted that the security is denominated in
another currency.
|
|
†
|
Non income producing
security.
|
REIT – Real Estate Investment
Trust
2 NQ-DPT-188 [1/14] 3/14
(12252)
Notes
Delaware Pooled
®
Trust
— The Real Estate Investment Trust Portfolio II
January 31, 2014 (Unaudited)
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 Pooled
®
Trust – The Real Estate
Investment Trust Portfolio II (Portfolio). This report covers the period of time
since the Portfolio’s 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 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. U.S. government
and agency securities are valued at the mean between the 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 Portfolio’s Board of
Trustees (Board). In determining whether market quotations are readily available
or fair valuation will be used, various factors will be taken into
consideration, such as market closures or suspension of trading in a
security.
Federal Income Taxes
— No provision for federal income taxes
has been made as the Portfolio intends to continue to qualify for federal income
tax purposes as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010–Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements.
Repurchase Agreements
— The Portfolio may purchase certain
U.S. government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
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 Portfolio are
charged directly to the Portfolio. 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. Distributions received from investments in Real Estate Investment
Trusts (REITs) are recorded as dividend income on the ex-dividend date, subject
to reclassification upon notice of the character of such distributions by the
issuer. The Portfolio declares and pays distributions from net investment income
and net realized gain on investments, if any, annually. The Portfolio 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.
(continues)
NQ-DPT-188 [1/14] 3/14 (12252) 3
(Unaudited)
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
3,814,865
|
|
|
Aggregate unrealized
appreciation
|
$
|
106,597
|
|
|
Aggregate
unrealized depreciation
|
|
(117,995
|
)
|
|
Net unrealized
depreciation
|
$
|
(11,398
|
)
|
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $1,957,080 may be carried forward
and applied against future capital gains. Capital loss carryforwards will expire
as follows: $413,280 expires in 2016, $1,521,902 expires in 2017 and $21,898
expires in 2018.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
U.S. GAAP defines fair value as the
price that the portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three-level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three-level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common
Stock
|
|
$
|
3,712,707
|
|
$
|
—
|
|
$
|
3,712,707
|
|
Short-Term Investments
|
|
|
—
|
|
|
90,760
|
|
|
90,760
|
|
Total
|
|
$
|
3,712,707
|
|
$
|
90,760
|
|
$
|
3,803,467
|
4 NQ-DPT-188 [1/14] 3/14
(12252)
(Unaudited)
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the reporting period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the begenning, interim or end of the period in relation to net
assets. At Jan. 31, 2014, there were no Level 3 investments.
3. Securities
Lending
The Portfolio, 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 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.
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 Mellon’s 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 Portfolio 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 Portfolio, or at the discretion of the lending
agent, replace the loaned securities. The Portfolio continues to record
dividends or interest, as applicable, on the securities loaned and is subject to
change in value of the securities loaned that may occur during the term of the
loan. The Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio 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 Trust’s net asset value
per unit was less than $1.00. Under those circumstances, the Portfolio may not
receive an amount from the Collective Trust that is equal in amount to the
collateral the Portfolio would be required to return to the borrower of the
securities and the Portfolio would be required to make up for this
shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
(continues)
NQ-DPT-188 [1/14] 3/14 (12252) 5
(Unaudited)
4. Credit and Market
Risk
The Portfolio concentrates its
investments in the real estate industry and is subject to the risks associated
with that industry. If the Portfolio holds real estate directly as a result of
defaults or receives rental income directly from real estate holdings, its tax
status as a regulated investment company may be jeopardized. The Portfolio is
also affected by interest rate changes, particularly if the REITs it holds use
floating rate debt to finance their ongoing operations. Its investments may also
tend to fluctuate more in value than a portfolio that invests in a broader range
of industries.
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities held by the Portfolio have been determined to be illiquid under the
Portfolio’s Liquidity Procedures.
5. Subsequent
Events
Management has determined that no
material events or transactions occurred subsequent to Jan. 31, 2014 that would
require recognition or disclosure in the Portfolio’s schedule of
investments.
