UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT
INVESTMENT COMPANIES
| Investment Company Act file number: | 811-22050 |
| Exact name of registrant as specified in charter: | Delaware Enhanced Global Dividend and Income Fund |
| Address of principal executive offices: | 2005 Market Street |
| Philadelphia, PA 19103 | |
| Name and address of agent for service: | David F. Connor, Esq. |
| 2005 Market Street | |
| Philadelphia, PA 19103 | |
| Registrant’s telephone number, including area code: | (800) 523-1918 |
| Date of fiscal year end: | November 30 |
| Date of reporting period: | May 31, 2014 |
Item 1. Reports to Stockholders
| Delaware Enhanced Global Dividend and Income Fund |
| Semiannual report |
| May 31, 2014
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The figures in the semiannual report for Delaware Enhanced Global Dividend and Income Fund represent past results, which are not a guarantee of future results. A rise or fall in interest rates can have a significant impact on bond prices. Funds that invest in bonds can lose their value as interest rates rise.
Closed-end fund
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Delaware Management Holdings, Inc. and its subsidiaries (collectively known by the marketing name of Delaware Investments) are wholly owned subsidiaries of Macquarie Group Limited, a global provider of banking, financial, advisory, investment and funds management services. For more information, including press releases, please visit delawareinvestments.com.
Unless otherwise noted, views expressed herein are current as of May 31, 2014, and subject to change.
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services are provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
Investments in Delaware Enhanced Global Dividend and Income Fund are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including their subsidiaries or related companies (Macquarie Group), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Fund, the repayment of capital from the Fund, or any particular rate of return.
© 2014 Delaware Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Security type / sector and country allocations
Delaware Enhanced Global Dividend and Income Fund
As of May 31, 2014 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may also represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
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Security type / sector and country allocations
Delaware Enhanced Global Dividend and Income Fund
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Delaware Enhanced Global Dividend and Income Fund
May 31, 2014 (Unaudited)
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Schedule of investments
Delaware Enhanced Global Dividend and Income Fund
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Schedule of investments
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Schedule of investments
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Schedule of investments
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Schedule of investments
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Schedule of investments
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Schedule of investments
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Schedule of investments
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Schedule of investments
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Statement of assets and liabilities
Delaware Enhanced Global Dividend and Income Fund
May 31, 2014 (Unaudited)
| Assets: |
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| Investments, at value1, 2 |
$ | 287,332,914 | ||
| Short-term investments held as collateral for loaned securities, at value3 |
16,365,466 | |||
| Short-term investments, at value4 |
970,146 | |||
| Foreign currencies, at value5 |
39,972 | |||
| Cash collateral for derivatives |
17,000 | |||
| Receivable for securities sold |
4,113,084 | |||
| Dividend and interest receivable |
2,448,588 | |||
| Securities lending income receivable |
13,487 | |||
| Variation margin receivable on futures contracts |
931 | |||
| Other assets |
1,566 | |||
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| Total assets |
311,303,154 | |||
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| Liabilities: |
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| Option written, at value6 |
12,250 | |||
| Cash overdraft |
1,392,497 | |||
| Borrowing under line of credit |
65,725,000 | |||
| Obligation to return securities lending collateral |
16,365,466 | |||
| Payable for securities purchased |
3,544,893 | |||
| Interest payable for leverage |
63,571 | |||
| Investment management fees payable |
231,596 | |||
| Other accrued expenses |
158,095 | |||
| Other affiliates payable |
7,761 | |||
| Trustees’ fees and expenses payable |
1,366 | |||
| Unrealized loss on foreign currency exchange contracts |
7,798 | |||
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| Total liabilities |
87,510,293 | |||
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| Total Net Assets |
$ | 223,792,861 | ||
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| Net Assets Consist of: |
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| Paid-in capital |
$ | 235,674,702 | ||
| Distributions in excess of net investment income |
(3,678,448 | ) | ||
| Accumulated net realized loss on investments |
(43,250,531 | ) | ||
| Net unrealized appreciation of investments and derivatives |
35,047,138 | |||
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| Total Net Assets |
$ | 223,792,861 | ||
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| 1 Investments, at cost |
$ | 252,297,981 | ||
| 2 Including securities on loan |
16,668,846 | |||
| 3 Short-term investments held as collateral for loaned securities, at cost |
16,365,466 | |||
| 4 Short-term investments, at cost |
970,005 | |||
| 5 Foreign currencies, at cost |
40,273 | |||
| 6 Option written, premiums received |
(31,261 | ) | ||
| Net Asset Value |
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| Common Shares |
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| Net assets |
$ | 223,792,861 | ||
| Shares of beneficial interest outstanding |
15,863,616 | |||
| Net asset value per share |
$ | 14.11 | ||
See accompanying notes, which are an integral part of the financial statements.
