STATEMENT OF INVESTMENTS
BNY Mellon High Yield Strategies Fund
December 31, 2022 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% | | | | | |
Advertising - 1.6% | | | | | |
Clear Channel Outdoor Holdings Inc., Gtd. Notes | | 7.75 | | 4/15/2028 | | 330,000 | b | 241,330 | |
Clear Channel Outdoor Holdings Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 1,280,000 | b | 1,111,872 | |
Outfront Media Capital LLC, Gtd. Notes | | 5.00 | | 8/15/2027 | | 975,000 | b | 879,252 | |
Summer BC Holdco B SARL, Sr. Scd. Bonds | EUR | 5.75 | | 10/31/2026 | | 720,000 | b | 659,932 | |
| | 2,892,386 | |
Aerospace & Defense - 2.3% | | | | | |
Bombardier Inc., Sr. Unscd. Notes | | 7.50 | | 3/15/2025 | | 184,000 | b | 182,597 | |
Spirit AeroSystems Inc., Scd. Notes | | 7.50 | | 4/15/2025 | | 1,000,000 | b | 990,310 | |
Spirit AeroSystems Inc., Sr. Scd. Notes | | 9.38 | | 11/30/2029 | | 395,000 | b | 416,310 | |
TransDigm Inc., Gtd. Notes | | 4.88 | | 5/1/2029 | | 1,003,000 | | 876,146 | |
TransDigm Inc., Gtd. Notes | | 5.50 | | 11/15/2027 | | 810,000 | | 762,275 | |
TransDigm Inc., Sr. Scd. Notes | | 6.25 | | 3/15/2026 | | 911,000 | b | 900,423 | |
| | 4,128,061 | |
Airlines - 2.3% | | | | | |
Air Canada, Sr. Scd. Notes | | 3.88 | | 8/15/2026 | | 830,000 | b | 736,569 | |
American Airlines Inc., Sr. Scd. Notes | | 5.50 | | 4/20/2026 | | 380,000 | b | 366,093 | |
American Airlines Inc., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 1,580,000 | b | 1,446,902 | |
American Airlines Inc., Sr. Scd. Notes | | 11.75 | | 7/15/2025 | | 836,000 | b | 898,557 | |
Delta Air Lines Inc., Sr. Scd. Notes | | 4.75 | | 10/20/2028 | | 790,000 | b | 743,793 | |
| | 4,191,914 | |
Automobiles & Components - 4.6% | | | | | |
Clarios Global LP, Gtd. Notes | | 8.50 | | 5/15/2027 | | 890,000 | b | 870,915 | |
Clarios Global LP, Sr. Scd. Notes | | 6.25 | | 5/15/2026 | | 630,000 | b | 616,746 | |
Dealer Tire LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 1,809,000 | b | 1,594,549 | |
Ford Motor Co., Sr. Unscd. Notes | | 5.29 | | 12/8/2046 | | 243,000 | | 185,739 | |
Ford Motor Credit Co., Sr. Unscd. Notes | | 4.00 | | 11/13/2030 | | 1,620,000 | | 1,332,944 | |
Ford Motor Credit Co., Sr. Unscd. Notes | | 5.11 | | 5/3/2029 | | 1,190,000 | | 1,080,282 | |
IHO Verwaltungs GmbH, Sr. Scd. Bonds | | 6.00 | | 5/15/2027 | | 1,450,000 | b,c | 1,275,311 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | EUR | 3.88 | | 5/15/2027 | | 960,000 | b,c | 872,100 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 675,000 | b | 443,670 | |
| | 8,272,256 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Banks - 1.0% | | | | | |
Bank of America Corp., Jr. Sub. Notes, Ser. JJ | | 5.13 | | 6/20/2024 | | 570,000 | d | 527,931 | |
Citigroup Inc., Jr. Sub. Notes, Ser. U | | 5.00 | | 9/12/2024 | | 855,000 | d | 763,098 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. HH | | 4.60 | | 2/1/2025 | | 620,000 | d | 547,925 | |
| | 1,838,954 | |
Beverage Products - .5% | | | | | |
Primo Water Holdings Inc., Gtd. Notes | | 4.38 | | 4/30/2029 | | 1,070,000 | b | 925,306 | |
Building Materials - 1.8% | | | | | |
Eco Material Technologies Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 1,531,000 | b | 1,464,490 | |
Griffon Corp., Gtd. Notes | | 5.75 | | 3/1/2028 | | 1,050,000 | | 962,378 | |
Standard Industries Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2028 | | 890,000 | b | 802,202 | |
| | 3,229,070 | |
Chemicals - 3.7% | | | | | |
Axalta Coating Systems LLC, Gtd. Notes | | 3.38 | | 2/15/2029 | | 390,000 | b | 322,292 | |
Consolidated Energy Finance SA, Gtd. Notes | | 5.63 | | 10/15/2028 | | 1,502,000 | b | 1,278,167 | |
Iris Holdings Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 996,000 | b,c | 856,560 | |
Italmatch Chemicals SPA, Sr. Scd. Notes, 3 Month EURIBOR +4.75% | EUR | 6.93 | | 9/30/2024 | | 1,430,000 | b,e | 1,470,801 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | EUR | 3.88 | | 10/1/2028 | | 1,129,000 | b | 984,871 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 4.25 | | 10/1/2028 | | 259,000 | b | 210,607 | |
