STATEMENT OF INVESTMENTS
BNY Mellon High Yield Strategies Fund
June 30, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% | | | | | |
Advertising - 1.3% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 967,000 | b,c | 924,399 | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 9.00 | | 9/15/2028 | | 840,000 | b,c | 880,237 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes | | 5.00 | | 8/15/2027 | | 734,000 | b,c | 711,003 | |
| | 2,515,639 | |
Aerospace & Defense - 3.0% | | | | | |
AAR Escrow Issuer LLC, Gtd. Notes | | 6.75 | | 3/15/2029 | | 994,000 | b,c | 1,014,167 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.25 | | 7/1/2031 | | 283,000 | c | 290,916 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.50 | | 2/1/2029 | | 815,000 | b,c | 845,419 | |
TransDigm, Inc., Gtd. Notes | | 4.88 | | 5/1/2029 | | 382,000 | b | 358,211 | |
TransDigm, Inc., Gtd. Notes | | 5.50 | | 11/15/2027 | | 500,000 | b | 491,409 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.38 | | 3/1/2029 | | 650,000 | c | 654,090 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.63 | | 3/1/2032 | | 637,000 | c | 644,204 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 478,000 | b,c | 484,441 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.88 | | 12/15/2030 | | 870,000 | b,c | 888,875 | |
TransDigm, Inc., Sr. Scd. Notes | | 7.13 | | 12/1/2031 | | 220,000 | c | 226,958 | |
| | 5,898,690 | |
Airlines - 1.2% | | | | | |
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 2,338,121 | b,c | 2,276,871 | |
Automobiles & Components - 2.0% | | | | | |
IHO Verwaltungs GmbH, Sr. Scd. Bonds | | 6.00 | | 5/15/2027 | | 1,450,000 | b,c,d | 1,428,354 | |
Phinia, Inc., Sr. Scd. Notes | | 6.75 | | 4/15/2029 | | 1,063,000 | b,c | 1,080,105 | |
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 1,696,000 | b,c | 1,455,216 | |
| | 3,963,675 | |
Banks - 1.2% | | | | | |
Barclays PLC, Jr. Sub. Notes | | 8.00 | | 9/15/2029 | | 1,054,000 | b,e | 1,072,803 | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 6.63 | | 1/15/2027 | | 1,251,000 | b,c | 1,209,395 | |
| | 2,282,198 | |
Beverage Products - .8% | | | | | |
Triton Water Holdings, Inc., Sr. Unscd. Notes | | 6.25 | | 4/1/2029 | | 1,710,000 | b,c | 1,650,750 | |
Building Materials - 3.5% | | | | | |
Builders FirstSource, Inc., Gtd. Notes | | 4.25 | | 2/1/2032 | | 931,000 | b,c | 823,770 | |
Camelot Return Merger Sub, Inc., Sr. Scd. Notes | | 8.75 | | 8/1/2028 | | 1,740,000 | b,c | 1,707,856 | |
Eco Material Technologies, Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 744,000 | b,c | 746,538 | |
Emrld Borrower LP/Emerald Co-Issuer, Inc., Sr. Scd. Notes | | 6.63 | | 12/15/2030 | | 2,018,000 | b,c | 2,036,267 | |
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sr. Scd. Notes | | 6.75 | | 4/1/2032 | | 1,085,000 | b,c | 1,093,395 | |
Standard Industries, Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2028 | | 497,000 | b,c | 473,369 | |
| | 6,881,195 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Chemicals - 4.1% | | | | | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 1,396,000 | b,c,d | 1,149,164 | |
Italmatch Chemicals SpA, Sr. Scd. Notes | EUR | 10.00 | | 2/6/2028 | | 950,000 | c | 1,091,012 | |
Mativ Holdings, Inc., Gtd. Notes | | 6.88 | | 10/1/2026 | | 983,000 | b,c | 977,778 | |
NOVA Chemicals Corp., Sr. Unscd. Notes | | 9.00 | | 2/15/2030 | | 620,000 | c | 654,917 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 7.25 | | 6/15/2031 | | 400,000 | c | 397,938 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 9.75 | | 11/15/2028 | | 880,000 | b,c | 932,114 | |
Olympus Water US Holding Corp., Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 440,000 | c | 402,139 | |
Rain Carbon, Inc., Sr. Scd. Notes | | 12.25 | | 9/1/2029 | | 550,000 | c | 592,643 | |
SCIH Salt Holdings, Inc., Sr. Unscd. Notes | | 6.63 | | 5/1/2029 | | 1,030,000 | b,c | 970,011 | |
WR Grace Holdings LLC, Sr. Unscd. Notes | | 5.63 | | 8/15/2029 | | 890,000 | b,c | 821,248 | |
| | 7,988,964 | |
Collateralized Loan Obligations Debt - 3.3% | | | | | |
Chenango Park Ltd. CLO, Ser. 2018-1A, Cl. D, (3 Month TSFR +6.06%) | | 11.39 | | 4/15/2030 | | 1,000,000 | c,f | 1,002,911 | |
Crown Point 8 Ltd. CLO, Ser. 2019-8A, Cl. ER, (3 Month TSFR +7.39%) | | 12.72 | | 10/20/2034 | | 2,375,000 | c,f | 2,389,875 | |
Northwoods Capital 27 Ltd. CLO, Ser. 2021-27A, Cl. E, (3 Month TSFR +7.30%) | | 12.62 | | 10/17/2034 | | 1,150,000 | c,f | 1,122,667 | |
Octagon Investment Partners 33 Ltd. CLO, Ser. 2017-1A, Cl. D, (3 Month TSFR +6.56%) | | 11.89 | | 1/20/2031 | | 1,525,000 | c,f | 1,497,306 | |
Rockford Tower Ltd. CLO, Ser. 2022-2A, Cl. ER, (3 Month TSFR +8.12%) | | 13.44 | | 10/20/2035 | | 500,000 | c,f | 501,917 | |