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Delaware Enhanced Global Dividend and Income Fund
Six months ended May 31, 2014 (Unaudited)
| Investment Income: |
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| Interest |
$ | 3,608,691 | ||
| Dividends |
3,164,791 | |||
| Securities lending income |
56,739 | |||
| Foreign tax withheld |
(160,379 | ) | ||
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| 6,669,842 | ||||
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| Expenses: |
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| Management fees |
1,334,341 | |||
| Interest expense |
343,321 | |||
| Reports and statements to shareholders |
73,816 | |||
| Accounting and administration expenses |
48,677 | |||
| Legal fees |
41,070 | |||
| Dividend disbursing and transfer agent fees and expenses |
29,787 | |||
| Custodian fees |
22,846 | |||
| Audit and tax |
18,119 | |||
| Trustees’ fees and expenses |
5,385 | |||
| Registration fees |
290 | |||
| Other expenses |
30,056 | |||
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| Total operating expenses |
1,947,708 | |||
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| Net Investment Income |
4,722,134 | |||
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| Net Realized and Unrealized Gain (Loss): |
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| Net realized gain (loss) on: |
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| Investments |
7,885,536 | |||
| Foreign currencies |
(1,556,798 | ) | ||
| Foreign currency exchange contracts |
(105,308 | ) | ||
| Futures contracts |
(27,439 | ) | ||
| Options written |
49,449 | |||
| Swap contracts |
(375 | ) | ||
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| Net realized gain |
6,245,065 | |||
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| Net change in unrealized appreciation (depreciation) of: |
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| Investments |
5,509,742 | |||
| Foreign currencies |
15,785 | |||
| Foreign currency exchange contracts |
(7,798 | ) | ||
| Futures contracts |
(2,570 | ) | ||
| Options written |
20,463 | |||
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| Net change in unrealized appreciation (depreciation) |
5,535,622 | |||
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| Net Realized and Unrealized Gain |
11,780,687 | |||
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| Net Increase in Net Assets Resulting from Operations |
$ | 16,502,821 | ||
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See accompanying notes, which are an integral part of the financial statements.
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Statements of changes in net assets
Delaware Enhanced Global Dividend and Income Fund
| Six months ended 5/31/14 (Unaudited) |
Year ended 11/30/13 |
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| Increase in Net Assets from Operations: |
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| Net investment income |
$ | 4,722,134 | $ | 9,148,614 | ||||
| Net realized gain |
6,245,065 | 11,761,213 | ||||||
| Net change in unrealized appreciation (depreciation) |
5,535,622 | 17,193,617 | ||||||
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| Net increase in net assets resulting from operations |
16,502,821 | 38,103,444 | ||||||
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| Dividends and Distributions to Shareholders from: |
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| Net investment income |
(7,138,627 | ) | (14,277,254 | ) | ||||
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| (7,138,627 | ) | (14,277,254 | ) | |||||
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| Net Increase in Net Assets |
9,364,194 | 23,826,190 | ||||||
| Net Assets: |
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| Beginning of period |
214,428,667 | 190,602,477 | ||||||
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| End of period (including distributions in excess of net investment income of $3,678,448 and $1,261,955, respectively) |
$ | 223,792,861 | $ | 214,428,667 | ||||
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See accompanying notes, which are an integral part of the financial statements.
