STATEMENT OF INVESTMENTS
BNY Mellon High Yield Strategies Fund
June 30, 2021 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% | | | | | |
Advertising - 3.3% | | | | | |
Advantage Sales & Marketing, Sr. Scd. Notes | | 6.50 | | 11/15/2028 | | 1,275,000 | b,c | 1,346,406 | |
Clear Channel International, Sr. Scd. Notes | | 6.63 | | 8/1/2025 | | 1,205,000 | c | 1,270,480 | |
Clear Channel Outdoor Holdings, Gtd. Notes | | 7.50 | | 6/1/2029 | | 945,000 | b,c | 979,574 | |
Clear Channel Outdoor Holdings, Gtd. Notes | | 7.75 | | 4/15/2028 | | 1,150,000 | b,c | 1,206,126 | |
National CineMedia, Sr. Scd. Notes | | 5.88 | | 4/15/2028 | | 355,000 | c | 349,306 | |
Outfront Media Capital, Gtd. Notes | | 5.00 | | 8/15/2027 | | 975,000 | b,c | 1,010,953 | |
Terrier Media Buyer, Gtd. Notes | | 8.88 | | 12/15/2027 | | 1,793,000 | b,c | 1,943,280 | |
| | 8,106,125 | |
Aerospace & Defense - 1.5% | | | | | |
TransDigm, Gtd. Notes | | 4.88 | | 5/1/2029 | | 1,685,000 | b,c | 1,703,114 | |
TransDigm, Sr. Scd. Notes | | 6.25 | | 3/15/2026 | | 1,440,000 | b,c | 1,521,000 | |
TransDigm, Sr. Scd. Notes | | 8.00 | | 12/15/2025 | | 310,000 | b,c | 335,820 | |
| | 3,559,934 | |
Airlines - 2.6% | | | | | |
American Airlines, Sr. Scd. Notes | | 11.75 | | 7/15/2025 | | 1,750,000 | b,c | 2,198,437 | |
American Airlines Group, Gtd. Notes | | 3.75 | | 3/1/2025 | | 2,615,000 | b,c | 2,412,769 | |
Hawaiian Brand Intellectual Property, Sr. Scd. Notes | | 5.75 | | 1/20/2026 | | 812,000 | c | 872,786 | |
United Airlines, Sr. Scd. Notes | | 4.63 | | 4/15/2029 | | 875,000 | b,c | 906,719 | |
| | 6,390,711 | |
Automobiles & Components - 6.0% | | | | | |
American Axle & Manufacturing, Gtd. Notes | | 6.25 | | 4/1/2025 | | 1,110,000 | b | 1,148,806 | |
American Axle & Manufacturing, Gtd. Notes | | 6.88 | | 7/1/2028 | | 475,000 | b | 519,455 | |
Clarios Global, Gtd. Notes | | 8.50 | | 5/15/2027 | | 2,905,000 | b,c | 3,170,662 | |
Clarios Global, Sr. Scd. Notes | | 6.25 | | 5/15/2026 | | 568,000 | c | 605,806 | |
Dealer Tire, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 2,970,000 | b,c | 3,211,654 | |
Ford Motor, Sr. Unscd. Notes | | 5.29 | | 12/8/2046 | | 525,000 | b | 587,026 | |
Ford Motor, Sr. Unscd. Notes | | 9.00 | | 4/22/2025 | | 1,030,000 | b | 1,271,169 | |
Ford Motor Credit, Sr. Unscd. Notes | | 5.11 | | 5/3/2029 | | 1,620,000 | b | 1,815,761 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | | 6.38 | | 5/15/2029 | | 200,000 | c | 218,885 | |
Real Hero Merger Sub 2, Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 1,635,000 | b,c | 1,698,111 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Automobiles & Components - 6.0% (continued) | | | | | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 315,000 | c | 361,512 | |
| | 14,608,847 | |
Building Materials - 3.0% | | | | | |
Cornerstone Building Brands, Gtd. Notes | | 6.13 | | 1/15/2029 | | 855,000 | b,c | 918,732 | |
CP Atlas Buyer, Sr. Unscd. Notes | | 7.00 | | 12/1/2028 | | 3,280,000 | b,c | 3,408,248 | |
Griffon, Gtd. Notes | | 5.75 | | 3/1/2028 | | 1,215,000 | b | 1,294,783 | |
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2026 | | 975,000 | c | 1,182,390 | |
U.S. Concrete, Gtd. Notes | | 5.13 | | 3/1/2029 | | 435,000 | c | 476,575 | |
| | 7,280,728 | |
Chemicals - 5.0% | | | | | |
Consolidated Energy Finance, Gtd. Notes | | 6.50 | | 5/15/2026 | | 230,000 | b,c | 236,788 | |
Consolidated Energy Finance, Sr. Unscd. Notes | | 6.88 | | 6/15/2025 | | 1,295,000 | b,c | 1,321,768 | |
CVR Partners, Scd. Notes | | 9.25 | | 6/15/2023 | | 344,000 | c | 345,582 | |
Innophos Holdings, Sr. Unscd. Notes | | 9.38 | | 2/15/2028 | | 1,995,000 | b,c | 2,162,620 | |
Iris Holdings, Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 1,052,000 | b,c | 1,074,881 | |
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% @ Floor | EUR | 4.75 | | 9/30/2024 | | 860,000 | c,d | 985,549 | |