Olympus Water US Holding Corp., Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 791,000 | b | 601,560 | |
Trinseo Materials Finance Inc., Gtd. Bonds | | 5.13 | | 4/1/2029 | | 280,000 | b | 181,726 | |
Trinseo Materials Finance Inc., Gtd. Notes | | 5.38 | | 9/1/2025 | | 960,000 | b | 791,117 | |
| | 6,697,701 | |
Collateralized Loan Obligations Debt - 5.1% | | | | | |
Battalion X Ltd. CLO, Ser. 2016-10A, Cl. DR2, 3 Month LIBOR +6.61% | | 10.93 | | 1/25/2035 | | 1,000,000 | b,e | 819,622 | |
Chenango Park Ltd. CLO, Ser. 2018-1A, Cl. D, 3 Month LIBOR +5.80% | | 9.88 | | 4/15/2030 | | 1,000,000 | b,e | 806,636 | |
Crown Point 8 Ltd. CLO, Ser. 2019-8A, Cl. ER, 3 Month LIBOR +7.13% | | 11.37 | | 10/20/2034 | | 2,375,000 | b,e | 2,209,016 | |
Northwoods Capital 27 Ltd. CLO, Ser. 2021-27A, Cl. E, 3 Month LIBOR +7.04% | | 11.12 | | 10/17/2034 | | 1,150,000 | b,e | 933,567 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Collateralized Loan Obligations Debt - 5.1% (continued) | | | | | |
Octagon Investment Partners 33 Ltd. CLO, Ser. 2017-1A, Cl. D, 3 Month LIBOR +6.30% | | 10.54 | | 1/20/2031 | | 1,525,000 | b,e | 1,294,612 | |
Octagon Investment Partners 46 Ltd. CLO, Ser. 2020-2A, Cl. ER, 3 Month LIBOR +6.60% | | 10.68 | | 7/15/2036 | | 2,000,000 | b,e | 1,661,168 | |
OZLM VI Ltd. CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | | 10.13 | | 4/17/2031 | | 2,000,000 | b,e | 1,523,092 | |
| | 9,247,713 | |
Commercial & Professional Services - 7.3% | | | | | |
Albion Financing 1 SARL, Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 540,000 | b | 507,189 | |
Allied Universal Holdco LLC, Sr. Scd. Notes | | 4.63 | | 6/1/2028 | | 990,000 | b | 819,522 | |
Allied Universal Holdco LLC, Sr. Scd. Notes | | 6.63 | | 7/15/2026 | | 1,260,000 | b | 1,155,496 | |
APi Group DE Inc., Gtd. Notes | | 4.75 | | 10/15/2029 | | 265,000 | b | 231,074 | |
APX Group Inc., Gtd. Notes | | 5.75 | | 7/15/2029 | | 1,516,000 | b | 1,257,502 | |
BCP V Modular Services Finance II PLC, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 960,000 | b | 865,009 | |
HealthEquity Inc., Gtd. Notes | | 4.50 | | 10/1/2029 | | 891,000 | b | 779,759 | |
MPH Acquisition Holdings LLC, Sr. Scd. Notes | | 5.50 | | 9/1/2028 | | 1,180,000 | b | 922,925 | |
Neptune Bidco US Inc., Sr. Scd. Notes | | 9.29 | | 4/15/2029 | | 454,000 | b | 428,783 | |
Prime Security Services Borrower LLC, Scd. Notes | | 6.25 | | 1/15/2028 | | 1,429,000 | b | 1,303,562 | |
Prime Security Services Borrower LLC, Sr. Scd. Notes | | 5.75 | | 4/15/2026 | | 1,248,000 | b | 1,203,946 | |
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 2,200,000 | b | 1,889,879 | |
Verscend Escrow Corp., Sr. Unscd. Notes | | 9.75 | | 8/15/2026 | | 1,244,000 | b | 1,221,434 | |
Villa Dutch Bidco BV, Sr. Scd. Bonds | EUR | 9.00 | | 11/3/2029 | | 530,000 | b | 536,135 | |
| | 13,122,215 | |
Consumer Discretionary - 10.7% | | | | | |
Banijay Group SAS, Sr. Unscd. Notes | EUR | 6.50 | | 3/1/2026 | | 1,490,000 | b | 1,509,177 | |
Caesars Entertainment Inc., Sr. Scd. Notes | | 6.25 | | 7/1/2025 | | 580,000 | b | 564,749 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 550,000 | b | 367,541 | |
Carnival Corp., Sr. Unscd. Notes | | 7.63 | | 3/1/2026 | | 1,127,000 | b | 895,249 | |
Carnival Holdings Bermuda Ltd., Gtd. Notes | | 10.38 | | 5/1/2028 | | 1,114,000 | b | 1,145,621 | |
CCM Merger Inc., Sr. Unscd. Notes | | 6.38 | | 5/1/2026 | | 1,760,000 | b | 1,660,754 | |
CDI Escrow Issuer Inc., Sr. Unscd. Notes | | 5.75 | | 4/1/2030 | | 720,000 | b | 646,693 | |
Churchill Downs Inc., Gtd. Notes | | 4.75 | | 1/15/2028 | | 440,000 | b | 394,425 | |
Everi Holdings Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 1,441,000 | b | 1,239,644 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Consumer Discretionary - 10.7% (continued) | | | | | |
Golden Entertainment Inc., Sr. Unscd. Notes | | 7.63 | | 4/15/2026 | | 750,000 | b | 740,397 | |
Hilton Domestic Operating Co., Gtd. Notes | | 3.63 | | 2/15/2032 | | 950,000 | b | 762,451 | |
