NPORT-EX 2 AFT1MacHighYieldBdPort.htm
Schedule of investments
Macquarie Institutional Portfolios  —  Macquarie High Yield Bond Portfolio
July 31, 2020 (Unaudited)
    Principal amount° Value (US $)
Corporate Bonds — 86.47%
Automotive — 2.20%
Allison Transmission 144A 5.875% 6/1/29 #   518,000 $572,978
Ford Motor      
8.50% 4/21/23    360,000 400,235
9.00% 4/22/25    115,000 135,644
Ford Motor Credit      
4.542% 8/1/26    275,000 283,594
5.584% 3/18/24    495,000 526,606
5.875% 8/2/21    230,000 236,469
Gates Global 144A 6.25% 1/15/26 #   160,000 167,867
  2,323,393
Banking — 4.15%
Ally Financial 8.00% 11/1/31    375,000 519,612
Citizens Financial Group 5.65%  μ, ψ   420,000 446,250
Credit Suisse Group 144A 6.25%  #, μ, ψ   520,000 555,854
Deutsche Bank 6.00%  μ, ψ   800,000 698,240
Natwest Group 8.625%  μ, ψ   830,000 869,018
Popular 6.125% 9/14/23    1,215,000 1,292,329
  4,381,303
Basic Industry — 8.89%
Allegheny Technologies 5.875% 12/1/27    685,000 652,034
Avient 144A 5.75% 5/15/25 #   692,000 752,024
Blue Cube Spinco 10.00% 10/15/25    185,000 197,970
BMC East 144A 5.50% 10/1/24 #   505,000 518,203
Boise Cascade 144A 4.875% 7/1/30 #   499,000 531,435
Cemex 144A 7.375% 6/5/27 #   280,000 299,211
First Quantum Minerals      
144A 7.25% 4/1/23 #   530,000 533,167
144A 7.50% 4/1/25 #   405,000 409,556
Freeport-McMoRan 5.45% 3/15/43    952,000 1,060,966
Hudbay Minerals 144A 7.625% 1/15/25 #   230,000 233,321
Intertape Polymer Group 144A 7.00% 10/15/26 #   385,000 403,214
    Principal amount° Value (US $)
Corporate Bonds (continued)
Basic Industry (continued)
Joseph T Ryerson & Son      
144A 8.50% 8/1/28 #   190,000 $203,775
144A 11.00% 5/15/22 #   246,000 253,823
Kraton Polymers 144A 7.00% 4/15/25 #   480,000 498,485
M/I Homes 4.95% 2/1/28    612,000 630,743
Mattamy Group      
144A 4.625% 3/1/30 #   145,000 147,424
144A 5.25% 12/15/27 #   375,000 390,234
New Gold      
144A 6.375% 5/15/25 #   115,000 119,444
144A 7.50% 7/15/27 #   185,000 201,881
Novelis      
144A 4.75% 1/30/30 #   140,000 146,354
144A 5.875% 9/30/26 #   190,000 202,951
Olin 5.00% 2/1/30    250,000 235,579
Standard Industries 144A 4.375% 7/15/30 #   200,000 216,307
Tronox 144A 6.50% 4/15/26 #   360,000 361,764
WR Grace & Co. 144A 4.875% 6/15/27 #   185,000 197,481
  9,397,346
Capital Goods — 6.00%
ARD Finance 144A, PIK 6.50% 6/30/27 #, >   400,000 409,500
Ardagh Packaging Finance 144A 5.25% 8/15/27 #   400,000 419,108
Berry Global 144A 5.625% 7/15/27 #   635,000 681,453
Bombardier      
144A 7.50% 3/15/25 #   270,000 218,363
144A 7.875% 4/15/27 #   250,000 199,783
EnPro Industries 5.75% 10/15/26    545,000 566,015
Griffon 5.75% 3/1/28    500,000 523,750
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 #   180,000 183,787
Terex 144A 5.625% 2/1/25 #   270,000 275,098
Titan Acquisition 144A 7.75% 4/15/26 #   170,000 168,369
 
NQ-DPT-096 [7/20] 9/20 (1325966)    1
Schedule of investments
Macquarie Institutional Portfolios  —  Macquarie High Yield Bond Portfolio (Unaudited)
    Principal amount° Value (US $)
Corporate Bonds (continued)
Capital Goods (continued)
TransDigm      
5.50% 11/15/27    555,000 $527,638
144A 6.25% 3/15/26 #   690,000 728,816