Polar US Borrower, Sr. Unscd. Notes | | 6.75 | | 5/15/2026 | | 1,665,000 | b,c | 1,670,445 | |
Trinseo Materials Finance, Gtd. Bonds | | 5.13 | | 4/1/2029 | | 1,105,000 | c | 1,131,448 | |
Venator Finance, Gtd. Notes | | 5.75 | | 7/15/2025 | | 840,000 | b,c | 828,395 | |
Venator Finance, Sr. Scd. Notes | | 9.50 | | 7/1/2025 | | 2,120,000 | b,c | 2,390,491 | |
| | 12,147,967 | |
Collateralized Loan Obligations Debt - 5.4% | | | | | |
Battalion VII CLO, Ser. 2014-7A, Cl. DRR, 3 Month LIBOR +6.31% | | 6.50 | | 7/17/2028 | | 375,000 | c,d | 375,041 | |
Battalion X CLO, Ser. 2016-10A, Cl. DR2, 3 Month LIBOR +6.61% | | 6.79 | | 1/25/2035 | | 1,000,000 | c,d | 1,001,639 | |
Chenango Park CLO, Ser. 2018-1A, Cl. D, 3 Month LIBOR +5.80% | | 5.98 | | 4/15/2030 | | 1,000,000 | c,d | 987,269 | |
CIFC Funding CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% | | 5.19 | | 4/18/2031 | | 2,000,000 | b,c,d | 1,924,676 | |
Crown Point 8 CLO, Ser. 2019-8A, Cl. E, 3 Month LIBOR +7.10% | | 7.29 | | 10/20/2032 | | 2,000,000 | c,d | 1,991,564 | |
Euro-Galaxy VII CLO, Ser. 2019-7A, Cl. ER, 3 Month EURIBOR +6.20% @ Floor | EUR | 6.20 | | 7/25/2035 | | 1,000,000 | c,d | 1,174,578 | |
Octagon Investment Partners 33 CLO, Ser. 2017-1A, Cl. D, 3 Month LIBOR +6.30% | | 6.49 | | 1/20/2031 | | 1,525,000 | b,c,d | 1,511,129 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Collateralized Loan Obligations Debt - 5.4% (continued) | | | | | |
Octagon Investment Partners 39 CLO, Ser. 2018-3A, Cl. E, 3 Month LIBOR +5.75% | | 5.94 | | 10/20/2030 | | 2,000,000 | b,c,d | 1,975,988 | |
OZLM VI CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | | 6.24 | | 4/17/2031 | | 2,000,000 | c,d | 1,887,290 | |
Rockford Tower CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.85% | | 6.01 | | 5/20/2031 | | 375,000 | c,d | 365,991 | |
| | 13,195,165 | |
Commercial & Professional Services - 6.1% | | | | | |
Adtalem Global Education, Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 2,415,000 | b,c | 2,457,383 | |
APX Group, Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 1,630,000 | b,c | 1,740,212 | |
La Financiere Atalian, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 1,160,000 | | 1,388,675 | |
MPH Acquisition Holdings, Gtd. Notes | | 5.75 | | 11/1/2028 | | 1,020,000 | c | 1,026,360 | |
Prime Security Services Borrower, Scd. Notes | | 6.25 | | 1/15/2028 | | 1,610,000 | b,c | 1,714,682 | |
Team Health Holdings, Gtd. Notes | | 6.38 | | 2/1/2025 | | 3,550,000 | b,c | 3,383,611 | |
The House of Finance, Sr. Scd. Notes | EUR | 4.38 | | 7/15/2026 | | 290,000 | c | 350,177 | |
Verisure Midholding, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 2,200,000 | c | 2,686,909 | |
| | 14,748,009 | |
Consumer Discretionary - 10.9% | | | | | |
Allen Media, Gtd. Notes | | 10.50 | | 2/15/2028 | | 2,125,000 | b,c | 2,265,664 | |
AMC Entertainment Holdings, Scd. Notes | | 12.00 | | 6/15/2026 | | 514,100 | c | 526,953 | |
AMC Entertainment Holdings, Sr. Scd. Notes | | 10.50 | | 4/15/2025 | | 245,000 | c | 266,315 | |
Ashton Woods USA, Sr. Unscd. Notes | | 6.63 | | 1/15/2028 | | 1,335,000 | b,c | 1,427,375 | |
Ashton Woods USA, Sr. Unscd. Notes | | 6.75 | | 8/1/2025 | | 100,000 | b,c | 103,990 | |
Banijay Entertainment, Sr. Scd. Notes | | 5.38 | | 3/1/2025 | | 1,180,000 | b,c | 1,221,925 | |
Banijay Group, Sr. Unscd. Notes | EUR | 6.50 | | 3/1/2026 | | 2,310,000 | c | 2,834,605 | |
Boyd Gaming, Sr. Unscd. Notes | | 4.75 | | 6/15/2031 | | 1,115,000 | b,c | 1,158,206 | |
Caesars Entertainment, Sr. Scd. Notes | | 6.25 | | 7/1/2025 | | 580,000 | b,c | 615,525 | |
Caesars Entertainment, Sr. Unscd. Notes | | 8.13 | | 7/1/2027 | | 1,685,000 | b,c | 1,876,163 | |
Caesars Resort Collection, Sr. Scd. Notes | | 5.75 | | 7/1/2025 | | 305,000 | b,c | 321,775 | |
Carnival, Gtd. Bonds | EUR | 7.63 | | 3/1/2026 | | 265,000 | c | 348,722 | |
Carnival, Sr. Unscd. Notes | | 5.75 | | 3/1/2027 | | 775,000 | c | 812,781 | |
