STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2019 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 78.1% | |||||||||
Aerospace & Defense - 2.6% | |||||||||
Bombardier, Sr. Unscd. Notes | 7.50 | 3/15/2025 | 2,160,000 | b | 2,192,400 | ||||
TransDigm, Gtd. Notes | 6.50 | 5/15/2025 | 1,185,000 | 1,233,881 | |||||
3,426,281 | |||||||||
Automobiles & Components - 1.1% | |||||||||
American Axle & Manufacturing, Gtd. Notes | 6.25 | 4/1/2025 | 485,000 | 494,094 | |||||
Tenneco Inc, Sr. Scd. Bonds | EUR | 5.00 | 7/15/2024 | 920,000 | 1,033,667 | ||||
1,527,761 | |||||||||
Building Materials - .4% | |||||||||
Griffon, Gtd. Notes | 5.25 | 3/1/2022 | 530,000 | 535,805 | |||||
Chemicals - 2.1% | |||||||||
CVR Partners, Scd. Notes | 9.25 | 6/15/2023 | 1,315,000 | b | 1,374,162 | ||||
INEOS Group Holdings, Scd. Notes | 5.63 | 8/1/2024 | 540,000 | b | 555,698 | ||||
Kraton Polymers, Gtd. Notes | 7.00 | 4/15/2025 | 875,000 | b | 894,959 | ||||
2,824,819 | |||||||||
Collateralized Loan Obligations Debt - 19.9% | |||||||||
Battalion CLO VII, Ser. 2014-7A, Cl. DRR, 3 Month LIBOR +6.31% | 8.31 | 7/17/2028 | 750,000 | b,c | 730,316 | ||||
Cairn CLO III, Ser. 2013-3A, Cl. F, 6 Month EURIBOR +6.60% @ Floor | EUR | 6.60 | 10/20/2028 | 3,000,000 | b,c | 3,095,161 | |||
Carlyle Global Market Strategies Euro CLO, Ser. 2015-3A, Cl. ER, 3 Month EURIBOR +6.44% @ Floor | EUR | 6.44 | 7/15/2030 | 2,000,000 | b,c | 1,885,324 | |||
Carlyle Global Market Strategies Euro CLO, Ser. 2016-2A, Cl. E, 3 Month EURIBOR +7.75% @ Floor | EUR | 7.75 | 1/18/2030 | 2,000,000 | b,c | 2,080,246 | |||
CIFC Funding CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% | 7.00 | 4/18/2031 | 1,000,000 | b,c | 900,138 | ||||
Dryden 49 Senior Loan Fund CLO, Ser. 2017-49A, Cl. E, 3 Month LIBOR +6.30% | 8.30 | 7/18/2030 | 1,350,000 | b,c | 1,290,621 | ||||
Euro-Galaxy IV CLO, Ser. 2015-4A, Cl. FR, 3 Month EURIBOR +6.85% @ Floor | EUR | 6.85 | 7/30/2030 | 2,000,000 | b,c | 1,951,162 | |||
Marble Point CLO XII, Ser. 2018-1A, Cl. E, 3 Month LIBOR +6.00% | 8.00 | 7/16/2031 | 750,000 | b,c | 626,803 | ||||
OCP CLO, Ser. 2014-6A, Cl. DR, 3 Month LIBOR +6.52% | 8.52 | 10/17/2030 | 1,000,000 | b,c | 899,398 | ||||
Ozlm Vi CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | 8.05 | 4/17/2031 | 2,000,000 | b,c | 1,609,546 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 78.1% (continued) | |||||||||
Collateralized Loan Obligations Debt - 19.9% (continued) | |||||||||
OZLM XIII CLO, Ser. 2015-13A, Cl. D, 3 Month LIBOR +5.45% | 7.39 | 7/30/2027 | 2,250,000 | b,c | 1,906,046 | ||||
OZLME III CLO, Ser. 3X, Cl. F, 3 Month EURIBOR +6.45% @ Floor | EUR | 6.45 | 8/24/2030 | 1,000,000 | c | 942,495 | |||
Penta CLO 2, Ser. 2015-2A, Cl. F, 3 Month EURIBOR +5.48% @ Floor | EUR | 5.48 | 8/4/2028 | 3,000,000 | b,c | 3,018,800 | |||
Rockford Tower CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.85% | 7.75 | 5/20/2031 | 750,000 | b,c | 677,615 | ||||
Sounds Point CLO IV-R, Ser. 2013-3RA, Cl. E, 3 Month LIBOR +6.25% | 8.25 | 4/18/2031 | 750,000 | b,c | 591,707 | ||||
St Paul's CLO V, Ser. 5A, Cl. FR, 3 Month EURIBOR +6.60% @ Floor | EUR | 6.60 | 8/20/2030 | 4,000,000 | b,c | 3,790,221 | |||
Vibrant CLO III, Ser. 2015-3A, Cl. DRR, 3 Month LIBOR +6.35% | 8.32 | 10/20/2031 | 1,000,000 | b,c | 799,415 | ||||
26,795,014 | |||||||||
Collateralized Loan Obligations Equity - 2.7% | |||||||||
Dryden 36 Senior Loan Fund CLO, Ser. 2014-36A, Cl. SUB | 4.79 | 4/15/2029 | 2,450,931 | b,d | 1,173,962 | ||||
Dryden 36 Senior Loan Fund CLO, Ser. 2014-36A, Cl. SUBR | 4.79 | 4/15/2029 | 484,569 | b,d | 232,102 | ||||
KVK CLO, Ser. 2018-1A, Cl. SUB1 | 2.23 | 5/20/2029 | 4,000,000 | b,d | 891,825 | ||||
Madison Park Funding X CLO, Ser. 2012-10A, Cl. SUB | 4.55 | 1/20/2029 | 3,000,000 | b,d | 1,366,479 | ||||
3,664,368 | |||||||||
Commercial & Professional Services - 2.2% | |||||||||
Ahern Rentals, Scd. Notes | 7.38 | 5/15/2023 | 685,000 | b | 536,297 | ||||
La Financiere Atalian, Gtd. Bonds | EUR | 5.13 | 5/15/2025 | 1,000,000 | 826,991 | ||||
MPH Acquisition Holdings, Gtd. Notes | 7.13 | 6/1/2024 | 828,000 | b | 753,472 | ||||
Prime Security Services Borrower, Scd. Notes | 9.25 | 5/15/2023 | 759,000 | b | 799,322 | ||||