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Delaware Enhanced Global Dividend and Income Fund
Six months ended May 31, 2014 (Unaudited)
| Net Cash (including Foreign Currency) Provided by (Used for) Operating Activities: |
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| Net increase in net assets resulting from operations |
$ | 16,502,821 | ||
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| Adjustments to reconcile net increase in net assets from operations to cash provided by (used for) operating activities: |
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| Amortization of premium and accretion of discount on investments |
77,330 | |||
| Purchase of investment securities |
(90,311,047 | ) | ||
| Proceeds from disposition of investment securities |
86,403,212 | |||
| Proceeds from short-term investment securities, net |
8,549,750 | |||
| Premiums received for options written |
70,770 | |||
| Net realized gain |
(6,303,561 | ) | ||
| Net change in unrealized appreciation (depreciation) |
(5,538,192 | ) | ||
| Increase in receivable for securities sold |
(3,699,205 | ) | ||
| Increase in dividend and interest and other assets receivable |
(71,092 | ) | ||
| Increase in variation margin receivable on futures contracts |
(931 | ) | ||
| Increase in payable for securities purchased |
985,857 | |||
| Increase in interest expense payable |
2,209 | |||
| Increase in other accrued expenses |
43,948 | |||
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| Total adjustments |
(9,790,952 | ) | ||
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| Net cash provided by operating activities |
6,711,869 | |||
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| Cash Flows Used for Financing Activities: |
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| Cash dividends and distributions paid to shareholders |
(7,138,627 | ) | ||
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| Net cash used for financing activities |
(7,138,627 | ) | ||
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| Effect of exchange rates on cash |
15,785 | |||
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| Net decrease in cash |
(410,973 | ) | ||
| Cash at beginning of period |
(924,552 | ) | ||
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| Cash at end of period* |
$ | (1,335,525 | ) | |
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| Cash paid for interest expense on leverage |
$ | 341,112 | ||
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| *Includes | foreign currency and cash collateral for derivatives, as shown in the statement of assets and liabilities. |
See accompanying notes, which are an integral part of the financial statements.
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Delaware Enhanced Global Dividend and Income Fund
Selected data for each share of the Fund outstanding throughout each period were as follows:
| Six months ended 5/31/141 |
Year ended | |||||||||||||||||||||||
| (Unaudited) | 11/30/13 | 11/30/12 | 11/30/11 | 11/30/10 | 11/30/09 | |||||||||||||||||||
| Net asset value, beginning of period |
$ | 13.520 | $ | 12.020 | $ | 11.350 | $ | 12.320 | $ | 12.060 | $ | 8.770 | ||||||||||||
| Income (loss) from investment operations: |
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| Net investment income2 |
0.298 | 0.577 | 0.557 | 0.587 | 0.568 | 0.685 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.742 | 1.823 | 1.261 | (0.327 | ) | 0.922 | 3.875 | |||||||||||||||||
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| Total from investment operations |
1.040 | 2.400 | 1.818 | 0.260 | 1.490 | 4.560 | ||||||||||||||||||
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| Less dividends and distributions from: |
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| Net investment income |
(0.450 | ) | (0.900 | ) | (0.627 | ) | (0.750 | ) | (0.918 | ) | (0.668 | ) | ||||||||||||
| Return of capital |
— | — | (0.521 | ) | (0.480 | ) | (0.312 | ) | (0.602 | ) | ||||||||||||||
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| Total dividends and distributions |
(0.450 | ) | (0.900 | ) | (1.148 | ) | (1.230 | ) | (1.230 | ) | (1.270 | ) | ||||||||||||
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| Net asset value, end of period |
$ | 14.110 | $ | 13.520 | $ | 12.020 | $ | 11.350 | $ | 12.320 | $ | 12.060 | ||||||||||||
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| Market value, end of period |
$ | 12.660 | $ | 12.250 | $ | 11.100 | $ | 10.920 | $ | 12.310 | $ | 12.290 | ||||||||||||