Cinemark USA, Gtd. Notes | | 5.88 | | 3/15/2026 | | 1,140,000 | b,c | 1,196,573 | |
Core & Main Holdings, Sr. Unscd. Notes | | 8.63 | | 9/15/2024 | | 1,155,000 | b,c | 1,182,570 | |
Everi Holdings, Gtd. Notes | | 5.00 | | 7/15/2029 | | 795,000 | | 795,000 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Consumer Discretionary - 10.9% (continued) | | | | | |
International Game Technology, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 1,995,000 | c | 2,142,480 | |
Lions Gate Capital Holdings, Gtd. Notes | | 5.50 | | 4/15/2029 | | 190,000 | c | 199,984 | |
NCL, Gtd. Notes | | 5.88 | | 3/15/2026 | | 945,000 | c | 991,981 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 3.70 | | 3/15/2028 | | 1,150,000 | | 1,100,067 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 4/1/2028 | | 940,000 | c | 985,637 | |
Scientific Games International, Gtd. Notes | EUR | 5.50 | | 2/15/2026 | | 720,000 | c | 872,949 | |
Scientific Games International, Gtd. Notes | | 7.25 | | 11/15/2029 | | 230,000 | c | 260,048 | |
Scientific Games International, Gtd. Notes | | 8.25 | | 3/15/2026 | | 1,540,000 | b,c | 1,653,544 | |
Station Casinos, Gtd. Notes | | 4.50 | | 2/15/2028 | | 745,000 | c | 759,189 | |
Taylor Morrison Communities, Gtd. Notes | | 5.88 | | 6/15/2027 | | 545,000 | b,c | 618,283 | |
Taylor Morrison Communities, Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 95,000 | b,c | 103,224 | |
| | 26,641,528 | |
Diversified Financials - 7.4% | | | | | |
Compass Group Diversified Holdings, Gtd. Notes | | 5.25 | | 4/15/2029 | | 1,500,000 | b,c | 1,561,875 | |
Encore Capital Group, Sr. Scd. Bonds | GBP | 5.38 | | 2/15/2026 | | 1,395,000 | c | 2,040,032 | |
FS Energy & Power Fund, Sr. Scd. Notes | | 7.50 | | 8/15/2023 | | 1,665,000 | b,c | 1,724,773 | |
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 910,000 | c | 1,313,372 | |
Garfunkelux Holdco 3, Sr. Scd. Notes | EUR | 6.75 | | 11/1/2025 | | 1,565,000 | c | 1,935,965 | |
Icahn Enterprises, Gtd. Notes | | 6.25 | | 5/15/2026 | | 2,015,000 | b | 2,141,340 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.13 | | 12/15/2030 | | 113,000 | c | 112,661 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.50 | | 8/15/2028 | | 2,555,000 | b,c | 2,580,882 | |
Nationstar Mortgage Holdings, Gtd. Notes | | 6.00 | | 1/15/2027 | | 900,000 | b,c | 934,452 | |
Navient, Sr. Unscd. Notes | | 5.88 | | 10/25/2024 | | 915,000 | b | 989,408 | |
Navient, Sr. Unscd. Notes | | 6.75 | | 6/15/2026 | | 1,525,000 | b | 1,705,331 | |
Navient, Sr. Unscd. Notes | | 7.25 | | 9/25/2023 | | 855,000 | b | 946,062 | |
| | 17,986,153 | |
Electronic Components - 1.0% | | | | | |
Wesco Distribution, Gtd. Notes | | 7.13 | | 6/15/2025 | | 780,000 | b,c | 843,921 | |
Wesco Distribution, Gtd. Notes | | 7.25 | | 6/15/2028 | | 1,400,000 | b,c | 1,561,259 | |
| | 2,405,180 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Energy - 15.2% | | | | | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 3/1/2027 | | 790,000 | b,c | 824,006 | |
Antero Midstream Partners, Gtd. Notes | | 7.88 | | 5/15/2026 | | 555,000 | b,c | 622,100 | |
Antero Resources, Gtd. Notes | | 5.38 | | 3/1/2030 | | 555,000 | c | 567,143 | |
Antero Resources, Gtd. Notes | | 7.63 | | 2/1/2029 | | 1,079,000 | b,c | 1,199,093 | |
Antero Resources, Gtd. Notes | | 8.38 | | 7/15/2026 | | 445,000 | b,c | 506,744 | |
Apache, Sr. Unscd. Notes | | 5.10 | | 9/1/2040 | | 783,000 | b | 821,171 | |
Archrock Partners, Gtd. Notes | | 6.25 | | 4/1/2028 | | 528,000 | b,c | 552,240 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 1,620,000 | b,c | 1,698,910 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 510,000 | b,c | 553,350 | |
Centennial Resource Production, Gtd. Notes | | 6.88 | | 4/1/2027 | | 725,000 | b,c | 742,429 | |
Crestwood Midstream Partners, Gtd. Notes | | 5.63 | | 5/1/2027 | | 1,730,000 | b,c | 1,780,516 | |