| | 6,514,676 | |
Commercial & Professional Services - 6.6% | | | | | |
Adtalem Global Education, Inc., Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 904,000 | b,c | 870,620 | |
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd. Notes | | 6.13 | | 10/15/2026 | | 330,000 | c | 326,129 | |
Albion Financing 2 Sarl, Sr. Unscd. Notes | | 8.75 | | 4/15/2027 | | 318,000 | b,c | 320,775 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Scd. Notes | | 6.63 | | 7/15/2026 | | 407,000 | c | 406,147 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Unscd. Notes | | 6.00 | | 6/1/2029 | | 710,000 | b,c | 622,212 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Sr. Scd. Bonds, Ser. 144 | GBP | 4.88 | | 6/1/2028 | | 520,000 | c | 593,139 | |
APX Group, Inc., Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 1,034,000 | b,c | 1,032,401 | |
BCP V Modular Services Finance PLC, Gtd. Notes | EUR | 6.75 | | 11/30/2029 | | 730,000 | c | 662,570 | |
Herc Holdings, Inc., Gtd. Notes | | 6.63 | | 6/15/2029 | | 606,000 | c | 614,937 | |
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | | 11/3/2029 | | 1,240,000 | c | 1,400,688 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd. Notes | | 6.25 | | 1/15/2028 | | 1,429,000 | b,c | 1,409,591 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Sr. Scd. Notes | | 3.38 | | 8/31/2027 | | 285,000 | c | 263,940 | |
United Rentals North America, Inc., Gtd. Notes | | 3.75 | | 1/15/2032 | | 998,000 | | 869,240 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Commercial & Professional Services - 6.6% (continued) | | | | | |
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 2,200,000 | c | 2,304,075 | |
Wand NewCo 3, Inc., Sr. Scd. Notes | | 7.63 | | 1/30/2032 | | 1,225,000 | b,c | 1,266,205 | |
| | 12,962,669 | |
Consumer Discretionary - 9.1% | | | | | |
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | | 7.88 | | 4/30/2029 | | 1,318,000 | b,c | 1,362,634 | |
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | | 4.63 | | 4/1/2030 | | 640,000 | b,c | 572,755 | |
Caesars Entertainment, Inc., Sr. Scd. Notes | | 7.00 | | 2/15/2030 | | 790,000 | b,c | 807,622 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 2,468,000 | b,c | 2,439,482 | |
Churchill Downs, Inc., Gtd. Notes | | 4.75 | | 1/15/2028 | | 440,000 | b,c | 420,538 | |
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 1,389,000 | b,c | 1,342,774 | |
Everi Holdings, Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 820,000 | b,c | 807,201 | |
Flutter Treasury Designated Activity Co., Sr. Scd. Notes | | 6.38 | | 4/29/2029 | | 609,000 | b,c | 613,236 | |
Gates Corp., Gtd. Notes | | 6.88 | | 7/1/2029 | | 300,000 | c | 305,607 | |
Hilton Domestic Operating Co., Inc., Gtd. Notes | | 4.00 | | 5/1/2031 | | 650,000 | b,c | 582,430 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Sr. Scd. Notes | | 6.63 | | 1/15/2032 | | 257,000 | c | 258,374 | |
International Game Technology PLC, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 1,105,000 | b,c | 1,069,889 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Sr. Scd. Notes | | 4.88 | | 5/1/2029 | | 740,000 | b,c | 689,900 | |
Miller Homes Group Finco PLC, Sr. Scd. Bonds | GBP | 7.00 | | 5/15/2029 | | 610,000 | c | 720,618 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 690,000 | b,c | 682,640 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 556,000 | b,c | 549,162 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 8.13 | | 1/15/2029 | | 478,000 | c | 501,191 | |
Ontario Gaming GTA LP/OTG Co-Issuer, Inc., Sr. Scd. Notes | | 8.00 | | 8/1/2030 | | 399,000 | b,c | 409,783 | |
Royal Caribbean Cruises Ltd., Gtd. Notes | | 7.25 | | 1/15/2030 | | 546,000 | c | 565,683 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 4.25 | | 7/1/2026 | | 262,000 | c | 253,746 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 276,000 | b,c | 273,111 | |
Taylor Morrison Communities, Inc., Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 538,000 | c | 515,828 | |
Verde Purchaser LLC, Sr. Scd. Notes | | 10.50 | | 11/30/2030 | | 617,000 | c | 652,881 | |
Viking Cruises Ltd., Sr. Unscd. Notes | | 9.13 | | 7/15/2031 | | 761,000 | b,c | 824,829 | |
Windsor Holdings III LLC, Sr. Scd. Notes | | 8.50 | | 6/15/2030 | | 652,000 | b,c | 681,299 | |
| | 17,903,213 | |
Consumer Staples - .5% | | | | | |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., Gtd. Notes | | 7.00 | | 12/31/2027 | | 970,000 | c | 1,003,783 | |
Diversified Financials - 5.7% | | | | | |
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 1,570,000 | c | 1,727,378 | |