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| Total return based on:3 |
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| Net asset value |
8.27 | % | 21.19 | % | 16.85 | % | 1.77 | % | 13.13 | % | 59.12 | % | ||||||||||||
| Market value |
7.22 | % | 18.91 | % | 12.15 | % | (2.01 | %) | 10.92 | % | 134.96 | % | ||||||||||||
| Ratios and supplemental data: |
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| Net assets, end of period (000 omitted) |
$ | 223,793 | $ | 214,429 | $ | 190,602 | $ | 179,414 | $ | 160,465 | $ | 156,048 | ||||||||||||
| Ratio of expenses to average net assets4,5 |
1.81 | % | 1.88 | % | 2.15 | % | 1.98 | % | 1.95 | % | 2.14 | % | ||||||||||||
| Ratio of net investment income to average net assets6 |
4.39 | % | 4.47 | % | 4.74 | % | 4.68 | % | 4.68 | % | 6.73 | % | ||||||||||||
| Portfolio turnover |
31 | % | 56 | % | 53 | % | 72 | % | 83 | % | 88 | % | ||||||||||||
| Leverage analysis: |
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| Debt outstanding at end of period at par (000 omitted) |
$ | 65,725 | $ | 65,725 | $ | 65,725 | $ | 50,725 | $ | 40,000 | $ | 40,000 | ||||||||||||
| Asset coverage per $1,000 of debt outstanding at end of period |
$ | 4,405 | $ | 4,263 | $ | 3,900 | $ | 4,537 | $ | 5,012 | $ | 4,901 | ||||||||||||
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | The average shares outstanding method has been applied for per share information. |
| 3 | Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of each period reported. Dividends and distributions, if any, are assumed for the purpose of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Generally, total investment return based on net asset value will be higher than total investment return based on market value in periods where there is an increase in the discount or decrease in the premium of the market value to the net asset value from the beginning to the end of such periods. Conversely, total investment return based on net asset value will be lower than total investment return based on market value in periods where there is a decrease in the discount or an increase in the premium of the market value to the net asset value from the beginning to the end of such periods. |
| 4 | The ratio of interest expense to adjusted average net assets (excluding debt outstanding) for the six months ended May 31, 2014, and years ended Nov. 30, 2013, 2012, 2011, 2010, and 2009 were 0.24%, 0.27%, 0.42%, 0.31%, 0.33%, and 0.35%, respectively. |
| 5 | The ratio of expenses before interest expense to adjusted average net assets (excluding debt outstanding) for the six months ended May 31, 2014, and years ended Nov. 30, 2013, 2012, 2011, 2010, and 2009 were 1.14%, 1.15%, 1.19%, 1.28%, 1.22%, and 1.26%, respectively. |
| 6 | The ratio of net investment income to adjusted net assets for the six months ended May 31, 2014, and years ended Nov. 30, 2013, 2012, 2011, 2010, and 2009 were 3.36%, 3.38%, 3.57%, 3.76%, 3.73%, and 5.06%, respectively. |
See accompanying notes, which are an integral part of the financial statements.
25
Delaware Enhanced Global Dividend and Income Fund
May 31, 2014 (Unaudited)
Delaware Enhanced Global Dividend and Income Fund (Fund) is organized as a Delaware statutory trust, and is a diversified closed-end management investment company under the Investment Company Act of 1940, as amended. The Fund’s shares trade on the New York Stock Exchange (NYSE) under the symbol DEX.
The primary investment objective of the Fund is to seek current income, with a secondary objective of capital appreciation.
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 Fund.
Security Valuation — Equity securities and Exchange-Traded Funds (ETFs), 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 NYSE on the valuation date. Securities and ETFs 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 or ETF 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. 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. Investment company securities are valued at net asset value per share, as reported by the underlying investment company. 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. 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 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken for all open federal income tax years (Nov. 30, 2010 – Nov. 30, 2013), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. In regard to foreign taxes only, the Fund has open tax years in certain foreign countries it invests in that may date back to the inception of the Fund.
