Schedule of investments
Delaware Floating Rate II Fund June 30, 2020 (Unaudited)
Principal amount° | Value (US $) | ||
Convertible Bond – 0.28% | |||
Cheniere Energy 144A PIK 4.875% exercise price $93.64, | |||
expiration date 5/28/21 # ❆ | 176,000 | $ | 178,587 |
Total Convertible Bond (cost $177,540) | 178,587 | ||
Corporate Bonds – 7.51% | |||
Capital Goods - 0.47% | |||
Bombardier 144A 7.875% 4/15/27 # | 125,000 | 82,086 | |
TransDigm 5.50% 11/15/27 | 250,000 | 218,929 | |
301,015 | |||
Communications - 1.58% | |||
Cincinnati Bell 144A 7.00% 7/15/24 # | 223,000 | 228,155 | |
Consolidated Communications 6.50% 10/1/22 | 412,000 | 380,843 | |
Frontier Communications 144A 8.00% 4/1/27 #‡ | 214,000 | 217,569 | |
Level 3 Financing 144A 4.25% 7/1/28 # | 175,000 | 175,644 | |
1,002,211 | |||
Consumer Cyclical - 0.84% | |||
Ford Motor 8.50% 4/21/23 | 500,000 | 529,687 | |
529,687 | |||
Financial Services - 0.59% | |||
NFP 144A 7.00% 5/15/25 # | 190,000 | 200,331 | |
Uniti Group 144A 7.875% 2/15/25 # | 174,000 | 176,894 | |
377,225 | |||
Healthcare - 1.53% | |||
Centene 3.375% 2/15/30 | 400,000 | 404,510 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 160,000 | 162,900 | |
Surgery Center Holdings 144A 10.00% 4/15/27 # | 150,000 | 150,534 | |
Tenet Healthcare 144A 6.25% 2/1/27 # | 250,000 | 248,905 | |
966,849 | |||
Insurance - 0.30% | |||
HUB International 144A 7.00% 5/1/26 # | 190,000 | 190,191 | |
190,191 | |||
Media - 0.35% | |||
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 125,000 | 116,279 | |
Radiate Holdco 144A 6.625% 2/15/25 # | 105,000 | 104,880 | |
221,159 | |||
Technology - 0.61% | |||
Banff Merger Sub 144A 9.75% 9/1/26 # | 215,000 | 216,840 | |
Boxer Parent 144A 9.125% 3/1/26 # | 165,000 | 171,497 | |
388,337 |
NQ-QFV [6/20] 8/20 (1294182) 1
Schedule of investments
Delaware Floating Rate II Fund (Unaudited)
Principal amount° | Value (US $) | |||
Corporate Bonds (continued) | ||||
Transportation - 0.71% | ||||
DAE Funding 144A 5.75% 11/15/23 # | 91,000 | $ | 87,009 | |
Delta Air Lines 144A 7.00% 5/1/25 # | 350,000 | 361,662 | ||
448,671 | ||||
Utilities - 0.53% | ||||
Pacific Gas and Electric 6.05% 3/1/34 ‡ | 280,000 | 334,313 | ||
334,313 | ||||
Total Corporate Bonds (cost $4,679,327) | 4,759,658 | |||
Loan Agreements – 92.58% | ||||
A&V Holdings Midco TBD 3/10/27 X | 325,000 | 286,000 | ||
Acrisure Tranche B 3.678% (LIBOR01M + 3.50%) | ||||
2/15/27 • | 619,003 | 586,505 | ||
Air Medical Group Holdings 4.25% (LIBOR03M + 3.25%) | ||||
4/28/22 • | 496,183 | 478,817 | ||
American Airlines Tranche B 2.185% (LIBOR01M + 2.00%) | ||||
12/14/23 • | 720,629 | 587,827 | ||
Applied Systems 1st Lien TBD 9/19/24 X | 204,000 | 199,665 | ||
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) | ||||
9/19/25 • | 1,500,000 | 1,503,750 | ||
Apro 5.00% (LIBOR01M + 4.00%) 11/14/26 • | 665,196 | 653,555 | ||
Aramark Services Tranche B-4 1.924% (LIBOR01M + | ||||
1.75%) 1/15/27 • | 317,205 | 299,759 | ||
AssuredPartners 3.678% (LIBOR01M + 3.50%) 2/12/27 • | 1,233,195 | 1,182,326 | ||