Freedom Mortgage Holdings LLC, Sr. Unscd. Notes | | 9.25 | | 2/1/2029 | | 624,000 | b,c | 624,137 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Diversified Financials - 5.7% (continued) | | | | | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 680,000 | c | 575,236 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 5.25 | | 5/15/2027 | | 478,000 | | 449,092 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 6.25 | | 5/15/2026 | | 465,000 | | 461,728 | |
Jane Street Group/JSG Finance, Inc., Sr. Scd. Notes | | 7.13 | | 4/30/2031 | | 1,345,000 | c | 1,380,346 | |
Nationstar Mortgage Holdings, Inc., Gtd. Notes | | 5.00 | | 2/1/2026 | | 496,000 | b,c | 485,977 | |
OneMain Finance Corp., Gtd. Notes | | 7.50 | | 5/15/2031 | | 479,000 | | 485,102 | |
OneMain Finance Corp., Gtd. Notes | | 7.88 | | 3/15/2030 | | 790,000 | b | 815,162 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.13 | | 11/15/2030 | | 476,000 | c | 474,871 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.88 | | 12/15/2029 | | 917,000 | b,c | 946,301 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes | | 4.00 | | 10/15/2033 | | 815,000 | b,c | 687,435 | |
United Wholesale Mortgage LLC, Sr. Unscd. Notes | | 5.50 | | 4/15/2029 | | 958,000 | b,c | 910,953 | |
VFH Parent LLC/Valor Co-Issuer, Inc., Sr. Scd. Bonds | | 7.50 | | 6/15/2031 | | 1,155,000 | c | 1,161,503 | |
| | 11,185,221 | |
Electronic Components - .9% | | | | | |
Sensata Technologies BV, Gtd. Notes | | 5.88 | | 9/1/2030 | | 980,000 | b,c | 960,329 | |
WESCO Distribution, Inc., Gtd. Notes | | 6.63 | | 3/15/2032 | | 747,000 | b,c | 755,797 | |
| | 1,716,126 | |
Energy - 13.4% | | | | | |
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | | 8.25 | | 2/15/2026 | | 1,505,000 | b,c | 1,522,664 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes | | 5.75 | | 3/1/2027 | | 546,000 | b,c | 541,931 | |
Antero Resources Corp., Gtd. Notes | | 5.38 | | 3/1/2030 | | 835,000 | b,c | 808,595 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | | 7.00 | | 7/15/2029 | | 1,041,000 | b,c | 1,060,795 | |
Chesapeake Energy Corp., Gtd. Notes | | 5.88 | | 2/1/2029 | | 647,000 | b,c | 640,921 | |
Comstock Resources, Inc., Gtd. Notes | | 6.75 | | 3/1/2029 | | 2,020,000 | b,c | 1,959,166 | |
CQP Holdco LP/Bip-V Chinook Holdco LLC, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 1,450,000 | b,c | 1,375,529 | |
Encino Acquisition Partners Holdings LLC, Gtd. Notes | | 8.50 | | 5/1/2028 | | 870,000 | b,c | 887,313 | |
Encino Acquisition Partners Holdings LLC, Sr. Unscd. Notes | | 8.75 | | 5/1/2031 | | 789,000 | b,c | 823,331 | |
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | | 6.63 | | 2/15/2028 | | 1,730,000 | b,e | 1,685,332 | |
EnLink Midstream LLC, Gtd. Notes | | 6.50 | | 9/1/2030 | | 876,000 | b,c | 897,183 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 461,000 | b | 454,278 | |
Matador Resources Co., Gtd. Notes | | 6.50 | | 4/15/2032 | | 1,112,000 | b,c | 1,112,911 | |
Noble Finance II LLC, Gtd. Notes | | 8.00 | | 4/15/2030 | | 640,000 | b,c | 666,552 | |
Northern Oil & Gas, Inc., Sr. Unscd. Notes | | 8.13 | | 3/1/2028 | | 604,000 | b,c | 611,269 | |
Northriver Midstream Finance LP, Sr. Scd. Notes | | 6.75 | | 7/15/2032 | | 743,000 | c | 744,765 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Energy - 13.4% (continued) | | | | | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 1,455,000 | b,c | 1,362,924 | |
Rockies Express Pipeline LLC, Sr. Unscd. Notes | | 4.80 | | 5/15/2030 | | 1,396,000 | b,c | 1,290,060 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., Sr. Unscd. Notes | | 7.88 | | 11/1/2028 | | 1,317,000 | b,c | 1,362,767 | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 592,000 | c | 594,551 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes | | 6.00 | | 12/31/2030 | | 440,000 | c | 410,223 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 1,301,000 | b,c | 1,109,762 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 4.13 | | 8/15/2031 | | 600,000 | b,c | 538,812 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 6.25 | | 1/15/2030 | | 246,000 | c | 249,818 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 2,447,000 | b,c | 2,522,874 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.38 | | 6/1/2031 | | 1,025,000 | b,c | 1,063,925 | |
| | 26,298,251 | |
Environmental Control - 1.7% | | | | | |
Madison IAQ LLC, Sr. Scd. Notes | | 4.13 | | 6/30/2028 | | 224,000 | c | 209,100 | |
Madison IAQ LLC, Sr. Unscd. Notes | | 5.88 | | 6/30/2029 | | 1,278,000 | b,c | 1,190,264 | |
Reworld Holding Corp., Gtd. Notes | | 4.88 | | 12/1/2029 | | 192,000 | b,c | 175,442 | |
Reworld Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 1,022,000 | | 925,923 | |
