STATEMENT OF INVESTMENTS
BNY Mellon High Yield Fund
September 30, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% | | | |
Advertising - .8% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 2,307,000 | b | 2,269,690 | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 9.00 | | 9/15/2028 | | 599,000 | b,c | 637,275 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes | | 5.00 | | 8/15/2027 | | 1,820,000 | b,c | 1,811,088 | |
| | 4,718,053 | |
Aerospace & Defense - 2.2% | | | | | |
AAR Escrow Issuer LLC, Gtd. Notes | | 6.75 | | 3/15/2029 | | 2,894,000 | b | 3,012,325 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.25 | | 7/1/2031 | | 613,000 | b,c | 648,821 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.50 | | 2/1/2029 | | 1,927,000 | b,c | 2,040,618 | |
TransDigm, Inc., Gtd. Notes | | 4.88 | | 5/1/2029 | | 1,007,000 | c | 981,391 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.38 | | 3/1/2029 | | 1,400,000 | b | 1,446,158 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.63 | | 3/1/2032 | | 565,000 | b | 589,064 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 1,101,000 | b | 1,134,622 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.88 | | 12/15/2030 | | 3,130,000 | b | 3,280,603 | |
TransDigm, Inc., Sr. Scd. Notes | | 7.13 | | 12/1/2031 | | 467,000 | b | 494,512 | |
| | 13,628,114 | |
Airlines - 1.0% | | | | | |
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | | 5.75 | | 4/20/2029 | | 3,535,451 | b,c | 3,532,508 | |
JetBlue Airways Corp./JetBlue Loyalty LP, Sr. Scd. Notes | | 9.88 | | 9/20/2031 | | 2,785,000 | b | 2,936,198 | |
| | 6,468,706 | |
Automobiles & Components - 1.1% | | | | | |
Clarios Global LP/Clarios US Finance Co., Sr. Scd. Notes | | 6.75 | | 5/15/2028 | | 1,700,000 | b | 1,753,565 | |
IHO Verwaltungs GmbH, Sr. Scd. Bonds | | 6.00 | | 5/15/2027 | | 2,200,000 | b,d | 2,163,604 | |
IHO Verwaltungs GmbH, Sr. Scd. Notes | | 6.38 | | 5/15/2029 | | 350,000 | b,d | 342,923 | |
Phinia, Inc., Sr. Scd. Notes | | 6.75 | | 4/15/2029 | | 734,000 | b | 758,411 | |
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 1,990,000 | b | 1,732,700 | |
| | 6,751,203 | |
Banks - .7% | | | | | |
Citigroup, Inc., Jr. Sub. Notes, Ser. X | | 3.88 | | 2/18/2026 | | 1,910,000 | c,e | 1,843,105 | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 6.63 | | 1/15/2027 | | 2,708,000 | b | 2,716,422 | |
| | 4,559,527 | |
Beverage Products - .3% | | | | | |
Triton Water Holdings, Inc., Sr. Unscd. Notes | | 6.25 | | 4/1/2029 | | 1,880,000 | b | 1,879,803 | |
Building Materials - 2.2% | | | | | |
Builders FirstSource, Inc., Gtd. Notes | | 4.25 | | 2/1/2032 | | 1,985,000 | b | 1,836,475 | |
Camelot Return Merger Sub, Inc., Sr. Scd. Notes | | 8.75 | | 8/1/2028 | | 2,402,000 | b,c | 2,433,137 | |
Cornerstone Building Brands, Inc., Sr. Scd. Notes | | 9.50 | | 8/15/2029 | | 794,000 | b | 816,290 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Building Materials - 2.2% (continued) | | | | | |
Eco Material Technologies, Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 1,689,000 | b | 1,707,851 | |
Emrld Borrower LP/Emerald Co-Issuer, Inc., Sr. Scd. Notes | | 6.63 | | 12/15/2030 | | 3,426,000 | b | 3,536,814 | |
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sr. Scd. Notes | | 6.75 | | 4/1/2032 | | 1,708,000 | b,c | 1,771,625 | |
Standard Building Solutions, Inc., Sr. Unscd. Notes | | 6.50 | | 8/15/2032 | | 673,000 | b | 697,429 | |
Standard Industries, Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2028 | | 1,334,000 | b | 1,307,794 | |
| | 14,107,415 | |
Chemicals - 2.9% | | | | | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 2,759,000 | b,d | 2,585,781 | |
Mativ Holdings, Inc., Gtd. Notes | | 6.88 | | 10/1/2026 | | 2,153,000 | b | 2,153,377 | |
Mativ Holdings, Inc., Sr. Unscd. Notes | | 8.00 | | 10/1/2029 | | 1,758,000 | b | 1,796,544 | |
NOVA Chemicals Corp., Sr. Scd. Notes | | 8.50 | | 11/15/2028 | | 1,620,000 | b | 1,731,273 | |
NOVA Chemicals Corp., Sr. Unscd. Notes | | 9.00 | | 2/15/2030 | | 1,230,000 | b | 1,333,775 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 9.75 | | 11/15/2028 | | 1,380,000 | b | 1,474,542 | |
Olympus Water US Holding Corp., Sr. Unscd. Notes | | 6.25 | | 10/1/2029 | | 910,000 | b | 881,630 | |
Rain Carbon, Inc., Sr. Scd. Notes | | 12.25 | | 9/1/2029 | | 1,200,000 | b,c | 1,297,616 | |
SCIH Salt Holdings, Inc., Sr. Unscd. Notes | | 6.63 | | 5/1/2029 | | 2,520,000 | b | 2,425,537 | |
WR Grace Holdings LLC, Sr. Unscd. Notes | | 5.63 | | 8/15/2029 | | 2,583,000 | b | 2,429,023 | |
| | 18,109,098 | |
Collateralized Loan Obligations Debt - 1.6% | | | | | |
Ares European XII DAC CLO, Ser. 12A, Cl. E, (3 Months EURIBOR +6.10%) | EUR | 9.79 | | 4/20/2032 | | 1,450,000 | b,f | 1,618,736 | |
Barings I Ltd. CLO, Ser. 2018-1A, Cl. D, (3 Months TSFR +5.76%) | | 11.06 | | 4/15/2031 | | 2,000,000 | b,f | 1,920,934 | |
Barings III Ltd. CLO, Ser. 2019-3A, Cl. ER, (3 Months TSFR +6.96%) | | 12.24 | | 4/20/2031 | | 1,000,000 | b,f | 1,004,432 | |
Battalion XVI Ltd. CLO, Ser. 2019-16A, Cl. ER, (3 Months TSFR +6.86%) | | 12.14 | | 12/19/2032 | | 2,500,000 | b,f | 2,478,970 | |
Neuberger Berman Loan Advisers 36 Ltd. CLO, Ser. 2020-36A, Cl. ER2, (3 Months TSFR +7.30%) | | 12.58 | | 4/20/2033 | | 500,000 | b,f | 503,453 | |
Palmer Square Loan Funding Ltd. CLO, Ser. 2022-3A, Cl. DR, (3 Months TSFR +5.90%) | | 11.20 | | 4/15/2031 | | 800,000 | b,f | 803,586 | |
