STATEMENT OF INVESTMENTS
BNY Mellon International Bond Fund
January 31, 2023 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 96.1% | |||||||||
Australia - 1.9% | |||||||||
Australia, Bonds, Ser. 158 | AUD | 1.25 | 5/21/2032 | 3,100,000 | 1,794,940 | ||||
Australia, Sr. Unscd. Bonds, Ser. 140 | AUD | 4.50 | 4/21/2033 | 1,900,000 | 1,449,670 | ||||
Australia, Sr. Unscd. Bonds, Ser. 150 | AUD | 3.00 | 3/21/2047 | 685,000 | 411,422 | ||||
National Australia Bank Ltd., Sub. Notes | 3.93 | 8/2/2034 | 438,000 | 388,432 | |||||
Westpac Banking Corp., Sub. Notes | 4.11 | 7/24/2034 | 472,000 | 427,716 | |||||
4,472,180 | |||||||||
Austria - .6% | |||||||||
Austria, Sr. Unscd. Bonds | EUR | 0.74 | 10/20/2028 | 500,000 | b | 466,826 | |||
Raiffeisen Bank International AG, Sr. Unscd. Notes | EUR | 0.05 | 9/1/2027 | 300,000 | 267,312 | ||||
Raiffeisen Bank International AG, Sub. Notes | EUR | 2.88 | 6/18/2032 | 800,000 | 752,910 | ||||
1,487,048 | |||||||||
Bermuda - .3% | |||||||||
Textainer Marine Containers VII Ltd., Ser. 2021-1A, Cl. A | 1.68 | 2/20/2046 | 910,167 | b | 788,185 | ||||
Brazil - .7% | |||||||||
Brazil Notas do Tesouro Nacional, Notes | BRL | 10.00 | 1/1/2033 | 9,400,000 | 1,551,500 | ||||
Canada - 5.2% | |||||||||
BMW Canada Auto Trust, Ser. 2021-1A, Cl. A3 | CAD | 0.76 | 12/20/2025 | 1,175,000 | b | 850,719 | |||
Canada, Bonds | CAD | 1.75 | 12/1/2053 | 3,400,000 | 1,925,777 | ||||
Canada, Bonds | CAD | 2.50 | 12/1/2032 | 5,750,000 | 4,167,286 | ||||
CNH Capital Canada Receivables Trust, Ser. 2021-1A, Cl. A2 | CAD | 1.00 | 11/16/2026 | 747,695 | b | 538,213 | |||
Ford Auto Securitization Trust, Ser. 2020-AA, Cl. A3 | CAD | 1.15 | 11/15/2025 | 1,075,000 | b | 772,274 | |||
Ford Auto Securitization Trust II, Ser. 2022-AA, Cl. A3 | CAD | 5.40 | 9/15/2028 | 1,107,000 | b | 850,715 | |||
GMF Canada Leasing Trust, Ser. 2020-1A, Cl. A3 | CAD | 1.05 | 11/20/2025 | 56,449 | b | 42,342 | |||
GMF Canada Leasing Trust, Ser. 2021-1A, Cl. A3 | CAD | 0.87 | 5/20/2026 | 1,125,000 | b | 833,094 | |||
MBarc Credit Canada, Inc., Ser. 2021-AA, Cl. A3 | CAD | 0.93 | 2/17/2026 | 875,000 | b | 638,499 | |||
The Toronto-Dominion Bank, Sr. Unscd. Notes | EUR | 1.95 | 4/8/2030 | 1,325,000 | 1,272,386 | ||||
11,891,305 | |||||||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 96.1% (continued) | |||||||||
China - 5.4% | |||||||||
China, Bonds | CNY | 2.60 | 9/1/2032 | 26,500,000 | 3,820,565 | ||||
China, Bonds | CNY | 3.73 | 5/25/2070 | 32,100,000 | 5,209,541 | ||||
China, Unscd. Bonds | CNY | 3.81 | 9/14/2050 | 21,600,000 | 3,487,296 | ||||
12,517,402 | |||||||||
France - 5.8% | |||||||||
BNP Paribas SA, Sr. Unscd. Notes | EUR | 0.88 | 7/11/2030 | 1,300,000 | 1,153,374 | ||||
BNP Paribas SA, Sr. Unscd. Notes | EUR | 2.10 | 4/7/2032 | 700,000 | 650,745 | ||||
BPCE SA, Sr. Unscd. Bonds | EUR | 0.25 | 1/14/2031 | 400,000 | 333,145 | ||||
Electricite de France SA, Jr. Sub. Notes | EUR | 2.63 | 12/1/2027 | 1,400,000 | c | 1,253,223 | |||