Waste Pro USA, Inc., Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 828,000 | b,c | 817,511 | |
| | 3,318,240 | |
Food Products - 4.1% | | | | | |
Bellis Acquisition Co. PLC, Sr. Scd. Bonds | GBP | 8.13 | | 5/14/2030 | | 630,000 | c | 796,721 | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 470,000 | c | 582,022 | |
Chobani LLC/Chobani Finance Corp., Inc., Sr. Scd. Notes | | 4.63 | | 11/15/2028 | | 580,000 | c | 548,485 | |
Chobani LLC/Chobani Finance Corp., Inc., Sr. Unscd. Notes | | 7.63 | | 7/1/2029 | | 667,000 | b,c | 687,781 | |
Fiesta Purchaser, Inc., Sr. Scd. Notes | | 7.88 | | 3/1/2031 | | 656,000 | b,c | 678,420 | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 1,064,000 | b | 905,533 | |
Post Holdings, Inc., Gtd. Notes | | 4.63 | | 4/15/2030 | | 1,350,000 | c | 1,241,382 | |
Post Holdings, Inc., Gtd. Notes | | 5.50 | | 12/15/2029 | | 760,000 | c | 733,809 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, Scd. Notes | | 4.63 | | 3/1/2029 | | 805,000 | c | 708,601 | |
US Foods, Inc., Gtd. Notes | | 6.88 | | 9/15/2028 | | 1,044,000 | b,c | 1,068,709 | |
| | 7,951,463 | |
Health Care - 8.9% | | | | | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 860,000 | b,c | 797,213 | |
CHS/Community Health Systems, Inc., Scd. Notes | | 6.88 | | 4/15/2029 | | 700,000 | b,c | 536,136 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 829,000 | b,c | 684,267 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 1,280,000 | b,c | 1,193,103 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 10.88 | | 1/15/2032 | | 952,000 | c | 992,019 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Health Care - 8.9% (continued) | | | | | |
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 870,000 | c | 1,020,653 | |
Global Medical Response, Inc., Sr. Scd. Notes | | 10.00 | | 10/31/2028 | | 1,346,000 | c,d | 1,314,436 | |
HealthEquity, Inc., Gtd. Notes | | 4.50 | | 10/1/2029 | | 667,000 | b,c | 624,266 | |
Jazz Securities DAC, Sr. Scd. Notes | | 4.38 | | 1/15/2029 | | 1,090,000 | b,c | 1,012,865 | |
LifePoint Health, Inc., Sr. Scd. Notes | | 9.88 | | 8/15/2030 | | 1,035,000 | b,c | 1,105,043 | |
LifePoint Health, Inc., Sr. Unscd. Notes | | 10.00 | | 6/1/2032 | | 720,000 | c | 737,037 | |
Medline Borrower LP, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 780,000 | b,c | 718,898 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 414,000 | c | 395,412 | |
Option Care Health, Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 1,503,000 | b,c | 1,380,903 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Scd. Notes | | 6.75 | | 5/15/2034 | | 928,000 | c | 927,875 | |
Radiology Partners, Inc., Sr. Scd. Notes | | 7.78 | | 1/31/2029 | | 444,834 | c,d | 417,588 | |
Ray Financing LLC, Sr. Scd. Bonds | EUR | 6.50 | | 7/15/2031 | | 260,000 | | 278,447 | |
Sotera Health Holdings LLC, Sr. Scd. Notes | | 7.38 | | 6/1/2031 | | 798,000 | c | 800,183 | |
Surgery Center Holdings, Inc., Gtd. Notes | | 7.25 | | 4/15/2032 | | 901,000 | c | 911,258 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.25 | | 6/1/2029 | | 692,000 | b | 644,999 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 6.75 | | 5/15/2031 | | 890,000 | b | 904,095 | |
| | 17,396,696 | |
Industrial - 2.2% | | | | | |
Artera Services LLC, Sr. Scd. Notes | | 8.50 | | 2/15/2031 | | 637,029 | b,c | 656,301 | |
Chart Industries, Inc., Sr. Scd. Notes | | 7.50 | | 1/1/2030 | | 921,000 | b,c | 952,881 | |
Dycom Industries, Inc., Gtd. Notes | | 4.50 | | 4/15/2029 | | 554,000 | b,c | 519,283 | |
GrafTech Finance, Inc., Sr. Scd. Notes | | 4.63 | | 12/15/2028 | | 905,000 | b,c | 574,779 | |
Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC, Sr. Scd. Notes | | 9.00 | | 2/15/2029 | | 602,000 | b,c | 624,132 | |
TK Elevator US Newco, Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 1,000,000 | b,c | 970,491 | |
| | 4,297,867 | |
Information Technology - 4.4% | | | | | |
AthenaHealth Group, Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 2,782,000 | b,c | 2,563,833 | |
Cloud Software Group, Inc., Scd. Bonds | | 9.00 | | 9/30/2029 | | 1,110,000 | b,c | 1,077,805 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 6.50 | | 3/31/2029 | | 748,000 | b,c | 718,873 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 8.25 | | 6/30/2032 | | 320,000 | c | 326,359 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 1,438,000 | b,c | 1,314,501 | |
SS&C Technologies, Inc., Gtd. Notes | | 5.50 | | 9/30/2027 | | 1,110,000 | b,c | 1,093,767 | |
SS&C Technologies, Inc., Gtd. Notes | | 6.50 | | 6/1/2032 | | 480,000 | c | 484,527 | |
UKG, Inc., Sr. Scd. Notes | | 6.88 | | 2/1/2031 | | 1,127,000 | b,c | 1,141,921 | |