Rockford Tower Ltd. CLO, Ser. 2022-2A, Cl. ER, (3 Months TSFR +8.12%) | | 13.40 | | 10/20/2035 | | 750,000 | b,f | 754,174 | |
St. Pauls CLO, Ser. 11A, Cl. E, (3 Months EURIBOR +6.00%) | EUR | 9.66 | | 1/17/2032 | | 1,000,000 | b,f | 1,108,410 | |
| | 10,192,695 | |
Commercial & Professional Services - 4.4% | | | | | |
Adtalem Global Education, Inc., Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 2,066,000 | b | 2,048,273 | |
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd. Notes | | 6.13 | | 10/15/2026 | | 1,474,000 | b | 1,480,051 | |
Albion Financing 2 Sarl, Sr. Unscd. Notes | | 8.75 | | 4/15/2027 | | 331,000 | b | 339,975 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Commercial & Professional Services - 4.4% (continued) | | | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Unscd. Notes | | 6.00 | | 6/1/2029 | | 1,530,000 | b | 1,368,783 | |
APX Group, Inc., Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 1,548,000 | b | 1,553,743 | |
BCP V Modular Services Finance PLC, Gtd. Notes | EUR | 6.75 | | 11/30/2029 | | 1,040,000 | b | 1,024,543 | |
Block, Inc., Sr. Unscd. Notes | | 6.50 | | 5/15/2032 | | 1,680,000 | b | 1,751,514 | |
Boost Newco Borrower LLC, Sr. Scd. Notes | | 7.50 | | 1/15/2031 | | 2,408,000 | b | 2,585,896 | |
Herc Holdings, Inc., Gtd. Notes | | 6.63 | | 6/15/2029 | | 1,279,000 | b,c | 1,325,818 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd. Notes | | 6.25 | | 1/15/2028 | | 3,102,000 | b | 3,105,176 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., Gtd. Notes | | 6.75 | | 8/15/2032 | | 2,429,000 | b | 2,537,848 | |
The ADT Security Corp., Sr. Scd. Notes | | 4.88 | | 7/15/2032 | | 2,120,000 | b | 2,027,261 | |
United Rentals North America, Inc., Gtd. Notes | | 3.75 | | 1/15/2032 | | 2,206,000 | c | 2,015,929 | |
United Rentals North America, Inc., Gtd. Notes | | 4.00 | | 7/15/2030 | | 2,225,000 | c | 2,104,587 | |
Wand NewCo 3, Inc., Sr. Scd. Notes | | 7.63 | | 1/30/2032 | | 2,641,000 | b | 2,784,111 | |
| | 28,053,508 | |
Consumer Discretionary - 6.2% | | | | | |
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | | 7.88 | | 4/30/2029 | | 2,212,000 | b | 2,332,496 | |
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | | 4.63 | | 4/1/2030 | | 1,440,000 | b | 1,380,839 | |
Caesars Entertainment, Inc., Sr. Scd. Notes | | 7.00 | | 2/15/2030 | | 2,310,000 | b | 2,414,830 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 1,801,000 | b,c | 1,825,898 | |
Carnival Corp., Gtd. Notes | | 10.50 | | 6/1/2030 | | 1,070,000 | b,c | 1,162,432 | |
Carnival Holdings Bermuda Ltd., Gtd. Notes | | 10.38 | | 5/1/2028 | | 906,000 | b | 978,202 | |
Churchill Downs, Inc., Gtd. Notes | | 4.75 | | 1/15/2028 | | 1,200,000 | b | 1,177,450 | |
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 2,940,000 | b | 2,929,310 | |
Flutter Treasury Designated Activity Co., Sr. Scd. Notes | | 6.38 | | 4/29/2029 | | 972,000 | b,c | 1,007,190 | |
Hilton Domestic Operating Co., Inc., Gtd. Notes | | 3.63 | | 2/15/2032 | | 1,300,000 | b | 1,175,640 | |
Hilton Domestic Operating Co., Inc., Gtd. Notes | | 4.00 | | 5/1/2031 | | 1,650,000 | b | 1,543,960 | |
International Game Technology PLC, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 2,407,000 | b | 2,399,486 | |
KB Home, Gtd. Notes | | 4.00 | | 6/15/2031 | | 1,767,000 | c | 1,635,972 | |
Liberty TripAdvisor Holdings, Inc., Sr. Unscd. Debs. | | 0.50 | | 6/30/2051 | | 960,000 | b | 900,238 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Sr. Scd. Notes | | 4.88 | | 5/1/2029 | | 2,592,000 | b | 2,488,025 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 1,156,000 | b | 1,156,794 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 1,522,000 | b | 1,528,412 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 4.25 | | 7/1/2026 | | 560,000 | b,c | 554,076 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 6.00 | | 2/1/2033 | | 1,214,000 | b | 1,245,332 | |
Station Casinos LLC, Gtd. Notes | | 4.63 | | 12/1/2031 | | 2,377,000 | b | 2,206,420 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Consumer Discretionary - 6.2% (continued) | | | | | |
Taylor Morrison Communities, Inc., Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 1,388,000 | b | 1,380,149 | |
Verde Purchaser LLC, Sr. Scd. Notes | | 10.50 | | 11/30/2030 | | 1,332,000 | b,c | 1,447,202 | |
Viking Cruises Ltd., Sr. Unscd. Notes | | 9.13 | | 7/15/2031 | | 868,000 | b | 949,795 | |
Windsor Holdings III LLC, Sr. Scd. Notes | | 8.50 | | 6/15/2030 | | 1,065,000 | b | 1,140,538 | |
WMG Acquisition Corp., Sr. Scd. Notes | | 3.88 | | 7/15/2030 | | 2,340,000 | b,c | 2,183,186 | |
| | 39,143,872 | |
Consumer Staples - .4% | | | | | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC, Sr. Scd. Notes | | 4.75 | | 1/15/2029 | | 2,750,000 | b | 2,692,207 | |
Diversified Financials - 4.3% | | | | | |
AG Issuer LLC, Sr. Scd. Notes | | 6.25 | | 3/1/2028 | | 2,238,000 | b | 2,189,901 | |
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 920,000 | b | 1,131,936 | |
Freedom Mortgage Holdings LLC, Sr. Unscd. Notes | | 9.25 | | 2/1/2029 | | 668,000 | b | 694,904 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 5.25 | | 5/15/2027 | | 1,734,000 | c | 1,663,004 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | | 6.25 | | 5/15/2026 | | 1,023,000 | | 1,015,890 | |
Jane Street Group/JSG Finance, Inc., Sr. Scd. Notes | | 7.13 | | 4/30/2031 | | 2,839,000 | b | 3,010,447 | |
Nationstar Mortgage Holdings, Inc., Gtd. Notes | | 5.75 | | 11/15/2031 | | 2,910,000 | b,c | 2,853,795 | |