Assuredpartners 5.50% (LIBOR03M + 4.50%) 2/12/27 • | 224,438 | 221,071 | ||
AthenaHealth Tranche B 1st Lien 4.818% (LIBOR03M + | ||||
4.50%) 2/11/26 • | 493,750 | 478,526 | ||
Bausch Health 3.19% (LIBOR01M + 3.00%) 6/2/25 • | 600,494 | 583,886 | ||
Berry Global Tranche Y 2.177% (LIBOR01M + 2.00%) | ||||
7/1/26 • | 397,741 | 381,974 | ||
Blue Ribbon 1st Lien 5.00% (LIBOR01M + 4.00%) | ||||
11/15/21 • | 1,039,000 | 893,540 | ||
Boxer Parent 4.428% (LIBOR01M + 4.25%) 10/2/25 • | 622,124 | 590,573 | ||
BW Gas & Convenience Holdings 6.43% (LIBOR01M + | ||||
6.25%) 11/18/24 • | 484,032 | 474,351 | ||
Caesars Resort Collection Tranche B-1 TBD | ||||
0.00% 7/21/25 X | 1,180,000 | 1,112,782 | ||
Calpine 2.43% (LIBOR01M + 2.25%) 1/15/24 • | 1,235,055 | 1,194,659 | ||
Camelot US Acquisition 3.178% (LIBOR01M + 3.00%) | ||||
10/30/26 • | 1,034,800 | 1,004,187 | ||
Carnival TBD 6/30/25 X | 1,000,000 | 970,000 | ||
CenturyLink Tranche B 2.428% (LIBOR01M + 2.25%) | ||||
3/15/27 • | 938,285 | 887,412 |
2 NQ-QFV [6/20] 8/20 (1294182)
(Unaudited)
Principal amount° | Value (US $) | |||
Loan Agreements (continued) | ||||
Change Healthcare Holdings 3.50% (LIBOR03M + 2.50%) | ||||
3/1/24 • | 743,940 | $ | 716,353 | |
Chemours Tranche B-2 1.93% (LIBOR01M + 1.75%) | ||||
4/3/25 • | 223,626 | 212,631 | ||
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) | ||||
4/18/24 • | 374,036 | 340,996 | ||
Connect US Finco 5.50% (LIBOR03M + 4.50%) | ||||
12/12/26 • | 658,350 | 621,812 | ||
Conservice Midco Tranche B 4.558% (LIBOR03M + | ||||
4.25%) 5/7/27 • | 185,000 | 180,837 | ||
Consolidated Communications 4.00% (LIBOR01M + | ||||
3.00%) 10/5/23 • | 1,134,139 | 1,081,969 | ||
Coral US Tranche B-5 2.428% (LIBOR01M + 2.25%) | ||||
1/31/28 • | 700,000 | 666,750 | ||
Core & Main 3.75% (LIBOR03M + 2.75%) 8/1/24 • | 542,425 | 518,694 | ||
CPI Holdco 1st Lien 4.428% (LIBOR01M + 4.25%) | ||||
11/4/26 • | 1,021,079 | 987,894 | ||
CSC Holdings 2.435% (LIBOR01M + 2.25%) 7/17/25 • | 333,121 | 316,798 | ||
Cumulus Media New Holdings 4.822% (LIBOR06M + | ||||
3.75%) 3/31/26 • | 793,503 | 747,876 | ||
DaVita Tranche B-1 1.928% (LIBOR01M + 1.75%) | ||||
8/12/26 • | 653,073 | 634,787 | ||
Delta Air Lines 5.51% (LIBOR03M + 4.75%) 4/27/23 • | 185,000 | 182,040 | ||
Dun & Bradstreet Tranche B 4.184% (LIBOR01M + 4.00%) | ||||
2/6/26 • | 548,625 | 536,281 | ||
Ensemble RCM 4.437% (LIBOR03M + 3.75%) 8/1/26 • | 1,073,795 | 1,048,293 | ||
Frontier Communications Tranche B-1 5.352% (LIBOR03M | ||||
+ 2.75%) 6/17/24 • | 1,038,591 | 1,016,781 | ||
Garda World Security Tranche B 1st Lien 4.93% | ||||
(LIBOR01M + 4.75%) 10/30/26 • | 423,678 | 417,323 | ||
Genesee & Wyoming 2.308% (LIBOR03M + 2.00%) | ||||
12/30/26 • | 336,158 | 324,980 | ||
GFL Environmental 4.00% (LIBOR03M + 3.00%) 5/30/25 • | 404,444 | 394,164 | ||
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) | ||||
6/17/27 • | 1,149,000 | 1,124,105 | ||
HD Supply Tranche B-5 1.928% (LIBOR01M + 1.75%) | ||||
