NPORT-EX 2 ADD1DelStrategicIncomeFd.htm dd_del-sif.htm - Generated by SEC Publisher for SEC Filing

Schedule of investments

Delaware Strategic Income Fund April 30, 2020 (Unaudited)

  Principal amount°    Value (US $) 
Agency Collateralized Mortgage Obligations – 6.93%       
Fannie Mae Connecticut Avenue Securities       
Series 2017-C04 2M2 3.337% (LIBOR01M + 2.85%)       
11/25/29 •  25,000  $  22,905 
Series 2018-C02 2M2 2.687% (LIBOR01M + 2.20%,       
Floor 2.20%) 8/25/30 •  476,527    416,667 
Series 2018-C03 1M2 2.637% (LIBOR01M + 2.15%,       
Floor 2.15%) 10/25/30 •  590,000    529,297 
Series 2018-C05 1M2 2.837% (LIBOR01M + 2.35%,       
Floor 2.35%) 1/25/31 •  585,000    522,198 
Fannie Mae REMICs       
Series 2017-77 HZ 3.50% 10/25/47  48,157    50,516 
Freddie Mac Structured Agency Credit Risk Debt Notes       
Series 2017-DNA1 M2 3.737% (LIBOR01M + 3.25%,       
Floor 3.25%) 7/25/29 •  250,000    238,231 
Series 2018-HQA1 M2 2.787% (LIBOR01M + 2.30%)       
9/25/30 •  522,721    459,711 
Freddie Mac Structured Agency Credit Risk REMIC Trust       
Series 2020-HQA2 M2 144A 3.587% (LIBOR01M +       
3.10%) 3/25/50 #•  500,000    349,567 
GNMA       
Series 2013-113 LY 3.00% 5/20/43  22,000    23,911 
Series 2017-34 DY 3.50% 3/20/47  20,000    22,639 
Series 2017-56 JZ 3.00% 4/20/47  33,916    36,844 
Series 2017-107 QZ 3.00% 8/20/45  22,804    24,478 
Series 2017-130 YJ 2.50% 8/20/47  25,000    27,167 
Total Agency Collateralized Mortgage Obligations (cost $3,130,233)      2,724,131 
 
Agency Commercial Mortgage-Backed Securities – 1.50%       
Freddie Mac Multifamily Structured Pass Through       
Certificates       
Series K058 A2 2.653% 8/25/26 ⯁ 80,000    87,131 
FREMF Mortgage Trust       
Series 2013-K25 C 144A 3.744% 11/25/45 #•  45,000    44,098 
Series 2014-K717 B 144A 3.754% 11/25/47 #•  35,000    35,207 
Series 2014-K717 C 144A 3.754% 11/25/47 #•  20,000    19,992 
Series 2015-K721 B 144A 3.681% 11/25/47 #•  235,000    237,592 
Series 2016-K53 B 144A 4.157% 3/25/49 #•  50,000    52,878 
Series 2016-K722 B 144A 3.975% 7/25/49 #•  75,000    75,953 
Series 2017-K71 B 144A 3.882% 11/25/50 #•  35,000    35,366 
Total Agency Commercial Mortgage-Backed Securities (cost $574,485)      588,217 

 

NQ-023 [4/20] 6/20 (1204345) 1

 

Schedule of investments

Delaware Strategic Income Fund (Unaudited)

    Principal amount°    Value (US $) 
Agency Mortgage-Backed Securities – 1.38%        
Fannie Mae S. F. 30 yr        
3.00% 4/1/48   46,341  $  48,948 
4.00% 4/1/48   165,751    177,824 
4.50% 5/1/46   13,561    14,996 
4.50% 9/1/48   33,727    36,828 
6.00% 7/1/41   18,618    21,483 
Freddie Mac S. F. 30 yr        
4.00% 10/1/47   225,608    241,526 
Total Agency Mortgage-Backed Securities (cost $529,331)       541,605 
 
Convertible Bonds – 1.41%        
Boingo Wireless 1.00% exercise price $42.32, maturity        
date 10/1/23   385,000    341,403 
Cheniere Energy 4.25% exercise price $138.38, maturity        
date 3/15/45   400,000    214,686 
Total Convertible Bonds (cost $633,763)       556,089 
 