Hilton Domestic Operating Co., Gtd. Notes | | 4.00 | | 5/1/2031 | | 420,000 | b | 352,250 | |
KB Home, Gtd. Notes | | 4.00 | | 6/15/2031 | | 564,000 | | 454,091 | |
Las Vegas Sands Corp., Sr. Unscd. Notes | | 3.20 | | 8/8/2024 | | 810,000 | | 766,089 | |
Maison Finco PLC, Sr. Scd. Bonds | GBP | 6.00 | | 10/31/2027 | | 870,000 | b | 770,591 | |
NCL Corp., Gtd. Notes | | 5.88 | | 3/15/2026 | | 334,000 | b | 262,925 | |
NCL Corp., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 716,000 | b | 621,098 | |
Royal Caribbean Cruises Ltd., Gtd. Notes | | 9.25 | | 1/15/2029 | | 140,000 | b | 144,033 | |
Royal Caribbean Cruises Ltd., Sr. Scd. Notes | | 8.25 | | 1/15/2029 | | 840,000 | b | 845,250 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 1,392,000 | b | 1,172,760 | |
Scientific Games Holdings LP, Sr. Unscd. Notes | | 6.63 | | 3/1/2030 | | 1,857,000 | b | 1,571,022 | |
Scientific Games International Inc., Gtd. Notes | | 7.25 | | 11/15/2029 | | 815,000 | b | 783,867 | |
Station Casinos LLC, Gtd. Notes | | 4.50 | | 2/15/2028 | | 770,000 | b | 670,617 | |
Taylor Morrison Communities Inc., Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 269,000 | b | 233,495 | |
TUI Cruises GmbH, Sr. Unscd. Notes | EUR | 6.50 | | 5/15/2026 | | 723,000 | b | 649,138 | |
| | 19,223,927 | |
Consumer Durables & Apparel - .7% | | | | | |
Crocs Inc., Gtd. Notes | | 4.25 | | 3/15/2029 | | 900,000 | b | 763,537 | |
Levi Strauss & Co., Sr. Unscd. Notes | | 3.50 | | 3/1/2031 | | 657,000 | b | 522,308 | |
| | 1,285,845 | |
Consumer Staples - 1.3% | | | | | |
Kronos Acquisition Holdings Inc., Sr. Scd. Notes | | 5.00 | | 12/31/2026 | | 1,350,000 | b | 1,169,438 | |
Newell Brands Inc., Sr. Unscd. Notes | | 4.45 | | 4/1/2026 | | 1,078,000 | | 1,016,549 | |
Newell Brands Inc., Sr. Unscd. Notes | | 5.63 | | 4/1/2036 | | 181,000 | | 155,730 | |
| | 2,341,717 | |
Diversified Financials - 7.3% | | | | | |
AG TTMT Escrow Issuer LLC, Sr. Scd. Notes | | 8.63 | | 9/30/2027 | | 480,000 | b | 483,000 | |
Ally Financial Inc., Gtd. Notes | | 8.00 | | 11/1/2031 | | 898,000 | | 929,491 | |
Compass Group Diversified Holdings LLC, Gtd. Notes | | 5.25 | | 4/15/2029 | | 910,000 | b | 779,953 | |
Encore Capital Group Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 950,000 | b | 890,021 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Diversified Financials - 7.3% (continued) | | | | | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 910,000 | b | 861,200 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Notes | EUR | 6.75 | | 11/1/2025 | | 935,000 | b | 806,527 | |
Icahn Enterprises LP, Gtd. Notes | | 6.25 | | 5/15/2026 | | 760,000 | | 732,025 | |
Intrum AB, Sr. Unscd. Notes | EUR | 9.25 | | 3/15/2028 | | 1,200,000 | b | 1,273,300 | |
Navient Corp., Sr. Unscd. Notes | | 6.75 | | 6/15/2026 | | 1,525,000 | | 1,448,043 | |
NFP Corp., Sr. Scd. Notes | | 4.88 | | 8/15/2028 | | 364,000 | b | 310,345 | |
NFP Corp., Sr. Unscd. Notes | | 6.88 | | 8/15/2028 | | 350,000 | b | 289,268 | |
OneMain Finance Corp., Gtd. Notes | | 6.13 | | 3/15/2024 | | 1,120,000 | | 1,085,840 | |
OneMain Finance Corp., Gtd. Notes | | 6.63 | | 1/15/2028 | | 1,010,000 | | 931,806 | |
PennyMac Financial Services Inc., Gtd. Notes | | 5.38 | | 10/15/2025 | | 740,000 | b | 668,201 | |
PennyMac Financial Services Inc., Gtd. Notes | | 5.75 | | 9/15/2031 | | 846,000 | b | 672,134 | |
Rocket Mortgage LLC, Gtd. Notes | | 3.63 | | 3/1/2029 | | 1,130,000 | b | 897,331 | |
| | 13,058,485 | |
Electronic Components - 1.1% | | | | | |
Sensata Technologies BV, Gtd. Notes | | 5.88 | | 9/1/2030 | | 980,000 | b | 930,187 | |
TTM Technologies Inc., Gtd. Notes | | 4.00 | | 3/1/2029 | | 1,160,000 | b | 996,428 | |
| | 1,926,615 | |
Energy - 15.1% | | | | | |
Aethon United Finance Corp., Sr. Unscd. Notes | | 8.25 | | 2/15/2026 | | 767,000 | b | 761,709 | |
Antero Midstream Partners LP, Gtd. Notes | | 5.75 | | 3/1/2027 | | 1,340,000 | b | 1,269,084 | |
Antero Resources Corp., Gtd. Notes | | 5.38 | | 3/1/2030 | | 555,000 | b | 515,295 | |
