STATEMENT OF INVESTMENTS
BNY Mellon Global Fixed Income Fund
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% | | | | | |
Australia - .1% | | | | | |
Australia, Sr. Unscd. Bonds, Ser. 150 | AUD | 3.00 | | 3/21/2047 | | 5,240,000 | | 4,273,103 | |
Austria - .7% | | | | | |
Austria, Sr. Unscd. Bonds | EUR | 0.03 | | 2/20/2031 | | 13,400,000 | b | 15,477,017 | |
Suzano Austria GmbH, Gtd. Notes | | 3.13 | | 1/15/2032 | | 1,760,000 | | 1,701,920 | |
Suzano Austria GmbH, Gtd. Notes | | 3.75 | | 1/15/2031 | | 3,575,000 | | 3,676,888 | |
| | 20,855,825 | |
Belgium - .4% | | | | | |
Belgium, Sr. Unscd. Bonds, Ser. 90 | EUR | 0.40 | | 6/22/2040 | | 11,600,000 | b | 12,903,699 | |
Bermuda - .3% | | | | | |
Textainer Marine Containers VII, Ser. 2021-1A, Cl. A | | 1.68 | | 2/20/2046 | | 8,103,333 | b | 7,999,244 | |
British Virgin - .5% | | | | | |
Sinopec Group Overseas Development, Gtd. Notes | | 1.45 | | 1/8/2026 | | 1,400,000 | b,c | 1,395,957 | |
Sinopec Group Overseas Development, Gtd. Notes | | 2.50 | | 8/8/2024 | | 12,840,000 | b | 13,342,165 | |
| | 14,738,122 | |
Canada - 1.8% | | | | | |
BMW Canada Auto Trust, Ser. 2021-1A, Cl. A3 | CAD | 0.76 | | 12/20/2025 | | 8,900,000 | b | 6,976,937 | |
CNH Capital Canada Receivables Trust, Ser. 2021-1A, Cl. A2 | CAD | 1.00 | | 11/16/2026 | | 9,020,000 | b | 7,100,918 | |
Ford Auto Securitization Trust, Ser. 2017-R5A, Cl. A3 | CAD | 2.38 | | 3/15/2023 | | 1,159,029 | b | 919,510 | |
Ford Auto Securitization Trust, Ser. 2018-AA, Cl. A3 | CAD | 2.71 | | 9/15/2023 | | 4,000,926 | b | 3,185,575 | |
Ford Auto Securitization Trust, Ser. 2018-BA, Cl. A3 | CAD | 2.84 | | 1/15/2024 | | 7,483,562 | b | 5,982,419 | |
Ford Auto Securitization Trust, Ser. 2020-AA, Cl. A3 | CAD | 1.15 | | 11/15/2025 | | 7,825,000 | b | 6,172,854 | |
GMF Canada Leasing Trust, Ser. 2020-1A, Cl. A3 | CAD | 1.05 | | 11/20/2025 | | 6,325,000 | b | 5,010,313 | |
GMF Canada Leasing Trust, Ser. 2021-1A, Cl. A3 | CAD | 0.87 | | 5/20/2026 | | 9,345,000 | b | 7,369,240 | |
MBarc Credit Canada, Ser. 2021-AA, Cl. A3 | CAD | 0.93 | | 2/17/2026 | | 7,200,000 | b | 5,670,128 | |
Nutrien, Sr. Unscd. Notes | | 1.90 | | 5/13/2023 | | 2,300,000 | | 2,350,528 | |
Teck Resources, Sr. Unscd. Notes | | 6.25 | | 7/15/2041 | | 940,000 | | 1,256,384 | |
| | 51,994,806 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
Cayman Islands - 5.4% | | | | | |
Avery Point VII CLO, Ser. 2015-7A, Cl. AR2, 3 Month LIBOR +.96% | | 1.09 | | 1/15/2028 | | 6,216,770 | b,d | 6,217,435 | |
Bain Capital Credit CLO, Ser. 2020-3A, Cl. A, 3 Month LIBOR +1.38% | | 1.52 | | 10/23/2032 | | 8,155,000 | b,d | 8,157,430 | |
Bain Capital Credit CLO, Ser. 2020-5A, Cl. A1, 3 Month LIBOR +1.22% | | 1.35 | | 1/20/2032 | | 3,275,000 | b,d | 3,277,342 | |
Buckhorn Park CLO, Ser. 2019-1A, Cl. B1R, 3 Month LIBOR +1.65% | | 1.76 | | 7/18/2034 | | 7,550,000 | b,d | 7,555,104 | |
Carlyle US CLO, Ser. 2017-1A, Cl. A2R, 3 Month LIBOR +1.60% | | 1.73 | | 4/20/2031 | | 7,850,000 | b,d | 7,857,693 | |
Cent 21 CLO, Ser. 2014-21A, Cl. A1R3, 3 Month LIBOR +.97% | | 1.10 | | 7/27/2030 | | 7,600,000 | b,d | 7,601,368 | |
CK Hutchison Europe Finance 18, Gtd. Bonds | EUR | 1.25 | | 4/13/2025 | | 2,045,000 | | 2,467,329 | |
CK Hutchison Finance 16 II, Gtd. Bonds | EUR | 0.88 | | 10/3/2024 | | 5,185,000 | | 6,157,217 | |
Columbia Cent 30 CLO, Ser. 2020-30A, Cl. A1, 3 Month LIBOR +1.31% | | 1.44 | | 1/20/2034 | | 7,625,000 | b,d | 7,638,275 | |