| | 8,721,586 | |
Insurance - 5.6% | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 247,000 | c | 224,595 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 7.50 | | 11/6/2030 | | 983,000 | c | 984,438 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 6.00 | | 8/1/2029 | | 610,000 | b,c | 563,316 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Insurance - 5.6% (continued) | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 8.25 | | 2/1/2029 | | 1,091,000 | b,c | 1,097,226 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 6.75 | | 4/15/2028 | | 666,000 | b,c | 667,690 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 7.00 | | 1/15/2031 | | 800,000 | b,c | 808,835 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unscd. Notes | | 6.75 | | 10/15/2027 | | 650,000 | b,c | 641,722 | |
Ardonagh Finco Ltd., Sr. Scd. Notes | | 7.75 | | 2/15/2031 | | 1,940,000 | b,c | 1,919,415 | |
Ardonagh Group Finance Ltd., Sr. Unscd. Notes | | 8.88 | | 2/15/2032 | | 800,000 | b,c | 782,085 | |
AssuredPartners, Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 1,190,000 | b,c | 1,114,160 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Scd. Notes | | 7.25 | | 2/15/2031 | | 651,000 | c | 646,638 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Unscd. Notes | | 8.13 | | 2/15/2032 | | 818,000 | b,c | 813,354 | |
Panther Escrow Issuer LLC, Sr. Scd. Notes | | 7.13 | | 6/1/2031 | | 800,000 | c | 809,763 | |
| | 11,073,237 | |
Internet Software & Services - 2.1% | | | | | |
Arches Buyer, Inc., Sr. Scd. Notes | | 4.25 | | 6/1/2028 | | 480,000 | c | 429,139 | |
Arches Buyer, Inc., Sr. Unscd. Notes | | 6.13 | | 12/1/2028 | | 1,656,000 | b,c | 1,375,427 | |
Cogent Communications Group, Inc., Gtd. Notes | | 7.00 | | 6/15/2027 | | 581,000 | b,c | 576,120 | |
Match Group Holdings II LLC, Sr. Unscd. Notes | | 4.13 | | 8/1/2030 | | 1,050,000 | b,c | 930,101 | |
Newfold Digital Holdings Group, Inc., Sr. Scd. Notes | | 11.75 | | 10/15/2028 | | 390,000 | c | 404,586 | |
Newfold Digital Holdings Group, Inc., Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 477,000 | b,c | 344,762 | |
| | 4,060,135 | |
Materials - 4.4% | | | | | |
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | | 8.75 | | 4/15/2030 | | 1,760,000 | b,c | 1,724,800 | |
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 837,000 | c | 791,256 | |
LABL, Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 284,000 | b,c | 280,708 | |
LABL, Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 1,314,000 | b,c | 1,287,234 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Bonds | | 7.88 | | 4/15/2027 | | 1,456,000 | b,c | 1,486,927 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, Sr. Scd. Notes | | 4.00 | | 10/15/2027 | | 1,130,000 | b,c | 1,059,453 | |
Sealed Air Corp., Gtd. Notes | | 5.00 | | 4/15/2029 | | 620,000 | b,c | 590,606 | |
Trivium Packaging Finance BV, Gtd. Notes | | 8.50 | | 8/15/2027 | | 400,000 | c | 397,428 | |
Trivium Packaging Finance BV, Sr. Scd. Notes | | 5.50 | | 8/15/2026 | | 938,000 | b,c | 920,048 | |
| | 8,538,460 | |
Media - 4.4% | | | | | |
Altice Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 525,000 | b,c | 382,033 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.25 | | 1/15/2034 | | 793,000 | b,c | 602,583 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Media - 4.4% (continued) | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.50 | | 5/1/2032 | | 892,000 | b | 719,038 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2028 | | 880,000 | b,c | 823,439 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 5,000 | b,c | 4,805 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.38 | | 6/1/2029 | | 799,000 | b,c | 727,641 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 625,000 | b,c | 507,566 | |
CSC Holdings LLC, Gtd. Notes | | 11.25 | | 5/15/2028 | | 400,000 | b,c | 348,846 | |
DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., Sr. Scd. Notes | | 5.88 | | 8/15/2027 | | 570,000 | b,c | 536,610 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 975,000 | b,c | 956,908 | |
Paramount Global, Sr. Unscd. Notes | | 4.95 | | 1/15/2031 | | 1,406,000 | | 1,237,466 | |
Sunrise Finco I BV, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 770,000 | b,c | 699,784 | |
Virgin Media Secured Finance PLC, Sr. Scd. Notes | | 5.50 | | 5/15/2029 | | 667,000 | c | 610,276 | |
Ziggo Bond Co. BV, Gtd. Notes | | 5.13 | | 2/28/2030 | | 559,000 | b,c | 475,823 | |
| | 8,632,818 | |
Metals & Mining - 3.6% | | | | | |
Arsenal AIC Parent LLC, Sr. Scd. Notes | | 8.00 | | 10/1/2030 | | 1,140,000 | b,c | 1,197,736 | |
Cleveland-Cliffs, Inc., Gtd. Notes | | 6.75 | | 4/15/2030 | | 601,000 | b,c | 595,371 | |