144A 8.00% 12/15/25 #   90,000 97,965
United Rentals North America 3.875% 2/15/31    550,000 550,000
Vertical Holdco 144A 7.625% 7/15/28 #   200,000 213,000
Vertical US Newco 144A 5.25% 7/15/27 #   200,000 212,500
WESCO Distribution 144A 7.25% 6/15/28 #   330,000 360,989
  6,336,134
Communications — 11.42%
Altice Financing 144A 5.00% 1/15/28 #   555,000 570,465
Altice France Holding      
144A 6.00% 2/15/28 #   710,000 710,458
144A 10.50% 5/15/27 #   445,000 510,916
C&W Senior Financing 144A 6.875% 9/15/27 #   663,000 710,315
CenturyLink 144A 5.125% 12/15/26 #   730,000 766,723
Cincinnati Bell 144A 7.00% 7/15/24 #   565,000 586,354
Clear Channel Worldwide Holdings 9.25% 2/15/24    547,000 497,866
Connect Finco 144A 6.75% 10/1/26 #   970,000 996,141
Consolidated Communications 6.50% 10/1/22    795,000 782,578
Frontier Communications 144A 8.00% 4/1/27 #, ‡   1,071,000 1,110,284
LCPR Senior Secured Financing 144A 6.75% 10/15/27 #   265,000 286,664
Level 3 Financing 144A 4.25% 7/1/28 #   565,000 589,577
    Principal amount° Value (US $)
Corporate Bonds (continued)
Communications (continued)
Sprint      
7.125% 6/15/24    215,000 $251,101
7.625% 3/1/26    190,000 237,784
7.875% 9/15/23    995,000 1,156,687
Sprint Capital 8.75% 3/15/32    175,000 270,113
T-Mobile USA      
6.00% 4/15/24    325,000 333,073
6.50% 1/15/26    532,000 561,473
Vodafone Group 7.00% 4/4/79 μ   285,000 342,896
Zayo Group Holdings 144A 6.125% 3/1/28 #   770,000 795,387
  12,066,855
Consumer Cyclical — 3.70%
Boyd Gaming 144A 4.75% 12/1/27 #   490,000 472,071
Colt Merger Sub      
144A 6.25% 7/1/25 #   505,000 529,419
144A 8.125% 7/1/27 #   335,000 341,718
L Brands      
144A 6.875% 7/1/25 #   355,000 382,864
144A 9.375% 7/1/25 #   210,000 234,413
MGM Growth Properties Operating Partnership 5.75% 2/1/27    325,000 352,321
MGM Resorts International 5.75% 6/15/25    630,000 652,437
Scientific Games International 144A 8.25% 3/15/26 #   396,000 397,305
William Carter 144A 5.625% 3/15/27 #   510,000 544,632
  3,907,180
Consumer Non-Cyclical — 4.03%
JBS USA LUX      
144A 5.50% 1/15/30 #   250,000 276,000
144A 6.50% 4/15/29 #   335,000 380,161
Kraft Heinz Foods      
144A 3.875% 5/15/27 #   450,000 485,345
5.00% 7/15/35    340,000 398,679
5.20% 7/15/45    395,000 451,107
Pilgrim's Pride 144A 5.75% 3/15/25 #   465,000 477,206
Post Holdings 144A 5.50% 12/15/29 #   490,000 538,375
 
2    NQ-DPT-096 [7/20] 9/20 (1325966)
(Unaudited)
    Principal amount° Value (US $)
Corporate Bonds (continued)
Consumer Non-Cyclical (continued)
Spectrum Brands      
144A 5.00% 10/1/29 #   585,000 $604,633
144A 5.50% 7/15/30 #   140,000 145,600
US Foods 144A 6.25% 4/15/25 #   469,000 503,629
  4,260,735
Energy — 10.16%
Cheniere Energy Partners 4.50% 10/1/29    460,000 487,273
Continental Resources 5.00% 9/15/22    520,000 520,520
Crestwood Midstream Partners 144A 5.625% 5/1/27 #   535,000 501,913
DCP Midstream Operating 5.125% 5/15/29    505,000 509,197
EQM Midstream Partners 144A 6.50% 7/1/27 #   365,000 402,965
Genesis Energy 6.50% 10/1/25    675,000 627,321
Murphy Oil 5.875% 12/1/27    690,000 635,449
Murphy Oil USA      
4.75% 9/15/29    210,000 222,492
5.625% 5/1/27    700,000 744,492