DP World Salaam, Jr. Sub. Notes | | 6.00 | | 10/1/2025 | | 6,725,000 | e | 7,381,266 | |
Dryden 41 Senior Loan Fund CLO, Ser. 2015-41A, Cl. AR, 3 Month LIBOR +.97% | | 1.10 | | 4/15/2031 | | 6,975,000 | b,d | 6,977,260 | |
Dryden XXVI Senior Loan Fund CLO, Ser. 2013-26A, Cl. AR, 3 Month LIBOR +.90% | | 1.03 | | 4/15/2029 | | 7,870,960 | b,d | 7,871,999 | |
Madison Park Funding XXX CLO, Ser. 2018-30A, Cl. A, 3 Month LIBOR +.75% | | 0.88 | | 4/15/2029 | | 7,802,492 | b,d | 7,803,554 | |
Magnetite XIX CLO, Ser. 2017-19A, Cl. AR, 3 Month LIBOR +1.05% | | 1.18 | | 4/17/2034 | | 7,000,000 | b,d | 7,007,826 | |
Magnetite XVII CLO, Ser. 2016-17A, Cl. AR, 3 Month LIBOR +1.10% | | 1.23 | | 7/20/2031 | | 8,025,000 | b,d | 8,029,406 | |
Magnetite XXVIII CLO, Ser. 2020-28A, Cl. A, 3 Month LIBOR +1.27% | | 1.40 | | 10/25/2031 | | 5,660,000 | b,d | 5,661,732 | |
MF1 2021-FL7, Ser. 2021-FL7, CI. AS, 1 Month LIBOR +1.45% | | 1.55 | | 10/18/2036 | | 5,500,000 | b,d | 5,519,228 | |
Milos CLO, Ser. 2017-1A, Cl. AR, 3 Month LIBOR +1.07% | | 1.20 | | 10/20/2030 | | 7,150,000 | b,d | 7,150,901 | |
Race Point IX CLO, Ser. 2015-9A, CI. A1A2, 3 Month LIBOR +.94% | | 1.07 | | 10/15/2030 | | 7,150,000 | b,d | 7,150,887 | |
RIN IV CLO, Ser. 2021-1A, CI. A, 3 Month LIBOR +1.30% | | 1.43 | | 4/20/2033 | | 5,225,000 | b,d | 5,232,472 | |
SA Global Sukuk, Sr. Unscd. Notes | | 1.60 | | 6/17/2026 | | 3,275,000 | b | 3,258,641 | |
Taconic Park CLO, Ser. 2016-1A, Cl. A1R, 3 Month LIBOR +1.00% | | 1.13 | | 1/20/2029 | | 7,150,000 | b,d | 7,154,404 | |
TCI-Flatiron CLO, Ser. 2017-1A, CI. AR, 3 Month LIBOR +.96% | | 1.08 | | 11/18/2030 | | 1,300,000 | b,d | 1,300,374 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
Cayman Islands - 5.4% (continued) | | | | | |
Thompson Park CLO, Ser. 2021-1A, CI. A1, 3 Month LIBOR +1.00% | | 1.20 | | 4/15/2034 | | 7,975,000 | b,d | 7,982,672 | |
Vale Overseas, Gtd. Notes | | 6.25 | | 8/10/2026 | | 1,307,000 | | 1,546,161 | |
Voya CLO, Ser. 2019-1A, Cl. AR, 3 Month LIBOR +1.06% | | 1.19 | | 4/15/2031 | | 4,025,000 | b,d | 4,025,918 | |
| | 157,983,894 | |
Chile - .3% | | | | | |
Inversiones, Gtd. Notes | | 3.00 | | 4/6/2031 | | 5,900,000 | b | 5,864,010 | |
VTR Comunicaciones, Sr. Scd. Notes | | 5.13 | | 1/15/2028 | | 2,156,000 | b,c | 2,290,599 | |
| | 8,154,609 | |
China - 5.0% | | | | | |
China, Bonds, Ser. 1827 | CNY | 3.25 | | 11/22/2028 | | 191,700,000 | | 30,394,068 | |
China, Unscd. Bonds | CNY | 3.81 | | 9/14/2050 | | 542,850,000 | | 89,179,809 | |
China Development Bank, Unscd. Bonds, Ser. 1905 | CNY | 3.48 | | 1/8/2029 | | 178,000,000 | | 27,879,409 | |
| | 147,453,286 | |
Egypt - .2% | | | | | |
Egypt, Sr. Unscd. Notes | | 7.30 | | 9/30/2033 | | 6,800,000 | b | 6,620,140 | |
France - 2.9% | | | | | |
Credit Agricole, Sub. Notes | | 3.25 | | 1/14/2030 | | 7,250,000 | | 7,603,355 | |
Credit Agricole Home Loan SFH, Covered Notes | EUR | 1.25 | | 3/24/2031 | | 6,700,000 | c | 8,576,752 | |
France, Bonds | EUR | 0.75 | | 5/25/2028 | | 51,050,000 | | 63,007,029 | |
Orange, Sr. Unscd. Notes | EUR | -0.03 | | 9/4/2026 | | 5,100,000 | | 5,903,377 | |
| | 85,090,513 | |
Germany - 6.0% | | | | | |
Bundesobligation, Bonds, Ser. 184 | EUR | -0.63 | | 10/9/2026 | | 100,000,000 | | 119,109,655 | |
Bundesrepublik Deutschland Bundesanleihe, Bonds | EUR | -0.32 | | 8/15/2031 | | 25,000,000 | | 29,520,463 | |
