STATEMENT OF INVESTMENTS
BNY Mellon U.S. Mortgage Fund, Inc.
July 31, 2023 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Bonds and Notes - 113.2% | | | | | |
Commercial Mortgage Pass-Through Certificates - 9.4% | | | | | |
Alen Mortgage Trust, Ser. 2021-ACEN, Cl. A, (1 Month TSFR +1.26%) | | 6.49 | | 4/15/2034 | | 6,000,000 | a,b | 5,422,601 | |
GS Mortgage Securities Corp. Trust, Ser. 2017-375H, CI. A | | 3.48 | | 9/10/2037 | | 1,500,000 | b | 1,325,020 | |
GS Mortgage Securities Corp. Trust, Ser. 2019-70P, Cl. A , (1 Month TSFR +1.11%) | | 6.34 | | 10/15/2036 | | 2,500,000 | a,b | 2,399,364 | |
KNDR Trust, Ser. 2021-KIND, Cl. A, (1 Month TSFR +1.06%) | | 6.29 | | 8/15/2038 | | 7,346,901 | a,b | 7,083,729 | |
Morgan Stanley Capital I Trust, Ser. 2015-420, CI. A | | 3.73 | | 10/12/2050 | | 2,220,049 | b | 2,058,253 | |
| | 18,288,967 | |
U.S. Government Agencies Collateralized Mortgage Obligations - 24.4% | | | | | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 3785, CI. LS, (1 Month SOFR +9.67%) | | 0.00 | | 1/15/2041 | | 828,369 | a,c | 704,058 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4423, CI. Z | | 3.50 | | 12/15/2044 | | 1,062,324 | c | 959,158 | |
Federal National Mortgage Association, REMIC, Ser. 2015-9, Cl. ZA | | 3.50 | | 3/25/2045 | | 6,799,870 | c | 6,059,099 | |
Federal National Mortgage Association, REMIC, Ser. 2018-9, Cl. EZ | | 3.00 | | 2/25/2048 | | 1,414,980 | c | 1,142,978 | |
Government National Mortgage Association, Ser. 2010-101, Cl. SH (Interest Only) | | 1.31 | | 8/16/2040 | | 2,540,223 | | 289,169 | |
Government National Mortgage Association, Ser. 2010-89, Cl. Z | | 5.00 | | 7/20/2040 | | 4,040,220 | | 3,946,584 | |
Government National Mortgage Association, Ser. 2013-188, Cl. CG | | 4.00 | | 12/20/2043 | | 282,717 | | 266,183 | |
Government National Mortgage Association, Ser. 2014-145, Cl. KA | | 3.50 | | 1/20/2038 | | 2,137,599 | | 2,025,053 | |
Government National Mortgage Association, Ser. 2015-176, CI. QZ | | 3.50 | | 11/20/2045 | | 852,905 | | 782,742 | |
Government National Mortgage Association, Ser. 2015-185, Cl. PZ | | 3.00 | | 12/20/2045 | | 208,544 | | 184,674 | |
Government National Mortgage Association, Ser. 2017-176, Cl. BZ | | 3.50 | | 11/20/2047 | | 5,052,269 | | 4,505,189 | |
Government National Mortgage Association, Ser. 2017-93, Cl. GY | | 3.50 | | 6/20/2047 | | 6,099,675 | | 5,643,339 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Bonds and Notes - 113.2% (continued) | | | | | |
U.S. Government Agencies Collateralized Mortgage Obligations - 24.4% (continued) | | | | | |
Government National Mortgage Association, Ser. 2018-115, Cl. SJ (Interest Only) | | 0.83 | | 8/20/2048 | | 1,836,943 | | 137,534 | |
Government National Mortgage Association, Ser. 2018-120, Cl. PU | | 3.50 | | 9/20/2048 | | 520,943 | | 479,679 | |
Government National Mortgage Association, Ser. 2018-131, Cl. ML | | 3.50 | | 9/20/2048 | | 5,272,807 | | 4,891,861 | |
Government National Mortgage Association, Ser. 2018-138, Cl. SK (Interest Only) | | 0.83 | | 10/20/2048 | | 748,538 | | 56,035 | |
Government National Mortgage Association, Ser. 2018-146, CI. BL | | 4.00 | | 10/20/2048 | | 354,994 | | 331,158 | |
Government National Mortgage Association, Ser. 2018-160, Cl. PD | | 3.50 | | 1/20/2048 | | 4,789,611 | | 4,359,023 | |
