NPORT-EX 2 AFIH0DelFloatingRateIIFd.htm fih-delaware_friif.htm - Generated by SEC Publisher for SEC Filing

Schedule of investments

Delaware Floating Rate II Fund December 31, 2019 (Unaudited)

    Principal amount°    Value (US $) 
Corporate Bonds – 6.77%        
Basic Industry - 0.68%        
   First Quantum Minerals 144A 7.25% 5/15/22 #   600,000  $  603,888 
        603,888 
Capital Goods - 1.33%        
Bombardier 144A 7.875% 4/15/27 #   250,000    257,819 
   Mauser Packaging Solutions Holding 144A        
       5.50% 4/15/24 #   900,000    929,331 
        1,187,150 
Communications - 2.06%        
Cincinnati Bell 144A 7.00% 7/15/24 #   223,000    234,427 
   CommScope Technologies 144A 5.00% 3/15/27 #   239,000    225,263 
   Frontier Communications 144A 8.00% 4/1/27 #   214,000    224,026 
Sprint 7.875% 9/15/23   1,050,000    1,160,686 
        1,844,402 
Consumer Cyclical - 0.20%        
   AMC Entertainment Holdings 6.125% 5/15/27   200,000    183,005 
        183,005 
Energy - 1.13%        
   Targa Resources Partners 4.25% 11/15/23   1,000,000    1,012,085 
        1,012,085 
Healthcare - 0.76%        
Bausch Health 144A 7.00% 3/15/24 #   400,000    416,834 
Tenet Healthcare 5.125% 5/1/25   250,000    258,125 
        674,959 
Media - 0.61%        
Altice Luxembourg        
      144A 7.625% 2/15/25 #   250,000    260,625 
      144A 10.50% 5/15/27 #   250,000    285,475 
        546,100 
Total Corporate Bonds (cost $5,919,116)       6,051,589 
 
Loan Agreements – 87.07%        
   Acrisure Tranche B 1st Lien 5.695% (LIBOR03M + 3.75%)        
      11/22/23 •  1,240,554    1,240,037 
   ADT Tranche B 1st Lien 4.944% (LIBOR01M + 3.25%)        
      9/23/26 •  748,125    751,034 
   Air Medical Group Holdings Tranche B 1st Lien        
      0.00% 4/28/22 X   500,000    490,469 
   AMC Entertainment Holdings Tranche B1 1st Lien 4.80%        
(LIBOR01M + 3.00%) 4/22/26 •   694,757    700,663 
   Apple Leisure 1st Lien 5.927% (LIBOR03M + 4.00%)        
      3/29/24 •  1,240,530    1,178,504 
   Applied Systems 2nd Lien 0.00% 9/19/25 X   1,500,000    1,539,375 

 

NQ-QFV [12/19] 2/20 (1080135) 1

 

Schedule of investments

Delaware Floating Rate II Fund (Unaudited)

