STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
May 31, 2022 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% | | | | | |
Advertising - .7% | | | | | |
Advantage Sales & Marketing, Sr. Scd. Notes | | 6.50 | | 11/15/2028 | | 585,000 | c | 522,063 | |
Clear Channel Outdoor Holdings, Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 365,000 | c | 336,055 | |
| | 858,118 | |
Aerospace & Defense - .8% | | | | | |
Bombardier, Sr. Unscd. Notes | | 7.50 | | 12/1/2024 | | 190,000 | c | 184,632 | |
TransDigm, Gtd. Notes | | 4.88 | | 5/1/2029 | | 348,000 | | 313,052 | |
TransDigm, Gtd. Notes | | 5.50 | | 11/15/2027 | | 550,000 | | 527,277 | |
| | 1,024,961 | |
Agriculture - .0% | | | | | |
Darling Ingredients, Sr. Unscd. Notes | | 6.00 | | 6/15/2030 | | 33,000 | | 33,000 | |
Airlines - 1.3% | | | | | |
American Airlines, Sr. Scd. Notes | | 5.50 | | 4/20/2026 | | 780,000 | c | 772,434 | |
American Airlines Group, Gtd. Notes | | 3.75 | | 3/1/2025 | | 221,000 | c | 197,847 | |
Hawaiian Brand Intellectual Property, Sr. Scd. Notes | | 5.75 | | 1/20/2026 | | 450,000 | c | 447,498 | |
United Airlines, Sr. Scd. Notes | | 4.38 | | 4/15/2026 | | 270,000 | c | 260,972 | |
| | 1,678,751 | |
Automobiles & Components - 1.1% | | | | | |
Clarios Global, Sr. Scd. Bonds | EUR | 4.38 | | 5/15/2026 | | 280,000 | c | 279,515 | |
Dealer Tire, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 527,000 | c | 487,151 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | EUR | 3.63 | | 5/15/2025 | | 360,000 | c,d | 362,865 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 294,000 | c | 211,783 | |
| | 1,341,314 | |
Building Materials - 1.3% | | | | | |
CP Atlas Buyer, Sr. Unscd. Notes | | 7.00 | | 12/1/2028 | | 440,000 | c | 361,612 | |
Eco Material Technologies, Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 381,000 | c | 361,251 | |
Griffon, Gtd. Notes | | 5.75 | | 3/1/2028 | | 395,000 | | 381,872 | |
JELD-WEN, Gtd. Notes | | 4.63 | | 12/15/2025 | | 230,000 | c | 212,620 | |
PCF GmbH, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2026 | | 350,000 | c | 334,411 | |
| | 1,651,766 | |
Chemicals - 2.7% | | | | | |
Consolidated Energy Finance, Gtd. Notes | EUR | 5.00 | | 10/15/2028 | | 140,000 | c | 131,493 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Chemicals - 2.7% (continued) | | | | | |
Consolidated Energy Finance, Gtd. Notes | | 5.63 | | 10/15/2028 | | 435,000 | c | 398,828 | |
Herens Midco, Gtd. Notes | EUR | 5.25 | | 5/15/2029 | | 710,000 | c | 584,059 | |
Innophos Holdings, Sr. Unscd. Notes | | 9.38 | | 2/15/2028 | | 530,000 | c | 551,200 | |
Iris Holdings, Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 247,000 | c,d | 233,268 | |
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% | EUR | 4.75 | | 9/30/2024 | | 445,000 | c,e | 456,471 | |
Olympus Water US Holding, Sr. Scd. Notes | | 4.25 | | 10/1/2028 | | 279,000 | c | 254,522 | |
Olympus Water US Holding, Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 320,000 | c | 252,879 | |
Polar US Borrower, Sr. Unscd. Notes | | 6.75 | | 5/15/2026 | | 212,000 | c | 170,561 | |
SCIL IV, Sr. Scd. Notes | | 5.38 | | 11/1/2026 | | 200,000 | c | 186,218 | |
Venator Finance, Gtd. Notes | | 5.75 | | 7/15/2025 | | 211,000 | c | 182,947 | |
| | 3,402,446 | |
Collateralized Loan Obligations Debt - 25.1% | | | | | |
Carlyle Global Market Strategies Euro CLO, Ser. 2014-1A, Cl. ER, 3 Month EURIBOR +4.93% | EUR | 4.93 | | 7/15/2031 | | 1,500,000 | c,e | 1,366,928 | |
Carlyle Global Market Strategies Euro CLO, Ser. 2014-1A, Cl. FR, 3 Month EURIBOR +6.61% | EUR | 6.61 | | 7/15/2031 | | 3,000,000 | c,e | 2,706,042 | |
Carlyle Global Market Strategies Euro CLO, Ser. 2015-3A, Cl. ER, 3 Month EURIBOR +6.44% | EUR | 6.44 | | 7/15/2030 | | 2,000,000 | c,e | 1,806,050 | |
CIFC European Funding II CLO, Ser. 2A, Cl. F, 3 Month EURIBOR +7.70% | EUR | 7.70 | | 4/15/2033 | | 1,000,000 | c,e | 872,016 | |
CIFC Funding CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% | | 6.04 | | 4/18/2031 | | 1,000,000 | c,e | 879,902 | |
Crown Point 9 CLO, Ser. 2020-9A, Cl. ER, 3 Month LIBOR +6.76% | | 7.80 | | 7/14/2034 | | 2,375,000 | c,e | 2,178,804 | |
Euro-Galaxy IV CLO, Ser. 2015-4A, CI. FRR, 3 Month EURIBOR +8.88% | EUR | 8.88 | | 7/30/2034 | | 1,750,000 | c,e | 1,562,473 | |
Franklin Park Place I CLO, Ser. 2022-1A, Cl. E, 3 Month TSFR +7.50% | | 8.27 | | 4/14/2035 | | 1,000,000 | c,e | 882,500 | |
GoldenTree Loan Management EUR 2 CLO, Ser. 2A, Cl. E, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 1/20/2032 | | 1,000,000 | c,e | 910,661 | |
Hayfin Emerald IV CLO, Ser. 4A, Cl. FR, 3 Month EURIBOR +8.68% | EUR | 8.68 | | 10/15/2034 | | 740,000 | c,e | 652,858 | |
ICG Euro CLO, Ser. 2021-1A, Cl. F, 3 Month EURIBOR +8.82% | EUR | 8.82 | | 10/15/2034 | | 1,000,000 | c,e | 887,323 | |
KKR 23 CLO, Ser. 23, Cl. E, 3 Month LIBOR +6.00% | | 7.06 | | 10/20/2031 | | 1,000,000 | c,e | 883,006 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Collateralized Loan Obligations Debt - 25.1% (continued) | | | | | |
KVK CLO, Ser. 2016-1A, CI. FR2, 3 Month LIBOR +7.90% | | 8.94 | | 10/15/2034 | | 1,500,000 | c,e | 1,264,263 | |
Marble Point XII CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +6.00% | | 7.04 | | 7/16/2031 | | 750,000 | c,e | 636,869 | |
OZLM Funding II CLO, Ser. 2012-2A, Cl. DR2, 3 Month LIBOR +5.90% | | 7.19 | | 7/30/2031 | | 2,250,000 | c,e | 1,918,440 | |
OZLM VI CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | | 7.09 | | 4/17/2031 | | 2,000,000 | c,e | 1,699,098 | |
OZLME III CLO, Ser. 3A, Cl. F, 3 Month EURIBOR +6.45% | EUR | 6.45 | | 8/24/2030 | | 1,000,000 | c,e | 910,214 | |
St. Paul's V CLO, Ser. 5A, Cl. FR, 3 Month EURIBOR +6.60% | EUR | 6.60 | | 8/20/2030 | | 4,000,000 | c,e | 3,440,080 | |
TIAA I CLO, Ser. 2016-1A, CI. ER, 3 Month LIBOR +6.20% | | 7.26 | | 7/20/2031 | | 2,131,000 | c,e | 1,767,654 | |
Tikehau CLO, Ser. 2015-1A, Cl. FRR, 3 Month EURIBOR +8.75% | EUR | 8.75 | | 8/4/2034 | | 2,000,000 | c,e | 1,808,554 | |
Venture 45 CLO, Ser. 2022-45A, CI. D1, 3 Month TSFR +4.00% | | 5.08 | | 7/20/2035 | | 1,500,000 | c,e | 1,455,979 | |