2,916,082 | |||||||||
Consumer Discretionary - 2.6% | |||||||||
AMC Entertainment Holdings, Gtd. Bonds | GBP | 6.38 | 11/15/2024 | 585,000 | 745,345 | ||||
Core & Main Holdings, Sr. Unscd. Notes | 8.63 | 9/15/2024 | 690,000 | b | 714,436 | ||||
International Game Technology, Sr. Scd. Notes | 6.50 | 2/15/2025 | 605,000 | b | 677,594 | ||||
Scientific Games International, Gtd. Notes | 10.00 | 12/1/2022 | 246,000 | 252,765 | |||||
William Lyon Homes, Gtd. Notes | 5.88 | 1/31/2025 | 460,000 | 473,991 | |||||
Williams Scotsman International, Sr. Scd. Notes | 6.88 | 8/15/2023 | 560,000 | b | 590,007 | ||||
3,454,138 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 78.1% (continued) | |||||||||
Consumer Staples - .2% | |||||||||
Prestige Brands, Gtd. Notes | 6.38 | 3/1/2024 | 290,000 | b | 302,685 | ||||
Diversified Financials - 9.5% | |||||||||
Amigo Luxembourg, Sr. Scd. Notes | GBP | 7.63 | 1/15/2024 | 1,410,000 | 1,746,119 | ||||
Bracken MidCo1, Sr. Unscd. Bonds | GBP | 8.88 | 10/15/2023 | 540,000 | b | 689,756 | |||
Cabot Financial Luxembourg, Sr. Scd. Notes | GBP | 7.50 | 10/1/2023 | 1,465,000 | 1,972,007 | ||||
FS Energy & Power Fund, Sr. Scd. Notes | 7.50 | 8/15/2023 | 1,165,000 | b | 1,186,832 | ||||
Garfunkelux Holdco 2, Scd. Bonds | GBP | 11.00 | 11/1/2023 | 830,000 | 1,055,231 | ||||
Global Aircraft Leasing, Sr. Unscd. Notes | 6.50 | 9/15/2024 | 650,000 | b | 666,445 | ||||
Icahn Enterprises, Gtd. Notes | 6.75 | 2/1/2024 | 975,000 | 1,016,842 | |||||
Jerrold Finco, Sr. Scd. Bonds | GBP | 6.13 | 1/15/2024 | 650,000 | 862,997 | ||||
Nationstar Mortgage Holdings, Gtd. Notes | 8.13 | 7/15/2023 | 1,485,000 | b | 1,592,648 | ||||
Navient, Sr. Unscd. Notes | 5.88 | 10/25/2024 | 525,000 | 560,432 | |||||
Navient, Sr. Unscd. Notes | 6.50 | 6/15/2022 | 200,000 | 217,404 | |||||
Navient, Sr. Unscd. Notes | 7.25 | 9/25/2023 | 195,000 | 216,936 | |||||
Quicken Loans, Gtd. Notes | 5.75 | 5/1/2025 | 900,000 | b | 937,004 | ||||
12,720,653 | |||||||||
Energy - 3.7% | |||||||||
Carrizo Oil & Gas, Gtd. Notes | 6.25 | 4/15/2023 | 455,000 | 439,070 | |||||
Genesis Energy, Gtd. Bonds | 5.63 | 6/15/2024 | 1,110,000 | 1,005,011 | |||||
Gulfport Energy, Gtd. Notes | 6.38 | 5/15/2025 | 1,040,000 | 679,032 | |||||
Nabors Industries, Gtd. Notes | 5.50 | 1/15/2023 | 200,000 | 176,500 | |||||
Precision Drilling, Gtd. Notes | 7.75 | 12/15/2023 | 1,485,000 | 1,411,366 | |||||
Shelf Drilling Holdings, Gtd. Notes | 8.25 | 2/15/2025 | 860,000 | b | 731,808 | ||||
SM Energy, Sr. Unscd. Notes | 5.63 | 6/1/2025 | 230,000 | 209,970 | |||||
Transocean Sentry, Sr. Scd. Notes | 5.38 | 5/15/2023 | 350,000 | b | 350,872 | ||||
5,003,629 | |||||||||
Environmental Control - 1.4% | |||||||||
Covanta Holding, Sr. Unscd. Notes | 5.88 | 3/1/2024 | 460,000 | 475,141 | |||||
GFL Environmental, Sr. Unscd. Notes | 5.38 | 3/1/2023 | 1,445,000 | b | 1,455,838 | ||||
1,930,979 | |||||||||
Food Products - 1.6% | |||||||||
Albertsons, Gtd. Notes | 6.63 | 6/15/2024 | 2,100,000 | 2,208,171 | |||||
Forest Products & Other - 1.2% | |||||||||
Mercer International, Sr. Unscd. Notes | 7.38 | 1/15/2025 | 1,520,000 | 1,619,127 | |||||
Health Care - 4.7% | |||||||||
Bausch Health, Gtd. Notes | 6.13 | 4/15/2025 | 1,720,000 | b | 1,793,048 | ||||
Eagle Holding II, Sr. Unscd. Notes | 7.63 | 5/15/2022 | 1,155,000 | b | 1,172,317 | ||||
Eagle Holding II, Unscd. Notes | 7.75 | 5/15/2022 | 300,000 | b | 305,623 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 78.1% (continued) | |||||||||
Health Care - 4.7% (continued) | |||||||||
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | 6.63 | 5/15/2022 | 1,340,000 | b | 1,323,241 | ||||
Polaris Intermediate, Sr. Unscd. Notes | 8.50 | 12/1/2022 | 2,035,000 | b | 1,693,616 | ||||
6,287,845 | |||||||||
Information Technology - .9% | |||||||||
Genesys Telecommunications Laboratories, Gtd. Notes | 10.00 | 11/30/2024 | 1,095,000 | b | 1,181,220 | ||||
Insurance - 1.4% | |||||||||
USI, Sr. Unscd. Notes | 6.88 | 5/1/2025 | 1,845,000 | b | 1,858,819 | ||||
Materials - 3.1% | |||||||||
Ardagh Packaging Finance, Gtd. Notes | 6.00 | 2/15/2025 | 780,000 | b | 820,950 | ||||