    Principal amount°    Value (US $) 
Loan Agreements (continued)        
   Apro Tranche B 1st Lien 5.842% (LIBOR03M + 4.00%)        
      10/28/26 •  913,889  $  921,885 
Aramark Tranche B-4 0.00% 1/27/27 X   636,000    640,173 
   AssuredPartners Tranche B 1st Lien 5.299% (LIBOR01M +        
3.50%) 10/22/24 •   1,239,392    1,244,659 
   athenahealth Tranche B 1st Lien 6.401% (LIBOR03M +        
      4.50%) 2/11/26 •   497,500    500,812 
   Bausch Health Americas Tranche B 1st Lien 4.74%        
      (LIBOR01M + 3.00%) 6/2/25 •   664,270    669,149 
   Berry Global Tranche U 4.215% (LIBOR03M + 2.50%)        
      7/1/26 •  399,750    401,554 
   Berry Global Tranche W 3.715% (LIBOR01M + 2.00%)        
      10/1/22 •  1,850,000    1,859,746 
   Boxer Parent Tranche B 1st Lien 0.00% 10/2/25 X   1,246,851    1,234,577 
   Buckeye Partners 1st Lien 4.441% (LIBOR01M + 2.75%)        
      11/1/26 •  668,000    674,541 
   BW Gas & Convenience Holdings Tranche B 8.00%        
(LIBOR03M + 6.25%) 11/18/24 •   1,281,000    1,277,798 
   Calpine Tranche B5 1st Lien 4.20% (LIBOR03M + 2.25%)        
      1/15/24 •  1,241,555    1,249,315 
   Camelot US Acquisition Tranche B 1st Lien 5.049%        
(LIBOR01M + 3.25%) 10/30/26 •   1,040,000    1,047,584 
   CenturyLink Tranche B 1st Lien 0.00% 1/31/25 X   750,000    753,959 
   Change Healthcare Holdings Tranche B 1st Lien 4.299%        
      (LIBOR01M + 2.50%) 3/1/24 •   981,222    986,026 
   Chemours Tranche B-2 3.55% (LIBOR01M + 1.75%)        
      4/3/25 •  423,921    415,178 
   Chesapeake Energy Tranche A 9.928% (LIBOR03M +        
      8.00%) 6/24/24 •   910,000    939,575 
   Chuck E. Cheese Tranche B 8.299% (LIBOR01M + 6.50%)        
      8/17/26 •  648,375    625,033 
   Clear Channel Outdoor Holdings Tranche B 5.299%        
      (LIBOR01M + 3.50%) 8/21/26 •   448,875    452,102 
   CPI Holdco 1st Lien 6.195% (LIBOR03M + 4.25%)        
      11/4/26 •  1,245,000    1,250,447 
   CSC Holdings Tranche B 1st Lien 3.99% (LIBOR01M +        
      2.25%) 7/17/25 •   1,189,220    1,192,193 
   Cumulus Media New Holdings Tranche B 1st Lien        
      0.00% 3/31/26 X   1,000,000    1,012,083 
   Datto 6.049% (LIBOR01M + 4.25%) 4/2/26 •   598,496    604,107 
   DaVita Tranche B 4.049% (LIBOR01M + 2.25%) 8/12/26 •   656,355    661,859 
   Delek Tranche B 4.049% (LIBOR01M+2.25%) 3/30/25 •   425,000    424,912 
   Dole Food Tranche B 4.526% (LIBOR01M + 2.75%)        
      4/6/24 •  245,098    244,945 

 

2 NQ-QFV [12/19] 2/20 (1080135)

 

(Unaudited)        
 
 
    Principal amount°    Value (US $) 
Loan Agreements (continued)        
    Dorna Sports Tranche B2 4.921% (LIBOR06M + 3.00%)        
        4/12/24 •  1,000,000  $  987,188 
    EagleView Technology Tranche B 1st Lien 5.409%        
(LIBOR03M + 3.50%) 8/14/25 •   666,115    629,478 
    Edgewater Generation Tranche B 5.549% (LIBOR01M +        
3.75%) 12/15/25 •   940,875    904,808 
    Ensemble RCM 5.659% (LIBOR03M + 3.75%) 8/1/26 •   1,496,250    1,508,407 
Extended Stay Tranche B 0.00% 9/18/26 X   1,496,250    1,510,746 
    Frontier Communications Tranche B 1st Lien 5.55%        
(LIBOR01M + 3.75%) 6/17/24 •   678,261    683,263 
    Garda World Security Tranche B 1st Lien 6.66%        
(LIBOR03M + 4.75%) 10/23/26 •   775,000    780,489 
    Gates Global Tranche B2 1st Lien 4.549% (LIBOR01M +        
        2.75%) 4/1/24 •   773,023    774,956 
    Genesee & Wyoming 3.906% (LIBOR03M + 2.00%)        
        11/6/26 •  669,000    676,318 
    GFL Environmental Tranche B 4.799% (LIBOR01M +        
        3.00%) 5/30/25 •   992,443    995,190 
    Granite Generation Tranche B 1st Lien 5.549% (LIBOR03M        
+ 3.75%) 11/9/26 •   1,066,400    1,058,402 
    Gray Television Tranche B 4.197% (LIBOR01M + 2.50%)        
        1/2/26 •  197,611    198,871 
    Gray Television Tranche B2 1st Lien 3.947% (LIBOR01M +        
        2.25%) 2/7/24 •   450,000    451,723 
HCA Tranche B13 0.00% 3/18/26 X   3,000,000    3,020,625 
    HD Supply Tranche B5 0.00% 10/17/23 X   1,496,212    1,508,593 
    Heartland Dental Tranche B 1st Lien 5.549% (LIBOR01M +        
        3.75%) 4/30/25 •   910,856    907,441 
    HUB International Tranche B 5.903% (LIBOR03M + 4.00%)        
        4/25/25 •  1,000,000    1,010,938 
Inmarsat Tranche B 0.00% 12/12/26 X   541,853    546,817 
    IQVIA Tranche B3 3.695% (LIBOR03M + 1.75%) 6/11/25 •   992,443    998,274 
    JBS USA LUX Tranche B 0.00% 5/1/26 X   1,500,000    1,512,456 
    Kronos 2nd Lien 0.00% 11/1/24 X   870,000    893,925 
    LCPR Loan Financing Tranche B 1st Lien 6.74%        
(LIBOR01M + 5.00%) 10/22/26 •   1,285,000    1,304,275 
Liqui-Box Tranche B 0.00% 6/3/26 X   825,000    822,937 
    Merrill Communications Tranche B 1st Lien        
        0.00% 10/5/26 X   885,000    891,637 
    Microchip Technology 1st Lien 3.80% (LIBOR01M +        
        2.00%) 5/29/25 •   459,233    463,825 
    Mission Broadcasting Tranche B3 3.941% (LIBOR01M +        
        2.25%) 1/17/24 •   137,045    137,659 
    Nexstar Broadcasting Tranche B3 4.055% (LIBOR01M +        
        2.25%) 1/17/24 •   689,688    692,777 

