NPORT-EX 2 AFIK0DelawareStratIncIIFd.htm fik0_del-siiif.htm - Generated by SEC Publisher for SEC Filing

Schedule of investments

Delaware Strategic Income II Fund June 30, 2020 (Unaudited)

  Principal amount°    Value (US $) 
Agency Collateralized Mortgage Obligations – 8.85%       
Fannie Mae Connecticut Avenue Securities       
Series 2018-C03 1M2 2.335% (LIBOR01M + 2.15%,       
Floor 2.15%) 10/25/30 •  1,269,197  $  1,247,283 
Series 2018-C05 1M2 2.535% (LIBOR01M + 2.35%,       
Floor 2.35%) 1/25/31 •  1,237,183    1,209,623 
Freddie Mac Structured Agency Credit Risk Debt Notes       
Series 2018-HQA1 M2 2.485% (LIBOR01M + 2.30%)       
9/25/30 •  1,082,026    1,066,271 
Freddie Mac Structured Agency Credit Risk REMIC Trust       
Series 2019-HQA4 M2 144A 2.235% (LIBOR01M +       
2.05%) 11/25/49 #•  1,500,000    1,454,917 
Series 2020-DNA2 M2 144A 2.035% (LIBOR01M +       
1.85%, Floor 1.85%) 2/25/50 #•  2,000,000    1,896,209 
Series 2020-HQA2 M2 144A 3.285% (LIBOR01M +       
3.10%) 3/25/50 #•  2,500,000    2,393,579 
Total Agency Collateralized Mortgage Obligations (cost $9,616,559)      9,267,882 
 
Convertible Bonds – 1.57%       
Boingo Wireless 1.00% exercise price $42.32, maturity       
date 10/1/23  1,079,000    963,007 
Cheniere Energy 4.25% exercise price $138.38, maturity       
date 3/15/45  1,046,000    677,114 
Total Convertible Bonds (cost $1,741,350)      1,640,121 
 
Corporate Bonds – 50.51%       
Banking - 7.26%       
Ally Financial 5.75% 11/20/25  145,000    155,083 
Bank of America       
2.884% 10/22/30 µ  170,000    184,061 
5.125%µy  510,000    507,231 
Bank of New York Mellon 4.70%µy  80,000    83,400 
BBVA Bancomer 144A 6.75% 9/30/22 #  667,000    711,899 
Citizens Financial Group 5.65%µy  85,000    86,381 
Credit Suisse Group 144A 6.25%#µy  1,050,000    1,098,382 
JPMorgan Chase & Co.       
2.522% 4/22/31 µ  95,000    100,549 
3.109% 4/22/41 µ  55,000    59,428 
3.109% 4/22/51 µ  80,000    86,525 
5.00%µy  255,000    245,483 
Popular 6.125% 9/14/23  1,301,000    1,318,752 
Royal Bank of Scotland Group 8.625%µy  1,150,000    1,198,265 
Truist Financial 4.95%µy  95,000    97,375 
Turkiye Garanti Bankasi 144A 5.875% 3/16/23 #  605,000    606,972 

 

NQ-QSV [6/20] 8/20 (1294191) 1

 

Schedule of investments

Delaware Strategic Income II Fund (Unaudited)