Vibrant III CLO, Ser. 2015-3A, Cl. DRR, 3 Month LIBOR +6.35% | | 7.41 | | 10/20/2031 | | 1,000,000 | c,e | 794,051 | |
| | 31,283,765 | |
Collateralized Loan Obligations Equity - .3% | | | | | |
KVK CLO, Ser. 2018-1A, Cl. SUB1 | | 0.00 | | 5/20/2029 | | 4,000,000 | c,f | 46,896 | |
Madison Park Funding X CLO, Ser. 2012-10A, Cl. SUB | | 0.00 | | 1/20/2029 | | 3,000,000 | c,f | 330,000 | |
| | 376,896 | |
Commercial & Professional Services - 4.7% | | | | | |
Adtalem Global Education, Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 433,000 | c | 402,426 | |
Albion Financing 1, Sr. Scd. Notes | EUR | 5.25 | | 10/15/2026 | | 350,000 | c | 354,141 | |
Allied Universal Holdco, Sr. Scd. Notes | | 6.63 | | 7/15/2026 | | 570,000 | c | 565,903 | |
APX Group, Gtd. Notes | | 5.75 | | 7/15/2029 | | 419,000 | c | 355,432 | |
BCP V Modular Services Finance II, Sr. Scd. Bonds | EUR | 4.75 | | 11/30/2028 | | 200,000 | c | 191,156 | |
HealthEquity, Gtd. Notes | | 4.50 | | 10/1/2029 | | 374,000 | c | 349,222 | |
Kapla Holding, Sr. Scd. Bonds | EUR | 3.38 | | 12/15/2026 | | 220,000 | c | 209,537 | |
La Financiere Atalian, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 270,000 | | 254,978 | |
La Financiere Atalian, Gtd. Bonds | EUR | 5.13 | | 5/15/2025 | | 270,000 | c | 254,978 | |
Paysafe Finance, Sr. Scd. Notes | | 4.00 | | 6/15/2029 | | 430,000 | c | 336,344 | |
PECF USS Intermediate Holding III, Sr. Unscd. Notes | | 8.00 | | 11/15/2029 | | 556,000 | c | 468,057 | |
Prime Security Services Borrower, Scd. Notes | | 6.25 | | 1/15/2028 | | 470,000 | c | 433,598 | |
Prime Security Services Borrower, Sr. Scd. Notes | | 5.75 | | 4/15/2026 | | 410,000 | c | 406,000 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Commercial & Professional Services - 4.7% (continued) | | | | | |
Team Health Holdings, Gtd. Notes | | 6.38 | | 2/1/2025 | | 306,000 | c | 234,737 | |
The Hertz, Gtd. Notes | | 4.63 | | 12/1/2026 | | 522,000 | c | 478,778 | |
The Hertz, Gtd. Notes | | 5.00 | | 12/1/2029 | | 56,000 | c | 49,246 | |
Verisure Midholding, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 510,000 | c | 462,738 | |
| | 5,807,271 | |
Consumer Discretionary - 5.8% | | | | | |
Allen Media, Gtd. Notes | | 10.50 | | 2/15/2028 | | 736,000 | c | 509,165 | |
Ashton Woods USA, Sr. Unscd. Notes | | 4.63 | | 8/1/2029 | | 152,000 | c | 131,070 | |
Ashton Woods USA, Sr. Unscd. Notes | | 6.63 | | 1/15/2028 | | 365,000 | c | 343,238 | |
Caesars Entertainment, Sr. Unscd. Notes | | 4.63 | | 10/15/2029 | | 366,000 | c | 312,926 | |
Carnival, Gtd. Notes | | 6.00 | | 5/1/2029 | | 120,000 | c | 101,608 | |
Carnival, Sr. Unscd. Notes | | 5.75 | | 3/1/2027 | | 84,000 | c | 74,673 | |
Carnival, Sr. Unscd. Notes | | 7.63 | | 3/1/2026 | | 742,000 | c | 697,064 | |
Everi Holdings, Gtd. Notes | | 5.00 | | 7/15/2029 | | 166,000 | c | 147,861 | |
International Game Technology, Sr. Scd. Notes | | 4.13 | | 4/15/2026 | | 310,000 | c | 299,420 | |
Maison Finco, Sr. Scd. Bonds | GBP | 6.00 | | 10/31/2027 | | 208,000 | c | 232,287 | |
Melco Resorts Finance, Sr. Unscd. Notes | | 4.88 | | 6/6/2025 | | 630,000 | c | 546,966 | |
NCL, Gtd. Notes | | 5.88 | | 3/15/2026 | | 319,000 | c | 287,963 | |
NCL, Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 278,000 | c | 259,459 | |
NCL, Sr. Unscd. Notes | | 3.63 | | 12/15/2024 | | 630,000 | c | 566,628 | |
NCL Finance, Gtd. Notes | | 6.13 | | 3/15/2028 | | 152,000 | c | 128,072 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.38 | | 7/15/2027 | | 270,000 | c | 229,753 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 229,000 | c | 201,357 | |
Royal Caribbean Cruises, Sr. Unscd. Notes | | 5.50 | | 4/1/2028 | | 559,000 | c | 472,749 | |
Scientific Games Holdings, Sr. Unscd. Notes | | 6.63 | | 3/1/2030 | | 199,000 | c | 184,960 | |
TUI Cruises GmbH, Sr. Unscd. Notes | EUR | 6.50 | | 5/15/2026 | | 389,000 | c | 370,669 | |
Wynn Las Vegas, Gtd. Notes | | 5.50 | | 3/1/2025 | | 760,000 | c | 742,767 | |
Wynn Macau, Sr. Unscd. Notes | | 4.88 | | 10/1/2024 | | 430,000 | c | 367,590 | |
| | 7,208,245 | |
Consumer Staples - .4% | | | | | |
Kronos Acquisition Holdings, Sr. Scd. Notes | | 5.00 | | 12/31/2026 | | 560,000 | c | 507,858 | |
Diversified Financials - 3.1% | | | | | |
Compass Group Diversified Holdings, Gtd. Notes | | 5.25 | | 4/15/2029 | | 300,000 | c | 271,195 | |
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 375,000 | c | 448,704 | |
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 500,000 | | 598,272 | |
Icahn Enterprises, Gtd. Notes | | 4.38 | | 2/1/2029 | | 330,000 | | 300,115 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Diversified Financials - 3.1% (continued) | | | | | |
Nationstar Mortgage Holdings, Gtd. Notes | | 5.13 | | 12/15/2030 | | 300,000 | c | 269,215 | |
Navient, Sr. Unscd. Notes | | 5.00 | | 3/15/2027 | | 410,000 | | 378,088 | |
Navient, Sr. Unscd. Notes | | 5.50 | | 3/15/2029 | | 146,000 | | 127,768 | |
Navient, Sr. Unscd. Notes | | 6.75 | | 6/15/2026 | | 465,000 | | 457,916 | |
PennyMac Financial Services, Gtd. Notes | | 5.38 | | 10/15/2025 | | 390,000 | c | 379,595 | |
PennyMac Financial Services, Gtd. Notes | | 5.75 | | 9/15/2031 | | 758,000 | c | 658,956 | |
| | 3,889,824 | |
Electronic Components - .3% | | | | | |
Energizer Gamma Acquisition, Gtd. Bonds | EUR | 3.50 | | 6/30/2029 | | 240,000 | c | 205,963 | |
TTM Technologies, Gtd. Notes | | 4.00 | | 3/1/2029 | | 250,000 | c | 221,749 | |
| | 427,712 | |
Energy - 4.8% | | | | | |
Antero Midstream Partners, Gtd. Notes | | 5.75 | | 3/1/2027 | | 330,000 | c | 331,644 | |
Archrock Partners, Gtd. Notes | | 6.25 | | 4/1/2028 | | 618,000 | c | 603,635 | |
Blue Racer Midstream, Sr. Unscd. Notes | | 7.63 | | 12/15/2025 | | 375,000 | c | 379,457 | |
Colgate Energy Partners III, Sr. Unscd. Notes | | 5.88 | | 7/1/2029 | | 300,000 | c | 289,500 | |
CQP Holdco, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 500,000 | c | 474,219 | |
Crestwood Midstream Partners, Gtd. Notes | | 5.63 | | 5/1/2027 | | 25,000 | c | 24,169 | |
Crestwood Midstream Partners, Gtd. Notes | | 5.75 | | 4/1/2025 | | 180,000 | | 178,868 | |
Crestwood Midstream Partners, Gtd. Notes | | 6.00 | | 2/1/2029 | | 510,000 | c | 482,218 | |