Compass Minerals International, Inc., Gtd. Notes | | 6.75 | | 12/1/2027 | | 1,146,000 | c | 1,096,252 | |
First Quantum Minerals Ltd., Scd. Notes | | 9.38 | | 3/1/2029 | | 500,000 | c | 523,063 | |
FMG Resources August 2006 Pty Ltd., Sr. Unscd. Notes | | 6.13 | | 4/15/2032 | | 690,000 | b,c | 682,769 | |
Novelis Corp., Gtd. Notes | | 3.25 | | 11/15/2026 | | 1,220,000 | c | 1,149,227 | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.00 | | 6/30/2031 | | 587,938 | d | 547,046 | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.00 | | 6/30/2031 | | 473,888 | c,d | 440,929 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 8.25 | | 5/1/2030 | | 891,000 | b,c | 912,624 | |
| | 7,145,017 | |
Real Estate - 5.2% | | | | | |
Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp., Scd. Notes | | 7.00 | | 4/15/2030 | | 457,809 | c | 374,741 | |
Iron Mountain, Inc., Gtd. Notes | | 4.88 | | 9/15/2029 | | 1,240,000 | c | 1,169,460 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | | 4.25 | | 2/1/2027 | | 2,114,000 | b,c | 2,004,362 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 1,310,000 | c | 1,229,679 | |
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | | 6.50 | | 4/1/2032 | | 943,000 | b,c | 943,841 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 892,000 | b,c | 888,970 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 8.00 | | 4/1/2029 | | 1,540,000 | b,c | 1,496,277 | |
RLJ Lodging Trust LP, Sr. Scd. Notes | | 4.00 | | 9/15/2029 | | 1,530,000 | b,c | 1,353,041 | |
Starwood Property Trust, Inc., Sr. Unscd. Notes | | 7.25 | | 4/1/2029 | | 663,000 | c | 670,937 | |
| | 10,131,308 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Retailing - 4.6% | | | | | |
Beacon Roofing Supply, Inc., Gtd. Notes | | 4.13 | | 5/15/2029 | | 641,000 | c | 584,773 | |
Carvana Co., Sr. Scd. Notes | | 12.00 | | 12/1/2028 | | 455,667 | c,d | 490,387 | |
Carvana Co., Sr. Scd. Notes | | 13.00 | | 6/1/2030 | | 317,000 | c,d | 347,308 | |
Carvana Co., Sr. Scd. Notes | | 14.00 | | 6/1/2031 | | 443,000 | c,d | 498,686 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Gtd. Notes | | 6.75 | | 1/15/2030 | | 535,000 | b,c | 470,236 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 461,000 | b,c | 420,174 | |
Foundation Building Materials, Inc., Gtd. Notes | | 6.00 | | 3/1/2029 | | 1,805,000 | b,c | 1,603,843 | |
Nordstrom, Inc., Sr. Unscd. Notes | | 4.25 | | 8/1/2031 | | 470,000 | | 418,952 | |
Nordstrom, Inc., Sr. Unscd. Notes | | 4.38 | | 4/1/2030 | | 320,000 | | 291,305 | |
PetSmart, Inc./PetSmart Finance Corp., Gtd. Notes | | 7.75 | | 2/15/2029 | | 810,000 | b,c | 789,607 | |
PetSmart, Inc./PetSmart Finance Corp., Sr. Scd. Notes | | 4.75 | | 2/15/2028 | | 990,000 | b,c | 920,736 | |
White Cap Buyer LLC, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 1,531,000 | b,c | 1,478,703 | |
White Cap Parent LLC, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 805,000 | c,d | 805,719 | |
| | 9,120,429 | |
Semiconductors & Semiconductor Equipment - .7% | | | | | |
Entegris, Inc., Gtd. Notes | | 5.95 | | 6/15/2030 | | 1,360,000 | b,c | 1,347,377 | |
Technology Hardware & Equipment - .4% | | | | | |
Western Digital Corp., Gtd. Notes | | 4.75 | | 2/15/2026 | | 708,000 | b | 693,660 | |
Telecommunication Services - 5.2% | | | | | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 1,145,000 | b,c | 785,495 | |
Altice France SA, Sr. Scd. Notes | | 8.13 | | 2/1/2027 | | 1,305,000 | b,c | 979,802 | |
C&W Senior Finance Ltd., Sr. Unscd. Notes | | 6.88 | | 9/15/2027 | | 883,000 | b,c | 848,059 | |
Consolidated Communications, Inc., Sr. Scd. Notes | | 6.50 | | 10/1/2028 | | 989,000 | c | 847,678 | |
Frontier Communications Holdings LLC, Scd. Notes | | 6.75 | | 5/1/2029 | | 920,000 | b,c | 844,793 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.63 | | 3/15/2031 | | 322,000 | c | 332,044 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 1,070,000 | b,c | 1,103,735 | |
Iliad Holding SASU, Sr. Scd. Bonds | | 8.50 | | 4/15/2031 | | 940,000 | b,c | 952,745 | |
Iliad Holding SASU, Sr. Scd. Notes | | 6.50 | | 10/15/2026 | | 531,000 | c | 529,121 | |
Level 3 Financing, Inc., Sr. Scd. Notes | | 10.50 | | 4/15/2029 | | 1,200,000 | b,c | 1,203,000 | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.13 | | 4/15/2029 | | 438,175 | c | 287,033 | |
Telecom Italia Capital SA, Gtd. Notes | | 7.72 | | 6/4/2038 | | 337,000 | c | 355,074 | |
Telecom Italia Capital SA, Gtd. Notes | | 7.72 | | 6/4/2038 | | 163,000 | | 159,212 | |
Telesat Canada/Telesat LLC, Sr. Scd. Notes | | 5.63 | | 12/6/2026 | | 404,000 | b,c | 190,927 | |
Zayo Group Holdings, Inc., Sr. Scd. Notes | | 4.00 | | 3/1/2027 | | 975,000 | b,c | 780,971 | |