Corporate Bonds – 48.94%        
Banking - 7.02%        
Bank of America        
2.496% 2/13/31 µ   75,000    76,078 
5.125% µy  180,000    176,975 
BBVA Bancomer 144A 6.75% 9/30/22 #   236,000    245,900 
Credit Suisse Group 144A 6.25% #µy   500,000    514,956 
JPMorgan Chase & Co.        
2.522% 4/22/31 µ   35,000    35,805 
3.109% 4/22/41 µ   20,000    20,776 
3.109% 4/22/51 µ   30,000    31,088 
5.00% µy  165,000    153,565 
Popular 6.125% 9/14/23   449,000    435,440 
Royal Bank of Scotland Group 8.625% µy   535,000    548,082 
Turkiye Garanti Bankasi 144A 5.875% 3/16/23 #   220,000    217,009 
UBS Group 6.875% µy   200,000    201,495 
USB Capital IX 3.50% (LIBOR03M + 1.02%) y•   125,000    101,468 
        2,758,637 
Basic Industry - 9.20%        
Air Products and Chemicals        
2.05% 5/15/30   15,000    15,286 
2.80% 5/15/50   10,000    10,186 
BHP Billiton Finance USA 144A 6.25% 10/19/75 #µ   400,000    404,698 
Chemours 7.00% 5/15/25   235,000    222,051 
Corp Nacional del Cobre de Chile 144A 3.15% 1/14/30 #   218,000    211,355 
CSN Islands XI 144A 6.75% 1/28/28 #   235,000    154,806 

 

2 NQ-023 [4/20] 6/20 (1204345)

 

(Unaudited)        
 
 
    Principal amount°    Value (US $) 
Corporate Bonds (continued)        
Basic Industry (continued)        
Equate Petrochemical 144A 3.00% 3/3/22 #   200,000  $  200,614 
Freeport-McMoRan 5.45% 3/15/43   538,000    498,645 
Georgia-Pacific 144A 2.30% 4/30/30 #   50,000    50,011 
Gold Fields Orogen Holdings BVI 144A 6.125% 5/15/29 #   200,000    211,980 
GUSAP III 144A 4.25% 1/21/30 #   430,000    392,655 
Hudbay Minerals 144A 7.625% 1/15/25 #   145,000    131,907 
LYB International Finance III 2.875% 5/1/25   20,000    20,226 
Methanex 5.25% 12/15/29   235,000    198,492 
Newmont 2.25% 10/1/30   45,000    44,629 
Novolipetsk Steel Via Steel Funding DAC 144A 4.00%        
9/21/24 #  200,000    207,725 
Petkim Petrokimya Holding 144A 5.875% 1/26/23 #   200,000    190,055 
PolyOne 144A 5.75% 5/15/25 #   24,000    24,315 
Syngenta Finance 144A 3.933% 4/23/21 #   225,000    222,205 
Teck Resources 6.25% 7/15/41   215,000    202,892 
        3,614,733 
Brokerage - 1.08%        
Charles Schwab 5.375% µy   35,000    36,400 
Jefferies Group 6.50% 1/20/43   365,000    386,270 
        422,670 
Capital Goods - 1.52%        
Grupo Cementos de Chihuahua 144A 5.25% 6/23/24 #   200,000    186,460 
Mauser Packaging Solutions Holding 144A 7.25%        
4/15/25 #  247,000    194,821 
New Enterprise Stone & Lime 144A 10.125% 4/1/22 #   155,000    154,930 
TransDigm 144A 6.25% 3/15/26 #   62,000    60,974 
        597,185 
Communications - 4.62%        
Altice Financing 144A 5.00% 1/15/28 #   230,000    225,687 
AMC Networks 4.75% 8/1/25   12,000    11,023 
Charter Communications Operating        
2.80% 4/1/31   20,000    20,160 
3.70% 4/1/51   30,000    29,285 
4.80% 3/1/50   30,000    34,017 
5.125% 7/1/49   80,000    95,295 
Clear Channel Worldwide Holdings 144A 9.25% 2/15/24 #   35,000    29,319 
Comcast 3.20% 7/15/36   30,000    32,524 
CSC Holdings 5.875% 9/15/22   18,000    18,823 
LCPR Senior Secured Financing 144A 6.75% 10/15/27 #   235,000    243,143 
Netflix 144A 3.625% 6/15/25 #   55,000    55,894 
Radiate Holdco 144A 6.625% 2/15/25 #   217,000    216,414 
Sirius XM Radio 144A 4.625% 7/15/24 #   54,000    55,339 

 