Crestwood Midstream Partners, Gtd. Notes | | 6.00 | | 2/1/2029 | | 1,045,000 | b,c | 1,095,944 | |
CrownRock, Sr. Unscd. Notes | | 5.00 | | 5/1/2029 | | 1,000,000 | b,c | 1,051,605 | |
CrownRock, Sr. Unscd. Notes | | 5.63 | | 10/15/2025 | | 645,000 | b,c | 669,410 | |
Enviva Partners, Gtd. Notes | | 6.50 | | 1/15/2026 | | 1,280,000 | b,c | 1,340,160 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 510,000 | b | 552,116 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 6.00 | | 7/1/2025 | | 485,000 | b,c | 528,565 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 6.50 | | 7/1/2027 | | 605,000 | b,c | 676,342 | |
Genesis Energy, Gtd. Notes | | 6.50 | | 10/1/2025 | | 1,570,000 | b | 1,588,864 | |
Genesis Energy, Gtd. Notes | | 7.75 | | 2/1/2028 | | 785,000 | b | 812,318 | |
Genesis Energy, Gtd. Notes | | 8.00 | | 1/15/2027 | | 850,000 | b | 894,094 | |
Indigo Natural Resources, Sr. Unscd. Notes | | 5.38 | | 2/1/2029 | | 2,045,000 | b,c | 2,139,663 | |
Laredo Petroleum, Gtd. Notes | | 9.50 | | 1/15/2025 | | 775,000 | b | 817,594 | |
Laredo Petroleum, Gtd. Notes | | 10.13 | | 1/15/2028 | | 125,000 | b | 137,625 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.13 | | 1/1/2031 | | 630,000 | | 742,001 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.38 | | 9/1/2028 | | 477,000 | | 557,570 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.45 | | 9/15/2036 | | 800,000 | b | 957,528 | |
Occidental Petroleum, Sr. Unscd. Notes | | 6.95 | | 7/1/2024 | | 610,000 | | 689,279 | |
Occidental Petroleum, Sr. Unscd. Notes | | 7.50 | | 5/1/2031 | | 1,410,000 | b | 1,778,419 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Energy - 15.2% (continued) | | | | | |
Occidental Petroleum, Sr. Unscd. Notes | | 8.88 | | 7/15/2030 | | 1,980,000 | b | 2,650,616 | |
PDC Energy, Gtd. Notes | | 5.75 | | 5/15/2026 | | 150,000 | b | 156,890 | |
PDC Energy, Gtd. Notes | | 6.13 | | 9/15/2024 | | 905,000 | b | 928,408 | |
Precision Drilling, Gtd. Notes | | 6.88 | | 1/15/2029 | | 390,000 | c | 402,188 | |
Precision Drilling, Gtd. Notes | | 7.13 | | 1/15/2026 | | 250,000 | b,c | 258,009 | |
Southwestern Energy, Gtd. Notes | | 7.50 | | 4/1/2026 | | 1,070,000 | b | 1,134,200 | |
Southwestern Energy, Gtd. Notes | | 8.38 | | 9/15/2028 | | 475,000 | b | 537,391 | |
Targa Resources Partners, Gtd. Notes | | 6.88 | | 1/15/2029 | | 1,250,000 | b | 1,410,787 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 9/1/2027 | | 830,000 | | 888,332 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 4/1/2026 | | 1,738,000 | b | 1,824,778 | |
| | 37,088,398 | |
Environmental Control - 1.7% | | | | | |
Covanta Holding, Sr. Unscd. Notes | | 5.88 | | 7/1/2025 | | 1,440,000 | b | 1,493,345 | |
Harsco, Gtd. Notes | | 5.75 | | 7/31/2027 | | 1,570,000 | b,c | 1,649,222 | |
Waste Pro USA, Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 920,000 | b,c | 952,973 | |
| | 4,095,540 | |
Food Products - 1.5% | | | | | |
New Albertsons, Sr. Unscd. Bonds | | 8.00 | | 5/1/2031 | | 2,390,000 | b | 2,903,850 | |
United Natural Foods, Gtd. Notes | | 6.75 | | 10/15/2028 | | 785,000 | c | 846,379 | |
| | 3,750,229 | |
Food Service - .3% | | | | | |
TKC Holdings, Sr. Unscd. Notes | | 10.50 | | 5/15/2029 | | 724,000 | c | 785,931 | |
Forest Products & Paper - .5% | | | | | |
SPA Holdings 3, Sr. Scd. Bonds | | 4.88 | | 2/4/2028 | | 1,325,000 | c | 1,339,509 | |
Health Care - 12.9% | | | | | |
Air Methods, Sr. Unscd. Notes | | 8.00 | | 5/15/2025 | | 3,605,000 | b,c | 3,411,231 | |
Bausch Health, Gtd. Notes | | 6.13 | | 4/15/2025 | | 1,300,000 | b,c | 1,334,125 | |
Bausch Health, Gtd. Notes | | 6.25 | | 2/15/2029 | | 415,000 | b,c | 410,975 | |
Bausch Health, Gtd. Notes | | 7.25 | | 5/30/2029 | | 145,000 | b,c | 148,582 | |
Bausch Health, Gtd. Notes | | 9.00 | | 12/15/2025 | | 895,000 | b,c | 960,827 | |
Bausch Health, Sr. Scd. Notes | | 4.88 | | 6/1/2028 | | 561,000 | c | 574,885 | |