France, Bonds | EUR | 0.75 | 5/25/2052 | 1,900,000 | 1,175,917 | ||||
France, Bonds | EUR | 2.31 | 5/25/2032 | 8,750,000 | 7,415,394 | ||||
Suez SACA, Sr. Unscd. Notes | EUR | 2.38 | 5/24/2030 | 1,300,000 | 1,277,955 | ||||
Suez SACA, Sr. Unscd. Notes | EUR | 2.88 | 5/24/2034 | 100,000 | 95,137 | ||||
13,354,890 | |||||||||
Germany - 10.1% | |||||||||
Amprion GmbH, Sr. Unscd. Notes | EUR | 0.63 | 9/23/2033 | 500,000 | 389,659 | ||||
Amprion GmbH, Sr. Unscd. Notes | EUR | 3.45 | 9/22/2027 | 600,000 | 648,826 | ||||
Amprion GmbH, Sr. Unscd. Notes | EUR | 3.97 | 9/22/2032 | 600,000 | 656,950 | ||||
Bundesrepublik Deutschland Bundesanleihe, Bonds | EUR | 1.28 | 8/15/2052 | 6,645,000 | 3,853,688 | ||||
Bundesschatzanweisungen, Bonds | EUR | 0.40 | 9/13/2024 | 7,525,000 | 7,895,106 | ||||
Bundesschatzanweisungen, Bonds | EUR | 2.20 | 12/12/2024 | 7,475,000 | 8,062,369 | ||||
Vonovia SE, Sr. Unscd. Notes | EUR | 0.75 | 9/1/2032 | 800,000 | 618,814 | ||||
Vonovia SE, Sr. Unscd. Notes | EUR | 2.38 | 3/25/2032 | 1,200,000 | 1,100,856 | ||||
23,226,268 | |||||||||
Greece - 1.6% | |||||||||
Hellenic Republic, Sr. Unscd. Notes | EUR | 4.25 | 6/15/2033 | 3,407,000 | b | 3,690,709 | |||
Indonesia - .5% | |||||||||
Indonesia, Bonds, Ser. FR83 | IDR | 7.50 | 4/15/2040 | 15,580,000,000 | 1,092,201 | ||||
Ireland - .9% | |||||||||
Hammerson Ireland Finance DAC, Gtd. Notes | EUR | 1.75 | 6/3/2027 | 1,400,000 | d | 1,250,340 | |||
Ireland, Bonds | EUR | 2.00 | 2/18/2045 | 810,000 | 729,321 | ||||
1,979,661 | |||||||||
Italy - 1.3% | |||||||||
Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Bonds, Ser. 5Y | EUR | 2.65 | 12/1/2027 | 1,525,000 | 1,591,231 | ||||
Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Bonds, Ser. CAC | EUR | 2.45 | 9/1/2050 | 1,810,000 | b | 1,397,303 | |||
2,988,534 | |||||||||
Japan - 13.8% | |||||||||
Japan (10 Year Issue), Bonds, Ser. 367 | JPY | 0.20 | 6/20/2032 | 314,000,000 | 2,386,533 | ||||
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 96.1% (continued) | |||||||||
Japan - 13.8% (continued) | |||||||||
Japan (20 Year Issue), Bonds, Ser. 113 | JPY | 2.10 | 9/20/2029 | 525,000,000 | 4,491,438 | ||||
Japan (20 Year Issue), Bonds, Ser. 156 | JPY | 0.40 | 3/20/2036 | 1,493,250,000 | 10,693,409 | ||||
Japan (30 Year Issue), Bonds, Ser. 66 | JPY | 0.40 | 3/20/2050 | 1,422,000,000 | 8,132,038 | ||||
Japan (5 Year Issue), Bonds, Ser. 136 | JPY | 0.10 | 6/20/2023 | 795,300,000 | 6,114,942 | ||||
31,818,360 | |||||||||
Luxembourg - .2% | |||||||||
DH Europe Finance II Sarl, Gtd. Bonds | EUR | 0.20 | 3/18/2026 | 280,000 | 276,832 | ||||
Logicor Financing SARL, Gtd. Notes | EUR | 1.63 | 1/17/2030 | 159,000 | 132,429 | ||||
409,261 | |||||||||
Malaysia - .6% | |||||||||
Malaysia, Bonds, Ser. 411 | MYR | 4.23 | 6/30/2031 | 5,845,000 | 1,408,942 | ||||
Mexico - 2.3% | |||||||||
Braskem Idesa SAPI, Sr. Scd. Notes | 6.99 | 2/20/2032 | 275,000 | b | 204,072 | ||||
Mexico, Bonds, Ser. M | MXN | 7.75 | 5/29/2031 | 100,000,000 | 5,024,561 | ||||