NuStar Logistics 6.00% 6/1/26    630,000 646,830
Occidental Petroleum      
2.70% 8/15/22    585,000 565,815
2.70% 2/15/23    540,000 519,502
3.50% 8/15/29    275,000 244,852
PDC Energy 6.125% 9/15/24    479,000 486,561
Precision Drilling 144A 7.125% 1/15/26 #   840,000 582,590
Southwestern Energy 7.75% 10/1/27    605,000 570,394
Sunoco 6.00% 4/15/27    235,000 248,461
Targa Resources Partners      
5.375% 2/1/27    490,000 507,388
5.875% 4/15/26    340,000 361,983
Transocean 144A 7.25% 11/1/25 #   222,000 109,890
Western Midstream Operating 4.75% 8/15/28    505,000 511,191
    Principal amount° Value (US $)
Corporate Bonds (continued)
Energy (continued)
WPX Energy      
5.25% 10/15/27    500,000 $493,970
5.875% 6/15/28    225,000 230,771
  10,731,820
Financial Services — 1.71%
AerCap Holdings 5.875% 10/10/79 μ   335,000 257,416
AerCap Ireland Capital DAC 6.50% 7/15/25    490,000 526,285
DAE Funding      
144A 4.50% 8/1/22 #   135,000 133,012
144A 5.75% 11/15/23 #   902,000 889,503
  1,806,216
Healthcare — 7.26%
Avantor Funding 144A 4.625% 7/15/28 #   720,000 762,516
Bausch Health 144A 6.25% 2/15/29 #   710,000 755,326
Centene 4.625% 12/15/29    350,000 390,794
CHS 144A 8.00% 3/15/26 #   530,000 543,393
Encompass Health 4.75% 2/1/30    690,000 730,234
Hadrian Merger Sub 144A 8.50% 5/1/26 #   437,000 404,688
HCA      
5.375% 2/1/25    340,000 383,855
5.875% 2/1/29    410,000 499,874
7.58% 9/15/25    230,000 264,500
Jaguar Holding II      
4.625% 6/15/25 #   250,000 261,658
144A 5.00% 6/15/28 #   450,000 479,812
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 #   505,000 538,772
Surgery Center Holdings 144A 10.00% 4/15/27 #   495,000 526,611
Tenet Healthcare      
5.125% 5/1/25    235,000 242,043
6.875% 11/15/31    450,000 431,352
8.125% 4/1/22    420,000 453,075
  7,668,503
 
NQ-DPT-096 [7/20] 9/20 (1325966)    3
Schedule of investments
Macquarie Institutional Portfolios  —  Macquarie High Yield Bond Portfolio (Unaudited)
    Principal amount° Value (US $)
Corporate Bonds (continued)
Insurance — 1.76%
GTCR AP Finance 144A 8.00% 5/15/27 #   160,000 $169,370
HUB International 144A 7.00% 5/1/26 #   865,000 906,957
USI 144A 6.875% 5/1/25 #   765,000 786,508
  1,862,835
Media — 7.32%
CCO Holdings      
144A 4.50% 8/15/30 #   1,255,000 1,331,750
144A 5.375% 6/1/29 #   465,000 509,705
CSC Holdings      
144A 5.75% 1/15/30 #   1,315,000 1,459,394
144A 7.50% 4/1/28 #   440,000 506,741
144A 10.875% 10/15/25 #   260,000 279,006
Cumulus Media New Holdings 144A 6.75% 7/1/26 #   495,000 450,061
Gray Television 144A 7.00% 5/15/27 #   495,000 542,099
Netflix      
144A 4.875% 6/15/30 #   285,000 335,645
144A 5.375% 11/15/29 #   145,000 175,813
Nexstar Broadcasting 144A 5.625% 7/15/27 #   695,000 744,946
Radiate Holdco 144A 6.625% 2/15/25 #   470,000 483,515
Sirius XM Radio 144A 4.125% 7/1/30 #   455,000 480,730
Terrier Media Buyer 144A 8.875% 12/15/27 #   420,000 431,287
  7,730,692
Real Estate — 0.82%
HAT Holdings I 144A 5.25% 7/15/24 #   825,000 861,180
  861,180
Services — 5.35%
Clean Harbors 144A 5.125% 7/15/29 #   290,000 311,151
Covanta Holding 6.00% 1/1/27    555,000 576,401
Gartner 144A 4.50% 7/1/28 #   415,000 436,269