Bausch Health Americas, Gtd. Notes | | 9.25 | | 4/1/2026 | | 1,850,000 | b,c | 2,014,557 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 1,315,000 | c | 1,349,519 | |
Chrome Holdco, Gtd. Notes | EUR | 5.00 | | 5/31/2029 | | 850,000 | c | 1,034,408 | |
Cidron Aida Finco, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 815,000 | c | 1,152,756 | |
Community Health Systems, Scd. Notes | | 6.13 | | 4/1/2030 | | 1,685,000 | b,c | 1,712,381 | |
Community Health Systems, Scd. Notes | | 6.88 | | 4/15/2029 | | 945,000 | b,c | 991,669 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Health Care - 12.9% (continued) | | | | | |
Community Health Systems, Sr. Scd. Notes | | 4.75 | | 2/15/2031 | | 660,000 | b,c | 663,300 | |
Community Health Systems, Sr. Scd. Notes | | 6.63 | | 2/15/2025 | | 1,604,000 | b,c | 1,698,219 | |
Laboratoire Eimer Selas, Gtd. Notes | EUR | 5.00 | | 2/1/2029 | | 510,000 | c | 617,688 | |
Legacy LifePoint Health, Sr. Scd. Notes | | 6.75 | | 4/15/2025 | | 410,000 | c | 437,970 | |
LifePoint Health, Gtd. Notes | | 5.38 | | 1/15/2029 | | 850,000 | b,c | 829,953 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 1,715,000 | b,c | 1,768,937 | |
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | | 7.25 | | 2/1/2028 | | 1,437,000 | b,c | 1,572,437 | |
Prime Healthcare Services, Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 1,100,000 | b,c | 1,192,279 | |
Surgery Center Holdings, Gtd. Notes | | 6.75 | | 7/1/2025 | | 535,000 | c | 547,054 | |
Surgery Center Holdings, Gtd. Notes | | 10.00 | | 4/15/2027 | | 1,000,000 | b,c | 1,101,020 | |
Tenet Healthcare, Gtd. Notes | | 6.13 | | 10/1/2028 | | 1,565,000 | b,c | 1,672,187 | |
Tenet Healthcare, Scd. Notes | | 6.25 | | 2/1/2027 | | 1,680,000 | b,c | 1,755,600 | |
Tenet Healthcare, Sr. Scd. Notes | | 7.50 | | 4/1/2025 | | 170,000 | b,c | 183,836 | |
Tenet Healthcare, Sr. Unscd. Notes | | 6.75 | | 6/15/2023 | | 2,060,000 | b | 2,250,550 | |
| | 31,386,945 | |
Industrial - 3.3% | | | | | |
Bombardier, Sr. Unscd. Notes | | 7.13 | | 6/15/2026 | | 1,130,000 | c | 1,184,523 | |
Bombardier, Sr. Unscd. Notes | | 7.50 | | 12/1/2024 | | 700,000 | c | 732,379 | |
Gates Global, Gtd. Notes | | 6.25 | | 1/15/2026 | | 1,435,000 | b,c | 1,508,027 | |
Husky III Holding, Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 2,085,000 | b,c | 2,270,106 | |
Titan Acquisition, Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 1,285,000 | b,c | 1,335,218 | |
VM Consolidated, Gtd. Notes | | 5.50 | | 4/15/2029 | | 970,000 | b,c | 990,428 | |
| | 8,020,681 | |
Information Technology - 1.2% | | | | | |
Boxer Parent, Sr. Scd. Notes | | 7.13 | | 10/2/2025 | | 440,000 | b,c | 471,984 | |
Rackspace Technology Global, Gtd. Notes | | 5.38 | | 12/1/2028 | | 1,675,000 | c | 1,718,969 | |
Veritas Bermuda, Sr. Unscd. Notes | | 10.50 | | 2/1/2024 | | 655,000 | c | 674,909 | |
| | 2,865,862 | |
Insurance - 1.6% | | | | | |
Alliant Holdings Intermediate, Sr. Unscd. Notes | | 6.75 | | 10/15/2027 | | 725,000 | b,c | 762,867 | |
AmWINS Group, Gtd. Notes | | 7.75 | | 7/1/2026 | | 1,105,000 | b,c | 1,174,228 | |
AssuredPartners, Sr. Unscd. Notes | | 7.00 | | 8/15/2025 | | 1,505,000 | b,c | 1,542,377 | |
GTCR AP Finance, Sr. Unscd. Notes | | 8.00 | | 5/15/2027 | | 445,000 | b,c | 475,480 | |
| | 3,954,952 | |
Internet Software & Services - 2.0% | | | | | |
Endure Digital, Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 2,365,000 | b,c | 2,344,673 | |
Northwest Fiber, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 2,395,000 | b,c | 2,403,574 | |
| | 4,748,247 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Materials - 5.2% | | | | | |
ARD Finance, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 1,357,000 | b,c | 1,427,673 | |
Ardagh Packaging Finance, Gtd. Notes | | 5.25 | | 8/15/2027 | | 1,960,000 | b,c | 2,001,807 | |
Ardagh Packaging Finance, Sr. Unscd. Notes | | 5.25 | | 8/15/2027 | | 465,000 | b,c | 474,918 | |