10/17/23 • | 1,139,525 | 1,107,476 | ||
Heartland Dental 3.678% (LIBOR01M + 3.50%) 4/30/25 • | 926,657 | 822,871 | ||
HUB International 5.00% (LIBOR03M + 4.00%) 4/25/25 • | 995,000 | 984,773 | ||
Informatica 2nd Lien 7.125% (LIBOR03M + 7.125%) | ||||
2/14/25 • | 1,085,000 | 1,038,887 | ||
Ingersoll-Rand Services Tranche B-1 1.928% (LIBOR01M | ||||
+ 1.75%) 2/28/27 • | 648,375 | 616,159 | ||
JBS USA LUX 3.072% (LIBOR06M + 2.00%) 5/1/26 • | 1,488,693 | 1,427,285 | ||
Kronos 3.179% (LIBOR01M + 3.00%) 11/1/23 • | 184,059 | 183,886 |
NQ-QFV [6/20] 8/20 (1294182) 3
Schedule of investments
Delaware Floating Rate II Fund (Unaudited)
Principal amount° | Value (US $) | |||
Loan Agreements (continued) | ||||
Kronos 2nd Lien 9.25% (LIBOR01M + 8.25%) 11/1/24 • | 870,000 | $ | 870,466 | |
LCPR Loan Financing 5.185% (LIBOR03M + 5.00%) | ||||
10/15/26 • | 637,000 | 635,407 | ||
Merrill Communications Tranche B 1st Lien 6.195% | ||||
(LIBOR06M + 5.00%) 10/5/26 • | 1,094,500 | 1,078,083 | ||
Mileage Plus Holdings TBD 0.00% 6/25/27 X | 1,150,000 | 1,143,737 | ||
NFP 3.428% (LIBOR01M + 3.25%) 2/15/27 • | 493,926 | 461,821 | ||
Numericable US Tranche B-11 2.928% (LIBOR01M + | ||||
2.75%) 7/31/25 • | 758,712 | 720,776 | ||
Numericable US Tranche B-13 4.185% (LIBOR01M + | ||||
4.00%) 8/14/26 • | 350,000 | 337,925 | ||
ON Semiconductor Tranche B-4 2.178% (LIBOR01M + | ||||
2.00%) 9/16/26 • | 648,981 | 624,373 | ||
Ortho-Clinical Diagnostics TBD 6/30/25 X | 642,000 | 601,073 | ||
PG&E 5.50% (LIBOR03M + 4.50%) 6/23/25 • | 1,500,000 | 1,483,125 | ||
PQ Tranche B 2.428% (LIBOR01M + 2.25%) 2/8/27 • | 700,000 | 683,563 | ||
PQ Tranche B TBD 2/7/27 X | 175,000 | 171,719 | ||
Prestige Brands Tranche B-4 2.178% (LIBOR01M + | ||||
2.00%) 1/26/24 • | 3 | 3 | ||
Prime Security Services Borrower Tranche B-1 4.25% | ||||
(LIBOR01M + 3.25%) 9/23/26 • | 413,787 | 398,788 | ||
Quikrete Holdings 1st Lien 2.678% (LIBOR01M + 2.50%) | ||||
2/1/27 • | 733,315 | 709,635 | ||
Russell Investments US Institutional Holdco 3.822% | ||||
(LIBOR03M + 2.75%) 6/1/23 • | 112,452 | 109,594 | ||
Scientific Games International Tranche B-5 3.476% | ||||
(LIBOR01M + 2.75%) 8/14/24 • | 913,663 | 809,962 | ||
Sedgwick Claims Management Services 5.25% | ||||
(LIBOR01M + 4.25%) 9/3/26 • | 90,000 | 87,525 | ||
Sinclair Televison Group Tranche B-2 2.69% (LIBOR01M + | ||||
2.50%) 9/30/26 • | 719,563 | 688,531 | ||
Solenis International 1st Lien 4.363% (LIBOR03M + | ||||
4.00%) 6/26/25 • | 746,193 | 716,967 | ||
Solenis International 2nd Lien 8.863% (LIBOR03M + | ||||
8.50%) 6/26/26 • | 400,000 | 349,258 | ||
SS&C Technologies Tranche B-5 1.928% (LIBOR01M + | ||||
1.75%) 4/16/25 • | 488,531 | 468,013 | ||
Stars Group Holdings 3.808% (LIBOR03M + 3.50%) | ||||
7/10/25 • | 609,572 | 607,445 | ||
Surf Holdings 1st Lien 3.827% (LIBOR03M + 3.50%) | ||||
3/5/27 • | 920,455 | 886,129 | ||
Surgery Center Holdings 4.25% (LIBOR01M + 3.25%) | ||||
9/2/24 • | 581,505 | 515,722 | ||
Terrier Media Buyer 4.428% (LIBOR01M + 4.25%) | ||||