Government National Mortgage Association, Ser. 2018-164, Cl. SW (Interest Only) | | 0.73 | | 12/20/2048 | | 5,213,468 | | 471,425 | |
Government National Mortgage Association, Ser. 2018-46, Cl. CZ | | 3.20 | | 3/20/2048 | | 1,754,402 | | 1,511,535 | |
Government National Mortgage Association, Ser. 2018-65, Cl. SL (Interest Only) | | 0.88 | | 5/20/2048 | | 1,273,382 | | 115,170 | |
Government National Mortgage Association, Ser. 2019-112, Cl. JZ | | 3.00 | | 9/20/2049 | | 750,563 | | 664,529 | |
Government National Mortgage Association, Ser. 2019-119, Cl. IT (Interest Only) | | 5.50 | | 9/20/2049 | | 2,519,806 | | 509,751 | |
Government National Mortgage Association, Ser. 2019-132, Cl. SB (Interest Only) | | 1.00 | | 10/20/2049 | | 1,293,417 | | 74,340 | |
Government National Mortgage Association, Ser. 2019-140, Cl. DI (Interest Only) | | 5.50 | | 11/20/2049 | | 1,113,164 | | 229,504 | |
Government National Mortgage Association, Ser. 2019-23, Cl. SB (Interest Only) | | 0.68 | | 2/20/2049 | | 1,249,200 | | 98,386 | |
Government National Mortgage Association, Ser. 2019-3, CI. JZ | | 4.00 | | 1/20/2049 | | 436,568 | | 412,346 | |
Government National Mortgage Association, Ser. 2019-5, Cl. P | | 3.50 | | 7/20/2048 | | 246,279 | | 230,897 | |
Government National Mortgage Association, Ser. 2019-5, Cl. SM (Interest Only) | | 0.73 | | 1/20/2049 | | 2,087,849 | | 179,174 | |
Government National Mortgage Association, Ser. 2019-57, Cl. NS (Interest Only) | | 0.00 | | 5/20/2049 | | 3,182,904 | | 35,341 | |
Government National Mortgage Association, Ser. 2019-59, Cl. KA | | 3.00 | | 12/20/2048 | | 758,706 | | 679,791 | |
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| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Bonds and Notes - 113.2% (continued) | | | | | |
U.S. Government Agencies Collateralized Mortgage Obligations - 24.4% (continued) | | | | | |
Government National Mortgage Association, Ser. 2019-6, Cl. JK | | 3.50 | | 1/20/2049 | | 897,402 | | 803,770 | |
Government National Mortgage Association, Ser. 2019-70, Cl. AS (Interest Only) | | 0.78 | | 6/20/2049 | | 766,955 | | 50,513 | |
Government National Mortgage Association, Ser. 2020-11, Cl. CB | | 3.50 | | 1/20/2050 | | 2,356,262 | | 2,166,596 | |
Government National Mortgage Association, Ser. 2020-141, Cl. AI (Interest Only) | | 2.50 | | 9/20/2050 | | 2,605,784 | | 354,317 | |
Government National Mortgage Association, Ser. 2020-15, Cl. CB | | 2.50 | | 2/20/2050 | | 766,775 | | 672,867 | |
Government National Mortgage Association, Ser. 2020-162, Cl. DI (Interest Only) | | 2.50 | | 10/20/2050 | | 2,873,794 | | 368,501 | |
Government National Mortgage Association, Ser. 2020-164, Cl. KI (Interest Only) | | 2.50 | | 11/20/2050 | | 3,698,295 | | 503,078 | |
Government National Mortgage Association, Ser. 2020-4, CI. BS (Interest Only) | | 0.05 | | 1/20/2050 | | 2,672,836 | | 102,018 | |
Government National Mortgage Association, Ser. 2020-63, Cl. AI (Interest Only) | | 4.00 | | 5/20/2035 | | 1,591,573 | | 184,174 | |
| | 47,181,539 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities - .3% | | | | | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Ser. Q007, Cl. APT1 | | 5.16 | | 10/25/2047 | | 494,226 | c | 491,915 | |
U.S. Government Agencies Mortgage-Backed - 79.1% | | | | | |
Federal Home Loan Mortgage Corp.: | | | |
6.50%, 4/1/2053 | | | 2,936,554 | c | 2,957,589 | |
Federal National Mortgage Association: | | | |