NQ-023 [4/20] 6/20 (1204345) 3

 

Schedule of investments

Delaware Strategic Income Fund (Unaudited)

  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Communications (continued)       
Sprint 7.875% 9/15/23  205,000  $  231,650 
Time Warner Cable 7.30% 7/1/38  170,000    224,892 
Time Warner Entertainment 8.375% 3/15/23  80,000    92,653 
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 #  210,000    197,862 
      1,813,980 
Consumer Cyclical - 1.90%       
Future Retail 144A 5.60% 1/22/25 #  225,000    61,371 
Prime Security Services Borrower 144A 5.75% 4/15/26 #  350,000    346,500 
Resorts World Las Vegas 144A 4.625% 4/16/29 #  200,000    179,167 
Scientific Games International 144A 8.25% 3/15/26 #  172,000    130,668 
VF 2.40% 4/23/25  30,000    30,469 
      748,175 
Consumer Non-Cyclical - 2.66%       
Aramark Services 144A 5.00% 2/1/28 #  40,000    38,364 
Bausch Health 144A 5.50% 11/1/25 #  47,000    49,092 
CVS Health 4.30% 3/25/28  190,000    214,441 
MHP 144A 6.95% 4/3/26 #  200,000    186,568 
Rede D’or Finance 144A 4.50% 1/22/30 #  270,000    229,675 
Tenet Healthcare 6.875% 11/15/31  100,000    87,210 
Teva Pharmaceutical Finance Netherlands III 6.75%       
3/1/28  200,000    206,630 
US Foods 144A 6.25% 4/15/25 #  32,000    32,880 
      1,044,860 
Electric - 6.74%       
Calpine 144A 5.25% 6/1/26 #  455,000    465,456 
Comision Federal de Electricidad 144A 4.875% 1/15/24 #  200,000    200,460 
Duke Energy 4.875% µy  230,000    227,860 
IPALCO Enterprises 3.70% 9/1/24  345,000    362,015 
Israel Electric 144A 5.00% 11/12/24 #  200,000    219,462 
NRG Energy 144A 4.45% 6/15/29 #  335,000    345,080 
Southern California Edison       
3.65% 2/1/50  50,000    54,305 
4.875% 3/1/49  195,000    248,375 
Vistra Operations       
144A 3.55% 7/15/24 #  460,000    463,724 
144A 5.50% 9/1/26 #  61,000    63,153 
      2,649,890 
Energy - 7.48%       
Cheniere Corpus Christi Holdings 7.00% 6/30/24  300,000    321,038 
Ecopetrol 6.875% 4/29/30  195,000    201,585 
Energy Transfer Operating 7.125% µy  195,000    155,634 
Gazprom PJSC via Gaz Finance 144A 3.25% 2/25/30 #  220,000    207,940 

 

4 NQ-023 [4/20] 6/20 (1204345)

 

(Unaudited)       
 
 
  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Energy (continued)       
KazMunayGas National 144A 6.375% 10/24/48 #  400,000  $  417,031 
KazTransGas JSC 144A 4.375% 9/26/27 #  200,000    190,454 
Marathon Oil 4.40% 7/15/27  145,000    112,615 
MPLX 5.50% 2/15/49  105,000    104,816 
Noble Energy 4.20% 10/15/49  265,000    181,195 
Petrobras Global Finance 144A 5.093% 1/15/30 #  195,000    178,357 
Petroleos Mexicanos 6.50% 1/23/29  200,000    156,700 
Precision Drilling 7.75% 12/15/23  220,000    98,406 
Saudi Arabian Oil 144A 4.25% 4/16/39 #  200,000    206,394 
Southwestern Energy 7.75% 10/1/27  465,000    407,573 
      2,939,738 
Finance Companies - 0.16%       
Avolon Holdings Funding 144A 3.95% 7/1/24 #  20,000    17,243 
International Lease Finance 8.625% 1/15/22  45,000    45,929 
      63,172 
Insurance - 2.27%       
AssuredPartners 144A 7.00% 8/15/25 #  238,000    223,125 
Brighthouse Financial       
3.70% 6/22/27  170,000    163,486 
4.70% 6/22/47  155,000    133,989 
HUB International 144A 7.00% 5/1/26 #  135,000    134,021 
USI 144A 6.875% 5/1/25 #  235,000    237,056 
      891,677 
Technology - 1.70%       
CDK Global 5.875% 6/15/26  23,000    24,199 
CommScope Technologies 144A 5.00% 3/15/27 #  448,000    385,862 
NXP       
144A 2.70% 5/1/25 #  5,000    5,067 
144A 3.40% 5/1/30 #  10,000    10,094 
144A 4.30% 6/18/29 #  13,000    13,842 
Verscend Escrow 144A 9.75% 8/15/26 #  220,000    230,736 
      669,800 
Transportation - 2.09%       
Aerovias de Mexico 144A 7.00% 2/5/25 #  225,000    86,625 
ASG Finance Designated Activity 144A 7.875% 12/3/24 #  230,000    123,050 
Delta Air Lines 144A 7.00% 5/1/25 #  390,000    400,127 
Rutas 2 and 7 Finance 144A 3.413% 9/30/36 #^  255,000    158,381 
Union Pacific 3.25% 2/5/50  50,000    51,561 
      819,744 