  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Banking (continued)       
UBS Group 6.875%µy  565,000  $  573,297 
USB Capital IX 3.50% (LIBOR03M + 1.02%) y•  600,000    496,647 
      7,609,730 
Basic Industry - 7.22%       
BHP Billiton Finance USA 144A 6.25% 10/19/75 #µ  1,130,000    1,137,565 
Corp Nacional del Cobre de Chile 144A 3.15% 1/14/30 #  588,000    612,869 
CSN Islands XI 144A 6.75% 1/28/28 #  655,000    561,663 
Freeport-McMoRan 5.45% 3/15/43  1,526,000    1,500,645 
Gold Fields Orogen Holdings BVI 144A 6.125% 5/15/29 #  568,000    651,098 
GUSAP III 144A 4.25% 1/21/30 #  1,180,000    1,158,996 
Hudbay Minerals 144A 7.625% 1/15/25 #  393,000    377,321 
LYB International Finance III 2.875% 5/1/25  180,000    191,898 
Methanex 5.25% 12/15/29  665,000    588,512 
Novolipetsk Steel Via Steel Funding DAC 144A       
4.00% 9/21/24 #  564,000    598,771 
Nutrien 2.95% 5/13/30  90,000    95,569 
PolyOne 144A 5.75% 5/15/25 #  84,000    86,573 
      7,561,480 
Brokerage - 1.24%       
Charles Schwab 5.375%µy  90,000    96,374 
Jefferies Group 6.50% 1/20/43  1,035,000    1,205,466 
      1,301,840 
Capital Goods - 1.16%       
Grupo Cementos de Chihuahua 144A 5.25% 6/23/24 #  565,000    571,297 
Mauser Packaging Solutions Holding 144A       
5.50% 4/15/24 #  160,000    157,498 
Standard Industries 144A 5.00% 2/15/27 #  65,000    66,001 
TransDigm 144A 6.25% 3/15/26 #  165,000    165,181 
WESCO Distribution 144A 7.25% 6/15/28 #  240,000    253,697 
      1,213,674 
Communications - 4.25%       
Altice Financing 144A 5.00% 1/15/28 #  635,000    631,796 
AMC Networks 4.75% 8/1/25  33,000    32,475 
Charter Communications Operating       
2.80% 4/1/31  45,000    45,719 
4.80% 3/1/50  90,000    102,428 
Clear Channel Worldwide Holdings 9.25% 2/15/24  50,000    46,512 
CSC Holdings 5.875% 9/15/22  50,000    52,361 
LCPR Senior Secured Financing 144A 6.75% 10/15/27 #  340,000    347,375 
Netflix 144A 3.625% 6/15/25 #  160,000    161,900 
Radiate Holdco 144A 6.625% 2/15/25 #  621,000    620,289 

 

2 NQ-QSV [6/20] 8/20 (1294191)

 

(Unaudited)

  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Communications (continued)       
Sirius XM Radio 144A 4.625% 7/15/24 #  147,000  $  151,181 
Sprint 7.875% 9/15/23  570,000    642,672 
Time Warner Cable 7.30% 7/1/38  480,000    666,117 
Time Warner Entertainment 8.375% 3/15/23  225,000    263,853 
T-Mobile USA 144A 3.875% 4/15/30 #  130,000    145,138 
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 #  545,000    542,160 
      4,451,976 
Consumer Cyclical - 4.30%       
Colt Merger Sub 144A 6.25% 7/1/25 #  130,000    129,311 
Future Retail 144A 5.60% 1/22/25 #  630,000    417,148 
General Motors       
5.40% 10/2/23  55,000    59,625 
6.125% 10/1/25  55,000    61,878 
General Motors Financial 5.20% 3/20/23  105,000    112,416 
HTA Group 144A 7.00% 12/18/25 #  540,000    548,076 
Hutama Karya Persero 144A 3.75% 5/11/30 #  200,000    210,513 
L Brands 144A 9.375% 7/1/25 #  160,000    160,600 
M/I Homes 5.625% 8/1/25  644,000    652,787 
MGM Resorts International 5.75% 6/15/25  110,000    109,107 
Prime Security Services Borrower 144A 5.75% 4/15/26 #  991,000    1,029,243 
Resorts World Las Vegas 144A 4.625% 4/16/29 #  600,000    588,746 
Scientific Games International 144A 8.25% 3/15/26 #  480,000    426,818 
      4,506,268 
Consumer Non-Cyclical - 2.21%       
Aramark Services 144A 5.00% 2/1/28 #  105,000    99,991 
Bausch Health       
144A 5.50% 11/1/25 #  120,000    122,767 
144A 6.25% 2/15/29 #  126,000    126,866 
Encompass Health       
4.50% 2/1/28  70,000    67,257 
4.75% 2/1/30  25,000    23,917 
MHP 144A 6.95% 4/3/26 #  566,000    576,902 
Rede D’or Finance 144A 4.50% 1/22/30 #  765,000    676,306 
Tenet Healthcare       
5.125% 5/1/25  180,000    173,918 
6.875% 11/15/31  270,000    242,611 
US Foods 144A 6.25% 4/15/25 #  199,000    203,353 
      2,313,888 
Energy - 9.04%       
Cheniere Corpus Christi Holdings 7.00% 6/30/24  815,000    928,189 
Ecopetrol 6.875% 4/29/30  515,000    594,053 