Distributions — The Fund has implemented a managed distribution policy. Under the policy, the Fund is managed with a goal of generating as much of the distribution as possible from net investment income and short-term capital gains. The balance of the distribution will then come from long-term capital gains to the extent permitted, and if necessary, a return of capital. Even though the Fund may realize current year capital gains, such gains may be offset, in whole or in part, by the Fund’s capital loss carryovers from prior years. For federal income tax purposes, the effect of such capital loss carryovers may be to convert (to the extent of such current year gains) what would otherwise be non-taxable returns of capital into distributions taxable as ordinary income. The use of such capital loss carryovers in this circumstance will produce no tax benefit
26
for shareholders, and the capital loss carryovers available to offset future capital gains of the Fund will be reduced. Under the Regulated Investment Company Modernization Act of 2010 (Act), this tax effect attributable to the Fund’s capital loss carryovers (the conversion of returns of capital into distributions taxable as ordinary income) will no longer apply to net capital losses of the Fund arising in Fund tax years beginning after Nov. 30, 2011. The actual determination of the source of the Fund’s distributions can be made only at year end. Shareholders should receive written notification regarding the actual components and tax treatments of all Fund distributions for the calendar year 2014 in early 2015.
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 May 30, 2014.
To Be Announced Trades (TBA) — The Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (for example, “when issued,” “delayed delivery,” “forward commitment,” or “TBA transactions”) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or 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 Fund on such purchases until the securities are delivered; however, the market value may change prior to delivery.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the 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 Fund generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses) is included in the statement of operations under the caption net realized gain (loss) on foreign currencies. For foreign equity securities, these changes are included in net realized and unrealized gain or loss on investments. The Fund reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Fund are charged directly to the Fund. Other expenses common to various funds within the Delaware Investments® Family of Funds are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are amortized to interest income over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Taxable non-cash dividends are recorded as dividend income. 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. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Fund is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The Fund pays foreign capital gain taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes.
(continues) 27
Notes to financial statements
Delaware Enhanced Global Dividend and Income Fund
1. Significant Accounting Policies (continued)
The Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no earnings credits for the six months ended May 31, 2014.
2. Investment Management, Administration Agreements and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Fund pays Delaware Management Company (DMC), a series of Delaware Management Business Trust, and the investment manager, an annual fee of 0.95%, of the adjusted average daily net assets of the Fund. For purposes of the calculation of investment management fees, adjusted average daily net assets excludes the line of credit liability.
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Fund. For these services, the Fund pays DSC fees based on the aggregate daily net assets (excluding the line of credit liability) of the Delaware Investments® Family of Funds at the following annual rate: 0.0050% of the first $30 billion; and 0.0045% of the next $10 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $50 billion. The fees payable to DSC under the service agreement described above are allocated among all Funds in the Delaware Investments Family of Funds on a relative net asset value basis. For the six months ended May 31, 2014, the Fund was charged $6,770 for these services.
As provided in the investment management agreement, the Fund bears a portion of cost of resources shared with DMC, including the cost of internal personnel of DMC and its affiliates that provide legal, tax, and regulatory reporting services to the Fund. For the six months ended May 31, 2014, the Fund was charged $15,799 for internal legal, tax, and regulatory reporting services provided by DMC and/or its affiliates’ employees.
Trustees’ fees include expenses accrued by the Fund for each Trustee’s retainer and meeting fees. Certain officers of DMC and DSC are Officers and/or Trustees of the Fund. These Officers and Trustees are paid no compensation by the Fund.
3. Investments
For the six months ended May 31, 2014, the Fund made purchases and sales of investment securities other than short-term investments as follows:
| Purchases other than U.S. government securities |
$ | 87,249,393 | ||
| Purchases of U.S. government securities |
3,061,654 | |||
| Sales other than U.S. government securities |
83,503,404 | |||
| Sales of U.S. government securities |
2,899,808 |
At May 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 May 31, 2014, the cost of investments and unrealized appreciation (depreciation) were as follows:
| Cost of investments |
$ | 270,757,121 | ||
|
|
|
|||
| Aggregate unrealized appreciation |
$ | 43,550,109 | ||
| Aggregate unrealized depreciation |
(9,638,704 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 33,911,405 | ||
|
|
|
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at Nov. 30, 2013, will expire as follows: $25,993,776 expires in 2016, and $22,248,222 expires in 2017.