 

NQ-023 [4/20] 6/20 (1204345) 5

 

Schedule of investments

Delaware Strategic Income Fund (Unaudited)

  Principal amount°    Value (US $) 
Corporate Bonds (continued)       
Utilities - 0.50%       
Aegea Finance 144A 5.75% 10/10/24 #  200,000  $  196,540 
      196,540 
 
Total Corporate Bonds (cost $20,368,027)      19,230,801 
 
Municipal Bonds – 1.83%       
Bay Area, California Toll Authority       
(Build America Bonds) Series S-3 6.907% 10/1/50  170,000    286,146 
New Jersey Turnpike Authority       
(Build America Bonds) Series A 7.102% 1/1/41  90,000    137,795 
South Carolina Public Service Authority       
Series D 4.77% 12/1/45  55,000    68,469 
State of California Various Purposes       
7.55% 4/1/39  135,000    226,954 
 
Total Municipal Bonds (cost $652,288)      719,364 
 
Non-Agency Asset-Backed Securities – 2.37%       
Citicorp Residential Mortgage Trust       
Series 2006-3 A5 5.202% 11/25/36 •  341,274    339,366 
Hardee’s Funding       
Series 2018-1A A2I 144A 4.25% 6/20/48 #  49,250    48,100 
HOA Funding       
Series 2014-1A A2 144A 4.846% 8/20/44 #  493,950    472,359 
Towd Point Mortgage Trust       
Series 2015-5 A1B 144A 2.75% 5/25/55 #•  25,157    25,119 
Wendy’s Funding       
Series 2018-1A A2I 144A 3.573% 3/15/48 #  48,875    46,836 
Total Non-Agency Asset-Backed Securities       
(cost $928,083)      931,780 
 
Non-Agency Collateralized Mortgage Obligations – 11.57%       
Chase Home Lending Mortgage Trust       
Series 2019-ATR2 A3 144A 3.50% 7/25/49 #•  67,189    67,736 
Connecticut Avenue Securities Trust       
Series 2019-R01 2M2 144A 2.937% (LIBOR01M +       
2.45%) 7/25/31 #•  540,062    481,055 
Series 2019-R07 1M2 144A 2.587% (LIBOR01M +       
2.10%) 10/25/39 #•  500,000    432,258 
Credit Suisse First Boston Mortgage Securities       
Series 2005-5 6A3 5.00% 7/25/35  27,265    26,695 
Flagstar Mortgage Trust       
Series 2018-5 A7 144A 4.00% 9/25/48 #•  29,535    29,563 

 

6 NQ-023 [4/20] 6/20 (1204345)

 

(Unaudited)       
 