Flex Acquisition, Sr. Unscd. Notes | 6.88 | 1/15/2025 | 991,000 | b | 946,395 | ||||
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | 7.25 | 4/15/2025 | 1,670,000 | b | 1,586,483 | ||||
Reynolds Group Issuer, Gtd. Notes | 7.00 | 7/15/2024 | 775,000 | b | 803,578 | ||||
4,157,406 | |||||||||
Media - 4.5% | |||||||||
Altice Finco, Scd. Notes | 7.63 | 2/15/2025 | 829,000 | b | 853,178 | ||||
Altice Luxembourg, Gtd. Notes | 7.63 | 2/15/2025 | 1,060,000 | b | 1,106,375 | ||||
DISH DBS, Gtd. Notes | 5.88 | 11/15/2024 | 1,150,000 | 1,151,438 | |||||
Entercom Media, Gtd. Notes | 7.25 | 11/1/2024 | 945,000 | b | 999,730 | ||||
Radiate Holdco, Sr. Unscd. Notes | 6.63 | 2/15/2025 | 750,000 | b | 759,686 | ||||
Radiate Holdco, Sr. Unscd. Notes | 6.88 | 2/15/2023 | 207,000 | b | 211,743 | ||||
The EW Scripps Company, Gtd. Notes | 5.13 | 5/15/2025 | 60,000 | b | 61,000 | ||||
Townsquare Media, Gtd. Notes | 6.50 | 4/1/2023 | 645,000 | b | 650,105 | ||||
Virgin Media Receivables Financing, Sr. Scd. Bonds | GBP | 5.50 | 9/15/2024 | 200,000 | 264,989 | ||||
6,058,244 | |||||||||
Metals & Mining - 2.1% | |||||||||
First Quantum Minerals, Gtd. Notes | 7.50 | 4/1/2025 | 1,580,000 | b | 1,556,300 | ||||
Hudbay Minerals, Gtd. Notes | 7.63 | 1/15/2025 | 1,265,000 | b | 1,271,312 | ||||
2,827,612 | |||||||||
Real Estate - .4% | |||||||||
Haya Finance 2017, Sr. Scd. Bonds | EUR | 5.25 | 11/15/2022 | 500,000 | 518,074 | ||||
Retailing - .4% | |||||||||
New Look Financing, Sr. Scd. Bonds | GBP | 12.00 | 5/3/2024 | 240,686 | 185,218 | ||||
New Look Secured Issuer, Sr. Scd. Bonds | GBP | 6.50 | 7/1/2022 | 635,000 | e | 155,016 | |||
Shop Direct Funding, Sr. Scd. Notes | GBP | 7.75 | 11/15/2022 | 200,000 | b | 246,060 | |||
586,294 | |||||||||
Technology Hardware & Equipment - .9% | |||||||||
Tempo Acquisition, Sr. Unscd. Notes | 6.75 | 6/1/2025 | 1,120,000 | b | 1,156,389 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 78.1% (continued) | |||||||||
Telecommunication Services - 7.4% | |||||||||
Cincinnati Bell, Gtd. Notes | 7.00 | 7/15/2024 | 920,000 | b | 863,641 | ||||
CommScope, Gtd. Notes | 5.50 | 6/15/2024 | 1,295,000 | b | 1,272,622 | ||||
DKT Finance, Sr. Scd. Notes | 9.38 | 6/17/2023 | 1,240,000 | b | 1,319,980 | ||||
Intelsat Connect Finance, Gtd. Notes | 9.50 | 2/15/2023 | 545,000 | b | 320,188 | ||||
Intelsat Jackson Holdings, Gtd. Notes | 8.50 | 10/15/2024 | 1,535,000 | b | 1,266,375 | ||||
Iridium Communications, Sr. Unscd. Notes | 10.25 | 4/15/2023 | 725,000 | b | 777,262 | ||||
Plantronics, Gtd. Notes | 5.50 | 5/31/2023 | 415,000 | 391,382 | |||||
Sprint, Gtd. Notes | 7.63 | 2/15/2025 | 2,370,000 | 2,601,786 | |||||
Sprint, Gtd. Notes | 7.88 | 9/15/2023 | 1,095,000 | 1,206,553 | |||||
10,019,789 | |||||||||
Utilities - 1.1% | |||||||||
Calpine, Sr. Unscd. Notes | 5.75 | 1/15/2025 | 485,000 | 493,488 | |||||
Viridian Group FinanceCo, Sr. Scd. Notes | GBP | 4.75 | 9/15/2024 | 790,000 | 1,034,590 | ||||
1,528,078 | |||||||||
Total Bonds and Notes | 105,109,282 | ||||||||
Floating Rate Loan Interests - 66.3% | |||||||||
Advertising - 1.4% | |||||||||
ABG Intermediate Holdings 2, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | 5.39 | 9/29/2024 | 685,000 | c | 685,000 | ||||
Clear Channel Outdoor Holdings, Term B Loan, 1 Month LIBOR +3.50% | 5.20 | 8/21/2026 | 442,875 | c | 444,773 | ||||
Polyconcept North America Holdings, First Lien Closing Date Term Loan, 1 Month LIBOR +3.75% | 5.67 | 8/16/2023 | 735,028 | c | 731,353 | ||||
1,861,126 | |||||||||
Automobiles & Components - .7% | |||||||||
Dealer Tire, Initial Term Loan, 1 Month LIBOR +5.50% | 7.66 | 12/19/2025 | 547,250 | c | 547,934 | ||||
Panther BF Aggregator 2, Initial Term Loan, 1 Month LIBOR +3.50% | 5.40 | 4/30/2026 | 425,829 | c | 426,364 | ||||
974,298 | |||||||||
Building Materials - 1.1% | |||||||||
Forterra Finance, Replacement Term Loan, 1 Month LIBOR +3.00% | 4.89 | 10/25/2023 | 535,000 | c | 516,128 | ||||
NCI Building Systems, Initial Term Loan, 1 Month LIBOR +3.75% | 5.75 | 4/12/2025 | 571,005 | c | 565,295 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Building Materials - 1.1% (continued) | |||||||||