 

NQ-QFV [12/19] 2/20 (1080135) 3

 

Schedule of investments

Delaware Floating Rate II Fund (Unaudited)

    Principal amount°    Value (US $) 
Loan Agreements (continued)        
   Nexstar Broadcasting Tranche B4 4.452% (LIBOR03M +        
      2.75%) 9/18/26 •   250,000  $  251,667 
   NFP Tranche B 1st Lien 4.799% (LIBOR01M + 3.00%)        
      1/8/24 •  992,327    989,935 
   ON Semiconductor Tranche B4 1st Lien 3.799%        
(LIBOR01M + 2.00%) 9/16/26 •   1,496,250    1,508,922 
   Panther BF Aggregator 2 Tranche B 1st Lien 5.305%        
(LIBOR01M + 3.50%) 4/30/26 •   1,246,875    1,254,397 
   Parexel (West Street Merger) Tranche B 1st Lien 4.549%        
(LIBOR01M + 2.75%) 9/27/24 •   1,028,167    1,009,532 
   Perstorp Holding Tranche B 6.695% (LIBOR03M + 4.75%)        
      4/13/26 • •  1,488,750    1,414,313 
   PQ Tranche B 1st Lien 4.427% (LIBOR03M + 2.50%)        
      2/8/25 •  327,433    329,561 
   Pregis TopCo 1st Lien 0.00% 7/24/26 X   450,000    450,844 
   Prestige Brands Tranche B4 1st Lien 3.702% (LIBOR01M        
+ 2.00%) 1/26/24 •   739,837    745,963 
   Radiate Holdco Tranche B 4.799% (LIBOR01M + 3.00%)        
      2/1/24 •  224,423    225,493 
   Russell Investments US Institutional Holdco Tranche B 1st        
Lien 0.00% 6/1/23 X   250,000    250,531 
   SFR Tranche B11 1st Lien 4.549% (LIBOR01M + 2.75%)        
      7/31/25 •  1,241,724    1,235,257 
   Sinclair Broadcasting Tranche B 5.03% (LIBOR01M +        
      3.25%) 8/24/26 •   107,886    107,886 
   Sinclair Broadcasting Tranche B2 4.24% (LIBOR01M +        
      2.50%) 9/30/26 •   723,188    726,691 
   Sprint Communications Tranche B 1st Lien 4.313%        
      (LIBOR01M + 2.50%) 2/2/24 •   496,173    492,914 
   SS&C Technologies Tranche B5 4.049% (LIBOR01M +        
      2.25%) 4/16/25 •   1,496,181    1,511,143 
Staples Tranche B1 0.00% 4/16/26 X   685,000    674,011 
   Stars Group Holdings Tranche B 5.446% (LIBOR03M +        
      3.50%) 7/10/25 •   668,034    674,764 
   Terrier Media Buyer Tranche B 0.00% 12/17/26 X   963,000    973,834 
   UGI Tranche B 1st Lien 0.00% 8/7/26 X   670,000    674,187 
   Ultimate Software Group 1st Lien 5.549% (LIBOR01M +        
      3.75%) 5/4/26 •   1,496,250    1,506,225 
   US Foods Tranche B 3.799% (LIBOR01M + 2.00%)        
      9/13/26 •  573,563    576,723 
   USI Tranche B 5.945% (LIBOR03M + 4.00%) 12/2/26 •   900,000    904,500 
   USI Tranche B 1st Lien 4.945% (LIBOR03M + 3.00%)        
      5/16/24 •  742,395    743,231 
   USIC Holdings Tranche B 5.049% (LIBOR01M + 3.25%)        
      12/8/23 •  992,580    988,858 