 
  Principal amount°    Value (US $) 
Non-Agency Collateralized Mortgage Obligations (continued)       
Galton Funding Mortgage Trust       
Series 2018-1 A43 144A 3.50% 11/25/57 #•  34,473  $  34,517 
GSMPS Mortgage Loan Trust       
Series 1998-2 A 144A 7.75% 5/19/27 #•  14,200    13,985 
JPMorgan Mortgage Trust       
Series 2006-S1 1A1 6.00% 4/25/36  26,748    27,692 
Series 2007-A1 7A4 4.248% 7/25/35 •  41,321    34,181 
Series 2014-2 B1 144A 3.399% 6/25/29 #•  50,879    49,548 
Series 2014-2 B2 144A 3.399% 6/25/29 #•  50,879    49,423 
Series 2014-IVR6 2A4 144A 2.50% 7/25/44 #•  100,000    99,736 
Series 2015-4 B1 144A 3.62% 6/25/45 #•  88,449    86,161 
Series 2015-4 B2 144A 3.62% 6/25/45 #•  88,449    85,840 
Series 2015-5 B2 144A 3.06% 5/25/45 #•  92,904    92,330 
Series 2015-6 B1 144A 3.595% 10/25/45 #•  87,127    85,882 
Series 2015-6 B2 144A 3.595% 10/25/45 #•  87,127    85,399 
Series 2016-4 B1 144A 3.889% 10/25/46 #•  90,792    90,718 
Series 2016-4 B2 144A 3.889% 10/25/46 #•  90,792    89,184 
Series 2017-2 A3 144A 3.50% 5/25/47 #•  25,458    25,899 
Series 2018-4 A15 144A 3.50% 10/25/48 #•  26,797    26,910 
Series 2020-1 A4 144A 3.50% 6/25/50 #•  467,405    468,324 
New Residential Mortgage Loan Trust       
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #•  75,299    77,854 
Sequoia Mortgage Trust       
Series 2014-1 B3 144A 3.93% 4/25/44 #•  449,369    440,926 
Series 2014-2 A4 144A 3.50% 7/25/44 #•  22,286    22,794 
Series 2015-1 B2 144A 3.876% 1/25/45 #•  42,204    41,458 
Series 2017-4 A1 144A 3.50% 7/25/47 #•  56,608    58,018 
Series 2017-5 B2 144A 3.841% 8/25/47 #•  467,393    456,580 
Series 2017-6 B2 144A 3.751% 9/25/47 #•  467,696    455,069 
Series 2017-7 B2 144A 3.758% 10/25/47 #•  469,529    456,315 
Series 2018-5 A4 144A 3.50% 5/25/48 #•  49,532    50,117 
Washington Mutual Mortgage Pass Through Certificates       
Trust       
Series 2005-1 5A2 6.00% 3/25/35 ⯁ 4,154    296 
Wells Fargo Mortgage-Backed Securities Trust       
Series 2006-AR5 2A1 3.995% 4/25/36 •  4,657    4,173 
Total Non-Agency Collateralized Mortgage Obligations (cost $4,811,754)      4,546,636 
 
Non-Agency Commercial Mortgage-Backed Securities – 3.89%       
BANK       
Series 2017-BNK5 B 3.896% 6/15/60 •  60,000    57,227 
Series 2017-BNK8 C 4.208% 11/15/50 •  100,000    85,924 

 

NQ-023 [4/20] 6/20 (1204345) 7

 

Schedule of investments

Delaware Strategic Income Fund (Unaudited)

Principal amount°    Value (US $) 
Non-Agency Commercial Mortgage-Backed Securities (continued)       
Cantor Commercial Real Estate Lending       
Series 2019-CF2 A5 2.874% 11/15/52  100,000  $  103,740 
CD Mortgage Trust       
Series 2016-CD2 A3 3.248% 11/10/49  85,000    89,846 
Citigroup Commercial Mortgage Trust       
Series 2014-GC25 A4 3.635% 10/10/47  75,000    78,395 
COMM Mortgage Trust       
Series 2013-CR6 AM 144A 3.147% 3/10/46 #  110,000    109,905 
Series 2014-CR19 A5 3.796% 8/10/47  80,000    84,352 
GS Mortgage Securities Trust       
Series 2010-C1 C 144A 5.635% 8/10/43 #•  150,000    147,500 
Series 2015-GC32 A4 3.764% 7/10/48  75,000    79,667 
Series 2017-GS6 A3 3.433% 5/10/50  75,000    77,434 
Series 2018-GS9 A4 3.992% 3/10/51 •  40,000    44,456 
JPM-BB Commercial Mortgage Securities Trust       
Series 2015-C31 A3 3.801% 8/15/48  105,000    113,607 
JPMorgan Chase Commercial Mortgage Securities Trust       
Series 2013-LC11 B 3.499% 4/15/46  130,000    127,235 
Series 2016-WIKI A 144A 2.798% 10/5/31 #  90,000    77,972 
Series 2016-WIKI B 144A 3.201% 10/5/31 #  85,000    72,642 
LB-UBS Commercial Mortgage Trust       
Series 2006-C6 AJ 5.452% 9/15/39 •  54,390    31,790 
Morgan Stanley Capital I Trust       
Series 2006-HQ10 B 5.448% 11/12/41 •  69,463    68,481 
UBS Commercial Mortgage Trust       
Series 2018-C9 A4 4.117% 3/15/51 •  70,000    78,518 
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,614,969)      1,528,691 
 