CVR Energy, Gtd. Bonds | | 5.25 | | 2/15/2025 | | 260,000 | c | 256,069 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 4.00 | | 8/1/2024 | | 570,000 | | 572,850 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 4.75 | | 1/15/2031 | | 210,000 | c | 182,580 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 239,000 | | 227,352 | |
EQM Midstream Partners, Sr. Unscd. Notes | | 7.50 | | 6/1/2027 | | 69,000 | | 69,000 | |
Genesis Energy, Gtd. Notes | | 6.50 | | 10/1/2025 | | 460,000 | | 445,331 | |
Matador Resources, Gtd. Notes | | 5.88 | | 9/15/2026 | | 303,000 | | 306,400 | |
Rockcliff Energy II, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 584,000 | c | 553,136 | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 9/1/2027 | | 370,000 | | 357,109 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Energy - 4.8% (continued) | | | | | |
USA Compression Partners, Gtd. Notes | | 6.88 | | 4/1/2026 | | 190,000 | | 185,888 | |
| | 5,919,425 | |
Environmental Control - .6% | | | | | |
Covanta Holding, Gtd. Notes | | 4.88 | | 12/1/2029 | | 92,000 | c | 81,098 | |
Harsco, Gtd. Notes | | 5.75 | | 7/31/2027 | | 425,000 | c | 366,945 | |
Verde Bidco, Sr. Scd. Notes | EUR | 4.63 | | 10/1/2026 | | 132,000 | c | 130,844 | |
Waste Pro USA, Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 245,000 | c | 220,965 | |
| | 799,852 | |
Health Care - 4.2% | | | | | |
Bausch Health, Sr. Scd. Notes | | 4.88 | | 6/1/2028 | | 130,000 | c | 111,911 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 470,000 | c | 425,491 | |
Chrome Holdco, Gtd. Notes | EUR | 5.00 | | 5/31/2029 | | 430,000 | c | 398,153 | |
Cidron Aida Finco, Sr. Scd. Bonds | EUR | 5.00 | | 4/1/2028 | | 640,000 | c | 622,271 | |
Cidron Aida Finco, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 453,000 | c | 511,639 | |
Community Health Systems, Scd. Notes | | 6.13 | | 4/1/2030 | | 390,000 | c | 284,700 | |
Community Health Systems, Scd. Notes | | 6.88 | | 4/15/2029 | | 227,000 | c | 177,742 | |
Community Health Systems, Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 170,000 | c | 146,746 | |
Community Health Systems, Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 236,000 | c | 220,252 | |
Mozart Debt Merger Sub, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 502,000 | c | 445,324 | |
Nidda Healthcare Holding GmbH, Sr. Scd. Notes | EUR | 3.50 | | 9/30/2024 | | 650,000 | c | 649,746 | |
Organon & Co., Sr. Unscd. Notes | | 5.13 | | 4/30/2031 | | 250,000 | c | 240,694 | |
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | | 7.25 | | 2/1/2028 | | 552,000 | c | 585,199 | |
Prime Healthcare Services, Sr. Scd. Notes | | 7.25 | | 11/1/2025 | | 480,000 | c | 459,221 | |
| | 5,279,089 | |
Industrial - 1.2% | | | | | |
Norican A/S, Sr. Scd. Bonds | EUR | 4.50 | | 5/15/2023 | | 545,000 | | 542,677 | |
Promontoria Holding 264, Sr. Scd. Bonds | EUR | 6.38 | | 3/1/2027 | | 272,000 | c | 266,071 | |
Titan Acquisition, Sr. Unscd. Notes | | 7.75 | | 4/15/2026 | | 136,000 | c | 128,806 | |
TK Elevator US Newco, Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 580,000 | c | 566,295 | |
| | 1,503,849 | |
Information Technology - .4% | | | | | |
Boxer Parent, Sr. Scd. Notes | EUR | 6.50 | | 10/2/2025 | | 230,000 | c | 241,493 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Information Technology - .4% (continued) | | | | | |
Minerva Merger Sub, Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 280,000 | c | 257,396 | |
| | 498,889 | |
Insurance - .3% | | | | | |
AssuredPartners, Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 440,000 | c | 383,856 | |
Internet Software & Services - 1.4% | | | | | |
Endurance International Group Holdings, Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 391,000 | c | 294,059 | |
Northwest Fiber, Sr. Scd. Notes | | 4.75 | | 4/30/2027 | | 99,000 | c | 88,422 | |
Northwest Fiber, Sr. Unscd. Notes | | 6.00 | | 2/15/2028 | | 580,000 | c | 467,970 | |
TripAdvisor, Gtd. Notes | | 7.00 | | 7/15/2025 | | 97,000 | c | 100,566 | |
United Group, Sr. Scd. Bonds | EUR | 3.13 | | 2/15/2026 | | 560,000 | c | 516,786 | |
United Group, Sr. Scd. Bonds | EUR | 5.25 | | 2/1/2030 | | 250,000 | c | 222,812 | |
| | 1,690,615 | |
Materials - 3.3% | | | | | |
ARD Finance, Sr. Scd. Notes | EUR | 5.00 | | 6/30/2027 | | 270,000 | c,d | 229,959 | |
ARD Finance, Sr. Scd. Notes | | 6.50 | | 6/30/2027 | | 365,000 | c,d | 287,166 | |
Ardagh Packaging Finance, Gtd. Notes | GBP | 4.75 | | 7/15/2027 | | 250,000 | c | 251,081 | |
Ardagh Packaging Finance, Sr. Scd. Notes | | 5.25 | | 4/30/2025 | | 200,000 | c | 199,663 | |
CANPACK, Gtd. Notes | | 3.13 | | 11/1/2025 | | 230,000 | c | 213,915 | |
Graham Packaging, Gtd. Notes | | 7.13 | | 8/15/2028 | | 390,000 | c | 320,597 | |
Kleopatra Finco, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 440,000 | c | 405,696 | |
LABL, Sr. Scd. Notes | | 5.88 | | 11/1/2028 | | 127,000 | c | 116,443 | |
LABL, Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 155,000 | c | 149,903 | |
LABL, Sr. Unscd. Notes | | 8.25 | | 11/1/2029 | | 484,000 | c | 406,705 | |
LABL, Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 56,000 | c | 54,046 | |
Mauser Packaging Solutions Holding, Sr. Scd. Bonds | EUR | 4.75 | | 4/15/2024 | | 435,000 | c | 450,590 | |
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | | 7.25 | | 4/15/2025 | | 1,028,000 | c | 995,361 | |
| | 4,081,125 | |
Media - 5.4% | | | | | |
Altice Financing, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 610,000 | c | 547,039 | |
Altice Finco, Scd. Notes | EUR | 4.75 | | 1/15/2028 | | 860,000 | c | 772,671 | |
AMC Networks, Gtd. Notes | | 4.75 | | 8/1/2025 | | 380,000 | | 375,009 | |
CCO Holdings, Sr. Unscd. Notes | | 4.75 | | 3/1/2030 | | 390,000 | c | 360,335 | |
CSC Holdings, Gtd. Notes | | 5.38 | | 2/1/2028 | | 520,000 | c | 494,920 | |
CSC Holdings, Gtd. Notes | | 5.50 | | 4/15/2027 | | 380,000 | c | 380,958 | |
CSC Holdings, Sr. Unscd. Notes | | 5.75 | | 1/15/2030 | | 590,000 | c | 494,184 | |
DISH DBS, Gtd. Notes | | 5.13 | | 6/1/2029 | | 350,000 | | 247,618 | |
DISH DBS, Gtd. Notes | | 5.88 | | 11/15/2024 | | 280,000 | | 257,988 | |
