NPORT-EX 2 AFIN0DelawareCovCallStratFd.htm fin0_del-ccsf.htm - Generated by SEC Publisher for SEC Filing

Schedule of investments

Delaware Covered Call Strategy Fund June 30, 2020 (Unaudited)

  Number of shares    Value (US $) 
Common Stock – 104.66% ✧      
Communication Services - 8.76%       
Alphabet Class A †  ∞ 4,600  $  6,523,030 
AT&T  ∞ 61,300    1,853,099 
Facebook Class A †  ∞ 30,100    6,834,807 
      15,210,936 
Consumer Discretionary - 10.41%       
Home Depot  ∞ 43,800    10,972,338 
TJX  ∞ 63,700    3,220,672 
Whirlpool  ∞ 30,000    3,885,900 
      18,078,910 
Consumer Staples - 12.29%       
Constellation Brands Class A  ∞ 26,000    4,548,700 
Costco Wholesale  ∞ 25,700    7,792,497 
Mondelez International Class A  ∞ 110,800    5,665,204 
Sysco  ∞ 60,900    3,328,794 
      21,335,195 
Energy - 3.49%       
Chevron  ∞ 68,000    6,067,640 
      6,067,640 
Financials - 7.76%       
BlackRock  ∞ 13,600    7,399,624 
Blackstone Group Class A  ∞ 107,400    6,085,284 
      13,484,908 
Healthcare - 11.65%       
Bristol-Myers Squibb  ∞ 97,700    5,744,760 
Medtronic  ∞ 67,300    6,171,410 
Merck & Co.  ∞ 74,000    5,722,420 
Stryker  ∞ 14,400    2,594,736 
      20,233,326 
Industrials - 12.40%       
Boeing  ∞ 32,200    5,902,260 
Caterpillar  ∞ 30,900    3,908,850 
Lockheed Martin  ∞ 14,700    5,364,324 
Raytheon Technologies  ∞ 52,800    3,253,536 
United Parcel Service Class B  ∞ 27,900    3,101,922 
      21,530,892 
Information Technology - 36.30%       
Apple  ∞ 40,200    14,664,960 
Broadcom  ∞ 26,200    8,268,982 
Corning  ∞ 146,100    3,783,990 
Mastercard Class A  ∞ 27,700    8,190,890 
Microsoft  ∞ 64,000    13,024,640 

 

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Schedule of investments

Delaware Covered Call Strategy Fund (Unaudited)

  Number of shares     Value (US $) 
Common Stock ✧ (continued)         
Information Technology (continued)         
Oracle  ∞ 81,000   $  4,476,870 
Texas Instruments  ∞ 51,800     6,577,046 
Visa Class A  ∞ 21,000     4,056,570 
        63,043,948 
Materials - 1.60%         
Nucor  ∞ 67,100     2,778,611 
        2,778,611 
Total Common Stock (cost $149,486,205)        181,764,366 
 
Short-Term Investments – 1.99%         
Money Market Mutual Funds - 1.99%         
BlackRock FedFund – Institutional Shares (seven-day         
effective yield 0.10%)  690,703     690,703 
Fidelity Investments Money Market Government         
Portfolio – Class I (seven-day effective yield 0.06%)  690,704     690,704 
GS Financial Square Government Fund – Institutional         
Shares (seven-day effective yield 0.15%)  690,704     690,704 
Morgan Stanley Government Portfolio – Institutional Share         
Class (seven-day effective yield 0.03%)  690,704     690,704 
State Street Institutional US Government Money Market         
Fund – Investor Class (seven-day effective yield 0.04%)  690,704     690,704 
Total Short-Term Investments (cost $3,453,519)        3,453,519 
 
Total Value of Securities Before Options Written – 106.65%         
(cost $152,939,724)        185,217,885 
 
  Number of contracts      
Options Written – (6.43%)         
Equity Call Options - (6.43%)         
Alphabet strike price $1,375, expiration date 1/15/21,         
notional amount ($2,887,500)  (21 )    (320,460) 
Alphabet strike price $1,500, expiration date 9/18/20,         
notional amount ($3,750,000)  (25 )    (115,875) 
Apple strike price $340, expiration date 7/17/20, notional         
amount ($13,668,000)  (402 )    (1,071,329) 
AT&T strike price $34, expiration date 1/15/21, notional         
amount ($2,084,200)  (613 )    (51,492) 
BlackRock strike price $560, expiration date 7/24/20,         
notional amount ($2,688,000)  (48 )    (48,480) 
BlackRock strike price $580, expiration date 9/18/20,         
notional amount ($5,104,000)  (88 )    (146,960) 
Blackstone Group strike price $60, expiration date         
1/15/21, notional amount ($4,428,000)  (738 )    (341,325) 

 

2 NQ-QCV [6/20] 8/20 (1294204)

 