Antero Resources Corp., Gtd. Notes | | 7.63 | | 2/1/2029 | | 527,000 | b | 530,611 | |
Archrock Partners LP, Gtd. Notes | | 6.25 | | 4/1/2028 | | 787,000 | b | 721,393 | |
Blue Racer Midstream LLC, Sr. Unscd. Notes | | 6.63 | | 7/15/2026 | | 1,870,000 | b | 1,813,002 | |
Blue Racer Midstream LLC, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 510,000 | b | 506,837 | |
CQP Holdco LP, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 2,400,000 | b | 2,100,912 | |
Crestwood Midstream Partners LP, Gtd. Notes | | 5.63 | | 5/1/2027 | | 646,000 | b | 601,891 | |
CrownRock LP, Sr. Unscd. Notes | | 5.00 | | 5/1/2029 | | 653,000 | b | 590,211 | |
CVR Energy Inc., Gtd. Bonds | | 5.25 | | 2/15/2025 | | 1,981,000 | b | 1,825,462 | |
EnLink Midstream LLC, Gtd. Notes | | 6.50 | | 9/1/2030 | | 686,000 | b | 679,860 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 4.00 | | 8/1/2024 | | 741,000 | | 713,353 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 969,000 | | 868,178 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 7.50 | | 6/1/2027 | | 242,000 | b | 237,302 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Energy - 15.1% (continued) | | | | | |
Matador Resources Co., Gtd. Notes | | 5.88 | | 9/15/2026 | | 1,098,000 | | 1,057,285 | |
Occidental Petroleum Corp., Sr. Unscd. Notes | | 6.45 | | 9/15/2036 | | 800,000 | | 817,804 | |
Occidental Petroleum Corp., Sr. Unscd. Notes | | 7.50 | | 5/1/2031 | | 1,410,000 | | 1,508,911 | |
Occidental Petroleum Corp., Sr. Unscd. Notes | | 8.88 | | 7/15/2030 | | 1,980,000 | | 2,238,755 | |
PDC Energy Inc., Gtd. Notes | | 5.75 | | 5/15/2026 | | 670,000 | | 640,654 | |
Permian Resources Operating LLC, Gtd. Notes | | 5.38 | | 1/15/2026 | | 280,000 | b | 255,322 | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 2,032,000 | b | 1,861,769 | |
Southwestern Energy Co., Gtd. Notes | | 5.38 | | 3/15/2030 | | 370,000 | | 338,159 | |
Southwestern Energy Co., Gtd. Notes | | 5.38 | | 2/1/2029 | | 1,127,000 | | 1,046,425 | |
Southwestern Energy Co., Gtd. Notes | | 8.38 | | 9/15/2028 | | 475,000 | | 490,535 | |
Targa Resources Partners LP, Gtd. Notes | | 4.88 | | 2/1/2031 | | 1,120,000 | | 1,012,816 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 1,400,000 | b | 1,146,243 | |
Western Midstream Operating LP, Sr. Unscd. Notes | | 4.30 | | 2/1/2030 | | 1,110,000 | | 971,444 | |
| | 27,121,222 | |
Environmental Control - 1.9% | | | | | |
Covanta Holding Corp., Gtd. Notes | | 4.88 | | 12/1/2029 | | 1,231,000 | b | 1,010,122 | |
Covanta Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 470,000 | | 380,565 | |
GFL Environmental Inc., Gtd. Notes | | 4.00 | | 8/1/2028 | | 1,000,000 | b | 856,315 | |
Harsco Corp., Gtd. Notes | | 5.75 | | 7/31/2027 | | 560,000 | b | 443,042 | |
Waste Pro USA Inc., Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 713,000 | b | 631,262 | |
| | 3,321,306 | |
Food Products - 2.6% | | | | | |
Chobani LLC, Gtd. Notes | | 7.50 | | 4/15/2025 | | 420,000 | b | 409,639 | |
Chobani LLC, Sr. Scd. Notes | | 4.63 | | 11/15/2028 | | 340,000 | b | 296,553 | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 652,000 | b | 511,132 | |
Post Holdings Inc., Gtd. Notes | | 4.63 | | 4/15/2030 | | 1,350,000 | b | 1,167,514 | |
Post Holdings Inc., Gtd. Notes | | 5.50 | | 12/15/2029 | | 760,000 | b | 689,320 | |
United Natural Foods Inc., Gtd. Notes | | 6.75 | | 10/15/2028 | | 1,700,000 | b | 1,636,131 | |
| | 4,710,289 | |
Forest Products & Paper - .7% | | | | | |
Ahlstrom-Munksjo Holding 3 Oy, Sr. Scd. Bonds | | 4.88 | | 2/4/2028 | | 1,460,000 | b | 1,188,354 | |
Health Care - 7.5% | | | | | |
Acadia Healthcare Co., Gtd. Notes | | 5.50 | | 7/1/2028 | | 330,000 | b | 313,533 | |
Catalent Pharma Solutions Inc., Gtd. Notes | | 3.13 | | 2/15/2029 | | 910,000 | b | 725,725 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Health Care - 7.5% (continued) | | | | | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 1,430,000 | b | 1,198,025 | |
Cidron Aida Finco SARL, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 1,315,000 | b | 1,299,676 | |