Loan Agreements – 4.59%       
Acrisure Tranche B 5.207% (LIBOR03M + 3.50%)       
2/15/27 •  124,369    115,974 
Applied Systems 2nd Lien 8.45% (LIBOR03M + 7.00%)       
9/19/25 •  225,822    217,918 
AssuredPartners 4.489% (LIBOR01M + 3.50%) 2/12/27 •  123,986    116,733 
AthenaHealth Tranche B 1st Lien 5.284% (LIBOR03M +       
4.50%) 2/11/26 •  124,060    115,841 
Blue Ribbon 1st Lien 5.623% (LIBOR03M + 4.00%)       
11/15/21 •  53,647    36,078 
Buckeye Partners 3.766% (LIBOR01M + 2.75%) 11/1/26 •  83,079    78,406 
BWay Holding 4.561% (LIBOR03M + 3.25%) 4/3/24 •  65,539    56,855 
Calpine 2.66% (LIBOR01M + 2.25%) 1/15/24 •  10,903    10,581 
Connect US Finco 5.50% (LIBOR01M + 4.50%)       
12/12/26 •  75,000    69,938 

 

8 NQ-023 [4/20] 6/20 (1204345)

 

(Unaudited)        
 
 
    Principal amount°    Value (US $) 
Loan Agreements (continued)        
      Cushman & Wakefield US 3.154% (LIBOR01M + 2.75%)        
        8/21/25 • 51,218  $  47,688 
      Frontier Communications Tranche B-1 5.35% (LIBOR03M        
+ 3.75%) 6/17/24 •   296,600    290,296 
      Gentiva Health Services Tranche B 3.688% (LIBOR01M +        
        3.25%) 7/2/25 •   99,652    94,420 
      Kronos 4.763% (LIBOR03M + 3.00%) 11/1/23 •   139,663    135,212 
      Kronos 2nd Lien 10.013% (LIBOR03M + 8.25%) 11/1/24 • 100,000    96,625 
      Panda Liberty Tranche B-2 7.95% (LIBOR03M + 6.50%)      
        8/21/20 • 6,000    5,640 
      Panda Patriot Tranche B-1 7.20% (LIBOR03M + 5.75%)      
        12/19/20 • 19,842    18,652 
      Stars Group Holdings 4.95% (LIBOR03M + 3.50%)      
        7/10/25 • 61,500    60,885 
      Summit Midstream Partners Holdings 7.00% (LIBOR01M +      
6.00%) 5/13/22 •   154,122    30,824 
      Terrier Media Buyer TBD 12/17/26 X   14,000    13,067 
      Ultimate Software Group 1st Lien 4.154% (LIBOR01M +        
        3.75%) 5/4/26 •   118,767    113,867 
      Verscend Holding Tranche B 4.904% (LIBOR01M +        
4.50%) 8/27/25 •   83,453    79,111 
  Total Loan Agreements (cost $2,019,808)       1,804,611 
 
Sovereign Bonds – 5.88%D        
  Brazil - 0.46%        
      Brazilian Government International Bond 4.75% 1/14/50   200,000    180,750 
        180,750 
  Egypt - 0.49%        
      Egypt Government International Bond 144A        
        7.60% 3/1/29 #   200,000    190,541 
        190,541 
  El Salvador - 0.44%        
      El Salvador Government International Bond 144A        
        7.65% 6/15/35 #   217,000    173,296 
        173,296 
Ghana - 0.41%        
      Ghana Government International Bond 144A        
        7.875% 3/26/27 #   200,000    159,990 
        159,990 
  Ivory Coast - 0.44%        
      Ivory Coast Government International Bond 144A        
        6.125% 6/15/33 #   200,000    173,154 
        173,154 

 

NQ-023 [4/20] 6/20 (1204345) 9

 

Schedule of investments

Delaware Strategic Income Fund (Unaudited)