DISH DBS, Sr. Scd. Bonds | | 5.25 | | 12/1/2026 | | 136,000 | c | 115,318 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Media - 5.4% (continued) | | | | | |
DISH DBS, Sr. Scd. Notes | | 5.75 | | 12/1/2028 | | 136,000 | c | 111,262 | |
Nexstar Media, Gtd. Notes | | 5.63 | | 7/15/2027 | | 300,000 | c | 299,629 | |
Radiate Holdco, Sr. Unscd. Notes | | 6.50 | | 9/15/2028 | | 590,000 | c | 491,352 | |
Scripps Escrow II, Sr. Unscd. Notes | | 5.38 | | 1/15/2031 | | 423,000 | c | 371,394 | |
Sinclair Television Group, Gtd. Notes | | 5.50 | | 3/1/2030 | | 330,000 | c | 269,338 | |
TEGNA, Gtd. Notes | | 5.00 | | 9/15/2029 | | 275,000 | | 271,921 | |
UPC Broadband Finco, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 320,000 | c | 293,900 | |
Virgin Media Finance, Gtd. Notes | | 5.00 | | 7/15/2030 | | 290,000 | c | 259,428 | |
Ziggo Bond, Gtd. Notes | | 5.13 | | 2/28/2030 | | 330,000 | c | 293,799 | |
| | 6,708,063 | |
Metals & Mining - .3% | | | | | |
Arconic, Scd. Notes | | 6.13 | | 2/15/2028 | | 300,000 | c | 294,661 | |
Hudbay Minerals, Gtd. Notes | | 4.50 | | 4/1/2026 | | 53,000 | c | 47,200 | |
| | 341,861 | |
Real Estate - 1.8% | | | | | |
Brookfield Property REIT, Sr. Scd. Notes | | 4.50 | | 4/1/2027 | | 280,000 | c | 261,797 | |
Flamingo Lux II, Sr. Unscd. Notes | EUR | 5.00 | | 3/31/2029 | | 687,000 | c | 620,299 | |
Iron Mountain, Gtd. Notes | | 5.25 | | 7/15/2030 | | 380,000 | c | 363,447 | |
Ladder Capital Finance Holdings, Gtd. Notes | | 5.25 | | 10/1/2025 | | 380,000 | c | 364,585 | |
Starwood Property Trust, Sr. Unscd. Notes | | 3.75 | | 12/31/2024 | | 270,000 | c | 260,738 | |
VICI Properties, Gtd. Notes | | 4.25 | | 12/1/2026 | | 366,000 | c | 348,081 | |
| | 2,218,947 | |
Retailing - 3.2% | | | | | |
Asbury Automotive Group, Gtd. Notes | | 4.63 | | 11/15/2029 | | 82,000 | c | 75,825 | |
Asbury Automotive Group, Gtd. Notes | | 4.75 | | 3/1/2030 | | 160,000 | | 145,552 | |
BCPE Ulysses Intermediate, Sr. Unscd. Notes | | 7.75 | | 4/1/2027 | | 562,000 | c,d | 453,442 | |
eG Global Finance, Sr. Scd. Notes | EUR | 4.38 | | 2/7/2025 | | 370,000 | c | 376,137 | |
Fertitta Entertainment, Gtd. Notes | | 6.75 | | 1/15/2030 | | 208,000 | c | 180,613 | |
Fertitta Entertainment, Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 112,000 | c | 102,112 | |
LBM Acquisition, Gtd. Notes | | 6.25 | | 1/15/2029 | | 191,000 | c | 148,443 | |
Macy's Retail Holdings, Gtd. Notes | | 4.50 | | 12/15/2034 | | 420,000 | | 314,187 | |
Macy's Retail Holdings, Gtd. Notes | | 5.88 | | 3/15/2030 | | 148,000 | c | 135,321 | |
Shiba Bidco, Sr. Scd. Bonds | EUR | 4.50 | | 10/31/2028 | | 291,000 | c | 279,601 | |
Staples, Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 450,000 | c | 416,407 | |
Staples, Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 179,000 | c | 147,100 | |
The Michaels Companies, Sr. Scd. Notes | | 5.25 | | 5/1/2028 | | 280,000 | c | 230,790 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Bonds and Notes - 80.0% (continued) | | | | | |
Retailing - 3.2% (continued) | | | | | |
The Michaels Companies, Sr. Unscd. Notes | | 7.88 | | 5/1/2029 | | 259,000 | c | 186,038 | |
The Very Group Funding, Sr. Scd. Bonds | GBP | 6.50 | | 8/1/2026 | | 358,000 | c | 381,148 | |
White Cap Parent, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 383,000 | c,d | 353,643 | |
| | 3,926,359 | |
Telecommunication Services - 4.2% | | | | | |
Altice France, Sr. Scd. Notes | | 5.13 | | 7/15/2029 | | 430,000 | c | 376,164 | |
Altice France, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 426,000 | c | 370,347 | |
Altice France, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 200,000 | c | 178,354 | |
Altice France Holding, Gtd. Notes | EUR | 4.00 | | 2/15/2028 | | 130,000 | c | 111,047 | |
Altice France Holding, Gtd. Notes | | 6.00 | | 2/15/2028 | | 350,000 | c | 293,039 | |
Altice France Holding, Sr. Scd. Notes | | 10.50 | | 5/15/2027 | | 200,000 | c | 196,903 | |
CommScope, Gtd. Notes | | 8.25 | | 3/1/2027 | | 354,000 | c | 312,051 | |
Connect Finco, Sr. Scd. Notes | | 6.75 | | 10/1/2026 | | 915,000 | c | 879,274 | |
Embarq, Sr. Unscd. Notes | | 8.00 | | 6/1/2036 | | 55,000 | | 46,438 | |
Eolo, Sr. Scd. Bonds | EUR | 4.88 | | 10/21/2028 | | 187,000 | c | 183,138 | |
Lorca Telecom Bondco, Sr. Scd. Bonds | EUR | 4.00 | | 9/18/2027 | | 450,000 | c | 453,302 | |
PLT VII Finance, Sr. Scd. Notes | EUR | 4.63 | | 1/5/2026 | | 360,000 | c | 363,183 | |
TalkTalk Telecom Group, Gtd. Notes | GBP | 3.88 | | 2/20/2025 | | 290,000 | | 325,522 | |
ViaSat, Sr. Unscd. Notes | | 5.63 | | 9/15/2025 | | 800,000 | c | 760,768 | |
WP/AP Telecom Holdings III, Sr. Unscd. Notes | EUR | 5.50 | | 1/15/2030 | | 360,000 | c | 326,695 | |
| | 5,176,225 | |
Transportation - .3% | | | | | |
First Transit Parent, Sr. Scd. Notes | | 4.00 | | 7/31/2029 | | 410,000 | c | 364,305 | |
Utilities - 1.0% | | | | | |
Calpine, Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 545,000 | c | 486,750 | |
Energia Group ROI Holdings, Sr. Scd. Notes | GBP | 4.75 | | 9/15/2024 | | 505,000 | | 605,106 | |
Pike, Gtd. Notes | | 5.50 | | 9/1/2028 | | 145,000 | c | 122,941 | |
| | 1,214,797 | |
Total Bonds and Notes
(cost $113,764,765) | | 99,599,184 | |
| | | | | | | | | |
Floating Rate Loan Interests - 60.2% | | | | | |
Advertising - 2.2% | | | | | |
ABG Intermediate Holdings 2, 2021 Refinancing Term Loan, 3 Month LIBOR +3.25% | | 4.31 | | 9/29/2024 | | 539,619 | e | 530,513 | |
Advantage Sales & Marketing, Term Loan B-1, 3 Month LIBOR +4.50% | | 5.56 | | 10/28/2027 | | 417,292 | e | 390,116 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Advertising - 2.2% (continued) | | | | | |
Clear Channel Outdoor Holdings, Term Loan B, 3 Month LIBOR +3.50% | | 4.74 | | 8/21/2026 | | 577,703 | e | 529,924 | |
Polyconcept North America Holdings, Initial Term Loan, 3 Month Term SOFR +5.50% | | 6.81 | | 5/12/2029 | | 283,333 | e | 275,542 | |
Red Ventures, First Lien Term Loan B-3, 1 Month LIBOR +3.50% | | 4.56 | | 11/8/2024 | | 147,088 | e | 142,492 | |
Red Ventures, Term Loan B-2, 1 Month LIBOR +2.50% | | 3.56 | | 11/8/2024 | | 227,059 | e | 217,267 | |