5,228,633 | |||||||||
Netherlands - 2.1% | |||||||||
ABN AMRO Bank NV, Sr. Unscd. Notes | EUR | 0.50 | 9/23/2029 | 1,000,000 | 883,526 | ||||
ABN AMRO Bank NV, Sr. Unscd. Notes | EUR | 3.00 | 6/1/2032 | 400,000 | 407,531 | ||||
EDP Finance BV, Sr. Unscd. Notes | EUR | 1.88 | 9/21/2029 | 400,000 | 391,166 | ||||
ING Groep NV, Sr. Unscd. Notes | EUR | 0.88 | 11/29/2030 | 1,200,000 | 1,053,424 | ||||
ING Groep NV, Sr. Unscd. Notes | EUR | 1.75 | 2/16/2031 | 500,000 | 463,974 | ||||
TenneT Holding BV, Sr. Unscd. Notes | EUR | 2.13 | 11/17/2029 | 1,070,000 | 1,064,988 | ||||
TenneT Holding BV, Sr. Unscd. Notes | EUR | 2.38 | 5/17/2033 | 404,000 | 390,721 | ||||
Vonovia Finance BV, Gtd. Notes | EUR | 0.50 | 9/14/2029 | 100,000 | 84,575 | ||||
4,739,905 | |||||||||
New Zealand - 2.3% | |||||||||
New Zealand, Bonds, Ser. 433 | NZD | 3.50 | 4/14/2033 | 3,135,000 | 1,914,657 | ||||
New Zealand, Unscd. Bonds, Ser. 532 | NZD | 2.00 | 5/15/2032 | 6,410,000 | 3,474,311 | ||||
5,388,968 | |||||||||
Romania - .4% | |||||||||
Romania, Bonds | EUR | 3.62 | 5/26/2030 | 550,000 | b | 509,032 | |||
Romania, Sr. Unscd. Notes | EUR | 6.63 | 9/27/2029 | 400,000 | b | 447,925 | |||
956,957 | |||||||||
Singapore - .6% | |||||||||
Singapore, Bonds | SGD | 2.63 | 5/1/2028 | 1,710,000 | 1,280,222 | ||||
South Africa - .9% | |||||||||
South Africa, Sr. Unscd. Bonds, Ser. 2035 | ZAR | 8.88 | 2/28/2035 | 41,161,000 | 2,044,448 | ||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 96.1% (continued) | |||||||||
South Korea - 1.8% | |||||||||
Korea, Bonds, Ser. 5209 | KRW | 3.13 | 9/10/2052 | 5,222,000,000 | 4,096,391 | ||||
Spain - 3.0% | |||||||||
Ibercaja Banco SA, Sub. Notes | EUR | 2.75 | 7/23/2030 | 900,000 | 895,329 | ||||
Spain, Sr. Unscd. Bonds | EUR | 0.70 | 4/30/2032 | 6,950,000 | b | 6,057,928 | |||
6,953,257 | |||||||||
Supranational - .7% | |||||||||
JBS USA, Gtd. Notes | 3.63 | 1/15/2032 | 639,000 | b | 534,626 | ||||
The African Export-Import Bank, Sr. Unscd. Notes | 5.25 | 10/11/2023 | 1,070,000 | 1,066,700 | |||||
1,601,326 | |||||||||
Sweden - .3% | |||||||||
Sweden, Bonds, Ser. 1056 | SEK | 2.25 | 6/1/2032 | 6,825,000 | b | 665,620 | |||
Switzerland - 1.8% | |||||||||
Credit Suisse Group AG, Sr. Unscd. Notes | EUR | 0.65 | 1/14/2028 | 550,000 | 473,586 | ||||
Credit Suisse Group AG, Sr. Unscd. Notes | EUR | 2.88 | 4/2/2032 | 1,395,000 | 1,190,544 | ||||
Switzerland, Bonds | CHF | 0.50 | 6/27/2032 | 1,600,000 | 1,632,919 | ||||
UBS Group AG, Sr. Unscd. Notes | EUR | 0.88 | 11/3/2031 | 1,082,000 | 913,822 | ||||
4,210,871 | |||||||||
Thailand - .4% | |||||||||
Thailand, Sr. Unscd. Bonds | THB | 3.39 | 6/17/2037 | 25,800,000 | 831,057 | ||||
United Kingdom - 10.5% | |||||||||
BAT International Finance PLC, Gtd. Notes | EUR | 2.25 | 1/16/2030 | 395,000 | 357,561 | ||||
Brass No. 10 PLC, Ser. 10-A, Cl. A1 | 0.67 | 4/16/2069 | 217,455 | b | 207,097 | ||||
British American Tobacco PLC, Sub. Notes, Ser. 5.25 | EUR | 3.00 | 12/27/2026 | 700,000 | c | 630,703 | |||