 

NQ-QSV [6/20] 8/20 (1294191) 3

 

Schedule of investments

Delaware Strategic Income II Fund (Unaudited)

  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Energy (continued)       
Energy Transfer Operating 7.125%µy  545,000  $  466,656 
Grupo Energia Bogota 144A 4.875% 5/15/30 #  300,000    315,563 
KazMunayGas National JSC 144A 6.375% 10/24/48 #  1,134,000    1,433,932 
KazTransGas JSC 144A 4.375% 9/26/27 #  570,000    615,771 
Lukoil Securities 144A 3.875% 5/6/30 #  620,000    647,125 
Marathon Oil       
2.80% 11/1/22  285,000    285,414 
4.40% 7/15/27  695,000    682,475 
MPLX       
4.00% 3/15/28  200,000    210,855 
5.50% 2/15/49  295,000    335,222 
Noble Energy 4.20% 10/15/49  690,000    573,414 
Petrobras Global Finance 144A 5.093% 1/15/30 #  558,000    556,884 
Petroleos Mexicanos 6.50% 1/23/29  563,000    491,747 
Saudi Arabian Oil 144A 4.25% 4/16/39 #  565,000    630,414 
Southwestern Energy 7.75% 10/1/27  800,000    698,524 
      9,466,238 
Finance Companies - 0.33%       
GE Capital Funding 144A 3.45% 5/15/25 #  200,000    209,677 
International Lease Finance 8.625% 1/15/22  125,000    134,348 
      344,025 
Insurance - 2.56%       
American International Group 3.40% 6/30/30  115,000    124,832 
Aon 2.80% 5/15/30  65,000    69,628 
AssuredPartners 144A 7.00% 8/15/25 #  674,000    676,099 
Brighthouse Financial       
4.70% 6/22/47  595,000    545,222 
5.625% 5/15/30  70,000    77,707 
HUB International 144A 7.00% 5/1/26 #  514,000    514,517 
USI 144A 6.875% 5/1/25 #  665,000    672,890 
      2,680,895 
Technology - 1.54%       
Broadcom       
144A 3.15% 11/15/25 #  65,000    69,095 
144A 4.15% 11/15/30 #  45,000    49,064 
CDK Global 5.875% 6/15/26  60,000    62,456 
CommScope Technologies 144A 5.00% 3/15/27 #  1,270,000    1,147,712 
Fiserv 2.65% 6/1/30  90,000    95,149 
Global Payments 2.90% 5/15/30  110,000    115,190 
NXP       
144A 3.40% 5/1/30 #  30,000    32,348 

 

4 NQ-QSV [6/20] 8/20 (1294191)

 

(Unaudited)

    Principal amount°    Value (US $) 
Corporate Bonds (continued)        
Technology (continued)        
   NXP        
      144A 4.30% 6/18/29 #   35,000  $  39,778 
        1,610,792 
Transportation - 2.46%        
   Aerovias de Mexico 144A 7.00% 2/5/25 #‡   625,000    148,437 
ASG Finance Designated Activity 144A 7.875% 12/3/24 #   645,000    457,950 
   Delta Air Lines 144A 7.00% 5/1/25 #   1,020,000    1,053,985 
   Mileage Plus Holdings 144A 6.50% 6/20/27 #   345,000    346,725 
   Rutas 2 and 7 Finance 144A 2.932% 9/30/36 #^   705,000    461,775 
   Southwest Airlines 5.125% 6/15/27   110,000    114,205 
        2,583,077 
Utilities - 6.94%        
   Aegea Finance 144A 5.75% 10/10/24 #   600,000    609,813 
   Calpine 144A 5.25% 6/1/26 #   1,288,000    1,304,248 
   Comision Federal de Electricidad 144A 4.875% 1/15/24 #   513,000    541,802 
   Duke Energy 4.875%µy   650,000    650,141 
   Israel Electric 144A 5.00% 11/12/24 #   570,000    640,546 
   NRG Energy 144A 4.45% 6/15/29 #   950,000    1,001,728 
   PG&E 5.25% 7/1/30   160,000    161,200 
Sempra Energy 4.875%µy   85,000    85,213 
Southern California Edison        
      4.00% 4/1/47   100,000    114,384 
      4.875% 3/1/49   550,000    712,369 
Vistra Operations        
      144A 3.55% 7/15/24 #   1,240,000    1,280,585 
      144A 5.50% 9/1/26 #   165,000    169,297 
        7,271,326 
Total Corporate Bonds (cost $53,531,108)       52,915,209 
 