Summer BC Holdco B, USD Additional Facility Term Loan B-2, 3 Month LIBOR +4.50% | | 5.51 | | 12/4/2026 | | 507,536 | e | 480,256 | |
Terrier Media Buyer, 2021 Refinancing Term Loan B, 1 Month LIBOR +3.50% | | 4.56 | | 12/17/2026 | | 198,606 | e | 191,159 | |
| | 2,757,269 | |
Automobiles & Components - .3% | | | | | |
Clarios Global, First Lien Amendment No. 1 Dollar Term Loan, 1 Month LIBOR +3.25% | | 4.01 | | 4/30/2026 | | 359,914 | e | 346,785 | |
Building Materials - 2.2% | | | | | |
BME Group Holding, Facility Term Loan B, 3 Month EURIBOR +3.75% | EUR | 4.25 | | 10/31/2026 | | 1,000,000 | e | 1,008,971 | |
Cornerstone Building, New Term Loan B, 1 Month LIBOR +3.25% | | 4.12 | | 4/12/2028 | | 556,709 | e | 498,950 | |
LSF10 XL Bidco, Facility Term Loan B-4, 1-3 Month EURIBOR +4.00% | EUR | 3.93 | | 4/9/2028 | | 1,280,206 | e | 1,290,535 | |
| | 2,798,456 | |
Chemicals - 1.7% | | | | | |
Albaugh, Term Loan B, 1 Month Term SOFR +3.75% | | 4.75 | | 4/6/2029 | | 489,048 | e | 476,822 | |
Aruba Investment Holding, First Lien Initial Dollar Term Loan, 6 Month LIBOR +3.75% | | 4.97 | | 11/24/2027 | | 168,169 | e | 160,952 | |
Flexsys Holdings, Initial Term Loan, 3 Month LIBOR +5.25% | | 6.31 | | 11/1/2028 | | 470,000 | e | 447,675 | |
LSF11 Skyscraper Holdco, USD Facility Term Loan B-3, 3 Month LIBOR +3.50% | | 4.51 | | 9/30/2027 | | 513,963 | e | 498,544 | |
Polar US Borrower, Initial Term Loan, 3 Month LIBOR +4.75% | | 5.59 | | 10/16/2025 | | 537,607 | e | 517,447 | |
| | 2,101,440 | |
Commercial & Professional Services - 9.7% | | | | | |
Albion Acquisitions, Term Loan B, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 7/31/2026 | | 1,000,000 | e | 1,054,366 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Commercial & Professional Services - 9.7% (continued) | | | | | |
American Auto Auction, First Lien Tranche Term Loan B, 3 Month Term SOFR +5.00% | | 5.80 | | 12/30/2027 | | 588,525 | e | 559,834 | |
APX Group, Initial Term Loan, 1 Month LIBOR +3.50% & 3 Month PRIME +3.50% | | 4.37 | | 7/9/2028 | | 365,877 | e | 349,927 | |
AVSC Holding, Term Loan B-1, 3 Month LIBOR +3.50% | | 4.25 | | 3/1/2025 | | 370,587 | e | 331,144 | |
Boels Topholding, Facility Term Loan B-2, 3 Month EURIBOR +3.25% | EUR | 3.25 | | 2/5/2027 | | 1,000,000 | e | 1,015,675 | |
Cast & Crew, First Lien Incremental Facility No. 2 Incremental Term Loan, 1 Month Term SOFR +3.75% | | 4.78 | | 12/30/2028 | | 4,316 | e | 4,219 | |
Cast & Crew, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 4.56 | | 2/7/2026 | | 265,268 | e | 258,901 | |
CIBT Global, First Lien Term Loan, 3 Month LIBOR +1.00% | | 2.00 | | 6/1/2024 | | 1,010,861 | e | 816,690 | |
Electro Rent, First Lien Initial Term Loan, 3 Month LIBOR +5.00% | | 6.10 | | 1/31/2024 | | 218,620 | e | 215,887 | |
Element Materials Technology, Delayed Draw Term Loan, 1 Month LIBOR +4.25% | | 5.34 | | 4/12/2029 | | 25,277 | e | 24,393 | |
Element Materials Technology, Term Loan, 1 Month LIBOR +4.25% | | 5.34 | | 4/12/2029 | | 54,767 | e | 52,851 | |
Employbridge, Term Loan B, 3 Month LIBOR +4.75% | | 5.76 | | 7/19/2028 | | 286,428 | e | 272,178 | |
Indigocyan Holdco 3, Facility Term Loan B, 3 Month GBPLIBOR +4.75% | GBP | 5.81 | | 12/31/2024 | | 2,000,000 | e | 2,381,589 | |
Minerva Bidco, Term Loan B, 1 Month SONIA +4.50% | GBP | 5.44 | | 7/31/2025 | | 1,000,000 | e | 1,209,696 | |
National Intergovernment, First Lien Initial Term Loan, 3 Month LIBOR +3.50% | | 4.51 | | 5/23/2025 | | 284,167 | e | 277,418 | |
PECF USS Intermediate Holding, Initial Term Loan, 3 Month LIBOR +4.25% | | 5.31 | | 12/15/2028 | | 431,891 | e | 408,137 | |
Praesidiad, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 10/4/2024 | | 1,000,000 | e | 936,898 | |
Pre-Paid Legal Services, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 4.81 | | 12/15/2028 | | 260,973 | e | 252,110 | |
RLG Holdings, First Lien Closing Date Initial Term Loan, 3 Month LIBOR +4.25% | | 5.31 | | 7/8/2028 | | 332,808 | e | 318,802 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Commercial & Professional Services - 9.7% (continued) | | | | | |
Team Health Holdings, Extended Term Loan, 1 Month Term SOFR +5.25% | | 6.28 | | 2/17/2027 | | 289,355 | e | 254,151 | |
Vaco Holdings, Initial Term Loan, 3 Month Term SOFR +5.00% | | 5.80 | | 1/21/2029 | | 291,061 | e | 283,785 | |
Verscend Holding, New Term Loan B, 1 Month LIBOR +4.00% | | 5.06 | | 8/27/2025 | | 771,359 | e | 757,860 | |
| | 12,036,511 | |
Consumer Discretionary - 6.8% | | | | | |
Allen Media, Term Loan B, 3 Month LIBOR +5.50% | | 6.30 | | 2/10/2027 | | 536,008 | e | 509,609 | |
AP Gaming I, Term Loan B, 3 Month Term SOFR +4.00% | | 4.75 | | 2/15/2029 | | 392,048 | e | 377,019 | |
Caesars Resort Collection, Term Loan B-1, 1 Month LIBOR +3.50% | | 4.56 | | 7/20/2025 | | 566,879 | e | 560,467 | |
Carnival, 2021 Advance Incremental Term Loan B, 3 Month LIBOR +3.25% | | 4.00 | | 10/18/2028 | | 246,111 | e | 235,036 | |
Center Parcs Europe, Facility Term Loan B-1, 3 Month EURIBOR +2.00% | EUR | 2.00 | | 9/23/2022 | | 1,048,034 | e | 1,125,117 | |
Center Parcs Europe, Facility Term Loan B-2, 3 Month EURIBOR +2.00% | EUR | 2.00 | | 9/23/2022 | | 620,440 | e | 666,073 | |
Great Canadian Gaming, Term Loan B, 3 Month LIBOR +4.00% | | 4.93 | | 11/1/2026 | | 351,277 | e | 343,373 | |
Scientific Games Holdings, Term Loan B-2, 1 Month Term SOFR +3.50% | | 4.47 | | 4/4/2029 | | 439,418 | e | 422,863 | |
Scientific Games International, Initial Term B Loan, 1 Month Term SOFR +3.00% | | 3.88 | | 4/14/2029 | | 351,201 | e | 343,738 | |
Silk Bidco, Facility Term Loan C, 3 Month EURIBOR +8.00% | EUR | 8.00 | | 6/16/2023 | | 1,000,000 | e | 1,039,234 | |
Stage Entertainment, Facility Term Loan B-2, 6 Month EURIBOR +3.25% | EUR | 3.25 | | 5/2/2026 | | 1,000,000 | e | 1,000,414 | |
Tecta America, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 5.31 | | 4/9/2028 | | 1,150,817 | e | 1,099,030 | |
Travel Leaders Group, 2018 Refinancing Term Loan, 1 Month LIBOR +4.00% | | 5.06 | | 1/25/2024 | | 202,915 | e | 183,638 | |
Varsity Brands Holding, First Lien Initial Term Loan, 1 Month LIBOR +3.50% | | 4.56 | | 12/15/2024 | | 591,357 | e | 564,560 | |