Gemgarto PLC, Ser. 2021-1A, Cl. A, 3 Month SONIO +0.59% | GBP | 4.00 | 12/16/2067 | 555,534 | b,e | 677,790 | |||
Lanark Master Issuer PLC, Ser. 2020-1A, Cl. 2A, 3 Month SONIO +0.57% | GBP | 3.85 | 12/22/2069 | 615,000 | b,e | 759,380 | |||
Paragon Mortgages No. 25 PLC, Ser. 25, Cl. B, 3 Month SONIO +1.07% | GBP | 4.31 | 5/15/2050 | 250,000 | e | 307,583 | |||
Tower Bridge Funding PLC, Ser. 2021-2, CI. A, 3 Month SONIO +0.78% | GBP | 4.05 | 11/20/2063 | 553,390 | e | 678,194 | |||
United Kingdom, Bonds | GBP | 1.00 | 1/31/2032 | 4,875,000 | 4,906,321 | ||||
United Kingdom, Bonds | GBP | 1.25 | 7/22/2027 | 850,000 | 963,512 | ||||
United Kingdom, Bonds | GBP | 1.25 | 7/31/2051 | 6,250,000 | 4,396,682 | ||||
United Kingdom, Bonds | GBP | 2.25 | 9/7/2023 | 8,525,000 | 10,437,338 | ||||
24,322,161 | |||||||||
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 96.1% (continued) | |||||||||
United States - 20.1% | |||||||||
AmeriCredit Automobile Receivables Trust, Ser. 2022-1, CI. A2 | 2.05 | 1/20/2026 | 147,625 | 146,017 | |||||
AT&T, Inc., Sr. Unscd. Bonds | EUR | 3.55 | 12/17/2032 | 230,000 | 243,623 | ||||
AT&T, Inc., Sr. Unscd. Notes | EUR | 1.60 | 5/19/2028 | 1,450,000 | 1,423,357 | ||||
AT&T, Inc., Sr. Unscd. Notes | EUR | 2.45 | 3/15/2035 | 140,000 | 127,387 | ||||
Bank of America Corp., Sr. Unscd. Notes | EUR | 0.69 | 3/22/2031 | 263,000 | 227,664 | ||||
Bank of America Corp., Sr. Unscd. Notes | EUR | 2.82 | 4/27/2033 | 532,000 | 521,054 | ||||
Berkshire Hathaway Finance Corp., Gtd. Notes | EUR | 1.50 | 3/18/2030 | 890,000 | 845,231 | ||||
Celanese US Holdings LLC, Gtd. Bonds | EUR | 5.34 | 1/19/2029 | 1,174,000 | 1,271,382 | ||||
Celanese US Holdings LLC, Gtd. Notes | 6.38 | 7/15/2032 | 397,000 | d | 400,277 | ||||
CHC Commercial Mortgage Trust, Ser. 2019-CHC, Cl. B, 1 Month LIBOR +1.50% | 5.96 | 6/15/2034 | 868,442 | b,e | 832,242 | ||||
CPS Auto Receivables Trust, Ser. 2021-D, Cl. B | 1.09 | 10/15/2027 | 1,280,000 | b | 1,243,031 | ||||
Exeter Automobile Receivables Trust, Ser. 2021-2A, Cl. C | 0.98 | 6/15/2026 | 675,000 | 652,979 | |||||
Federal Agricultural Mortgage Corp. Mortgage Trust, Ser. 2021-1, CI. A | 2.18 | 1/25/2051 | 643,103 | b | 536,010 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Ser. 2021-MN1, Cl. M1, 1 Month SOFR +2.00% | 6.31 | 1/25/2051 | 158,392 | b,e,f | 150,169 | ||||
FedEx Corp., Gtd. Bonds | EUR | 0.95 | 5/4/2033 | 990,000 | 801,777 | ||||
Ford Motor Co., Sr. Unscd. Notes | 3.25 | 2/12/2032 | 500,000 | 397,479 | |||||
Ford Motor Co., Sr. Unscd. Notes | 4.75 | 1/15/2043 | 520,000 | 406,509 | |||||
Ford Motor Co., Sr. Unscd. Notes | 6.10 | 8/19/2032 | 862,000 | 846,879 | |||||
Honeywell International, Inc., Sr. Unscd. Bonds | EUR | 4.13 | 11/2/2034 | 1,308,000 | 1,464,551 | ||||
Morgan Stanley, Sr. Unscd. Notes | EUR | 5.15 | 1/25/2034 | 1,809,000 | 2,110,348 | ||||
MPT Operating Partnership LP, Gtd. Bonds | EUR | 0.99 | 10/15/2026 | 575,000 | 471,137 | ||||