  Principal amount°    Value (US $) 
Sovereign BondsD (continued)       
Mongolia - 0.52%       
Mongolia Government International Bond 144A       
5.625% 5/1/23 #  230,000  $  205,851 
      205,851 
Paraguay - 0.53%       
Paraguay Government International Bond 144A       
4.95% 4/28/31 #  200,000    207,375 
      207,375 
Peru - 1.04%       
Peruvian Government International Bond       
2.392% 1/23/26  200,000    203,400 
2.844% 6/20/30  199,000    206,562 
      409,962 
Qatar - 0.54%       
Qatar Government International Bond 144A       
3.40% 4/16/25 #  200,000    213,133 
      213,133 
Senegal - 0.43%       
Senegal Government International Bond 144A       
6.75% 3/13/48 #  200,000    167,446 
      167,446 
Uzbekistan - 0.58%       
Republic of Uzbekistan Bond 144A 4.75% 2/20/24 #  226,000    227,836 
      227,836 
Total Sovereign Bonds (cost $2,431,314)      2,309,334 
 
Supranational Bank – 0.46%       
Banque Ouest Africaine de Developpement 144A       
4.70% 10/22/31 #  200,000    181,192 
Total Supranational Bank (cost $200,000)      181,192 
 
US Treasury Obligations – 5.49%       
US Treasury Inflation Indexed Note       
0.125% 10/15/24  186,524    190,783 
US Treasury Notes       
0.50% 3/31/25  1,814,600    1,827,217 
1.50% 2/15/30  130,000    140,583 
Total US Treasury Obligations (cost $2,156,836)      2,158,583 

 

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(Unaudited)       
 
 
  Number of shares    Value (US $) 
Preferred Stock – 0.97%       
Morgan Stanley 5.55%µ  115,000  $  105,826 
US Bancorp 4.86% (LIBOR03M + 1.02%) •  350    274,087 
Total Preferred Stock (cost $363,428)      379,913 
 
Short-Term Investments – 0.52%       
Money Market Mutual Funds - 0.52%       
BlackRock FedFund – Institutional Shares (seven-day       
effective yield 0.21%)  40,720    40,720 
Fidelity Investments Money Market Government       
Portfolio – Class I (seven-day effective yield 0.16%)  40,721    40,721 
GS Financial Square Government Fund – Institutional       
Shares (seven-day effective yield 0.25%)  40,721    40,721 
Morgan Stanley Government Portfolio – Institutional Share       
Class (seven-day effective yield 0.13%)  40,721    40,721 
State Street Institutional US Government Money Market       
Fund – Investor Class (seven-day effective yield 0.14%)  40,721    40,721 
Total Short-Term Investments (cost $203,604)      203,604 
 
Total Value of Securities – 97.73%       
(cost $40,617,923)      38,404,551 
Receivables and Other Assets Net of Liabilities – 2.27% ★     893,238 
Net Assets Applicable to 5,145,696 Shares Outstanding – 100.00%    $  39,297,789 

 

#  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 
  At April 30, 2020, the aggregate value of Rule 144A securities was $19,639,098, which represents 
  49.98% of the Fund’s net assets. 
⯁ Pass Through Agreement. Security represents the contractual right to receive a proportionate amount
  of underlying payments due to the counterparty pursuant to various agreements related to the 
  rescheduling of obligations and the exchange of certain notes. 
★ Of this amount, $6,545 represents cash pledged as collateral for open futures contracts.
°  Principal amount shown is stated in USD unless noted that the security is denominated in another 
  currency. 
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 April 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 
  April 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 

 

NQ-023 [4/20] 6/20 (1204345) 11

 

Schedule of investments

Delaware Strategic Income Fund (Unaudited)

  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 April 30, 2020, at which time the interest rate, based on the LIBOR and the 
  agreed upon spread on trade date, will be reflected. 
^  Zero-coupon security. The rate shown is the effective yield at the time of purchase. 

 

The following futures contracts were outstanding at April 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 5                         
15  yr Notes  $ 1,882,265   $  1,818,785  6/30/20  $  63,480  $  —  $  1,055 
  US Treasury 10                         
(5)  yr Notes    (695,312 )    (680,229)  6/19/20    —    (15,083)    (469) 
Total Futures Contracts        $  1,138,556    $  63,480  $  (15,083)  $  586 

 

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:
BB – Barclays Bank
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GS – Goldman Sachs
GSMPS – Goldman Sachs Reperforming Mortgage Securities
ICE – Intercontinental Exchange
JPM – JPMorgan
LB – Lehman Brothers
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
S.F. – Single Family
TBD – To be determined
USD – US Dollar
yr – Year

12 NQ-023 [4/20] 6/20 (1204345)