OneMain Finance Corp., Gtd. Notes | | 7.50 | | 5/15/2031 | | 478,000 | | 492,460 | |
OneMain Finance Corp., Gtd. Notes | | 7.88 | | 3/15/2030 | | 2,274,000 | | 2,379,268 | |
Osaic Holdings, Inc., Sr. Unscd. Notes | | 10.75 | | 8/1/2027 | | 903,000 | b | 920,144 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.13 | | 11/15/2030 | | 1,373,000 | b | 1,422,705 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.88 | | 12/15/2029 | | 1,954,000 | b | 2,085,315 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes | | 4.00 | | 10/15/2033 | | 1,262,000 | b | 1,128,393 | |
United Wholesale Mortgage LLC, Sr. Unscd. Notes | | 5.50 | | 4/15/2029 | | 2,919,000 | b | 2,845,692 | |
VFH Parent LLC/Valor Co-Issuer, Inc., Sr. Scd. Bonds | | 7.50 | | 6/15/2031 | | 3,302,000 | b | 3,465,829 | |
| | 27,299,683 | |
Electronic Components - .7% | | | | | |
Sensata Technologies BV, Gtd. Notes | | 5.88 | | 9/1/2030 | | 2,395,000 | b | 2,406,613 | |
WESCO Distribution, Inc., Gtd. Notes | | 6.63 | | 3/15/2032 | | 1,610,000 | b | 1,678,992 | |
| | 4,085,605 | |
Energy - 12.3% | | | | | |
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | | 7.50 | | 10/1/2029 | | 3,820,000 | b | 3,873,326 | |
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | | 8.25 | | 2/15/2026 | | 1,376,000 | b | 1,393,119 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes | | 5.75 | | 1/15/2028 | | 1,920,000 | b | 1,924,458 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Energy - 12.3% (continued) | | | | | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes | | 5.75 | | 3/1/2027 | | 868,000 | b | 869,456 | |
Antero Resources Corp., Gtd. Notes | | 5.38 | | 3/1/2030 | | 2,095,000 | b,c | 2,071,274 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | | 7.00 | | 7/15/2029 | | 2,180,000 | b | 2,268,116 | |
CITGO Petroleum Corp., Sr. Scd. Notes | | 8.38 | | 1/15/2029 | | 1,840,000 | b | 1,916,087 | |
Comstock Resources, Inc., Gtd. Notes | | 6.75 | | 3/1/2029 | | 3,648,000 | b,c | 3,564,501 | |
CQP Holdco LP/Bip-V Chinook Holdco LLC, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 2,377,000 | b | 2,332,909 | |
Encino Acquisition Partners Holdings LLC, Gtd. Notes | | 8.50 | | 5/1/2028 | | 1,874,000 | b | 1,908,961 | |
Encino Acquisition Partners Holdings LLC, Sr. Unscd. Notes | | 8.75 | | 5/1/2031 | | 739,000 | b | 777,823 | |
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | | 6.63 | | 2/15/2028 | | 3,318,000 | c,e | 3,282,885 | |
EnLink Midstream LLC, Gtd. Notes | | 6.50 | | 9/1/2030 | | 1,992,000 | b | 2,149,007 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 1,395,000 | | 1,414,802 | |
Expand Energy Corp, Gtd. Notes | | 5.88 | | 2/1/2029 | | 2,258,000 | b | 2,271,379 | |
Gulfport Energy Operating Corp., Gtd. Notes | | 6.75 | | 9/1/2029 | | 2,929,000 | b | 2,966,919 | |
Kraken Oil & Gas Partners LLC, Sr. Unscd. Notes | | 7.63 | | 8/15/2029 | | 1,978,000 | b | 1,977,131 | |
Matador Resources Co., Gtd. Notes | | 6.25 | | 4/15/2033 | | 676,000 | b | 666,352 | |
Matador Resources Co., Gtd. Notes | | 6.50 | | 4/15/2032 | | 1,741,000 | b | 1,739,705 | |
Moss Creek Resources Holdings, Inc., Sr. Unscd. Notes | | 8.25 | | 9/1/2031 | | 930,000 | b | 918,932 | |
Noble Finance II LLC, Gtd. Notes | | 8.00 | | 4/15/2030 | | 2,259,000 | b | 2,332,539 | |
Northern Oil & Gas, Inc., Sr. Unscd. Notes | | 8.13 | | 3/1/2028 | | 1,917,000 | b,c | 1,932,497 | |
Northriver Midstream Finance LP, Sr. Scd. Notes | | 6.75 | | 7/15/2032 | | 2,448,000 | b | 2,528,618 | |
Permian Resources Operating LLC, Gtd. Notes | | 6.25 | | 2/1/2033 | | 1,413,000 | b | 1,436,837 | |
Rockies Express Pipeline LLC, Sr. Unscd. Notes | | 4.80 | | 5/15/2030 | | 3,877,000 | b | 3,656,079 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., Sr. Unscd. Notes | | 7.88 | | 11/1/2028 | | 2,866,000 | b | 3,000,513 | |
SM Energy Co., Sr. Unscd. Notes | | 6.75 | | 8/1/2029 | | 1,174,000 | b | 1,179,781 | |
SM Energy Co., Sr. Unscd. Notes | | 7.00 | | 8/1/2032 | | 586,000 | b | 588,666 | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 1,439,000 | b | 1,451,031 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes | | 5.50 | | 1/15/2028 | | 802,000 | b | 777,075 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes | | 6.00 | | 12/31/2030 | | 920,000 | b | 874,592 | |
TGNR Intermediate Holdings LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 3,040,000 | b | 2,890,472 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 3,343,000 | b | 3,000,857 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 4.13 | | 8/15/2031 | | 660,000 | b | 614,143 | |
Venture Global LNG, Inc., Jr. Sub. Notes | | 9.00 | | 9/30/2029 | | 3,158,000 | b,e | 3,203,456 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 7.00 | | 1/15/2030 | | 1,033,000 | b | 1,056,100 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Energy - 12.3% (continued) | | | | | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 2,657,000 | b | 2,771,755 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.38 | | 6/1/2031 | | 4,011,000 | b | 4,238,047 | |
| | 77,820,200 | |
Environmental Control - 2.0% | | | | | |
Clean Harbors, Inc., Gtd. Notes | | 6.38 | | 2/1/2031 | | 2,680,000 | b | 2,747,959 | |
GFL Environmental, Inc., Gtd. Notes | | 4.00 | | 8/1/2028 | | 1,640,000 | b | 1,576,479 | |
GFL Environmental, Inc., Sr. Scd. Notes | | 3.50 | | 9/1/2028 | | 984,000 | b | 937,619 | |
GFL Environmental, Inc., Sr. Scd. Notes | | 6.75 | | 1/15/2031 | | 2,029,000 | b | 2,130,617 | |