On Dec. 22, 2010, the 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. There are no losses incurred that will be carried forward under the Act.
28
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. (Examples: 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. (Examples: 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 — | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) | |
Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
(continues) 29
Notes to financial statements
Delaware Enhanced Global Dividend and Income Fund
3. Investments (continued)
The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of May 31, 2014:
| Level 1 |
Level 2 |
Level 3 | Total |
|||||||||||||
| Agency, Asset-Backed & Mortgage- |
||||||||||||||||
| Backed Securities |
$ | — | $ | 1,424,880 | $ | — | $ | 1,424,880 | ||||||||
| Corporate Debt |
— | 111,450,741 | — | 111,450,741 | ||||||||||||
| Foreign Debt |
— | 5,644,226 | — | 5,644,226 | ||||||||||||
| Senior Secured Loans |
— | 8,268,381 | — | 8,268,381 | ||||||||||||
| Common Stock |
||||||||||||||||
| Consumer Discretionary |
18,130,491 | — | — | 18,130,491 | ||||||||||||
| Consumer Staples |
12,284,517 | 1,969,708 | — | 14,254,225 | ||||||||||||
| Diversified REITs |
2,169,278 | — | — | 2,169,278 | ||||||||||||
| Energy |
14,318,375 | — | — | 14,318,375 | ||||||||||||
| Financials |
18,459,640 | — | — | 18,459,640 | ||||||||||||
| Healthcare |
18,971,496 | — | — | 18,971,496 | ||||||||||||
| Healthcare REITs |
617,519 | — | — | 617,519 | ||||||||||||
| Hotel REITs |
1,421,380 | — | — | 1,421,380 | ||||||||||||
| Industrial REITs |
2,505,910 | — | — | 2,505,910 | ||||||||||||
| Industrials |
15,199,149 | — | — | 15,199,149 | ||||||||||||
| Information Technology |
13,146,854 | — | — | 13,146,854 | ||||||||||||
| Mall REITs |
1,776,282 | — | — | 1,776,282 | ||||||||||||
| Manufactured Housing REITs |
456,937 | — | — | 456,937 | ||||||||||||
| Materials |
8,147,192 | — | — | 8,147,192 | ||||||||||||
| Mixed REITs |
300,213 | — | — | 300,213 | ||||||||||||
| Mortgage REITs |
563,301 | — | — | 563,301 | ||||||||||||
| Multifamily REITs |
1,006,413 | — | — | 1,006,413 | ||||||||||||
| Office REITs |
1,782,436 | — | — | 1,782,436 | ||||||||||||
| Office/Diversified REIT |
134,274 | — | — | 134,274 | ||||||||||||
| Real Estate Management & |
||||||||||||||||
| Development |
24,466 | — | — | 24,466 | ||||||||||||
| Self-Storage REIT |
277,455 | — | — | 277,455 | ||||||||||||
| Shopping Center REITs |
2,126,326 | — | — | 2,126,326 | ||||||||||||
| Single Tenant REIT |
189,592 | — | — | 189,592 | ||||||||||||
| Specialty REITs |
1,604,858 | — | — | 1,604,858 | ||||||||||||
| Telecommunications |
8,051,440 | — | — | 8,051,440 | ||||||||||||
| Utilities |
2,778,897 | — | — | 2,778,897 | ||||||||||||
| Convertible Preferred Stock1 |
3,914,647 | 3,199,851 | 35,513 | 7,150,011 | ||||||||||||
| Exchange-Traded Fund |
209,500 | — | — | 209,500 | ||||||||||||
| Limited Partnership |
1,071,072 | — | — | 1,071,072 | ||||||||||||
| Preferred Stock1 |
1,531,904 | 1,179,600 | — | 2,711,504 | ||||||||||||
| Warrant |
7,920 | — | — | 7,920 | ||||||||||||
| U.S. Treasury Obligations |
— | 980,280 | — | 980,280 | ||||||||||||
| Short-Term Investments |
— | 970,146 | — | 970,146 | ||||||||||||
| Securities Lending Collateral |
— | 16,365,466 | — | 16,365,466 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 153,179,734 | $ | 151,453,279 | $ | 35,513 | $ | 304,668,526 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Currency Exchange |
||||||||||||||||
| Contracts |
$ | — | $ | (7,798 | ) | $ | — | $ | (7,798 | ) | ||||||
| Futures Contracts |
(2,570 | ) | — | — | (2,570 | ) | ||||||||||
| Option Written |
(12,250 | ) | — | — | (12,250 | ) | ||||||||||
30
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments and Level 3 investments represent the following percentages of the total market value of these security types:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Convertible Preferred Stock |