| | 10,199,689 | |
Utilities - 4.4% | | | | | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 845,000 | b,c | 784,719 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 747,000 | b,c | 697,643 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 118.5% (continued) | | | | | |
Utilities - 4.4% (continued) | | | | | |
NextEra Energy Operating Partners LP, Gtd. Notes | | 3.88 | | 10/15/2026 | | 827,000 | b,c | 787,284 | |
NextEra Energy Operating Partners LP, Sr. Unscd. Notes | | 7.25 | | 1/15/2029 | | 1,077,000 | b,c | 1,105,250 | |
NRG Energy, Inc., Gtd. Notes | | 3.88 | | 2/15/2032 | | 650,000 | b,c | 558,818 | |
NRG Energy, Inc., Gtd. Notes | | 5.25 | | 6/15/2029 | | 420,000 | b,c | 403,362 | |
NRG Energy, Inc., Jr. Sub. Bonds | | 10.25 | | 3/15/2028 | | 1,090,000 | b,c,e | 1,193,174 | |
PG&E Corp., Sr. Scd. Notes | | 5.00 | | 7/1/2028 | | 707,000 | b | 680,949 | |
Vistra Corp., Jr. Sub. Bonds | | 7.00 | | 12/15/2026 | | 447,000 | c,e | 443,543 | |
Vistra Operations Co. LLC, Gtd. Notes | | 4.38 | | 5/1/2029 | | 403,000 | c | 375,516 | |
Vistra Operations Co. LLC, Gtd. Notes | | 6.88 | | 4/15/2032 | | 474,000 | c | 481,554 | |
Vistra Operations Co. LLC, Gtd. Notes | | 7.75 | | 10/15/2031 | | 1,171,000 | b,c | 1,220,388 | |
| | 8,732,200 | |
Total Bonds and Notes
(cost $228,823,000) | | 232,402,103 | |
| | | | | | | | | |
Floating Rate Loan Interests - 12.6% | | | | | |
Advertising - .8% | | | | | |
Dotdash Meredith, Inc., Term Loan B, (1 Month TSFR +4.10%) | | 9.43 | | 12/1/2028 | | 680,000 | f | 681,132 | |
Neptune BidCo US, Inc., Dollar Term Loan B, (3 Month TSFR +5.10%) | | 10.41 | | 4/11/2029 | | 867,425 | f | 818,632 | |
| | 1,499,764 | |
Automobiles & Components - .5% | | | | | |
First Brands Group LLC, 2021 First Lien Term Loan, (3 Month TSFR +5.26%) | | 10.59 | | 3/30/2027 | | 267,923 | f | 266,626 | |
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month TSFR +5.26%) | | 10.59 | | 3/30/2027 | | 790,611 | f | 787,152 | |
| | 1,053,778 | |
Commercial & Professional Services - .4% | | | | | |
American Auto Auction, First Lien Tranche Term Loan B, (3 Month TSFR +5.15%) | | 10.48 | | 12/30/2027 | | 797,954 | f | 798,552 | |
Consumer Discretionary - 1.8% | | | | | |
Bally's Corp., Facility Term Loan B, (3 Month TSFR +3.51%) | | 9.10 | | 10/2/2028 | | 1,388,780 | f | 1,322,091 | |
Fitness International LLC, New Term Loan B, (3 Month TSFR +5.25%) | | 10.58 | | 2/12/2029 | | 312,218 | f | 314,169 | |
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan, (1 Month TSFR +4.36%) | | 9.71 | | 4/26/2028 | | 1,167,075 | f,g | 1,166,346 | |
Recess Holdings, Inc., Initial Term Loan, (1 Month TSFR +4.50%) | | 9.84 | | 2/20/2030 | | 630,619 | f | 635,348 | |
| | 3,437,954 | |
Diversified Financials - 1.0% | | | | | |
Blackhawk Network Holdings, Inc., Term Loan B, (1 Month TSFR +5.00%) | | 10.34 | | 3/12/2029 | | 930,000 | f | 933,199 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 12.6% (continued) | | | | | |
Diversified Financials - 1.0% (continued) | | | | | |
Nexus Buyer LLC, Initial Term Loan, (1 Month TSFR +3.85%) | | 9.19 | | 11/9/2026 | | 664,779 | f | 665,102 | |
Russell Investments US Institutional Holdco, Inc., 2027 Term Loan, (3 Month TSFR +5.00%) | | 10.33 | | 6/1/2027 | | 371,483 | d,f | 331,434 | |
| | 1,929,735 | |
Energy - 1.1% | | | | | |
Freeport LNG Investments LLLP, Initial Term Loan B, (3 Month TSFR +3.76%) | | 9.09 | | 12/21/2028 | | 540,000 | f | 540,073 | |
WaterBridge Midstream Operating LLC, Term Loan B, (1 Month TSFR +4.75%) | | 4.75 | | 6/27/2029 | | 1,147,743 | f | 1,142,004 | |
WaterBridge NDB Operating LLC, Term Loan, (3 Month TSFR +4.50%) | | 9.83 | | 5/10/2029 | | 463,768 | f | 466,861 | |
| | 2,148,938 | |
Environmental Control - .3% | | | | | |
Win Waste Innovations Holdings , Initial Term Loan, (1 Month TSFR +2.75%) | | 8.21 | | 3/27/2028 | | 548,586 | f | 512,209 | |
Financials - .5% | | | | | |
Jump Financial LLC, Term Loan, (3 Month TSFR +4.76%) | | 10.10 | | 8/7/2028 | | 1,058,718 | f | 1,057,395 | |
Food Products - .5% | | | | | |
Max US Bidco, Inc., Initial Term Loan, (1 Month TSFR +5.00%) | | 10.34 | | 10/2/2030 | | 1,117,200 | f | 1,057,150 | |
Health Care - .4% | | | | | |
Alvogen Pharma US, Inc., 2022 New Extended June Term Loan, (3 Month TSFR +7.65%) | | 12.98 | | 6/30/2025 | | 248,301 | f | 227,661 | |
Radiology Partners, Inc., Term Loan C, (3 Month TSFR +3.76%) | | 9.09 | | 1/31/2029 | | 568,512 | d,f | 540,655 | |
| | 768,316 | |
Industrial - .5% | | | | | |
Revere Power LLC, Term Loan B, (3 Month TSFR +4.40%) | | 9.73 | | 3/30/2026 | | 1,033,829 | f | 952,932 | |