Madison IAQ LLC, Sr. Scd. Notes | | 4.13 | | 6/30/2028 | | 474,000 | b | 457,803 | |
Madison IAQ LLC, Sr. Unscd. Notes | | 5.88 | | 6/30/2029 | | 2,788,000 | b | 2,716,928 | |
Reworld Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 2,142,000 | | 2,013,716 | |
| | 12,581,121 | |
Food Products - 3.1% | | | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, Gtd. Notes | | 5.88 | | 2/15/2028 | | 1,230,000 | b | 1,239,145 | |
Bellis Acquisition Co. PLC, Sr. Scd. Bonds | GBP | 8.13 | | 5/14/2030 | | 880,000 | b | 1,166,056 | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 1,230,000 | b | 1,621,580 | |
Chobani LLC/Chobani Finance Corp., Inc., Sr. Scd. Notes | | 4.63 | | 11/15/2028 | | 1,560,000 | b,c | 1,520,768 | |
Fiesta Purchaser, Inc., Sr. Scd. Notes | | 7.88 | | 3/1/2031 | | 1,410,000 | b,c | 1,497,252 | |
Fiesta Purchaser, Inc., Sr. Unscd. Notes | | 9.63 | | 9/15/2032 | | 1,205,000 | b | 1,250,353 | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 2,341,000 | | 2,080,479 | |
Post Holdings, Inc., Gtd. Notes | | 4.63 | | 4/15/2030 | | 1,820,000 | b | 1,743,059 | |
Post Holdings, Inc., Gtd. Notes | | 5.50 | | 12/15/2029 | | 1,980,000 | b | 1,967,278 | |
Post Holdings, Inc., Gtd. Notes | | 6.38 | | 3/1/2033 | | 1,526,000 | b | 1,554,716 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, Scd. Notes | | 4.63 | | 3/1/2029 | | 2,824,000 | b,c | 2,682,049 | |
US Foods, Inc., Gtd. Notes | | 6.88 | | 9/15/2028 | | 1,462,000 | b | 1,525,636 | |
| | 19,848,371 | |
Health Care - 7.3% | | | | | |
Bausch Health Cos., Inc., Gtd. Notes | | 5.25 | | 2/15/2031 | | 903,000 | b | 495,932 | |
Bausch Health Cos., Inc., Sr. Scd. Notes | | 11.00 | | 9/30/2028 | | 2,903,000 | b | 2,714,305 | |
Charles River Laboratories International, Inc., Gtd. Notes | | 4.25 | | 5/1/2028 | | 1,252,000 | b | 1,218,710 | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 1,293,000 | b | 1,255,240 | |
CHS/Community Health Systems, Inc., Scd. Notes | | 6.88 | | 4/15/2029 | | 2,110,000 | b | 1,915,277 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 1,626,000 | b | 1,497,750 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 1,720,000 | b | 1,693,879 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 10.88 | | 1/15/2032 | | 2,026,000 | b | 2,235,154 | |
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 680,000 | b | 867,927 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Health Care - 7.3% (continued) | | | | | |
Global Medical Response, Inc., Sr. Scd. Notes | | 10.00 | | 10/31/2028 | | 2,690,000 | b,d | 2,705,535 | |
HealthEquity, Inc., Gtd. Notes | | 4.50 | | 10/1/2029 | | 2,344,000 | b,c | 2,268,260 | |
Jazz Securities DAC, Sr. Scd. Notes | | 4.38 | | 1/15/2029 | | 1,180,000 | b,c | 1,142,146 | |
LifePoint Health, Inc., Sr. Scd. Notes | | 9.88 | | 8/15/2030 | | 2,206,000 | b | 2,431,573 | |
LifePoint Health, Inc., Sr. Unscd. Notes | | 10.00 | | 6/1/2032 | | 1,862,000 | b | 2,049,349 | |
Medline Borrower LP, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 2,094,000 | b | 1,984,305 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 1,260,000 | b | 1,237,223 | |
Medline Borrower LP/Medline Co-Issuer, Inc., Sr. Scd. Notes | | 6.25 | | 4/1/2029 | | 1,758,000 | b | 1,813,520 | |
Option Care Health, Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 3,347,000 | b | 3,182,791 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Scd. Notes | | 6.75 | | 5/15/2034 | | 2,414,000 | b | 2,496,124 | |
Radiology Partners, Inc., Sr. Scd. Notes | | 7.78 | | 1/31/2029 | | 936,251 | b,c,d | 930,399 | |
Sotera Health Holdings LLC, Sr. Scd. Notes | | 7.38 | | 6/1/2031 | | 1,479,000 | b | 1,537,804 | |
Surgery Center Holdings, Inc., Gtd. Notes | | 7.25 | | 4/15/2032 | | 1,476,000 | b | 1,542,454 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.25 | | 6/1/2029 | | 2,304,000 | | 2,223,287 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.63 | | 6/15/2028 | | 2,515,000 | | 2,470,665 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 6.75 | | 5/15/2031 | | 2,050,000 | | 2,138,531 | |
| | 46,048,140 | |
Industrial - 2.7% | | | | | |
Arcosa, Inc., Gtd. Notes | | 6.88 | | 8/15/2032 | | 2,423,000 | b | 2,537,860 | |
Artera Services LLC, Sr. Scd. Notes | | 8.50 | | 2/15/2031 | | 1,366,191 | b | 1,353,764 | |
Chart Industries, Inc., Sr. Scd. Notes | | 7.50 | | 1/1/2030 | | 2,403,000 | b | 2,535,588 | |
Dycom Industries, Inc., Gtd. Notes | | 4.50 | | 4/15/2029 | | 1,889,000 | b | 1,825,256 | |
Dynamo Newco II GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 10/15/2031 | | 727,000 | b | 815,329 | |
GrafTech Finance, Inc., Sr. Scd. Notes | | 4.63 | | 12/15/2028 | | 3,485,000 | b,c | 2,331,171 | |
Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC, Sr. Scd. Notes | | 9.00 | | 2/15/2029 | | 1,295,000 | b,c | 1,352,965 | |
Mangrove Luxco III Sarl, Sr. Scd. Bonds, (3 Month EURIBOR +5.00%) | EUR | 8.67 | | 7/15/2029 | | 770,000 | b,f | 860,417 | |
Terex Corp., Gtd. Notes | | 6.25 | | 10/15/2032 | | 502,000 | b | 502,000 | |
TK Elevator US Newco, Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 1,888,000 | b | 1,869,114 | |
Vertiv Group Corp., Sr. Scd. Notes | | 4.13 | | 11/15/2028 | | 927,000 | b | 896,768 | |
| | 16,880,232 | |
Information Technology - 3.0% | | | | | |
AthenaHealth Group, Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 5,516,000 | b | 5,302,975 | |