Jazz Securities DAC, Sr. Scd. Notes | | 4.38 | | 1/15/2029 | | 1,090,000 | b | 973,452 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 677,000 | b | 538,929 | |
Nidda Healthcare Holding GmbH, Sr. Scd. Notes | EUR | 3.50 | | 9/30/2024 | | 1,430,000 | b | 1,495,536 | |
Option Care Health Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 1,390,000 | b | 1,217,619 | |
Organon & Co., Sr. Scd. Notes | | 4.13 | | 4/30/2028 | | 400,000 | b | 354,860 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 1,494,000 | b | 1,296,247 | |
Prime Healthcare Services Inc., Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 478,000 | b | 404,667 | |
Tenet Healthcare Corp., Gtd. Notes | | 6.13 | | 10/1/2028 | | 2,030,000 | b | 1,821,783 | |
Tenet Healthcare Corp., Scd. Notes | | 6.25 | | 2/1/2027 | | 975,000 | b | 938,477 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 5.13 | | 11/1/2027 | | 960,000 | b | 894,979 | |
| | 13,473,508 | |
Industrial - 1.7% | | | | | |
Husky III Holding Ltd., Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 1,723,000 | b,c | 1,529,162 | |
Titan Acquisition Ltd., Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 425,000 | b | 383,421 | |
TK Elevator US Newco Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 1,310,000 | b | 1,165,376 | |
| | 3,077,959 | |
Information Technology - 2.0% | | | | | |
Athenahealth Group Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 3,165,000 | b | 2,338,325 | |
Boxer Parent Co., Sr. Scd. Notes | EUR | 6.50 | | 10/2/2025 | | 570,000 | b | 583,343 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 917,000 | b | 741,830 | |
| | 3,663,498 | |
Insurance - 2.4% | | | | | |
Acrisure LLC, Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 1,210,000 | b | 1,000,324 | |
Acrisure LLC, Sr. Unscd. Notes | | 7.00 | | 11/15/2025 | | 400,000 | b | 368,157 | |
AmWINS Group Inc., Sr. Unscd. Notes | | 4.88 | | 6/30/2029 | | 579,000 | b | 491,830 | |
AssuredPartners Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 659,000 | b | 543,240 | |
AssuredPartners Inc., Sr. Unscd. Notes | | 7.00 | | 8/15/2025 | | 1,505,000 | b | 1,457,838 | |
GTCR AP Finance Inc., Sr. Unscd. Notes | | 8.00 | | 5/15/2027 | | 445,000 | b | 426,960 | |
| | 4,288,349 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Internet Software & Services - 4.2% | | | | | |
Arches Buyer Inc., Sr. Scd. Notes | | 4.25 | | 6/1/2028 | | 230,000 | b | 180,192 | |
Cogent Communications Group Inc., Gtd. Notes | | 7.00 | | 6/15/2027 | | 1,530,000 | b | 1,501,202 | |
Gen Digital Inc., Gtd. Notes | | 6.75 | | 9/30/2027 | | 1,110,000 | b | 1,089,243 | |
Go Daddy Operating Co., Gtd. Notes | | 5.25 | | 12/1/2027 | | 800,000 | b | 758,544 | |
Match Group Holdings II LLC, Sr. Unscd. Notes | | 3.63 | | 10/1/2031 | | 1,210,000 | b | 929,478 | |
Northwest Fiber LLC, Sr. Scd. Notes | | 4.75 | | 4/30/2027 | | 631,000 | b | 555,982 | |
Northwest Fiber LLC, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 1,444,000 | b | 1,119,870 | |
TripAdvisor Inc., Gtd. Notes | | 7.00 | | 7/15/2025 | | 518,000 | b | 512,618 | |
Uber Technologies Inc., Gtd. Notes | | 4.50 | | 8/15/2029 | | 990,000 | b | 864,399 | |
| | 7,511,528 | |
Materials - 5.7% | | | | | |
ARD Finance SA, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 1,600,000 | b,c | 1,158,929 | |
ARD Finance SA, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 696,419 | b,c | 485,482 | |
Graham Packaging Co., Gtd. Notes | | 7.13 | | 8/15/2028 | | 753,000 | b | 629,487 | |
Kleopatra Finco SARL, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 1,250,000 | b | 1,048,910 | |
LABL Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 1,016,000 | b | 959,281 | |
LABL Inc., Sr. Unscd. Notes | | 8.25 | | 11/1/2029 | | 419,000 | b | 334,508 | |
LABL Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 218,000 | b | 203,193 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2024 | | 780,000 | b | 806,352 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Notes | | 5.50 | | 4/15/2024 | | 387,000 | b | 377,096 | |