54.75 | % | 44.75 | % | 0.50 | % | 100.00 | % | ||||||||
| Preferred Stock |
56.50 | % | 43.50 | % | — | 100.00 | % | |||||||||
The securities that have been deemed worthless on the schedule of investments are considered to be Level 3 investments in these tables.
During the six months ended May 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. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund 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 Fund 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 Fund’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 Fund’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 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 the Fund’s 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 Fund’s net assets at the end of the period.
4. Capital Stock
Shares obtained under the Fund’s dividend reinvestment plan are purchased by the Fund’s transfer agent, Computershare, Inc. (Computershare), in the open market if the shares of the Fund are trading at a discount to the Fund’s net asset value on the dividend payment date. However, the dividend reinvestment plan provides that if the shares of the Fund are trading at a premium to the Fund’s net asset value on the dividend payment date, the Fund will issue shares to shareholders of record at net asset value. During the six months ended May 31, 2014 and year ended Nov. 30, 2013, the Fund did not issue any shares under the Fund’s dividend reinvestment plan.
5. Line of Credit
For the six months ended May 31, 2014, the Fund borrowed a portion of the money available to it pursuant to a $67,000,000 Credit Agreement with The Bank of New York Mellon (BNY Mellon) that expired on June 25, 2014. Effective June 25, 2014, the Credit agreement was renewed through June 24, 2015 for $87,000,000. Depending on market conditions, the amount borrowed by the Fund pursuant to the Credit Agreement may be reduced or possibly increased in the future.
At May 31, 2014, the par value of loans outstanding was $65,725,000, at a variable interest rate of 1.03%. During the six months ended May 31, 2014, the average daily balance of loans outstanding was $65,725,000, at a weighted average interest rate of approximately 1.00%.
Interest on borrowings is based on a variable short-term rate plus an applicable margin. Prior to June 25, 2014, the commitment fee under the Credit Agreement was computed at a rate of 0.15% per annum on the unused balance. On June 25, 2014, the commitment fee was changed to a rate of 0.10% per annum on the unused balance. The loan is collateralized by the Fund’s portfolio.
(continues) 31
Notes to financial statements
Delaware Enhanced Global Dividend and Income Fund
6. Unfunded Commitments
The Fund may invest in floating rate loans. In connection with these investments, the Fund may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. As of May 31, 2014, the Fund had the following unfunded loan commitments:
| Borrower | Unfunded Loan Commitments | |||
| Men’s Wearhouse |
$460,000 | |||
| Polymer Group |
320,000 | |||
7. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — The Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Fund may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Fund may also use these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the six months ended May 31, 2014, the Fund entered into foreign currency exchange contracts to hedge the U.S dollar value of securities it already owns that are denominated in foreign currencies.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Fund may use futures in the normal course of pursuing its investment objectives. The Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Fund posted $17,000 cash collateral for open futures contracts, which is presented as cash collateral for derivatives on the statement of asset and liabilities.