    Principal amount° Value (US $)
Corporate Bonds (continued)
Services (continued)
GFL Environmental 144A 4.25% 6/1/25 #   460,000 $479,263
Iron Mountain 144A 5.25% 7/15/30 #   575,000 604,109
Iron Mountain US Holdings 144A 5.375% 6/1/26 #   235,000 244,062
PowerTeam Services 144A 9.033% 12/4/25 #   650,000 691,356
Prime Security Services
Borrower 		     
144A 5.75% 4/15/26 #   555,000 617,335
144A 6.25% 1/15/28 #   715,000 746,467
Tms International Holding 144A 7.25% 8/15/25 #   270,000 225,450
United Rentals North
America 		     
5.25% 1/15/30    460,000 504,562
5.875% 9/15/26    205,000 219,066
  5,655,491
Technology & Electronics — 5.86%
Banff Merger Sub 144A 9.75% 9/1/26 #   495,000 524,641
BY Crown Parent      
144A 4.25% 1/31/26 #   450,000 468,135
144A 7.375% 10/15/24 #   768,000 781,359
Camelot Finance 144A 4.50% 11/1/26 #   415,000 436,592
CommScope Technologies 144A 5.00% 3/15/27 #   525,000 508,486
Microchip Technology 144A 4.25% 9/1/25 #   735,000 773,772
Open Text 144A 3.875% 2/15/28 #   150,000 156,962
Open Text Holdings 144A 4.125% 2/15/30 #   654,000 687,969
Science Applications International 144A 4.875% 4/1/28 #   470,000 493,133
SS&C Technologies 144A 5.50% 9/30/27 #   793,000 853,466
Verscend Escrow 144A 9.75% 8/15/26 #   460,000 510,653
  6,195,168
 
4    NQ-DPT-096 [7/20] 9/20 (1325966)
(Unaudited)
    Principal amount° Value (US $)
Corporate Bonds (continued)
Transportation — 2.00%
Delta Air Lines      
144A 7.00% 5/1/25 #   470,000 $502,820
7.375% 1/15/26    455,000 451,469
Mileage Plus Holdings 144A 6.50% 6/20/27 #   325,000 337,187
Southwest Airlines 5.125% 6/15/27    275,000 288,944
Stena International 144A 6.125% 2/1/25 #   200,000 193,625
VistaJet Malta Finance 144A 10.50% 6/1/24 #   380,000 342,990
  2,117,035
Utilities — 3.84%
AES 5.125% 9/1/27    485,000 526,412
Calpine      
144A 4.625% 2/1/29 #   95,000 96,186
144A 5.00% 2/1/31 #   545,000 559,922
Pacific Gas and Electric      
4.55% 7/1/30    417,500 480,395
4.95% 7/1/50    417,500 507,832
PG&E 5.25% 7/1/30    1,005,000 1,046,456
Vistra Operations      
144A 5.00% 7/31/27 #   241,000 257,508
144A 5.50% 9/1/26 #   134,000 141,370
144A 5.625% 2/15/27 #   410,000 440,738
  4,056,819
Total Corporate Bonds
(cost $87,704,070) 		91,358,705
 
Loan Agreements — 7.28%
Air Medical Group Holdings 4.25% (LIBOR03M + 3.25%) 4/28/22 •   511,958 505,466
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) 9/19/25 •   949,290 959,732
Apro 5.00% (LIBOR02M + 4.00%) 11/14/26 •   198,820 198,323
Blue Ribbon 1st Lien 5.00% (LIBOR03M + 4.00%) 11/15/21 •   161,356 147,103
Boxer Parent TBD 10/2/25 X   150,612 145,871
BW Gas & Convenience Holdings 6.43% (LIBOR01M + 6.25%) 11/18/24 •   97,865 97,376
    Principal amount° Value (US $)
Loan Agreements (continued)
BWay Holding 3.523% (LIBOR03M + 3.25%) 4/3/24 •   319,177 $298,858
Calpine 2.43% (LIBOR01M + 2.25%) 1/15/24 •   65,654 64,444
Carnival TBD 6/30/25 X   315,000 310,275
Epicor Software 2nd Lien TBD 7/30/28 X   396,000 405,405
Granite US Holdings Tranche B 5.822% (LIBOR06M + 5.25%) 9/30/26 •   482,703 425,985
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 •   525,000 523,819