Cloud Software Group, Inc., Scd. Bonds | | 9.00 | | 9/30/2029 | | 1,120,000 | b | 1,140,687 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 6.50 | | 3/31/2029 | | 1,740,000 | b | 1,732,712 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 8.25 | | 6/30/2032 | | 671,000 | b | 701,936 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 3,559,000 | b | 3,328,651 | |
SS&C Technologies, Inc., Gtd. Notes | | 5.50 | | 9/30/2027 | | 2,390,000 | b | 2,390,805 | |
SS&C Technologies, Inc., Gtd. Notes | | 6.50 | | 6/1/2032 | | 1,011,000 | b | 1,046,026 | |
UKG, Inc., Sr. Scd. Notes | | 6.88 | | 2/1/2031 | | 2,902,000 | b | 3,000,743 | |
| | 18,644,535 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Insurance - 4.3% | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 524,000 | b | 495,469 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 7.50 | | 11/6/2030 | | 2,066,000 | b | 2,127,918 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 6.00 | | 8/1/2029 | | 1,330,000 | b | 1,283,944 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 8.25 | | 2/1/2029 | | 2,344,000 | b | 2,420,578 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 6.75 | | 4/15/2028 | | 1,520,000 | b | 1,545,746 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | | 7.00 | | 1/15/2031 | | 1,370,000 | b | 1,408,871 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unscd. Notes | | 6.75 | | 10/15/2027 | | 1,850,000 | b | 1,844,533 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unscd. Notes | | 7.38 | | 10/1/2032 | | 1,116,000 | b | 1,132,854 | |
Ardonagh Finco Ltd., Sr. Scd. Notes | | 7.75 | | 2/15/2031 | | 3,513,000 | b | 3,634,473 | |
Ardonagh Group Finance Ltd., Sr. Unscd. Notes | | 8.88 | | 2/15/2032 | | 812,000 | b | 839,888 | |
AssuredPartners, Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 2,650,000 | b | 2,553,474 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Scd. Notes | | 7.25 | | 2/15/2031 | | 1,950,000 | b | 2,025,153 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Unscd. Notes | | 8.13 | | 2/15/2032 | | 1,204,000 | b | 1,238,719 | |
HUB International Ltd., Sr. Scd. Notes | | 7.25 | | 6/15/2030 | | 1,181,000 | b | 1,231,435 | |
Panther Escrow Issuer LLC, Sr. Scd. Notes | | 7.13 | | 6/1/2031 | | 2,719,000 | b | 2,854,118 | |
Ryan Specialty LLC, Sr. Scd. Notes | | 5.88 | | 8/1/2032 | | 670,000 | b | 681,625 | |
| | 27,318,798 | |
Internet Software & Services - 1.9% | | | | | |
Arches Buyer, Inc., Sr. Scd. Notes | | 4.25 | | 6/1/2028 | | 1,572,000 | b,c | 1,447,971 | |
Arches Buyer, Inc., Sr. Unscd. Notes | | 6.13 | | 12/1/2028 | | 2,187,000 | b | 1,874,495 | |
Cogent Communications Group LLC, Gtd. Notes | | 7.00 | | 6/15/2027 | | 1,265,000 | b | 1,288,332 | |
Gen Digital, Inc., Gtd. Notes | | 6.75 | | 9/30/2027 | | 2,510,000 | b | 2,580,918 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., Gtd. Notes | | 5.25 | | 12/1/2027 | | 2,070,000 | b | 2,064,113 | |
Match Group Holdings II LLC, Sr. Unscd. Notes | | 4.13 | | 8/1/2030 | | 1,910,000 | b | 1,790,732 | |
Newfold Digital Holdings Group, Inc., Sr. Scd. Notes | | 11.75 | | 10/15/2028 | | 1,100,000 | b | 1,085,469 | |
| | 12,132,030 | |
Materials - 3.6% | | | | | |
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | | 8.75 | | 4/15/2030 | | 871,000 | b | 885,326 | |
Clydesdale Acquisition Holdings, Inc., Sr. Scd. Notes | | 6.88 | | 1/15/2030 | | 1,861,000 | b | 1,902,841 | |
Graphic Packaging International LLC, Gtd. Notes | | 6.38 | | 7/15/2032 | | 1,947,000 | b,c | 2,011,165 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Materials - 3.6% (continued) | | | | | |
LABL, Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 523,000 | b | 522,896 | |
LABL, Inc., Sr. Scd. Notes | | 9.50 | | 11/1/2028 | | 2,361,000 | b | 2,442,523 | |
LABL, Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 1,928,000 | b | 1,933,231 | |
Mauser Packaging Solutions Holding Co., Scd. Notes | | 9.25 | | 4/15/2027 | | 1,319,000 | b | 1,353,702 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Bonds | | 7.88 | | 4/15/2027 | | 2,315,000 | b | 2,394,700 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, Sr. Scd. Notes | | 4.00 | | 10/15/2027 | | 2,620,000 | b,c | 2,521,678 | |
Sealed Air Corp., Gtd. Notes | | 5.00 | | 4/15/2029 | | 2,529,000 | b,c | 2,493,299 | |
Trivium Packaging Finance BV, Gtd. Notes | | 8.50 | | 8/15/2027 | | 860,000 | b | 862,913 | |
Trivium Packaging Finance BV, Sr. Scd. Notes | | 5.50 | | 8/15/2026 | | 3,112,000 | b | 3,102,615 | |
| | 22,426,889 | |
Media - 5.3% | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.25 | | 1/15/2034 | | 1,682,000 | b,c | 1,381,166 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.50 | | 5/1/2032 | | 2,508,000 | | 2,170,494 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2028 | | 2,465,000 | b | 2,399,683 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 1,451,000 | b | 1,429,171 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.38 | | 6/1/2029 | | 1,685,000 | b,c | 1,625,154 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes | | 5.38 | | 5/1/2047 | | 1,284,000 | | 1,078,732 | |
CSC Holdings LLC, Gtd. Notes | | 4.13 | | 12/1/2030 | | 1,682,000 | b | 1,227,146 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 2,130,000 | b | 1,875,118 | |
CSC Holdings LLC, Gtd. Notes | | 11.25 | | 5/15/2028 | | 2,351,000 | b | 2,271,388 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 3,483,000 | b | 3,658,353 | |
DISH Network Corp., Sr. Unscd. Notes | | 0.00 | | 12/15/2025 | | 1,462,000 | g | 1,273,857 | |