Loan Agreements – 4.78%        
   Acrisure Tranche B 3.678% (LIBOR01M + 3.50%)        
      2/15/27 •  338,291    320,531 
   Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%)        
      9/19/25 •  325,000    325,813 
AssuredPartners 3.678% (LIBOR01M + 3.50%) 2/12/27 •   337,370    323,453 
   AthenaHealth Tranche B 1st Lien 4.818% (LIBOR03M +        
      4.50%) 2/11/26 •   337,437    327,033 
   Blue Ribbon 1st Lien 5.00% (LIBOR01M + 4.00%)        
      11/15/21 •  150,000    129,000 
   Buckeye Partners 2.923% (LIBOR01M + 2.75%) 11/1/26 •   222,093    214,154 
   BWay Holding 4.561% (LIBOR03M + 3.25%) 4/3/24 •   208,389    188,175 

 

NQ-QSV [6/20] 8/20 (1294191) 5

 

Schedule of investments

Delaware Strategic Income II Fund (Unaudited)

  Principal amount°    Value (US $) 
Loan Agreements (continued)       
Calpine 2.43% (LIBOR01M + 2.25%) 1/15/24 •  28,731  $  27,791 
Connect US Finco 5.50% (LIBOR03M + 4.50%)       
12/12/26 •  209,475    197,849 
Frontier Communications Tranche B-1 5.352% (LIBOR03M       
+ 3.75%) 6/17/24 •  788,105    771,554 
Gentiva Health Services Tranche B 3.438% (LIBOR01M +       
3.25%) 7/2/25 •  268,645    261,257 
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%)       
6/17/27 •  560,000    547,867 
Kronos 3.179% (LIBOR01M + 3.00%) 11/1/23 •  378,520    378,165 
Kronos 2nd Lien 9.25% (LIBOR01M + 8.25%) 11/1/24 •  275,000    275,147 
Stars Group Holdings 3.808% (LIBOR03M + 3.50%)       
7/10/25 •  114,389    113,990 
Terrier Media Buyer 4.428% (LIBOR01M + 4.25%)       
12/17/26 •  37,810    36,203 
Ultimate Software Group 1st Lien 3.928% (LIBOR01M +       
3.75%) 5/4/26 •  313,452    304,105 
Verscend Holding Tranche B 4.678% (LIBOR01M +       
4.50%) 8/27/25 •  272,915    266,093 
Total Loan Agreements (cost $5,083,580)      5,008,180 
 
Non-Agency Asset-Backed Security – 0.83%       
Towd Point Mortgage Trust       
Series 2017-4 M1 144A 3.25% 6/25/57 #•  844,391    869,480 
Total Non-Agency Asset-Backed Security (cost $874,934)      869,480 
 