6 NQ-DPT-188 [1/14] 3/14
(12252)
Schedule of investments
Delaware Pooled
®
Trust — The Select 20 Portfolio
January 31, 2014 (Unaudited)
|
|
|
Number of
|
|
Value
|
|
|
|
shares
|
|
(U.S. $)
|
|
Common Stock –
98.98%
²
|
|
|
|
|
|
|
Consumer
Discretionary – 17.66%
|
|
|
|
|
|
|
eBay †
|
|
96,275
|
|
$
|
5,121,830
|
|
L Brands
|
|
100,750
|
|
|
5,275,270
|
|
Liberty Interactive Class A
†
|
|
237,900
|
|
|
6,354,309
|
|
priceline.com †
|
|
4,790
|
|
|
5,484,023
|
|
|
|
|
|
|
22,235,432
|
|
Energy
– 8.64%
|
|
|
|
|
|
|
EOG Resources
|
|
38,150
|
|
|
6,303,906
|
|
Kinder Morgan
|
|
134,625
|
|
|
4,578,596
|
|
|
|
|
|
|
10,882,502
|
|
Financial
Services – 17.03%
|
|
|
|
|
|
|
CommonWealth REIT
|
|
189,100
|
|
|
4,648,078
|
|
IntercontinentalExchange
|
|
|
|
|
|
|
Group
|
|
33,150
|
|
|
6,921,388
|
|
Visa Class A
|
|
45,825
|
|
|
9,872,080
|
|
|
|
|
|
|
21,441,546
|
|
Healthcare – 8.76%
|
|
|
|
|
|
|
Allergan
|
|
54,550
|
|
|
6,251,430
|
|
Celgene †
|
|
31,475
|
|
|
4,781,997
|
|
|
|
|
|
|
11,033,427
|
|
Technology – 41.82%
|
|
|
|
|
|
|
Adobe Systems †
|
|
116,850
|
|
|
6,916,352
|
|
Crown Castle
|
|
|
|
|
|
|
International †
|
|
92,900
|
|
|
6,592,184
|
|
Google Class A †
|
|
7,350
|
|
|
8,680,130
|
|
Intuit
|
|
81,050
|
|
|
5,936,912
|
|
Microsoft
|
|
180,700
|
|
|
6,839,495
|
|
NeuStar Class A †
|
|
140,300
|
|
|
4,754,768
|
|
QUALCOMM
|
|
99,375
|
|
|
7,375,612
|
|
VeriFone Systems †
|
|
191,575
|
|
|
5,557,591
|
|
|
|
|
|
|
52,653,044
|
|
Utilities – 5.07%
|
|
|
|
|
|
|
j2 Global
|
|
140,725
|
|
|
6,381,879
|
|
|
|
|
|
|
6,381,879
|
|
Total Common Stock
(cost $91,235,259)
|
|
|
124,627,830
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
amount°
|
|
|
|
Short-Term Investments –
5.05%
|
|
|
|
|
|
|
Repurchase
Agreements – 3.41%
|
|
|
|
|
|
|
Bank of America
Merrill
|
|
|
|
|
|
|
Lynch
|
|
|
|
|
|
|
0.01%, dated 1/31/14,
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
|
$1,082,449
|
|
|
|
|
|
|
(collateralized by U.S.
|
|
|
|
|
|
|
government obligations
|
|
|
|
|
|
|
0.00%-1.25%
|
|
|
|
|
|
|
5/8/14-11/30/18;
|
|
|
|
|
|
|
market value
|
|
|
|
|
|
|
$1,104,098)
|
|
1,082,449
|
|
|
1,082,449
|
|
Bank of Montreal
|
|
|
|
|
|
|
0.02%, dated 1/31/14,
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
|
$180,408 (collateralized
|
|
|
|
|
|
|
by U.S. government
|
|
|
|
|
|
|
obligations
|
|
|
|
|
|
|
0.25%-2.75% 4/30/14-
|
|
|
|
|
|
|
11/15/23; market value
|
|
|
|
|
|
|
$184,016)
|
|
180,408
|
|
|
180,408
|
|
BNP Paribas
|
|
|
|
|
|
|
0.02%, dated 1/31/14,
|
|
|
|
|
|
|
to be repurchased on
|
|
|
|
|
|
|
2/3/14, repurchase price
|
|
|
|
|
|
|
$3,033,148
|
|
|
|
|
|
|
(collateralized by U.S.