Nasdaq, Inc., Sr. Unscd. Notes | EUR | 0.90 | 7/30/2033 | 1,148,000 | 922,863 | ||||
National Grid North America, Inc., Sr. Unscd. Notes | EUR | 1.05 | 1/20/2031 | 1,560,000 | 1,356,322 | ||||
Santander Drive Auto Receivables Trust, Ser. 2021-4, CI. C | 1.26 | 2/16/2027 | 620,000 | 592,561 | |||||
SBA Tower Trust, Asset Backed Notes | 2.59 | 10/15/2031 | 695,000 | b | 562,527 | ||||
SLM Corp., Sr. Unscd. Notes | 4.20 | 10/29/2025 | 260,000 | 242,735 | |||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 96.1% (continued) | |||||||||
United States - 20.1% (continued) | |||||||||
The Southern Company, Jr. Sub. Notes | EUR | 1.88 | 9/15/2081 | 625,000 | 554,328 | ||||
U.S. Treasury Bonds | 1.13 | 5/15/2040 | 400,000 | 266,969 | |||||
U.S. Treasury Notes | 2.00 | 2/15/2025 | 1,075,000 | 1,029,627 | |||||
U.S. Treasury Notes | 3.88 | 12/31/2029 | 1,350,000 | 1,375,945 | |||||
WEA Finance LLC, Gtd. Notes | 2.88 | 1/15/2027 | 283,000 | 248,784 | |||||
WEA Finance LLC, Gtd. Notes | 2.88 | 1/15/2027 | 380,000 | b | 334,057 | ||||
WEA Finance LLC, Gtd. Notes | 4.63 | 9/20/2048 | 111,000 | b | 80,154 | ||||
WEA Finance LLC, Gtd. Notes | 4.75 | 9/17/2044 | 656,000 | b | 478,339 | ||||
Wells Fargo & Co., Sr. Unscd. Notes | EUR | 1.74 | 5/4/2030 | 1,740,000 | 1,649,348 | ||||
Wells Fargo Commercial Mortgage Trust, Ser. 2021-SAVE, Cl. A, 1 Month LIBOR +1.15% | 5.61 | 2/15/2040 | 568,139 | b,e | 546,091 | ||||
Federal Home Loan Mortgage Corp.: | |||||||||
4.50%, 6/1/2052 | 4,522,610 | f | 4,471,580 | ||||||
Federal National Mortgage Association: | |||||||||
2.00%, 11/1/2051 | 2,000,351 | f | 1,708,598 | ||||||
2.50%, 8/1/2051 | 2,710,049 | f | 2,420,915 | ||||||
3.00%, 8/1/2051 | 2,049,272 | f | 1,906,899 | ||||||
4.00%, 7/1/2052-8/1/2052 | 4,512,642 | f | 4,381,360 | ||||||
5.00%, 10/1/2052 | 6,153,362 | f | 6,182,547 | ||||||
46,431,652 | |||||||||
Total Bonds and Notes | 221,427,914 | ||||||||
Description | 1-Day | Shares |
| Value ($) | |||||
Investment Companies - 1.1% | |||||||||
Registered Investment Companies - 1.1% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 4.41 | 2,587,711 | g | 2,587,711 | |||||
| |||||||||
Investment of Cash Collateral for Securities Loaned - .5% | |||||||||
Registered Investment Companies - .5% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 4.41 | 1,053,133 | g | 1,053,133 | |||||
Total Investments (cost $232,827,460) | 97.7% | 225,068,758 | |||||||
Cash and Receivables (Net) | 2.3% | 5,397,911 | |||||||
Net Assets | 100.0% | 230,466,669 | |||||||
LIBOR—London Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Index Average
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CHF—Swiss Franc
CNY—Chinese Yuan Renminbi
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
MYR—Malaysian Ringgit
NZD—New Zealand Dollar
SEK—Swedish Krona
SGD—Singapore Dollar
THB—Thai Baht
ZAR—South African Rand
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 January 31, 2023, these securities were valued at $25,694,969 or 11.15% of net assets.
c Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
d Security, or portion thereof, on loan. At January 31, 2023, the value of the fund’s securities on loan was $1,012,943 and the value of the collateral was $1,053,133. In addition, the value of collateral may include pending sales that are also on loan.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Futures | ||||||
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | ||||||
Euro-Schatz | 106 | 3/8/2023 | 12,301,176a | 12,185,832 | (115,344) | |
U.S. Treasury 10 Year Notes | 21 | 3/22/2023 | 2,400,877 | 2,404,828 | 3,951 | |
U.S. Treasury 2 Year Notes | 2 | 3/31/2023 | 410,697 | 411,297 | 600 | |
Futures Short | ||||||
Canadian 10 Year Bond | 53 | 3/22/2023 | 5,058,951a | 5,029,334 | 29,617 | |
Euro-Bobl | 46 | 3/8/2023 | 5,882,544a | 5,866,044 | 16,500 | |
Euro-Bond | 142 | 3/8/2023 | 21,504,854a | 21,121,629 | 383,225 | |
Japanese 10 Year Bond | 4 | 3/13/2023 | 4,498,260a | 4,503,822 | (5,562) | |
U.S. Treasury 5 Year Notes | 128 | 3/31/2023 | 13,991,082 | 13,983,000 | 8,082 | |
U.S. Treasury Ultra Long Bond | 18 | 3/22/2023 | 2,443,685 | 2,551,500 | (107,815) | |
Ultra 10 Year U.S. Treasury Notes | 7 | 3/22/2023 | 851,785 | 848,422 | 3,363 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation (Depreciation) ($) | |
Gross Unrealized Appreciation | 445,338 | |||||
Gross Unrealized Depreciation | (228,721) | |||||
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
Options Written | ||||||
Description/ Contracts/ Counterparties | Exercise Price | Expiration Date | Notional Amount | a | Value ($) | |
Call Options: | ||||||
Swaption Receiver Markit iTraxx Europe Index Series 38, Payer 3 Month Fixed Rate of 1.00% terminating on 12/20/2027, | 0.78 | 3/15/2023 | 22,300,000 | bEUR | (40,486) | |
Swaption Receiver Markit iTraxx Europe Index Series 38, Payer 3 Month Fixed Rate of 1.00% terminating on 12/20/2027, | 0.80 | 3/15/2023 | 22,500,000 | bEUR | (51,777) | |
Swaption Receiver Markit iTraxx Europe Index Series 38, Payer 3 Month Fixed Rate of 1.00% terminating on 12/20/2027, | 0.90 | 2/15/2023 | 20,200,000 | bEUR | (103,722) | |
Put Options: | ||||||
Swaption Payer Markit iTraxx Europe Index Series 38, Receiver 3 Month Fixed Rate of 1.00% terminating on 12/20/2027, | 0.78 | 3/15/2023 | 22,300,000 | bEUR | (78,205) | |
Swaption Payer Markit iTraxx Europe Index Series 38, Receiver 3 Month Fixed Rate of 1.00% terminating on 12/20/2027, | 0.80 | 3/15/2023 | 22,500,000 | bEUR | (68,452) | |
Swaption Payer Markit iTraxx Europe Index Series 38, Receiver 3 Month Fixed Rate of 1.00% terminating on 12/20/2027, | 0.90 | 2/15/2023 | 20,200,000 | bEUR | (7,738) | |
Total Options Written (premiums received $410,829) | (350,380) | |||||
a Notional amount stated in U.S. Dollars unless otherwise indicated.
b Exercise price is referenced as basis points.