(Unaudited)

  Number of contracts    Value (US $) 
Options Written (continued)       
Equity Call Options (continued)       
Blackstone Group strike price $60, expiration date       
9/18/20, notional amount ($2,016,000)  (336)  $  (86,520) 
Boeing strike price $200, expiration date 10/16/20,       
notional amount ($2,480,000)  (124)    (263,500) 
Boeing strike price $250, expiration date 10/16/20,       
notional amount ($4,950,000)  (198)    (186,615) 
Bristol-Myers Squibb strike price $60, expiration date       
9/18/20, notional amount ($1,740,000)  (290)    (81,780) 
Bristol-Myers Squibb strike price $65, expiration date       
9/18/20, notional amount ($4,465,500)  (687)    (67,670) 
Broadcom strike price $300, expiration date 1/15/21,       
notional amount ($7,860,000)  (262)    (1,078,130) 
Caterpillar strike price $115, expiration date 8/21/20,       
notional amount ($3,553,500)  (309)    (439,552) 
Chevron strike price $90, expiration date 9/18/20, notional       
amount ($6,120,000)  (680)    (409,700) 
Constellation Brands strike price $180, expiration date       
10/16/20, notional amount ($1,026,000)  (57)    (69,540) 
Constellation Brands strike price $200, expiration date       
10/16/20, notional amount ($4,060,000)  (203)    (84,753) 
Corning strike price $29, expiration date 11/20/20, notional       
amount ($4,236,900)  (1,461)    (200,888) 
Costco Wholesale strike price $320, expiration date       
7/17/20, notional amount ($8,224,000)  (257)    (16,576) 
Facebook strike price $240, expiration date 1/15/21,       
notional amount ($7,224,000)  (301)    (613,288) 
Home Depot strike price $260, expiration date 11/20/20,       
notional amount ($11,388,000)  (438)    (650,430) 
Lockheed Martin strike price $420, expiration date       
1/15/21, notional amount ($6,174,000)  (147)    (177,870) 
Mastercard strike price $310, expiration date 1/15/21,       
notional amount ($8,587,000)  (277)    (637,792) 
Medtronic strike price $110, expiration date 1/15/21,       
notional amount ($7,403,000)  (673)    (130,898) 
Merck & Co. strike price $85, expiration date 10/16/20,       
notional amount ($6,290,000)  (740)    (106,930) 
Microsoft strike price $192.50, expiration date 7/24/20,       
notional amount ($6,179,250)  (321)    (418,103) 
Microsoft strike price $210, expiration date 9/18/20,       
notional amount ($6,699,000)  (319)    (269,555) 
Mondelez International strike price $55, expiration date       
9/18/20, notional amount ($6,094,000)  (1,108)    (87,532) 
Nucor strike price $40, expiration date 10/16/20, notional       
amount ($2,684,000)  (671)    (306,983) 

 

NQ-QCV [6/20] 8/20 (1294204) 3

 

Schedule of investments

Delaware Covered Call Strategy Fund (Unaudited)

      Number of contracts     Value (US $)  
  Options Written (continued)            
  Equity Call Options (continued)            
  Oracle strike price $55, expiration date 9/18/20, notional            
       amount ($4,455,000)   (810 )  $  (257,175 ) 
  Raytheon Technologies strike price $70, expiration date            
       8/21/20, notional amount ($3,696,000)  (528 )    (73,920 ) 
     Stryker strike price $185, expiration date 1/15/21, notional            
       amount ($2,664,000)   (144 )    (246,240 ) 
  Sysco strike price $60, expiration date 11/20/20, notional            
       amount ($3,654,000)   (609 )    (277,095 ) 
     Texas Instruments strike price $120, expiration date            
       9/18/20, notional amount ($6,216,000)  (518 )    (616,420 ) 
     TJX strike price $60, expiration date 7/17/20, notional            
       amount ($3,822,000)   (637 )    (6,370 ) 
  United Parcel Service strike price $100, expiration date            
       7/17/20, notional amount ($2,790,000)  (279 )    (329,918 ) 
  Visa strike price $185, expiration date 1/15/21, notional            
       amount ($3,885,000)   (210 )    (466,725 ) 
     Whirlpool strike price $135, expiration date 1/15/21,            
       notional amount ($4,050,000)   (300 )    (407,250 ) 
 
  Total Options Written            
  (premium received $8,538,974)         (11,161,639 ) 
  Liabilities Net of Receivables and Other Assets – (0.22%)         (378,173 ) 
  Net Assets Applicable to 16,644,199 Shares Outstanding – 100.00%       $  173,678,073  
 
✧ Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are  
  used for financial reporting.            
†  Non-income producing security.            
∞  All or portion of the security has been pledged as collateral with outstanding options written.  
 
GS – Goldman Sachs            

 

4 NQ-QCV [6/20] 8/20 (1294204)