|
|
|
|
|
|
|
government obligations
|
|
|
|
|
|
|
0.25%-2.375%
|
|
|
|
|
|
|
3/31/14-12/31/20;
|
|
|
|
|
|
|
market value
|
|
|
|
|
|
|
$3,093,806)
|
|
3,033,143
|
|
|
3,033,143
|
|
|
|
|
|
|
4,296,000
|
|
U.S. Treasury Obligations – 1.64%
≠
|
|
|
|
|
|
|
U.S. Treasury Bills
|
|
|
|
|
|
|
0.04% 4/24/14
|
|
1,601,137
|
|
|
1,601,044
|
|
0.093% 11/13/14
|
|
457,824
|
|
|
457,567
|
|
|
|
|
|
|
2,058,611
|
|
|
|
|
|
|
Total Short-Term Investments
(cost
|
|
|
|
|
$6,354,414)
|
|
|
|
|
6,354,611
|
(continues)
NQ-DPT-198 [1/14] 3/14 (12245)
1
Schedule of investments
Delaware Pooled
®
Trust
— The Select 20 Portfolio
|
|
Value
|
|
|
|
(U.S. $)
|
|
|
Total Value of
|
|
|
|
|
Securities –
104.03%
|
|
|
|
|
(cost $97,589,673)
|
$
|
130,982,441
|
|
|
|
|
Liabilities Net of Receivables and
Other
|
|
|
|
|
Assets –
(4.03%)
|
|
(5,068,743
|
)
|
|
Net
Assets – 100.00%
|
$
|
125,913,698
|
|
____________________
|
|
|
|
²
|
Narrow
industries are utilized for compliance purposes for diversification
whereas broad sectors are used for financial reporting.
|
|
≠
|
The rate shown
is the effective yield at the time of purchase.
|
|
°
|
Principal amount
shown is stated in U.S. dollars unless noted that the security is
denominated in another currency.
|
|
†
|
Non income
producing security.
|
REIT – Real Estate Investment
Trust
2 NQ-DPT-198 [1/14] 3/14
(12245)
Notes
Delaware Pooled
®
Trust — The Select 20 Portfolio
January 31, 2014 (Unaudited)
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 Pooled
®
Trust – The Select 20
Portfolio (Portfolio). This report covers the period of time since the
Portfolio’s 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 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. U.S. government and
agency securities are valued at the mean between the 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 Portfolio’s Board of Trustees (Board). In
determining whether market quotations are readily available or fair valuation
will be used, various factors will be taken into consideration, such as market
closures or suspension of trading in a security. The Portfolio 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
Portfolio 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 Portfolio may frequently value foreign
securities using fair value prices based on third-party vendor modeling tools
(international fair value pricing).
Federal Income Taxes
— No provision for federal income taxes has been
made as the Portfolio intends to continue to qualify for federal income tax
purposes as a regulated investment company under Subchapter M of the Internal
Revenue Code of 1986, as amended, and make the requisite distributions to
shareholders. The Portfolio evaluates tax positions taken or expected to be
taken in the course of preparing the Portfolio’s tax returns to determine
whether the tax positions are “more-likely-than-not” of being sustained by the
applicable tax authority. Tax positions not deemed to meet the
“more-likely-than-not” threshold are recorded as a tax benefit or expense in the
current year. Management has analyzed the Portfolio’s tax positions taken for
all open federal income tax years (Oct. 31, 2010 – Oct. 31, 2013), and has
concluded that no provision for federal income tax is required in the
Portfolio’s financial statements.