Tamko Building Products, Initial Term Loan, 1 Month LIBOR +3.25% | 5.17 | 5/31/2026 | 330,482 | c | 332,548 | ||||
1,413,971 | |||||||||
Chemicals - 1.3% | |||||||||
AgroFresh, Term Loan, 2-3 Month LIBOR +4.75% | 6.65 | 7/31/2021 | 734,655 | c | 644,660 | ||||
ColourOZ Investment 2, Term Loan, 3 Month LIBOR +3.00% | 4.94 | 9/7/2021 | 70,559 | c | 57,364 | ||||
ColourOZ Investment 2, Term Loan, 3 Month LIBOR +3.00% | 4.94 | 9/7/2021 | 426,823 | c | 347,007 | ||||
Cyanco Intermediate, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | 5.40 | 3/16/2025 | 226,540 | c | 227,248 | ||||
Polar US Borrower, Initial Term Loan, 3 Month LIBOR +4.75% | 6.75 | 10/16/2025 | 418,154 | c | 407,700 | ||||
1,683,979 | |||||||||
Commercial & Professional Services - 8.0% | |||||||||
Avsc Holding, Term Loan, 3 Month LIBOR +4.50% | 6.49 | 9/27/2026 | 490,405 | c | 482,132 | ||||
AVSC Holding, Initial Term Loan, 3 Month LIBOR +3.25% | 5.17 | 3/1/2025 | 125,000 | c | 121,719 | ||||
AVSC Holding, Second Lien Initial Loan, 3 Month LIBOR +7.25% | 9.17 | 9/1/2025 | 207,000 | c | 196,650 | ||||
Cast & Crew Payroll, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | 5.90 | 2/7/2026 | 184,543 | c | 185,640 | ||||
Creative Artists Agency, Term Loan, 1 Month LIBOR +3.75% | 5.55 | 11/26/2026 | 219,054 | c | 219,510 | ||||
Electro Rent, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | 6.91 | 1/31/2024 | 224,389 | c | 225,698 | ||||
Employbridge, Refinancing Term Loan, 3 Month LIBOR +4.50% | 6.45 | 4/18/2025 | 449,224 | c | 444,871 | ||||
Indigocyan Holdco 3, Term Loan, 3 Month LIBOR +4.75% | GBP | 5.54 | 12/31/2024 | 2,000,000 | c | 2,580,233 | |||
Minerva Bidco, Term Loan, 3 Month LIBOR +4.75% @ Floor | GBP | 4.50 | 8/31/2025 | 1,000,000 | c | 1,289,308 | |||
National Intergovernmental, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | 5.65 | 5/23/2025 | 288,542 | c | 285,476 | ||||
Pi Lux Finco, Second Lien Facility 1 Term Loan, 1 Month LIBOR +7.25% | 9.38 | 1/1/2026 | 1,000,000 | c | 980,000 | ||||
Pre-Paid Legal Services, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | 5.14 | 5/1/2025 | 554,343 | c | 551,363 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Commercial & Professional Services - 8.0% (continued) | |||||||||
Prime Security Services Borrower, Term Loan, 1 Month LIBOR +3.25% | 5.01 | 9/23/2026 | 525,000 | c | 520,244 | ||||
Sabert, Term Loan, 3 Month LIBOR +4.50% | 6.25 | 11/26/2026 | 341,246 | c | 340,820 | ||||
Verscend Holding, Term B Loan, 1 Month LIBOR +4.50% | 6.42 | 8/27/2025 | 790,791 | c | 793,558 | ||||
Wand NewCo 3, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | 5.39 | 2/5/2026 | 603,487 | c | 606,656 | ||||
Weight Watchers International, Initial Term Loan, 3 Month LIBOR +4.75% | 6.67 | 11/29/2024 | 969,649 | c | 971,564 | ||||
10,795,442 | |||||||||
Consumer Discretionary - 1.3% | |||||||||
Hayward Industries, Initial Term Loan, 1 Month LIBOR +3.50% | 5.41 | 8/4/2024 | 104,654 | c | 103,117 | ||||
Stars Group Holdings, Term Loan, 3 Month LIBOR +3.50% | 5.49 | 7/10/2025 | 518,271 | c | 521,098 | ||||
UFC Holdings, Term B Loan, 1 Month LIBOR +3.25% | 4.95 | 4/29/2026 | 324,211 | c | 326,187 | ||||
Univar USA, Term Loan, 1 Month LIBOR +2.00% | 3.80 | 11/22/2026 | 43,671 | c | 43,768 | ||||
Varsity Brands Holding, First Lien Initial Term Loan, 1 Month LIBOR +5.54% | 5.64 | 12/15/2024 | 807,602 | c | 768,066 | ||||
1,762,236 | |||||||||
Consumer Staples - .4% | |||||||||
Kik Custom Products, Term B-3 Loan, 3 Month LIBOR +4.00% | 5.92 | 5/15/2023 | 505,000 | c | 487,997 | ||||
Diversified Financials - 1.4% | |||||||||
Capital Automotive, Second Lien Initial B Term Loan, 1 Month LIBOR +6.00% | 8.11 | 3/24/2025 | 1,094,785 | c | 1,100,948 | ||||
VFH Parent, Initial Term Loan, 3 Month LIBOR +3.50% | 5.42 | 3/1/2026 | 810,008 | c | 810,600 | ||||
1,911,548 | |||||||||
Electronic Components - 1.6% | |||||||||
Idemia Identity & Securities, Term Loan B1, 3 Month EURIBOR +3.75% @ Floor | EUR | 3.75 | 1/10/2024 | 2,000,000 | c | 2,173,103 | |||
Energy - 3.7% | |||||||||
Blackstone CQP Holdco, Initial Term Loan, 3 Month LIBOR +3.50% | 5.63 | 9/30/2024 | 323,164 | c | 323,390 | ||||