Bundesrepublik Deutschland Bundesanleihe, Bonds, Ser. 98 | EUR | 4.75 | | 7/4/2028 | | 17,575,000 | | 27,665,324 | |
| | 176,295,442 | |
Ghana - .1% | | | | | |
Ghana, Sr. Unscd. Notes | | 8.63 | | 4/7/2034 | | 4,125,000 | b | 3,935,168 | |
Hungary - .1% | | | | | |
Hungary, Sr. Unscd. Notes | | 7.63 | | 3/29/2041 | | 1,765,000 | | 2,946,738 | |
Indonesia - .3% | | | | | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Sr. Unscd. Notes | EUR | 1.88 | | 11/5/2031 | | 5,100,000 | | 5,767,457 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Sr. Unscd. Notes | | 3.00 | | 6/30/2030 | | 4,640,000 | c | 4,638,840 | |
| | 10,406,297 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
Ireland - .5% | | | | | |
AerCap Global Aviation Trust, Gtd. Notes | | 2.88 | | 8/14/2024 | | 3,105,000 | | 3,235,834 | |
AerCap Global Aviation Trust, Gtd. Notes | | 4.45 | | 10/1/2025 | | 2,900,000 | | 3,171,568 | |
AerCap Global Aviation Trust, Gtd. Notes | | 6.50 | | 7/15/2025 | | 4,000,000 | | 4,639,715 | |
Ireland, Bonds | EUR | 2.00 | | 2/18/2045 | | 2,150,000 | | 3,176,587 | |
| | 14,223,704 | |
Italy - 2.6% | | | | | |
Italy, Sr. Unscd. Notes | | 2.88 | | 10/17/2029 | | 15,400,000 | | 15,967,111 | |
Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Bonds | EUR | 2.45 | | 9/1/2050 | | 44,815,000 | b | 59,583,190 | |
| | 75,550,301 | |
Ivory Coast - .1% | | | | | |
Ivory Coast, Sr. Unscd. Notes | EUR | 4.88 | | 1/30/2032 | | 3,650,000 | b | 4,129,056 | |
Japan - 8.1% | | | | | |
Japan (10 Year Issue), Bonds, Ser. 336 | JPY | 0.50 | | 12/20/2024 | | 3,319,950,000 | | 30,414,945 | |
Japan (10 Year Issue), Bonds, Ser. 348 | JPY | 0.10 | | 9/20/2027 | | 2,945,650,000 | | 26,743,380 | |
Japan (20 Year Issue), Bonds, Ser. 156 | JPY | 0.40 | | 3/20/2036 | | 9,023,250,000 | | 82,869,926 | |
Japan (30 Year Issue), Bonds, Ser. 66 | JPY | 0.40 | | 3/20/2050 | | 8,242,600,000 | | 69,331,495 | |
OSCAR US Funding Trust VII, Ser. 2017-2A, Cl. A4 | | 2.76 | | 12/10/2024 | | 3,281,799 | b | 3,305,467 | |
OSCAR US Funding Trust VIII, Ser. 2018-1A, Cl. A4 | | 3.50 | | 5/12/2025 | | 5,480,413 | b | 5,577,124 | |
OSCAR US Funding X, Ser. 2019-1A, Cl. A4 | | 3.27 | | 5/11/2026 | | 6,750,000 | b | 6,987,273 | |
OSCAR US Funding XI, Ser. 2019-2A, Cl. A4 | | 2.68 | | 9/10/2026 | | 9,520,000 | b | 9,841,864 | |
Takeda Pharmaceutical, Sr. Unscd. Notes | EUR | 2.00 | | 7/9/2040 | | 2,175,000 | | 2,713,318 | |
| | 237,784,792 | |
Kazakhstan - .1% | | | | | |
Development Bank of Kazakhstan, Sr. Unscd. Notes | | 4.13 | | 12/10/2022 | | 2,025,000 | | 2,099,587 | |
Luxembourg - .8% | | | | | |
CK Hutchison Group Telecom Finance, Gtd. Notes | EUR | 1.13 | | 10/17/2028 | | 3,650,000 | | 4,376,612 | |
DH Europe Finance II, Gtd. Bonds | EUR | 0.20 | | 3/18/2026 | | 6,120,000 | | 7,131,207 | |
JBS Finance Luxembourg, Gtd. Notes | | 3.63 | | 1/15/2032 | | 4,775,000 | b | 4,870,548 | |
Medtronic Global Holdings, Gtd. Notes | EUR | 0.75 | | 10/15/2032 | | 2,900,000 | | 3,382,837 | |
Medtronic Global Holdings, Gtd. Notes | EUR | 1.63 | | 3/7/2031 | | 2,000,000 | | 2,547,668 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
Luxembourg - .8% (continued) | | | | | |
Millicom International Cellular, Sr. Unscd. Notes | | 4.50 | | 4/27/2031 | | 1,300,000 | b | 1,361,497 | |
| | 23,670,369 | |
Malaysia - .3% | | | | | |
Malaysia, Bonds, Ser. 219 | MYR | 3.89 | | 8/15/2029 | | 37,430,000 | | 9,256,127 | |