Mauser Packaging Solutions Holding Co., Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 2,431,000 | b | 2,252,994 | |
Pactiv Evergreen Group Issuer Inc., Sr. Scd. Notes | | 4.00 | | 10/15/2027 | | 1,130,000 | b | 1,004,175 | |
Sealed Air Corp., Gtd. Notes | | 5.00 | | 4/15/2029 | | 1,100,000 | b | 1,035,590 | |
| | 10,295,997 | |
Media - 10.5% | | | | | |
Altice Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 2,665,000 | b | 2,101,187 | |
CCO Holdings LLC, Sr. Unscd. Notes | | 4.75 | | 3/1/2030 | | 1,119,000 | b | 967,599 | |
CCO Holdings LLC, Sr. Unscd. Notes | | 5.00 | | 2/1/2028 | | 1,820,000 | b | 1,656,555 | |
CCO Holdings LLC, Sr. Unscd. Notes | | 5.38 | | 6/1/2029 | | 365,000 | b | 330,882 | |
CSC Holdings LLC, Gtd. Notes | | 5.38 | | 2/1/2028 | | 1,045,000 | b | 844,182 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 518,000 | b | 293,289 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 7.50 | | 4/1/2028 | | 585,000 | b | 399,087 | |
DISH DBS Corp., Gtd. Notes | | 5.88 | | 11/15/2024 | | 1,600,000 | | 1,490,070 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 588,000 | b | 606,316 | |
Gray Television Inc., Gtd. Notes | | 4.75 | | 10/15/2030 | | 1,059,000 | b | 767,775 | |
iHeartCommunications Inc., Sr. Scd. Notes | | 6.38 | | 5/1/2026 | | 1,060,000 | | 976,875 | |
Nexstar Media Inc., Gtd. Notes | | 5.63 | | 7/15/2027 | | 1,240,000 | b | 1,140,041 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Media - 10.5% (continued) | | | | | |
Radiate Holdco LLC, Sr. Scd. Notes | | 4.50 | | 9/15/2026 | | 730,000 | b | 537,484 | |
Radiate Holdco LLC, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 656,000 | b | 275,940 | |
Sirius XM Radio Inc., Gtd. Notes | | 4.13 | | 7/1/2030 | | 1,200,000 | b | 992,958 | |
Summer BidCo BV, Sr. Unscd. Bonds | EUR | 9.00 | | 11/15/2025 | | 1,366,534 | b,c | 1,066,690 | |
UPC Broadband Finco BV, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 730,000 | b | 608,681 | |
Virgin Media Finance PLC, Gtd. Notes | | 5.00 | | 7/15/2030 | | 1,180,000 | b | 948,360 | |
Ziggo Bond Co. BV, Gtd. Notes | | 5.13 | | 2/28/2030 | | 840,000 | b | 679,673 | |
Ziggo Bond Co. BV, Sr. Unscd. Notes | | 6.00 | | 1/15/2027 | | 890,000 | b | 829,480 | |
Ziggo BV, Sr. Scd. Notes | | 4.88 | | 1/15/2030 | | 1,520,000 | b | 1,274,414 | |
| | 18,787,538 | |
Metals & Mining - .9% | | | | | |
Arconic Corp., Scd. Notes | | 6.13 | | 2/15/2028 | | 825,000 | b | 775,488 | |
FMG Resources Ltd., Sr. Unscd. Notes | | 6.13 | | 4/15/2032 | | 690,000 | b | 644,491 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 7.00 | | 2/15/2026 | | 310,000 | b | 272,983 | |
| | 1,692,962 | |
Real Estate - 4.5% | | | | | |
Blackstone Mortgage Trust Inc., Sr. Scd. Notes | | 3.75 | | 1/15/2027 | | 655,000 | b | 564,056 | |
Iron Mountain Inc., Gtd. Notes | | 5.25 | | 7/15/2030 | | 1,110,000 | b | 967,093 | |
Ladder Capital Finance Corp., Gtd. Notes | | 5.25 | | 10/1/2025 | | 2,004,000 | b | 1,886,347 | |
Park Intermediate Holdings LLC, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 870,000 | b | 737,586 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 1,127,000 | b | 1,013,037 | |
RLJ Lodging Trust LP, Sr. Scd. Notes | | 4.00 | | 9/15/2029 | | 1,530,000 | b | 1,242,529 | |
SBA Communications Corp., Sr. Unscd. Notes | | 3.13 | | 2/1/2029 | | 1,100,000 | | 916,570 | |
Starwood Property Trust Inc., Sr. Unscd. Notes | | 3.75 | | 12/31/2024 | | 720,000 | b | 676,923 | |
| | 8,004,141 | |
Retailing - 6.3% | | | | | |
B&M European Value Retail SA, Sr. Scd. Notes | GBP | 3.63 | | 7/15/2025 | | 1,260,000 | | 1,424,264 | |
Bath & Body Works Inc., Gtd. Notes | | 6.63 | | 10/1/2030 | | 770,000 | b | 723,887 | |
Macy's Retail Holdings LLC, Gtd. Notes | | 4.50 | | 12/15/2034 | | 2,008,000 | | 1,401,122 | |
Macy's Retail Holdings LLC, Gtd. Notes | | 5.88 | | 4/1/2029 | | 770,000 | b | 682,892 | |
New Red Finance Inc., Sr. Scd. Notes | | 3.88 | | 1/15/2028 | | 1,422,000 | b | 1,275,179 | |
PetSmart Inc., Gtd. Notes | | 7.75 | | 2/15/2029 | | 790,000 | b | 743,443 | |