Repurchase Agreements
— The Portfolio may purchase certain U.S.
government securities subject to the counterparty’s 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 Portfolio’s 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 Jan.
31, 2014.
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 Portfolio are charged
directly to the Portfolio. 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. The Portfolio declares and pays distributions from net investment income
and net realized gain on investments, if any, annually. The Portfolio may
distribute more frequently, if necessary for tax purposes. Dividends and
distributions, if any, are recorded on the ex-dividend date.
2. Investments
At Jan. 31, 2014, the cost of
investments for federal income tax purposes has been estimated since final tax
characteristics cannot be determined until fiscal year end. At Jan. 31, 2014,
the cost of investments and unrealized appreciation (depreciation) for the
Portfolio were as follows:
|
Cost of
Investments
|
$
|
98,213,129
|
|
|
Aggregate unrealized
appreciation
|
$
|
35,925,102
|
|
|
Aggregate
unrealized depreciation
|
|
(3,155,790
|
)
|
|
Net unrealized
appreciation
|
$
|
32,769,312
|
|
(continues)
NQ-DPT-198 [1/14] 3/14 (12245)
3
(Unaudited)
2. Investments
(continued)
For federal income tax purposes, at
Oct. 31, 2013, capital loss carryforwards of $707,317 may be carried forward and
applied against future capital gains. Capital loss carryforwards will expire in
2017.
On Dec. 22, 2010, the Regulated
Investment Company Modernization Act of 2010 (Act) was enacted, which changed
various technical rules governing the tax treatment of regulated investment
companies. The changes were generally effective for taxable years beginning
after the date of enactment. Under the Act, the Portfolio is permitted to carry
forward capital losses incurred in taxable years beginning after the date of
enactment for an unlimited period. However, any losses incurred during those
future taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration date. As a
result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital loss
carryforwards will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as permitted under
previous regulation.
U.S. GAAP defines fair value as the
price that the Portfolio would receive to sell an asset or pay to transfer a
liability in an orderly transaction between market participants at the
measurement date under current market conditions. A three level hierarchy for
fair value measurements has been established based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or
unobservable and refer broadly to the assumptions that market participants would
use in pricing the asset or liability. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the reporting entity. Unobservable
inputs reflect the reporting entity’s own assumptions about the assumptions that
market participants would use in pricing the asset or liability developed based
on the best information available under the circumstances. The Portfolio’s
investment in its entirety is assigned a level based upon the observability of
the inputs which are significant to the overall valuation. The three level
hierarchy of inputs is summarized below.
|
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 Portfolio’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 Portfolio may also use an income-based
valuation approach in which the anticipated future cash flows of the investment
are discounted to calculate fair value. Discounts may also be applied due to the
nature or duration of any restrictions on the disposition of the investments.
Valuations may also be based upon current market prices of securities that are
comparable in coupon, rating, maturity and industry. The derived value of a
Level 3 investment may not represent the value which is received upon
disposition and this could impact the results of operations.
The following table summarizes the
valuation of the Portfolio’s investments by fair value hierarchy levels as of
Jan. 31, 2014:
|
|
|
Level 1
|
|
Level 2
|
|
Total
|
|
Common
Stock
|
|
$
|
124,627,830
|
|
$
|
—
|
|
$
|
124,627,830
|
|
Short-Term Investments
|
|
|
—
|
|
|
6,354,611
|
|
|
6,354,611
|
|
Total
|
|
$
|
124,627,830
|
|
$
|
6,354,611
|
|
$
|
130,982,441
|
4 NQ-DPT-198 [1/14] 3/14
(12245)
(Unaudited)
During the period ended Jan. 31,
2014, there were no transfers between Level 1 investments, Level 2 investments
or Level 3 investments that had a significant impact to the Portfolio. The
Portfolio’s policy is to recognize transfers between levels at the beginning of
the reporting period.
A reconciliation of Level 3
investments is presented when the Portfolio has a significant amount of Level 3
investments at the beginning, interim or end of the period in relation to net
assets. At Jan. 31, 2014, there were no Level 3 investments.