2.50%, 10/1/2051 | | | 1,622,754 | c | 1,337,634 | |
3.00%, 12/1/2051-2/1/2052 | | | 22,103,936 | c | 19,444,174 | |
5.00%, 6/1/2052 | | | 7,596,812 | c | 7,428,810 | |
6.50%, 5/1/2053 | | | 1,847,069 | c | 1,858,139 | |
7.00% | | | 16,000,000 | c,d | 16,498,125 | |
7.00%, 2/1/2053 | | | 1,560,975 | c | 1,588,678 | |
Government National Mortgage Association I: | | | |
3.50%, 9/15/2041-10/15/2044 | | | 1,771,535 | | 1,661,594 | |
4.00%, 10/15/2039-6/15/2045 | | | 3,875,450 | | 3,696,241 | |
4.50%, 4/15/2039-10/15/2041 | | | 3,002,934 | | 2,952,302 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Bonds and Notes - 113.2% (continued) | | | | | |
U.S. Government Agencies Mortgage-Backed - 79.1% (continued) | | | | | |
Government National Mortgage Association II: | | | |
2.00%, 3/20/2052 | | | 9,408,402 | | 7,876,145 | |
2.50%, 12/20/2050-7/20/2052 | | | 43,677,973 | | 36,903,688 | |
3.00%, 8/20/2046-9/20/2052 | | | 11,748,814 | | 10,502,533 | |
3.50%, 9/20/2042-3/20/2050 | | | 20,720,270 | | 19,389,583 | |
4.00%, 10/20/2047-11/20/2052 | | | 5,957,070 | | 5,707,087 | |
4.50%, 10/20/2049 | | | 893,223 | | 871,466 | |
5.00%, 5/20/2050 | | | 503,420 | | 501,445 | |
6.00% | | | 12,000,000 | d | 12,057,656 | |
| | 153,232,889 | |
Total Bonds and Notes
(cost $247,402,610) | | 219,195,310 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.3% | | | | | |
Registered Investment Companies - 1.3% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $2,560,839) | | 5.38 | | | | 2,560,839 | e | 2,560,839 | |
Total Investments (cost $249,963,449) | | 114.5% | 221,756,149 | |
Liabilities, Less Cash and Receivables | | (14.5%) | (28,080,524) | |
Net Assets | | 100.0% | 193,675,625 | |
REMIC—Real Estate Mortgage Investment Conduit
SOFR—Secured Overnight Financing Rate
TSFR—Term Secured Overnight Financing Rate Reference Rates
a 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.
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 July 31, 2023, these securities were valued at $18,288,967 or 9.44% of net assets.
c The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
d Purchased on a forward commitment basis.
e Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon U.S. Mortgage Fund, Inc.
July 31, 2023 (Unaudited)
The following is a summary of the inputs used as of July 31, 2023 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Commercial Mortgage-Backed | - | 18,288,967 | | - | 18,288,967 | |
Investment Companies | 2,560,839 | - | | - | 2,560,839 | |
U.S. Government Agencies Collateralized Mortgage Obligations | - | 47,181,539 | | - | 47,181,539 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 491,915 | | - | 491,915 | |
U.S. Government Agencies Mortgage-Backed | - | 153,232,889 | | - | 153,232,889 | |
† See Statement of Investments for additional detailed categorizations, if any.
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 fund’s Board of Directors (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills)financial futures and forward foreign currency exchange contracts ("forward contracts") are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
At July 31, 2023, accumulated net unrealized depreciation on investments was $28,207,300, consisting of $323,886 gross unrealized appreciation and $28,531,186 gross unrealized depreciation.
At July 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.