| | 8,470,171 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Consumer Staples - .6% | | | | | |
Kronos Acquisition Holdings, Tranche Term Loan B-1, 3 Month LIBOR +3.75% | | 4.81 | | 12/22/2026 | | 765,219 | e | 709,351 | |
Diversified Financials - .8% | | | | | |
BHN Merger Sub, First Lien Term Loan, 1 Month LIBOR +3.00% | | 4.06 | | 6/15/2025 | | 291,594 | e | 279,930 | |
Russell Investments US, New 2025 Term Loan, 6 Month LIBOR +3.50% | | 5.00 | | 5/30/2025 | | 431,075 | e | 408,849 | |
Tegra118 Wealth Solutions, Initial Term Loan, 3 Month LIBOR +4.00% | | 5.46 | | 2/18/2027 | | 363,525 | e | 355,575 | |
| | 1,044,354 | |
Electronic Components - .8% | | | | | |
ADB Safegate, Facility Term Loan B, 3 Month EURIBOR +3.50% | EUR | 3.50 | | 10/2/2024 | | 1,000,000 | e | 1,000,248 | |
Energy - 2.0% | | | | | |
Freeport LNG Investments, Initial Term Loan B, 3 Month LIBOR +3.50% | | 4.56 | | 12/21/2028 | | 208,470 | e | 202,581 | |
GIP III Stetson I, Initial Term Loan, 1 Month LIBOR +4.25% | | 5.31 | | 7/18/2025 | | 574,874 | e | 547,389 | |
Lucid Energy Group II, First Lien Term Loan, 1 Month LIBOR +4.25% | | 5.26 | | 11/24/2028 | | 570,166 | e | 552,704 | |
Traverse Midstream Partners, Advance Term Loan, 3 Month Term SOFR +4.25% | | 5.38 | | 9/27/2024 | | 749,779 | e | 740,170 | |
WaterBridge Midstream Operating, Initial Term Loan, 3 Month LIBOR +5.75% | | 6.75 | | 6/21/2026 | | 467,030 | e | 449,712 | |
| | 2,492,556 | |
Environmental Control - 1.1% | | | | | |
Northstar Group Services, Term Loan B, 1 Month LIBOR +5.50% | | 6.56 | | 11/12/2026 | | 372,645 | e | 368,453 | |
Packers Holdings, Initial Term Loan, 6 Month LIBOR +3.25% | | 4.00 | | 3/9/2028 | | 220,905 | e | 209,929 | |
Waterlogic USA Holdings, Facility Term Loan B-2, 3 Month LIBOR +4.75% | | 5.76 | | 8/12/2028 | | 863,616 | e | 847,423 | |
| | 1,425,805 | |
Food Products - 1.0% | | | | | |
Sovos Brands Intermediate, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.25 | | 6/8/2028 | | 230,856 | e | 222,920 | |
ZF Invest, Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | | 7/12/2028 | | 1,000,000 | e | 998,740 | |
| | 1,221,660 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Food Service - .2% | | | | | |
TKC Holdings, Term Loan, 6 Month LIBOR +5.50% | | 7.00 | | 5/14/2028 | | 286,168 | e | 281,696 | |
Health Care - 7.6% | | | | | |
Aenova Holding GmbH, Facility Term Loan B-2, 6 Month EURIBOR +4.50% | EUR | 4.50 | | 3/31/2026 | | 1,000,000 | e | 1,040,136 | |
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.51 | | 4/21/2024 | | 593,656 | e | 540,476 | |
Albany Molecular Research, Term Loan, 1-3 Month LIBOR +3.75% | | 4.99 | | 8/30/2026 | | 483,687 | e | 467,010 | |
Auris Luxembourg III, Facility Term Loan B-2, 1 Month LIBOR +3.75% | | 5.58 | | 2/21/2026 | | 427,405 | e | 401,496 | |
Baart Programs, Delayed Draw Term Loan, 3 Month LIBOR +5.00% | | 6.00 | | 6/11/2027 | | 487,165 | e | 481,075 | |
Baart Programs, Term Loan, 3 Month LIBOR +5.00% | | 6.01 | | 6/11/2027 | | 533,562 | e | 526,893 | |
eResearchTechnology, First Lien Initial Term Loan, 3 Month LIBOR +4.50% | | 5.56 | | 2/4/2027 | | 244,605 | e | 236,393 | |
Financiere Verdi I, Facility Term Loan B, 12 Month SONIA +4.50% | GBP | 5.43 | | 4/15/2028 | | 1,000,000 | e | 1,164,962 | |
Gainwell Acquisition, Term Loan B, 3 Month LIBOR +4.00% | | 5.01 | | 10/1/2027 | | 565,588 | e | 554,277 | |
Global Medical Response, 2017-2 New Term Loan, 3 Month LIBOR +4.25% | | 5.31 | | 3/14/2025 | | 287,508 | e | 274,862 | |
Global Medical Response, 2020 Term Loan, 3 Month LIBOR +4.25% | | 5.25 | | 10/2/2025 | | 237,000 | e | 226,483 | |
MED ParentCo, First Lien Initial Term Loan, 1 Month LIBOR +4.25% | | 5.31 | | 8/31/2026 | | 675,751 | e | 636,419 | |
One Call, First Lien Term Loan B, 3 Month LIBOR +5.50% | | 6.69 | | 4/22/2027 | | 1,141,375 | e | 992,996 | |
Pathway Vet Alliance, 2021 Replacement Term Loan, 1 Month LIBOR +3.75% | | 4.76 | | 3/31/2027 | | 227,480 | e | 217,908 | |
Pluto Acquisition I, 2021 First Lien Term Loan, 3 Month LIBOR +4.00% | | 6.08 | | 6/20/2026 | | 120,438 | e | 114,717 | |
Resonetics, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.24 | | 4/28/2028 | | 337,538 | e | 326,288 | |
Sharp Midco, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.01 | | 1/20/2029 | | 229,479 | e | 223,168 | |
Surgery Center Holdings, 2021 New Term Loan, 1 Month LIBOR +3.75% | | 4.60 | | 8/31/2026 | | 594,412 | e | 571,048 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Health Care - 7.6% (continued) | | | | | |
WCG Purchaser, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.01 | | 1/8/2027 | | 483,430 | e | 467,317 | |
| | 9,463,924 | |
Industrial - 1.6% | | | | | |
Osmose Utilities Services, First Lien Initial Term Loan, 1 Month LIBOR +3.25% | | 4.31 | | 6/22/2028 | | 317,441 | e | 297,601 | |
Pro Mach Group, Delayed Draw Term Loan, 3 Month LIBOR +4.00% | | 5.00 | | 8/31/2028 | | 17,008 | e | 16,485 | |
Pro Mach Group, Initial Term Loan, 3 Month LIBOR +4.00% | | 5.00 | | 8/31/2028 | | 247,113 | e | 239,511 | |
Qualtek USA, Tranche Term Loan B, 3 Month LIBOR +6.25% | | 7.49 | | 7/18/2025 | | 297,875 | e | 267,343 | |
SPX FLOW, Term Loan, 1 Month Term SOFR +4.50% | | 5.63 | | 4/5/2029 | | 350,492 | e | 330,997 | |
Titan Acquisition, Initial Term Loan, 3 Month LIBOR +3.00% | | 3.35 | | 3/28/2025 | | 584,770 | e | 562,403 | |
VAC Germany Holding GmbH, Term Loan B, 3 Month LIBOR +4.00% | | 5.01 | | 3/8/2025 | | 336,244 | e | 321,533 | |
| | 2,035,873 | |
Information Technology - 7.8% | | | | | |
Ascend Learning, Initial Term Loan, 1 Month LIBOR +3.50% | | 4.56 | | 12/10/2028 | | 197,199 | e | 188,202 | |
Boxer Parent, 2021 Replacement Dollar Term Loan, 3 Month LIBOR +3.75% | | 4.81 | | 10/2/2025 | | 492,251 | e | 473,794 | |
Camelia Bidco, Facility Term Loan B-1, 3 Month GBPLIBOR +4.75% | GBP | 4.77 | | 10/5/2024 | | 2,000,000 | e | 2,452,785 | |
CT Technologies, 2021 Reprice Term Loan, 1 Month LIBOR +4.25% | | 5.31 | | 12/16/2025 | | 243,376 | e | 233,033 | |
DCert Buyer, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 5.06 | | 10/16/2026 | | 275,913 | e | 270,050 | |