Brazos Delaware II, Initial Term Loan, 1 Month LIBOR +4.00% | 5.92 | 5/29/2025 | 297,739 | c | 241,168 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Energy - 3.7% (continued) | |||||||||
GIP III Stetson I, Initial Term Loan, 1 Month LIBOR +4.25% | 6.20 | 7/18/2025 | 720,578 | c | 578,264 | ||||
Granite Acquisition, Second Lien Term B Loan, 3 Month LIBOR +7.25% | 9.41 | 12/19/2022 | 507,267 | c | 506,633 | ||||
Lower Cadence Holdings, Initial Term Loan, 1 Month LIBOR +4.00% | 5.92 | 5/22/2026 | 794,159 | c | 754,121 | ||||
Lucid Energy Group II, Initial Term Loan, 1 Month LIBOR +3.00% | 4.90 | 2/18/2025 | 853,734 | c | 740,435 | ||||
Natgasoline, Initial Term Loan, 3 Month LIBOR +3.50% | 5.40 | 11/14/2025 | 456,474 | c | 459,897 | ||||
Prairie Eci Acquiror, Initial Term Loan, 3 Month LIBOR +4.75% | 6.88 | 3/11/2026 | 847,250 | c | 815,478 | ||||
WaterBridge Midstream Operating, Initial Term Loan, 6 Month LIBOR +5.75% | 7.88 | 6/21/2026 | 565,000 | c | 536,750 | ||||
4,956,136 | |||||||||
Food Products - .2% | |||||||||
Atkins Nutritionals Holdings, Term Loan, 3 Month LIBOR +3.75% | 5.73 | 7/7/2024 | 322,524 | c | 324,943 | ||||
Food Service - 1.6% | |||||||||
Telfer Investments, Term Loan B1, 3 Month EURIBOR +4.75% @ Floor | EUR | 4.75 | 7/1/2026 | 2,000,000 | c | 2,216,070 | |||
Health Care - 7.5% | |||||||||
Air Medical Group Holdings, 2017-2 New Term Loan, 1 Month LIBOR +4.25% | 6.39 | 3/14/2025 | 295,000 | c | 275,703 | ||||
Air Medical Group Holdings, 2018 Term Loan, 1 Month LIBOR +3.25% | 5.17 | 4/28/2022 | 520,000 | c | 492,123 | ||||
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% | 5.44 | 4/21/2024 | 417,863 | c | 347,680 | ||||
Albany Molecular Research, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | 5.17 | 8/31/2024 | 496,202 | c | 491,603 | ||||
Alphabet Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | 5.60 | 9/28/2024 | 722,086 | c | 674,847 | ||||
Auris Luxembourg III, Facility B1 Term Loan, 3 Month EURIBOR +4.00% @ Floor | EUR | 4.00 | 2/21/2026 | 1,000,000 | c | 1,104,366 | |||
Auris Luxembourg III, Facility B2 Term Loan, 1 Month LIBOR +3.75% | 5.66 | 2/21/2026 | 600,000 | c | 596,715 | ||||
Avantor Funding, Initial B-2 Dollar Term Loan, 1 Month LIBOR +3.00% | 5.16 | 11/21/2024 | 191,081 | c | 192,694 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Health Care - 7.5% (continued) | |||||||||
CPI Holdco, Term Loan, 3 Month LIBOR +4.25% | 6.19 | 11/4/2026 | 415,359 | c | 415,359 | ||||
Dental Corp of Canada, Initial Term Loan, 1 Month LIBOR +3.75% | 5.67 | 6/6/2025 | 784,533 | c | 768,599 | ||||
Envision Healthcare, Initial Term Loan, 1 Month LIBOR +3.75% | 5.75 | 10/10/2025 | 1,191,000 | c | 941,450 | ||||
Femur Buyer, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | 6.42 | 3/5/2026 | 426,138 | c | 411,223 | ||||
Immucor, Term Loan B-3, 3 Month LIBOR +5.00% | 6.93 | 6/15/2021 | 741,156 | c | 738,376 | ||||
MED ParentCo, First Lien Delayed Draw Term Loan, 3 Month LIBOR +4.25% | 5.95 | 8/31/2026 | 138,366 | c | 137,588 | ||||
MED ParentCo, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | 5.95 | 8/31/2026 | 554,120 | c | 551,004 | ||||
Ortho-Clinical Diagnostics, Refinancing Term Loan, 3 Month LIBOR +3.25% | 5.17 | 6/1/2025 | 675,000 | c | 667,406 | ||||
Petvet Care Centers, Second Lien Initial Term Loan, 1 Month LIBOR +6.25% | 8.15 | 2/15/2026 | 400,000 | c | 392,250 | ||||
Surgery Center Holdings, Initial Term Loan, 1 Month LIBOR +3.25% | 5.17 | 8/31/2024 | 850,000 | c | 839,800 | ||||
10,038,786 | |||||||||
Industrial - 4.8% | |||||||||
1199169 BC, Initial Term B-2 Loan, 3 Month LIBOR +4.00% | 6.01 | 4/4/2026 | 313,677 | c | 315,294 | ||||
Brand Industrial Service, Initial Term Loan, 2-3 Month LIBOR +4.25% | 6.38 | 6/21/2024 | 1,078,912 | c | 1,058,683 | ||||
Dynasty Acquisition Company I, Initial Term B-1 Loan, 3 Month LIBOR +4.00% | 6.01 | 4/8/2026 | 583,440 | c | 586,448 | ||||
North American Lifting Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | 6.42 | 11/27/2020 | 473,725 | c | 393,428 | ||||
Qualtek USA, Term Loan, 3 Month LIBOR +6.25% | 8.18 | 7/18/2025 | 318,277 | c | 312,111 | ||||
Titan Acquisition, Initial Term Loan, 1 Month LIBOR +3.00% | 5.10 | 3/28/2025 | 600,000 | c | 575,457 | ||||