Non-Agency Collateralized Mortgage Obligations – 12.32%       
Connecticut Avenue Securities Trust       
Series 2019-R07 1M2 144A 2.285% (LIBOR01M +       
2.10%) 10/25/39 #•  1,500,000    1,453,982 
Series 2020-R01 1M2 144A 2.235% (LIBOR01M +       
2.05%, Floor 2.05%) 1/25/40 #•  1,500,000    1,423,443 
GS Mortgage-Backed Securities Trust       
Series 2020-PJ1 A1 144A 3.50% 5/25/50 #•  1,292,377    1,312,402 
JPMorgan Mortgage Trust       
Series 2020-1 A4 144A 3.50% 6/25/50 #•  1,276,346    1,301,579 
Series 2020-2 A3 144A 3.50% 7/25/50 #•  1,828,686    1,871,648 
Sequoia Mortgage Trust       
Series 2014-1 B3 144A 3.925% 4/25/44 #•  1,333,855    1,357,696 
Series 2017-5 B2 144A 3.839% 8/25/47 #•  1,395,615    1,424,606 
Series 2017-6 B2 144A 3.743% 9/25/47 #•  1,396,637    1,419,131 
Series 2017-7 B2 144A 3.748% 10/25/47 #•  1,402,231    1,341,071 
Total Non-Agency Collateralized Mortgage Obligations (cost $13,238,397)      12,905,558 

 

6 NQ-QSV [6/20] 8/20 (1294191)

 

(Unaudited)

Principal amount°    Value (US $) 
Non-Agency Commercial Mortgage-Backed Securities – 11.95%       
BANK       
Series 2019-BN20 A3 3.011% 9/15/62  1,350,000  $  1,494,650 
Cantor Commercial Real Estate Lending       
Series 2019-CF2 A5 2.874% 11/15/52  1,350,000    1,395,163 
DB-JPM Mortgage Trust       
Series 2016-C1 B 4.195% 5/10/49 •  1,000,000    1,005,406 
Series 2016-C3 A5 2.89% 8/10/49  1,000,000    1,071,570 
GS Mortgage Securities Trust       
Series 2017-GS5 A4 3.674% 3/10/50  1,350,000    1,500,818 
Series 2017-GS6 A3 3.433% 5/10/50  1,360,000    1,512,637 
Series 2020-GC47 B 3.571% 5/12/53  1,500,000    1,562,367 
JPM-DB Commercial Mortgage Securities Trust       
Series 2017-C7 A5 3.409% 10/15/50  1,350,000    1,501,515 
Morgan Stanley Bank of America Merrill Lynch Trust       
Series 2016-C29 A4 3.325% 5/15/49  1,350,000    1,470,623 
Total Non-Agency Commercial Mortgage-Backed Securities (cost $12,329,696)      12,514,749 
 
Sovereign Bonds – 6.10%D       
Brazil - 0.49%       
Brazilian Government International Bond 4.75% 1/14/50  550,000    518,169 
      518,169 
Egypt - 0.55%       
Egypt Government International Bond 144A       
7.60% 3/1/29 #  564,000    576,380 
      576,380 
El Salvador - 0.49%       
El Salvador Government International Bond 144A       
7.65% 6/15/35 #  584,000    509,540 
      509,540 
Ghana - 0.53%       
Ghana Government International Bond 144A       
7.875% 3/26/27 #  562,000    558,651 
      558,651 
Ivory Coast - 0.55%       
Ivory Coast Government International Bond 144A       
6.125% 6/15/33 #  574,000    574,264 
      574,264 
Mongolia - 0.62%       
Mongolia Government International Bond 144A       
5.625% 5/1/23 #  647,000    649,426 
      649,426 

 

NQ-QSV [6/20] 8/20 (1294191) 7

 

Schedule of investments

Delaware Strategic Income II Fund (Unaudited)

  Principal amount°    Value (US $) 
Sovereign BondsD (continued)       
Paraguay - 0.53%       
Paraguay Government International Bond 144A       
4.95% 4/28/31 #  500,000  $  559,375 
      559,375 
Peru - 0.75%       
Peruvian Government International Bond       
2.392% 1/23/26  200,000    208,100 
2.844% 6/20/30  536,000    576,768 
      784,868 
Qatar - 0.43%       
Qatar Government International Bond 144A       
3.40% 4/16/25 #  410,000    446,902 
      446,902 
Senegal - 0.52%       
Senegal Government International Bond 144A       
6.75% 3/13/48 #  564,000    546,727 
      546,727 
Uzbekistan - 0.64%       
Republic of Uzbekistan Bond 144A 4.75% 2/20/24 #  636,000    671,775 
      671,775 
Total Sovereign Bonds (cost $6,211,422)      6,396,077 
 