SRS Distribution Inc., Gtd. Notes | | 6.00 | | 12/1/2029 | | 460,000 | b | 366,690 | |
SRS Distribution Inc., Sr. Scd. Notes | | 4.63 | | 7/1/2028 | | 283,000 | b | 251,230 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 128.1% (continued) | | | | | |
Retailing - 6.3% (continued) | | | | | |
Staples Inc., Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 1,510,000 | b | 1,302,737 | |
Staples Inc., Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 980,000 | b | 707,246 | |
The Very Group Funding PLC, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 1,363,000 | b | 1,186,745 | |
Yum! Brands Inc., Sr. Unscd. Notes | | 5.38 | | 4/1/2032 | | 1,410,000 | | 1,307,916 | |
| | 11,373,351 | |
Technology Hardware & Equipment - .9% | | | | | |
Banff Merger Sub Inc., Sr. Unscd. Notes | EUR | 8.38 | | 9/1/2026 | | 302,000 | b | 292,511 | |
Western Digital Corp., Gtd. Notes | | 4.75 | | 2/15/2026 | | 1,310,000 | | 1,236,535 | |
| | 1,529,046 | |
Telecommunication Services - 6.7% | | | | | |
Altice France Holding SA, Gtd. Notes | | 6.00 | | 2/15/2028 | | 1,068,000 | b | 632,728 | |
Altice France Holding SA, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 660,000 | b | 504,669 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 957,000 | b | 731,449 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 1,160,000 | b | 910,913 | |
Altice France SA, Sr. Scd. Notes | | 8.13 | | 2/1/2027 | | 1,305,000 | b | 1,191,387 | |
CommScope Inc., Gtd. Notes | | 8.25 | | 3/1/2027 | | 1,271,000 | b | 987,033 | |
Connect Finco SARL, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 2,066,000 | b | 1,918,941 | |
Frontier Communications Holdings LLC, Scd. Notes | | 5.88 | | 11/1/2029 | | 439,621 | | 340,696 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 5.88 | | 10/15/2027 | | 570,000 | b | 530,539 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 801,000 | b | 815,974 | |
Lorca Telecom Bondco SA, Sr. Scd. Bonds | EUR | 4.00 | | 9/18/2027 | | 1,470,000 | b | 1,414,238 | |
Telecom Italia SPA, Sr. Unscd. Notes | | 5.30 | | 5/30/2024 | | 1,135,000 | b | 1,077,683 | |
ViaSat Inc., Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 1,020,000 | b | 947,955 | |
| | 12,004,205 | |
Transportation - .3% | | | | | |
First Student Bidco Inc., Sr. Scd. Notes | | 4.00 | | 7/31/2029 | | 637,000 | b | 527,801 | |
Utilities - 2.9% | | | | | |
Calpine Corp., Sr. Scd. Notes | | 4.50 | | 2/15/2028 | | 690,000 | b | 616,986 | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 1,695,000 | b | 1,457,122 | |
NRG Energy Inc., Gtd. Notes | | 3.63 | | 2/15/2031 | | 384,000 | b | 292,617 | |
Pike Corp., Gtd. Notes | | 5.50 | | 9/1/2028 | | 705,000 | b | 617,488 | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 302,000 | b | 300,747 | |
Vistra Corp., Jr. Sub. Notes | | 7.00 | | 12/15/2026 | | 2,186,000 | b,d | 1,992,273 | |
| | 5,277,233 | |
Total Bonds and Notes
(cost $249,580,173) | | 230,230,452 | |
| | | | | | | | | | |
| |
| | | | | | | | | |
Floating Rate Loan Interests - 6.6% | | | | | |
Commercial & Professional Services - .5% | | | | | |
Neptune Bidco US Inc., Dollor Term Loan B, 3 Month Term SOFR +5.00% | | 8.82 | | 4/11/2029 | | 960,000 | e | 860,405 | |
Diversified Financials - .6% | | | | | |
Russell Investments US, New 2025 Term Loan, 1 Month LIBOR +3.50% | | 7.88 | | 5/30/2025 | | 1,048,000 | e | 1,010,272 | |
Energy - .5% | | | | | |
WaterBridge Midstream Operating, Initial Term Loan, 6 Month LIBOR +5.75% | | 9.13 | | 6/21/2026 | | 898,454 | e | 866,024 | |
Industrial - .4% | | | | | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 8.73 | | 3/8/2025 | | 836,459 | e | 755,599 | |
Information Technology - .6% | | | | | |
ECL Entertainment LLC, Term Loan B, 1 Month LIBOR +7.50% | | 11.88 | | 4/30/2028 | | 1,182,000 | e | 1,181,019 | |
Insurance - 1.1% | | | | | |
Asurion LLC, New Term Loan B-4, 1 Month LIBOR +5.25% | | 9.63 | | 1/15/2029 | | 1,657,513 | e | 1,298,189 | |
Asurion LLC, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 9.63 | | 2/3/2028 | | 770,000 | e | 605,089 | |