Travelport Finance, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | 6.92 | 5/30/2026 | 1,189,796 | c | 1,090,484 | ||||
USIC Holdings, Term B Loan, 1 Month LIBOR +3.00% | 5.15 | 12/9/2023 | 325,000 | c | 321,750 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Industrial - 4.8% (continued) | |||||||||
Verra Mobility, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | 5.67 | 2/28/2025 | 823,460 | c | 828,220 | ||||
Yak Access, First Lien Initial Term Loan, 1 Month LIBOR +5.00% | 7.00 | 7/11/2025 | 975,000 | c | 918,938 | ||||
6,400,813 | |||||||||
Information Technology - 7.8% | |||||||||
Boxer Parent, Initial Dollar Term Loan, 3 Month LIBOR +4.25% | 6.31 | 10/2/2025 | 567,143 | c | 546,938 | ||||
Camelia Bidco, Term Loan, 3 Month LIBOR +4.75% | GBP | 5.51 | 10/5/2024 | 2,000,000 | c | 2,586,700 | |||
Compuware, Senior Secured Term Loan, 1 Month LIBOR +4.00% | 5.70 | 8/23/2025 | 737,208 | c | 742,431 | ||||
Dcert Buyer, Term B Loan, 3 Month LIBOR +4.00% | 6.00 | 10/16/2026 | 630,514 | c | 627,166 | ||||
Dun & Bradstreet, Initial Term Loan, 1 Month LIBOR +5.00% | 6.90 | 2/8/2026 | 852,752 | c | 858,350 | ||||
Emerald TopCo, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | 5.20 | 7/26/2026 | 188,401 | c | 187,896 | ||||
Hyland Software, 2018 Refinancing Term Loan, 1 Month LIBOR +3.25% | 5.40 | 7/1/2024 | 349,174 | c | 350,593 | ||||
Hyland Software, Senior Secured Second Lien Initial Loan, 1 Month LIBOR +7.00% | 8.90 | 7/10/2025 | 207,500 | c | 210,612 | ||||
Mitchell International, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | 5.15 | 12/1/2024 | 197,000 | c | 189,243 | ||||
Quest Software US Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | 6.15 | 5/18/2025 | 871,594 | c | 868,330 | ||||
Rackspace Hosting, Term Loan, 3 Month LIBOR +3.00% | 4.90 | 11/3/2023 | 430,000 | c | 404,798 | ||||
SCS Holdings I, Initial Term Loan, 3 Month LIBOR +4.25% | 6.29 | 7/3/2026 | 373,748 | c | 374,402 | ||||
Ultimate Software Group, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | 5.64 | 5/3/2026 | 409,252 | c | 411,724 | ||||
Unit4, Facility B3 Term Loan, 1 Month EURIBOR +4.50% @ Floor | EUR | 4.50 | 9/30/2023 | 1,987,635 | c | 2,180,197 | |||
10,539,380 | |||||||||
Insurance - 5.9% | |||||||||
Alliant Holdings Intermediate, 2018 Initial Term Loan, 1 Month LIBOR +3.00% | 4.90 | 5/10/2025 | 810,000 | c | 803,168 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Insurance - 5.9% (continued) | |||||||||
AssuredPartners, 2017 September Refinancing Term Loan, 1 Month LIBOR +3.50% | 5.14 | 10/22/2024 | 591,497 | c | 590,574 | ||||
Asurion, Second Lien Replacement B-2 Term Loan, 1 Month LIBOR +6.50% | 8.48 | 8/4/2025 | 3,750,000 | c | 3,786,337 | ||||
HUB International, Term Loan, 3 Month LIBOR +4.00% | 5.90 | 4/25/2025 | 550,337 | c | 552,599 | ||||
Mayfield Agency Borrower, First Lien Term B Loan, 1 Month LIBOR +4.50% | 6.42 | 2/28/2025 | 87,351 | c | 81,891 | ||||
Mayfield Agency Borrower, Second Lien Term B Loan, 1 Month LIBOR +8.50% | 10.42 | 2/28/2026 | 578,000 | c | 583,419 | ||||
Sedgwick CMS, Term B Loan, 1 Month LIBOR +4.00% | 5.92 | 9/4/2026 | 226,647 | c | 226,647 | ||||
Sedgwick CMS, Term Loan, 1 Month LIBOR +3.25% | 5.34 | 12/31/2025 | 745,000 | c | 733,292 | ||||
USI, Term Loan, 3 Month LIBOR +4.00% | 5.94 | 11/20/2026 | 612,883 | c | 613,649 | ||||
7,971,576 | |||||||||
Internet Software & Services - 1.1% | |||||||||
Web.com Group, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | 5.75 | 10/11/2025 | 835,290 | c | 822,552 | ||||
Web.com Group, Second Lien Initial Term Loan, 1 Month LIBOR +7.75% | 9.75 | 10/11/2026 | 112,586 | c | 108,576 | ||||
WeddingWire, First Lien Initial Term Loan, 1 Month LIBOR +4.50% | 6.63 | 12/21/2025 | 602,112 | c | 603,618 | ||||
1,534,746 | |||||||||
Materials - 3.1% | |||||||||
Ball Metalpack Finco, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | 6.40 | 7/31/2025 | 746,158 | c | 640,450 | ||||
Charter NEX US, Incremental Term Loan, 1 Month LIBOR +3.50% | 5.40 | 5/16/2024 | 428,132 | c | 429,158 | ||||
Flex Acquisition, Incremental B-2018 Term Loan, 3 Month LIBOR +3.25% | 5.35 | 6/29/2025 | 745,000 | c | 724,326 | ||||