Mexico - 2.7% | | | | | |
Banco Santander Mexico, Sr. Unscd. Notes | | 5.38 | | 4/17/2025 | | 4,750,000 | b | 5,315,013 | |
Infraestructura Energetica Nova, Sr. Unscd. Notes | | 4.88 | | 1/14/2048 | | 3,950,000 | | 4,077,210 | |
Metalsa, Gtd. Notes | | 3.75 | | 5/4/2031 | | 4,825,000 | b | 4,724,905 | |
Mexico, Bonds, Ser. M | MXN | 5.75 | | 3/5/2026 | | 130,000,000 | | 6,011,320 | |
Mexico, Bonds, Ser. M | MXN | 7.75 | | 5/29/2031 | | 821,500,000 | | 40,834,020 | |
Mexico, Sr. Unscd. Notes | | 3.75 | | 4/19/2071 | | 3,115,000 | | 2,699,116 | |
Mexico, Sr. Unscd. Notes | | 6.05 | | 1/11/2040 | | 3,800,000 | | 4,661,992 | |
Nemak, Sr. Unscd. Notes | | 3.63 | | 6/28/2031 | | 4,200,000 | b | 4,158,000 | |
Petroleos Mexicanos, Gtd. Notes | | 6.84 | | 1/23/2030 | | 7,755,000 | | 8,020,376 | |
| | 80,501,952 | |
Netherlands - 1.9% | | | | | |
Braskem Netherlands Finance, Gtd. Notes | | 5.88 | | 1/31/2050 | | 3,750,000 | b | 4,270,313 | |
EDP Finance, Sr. Unscd. Notes | EUR | 0.38 | | 9/16/2026 | | 5,815,000 | c | 6,812,257 | |
Enel Finance International, Gtd. Notes | EUR | 0.38 | | 6/17/2027 | | 7,275,000 | | 8,503,067 | |
Equate Petrochemical, Gtd. Notes | | 2.63 | | 4/28/2028 | | 3,400,000 | b | 3,427,618 | |
Iberdrola International, Gtd. Notes | EUR | 1.13 | | 1/27/2023 | | 1,400,000 | c | 1,654,314 | |
ING Groep, Sub. Bonds | EUR | 2.00 | | 3/22/2030 | | 4,600,000 | | 5,619,117 | |
ING Groep, Sub. Notes | EUR | 3.00 | | 4/11/2028 | | 5,200,000 | | 6,297,617 | |
Mamoura Diversified Global Holding, Gtd. Notes | | 2.50 | | 11/7/2024 | | 3,550,000 | | 3,712,036 | |
VEON Holdings, Sr. Unscd. Notes | | 3.38 | | 11/25/2027 | | 7,280,000 | b | 7,389,637 | |
Volkswagen International Finance, Gtd. Bonds, Ser. 10Y | EUR | 1.88 | | 3/30/2027 | | 2,200,000 | | 2,761,607 | |
WPC Eurobond, Gtd. Bonds | EUR | 2.25 | | 7/19/2024 | | 2,975,000 | | 3,652,767 | |
WPC Eurobond, Gtd. Notes | EUR | 1.35 | | 4/15/2028 | | 2,200,000 | | 2,640,626 | |
WPC Eurobond, Gtd. Notes | EUR | 2.13 | | 4/15/2027 | | 685,000 | | 861,824 | |
| | 57,602,800 | |
Nigeria - .1% | | | | | |
Nigeria, Sr. Unscd. Notes | | 7.38 | | 9/28/2033 | | 3,275,000 | b | 3,307,881 | |
Norway - .3% | | | | | |
Equinor, Gtd. Notes | | 3.25 | | 11/18/2049 | | 7,350,000 | | 7,798,380 | |
Yara International, Sr. Unscd. Notes | | 3.15 | | 6/4/2030 | | 2,150,000 | b | 2,269,522 | |
| | 10,067,902 | |
Philippines - .5% | | | | | |
Philippine, Sr. Unscd. Notes | EUR | 0.14 | | 2/3/2023 | | 8,600,000 | | 9,959,927 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
Philippines - .5% (continued) | | | | | |
Philippine, Sr. Unscd. Notes | EUR | 0.88 | | 5/17/2027 | | 3,000,000 | | 3,555,741 | |
| | 13,515,668 | |
Qatar - .3% | | | | | |
Qatar Petroleum, Sr. Unscd. Notes | | 2.25 | | 7/12/2031 | | 9,550,000 | b | 9,471,403 | |
Romania - .4% | | | | | |
Romania, Bonds | EUR | 3.62 | | 5/26/2030 | | 2,725,000 | b | 3,559,021 | |
Romania, Sr. Unscd. Notes | EUR | 2.50 | | 2/8/2030 | | 2,670,000 | b | 3,241,920 | |
Romania, Unscd. Notes | EUR | 2.75 | | 4/14/2041 | | 3,435,000 | b | 3,705,914 | |
| | 10,506,855 | |
Russia - .5% | | | | | |
Russia, Bonds, Ser. 6228 | RUB | 7.65 | | 4/10/2030 | | 1,046,950,000 | | 14,836,547 | |
Saudi Arabia - .0% | | | | | |
Saudi Arabian Oil Co., Sr. Unscd. Notes | | 1.63 | | 11/24/2025 | | 1,560,000 | b | 1,562,340 | |
Senegal - .1% | | | | | |