Gray Television, Inc., Sr. Scd. Notes | | 10.50 | | 7/15/2029 | | 1,170,000 | b | 1,223,174 | |
Nexstar Media, Inc., Gtd. Notes | | 5.63 | | 7/15/2027 | | 1,850,000 | b | 1,833,816 | |
Paramount Global, Jr. Sub. Notes | | 6.38 | | 3/30/2062 | | 731,000 | c | 676,735 | |
Paramount Global, Sr. Unscd. Notes | | 4.95 | | 1/15/2031 | | 3,651,000 | | 3,444,699 | |
Scripps Escrow II, Inc., Sr. Unscd. Notes | | 5.38 | | 1/15/2031 | | 1,087,000 | b | 627,313 | |
Scripps Escrow, Inc., Gtd. Notes | | 5.88 | | 7/15/2027 | | 1,163,000 | b,c | 1,013,031 | |
Sunrise Finco I BV, Sr. Scd. Notes | | 4.88 | | 7/15/2031 | | 1,630,000 | b | 1,543,659 | |
Virgin Media Finance PLC, Gtd. Notes | EUR | 3.75 | | 7/15/2030 | | 670,000 | b | 672,258 | |
Virgin Media Secured Finance PLC, Sr. Scd. Notes | | 5.50 | | 5/15/2029 | | 733,000 | b | 703,602 | |
Ziggo Bond Co. BV, Gtd. Notes | | 5.13 | | 2/28/2030 | | 1,360,000 | b,c | 1,255,155 | |
| | 33,383,704 | |
Metals & Mining - 2.4% | | | | | |
Arsenal AIC Parent LLC, Sr. Scd. Notes | | 8.00 | | 10/1/2030 | | 2,490,000 | b | 2,675,089 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Metals & Mining - 2.4% (continued) | | | | | |
Cleveland-Cliffs, Inc., Gtd. Notes | | 6.75 | | 4/15/2030 | | 1,329,000 | b | 1,353,054 | |
Compass Minerals International, Inc., Gtd. Notes | | 6.75 | | 12/1/2027 | | 2,449,000 | b,c | 2,439,600 | |
First Quantum Minerals Ltd., Scd. Notes | | 9.38 | | 3/1/2029 | | 1,464,000 | b | 1,553,588 | |
FMG Resources August 2006 Pty Ltd., Sr. Unscd. Notes | | 6.13 | | 4/15/2032 | | 1,950,000 | b,c | 1,996,623 | |
Novelis Corp., Gtd. Notes | | 4.75 | | 1/30/2030 | | 1,970,000 | b | 1,911,631 | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.00 | | 6/30/2031 | | 244,648 | d | 229,369 | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.00 | | 6/30/2031 | | 1,055,243 | b,d | 989,339 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 8.25 | | 5/1/2030 | | 1,931,000 | b | 2,028,953 | |
| | 15,177,246 | |
Real Estate - 3.5% | | | | | |
Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp., Scd. Notes | | 7.00 | | 4/15/2030 | | 2,004,948 | b,c | 1,864,416 | |
Iron Mountain, Inc., Gtd. Notes | | 4.88 | | 9/15/2029 | | 3,120,000 | b | 3,058,155 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | | 4.25 | | 2/1/2027 | | 2,744,000 | b | 2,683,680 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | | 7.00 | | 7/15/2031 | | 1,640,000 | b | 1,740,425 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 1,780,000 | b | 1,728,738 | |
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | | 6.50 | | 4/1/2032 | | 2,037,000 | b | 2,106,637 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 8.00 | | 4/1/2029 | | 3,704,000 | b,c | 3,751,381 | |
RLJ Lodging Trust LP, Sr. Scd. Notes | | 4.00 | | 9/15/2029 | | 1,714,000 | b,c | 1,579,225 | |
Starwood Property Trust, Inc., Sr. Unscd. Notes | | 7.25 | | 4/1/2029 | | 1,425,000 | b | 1,495,982 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, Sr. Scd. Notes | | 10.50 | | 2/15/2028 | | 1,922,000 | b | 2,053,102 | |
| | 22,061,741 | |
Retailing - 3.2% | | | | | |
1011778 BC ULC/New Red Finance, Inc., Sr. Scd. Notes | | 5.63 | | 9/15/2029 | | 853,000 | b | 866,392 | |
Beacon Roofing Supply, Inc., Gtd. Notes | | 4.13 | | 5/15/2029 | | 1,361,000 | b | 1,283,522 | |
Carvana Co., Sr. Scd. Notes | | 12.00 | | 12/1/2028 | | 1,039,801 | b,d | 1,092,933 | |
Carvana Co., Sr. Scd. Notes | | 13.00 | | 6/1/2030 | | 2,124,675 | b,d | 2,312,094 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Gtd. Notes | | 6.75 | | 1/15/2030 | | 795,000 | b | 741,189 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 1,064,000 | b | 1,016,735 | |
Foundation Building Materials, Inc., Gtd. Notes | | 6.00 | | 3/1/2029 | | 2,865,000 | b | 2,525,672 | |
PetSmart, Inc./PetSmart Finance Corp., Sr. Scd. Notes | | 4.75 | | 2/15/2028 | | 2,170,000 | b | 2,082,437 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., Sr. Scd. Notes | | 6.38 | | 9/30/2026 | | 1,267,000 | b | 1,263,362 | |
Walgreens Boots Alliance, Inc., Sr. Unscd. Notes | | 8.13 | | 8/15/2029 | | 1,197,000 | c | 1,195,919 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Retailing - 3.2% (continued) | | | | | |
White Cap Buyer LLC, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 2,702,000 | b | 2,729,566 | |
White Cap Parent LLC, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 742,000 | b,d | 743,158 | |
Yum! Brands, Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2030 | | 2,170,000 | b | 2,146,581 | |
| | 19,999,560 | |
Semiconductors & Semiconductor Equipment - .5% | | | | | |
Entegris, Inc., Gtd. Notes | | 5.95 | | 6/15/2030 | | 3,090,000 | b | 3,150,119 | |
Technology Hardware & Equipment - .2% | | | | | |
Western Digital Corp., Gtd. Notes | | 4.75 | | 2/15/2026 | | 1,199,000 | | 1,193,430 | |
Telecommunication Services - 4.1% | | | | | |
Altice Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 1,077,000 | b | 866,515 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 10/15/2029 | | 890,000 | b | 624,370 | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 2,460,000 | b | 1,790,970 | |
C&W Senior Finance Ltd., Sr. Unscd. Notes | | 6.88 | | 9/15/2027 | | 1,947,000 | b | 1,941,916 | |
Consolidated Communications, Inc., Sr. Scd. Notes | | 6.50 | | 10/1/2028 | | 2,114,000 | b,c | 2,001,339 | |
Frontier Communications Holdings LLC, Scd. Notes | | 5.88 | | 11/1/2029 | | 366,000 | | 363,672 | |