Graham Packaging, Gtd. Notes | | 7.13 | | 8/15/2028 | | 1,725,000 | b,c | 1,863,535 | |
LABL Escrow Issuer, Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 1,355,000 | b,c | 1,496,597 | |
Mauser Packaging Solutions Holding, Sr. Scd. Notes | | 8.50 | | 4/15/2024 | | 865,000 | b,c | 899,501 | |
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 3,305,000 | b,c | 3,245,510 | |
Trivium Packaging Finance, Gtd. Notes | | 8.50 | | 8/15/2027 | | 1,155,000 | b,c | 1,258,673 | |
| | 12,668,214 | |
Media - 5.4% | | | | | |
Altice Financing, Sr. Scd. Bonds | | 7.50 | | 5/15/2026 | | 1,540,000 | b,c | 1,605,527 | |
CSC Holdings, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 650,000 | b,c | 676,000 | |
CSC Holdings, Sr. Unscd. Notes | | 7.50 | | 4/1/2028 | | 1,735,000 | b,c | 1,909,307 | |
Diamond Sports Group, Sr. Scd. Notes | | 5.38 | | 8/15/2026 | | 480,000 | c | 311,424 | |
DISH DBS, Gtd. Notes | | 7.38 | | 7/1/2028 | | 940,000 | b | 1,012,737 | |
Midcontinent Communications, Gtd. Notes | | 5.38 | | 8/15/2027 | | 760,000 | b,c | 800,637 | |
Radiate Holdco, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 2,593,000 | b,c | 2,727,849 | |
Scripps Escrow, Gtd. Notes | | 5.88 | | 7/15/2027 | | 970,000 | b,c | 1,005,667 | |
Summer BidCo, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 1,242,443 | c | 1,507,973 | |
TEGNA, Gtd. Notes | | 5.00 | | 9/15/2029 | | 870,000 | b | 912,795 | |
Townsquare Media, Sr. Scd. Notes | | 6.88 | | 2/1/2026 | | 655,000 | c | 701,669 | |
| | 13,171,585 | |
Metals & Mining - 1.3% | | | | | |
Arconic, Scd. Notes | | 6.13 | | 2/15/2028 | | 1,565,000 | b,c | 1,683,494 | |
Hudbay Minerals, Gtd. Notes | | 4.50 | | 4/1/2026 | | 227,000 | c | 228,135 | |
Hudbay Minerals, Gtd. Notes | | 6.13 | | 4/1/2029 | | 1,009,000 | c | 1,075,846 | |
Kaiser Aluminum, Gtd. Notes | | 4.50 | | 6/1/2031 | | 140,000 | c | 143,909 | |
| | 3,131,384 | |
Real Estate - 3.1% | | | | | |
Apollo Commercial Real Estate Finance, Sr. Scd. Notes | | 4.63 | | 6/15/2029 | | 445,000 | c | 439,371 | |
Greystar Real Estate Partners, Sr. Scd. Notes | | 5.75 | | 12/1/2025 | | 835,000 | b,c | 861,144 | |
Ladder Capital Finance Holdings, Gtd. Notes | | 5.25 | | 10/1/2025 | | 3,125,000 | b,c | 3,183,594 | |
Park Intermediate Holdings, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 825,000 | c | 854,453 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Real Estate - 3.1% (continued) | | | | | |
Starwood Property Trust, Sr. Unscd. Notes | | 5.50 | | 11/1/2023 | | 975,000 | b,c | 1,022,531 | |
XHR, Sr. Scd. Notes | | 4.88 | | 6/1/2029 | | 1,130,000 | b,c | 1,168,138 | |
| | 7,529,231 | |
Retailing - 8.4% | | | | | |
BCPE Ulysses Intermediate, Sr. Unscd. Notes | | 7.75 | | 4/1/2027 | | 1,700,000 | b,c | 1,744,820 | |
Golden Nugget, Sr. Unscd. Notes | | 6.75 | | 10/15/2024 | | 645,000 | b,c | 652,398 | |
LBM Acquisition, Gtd. Notes | | 6.25 | | 1/15/2029 | | 1,440,000 | b,c | 1,452,888 | |
Macy's, Sr. Scd. Notes | | 8.38 | | 6/15/2025 | | 915,000 | b,c | 1,009,890 | |
Macy's Retail Holdings, Gtd. Notes | | 4.50 | | 12/15/2034 | | 1,800,000 | b | 1,702,143 | |
Park River Holdings, Gtd. Notes | | 5.63 | | 2/1/2029 | | 2,015,000 | b,c | 1,963,366 | |
Park River Holdings, Sr. Unscd. Notes | | 6.75 | | 8/1/2029 | | 1,672,000 | b,c | 1,696,369 | |
SRS Distribution, Gtd. Notes | | 6.13 | | 7/1/2029 | | 1,655,000 | b,c | 1,707,017 | |
Staples, Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 1,790,000 | b,c | 1,856,230 | |
Staples, Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 2,520,000 | b,c | 2,569,329 | |
White Cap Buyer, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 2,270,000 | b,c | 2,432,611 | |
White Cap Parent, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 1,485,000 | b,c | 1,541,742 | |
| | 20,328,803 | |
Technology Hardware & Equipment - 2.0% | | | | | |
Banff Merger Sub, Sr. Unscd. Notes | EUR | 8.38 | | 9/1/2026 | | 1,245,000 | c | 1,550,551 | |