Revere Power LLC, Term Loan C, (3 Month TSFR +4.40%) | | 9.73 | | 3/30/2026 | | 90,790 | f | 83,686 | |
| | 1,036,618 | |
Information Technology - .4% | | | | | |
Quest Software, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.40%) | | 9.73 | | 2/1/2029 | | 553,502 | f | 412,514 | |
RealPage, Inc., Second Lien Initial Term Loan, (3 Month TSFR +6.61%) | | 11.96 | | 4/23/2029 | | 346,354 | f | 338,931 | |
| | 751,445 | |
Insurance - .6% | | | | | |
Asurion LLC, Second Lien Term Loan B-3, (1 Month TSFR +5.36%) | | 10.71 | | 2/3/2028 | | 570,000 | f | 532,594 | |
OneDigital Borrower LLC, Second Lien Term Loan, (1 Month TSFR +5.25%) | | 5.75 | | 6/14/2032 | | 664,000 | f | 662,340 | |
| | 1,194,934 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 12.6% (continued) | | | | | |
Internet Software & Services - 1.4% | | | | | |
MH Sub I LLC, 2023 May New Term Loan, (1 Month TSFR +4.25%) | | 9.59 | | 5/3/2028 | | 1,079,100 | f | 1,079,321 | |
MH Sub I LLC, Second Lien Term Loan, (1 Month TSFR +6.25%) | | 11.59 | | 2/23/2029 | | 570,000 | f | 569,644 | |
StubHub Holdco Sub LLC, Extended USD Term Loan B, (1 Month TSFR +4.75%) | | 10.09 | | 3/15/2030 | | 1,061,951 | f | 1,063,613 | |
| | 2,712,578 | |
Materials - .5% | | | | | |
LABL, Inc., Initial Term Loan, (1 Month EURIBOR +5.00%) | EUR | 8.65 | | 10/30/2028 | | 997,442 | f | 1,026,551 | |
Real Estate - .4% | | | | | |
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.61%) | | 8.96 | | 6/2/2028 | | 708,179 | f | 698,821 | |
Technology Hardware & Equipment - .8% | | | | | |
Indy US Holdco LLC, 2023 Incremental Dollar Term Loan, (1 Month TSFR +6.25%) | | 11.59 | | 3/6/2028 | | 1,189,909 | f | 1,192,884 | |
VeriFone Systems, Inc., Initial Term Loan, (3 Month TSFR +4.26%) | | 9.60 | | 8/20/2025 | | 404,000 | f | 332,349 | |
| | 1,525,233 | |
Utilities - .7% | | | | | |
Eastern Power LLC, Term Loan B, (1 Month TSFR +3.75%) | | 9.19 | | 10/2/2025 | | 1,429,715 | f | 1,425,819 | |
Total Floating Rate Loan Interests
(cost $24,217,974) | | 24,635,790 | |
| | | | | | | | | |
Exchange-Traded Funds - .9% | | | | | |
Registered Investment Companies - .9% | | | | | |
Invesco Senior Loan ETF | | | | | | 31,500 | | 662,760 | |
iShares iBoxx Investment Grade Corporate Bond ETF | | | | | | 7,570 | | 810,898 | |
ProShares Ultra VIX Short-Term Futures ETF | | | | | | 9,238 | h | 217,463 | |
Total Exchange-Traded Funds
(cost $1,801,169) | | 1,691,121 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 4.2% | | | | | |
Registered Investment Companies - 4.2% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $8,344,973) | | 5.42 | | | | 8,344,973 | i | 8,344,973 | |
Total Investments (cost $263,187,116) | | 136.2% | 267,073,987 | |
Liabilities, Less Cash and Receivables | | (36.2%) | (70,944,565) | |
Net Assets | | 100.0% | 196,129,422 | |
ETF—Exchange-Traded Fund
TSFR—Term Secured Overnight Financing Rate Reference Rates
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.
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, 2024, these securities were valued at $216,853,121 or 110.57% of net assets.
d Payment-in-kind security and interest may be paid in additional par.
e Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
g Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
h Non-income producing security.
i Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
United States Dollar | 6,729,342 | Euro | 6,290,000 | 7/31/2024 | (17,767) |
United States Dollar | 6,020,755 | British Pound | 4,760,000 | 7/31/2024 | 2,383 |
Gross Unrealized Appreciation | | | 2,383 |
Gross Unrealized Depreciation | | | (17,767) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon High Yield Strategies Fund
June 30, 2024 (Unaudited)
The following is a summary of the inputs used as of June 30, 2024 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 6,514,676 | | - | 6,514,676 | |
Corporate Bonds | - | 225,887,427 | | - | 225,887,427 | |
Exchange-Traded Funds | 1,691,121 | - | | - | 1,691,121 | |
Floating Rate Loan Interests | - | 24,635,790 | | - | 24,635,790 | |
Investment Companies | 8,344,973 | - | | - | 8,344,973 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 2,383 | | - | 2,383 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (17,767) | | - | (17,767) | |
† 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 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 June 30, 2024 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 June 30, 2024, accumulated net unrealized appreciation on investments was $3,871,487, consisting of $6,675,986 gross unrealized appreciation and $2,804,499 gross unrealized depreciation.
At June 30, 2024, 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.