Frontier Communications Holdings LLC, Scd. Notes | | 6.00 | | 1/15/2030 | | 367,000 | b | 366,702 | |
Frontier Communications Holdings LLC, Scd. Notes | | 6.75 | | 5/1/2029 | | 2,100,000 | b | 2,116,314 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.63 | | 3/15/2031 | | 1,335,000 | b | 1,440,392 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 1,923,000 | b | 2,050,906 | |
Iliad Holding SASU, Sr. Scd. Bonds | | 8.50 | | 4/15/2031 | | 2,180,000 | b,c | 2,346,718 | |
Level 3 Financing, Inc., Sr. Scd. Notes | | 10.50 | | 4/15/2029 | | 2,265,000 | b | 2,480,286 | |
Level 3 Financing, Inc., Sr. Scd. Notes | | 10.75 | | 12/15/2030 | | 735,000 | b | 810,306 | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.13 | | 4/15/2029 | | 1,482,050 | b | 1,252,332 | |
Optics Bidco SpA, Sr. Scd. Notes | | 7.72 | | 6/4/2038 | | 2,002,000 | b | 2,217,637 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., Sr. Scd. Notes | | 8.25 | | 10/1/2031 | | 1,842,000 | b | 1,875,040 | |
Zayo Group Holdings, Inc., Sr. Scd. Notes | | 4.00 | | 3/1/2027 | | 1,009,000 | b,c | 903,421 | |
Zayo Group Holdings, Inc., Sr. Unscd. Notes | | 6.13 | | 3/1/2028 | | 733,000 | b | 609,035 | |
| | 26,057,871 | |
Utilities - 2.9% | | | | | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 1,270,000 | b | 1,227,674 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 1,579,000 | b | 1,530,199 | |
NextEra Energy Operating Partners LP, Gtd. Notes | | 3.88 | | 10/15/2026 | | 1,812,000 | b | 1,766,561 | |
NextEra Energy Operating Partners LP, Sr. Unscd. Notes | | 7.25 | | 1/15/2029 | | 2,709,000 | b,c | 2,858,481 | |
NRG Energy, Inc., Gtd. Notes | | 3.88 | | 2/15/2032 | | 1,390,000 | b,c | 1,267,494 | |
NRG Energy, Inc., Jr. Sub. Bonds | | 10.25 | | 3/15/2028 | | 2,095,000 | b,e | 2,364,865 | |
PG&E Corp., Sr. Scd. Notes | | 5.00 | | 7/1/2028 | | 2,321,000 | | 2,302,587 | |
Vistra Corp., Jr. Sub. Bonds | | 7.00 | | 12/15/2026 | | 935,000 | b,c,e | 955,246 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Bonds and Notes - 91.1% (continued) | | | |
Utilities - 2.9% (continued) | | | | | |
Vistra Operations Co. LLC, Gtd. Notes | | 4.38 | | 5/1/2029 | | 836,000 | b | 809,810 | |
Vistra Operations Co. LLC, Gtd. Notes | | 6.88 | | 4/15/2032 | | 1,010,000 | b | 1,063,275 | |
Vistra Operations Co. LLC, Gtd. Notes | | 7.75 | | 10/15/2031 | | 2,235,000 | b | 2,407,917 | |
| | 18,554,109 | |
Total Bonds and Notes
(cost $553,700,423) | | 574,967,585 | |
| | | | | | | | | |
Floating Rate Loan Interests - 4.9% | | | | | |
Advertising - .4% | | | | | |
Dotdash Meredith, Inc., Term Loan B, (1 Month SOFR +4.10%) | | 9.30 | | 12/1/2028 | | 2,949 | f | 2,954 | |
Neptune BidCo US, Inc., Term Loan B, (3 Month SOFR +5.10%) | | 10.40 | | 4/11/2029 | | 2,500,214 | f | 2,353,776 | |
| | 2,356,730 | |
Automobiles & Components - .4% | | | | | |
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month SOFR +5.26%) | | 10.51 | | 3/30/2027 | | 1,472,295 | f | 1,459,412 | |
IXS Holdings, Inc., Initial Term Loan, (3 Month SOFR +4.35%) | | 8.95 | | 3/5/2027 | | 1,264,255 | f | 1,234,627 | |
| | 2,694,039 | |
Commercial & Professional Services - .3% | | | | | |
Albion Financing 3 Sarl, 2024 New Amended USD Term Loan, (3 Month SOFR +4.51%) | | 9.83 | | 8/2/2029 | | 1,183,035 | f | 1,191,908 | |
Envalior Finance GmbH, USD Facility Term Loan B-1, (3 Month SOFR +5.50%) | | 10.75 | | 4/3/2030 | | 895,812 | f | 856,173 | |
| | 2,048,081 | |
Consumer Discretionary - .3% | | | | | |
Bally's Corp., Facility Term Loan B, (3 Month SOFR +3.51%) | | 8.79 | | 10/2/2028 | | 1,082,231 | f | 1,033,195 | |
Fitness International LLC, Term Loan B, (3 Month SOFR +5.25%) | | 10.51 | | 2/12/2029 | | 659,341 | f | 658,790 | |
| | 1,691,985 | |
Diversified Financials - .5% | | | | | |
Blackhawk Network Holdings, Inc., Term Loan B, (1 Month SOFR +5.00%) | | 9.85 | | 3/12/2029 | | 1,356,600 | f | 1,364,231 | |
Nexus Buyer LLC, Refinancing Term Loan, (1 Month SOFR +4.00%) | | 8.85 | | 7/31/2031 | | 1,563,039 | f | 1,552,168 | |
| | 2,916,399 | |
Energy - .4% | | | | | |
WaterBridge Midstream Operating LLC, Term Loan B, (3 Month SOFR +4.75%) | | 9.39 | | 6/27/2029 | | 1,082,272 | f | 1,047,872 | |
WaterBridge NDB Operating LLC, Initial Term Loan, (3 Month SOFR +4.50%) | | 9.60 | | 5/10/2029 | | 1,851,507 | f | 1,850,646 | |
| | 2,898,518 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity
Date | | Principal
Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 4.9% (continued) | | | | | |
Financials - .1% | | | | | |
Jump Financial LLC, Term Loan, (3 Month SOFR +4.76%) | | 9.37 | | 8/7/2028 | | 887,035 | f | 880,382 | |
Food Products - .3% | | | | | |
Max US Bidco, Inc., Initial Term Loan, (1 Month SOFR +5.00%) | | 9.85 | | 10/2/2030 | | 1,792,995 | f | 1,703,865 | |
Health Care - .6% | | | | | |
Alvogen Pharma US, Inc., 2022 New Extended June Term Loan, (1 Month SOFR +7.60%) | | 12.45 | | 6/30/2025 | | 734,565 | f | 664,782 | |
Radiology Partners, Inc., Term Loan C, (3 Month SOFR +3.76%) | | 8.88 | | 1/31/2029 | | 1,920,647 | d,f | 1,887,045 | |
Team Health Holdings, Inc., Extended Term Loan, (3 Month SOFR +5.25%) | | 10.50 | | 3/2/2027 | | 1,296,272 | f | 1,243,410 | |
| | 3,795,237 | |
Information Technology - .2% | | | | | |
Ascend Learning LLC, Second Lien Initial Term Loan, (1 Month TSFR +5.75%) | | 11.10 | | 12/10/2029 | | 1,299,992 | f | 1,261,805 | |
Insurance - .1% | | | | | |
OneDigital Borrower LLC, Second Lien Initial Term Loan, (1 Month SOFR +5.25%) | | 10.10 | | 7/2/2032 | | 833,000 | f | 826,752 | |