Banff Merger Sub, Sr. Unscd. Notes | | 9.75 | | 9/1/2026 | | 1,975,000 | b,c | 2,081,156 | |
Diebold Nixdorf, Gtd. Notes | | 8.50 | | 4/15/2024 | | 1,165,000 | b | 1,194,125 | |
| | 4,825,832 | |
Telecommunication Services - 8.4% | | | | | |
Altice France, Sr. Scd. Notes | | 8.13 | | 2/1/2027 | | 1,305,000 | b,c | 1,423,429 | |
Altice France Holding, Gtd. Notes | | 6.00 | | 2/15/2028 | | 1,620,000 | b,c | 1,615,432 | |
Altice France Holding, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 905,000 | c | 1,006,826 | |
Cincinnati Bell, Gtd. Notes | | 8.00 | | 10/15/2025 | | 2,295,000 | b,c | 2,417,289 | |
CommScope, Gtd. Notes | | 8.25 | | 3/1/2027 | | 3,045,000 | b,c | 3,258,302 | |
CommScope Technologies, Gtd. Notes | | 5.00 | | 3/15/2027 | | 440,000 | b,c | 451,000 | |
Connect Finco, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 2,245,000 | b,c | 2,376,916 | |
DKT Finance, Sr. Scd. Notes | | 9.38 | | 6/17/2023 | | 1,775,000 | b,c | 1,817,156 | |
Intrado, Gtd. Notes | | 8.50 | | 10/15/2025 | | 2,075,000 | b,c | 2,030,906 | |
Plantronics, Gtd. Notes | | 4.75 | | 3/1/2029 | | 2,330,000 | b,c | 2,316,067 | |
ViaSat, Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 650,000 | b,c | 664,479 | |
ViaSat, Sr. Unscd. Notes | | 6.50 | | 7/15/2028 | | 890,000 | b,c | 950,378 | |
| | 20,328,180 | |
Utilities - 1.2% | | | | | |
Calpine, Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 1,730,000 | c | 1,724,810 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 127.4% (continued) | | | | | |
Utilities - 1.2% (continued) | | | | | |
Pike, Gtd. Notes | | 5.50 | | 9/1/2028 | | 1,265,000 | b,c | 1,319,212 | |
| | 3,044,022 | |
Total Bonds and Notes
(cost $293,480,077) | | 310,133,892 | |
| | | | | | | | | |
Floating Rate Loan Interests - 7.3% | | | | | |
Airlines - .4% | | | | | |
American Airlines, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 4/20/2028 | | 886,000 | d | 924,820 | |
Chemicals - .4% | | | | | |
Polar US Borrower, Initial Term Loan, 1-3 Month LIBOR +4.75% | | 4.86 | | 10/16/2025 | | 970,708 | d | 975,561 | |
Commercial & Professional Services - .6% | | | | | |
Amentum Government Services, First Lien Tranche 2 Term Loan, 3 Month LIBOR +4.75% | | 5.50 | | 1/31/2027 | | 990,517 | d | 1,001,661 | |
Team Health Holdings, Initial Term Loan, 1 Month LIBOR +2.75% | | 3.75 | | 2/6/2024 | | 547,143 | d | 533,007 | |
| | 1,534,668 | |
Consumer Discretionary - .5% | | | | | |
Crown Finance US, Initial Dollar Tranche Term Loan, 6 Month LIBOR +2.50% | | 3.50 | | 2/28/2025 | | 998,418 | d | 882,406 | |
Raptor Acquisition, Term Loan B, 1 Month LIBOR +4.00% | | 4.75 | | 11/1/2026 | | 300,000 | d | 300,875 | |
| | 1,183,281 | |
Health Care - 1.1% | | | | | |
One Call, First Lien Term Loan B, 3 Month LIBOR +5.50% | | 6.25 | | 4/22/2027 | | 2,540,000 | d | 2,571,750 | |
Industrial - .3% | | | | | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 5.00 | | 3/8/2025 | | 849,632 | d | 777,413 | |
Information Technology - 2.6% | | | | | |
CT Technologies, Retired Initial Term Loan, 1 Month LIBOR +5.00% | | 6.00 | | 12/16/2025 | | 877,800 | d | 880,934 | |
Ecl Entertainment, Term Loan B, 1 Month LIBOR +7.50% | | 8.25 | | 4/30/2028 | | 1,200,000 | d | 1,228,500 | |
Finastra USA, First Lien Dollar Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 6/13/2024 | | 1,443,152 | d | 1,422,818 | |
Ivanti Software, First Amendment Term Loan, 3 Month LIBOR +4.00% | | 4.75 | | 12/1/2027 | | 114,712 | d | 114,378 | |
Ivanti Software, First Lien Initial Term Loan, 3 Month LIBOR +4.75% | | 5.75 | | 12/1/2027 | | 1,575,930 | d | 1,580,634 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 7.3% (continued) | | | | | |
Information Technology - 2.6% (continued) | | | | | |
Software Luxembourg Acquisition, Second Out Term Loan, 3 Month LIBOR +7.50% | | 8.50 | | 4/27/2025 | | 258,448 | d,e | 259,094 | |