3. Securities
Lending
The Portfolio, 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 on any particular day may
be 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 Mellon’s 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 Portfolio 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 Portfolio or, at the discretion of the lending
agent, replace the loaned securities. The Portfolio 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 Portfolio has the right under the Lending Agreement to recover the
securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Portfolio receives loan premiums paid
by the borrower. With respect to security loans collateralized by cash
collateral, the earnings from the collateral investments are shared among the
Portfolio, the security lending agent and the borrower. The Portfolio 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 Portfolio may incur investment losses as a
result of investing securities lending collateral in the Collective Trust or
another collateral investment pool. This could occur if an investment in a
collateral investment pool defaulted or if it were necessary to liquidate assets
in a collateral investment pool to meet returns on outstanding security loans at
a time when a collateral investment pool’s net asset value per unit was less
than $1.00. Under those circumstances, the Portfolio may not receive an amount
from the collateral investment pool that is equal in amount to the collateral
the Portfolio would be required to return to the borrower of the securities and
the Portfolio would be required to make up for this shortfall.
At Jan. 31, 2014, the Portfolio had
no securities out on loan.
4. Credit and Market
Risk
The Portfolio invests a significant
portion of its assets in small- and mid-sized companies and may be subject to
certain risks associated with ownership of securities of such companies.
Investments in small- or mid-sized companies may be more volatile than
investments in larger companies for a number of reasons, which include more
limited financial resources or a dependence on narrow product lines. Because
the Portfolio expects to hold a
concentrated portfolio of a limited number of securities, the Portfolio’s risk
is increased because each investment has a greater effect on the Portfolio’s
overall performance.
(continues)
NQ-DPT-198 [1/14] 3/14 (12245)
5
(Unaudited)
4. Credit and Market Risk
(continued)
The Portfolio may invest up to 15% of
its net assets in illiquid securities, which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A 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 Portfolio from disposing of them in a timely manner and at a fair
price when it is necessary or desirable to do so. While maintaining oversight,
the Portfolio’s Board has delegated to DMC the day-to-day functions of
determining whether individual securities are liquid for purposes of the
Portfolio’s limitation on investments in illiquid securities. Securities
eligible for resale pursuant to Rule 144A, which are determined to be liquid,
are not subject to the Portfolio’s 15% limit on investments in illiquid
securities. As of Jan. 31, 2014, there were no Rule 144A securities and no
securities have been determined to be illiquid under the Portfolio’s Liquidity
Procedures.
5. Subsequent
Events
Delaware Investments has signed an
agreement with its Focus Growth Equity Team, the Portfolio’s current portfolio
management team, to establish a new joint venture called Jackson Square
Partners. Delaware Management Company has obtained Board approval to appoint
Jackson Square Partners as the sub-advisor to the Portfolio and to authorize a
proxy solicitation to obtain the requisite prior shareholder approval. If the
new sub-advisory arrangements are not approved by shareholders, Delaware
Management Company will pursue an alternative recommendation and the Portfolio’s
Board of Trustees will determine an appropriate course of action.
Management has determined that no
other material events or transactions occurred subsequent to Jan. 31, 2014 that
would require recognition or disclosure in the Portfolio’s schedule of
investments.
6 NQ-DPT-198 [1/14] 3/14
(12245)
Item 2. Controls and Procedures.
The
registrant’s principal executive officer and principal financial officer have
evaluated the registrant’s disclosure controls and procedures within 90 days of
the filing of this report and have concluded that they are effective in
providing reasonable assurance that the information required to be disclosed by
the registrant in its reports or statements filed under the Securities Exchange
Act of 1934 is recorded, processed, summarized and reported within the time
periods specified in the rules and forms of the Securities and Exchange
Commission.
There were no significant changes in the registrant’s internal control
over financial reporting that occurred during the registrant’s last fiscal
quarter that have materially affected, or are reasonably likely to materially
affect, the registrant’s 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:
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