DCert Buyer, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% | | 8.06 | | 2/16/2029 | | 300,000 | e | 295,500 | |
DTI Holdco, Initial Term Loan, 3 Month Term SOFR +4.75% | | 5.72 | | 4/26/2029 | | 430,000 | e | 406,404 | |
EP Purchaser, Closing Date Term Loan, 3 Month LIBOR +3.50% | | 4.51 | | 11/4/2028 | | 450,000 | e | 439,072 | |
Finastra USA, First Lien Dollar Term Loan, 6 Month LIBOR +3.50% | | 4.74 | | 6/13/2024 | | 571,343 | e | 540,236 | |
Finthrive Software Intermediate, Term Loan, 6 Month LIBOR +4.00% | | 4.50 | | 12/17/2028 | | 337,291 | e | 325,486 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Information Technology - 7.8% (continued) | | | | | |
Fintrax International Holdings, Facility New Term Loan B-1, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 5/27/2026 | | 598,086 | e | 635,456 | |
Fintrax International Holdings, New Facility Term Loan B-2, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 5/27/2026 | | 20,096 | e | 21,351 | |
Fintrax International Holdings, New Facility Term Loan B-3, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 5/27/2026 | | 231,100 | e | 245,540 | |
Fintrax International Holdings, New Facility Term Loan B-4, 3 Month EURIBOR +5.25% | EUR | 5.25 | | 5/27/2026 | | 150,718 | e | 160,135 | |
Greeneden US Holdings II, Dollar Term Loan B-4, 1 Month LIBOR +4.00% | | 5.06 | | 12/1/2027 | | 241,129 | e | 234,907 | |
Ivanti Software, First Amendment Term Loan, 3 Month LIBOR +4.00% | | 4.85 | | 12/1/2027 | | 98,586 | e | 89,631 | |
Ivanti Software, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.00 | | 12/1/2027 | | 455,694 | e | 416,748 | |
Mitchell International, Second Lien Initial Term Loan, 3 Month LIBOR +6.50% | | 7.44 | | 10/15/2029 | | 158,974 | e | 154,827 | |
Mitnick Corporate Purchaser, Initial Term Loan, 3 Month Term SOFR +4.85% | | 5.92 | | 4/20/2029 | | 430,000 | e | 418,893 | |
Polaris Newco, Sterling Term Loan, 1 Month SONIA +5.25% | GBP | 6.19 | | 6/4/2028 | | 995,000 | e | 1,198,946 | |
TIBCO Software, Term Loan B-3, 1 Month LIBOR +3.75% | | 4.81 | | 7/3/2026 | | 276,447 | e | 272,646 | |
UKG, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 4.76 | | 5/3/2026 | | 201,924 | e | 196,977 | |
| | 9,670,619 | |
Insurance - 2.4% | | | | | |
Alliant Holdings Intermediate, 2021-2 New Term Loan, 1 Month LIBOR +3.50% | | 4.37 | | 11/12/2027 | | 397,328 | e | 384,059 | |
Asurion, New Term Loan B-4, 1 Month LIBOR +5.25% | | 6.31 | | 1/15/2029 | | 414,791 | e | 373,312 | |
Asurion, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | | 6.31 | | 2/3/2028 | | 1,068,450 | e | 963,165 | |
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | | 5.56 | | 2/28/2025 | | 769,966 | e | 756,130 | |
Sedgwick Claims Management Services, 2019 New Term Loan, 1 Month LIBOR +3.75% | | 4.81 | | 9/3/2026 | | 220,967 | e | 214,141 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Insurance - 2.4% (continued) | | | | | |
Sedgwick Claims Management Services, 2020 Term Loan, 1 Month LIBOR +4.25% | | 5.31 | | 9/3/2026 | | 9,072 | e | 8,913 | |
Sedgwick CMS, Term Loan, 1 Month LIBOR +3.25% | | 4.31 | | 12/31/2025 | | 288,528 | e | 276,987 | |
| | 2,976,707 | |
Internet Software & Services - 1.7% | | | | | |
Endure Digital, Initial Term Loan, 3 Month LIBOR +3.50% | | 4.25 | | 2/10/2028 | | 655,050 | e | 619,022 | |
ION Trading Finance, Initial Dollar Term Loan, 1 Month LIBOR +4.75% | | 5.81 | | 4/1/2028 | | 218,350 | e | 209,928 | |
Proofpoint, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.82 | | 8/31/2028 | | 436,536 | e | 420,235 | |
Weddingwire, Ammendment No. 3 Term Loan, 1 Month Term SOFR +4.50% | | 5.63 | | 12/21/2025 | | 867,027 | e | 851,854 | |
| | 2,101,039 | |
Materials - 2.3% | | | | | |
Berlin Packaging, Tranche Term Loan B-5, 1 Month LIBOR +3.75% | | 4.76 | | 3/11/2028 | | 291,179 | e | 278,023 | |
Charter Nex US, 2021 Refinancing Term Loan, 1 Month LIBOR +3.75% | | 4.51 | | 12/1/2027 | | 117,676 | e | 113,851 | |
Clydesdale Acquisition, Term Loan, 1 Month Term SOFR +4.25% | | 5.38 | | 4/13/2029 | | 425,521 | e | 406,372 | |
Grinding Media, First Lien Initial Term Loan, 1 Month LIBOR +4.00% | | 4.80 | | 10/12/2028 | | 432,887 | e | 412,866 | |
MAR Bidco, USD Facility Term Loan B, 3 Month LIBOR +4.25% | | 4.75 | | 6/28/2028 | | 180,811 | e | 176,065 | |
Mauser Packaging Solutions, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.05 | | 4/3/2024 | | 377,260 | e | 363,922 | |
Pretium PKG Holdings, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 4.97 | | 10/1/2028 | | 107,310 | e | 100,302 | |
Proampac PG Borrower, 2020-1 Term Loan, 3 Month LIBOR +3.75% | | 4.71 | | 11/3/2025 | | 425,777 | e | 407,681 | |
Tecostar Holdings, 2017 First Lien Term Loan, 3 Month LIBOR +3.50% | | 4.50 | | 5/1/2024 | | 361,648 | e | 325,483 | |
Valcour Packaging, Second Lien Initial Term Loan, 3 Month LIBOR +7.00% | | 8.47 | | 9/30/2029 | | 350,000 | e | 311,500 | |
| | 2,896,065 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Media - 2.1% | | | | | |
Banijay Group US Holding, USD Facility Term Loan B, 1 Month LIBOR +3.75% | | 4.55 | | 3/1/2025 | | 314,007 | e | 307,727 | |
CSC Holdings, 2017 Refinancing Term Loan, 1 Month LIBOR +2.25% | | 3.12 | | 7/17/2025 | | 585,479 | e | 558,705 | |
DIRECTV Financing, Closing Date Term Loan, 1 Month LIBOR +5.00% | | 6.06 | | 8/2/2027 | | 1,115,051 | e | 1,082,296 | |
Sinclair Television Group, Term Loan B-2, 3 Month LIBOR +2.50% | | 3.39 | | 9/30/2026 | | 316,990 | e | 301,142 | |
Sinclair Television Group, Term Loan B4, 1 Month Term SOFR +3.75% | | 4.42 | | 4/13/2029 | | 385,075 | e | 367,384 | |
| | 2,617,254 | |
Retailing - 1.5% | | | | | |
Great Outdoors Group, Term Loan B-2, 1 Month LIBOR +3.75% | | 4.81 | | 3/5/2028 | | 463,315 | e | 441,365 | |
LBM Acquisition, First Lien Initial Term Loan, 1 Month LIBOR +3.75% | | 4.81 | | 12/18/2027 | | 355,901 | e | 326,361 | |
New Look Corporate Limited Shareholder Loan, Term Loan, 6 Month GBPLIBOR +0.00% | GBP | 0.00 | | 9/24/2029 | | 24,012 | e | 11,347 | |
Park River Holdings, Initial Term Loan, 3 Month LIBOR +3.25% | | 4.22 | | 12/28/2027 | | 158,379 | e | 146,034 | |