| | 1,903,278 | |
Media - 1.1% | | | | | |
Altice Financing SA, Term Loan B, 1 Month Term SOFR +5.00% | | 9.32 | | 10/31/2027 | | 750,000 | e | 720,000 | |
DIRECTV Financing LLC, Closing Date Term Loan, 1 Month LIBOR +5.00% | | 9.38 | | 8/2/2027 | | 1,380,289 | e | 1,346,789 | |
| | 2,066,789 | |
Technology Hardware & Equipment - .6% | | | | | |
Mcafee Corp., Tranche Term Loan B-1, 1 Month Term SOFR +3.75% | | 7.97 | | 3/1/2029 | | 1,134,300 | e | 1,058,948 | |
Telecommunication Services - 1.2% | | | | | |
CCI Buyer Inc., First Lien Initial Term Loan, 3 Month Term SOFR +4.00% | | 8.58 | | 12/17/2027 | | 2,322,413 | e | 2,224,872 | |
Total Floating Rate Loan Interests
(cost $12,524,484) | | 11,927,206 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .0% | | | | | |
Information Technology - .0% | | | | | |
Skillsoft Corp. | | | | | | 14,781 | f | 19,215 | |
Media - .0% | | | | | |
Altice USA Inc., Cl. A | | | | | | 8,400 | f | 38,640 | |
Total Common Stocks
(cost $319,765) | | 57,855 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 3.4% | | | | | |
Registered Investment Companies - 3.4% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $6,003,467) | | 4.37 | | | | 6,003,467 | g | 6,003,467 | |
Total Investments (cost $268,427,889) | | 138.1% | 248,218,980 | |
Liabilities, Less Cash and Receivables | | (38.1%) | (68,543,759) | |
Net Assets | | 100.0% | 179,675,221 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b 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 December 31, 2022, these securities were valued at $194,493,138 or 108.25% of net assets.
c Payment-in-kind security and interest may be paid in additional par.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f Non-income producing security.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon High Yield Strategies Fund
December 31, 2022 (Unaudited)
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
United States Dollar | 6,217,668 | British Pound | 5,130,000 | 1/31/2023 | 10,254 |
Euro | 1,755,000 | United States Dollar | 1,861,759 | 1/31/2023 | 21,107 |
United States Dollar | 21,833,313 | Euro | 20,905,000 | 1/31/2023 | (594,786) |
Goldman Sachs & Co. LLC |
United States Dollar | 365,816 | British Pound | 300,000 | 1/31/2023 | 2,809 |
Gross Unrealized Appreciation | | | 34,170 |
Gross Unrealized Depreciation | | | (594,786) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon High Yield Strategies Fund
December 31, 2022 (Unaudited)
The following is a summary of the inputs used as of December 31, 2022 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 9,247,713 | | - | 9,247,713 | |
Corporate Bonds | - | 220,982,739 | | - | 220,982,739 | |
Equity Securities - Common Stocks | 57,855 | - | | - | 57,855 | |
Floating Rate Loan Interests | - | 11,927,206 | | - | 11,927,206 | |
Investment Companies | 6,003,467 | - | | - | 6,003,467 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 34,170 | | - | 34,170 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (594,786) | | - | (594,786) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
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:
The Trust’s Board of Trustees (the “Board”) has designated the Adviser as the fund’s valuation designee, effective September 8, 2022, to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
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 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. The Services are engaged under the general supervision of the Board. 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.
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 December 31, 2022 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 non-performance 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 December 31, 2022, accumulated net unrealized depreciation on investments was $20,208,909, consisting of $2,085,552 gross unrealized appreciation and $22,294,461 gross unrealized depreciation.
At December 31, 2022, 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.