Senegal, Sr. Unscd. Notes | EUR | 5.38 | | 6/8/2037 | | 3,500,000 | b | 4,005,088 | |
Serbia - .4% | | | | | |
Serbia, Sr. Unscd. Notes | EUR | 2.05 | | 9/23/2036 | | 8,125,000 | b | 8,845,298 | |
Serbia, Sr. Unscd. Notes | EUR | 3.13 | | 5/15/2027 | | 2,260,000 | b | 2,880,004 | |
| | 11,725,302 | |
Singapore - .2% | | | | | |
Singapore, Bonds | SGD | 2.63 | | 5/1/2028 | | 9,000,000 | | 7,188,467 | |
South Korea - .7% | | | | | |
Korea, Bonds, Ser. 2812 | KRW | 2.38 | | 12/10/2028 | | 11,350,200,000 | | 9,784,941 | |
Korea, Bonds, Ser. 4903 | KRW | 2.00 | | 3/10/2049 | | 8,000,000,000 | | 6,394,775 | |
Korea Treasury Bond, Sr. Unscd. Bonds, Ser. 5103 | KRW | 1.88 | | 3/10/2051 | | 4,753,450,000 | | 3,715,457 | |
| | 19,895,173 | |
Spain - 2.2% | | | | | |
Banco Santander, Covered Notes | EUR | 0.88 | | 5/9/2031 | | 6,800,000 | c | 8,413,732 | |
Spain, Bonds | EUR | 0.60 | | 10/31/2029 | | 42,550,000 | b | 50,984,870 | |
Spain, Sr. Unscd. Bonds | EUR | 1.25 | | 10/31/2030 | | 3,385,000 | b | 4,250,952 | |
| | 63,649,554 | |
Supranational - 1.2% | | | | | |
Africa Finance, Sr. Unscd. Notes | | 2.88 | | 4/28/2028 | | 4,950,000 | b | 4,992,570 | |
Banque Ouest Africaine de Developpement, Sr. Unscd. Notes | | 5.00 | | 7/27/2027 | | 7,720,000 | | 8,673,690 | |
Corp. Andina de Fomento, Sr. Unscd. Notes | | 3.25 | | 2/11/2022 | | 8,250,000 | | 8,339,699 | |
The African Export-Import Bank, Sr. Unscd. Notes | | 3.80 | | 5/17/2031 | | 4,075,000 | b | 4,231,888 | |
The African Export-Import Bank, Sr. Unscd. Notes | | 5.25 | | 10/11/2023 | | 7,500,000 | | 8,109,225 | |
| | 34,347,072 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
Switzerland - .5% | | | | | |
Credit Suisse Group, Sr. Unscd. Notes | | 4.28 | | 1/9/2028 | | 5,725,000 | b | 6,367,121 | |
UBS Group, Jr. Sub. Notes | | 7.00 | | 1/31/2024 | | 6,575,000 | b,c,e | 7,177,632 | |
| | 13,544,753 | |
Thailand - 1.0% | | | | | |
PTT Treasury Center, Gtd. Notes | | 3.70 | | 7/16/2070 | | 2,860,000 | b,c | 2,881,064 | |
Thailand, Bonds | THB | 2.88 | | 12/17/2028 | | 312,520,000 | | 10,094,123 | |
Thailand, Sr. Unscd. Bonds | THB | 2.13 | | 12/17/2026 | | 492,750,000 | | 15,343,226 | |
| | 28,318,413 | |
Ukraine - .2% | | | | | |
Ukraine, Sr. Unscd. Notes | | 1.26 | | 5/31/2040 | | 5,100,000 | d | 5,580,736 | |
United Arab Emirates - .1% | | | | | |
Abu Dhabi Crude Oil Pipeline, Sr. Scd. Bonds | | 4.60 | | 11/2/2047 | | 2,460,000 | b | 2,911,796 | |
United Kingdom - 4.8% | | | | | |
AstraZeneca, Sr. Unscd. Notes | | 3.00 | | 5/28/2051 | | 4,645,000 | c | 4,799,857 | |
Barclays, Jr. Sub. Bonds | | 7.88 | | 3/15/2022 | | 6,840,000 | e | 7,010,863 | |
Barclays, Jr. Sub. Notes | | 8.00 | | 6/15/2024 | | 4,151,000 | | 4,690,651 | |
BAT International Finance, Gtd. Notes | EUR | 2.25 | | 1/16/2030 | | 5,700,000 | | 7,042,929 | |
Brass No. 10, Ser. 10-A, Cl. A1 | | 0.67 | | 4/16/2069 | | 3,694,864 | b | 3,695,721 | |
Gemgarto, Ser. 2021-1A, Cl. A, 3 Month SONIA +.59% | GBP | 0.64 | | 12/16/2067 | | 6,416,438 | b,d | 8,699,880 | |
Lanark Master Issuer, Ser. 2020-1A, Cl. 1A | | 2.28 | | 12/22/2069 | | 5,600,000 | b | 5,720,361 | |
MARB BondCo, Gtd. Bonds | | 3.95 | | 1/29/2031 | | 5,850,000 | b | 5,595,642 | |
United Kingdom Gilt, Bonds | GBP | 0.25 | | 7/31/2031 | | 25,400,000 | | 31,717,315 | |
United Kingdom Gilt, Bonds | GBP | 0.38 | | 10/22/2026 | | 27,400,000 | | 36,418,707 | |