12/17/26 • | 958,185 | 917,462 |
4 NQ-QFV [6/20] 8/20 (1294182)
(Unaudited)
Principal amount° | Value (US $) | |||
Loan Agreements (continued) | ||||
Titan Acquisition 4.45% (LIBOR06M + 3.00%) 3/28/25 • | 461,589 | $ | 423,046 | |
T-Mobile USA 3.178% (LIBOR01M + 3.00%) 4/1/27 • | 1,175,000 | 1,175,000 | ||
Transdigm Tranche F 2.428% (LIBOR01M + 2.25%) | ||||
12/9/25 • | 851,236 | 772,674 | ||
The Ultimate Software Group TBD 5/3/27 X | 1,530,000 | 1,559,644 | ||
US Foods Tranche B 3.072% (LIBOR01M + 2.00%) | ||||
9/13/26 • | 570,688 | 538,586 | ||
USI 4.308% (LIBOR03M + 4.00%) 12/2/26 • | 895,500 | 870,314 | ||
USI Tranche B 3.308% (LIBOR03M + 3.00%) 5/16/24 • | 589,064 | 560,789 | ||
Verscend Holding Tranche B 4.678% (LIBOR01M + | ||||
4.50%) 8/27/25 • | 1,029,139 | 1,003,411 | ||
Vertical Midco Tranche B TBD 6/30/27 X | 1,000,000 | 980,000 | ||
Vistra Operations 1.931% (LIBOR01M + 1.75%) | ||||
12/31/25 • | 1,342,561 | 1,208,305 | ||
WebMD Health 4.75% (LIBOR03M + 3.75%) 9/13/24 • | 700,000 | 669,375 | ||
Total Loan Agreements (cost $59,937,984) | 58,662,112 | |||
Number of shares | ||||
Short-Term Investments – 0.30% | ||||
Money Market Mutual Funds - 0.30% | ||||
BlackRock FedFund – Institutional Shares (seven-day | ||||
effective yield 0.10%) | 37,640 | 37,640 | ||
Fidelity Investments Money Market Government | ||||
Portfolio – Class I (seven-day effective yield 0.06%) | 37,640 | 37,640 | ||
GS Financial Square Government Fund – Institutional | ||||
Shares (seven-day effective yield 0.15%) | 37,640 | 37,640 | ||
Morgan Stanley Government Portfolio – Institutional Share | ||||
Class (seven-day effective yield 0.03%) | 37,640 | 37,640 | ||
State Street Institutional US Government Money Market | ||||
Fund – Investor Class (seven-day effective yield 0.04%) | 37,640 | 37,640 | ||
Total Short-Term Investments (cost $188,200) | 188,200 | |||
Total Value of Securities – 100.67% | ||||
(cost $64,983,051) | 63,788,557 | |||
Liabilities Net of Receivables and Other Assets – (0.67%) | (425,816) | |||
Net Assets Applicable to 7,004,004 Shares Outstanding – 100.00% | $ | 63,362,741 |
# | 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 $2,953,684 which represents | |
4.66% of the Fund’s net assets. | |
❆ PIK. 100% of the income received was in the form of cash. | |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another |
currency. |
NQ-QFV [6/20] 8/20 (1294182) 5
Schedule of investments
Delaware Floating Rate II Fund (Unaudited)
‡ | Non-income producing security. Security is currently in default. |
• | 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. | |
X | This loan will settle after June 30, 2020, at which time the interest rate, based on the LIBOR and the |
agreed upon spread on trade date, will be reflected. |
Summary of abbreviations:
GS – Goldman Sachs
ICE – Intercontinental Exchange
LIBOR – London interbank offered rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
PIK – Pay-in-Kind
TBD – To be determined
USD – US Dollar
6 NQ-QFV [6/20] 8/20 (1294182)