Software Luxembourg Acquisition, Senior Secured Term Loan, 3 Month LIBOR +7.50% | | 8.50 | | 12/27/2024 | | 76,437 | d,e | 76,628 | |
Solera, First Lien Dollar Term Loan, 6 Month LIBOR +4.00% | | 4.50 | | 6/4/2028 | | 665,000 | d | 667,786 | |
| | 6,230,772 | |
Insurance - .5% | | | | | |
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | | 4.60 | | 2/28/2025 | | 1,246,458 | d | 1,245,685 | |
Materials - .5% | | | | | |
LABL, USD Facility Term Loan B, 1 Month LIBOR +4.00% | | 4.10 | | 7/2/2026 | | 1,290,152 | d | 1,290,287 | |
Technology Hardware & Equipment - .2% | | | | | |
Everi Payments, Term Loan, 3 Month LIBOR +10.50% | | 11.50 | | 5/9/2024 | | 495,000 | d | 517,275 | |
Telecommunication Services - .2% | | | | | |
Cyxtera DC Holdings, First Lien Initial Term Loan, 6 Month LIBOR +3.00% | | 4.00 | | 5/1/2024 | | 487,461 | d | 475,672 | |
Total Floating Rate Loan Interests
(cost $17,393,427) | | 17,727,184 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .0% | | | | | |
Information Technology - .0% | | | | | |
Skillsoft
(cost $156,681) | | | | | | 14,781 | f | 145,595 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.8% | | | | | |
Registered Investment Companies - 1.8% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $4,370,957) | | 0.05 | | | | 4,370,957 | g | 4,370,957 | |
Total Investments (cost $315,401,142) | | 136.5% | 332,377,628 | |
Liabilities, Less Cash and Receivables | | (36.5%) | (88,940,056) | |
Net Assets | | 100.0% | 243,437,572 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security, or portion thereof, has been pledged as collateral for the fund’s Revolving Credit and Security Agreement.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities were valued at $263,081,483 or 108.07% of net assets.
d Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
e Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
f Non-income producing security.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon High Yield Strategies Fund
June 30, 2021 (Unaudited)
The following is a summary of the inputs used as of June 30, 2021 in valuing the fund’s investments:
| | | | | |
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) | | | | |
Investments in Securities: † | | | | |
Collateralized Loan Obligations | - | 13,195,165 | - | 13,195,165 |
Corporate Bonds | - | 296,938,727 | - | 296,938,727 |
Equity Securities – Common Stocks | 145,595 | - | - | 145,595 |
Floating Rate Loan Interests | - | 17,727,184 | - | 17,727,184 |
Investment Companies | 4,370,957 | - | - | 4,370,957 |
Other Financial Instruments: | | | | |
Forward Foreign Currency Exchange Contracts†† | - | 189,071 | - | 189,071 |
Liabilities ($) | | | | |
Other Financial Instruments: | | | | |
Forward Foreign Currency Exchange Contracts†† | - | (9,380) | - | (9,380) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon High Yield Strategies Fund
June 30, 2021 (Unaudited)
| | | | | | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital |
United States Dollar | 4,231,796 | British Pound | 3,030,000 | 7/30/2021 | 40,003 |
Euro | 1,208,525 | United States Dollar | 1,443,307 | 7/30/2021 | (9,380) |
United States Dollar | 22,396,130 | Euro | 18,750,000 | 7/30/2021 | 149,068 |
Gross Unrealized Appreciation | | | 189,071 |
Gross Unrealized Depreciation | | | (9,380) |
See notes to financial statements.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), financial futures and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing
services (each, a “Service”) approved by the fund's Board Members (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at June 30, 2021 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At June 30, 2021, accumulated net unrealized appreciation on investments was $16,976,486, consisting of $17,431,960 gross unrealized appreciation and $455,474 gross unrealized depreciation.
At June 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