Internet Software & Services - .2% | | | | | |
MH Sub I LLC, 2023 May New Term Loan, (1 Month SOFR +4.25%) | | 9.10 | | 5/3/2028 | | 1,194,875 | f | 1,188,727 | |
Real Estate - .2% | | | | | |
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month SOFR +3.61%) | | 8.46 | | 6/2/2028 | | 1,193,846 | f | 1,185,000 | |
Retailing - .1% | | | | | |
Staples, Inc., Closing Date Term Loan, (3 Month SOFR +5.75%) | | 10.69 | | 9/10/2029 | | 535,000 | f | 487,422 | |
Semiconductors & Semiconductor Equipment - .1% | | | | | |
Icon Parent, Inc., Second Lien Term Loan, (1 Month TSFR +5.00%) | | 9.85 | | 9/13/2032 | | 695,000 | f | 699,563 | |
Technology Hardware & Equipment - .3% | | | | | |
Indy US Holdco LLC, Ninth Amended Dollar Term Loan, (1 Month SOFR +4.75%) | | 9.60 | | 3/6/2028 | | 1,846,350 | f | 1,843,276 | |
Telecommunication Services - .4% | | | | | |
Lumen Technologies, Inc., Term Loan B-2, (1 Month SOFR +2.46%) | | 7.32 | | 4/15/2030 | | 1,590,976 | f | 1,383,163 | |
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (1 Month SOFR +3.00%) | | 7.96 | | 3/9/2027 | | 990,000 | f | 907,191 | |
| | 2,290,354 | |
Transportation - .0% | | | | | |
PODS LLC, Term Loan, (3 Month SOFR +3.26%) | | 8.51 | | 3/31/2028 | | 241,178 | f | 228,638 | |
Total Floating Rate Loan Interests
(cost $30,613,036) | | 30,996,773 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
| | | | | | | | | |
Exchange-Traded Funds - 2.1% | | | | | |
Registered Investment Companies - 2.1% | | | | | |
iShares $ iBoxx Investment Grade Corporate Bond ETF | | | | | | 25,800 | c | 2,914,884 | |
iShares 10+ Year Investment Grade Corporate Bond ETF | | | | | | 11,890 | | 637,185 | |
iShares 3-7 Year Treasury Bond ETF | | | | | | 7,713 | c | 922,513 | |
iShares 7-10 Year Treasury Bond ETF | | | | | | 9,519 | | 934,004 | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | 58,915 | c | 4,730,874 | |
SPDR Bloomberg High Yield Bond ETF | | | | | | 32,635 | c | 3,191,377 | |
Total Exchange-Traded Funds
(cost $12,832,838) | | 13,330,837 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 3.1% | | | | | |
Registered Investment Companies - 3.1% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $19,244,054) | | 4.95 | | | | 19,244,054 | h | 19,244,054 | |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - 10.0% | | | | | |
Registered Investment Companies - 10.0% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $62,935,069) | | 4.95 | | | | 62,935,069 | h | 62,935,069 | |
Total Investments (cost $679,325,420) | | 111.2% | 701,474,318 | |
Liabilities, Less Cash and Receivables | | (11.2%) | (70,477,792) | |
Net Assets | | 100.0% | 630,996,526 | |
ETF—Exchange-Traded Fund
EURIBOR—Euro Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
SPDR—Standard & Poor's Depository Receipt
TSFR—Term Secured Overnight Financing Rate Reference Rates
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security 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 September 30, 2024, these securities were valued at $531,282,120 or 84.2% of net assets.
c Security, or portion thereof, on loan. At September 30, 2024, the value of the fund’s securities on loan was $81,824,094 and the value of the collateral was $85,161,160, consisting of cash collateral of $62,935,069 and U.S. Government & Agency securities valued at $22,226,091. In addition, the value of collateral may include pending sales that are also on loan.
d Payment-in-kind security and interest may be paid in additional par.
e Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
g Security issued with a zero coupon. Income is recognized through the accretion of discount.
h Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
See notes to financial statements.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Citigroup Global Markets, Inc. |
United States Dollar | 7,777,449 | Euro | 6,975,000 | 10/21/2024 | 6,120 |
United States Dollar | 5,366,283 | British Pound | 4,060,000 | 10/21/2024 | (61,681) |
Gross Unrealized Appreciation | | | 6,120 |
Gross Unrealized Depreciation | | | (61,681) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon High Yield Fund
September 30, 2024 (Unaudited)
The following is a summary of the inputs used as of September 30, 2024 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 10,192,695 | | - | 10,192,695 | |
Corporate Bonds and Notes | - | 564,774,890 | | - | 564,774,890 | |
Exchange-Traded Funds | 13,330,837 | - | | - | 13,330,837 | |
Floating Rate Loan Interests | - | 30,996,773 | | - | 30,996,773 | |
Investment Companies | 82,179,123 | - | | - | 82,179,123 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 6,120 | | - | 6,120 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (61,681) | | - | (61,681) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Trust’s Board of Trustees (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills)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.
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, 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 September 30, 2024 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to
foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At September 30, 2024, accumulated net unrealized appreciation on investments was $22,093,337, consisting of $23,936,613 gross unrealized appreciation and $1,843,276 gross unrealized depreciation.
At September 30, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