Fort Dearborn Holding, First Lien Initial Term Loan, 1-3 Month LIBOR +4.00% | 5.95 | 10/19/2023 | 248,087 | c | 240,644 | ||||
LABL, Initial Dollar Term Loan, 1 Month LIBOR +4.50% | 6.20 | 7/2/2026 | 353,218 | c | 353,513 | ||||
Murray Energy, Superpriority Term B-2 Loan, 1 Month LIBOR +7.25% | 9.28 | 10/17/2022 | 488,400 | c,e | 113,065 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Materials - 3.1% (continued) | |||||||||
Plaze, Initial Term Loan, 3 Month LIBOR +3.50% | 5.39 | 8/3/2026 | 220,292 | c | 219,098 | ||||
Tecomet, 2017 First Lien Term Loan, 1 Month LIBOR +3.25% | 5.17 | 5/1/2024 | 450,000 | c | 450,376 | ||||
TricorBraun, First Lien Closing Date Term Loan, 3 Month LIBOR +3.75% | 5.67 | 11/30/2023 | 987,318 | c | 971,891 | ||||
4,142,521 | |||||||||
Media - 1.3% | |||||||||
Diamond Sports Group, Term B Loan, 3 Month LIBOR +3.25% | 5.17 | 8/24/2026 | 461,655 | c | 461,222 | ||||
NEP Group, First Lien Initial Dollar Term Loan, 1 Month LIBOR +3.25% | 5.19 | 10/20/2025 | 175,000 | c | 165,025 | ||||
NEP Group, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% | 8.94 | 10/19/2026 | 407,263 | c | 372,645 | ||||
Univision Communications, 2017 Replacement Term Loan, 1 Month LIBOR +2.75% | 4.89 | 3/15/2024 | 127,000 | c | 124,590 | ||||
WideOpenWest Finance, Refinancing Term B Loan, 1 Month LIBOR +3.25% | 5.22 | 8/19/2023 | 681,729 | c | 664,345 | ||||
1,787,827 | |||||||||
Retailing - 4.2% | |||||||||
1011778 BC, Term Loan, 1 Month LIBOR +1.75% | 3.45 | 11/14/2026 | 131,032 | c | 131,163 | ||||
Bass Pro Group, Initial Term Loan, 1 Month LIBOR +5.00% | 6.93 | 9/25/2024 | 890,909 | c | 877,545 | ||||
Comfort Holding, First Lien Initial Term Loan, 1 Month LIBOR + 4.75% | 6.64 | 2/3/2024 | 734,925 | c | 727,575 | ||||
EG Finco, Term Loan, 3 Month LIBOR +4.75% | GBP | 5.51 | 2/5/2025 | 2,280,231 | c | 2,850,650 | |||
Staples, 2019 Refinancing New Term B-1 Loan, 3 Month LIBOR +5.00% | 7.00 | 4/12/2026 | 848,747 | c | 839,585 | ||||
Talbots, First Lien Initial Term Loan, 1 Month LIBOR +7.00% | 8.92 | 11/28/2022 | 217,442 | c | 210,919 | ||||
5,637,437 | |||||||||
Semiconductors & Semiconductor Equipment - .3% | |||||||||
Natel Engineering, Initial Term Loan, 1 Month LIBOR +5.00% | 6.90 | 4/30/2026 | 253,042 | c | 244,185 | ||||
Ultra Clean Holdings, Term Loan, 3 Month LIBOR +4.50% @ Floor | 4.50 | 8/27/2025 | 165,000 | c | 165,206 | ||||
409,391 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 66.3% (continued) | |||||||||
Technology Hardware & Equipment - 2.0% | |||||||||
Mcafee, Second Lien Initial Term Loan, 1 Month LIBOR +8.50% | 10.60 | 9/28/2025 | 405,682 | c | 409,029 | ||||
McAfee, Term B USD Loan, 1 Month LIBOR +3.75% | 5.64 | 9/29/2024 | 971,551 | c | 973,679 | ||||
Perforce Software, First Lien Term Loan, 1 Month LIBOR +4.50% | 6.20 | 7/8/2026 | 350,000 | c | 349,344 | ||||
Sandvine, First Lien Initial Term Loan, 1 Month LIBOR +4.50% | 6.39 | 11/2/2025 | 265,483 | c | 261,501 | ||||
VeriFone Systems, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | 5.90 | 8/20/2025 | 750,000 | c | 726,094 | ||||
2,719,647 | |||||||||
Telecommunication Services - 4.2% | |||||||||
Altice France, Incremental Term B-13 Loan, 1 Month LIBOR +4.00% | 5.90 | 8/14/2026 | 1,295,000 | c | 1,288,926 | ||||
CommScope, Initial Term Loan, 1 Month LIBOR +3.25% | 5.28 | 4/4/2026 | 692,201 | c | 689,027 | ||||
Connect Finco, Term Loan B, 1 Month LIBOR +4.50% | 6.20 | 9/23/2026 | 705,000 | c | 702,885 | ||||
Intelsat Jackson Holdings, Tranche B-4 Term Loan, 1 Month LIBOR +4.50% | 6.56 | 1/2/2024 | 211,190 | c | 210,286 | ||||
Iridium Satellite, Term Loan, 1 Month LIBOR +3.75% | 5.55 | 11/4/2026 | 1,117,704 | c | 1,130,105 | ||||
MTN Infrastructure TopCo , Initial Term Loan, 1 Month LIBOR +3.00% | 4.90 | 11/17/2024 | 530,000 | c | 529,504 | ||||
West, Initial Term B Loan, 1 Month LIBOR +4.00% | 5.99 | 10/10/2024 | 1,427,754 | c | 1,161,392 | ||||
5,712,125 | |||||||||
Utilities - 1.4% | |||||||||
Eastern Power, Term B Loan, 1 Month LIBOR +3.75% | 5.66 | 10/2/2023 | 587,928 | c | 589,092 | ||||
Helix Gen Funding, Term Loan, 1 Month LIBOR +3.75% | 5.67 | 6/3/2024 | 1,030,000 | c | 989,547 | ||||
Pike, 2019 New Term Loan, 3 Month LIBOR +3.25% | 4.95 | 7/24/2026 | 310,538 | c | 311,580 | ||||