EUR—Euro
Forward Foreign Currency Exchange Contracts | |||||
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. | |||||
United States Dollar | 417,027 | Singapore Dollar | 554,723 | 3/3/2023 | (5,478) |
Malaysian Ringgit | 400,000 | United States Dollar | 94,117 | 3/3/2023 | (181) |
Japanese Yen | 2,243,769,495 | United States Dollar | 17,041,403 | 3/3/2023 | 269,593 |
Chinese Yuan Renminbi | 1,800,000 | United States Dollar | 266,078 | 3/3/2023 | 905 |
Citigroup Global Markets Inc. | |||||
Euro | 1,600,000 | United States Dollar | 1,737,870 | 3/3/2023 | 5,065 |
United States Dollar | 3,072,973 | Euro | 2,825,000 | 3/3/2023 | (4,396) |
United States Dollar | 794,170 | British Pound | 642,000 | 3/3/2023 | 2,139 |
United States Dollar | 760,994 | Brazilian Real | 3,980,000 | 3/3/2023 | (18,651) |
United States Dollar | 4,289,958 | New Zealand Dollar | 6,657,266 | 3/3/2023 | (14,697) |
Danish Krone | 5,040,000 | United States Dollar | 732,430 | 3/3/2023 | 5,749 |
Goldman Sachs & Co. LLC | |||||
Peruvian Nuevo Sol | 840,000 | United States Dollar | 221,204 | 3/3/2023 | (3,344) |
Thai Baht | 15,095,000 | United States Dollar | 454,340 | 3/3/2023 | 4,426 |
United States Dollar | 19,495 | Malaysian Ringgit | 85,000 | 3/3/2023 | (466) |
United States Dollar | 798,584 | Brazilian Real | 4,191,000 | 3/3/2023 | (22,394) |
Polish Zloty | 2,567,182 | United States Dollar | 587,949 | 3/3/2023 | 3,319 |
Hungarian Forint | 106,327,534 | United States Dollar | 282,561 | 3/3/2023 | 9,826 |
Czech Koruna | 12,144,006 | United States Dollar | 542,434 | 3/3/2023 | 11,775 |
United States Dollar | 3,724,464 | Mexican Peso | 71,686,613 | 3/3/2023 | (61,473) |
Swiss Franc | 401,023 | United States Dollar | 433,591 | 3/3/2023 | 5,918 |
Romanian Leu | 1,320,000 | United States Dollar | 287,093 | 3/3/2023 | 4,192 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts(continued) | |||||
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs & Co. LLC(continued) | |||||
Colombian Peso | 1,310,000,000 | United States Dollar | 273,715 | 3/3/2023 | 5,106 |
Chilean Peso | 212,617,000 | United States Dollar | 255,596 | 3/3/2023 | 10,196 |
Chinese Yuan Renminbi | 47,313,216 | United States Dollar | 7,004,363 | 3/3/2023 | 13,308 |
United States Dollar | 437,741 | Chinese Yuan Renminbi | 2,953,832 | 3/3/2023 | (382) |
HSBC Securities (USA) Inc. | |||||
British Pound | 260,000 | United States Dollar | 321,718 | 3/3/2023 | (958) |
United States Dollar | 6,028,927 | British Pound | 4,960,216 | 3/3/2023 | (90,456) |
Chinese Yuan Renminbi | 114,710,000 | United States Dollar | 16,991,054 | 3/3/2023 | 21,472 |
United States Dollar | 2,103,248 | South African Rand | 35,870,499 | 3/3/2023 | 47,353 |
Chinese Yuan Renminbi | 950,000 | United States Dollar | 140,378 | 3/3/2023 | 530 |
Norwegian Krone | 3,782,485 | United States Dollar | 379,770 | 3/3/2023 | (281) |
South Korean Won | 886,352,000 | United States Dollar | 712,169 | 3/3/2023 | 8,208 |
Canadian Dollar | 6,363,932 | United States Dollar | 4,739,490 | 3/3/2023 | 44,464 |
United States Dollar | 4,058,614 | Canadian Dollar | 5,426,959 | 3/3/2023 | (20,990) |
Indonesian Rupiah | 11,084,520,000 | United States Dollar | 724,952 | 3/3/2023 | 14,063 |
Israeli Shekel | 1,671,370 | United States Dollar | 487,081 | 3/3/2023 | (2,402) |
J.P. Morgan Securities LLC | |||||
Australian Dollar | 3,392,657 | United States Dollar | 2,343,836 | 3/3/2023 | 53,843 |
Canadian Dollar | 150,000 | United States Dollar | 112,174 | 3/3/2023 | 585 |
Japanese Yen | 175,300,000 | United States Dollar | 1,362,214 | 3/3/2023 | (9,750) |
United States Dollar | 514,519 | New Zealand Dollar | 792,979 | 3/3/2023 | 1,771 |
Swedish Krona | 8,611,357 | United States Dollar | 824,673 | 3/3/2023 | 208 |
Euro | 11,032,084 | United States Dollar | 11,930,604 | 3/3/2023 | 87,021 |
United States Dollar | 207,268 | Euro | 190,000 | 3/3/2023 | 295 |
Forward Foreign Currency Exchange Contracts(continued) | |||||
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
UBS Securities LLC | |||||
United States Dollar | 250,103 | Euro | 230,000 | 3/3/2023 | (444) |
Polish Zloty | 400,000 | United States Dollar | 92,040 | 3/3/2023 | 87 |
Gross Unrealized Appreciation | 631,417 | ||||
Gross Unrealized Depreciation | (256,743) | ||||
Centrally Cleared Interest Rate Swaps | |||||||
Received | Paid | Maturity Date | Notional | Market | Upfront | Unrealized Appreciation(Depreciation) ($) | |
USD - 3 Month LIBOR | USD Fixed at 0.969 | 6/28/2026 | 13,875,000 | 1,352,693 | 9,360 | 1,343,333 | |
USD - 3 Month LIBOR | USD Fixed at 1.631 | 4/16/2031 | 13,600,000 | 1,794,752 | 1,297,004 | 497,748 | |
Gross Unrealized Appreciation | 1,841,081 | ||||||
Gross Unrealized Depreciation | - | ||||||
USD—United States Dollar
Centrally Cleared Credit Default Swaps | |||||
Reference | Maturity | Notional | Market | Upfront | Unrealized Appreciation (Depreciation) ($) |
Sold Contracts:2 | |||||
Markit iTraxx Europe Index Series 38, Received Fixed Rate of 1.00% 3 Month | 12/20/2027 | 46,312,590 | 481,206 | 22,689 | 458,517 |