United Kingdom Gilt, Bonds | GBP | 0.63 | | 10/22/2050 | | 18,500,000 | | 20,402,668 | |
Vodafone Group, Jr. Sub. Bonds | EUR | 3.10 | | 1/3/2079 | | 4,100,000 | c | 4,941,954 | |
| | 140,736,548 | |
United States - 43.4% | | | | | |
7-Eleven, Sr. Unscd. Notes | | 2.80 | | 2/10/2051 | | 6,325,000 | b | 5,854,651 | |
Abbott Laboratories, Sr. Unscd. Notes | | 3.75 | | 11/30/2026 | | 1,616,000 | | 1,813,746 | |
AEP Transmission, Sr. Unscd. Notes | | 3.10 | | 12/1/2026 | | 3,680,000 | | 3,970,427 | |
Air Lease, Sr. Unscd. Notes | | 2.88 | | 1/15/2026 | | 4,500,000 | | 4,704,225 | |
Air Products & Chemicals, Sr. Unscd. Notes | | 1.50 | | 10/15/2025 | | 1,425,000 | | 1,451,715 | |
Air Products & Chemicals, Sr. Unscd. Notes | | 1.85 | | 5/15/2027 | | 1,575,000 | | 1,623,585 | |
Ally Financial, Jr. Sub. Notes, Ser. B | | 4.70 | | 5/15/2026 | | 9,315,000 | | 9,724,627 | |
Ally Financial, Sub. Notes | | 5.75 | | 11/20/2025 | | 1,315,000 | | 1,504,353 | |
Amazon.com, Sr. Unscd. Notes | | 3.15 | | 8/22/2027 | | 7,875,000 | | 8,663,335 | |
American Express, Sr. Unscd. Notes | | 2.50 | | 7/30/2024 | | 4,850,000 | | 5,099,910 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
American Homes 4 Rent Trust, Ser. 2014-SFR3, Cl. A | | 3.68 | | 12/17/2036 | | 3,961,781 | b | 4,210,272 | |
American International Group, Sr. Unscd. Notes | | 4.20 | | 4/1/2028 | | 2,790,000 | | 3,181,385 | |
AmeriCredit Automobile Receivables Trust, Ser. 2020-1, Cl. C | | 1.59 | | 10/20/2025 | | 8,725,000 | | 8,875,826 | |
Arbor Multifamily Mortgage Securities Trust, Ser. 2021-MF3, CI. A5 | | 2.57 | | 10/15/2054 | | 3,850,000 | b,f | 3,972,947 | |
AstraZeneca Finance, Gtd. Notes | | 2.25 | | 5/28/2031 | | 2,430,000 | c | 2,469,600 | |
AT&T, Sr. Unscd. Notes | EUR | 0.25 | | 3/4/2026 | | 4,725,000 | | 5,506,552 | |
AT&T, Sr. Unscd. Notes | EUR | 2.35 | | 9/5/2029 | | 2,763,000 | | 3,618,672 | |
AT&T, Sr. Unscd. Notes | EUR | 1.80 | | 9/14/2039 | | 2,330,000 | | 2,749,345 | |
AT&T, Sr. Unscd. Notes | EUR | 2.05 | | 5/19/2032 | | 2,150,000 | | 2,758,587 | |
Bank, Ser. 2019-BN19, Cl. A2 | | 2.93 | | 8/15/2061 | | 7,850,000 | | 8,310,906 | |
BBCMS Mortgage Trust, Ser. 2019-BWAY, Cl. A, 1 Month LIBOR +.96% | | 1.04 | | 11/15/2034 | | 6,400,000 | b,d | 6,390,216 | |
Berkshire Hathaway, Sr. Unscd. Notes | EUR | 0.09 | | 3/12/2025 | | 7,285,000 | | 8,469,064 | |
Berry Global, Sr. Scd. Notes | | 1.57 | | 1/15/2026 | | 3,815,000 | b | 3,818,777 | |
BF Mortgage Trust, Ser. 2019-NYT, Cl. A, 1 Month LIBOR +1.20% | | 1.28 | | 12/15/2035 | | 7,500,000 | b,d | 7,514,857 | |
BX Commercial Mortgage Trust, Ser. 2020-BXLP, Cl. A, 1 Month LIBOR +.80% | | 0.88 | | 12/15/2036 | | 9,105,364 | b,d | 9,122,748 | |
BXHPP Trust, Ser. 2021-FILM, Cl. B, 1 Month LIBOR +.90% | | 0.98 | | 8/15/2036 | | 9,620,000 | b,d | 9,643,528 | |
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. A, 1 Month LIBOR +1.07% | | 1.15 | | 12/15/2037 | | 8,350,000 | b,d | 8,373,150 | |
Cameron LNG, Sr. Scd. Notes | | 2.90 | | 7/15/2031 | | 8,575,000 | b | 9,097,645 | |
Capital One Financial, Sub. Notes | | 2.36 | | 7/29/2032 | | 7,585,000 | | 7,432,666 | |
CarMax Auto Owner Trust, Ser. 2018-1, Cl. D | | 3.37 | | 7/15/2024 | | 1,360,000 | | 1,375,329 | |
CarMax Auto Owner Trust, Ser. 2019-3, Cl. B | | 2.50 | | 4/15/2025 | | 3,445,000 | | 3,554,213 | |
CarMax Auto Owner Trust, Ser. 2019-3, Cl. C | | 2.60 | | 6/16/2025 | | 3,065,000 | | 3,164,418 | |