1,890,219 | |||||||||
Total Floating Rate Loan Interests | 89,345,317 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - .0% | |||||||||
Retailing - .0% | |||||||||
New Look Secured Issuer | 1,589,392 | f | 32,890 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | 1-Day | Shares | Value ($) | ||||||
Investment Companies - 6.6% | |||||||||
Registered Investment Companies - 6.6% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.63 | 8,898,700 | g | 8,898,700 | |||||
Total Investments (cost $211,719,576) | 151.0% | 203,386,189 | |||||||
Liabilities, Less Cash and Receivables | (51.0%) | (68,684,054) | |||||||
Net Assets | 100.0% | 134,702,135 |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security 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 November 30, 2019, these securities were valued at $74,696,358 or 55.45% of net assets.
c Variable rate security—rate shown is the interest rate in effect at period end.
d Collateralized Loan Obligations equity positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the current projection of the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment. The estimated yield and investment cost may ultimately not be realized.
e Non-income producing—security in default.
f Non-income producing security.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2019 (Unaudited)
The following is a summary of the inputs used as of November 30, 2019 in valuing the fund’s investments:
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) | ||||
Investments in Securities: † | ||||
Collateralized Loan Obligations | − | 30,459,382 | − | 30,459,382 |
Corporate Bonds | − | 74,649,900 | − | 74,649,900 |
Equity Securities-Common Stocks | − | 32,890†† | − | 32,890 |
Floating Rate Loan Interests | − | 89,345,317 | − | 89,345,317 |
Investment Companies | 8,898,700 | − | − | 8,898,700 |
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts††† | − | 121,993 | − | 121,993 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts††† | − | (39,657) | − | (39,657) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
††† Amount shown represents unrealized appreciation (depreciation) at period end.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
November 30, 2019 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup | |||||
United States Dollar | 9,497,655 | British Pound | 7,355,000 | 12/19/19 | (23,389) |
Goldman Sachs | |||||
United States Dollar | 26,499,339 | Euro | 23,920,000 | 12/19/19 | 104,604 |
British Pound | 1,530,000 | United States Dollar | 1,978,727 | 12/23/19 | 2,286 |
United States Dollar | 11,380,000 | British Pound | 8,797,933 | 12/23/19 | (11,385) |
Euro | 1,060,000 | United States Dollar | 1,174,974 | 12/23/19 | (4,883) |
United States Dollar | 3,600,000 | Euro | 3,247,604 | 12/23/19 | 15,103 |
Gross Unrealized Appreciation | 121,993 | ||||
Gross Unrealized Depreciation | (39,657) |
See notes to financial statements.
NOTES
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 Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services
NOTES
(each, a “Service”) approved by the Board Members (“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 the Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted 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.
Options, 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. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates and are
NOTES
generally categorized within Level 2 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.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest on the loans adjust periodically by reference to a base lending rate, such as the London Interbank Offered Rate (“LIBOR”) plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
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 November 30, 2019 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At November 30, 2019, accumulated net unrealized depreciation on investments was $8,333,387, consisting of $2,420,942 gross unrealized appreciation and $10,754,329 gross unrealized depreciation.
At November 30, 2019, 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.