  Number of shares     
Preferred Stock – 0.28%       
Morgan Stanley 5.55% µy  325,000    298,741 
Total Preferred Stock (cost $330,242)      298,741 
 
Short-Term Investments – 1.67%       
BlackRock FedFund – Institutional Shares (seven-day       
effective yield 0.10%)  349,160    349,160 
Fidelity Investments Money Market Government       
Portfolio – Class I (seven-day effective yield 0.06%)  349,160    349,160 
GS Financial Square Government Fund – Institutional       
Shares (seven-day effective yield 0.15%)  349,161    349,161 
Morgan Stanley Government Portfolio – Institutional Share       
Class (seven-day effective yield 0.03%)  349,161    349,161 
State Street Institutional US Government Money Market       
Fund – Investor Class (seven-day effective yield 0.04%)  349,161    349,161 
Total Short-Term Investments (cost $1,745,803)      1,745,803 

 

8 NQ-QSV [6/20] 8/20 (1294191)

 

(Unaudited)

  Total Value of Securities – 98.86%     
  (cost $104,703,091)  $  103,561,800 
  Receivables and Other Assets Net of Liabilities – 1.14% ★   1,198,540 
  Net Assets Applicable to 11,442,525 Shares Outstanding – 100.00%  $  104,760,340 
 
#  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 
  At June 30, 2020, the aggregate value of Rule 144A securities was $56,972,805, which represents 
  54.38% of the Fund’s net assets.     
★   Includes $24,992 cash collateral held at broker for futures contracts as of June 30, 2020.   
°  Principal amount shown is stated in USD unless noted that the security is denominated in another 
  currency.     
‡  Non-income producing security. Security is currently in default.     
D    Securities have been classified by country of origin.     
µ  Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2020. 
  Rate will reset at a future date.     
y   No contractual maturity date.     
•  Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at   
  June 30, 2020. For securities based on a published reference rate and spread, the reference rate and 
  spread are indicated in their description above. The reference rate descriptions (i. e. LIBOR03M, 
  LIBOR06M, etc. ) used in this report are identical for different securities, but the underlying reference 
  rates may differ due to the timing of the reset period. Certain variable rate securities are not based on 
  a published reference rate and spread but are determined by the issuer or agent and are based on 
  current market conditions, or for mortgage-backed securities, are impacted by the individual 
  mortgages which are paying off over time. These securities do not indicate a reference rate and 
  spread in their description above.     
^  Zero-coupon security. The rate shown is the effective yield at the time of purchase.     

 

The following futures contracts were outstanding at June 30, 2020:             
Futures Contracts                         
 
                            Variation 
                            Margin 
              Notional      Value/    Value/    Due from 
        Notional     Cost  Expiration    Unrealized    Unrealized    (Due to) 
Contracts to Buy (Sell)    Amount     (Proceeds)  Date    Appreciation    Depreciation    Brokers 
    US Treasury                         
(26 )  10 yr Notes  $ (3,618,469 )  $ (3,610,889)  9/21/20  $ —  $  (7,580)  $  4,063 
    US Treasury                         
    10 yr Ultra                         
15   Notes    2,362,266     2,355,858  9/21/20    6,408    —    (3,750) 
Total Futures Contracts        $ (1,255,031)    $ 6,408  $  (7,580)  $  313 

 

NQ-QSV [6/20] 8/20 (1294191) 9

 

Schedule of investments

Delaware Strategic Income II Fund (Unaudited)

The use of futures contracts involves elements of market risk and risks in excess of the amounts
disclosed in the financial statements. The notional amount presented above represents the Fund’s total
exposure in such contracts, whereas only the variation margin is reflected in the Fund’s net assets.

Summary of abbreviations:
DB – Deutsche Bank
GS – Goldman Sachs
ICE – Intercontinental Exchange
JPM – JPMorgan
JSC – Joint-Stock Company
LIBOR – London interbank offered rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REMIC – Real Estate Mortgage Investment Conduit
USD – US Dollar
yr – Year

10 NQ-QSV [6/20] 8/20 (1294191)