Carrier Global, Sr. Unscd. Notes | | 2.49 | | 2/15/2027 | | 6,020,000 | | 6,297,828 | |
Carrier Global, Sr. Unscd. Notes | | 2.72 | | 2/15/2030 | | 2,035,000 | | 2,106,678 | |
Carvana Auto Receivables Trust, Ser. 2021-N2, Cl. C | | 1.07 | | 3/10/2028 | | 4,600,000 | | 4,608,207 | |
CCO Holdings, Sr. Unscd. Notes | | 4.50 | | 8/15/2030 | | 4,105,000 | b | 4,240,342 | |
Centene, Sr. Unscd. Notes | | 3.00 | | 10/15/2030 | | 4,250,000 | | 4,361,563 | |
Centene, Sr. Unscd. Notes | | 3.38 | | 2/15/2030 | | 4,415,000 | | 4,576,368 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
CF Hippolyta, Ser. 2020-1, Cl. A1 | | 1.69 | | 7/15/2060 | | 7,675,693 | b | 7,785,207 | |
CF Hippolyta, Ser. 2021-1A, Cl. A1 | | 1.53 | | 3/15/2061 | | 6,442,038 | b | 6,489,704 | |
CGDB Commercial Mortgage Trust, Ser. 2019-MOB, Cl. A, 1 Month LIBOR +.95% | | 1.03 | | 11/15/2036 | | 5,750,000 | b,d | 5,756,032 | |
CHC Commercial Mortgage Trust, Ser. 2019-CHC, Cl. A, 1 Month LIBOR +1.12% | | 1.20 | | 6/15/2034 | | 8,934,784 | b,d | 8,943,578 | |
CHC Commercial Mortgage Trust, Ser. 2019-CHC, Cl. B, 1 Month LIBOR +1.50% | | 1.58 | | 6/15/2034 | | 3,375,363 | b,d | 3,375,156 | |
Cheniere Corpus Christi Holdings, Sr. Scd. Notes | | 3.70 | | 11/15/2029 | | 2,765,000 | | 3,002,230 | |
Cheniere Energy, Sr. Scd. Notes | | 4.63 | | 10/15/2028 | | 4,225,000 | | 4,457,375 | |
Cheniere Energy Partners, Gtd. Notes | | 4.00 | | 3/1/2031 | | 5,935,000 | b | 6,222,551 | |
Cigna, Gtd. Notes | | 4.38 | | 10/15/2028 | | 8,825,000 | | 10,206,256 | |
CIT Group, Sub. Notes | | 6.13 | | 3/9/2028 | | 6,025,000 | | 7,290,973 | |
Citigroup, Jr. Sub. Bonds | | 5.90 | | 2/15/2023 | | 3,622,000 | e | 3,784,990 | |
Citigroup, Jr. Sub. Bonds, Ser. D | | 5.35 | | 5/15/2023 | | 6,725,000 | e | 6,943,563 | |
Citigroup, Jr. Sub. Bonds, Ser. M | | 6.30 | | 5/15/2024 | | 4,520,000 | e | 4,890,640 | |
Citigroup Commercial Mortgage Trust, Ser. 2014-GC25, Cl. B | | 4.35 | | 10/10/2047 | | 3,925,000 | | 4,218,497 | |
Citizens Bank, Sr. Unscd. Notes | | 2.25 | | 4/28/2025 | | 14,075,000 | | 14,645,123 | |
CNX Resources, Gtd. Notes | | 6.00 | | 1/15/2029 | | 1,065,000 | b | 1,127,569 | |
Commercial Mortgage Trust, Ser. 2014-CR16, Cl. A3 | | 3.78 | | 4/10/2047 | | 8,873,176 | | 9,410,017 | |
ConocoPhillips, Gtd. Notes | | 3.75 | | 10/1/2027 | | 3,750,000 | b | 4,190,472 | |
Continental Resources, Gtd. Notes | | 5.75 | | 1/15/2031 | | 3,670,000 | b | 4,440,700 | |
Crown Americas, Gtd. Notes | | 4.75 | | 2/1/2026 | | 4,325,000 | | 4,462,751 | |
Crown Castle International, Sr. Unscd. Notes | | 3.15 | | 7/15/2023 | | 3,150,000 | | 3,289,620 | |
CyrusOne, Gtd. Notes | EUR | 1.45 | | 1/22/2027 | | 2,575,000 | c | 3,002,955 | |
CyrusOne, Gtd. Notes | | 2.90 | | 11/15/2024 | | 1,280,000 | | 1,343,014 | |
CyrusOne, Gtd. Notes | | 3.45 | | 11/15/2029 | | 3,400,000 | | 3,545,350 | |
Danaher, Sr. Unscd. Notes | EUR | 2.50 | | 3/30/2030 | | 2,025,000 | | 2,714,215 | |
DataBank Issuer, Ser. 2021-1A, Cl. A2 | | 2.06 | | 2/27/2051 | | 6,055,000 | b | 6,057,788 | |
DaVita, Gtd. Notes | | 3.75 | | 2/15/2031 | | 7,640,000 | b | 7,449,000 | |
Dell Equipment Finance Trust, Ser. 2018-2, Cl. C | | 3.72 | | 10/22/2023 | | 2,456,908 | b | 2,464,085 | |
Dell International, Sr. Scd. Notes | | 6.02 | | 6/15/2026 | | 4,650,000 | | 5,535,095 | |
Diamondback Energy, Gtd. Notes | | 2.88 | | 12/1/2024 | | 2,750,000 | | 2,888,492 | |