Purchased Contracts:3 | |||||
Markit iTraxx Europe Senior Financial Index Series 38, Paid Fixed Rate of 1.00% 3 Month | 12/20/2027 | 16,959,540 | (106,925) | 6,279 | (113,204) |
Markit iTraxx Europe Crossover Index Series 38, Paid Fixed Rate of 5.00% 3 Month | 12/20/2027 | 4,457,315 | (175,762) | (59,211) | (116,551) |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Centrally Cleared Credit Default Swaps (continued) | |||||
Reference | Maturity | Notional | Market | Upfront | Unrealized Appreciation (Depreciation) ($) |
Purchased Contracts:3(continued) | |||||
Markit CDX North America Investment Grade Index Series 39, Paid Fixed Rate of 1.00% 3 Month | 12/20/2027 | 112,200,000 | (1,541,418) | (655,716) | (885,702) |
Gross Unrealized Appreciation | 458,517 | ||||
Gross Unrealized Depreciation | (1,115,457) | ||||
1 The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.
2 If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
3 If the fund is a buyer of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon International Bond Fund
January 31, 2023 (Unaudited)
The following is a summary of the inputs used as of January 31, 2023 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Asset-Backed Securities | - | 7,948,629 | - | 7,948,629 | ||
Commercial Mortgage-Backed | - | 4,008,377 | - | 4,008,377 | ||
Corporate Bonds | - | 41,942,001 | - | 41,942,001 | ||
Foreign Governmental | - | 143,098,288 | - | 143,098,288 | ||
Investment Companies | 3,640,844 | - | - | 3,640,844 | ||
U.S. Government Agencies Collateralized Mortgage Obligations | - | 536,010 | - | 536,010 | ||
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 150,169 | - | 150,169 | ||
U.S. Government Agencies Mortgage-Backed | - | 21,071,899 | - | 21,071,899 | ||
U.S. Treasury Securities | - | 2,672,541 | - | 2,672,541 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 631,417 | - | 631,417 | ||
Futures†† | 445,338 | - | - | 445,338 | ||
Swap Agreements†† | - | 2,299,598 | - | 2,299,598 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | (256,743) | - | (256,743) | ||
Futures†† | (228,721) | - | - | (228,721) | ||
Options Written | - | (350,380) | - | (350,380) | ||
Swap Agreements†† | - | (1,115,457) | - | (1,115,457) | ||
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Trust’s Board of Trustees (the “Board”) has designated the Adviser as the fund’s valuation designee, effective September 8, 2022, to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), 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. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
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.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
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 January 31, 2023 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of foreign currencies, or as a substitute for an investment. The fund is subject to market risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives
the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each
open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date.
Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.
Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount. The net interest received or paid on interest rate swap agreements is included within realized gain (loss) on swap agreements in the Statement of Operations. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.
For OTC swaps, the fund’s maximum risk of loss from counterparty risk is the discounted value of the cash flows to be received from the counterparty over the agreement’s remaining life, to the extent that the amount is positive. 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. Interest rate swaps open at January 31, 2023 are set forth in the Statement of Investments.
Credit Default Swaps: Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced obligation) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to manage its exposure to the market or certain sectors of the market, to reduce its risk
exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rate, the fund is selling credit protection on the underlying instrument. The maximum payouts for these agreements are limited to the notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk. 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.
GAAP requires disclosure for (i) the nature and terms of the credit derivative, reasons for entering into the credit derivative, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative, (iii) the fair value of the credit derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. All required disclosures have been made and are incorporated within the current period as part of the Notes to the Statement of Investments and disclosures within this Note.
At January 31, 2023, accumulated net unrealized depreciation on investments was $7,758,702, consisting of $6,786,356 gross unrealized appreciation and $14,545,058 gross unrealized depreciation.
At January 31, 2023, 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.