 

4 NQ-QFV [12/19] 2/20 (1080135)

 

(Unaudited)       
 
 
  Principal amount°    Value (US $) 
Loan Agreements (continued)       
Verscend Holding Tranche B 6.299% (LIBOR01M +       
4.50%) 8/27/25 •  1,034,381  $  1,042,786 
Vistra Energy Tranche B 1st Lien 3.459% (LIBOR01M +       
1.75%) 12/31/25 •  2,001,741    2,015,879 
Zayo Group Tranche B2 1st Lien 4.049% (LIBOR01M +       
2.25%) 1/19/24 •  1,500,000    1,506,354 
Total Loan Agreements (cost $77,370,606)      77,842,713 
 
  Number of shares     
Short-Term Investments – 9.09%       
Money Market Mutual Funds - 9.09%       
BlackRock FedFund – Institutional Shares (seven-day       
effective yield 1.52%)  1,625,924    1,625,924 
Fidelity Investments Money Market Government       
Portfolio – Class I (seven-day effective yield 1.49%)  1,625,924    1,625,924 
GS Financial Square Government Fund – Institutional       
Shares (seven-day effective yield 1.51%)  1,625,924    1,625,924 
Morgan Stanley Government Portfolio – Institutional Share       
Class (seven-day effective yield 1.48%)  1,625,924    1,625,924 
State Street Institutional US Government Money Market       
Fund – Investor Class (seven-day effective yield 1.45%)  1,625,924    1,625,924 
Total Short-Term Investments (cost $8,129,620)      8,129,620 
 
Total Value of Securities – 102.93%       
(cost $91,419,342)      92,023,922 
Liabilities Net of Receivables and Other Assets – (2.93%)      (2,619,542) 
Net Assets Applicable to 9,356,579 Shares Outstanding – 100.00%    $  89,404,380 

 

#  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 
  At Dec. 31, 2019, the aggregate value of Rule 144A securities was $3,437,688, which represents 
  3.85% of the Fund’s net assets. 
°  Principal amount shown is stated in USD unless noted that the security is denominated in another 
  currency. 
•  Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at 
  Dec. 31, 2019. 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. 

 

NQ-QFV [12/19] 2/20 (1080135) 5

 

Schedule of investments

Delaware Floating Rate II Fund (Unaudited)

X This loan will settle after Dec. 31, 2019, at which time the interest rate, based on the LIBOR and the
agreed upon spread on trade date, will be reflected.

Unfunded Loan Commitments

The Fund may invest in floating rate loans. In connection with these investments, the Fund may also
enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Fund
to furnish temporary financing to a borrower until permanent financing can be arranged. In connection
with these commitments, the Fund earns a commitment fee, typically set as a percentage of the
commitment amount. The following unfunded loan commitments was outstanding at Dec. 31, 2019:

      Principal            Unrealized Appreciation  
Borrower     Amount    Cost    Value    (Depreciation)  
Apro Tranche B 1st                    
Lien 2.00%                    
(LIBOR03M +                    
2.00%) 10/28/26   $ 261,111  $ 261,111  $ 263,396  $ 2,285  
Heartland Dental                    
Tranche DD                    
   3.75%                   
   (LIBOR03M +                    
   3.75%) 4/30/25     20,525    20,525    20,448    (77 ) 
Inmarsat Tranche B                    
0.00% 12/12/26     783,147    783,147    790,274    7,127  

 

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
USD – US Dollar

6 NQ-QFV [12/19] 2/20 (1080135)