During the six months ended May 31, 2014, the Fund used futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts — The Fund may enter into options contracts in the normal course of pursuing its investment objectives. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities
32
prices caused by interest rates or market conditions and foreign currencies; to earn income; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
Transactions in options written during the six months ended May 31, 2014 for the Fund were as follows:
| Number of contracts |
Premiums |
| Options outstanding at Nov. 30, 2013 |
89 | $ | 9,940 | |||||
| Options written |
613 | 70,770 | ||||||
| Options terminated in closing purchase transactions |
(89 | ) | (6,111 | ) | ||||
| Options expired |
(263 | ) | (43,338 | ) | ||||
|
|
|
|
|
|||||
| Options outstanding at May 31, 2014 |
350 | $ | 31,261 | |||||
|
|
|
|
|
During the six months ended May 31, 2014, the Fund used options contracts to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions.
Swap Contracts — The Fund may enter into CDS contracts in the normal course of pursuing its investment objectives. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty combined with any credit enhancements, is rated at least BBB- by Standard & Poor’s Financial Services LLC. (S&P) or Baa3 by Moody’s Investors Service Inc. (Moody’s) or is determined to be of equivalent credit quality by DMC.
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended May 31, 2014, the Fund 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 (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for CDS basket trades, as determined by the applicable central counterparty.
CDS contracts may involve greater risks than if the Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk and credit risk. The Fund’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty and or (2) trading certain CDS baskets through a central counterparty.
(continues) 33
Notes to financial statements
Delaware Enhanced Global Dividend and Income Fund
7. Derivatives (continued)
During the six months ended May 31, 2014, the Fund used CDS contracts to gain exposure to certain securities or markets.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event the Fund terminated its position in the agreement. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts. No swap contracts were outstanding at May 31, 2014.
Fair values of derivative instruments as of May 31, 2014 were as follows:
| Asset Derivatives | Liability Derivatives | |||||||||||||||
| Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | |||||||||||||
| Forward currency |
Unrealized gain on foreign currency exchange contracts |
$ | — | Unrealized loss on foreign currency exchange contracts |
$ | (7,798 | ) | |||||||||
| Equity contracts |
Option written, at value | — | Option written, at value | (12,250 | ) | |||||||||||
| Interest rate contracts |
Variation margin payable on futures contracts | — | Variation margin payable on futures contracts | (2,570 | )* | |||||||||||
|
|
|
|
|
|||||||||||||
| Total |
$ | — | $ | (22,618 | ) | |||||||||||
|
|
|
|
|
|||||||||||||
*Includes cumulative appreciation of futures contracts from the date the contracts are opened through May 31, 2014. Only current day variation margin is reported on the Fund’s statement of assets and liabilities.
The effect of derivative instruments on the statement of operations for the six months ended May 31, 2014 were as follows:
| Net Realized Gain (Loss) on: | |||||||||||||||||||||||||
| Foreign Currency Exchange Contracts |
Futures Contracts |
Options Written |
Swap Contracts |
Total | |||||||||||||||||||||
| Foreign currency exchange contracts |
$ | (105,308 | ) | $ | — | $ | — | $ | — | $ | (105,308 | ) | |||||||||||||
| Equity contracts |
— | — | 49,449 | — | 49,449 | ||||||||||||||||||||
| Interest rate contracts |
— | (27,439 | ) | — | — | (27,439 | ) | ||||||||||||||||||
| Credit contracts |
— | — | — | (375 | ) | (375 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total |
$ | (105,308 | ) | $ | (27,439 | ) | $ | 49,449 | $ | (375 | ) | $ | (83,673 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
| Foreign Currency Exchange Contracts |
Futures Contracts |
Options Written |
Total | |||||||||||||||||
| Foreign currency exchange contracts |
$ | (7,798 | ) | $ | — | $ | — | $ | (7,798 | ) | ||||||||||
| Equity contracts |
— | — | 20,463 | 20,463 | ||||||||||||||||
| Interest rate contracts |
— | (2,570 | ) | — | (2,570 | ) | ||||||||||||||
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| Total |
$ | (7,798 | ) | $ | (2,570 | ) | $ | 20,463 | $ | 10,095 | ||||||||||
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