Informatica 2nd Lien 7.125% (LIBOR03M + 0.00%) 2/14/25 •   525,000 514,008
LCPR Loan Financing 5.175% (LIBOR01M + 5.00%) 10/15/26 •   193,000 194,568
Merrill Communications Tranche B 1st Lien 2.74% (LIBOR06M + 5.00%) 10/5/26 •   351,345 344,318
Scientific Games International Tranche B-5 3.476% (LIBOR01M + 2.75%) 8/14/24 •   275,384 251,730
Stars Group Holdings 3.808% (LIBOR03M + 3.50%) 7/10/25 •   288,432 288,756
Surgery Center Holdings 4.86% (LIBOR01M + 3.25%) 9/2/24 •   274,600 259,726
Terrier Media Buyer 4.428% (LIBOR01M + 4.25%) 12/17/26 •   496,505 484,403
Ultimate Software Group 2nd Lien 7.50% (LIBOR03M + 6.75%) 5/3/27 •   719,000 730,984
Vantage Specialty Chemicals 2nd Lien 9.25% (LIBOR03M + 8.25%) 10/27/25 •   275,000 202,125
Verscend Holding Tranche B 4.678% (LIBOR01M + 4.50%) 8/27/25 •   342,960 342,315
Total Loan Agreements
(cost $7,724,894) 		7,695,590
 
NQ-DPT-096 [7/20] 9/20 (1325966)    5
Schedule of investments
Macquarie Institutional Portfolios  —  Macquarie High Yield Bond Portfolio (Unaudited)
    Number of shares Value (US $)
Common Stock — 0.00%
Century Communications =, †   60,000 $0
Total Common Stock
(cost $1,816) 		0
Short-Term Investments — 6.11%
Money Market Mutual Funds — 6.11%
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.06%)   1,290,577 1,290,577
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.05%)   1,290,577 1,290,577
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.13%)   1,290,577 1,290,577
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.01%)   1,290,578 1,290,578
State Street Institutional US Government Money Market Fund – Investor Class (seven-day effective yield 0.01%)   1,290,577 1,290,577
Total Short-Term Investments
(cost $6,452,886) 		6,452,886
Total Value of Securities—99.86%
(cost $101,883,666) 		    105,507,181
Receivables and Other Assets Net of Liabilities—0.14%     149,461
Net Assets Applicable to 102,219,547 Shares Outstanding—100.00%     $105,656,642
° Principal amount shown is stated in USD unless noted that the security is denominated in another currency.
# Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At July 31, 2020, the aggregate value of Rule 144A securities was $56,802,471, which represents 53.76% of the Portfolio’s net assets.
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2020. Rate will reset at a future date.
ψ No contractual maturity date.
> PIK. 47% of the income received was in cash and 53% was in principal.
‡ Non-income producing security. Security is currently in default.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at July 31, 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.
X This loan will settle after July 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected.
= The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security.
† Non-income producing security.
Summary of abbreviations: 
DAC – Designated Activity Company
GS – Goldman Sachs
ICE – Intercontinental Exchange
LIBOR – London interbank offered rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR02M – ICE LIBOR USD 2 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
PIK – Payment-in-Kind
TBD – To be determined
USD – US Dollar
6    NQ-DPT-096 [7/20] 9/20 (1325966)