PetSmart, Initial Term Loan, 3 Month LIBOR +3.75% | | 4.50 | | 2/12/2028 | | 192,942 | e | 181,896 | |
Staples, 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | | 6.29 | | 4/12/2026 | | 238,132 | e | 218,486 | |
Woof Holdings, First Lien Initial Term Loan, 3 Month LIBOR +3.75% | | 4.68 | | 12/21/2027 | | 555,161 | e | 532,955 | |
| | 1,858,444 | |
Semiconductors & Semiconductor Equipment - .6% | | | | | |
Natel Engineering, Initial Term Loan, 1-6 Month LIBOR +6.25% | | 7.74 | | 4/30/2026 | | 493,452 | e | 473,714 | |
Ultra Clean Holdings, Second Amendment Term Loan B, 1 Month LIBOR +3.75% | | 4.81 | | 8/27/2025 | | 325,362 | e | 321,854 | |
| | 795,568 | |
Technology Hardware & Equipment - 1.2% | | | | | |
Access CIG, First Lien Term Loan B, 1 Month LIBOR +3.75% | | 5.32 | | 2/27/2025 | | 219,814 | e | 212,190 | |
Atlas CC Acquisition, First Lien Term Loan B, 3 Month LIBOR +4.25% | | 5.82 | | 5/25/2028 | | 475,122 | e | 454,535 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a,b | Value ($) | |
Floating Rate Loan Interests - 60.2% (continued) | | | | | |
Technology Hardware & Equipment - 1.2% (continued) | | | | | |
Atlas CC Acquisition, First Lien Term Loan C, 3 Month LIBOR +4.25% | | 5.82 | | 5/25/2028 | | 96,635 | e | 92,448 | |
Marnix SAS, Additional Term Loan B, 3 Month SOFR +4.00% | | 4.53 | | 8/2/2028 | | 127,927 | e | 126,088 | |
Surf Holdings, Senior Secured First Lien Dollar Tranche Term Loan, 3 Month LIBOR +3.50% | | 4.11 | | 3/5/2027 | | 229,375 | e | 222,330 | |
VeriFone Systems, First Lien Initial Term Loan, 3 Month LIBOR +4.00% | | 5.52 | | 8/20/2025 | | 381,382 | e | 342,926 | |
| | 1,450,517 | |
Telecommunication Services - 1.4% | | | | | |
CCI Buyer, First Lien Initial Term Loan, 3 Month Term SOFR +4.00% | | 4.75 | | 12/17/2027 | | 986,485 | e | 949,186 | |
Connect Finco, Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR +3.50% | | 4.56 | | 12/12/2026 | �� | 371,267 | e | 357,345 | |
Crown Subsea Communications, Initial Term Loan, 1 Month LIBOR +4.75% | | 5.55 | | 4/27/2027 | | 220,757 | e | 215,238 | |
West, Initial Term Loan B, 3 Month LIBOR +4.00% | | 5.06 | | 10/10/2024 | | 253,362 | e | 228,155 | |
| | 1,749,924 | |
Transportation - .3% | | | | | |
OLA Netherlands, Term Loan, 3 Month Term SOFR +6.25% | | 7.00 | | 12/3/2026 | | 222,536 | e | 203,343 | |
Worldwide Express, First Lien Initial Term Loan, 3 Month LIBOR +4.25% | | 5.26 | | 7/26/2028 | | 132,747 | e | 124,261 | |
| | 327,604 | |
Utilities - .3% | | | | | |
Eastern Power, Term Loan B, 3 Month LIBOR +3.75% | | 4.76 | | 10/2/2025 | | 439,969 | e | 315,871 | |
Total Floating Rate Loan Interests
(cost $79,353,495) | | 74,945,711 | |
Description | | | | | Shares | | Value ($) | |
Common Stocks - .1% | | | | | |
Information Technology - .1% | | | | | |
Skillsoft | | | | | | 17,443 | g | 102,216 | |
Media - .0% | | | | | |
Altice USA, Cl. A | | | | | | 2,000 | g | 22,760 | |
Retailing - .0% | | | | | |
New Look, Cl. B | | | | | | 324,001 | g,h | 0 | |
Total Common Stocks
(cost $223,726) | | 124,976 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 3.5% | | | | | |
Registered Investment Companies - 3.5% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $4,325,517) | | 0.80 | | | | 4,325,517 | i | 4,325,517 | |
Total Investments (cost $197,667,503) | | 143.8% | 178,995,388 | |
Liabilities, Less Cash and Receivables | | (43.8%) | (54,494,485) | |
Net Assets | | 100.0% | 124,500,903 | |
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PRIME—Prime Lending Rate
REIT—Real Estate Investment Trust
SONIA—Sterling Overnight Index Average
TSFR—Term SOFR (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 May 31, 2022, these securities were valued at $90,752,030 or 72.89% of net assets.
d Payment-in-kind security and interest may be paid in additional par.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f 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.
g Non-income producing security.
h The fund held Level 3 securities at May 31, 2022. These securities were valued at $0 or .0% of net assets.
i Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
May 31, 2022 (Unaudited)
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Citigroup |
United States Dollar | 8,589,649 | British Pound | 6,865,000 | 6/23/2022 | (61,847) |
Euro | 1,000,000 | United States Dollar | 1,072,041 | 6/23/2022 | 2,850 |
Goldman Sachs |
United States Dollar | 13,176,995 | Euro | 12,280,000 | 6/30/2022 | (28,254) |
United States Dollar | 33,798,818 | Euro | 31,855,000 | 6/23/2022 | (441,850) |
United States Dollar | 3,928,003 | British Pound | 3,125,000 | 6/30/2022 | (10,428) |
Gross Unrealized Appreciation | | | 2,850 |
Gross Unrealized Depreciation | | | (542,379) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Alcentra Global Credit Income 2024 Target Term Fund, Inc.
May 31, 2022 (Unaudited)
The following is a summary of the inputs used as of May 31, 2022 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 31,660,661 | | - | 31,660,661 | |
Corporate Bonds | - | 67,938,523 | | - | 67,938,523 | |
Equity Securities - Common Stocks | 124,976 | - | | - | 124,976 | |
Floating Rate Loan Interests | - | 74,945,711 | | - | 74,945,711 | |
Investment Companies | 4,325,517 | - | | - | 4,325,517 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 2,850 | | - | 2,850 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (542,379) | | - | (542,379) | |
† 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:
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
(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 a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
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
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 May 31, 2022 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty 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 May 31, 2022, accumulated net unrealized depreciation on investments was $18,672,115, consisting of $607,104 gross unrealized appreciation and $19,279,219 gross unrealized depreciation.
At May 31, 2022, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