Diamondback Energy, Gtd. Notes | | 3.13 | | 3/24/2031 | | 8,130,000 | | 8,448,101 | |
Digital Euro Finco, Gtd. Bonds | EUR | 2.63 | | 4/15/2024 | | 5,814,000 | | 7,171,424 | |
Dollar Tree, Sr. Unscd. Notes | | 4.20 | | 5/15/2028 | | 2,050,000 | | 2,311,112 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
Domino's Pizza Master Issuer, Ser. 2021-1A, Cl. A2I | | 2.66 | | 4/25/2051 | | 5,610,938 | b | 5,792,910 | |
DT Auto Owner Trust, Ser. 2020-1A, Cl. B | | 2.16 | | 5/15/2024 | | 6,215,000 | b | 6,253,278 | |
Elanco Animal Health, Sr. Unscd. Notes | | 5.90 | | 8/28/2028 | | 4,325,000 | | 5,065,656 | |
Eli Lilly & Co., Sr. Unscd. Bonds | EUR | 1.38 | | 9/14/2061 | | 5,625,000 | | 6,116,064 | |
Energy Transfer, Jr. Sub. Bonds, Ser. A | | 6.25 | | 2/15/2023 | | 3,080,000 | c,e | 2,763,376 | |
Energy Transfer, Jr. Sub. Bonds, Ser. F | | 6.75 | | 5/15/2025 | | 2,275,000 | e | 2,331,875 | |
Energy Transfer, Sr. Unscd. Notes | | 4.00 | | 10/1/2027 | | 2,775,000 | | 3,063,655 | |
EQT, Sr. Unscd. Notes | | 3.00 | | 10/1/2022 | | 9,165,000 | c | 9,337,760 | |
EQT, Sr. Unscd. Notes | | 3.13 | | 5/15/2026 | | 5,250,000 | b | 5,388,443 | |
Equinix, Sr. Unscd. Notes | | 1.00 | | 9/15/2025 | | 10,360,000 | | 10,221,897 | |
Exeter Automobile Receivables Trust, Ser. 2021-2A, Cl. C | | 0.98 | | 6/15/2026 | | 6,160,000 | | 6,175,527 | |
FARM 21-1 Mortgage Trust, Ser. 2021-1, CI. A | | 2.18 | | 1/25/2051 | | 6,710,000 | b,f | 6,696,502 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Ser. 2021-MN1, Cl. M1, 1 Month SOFR +2.00% | | 2.05 | | 1/25/2051 | | 2,141,142 | b,d,g | 2,158,589 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. KC02, Cl. A2 | | 3.37 | | 7/25/2025 | | 6,365,000 | g | 6,666,467 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. KL3W, Cl. AFLW, 1 Month LIBOR +.45% | | 0.54 | | 8/25/2025 | | 3,991,117 | d,g | 4,013,199 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2017-4, Cl. M45T | | 4.50 | | 6/25/2057 | | 3,222,526 | g | 3,571,348 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2018-4, Cl. M55D | | 4.00 | | 3/25/2058 | | 4,827,919 | g | 5,226,001 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2019-3, Cl. M55D | | 4.00 | | 10/25/2058 | | 3,489,071 | g | 3,800,267 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2020-3, Cl. TTU | | 2.50 | | 5/25/2060 | | 3,363,707 | g | 3,490,284 | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2018-2, Cl. A1 | | 3.50 | | 11/25/2028 | | 6,697,611 | g | 7,067,286 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2019-1, Cl. A2 | | 3.50 | | 5/25/2029 | | 5,000,000 | g | 5,360,506 | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2019-2, Cl. A1C | | 2.75 | | 9/25/2029 | | 6,028,680 | g | 6,294,465 | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2019-3, Cl. A2C | | 2.75 | | 11/25/2029 | | 6,425,000 | g | 6,791,399 | |
Federal National Mortgage Association Grantor Trust, Ser. 2017-T1, Cl. A | | 2.90 | | 6/25/2027 | | 7,665,338 | g | 8,238,470 | |
Fidelity National Information Services, Sr. Unscd. Notes | EUR | 1.50 | | 5/21/2027 | | 4,280,000 | | 5,260,368 | |
First Republic Bank, Sr. Unscd. Notes | | 1.91 | | 2/12/2024 | | 2,725,000 | | 2,780,668 | |
Ford Motor, Sr. Unscd. Notes | | 4.75 | | 1/15/2043 | | 5,640,000 | | 5,918,503 | |
GLP Capital, Gtd. Notes | | 5.38 | | 4/15/2026 | | 6,780,000 | c | 7,716,996 | |
Government National Mortgage Association, Ser. 2013-H26, Cl. HA | | 3.50 | | 9/20/2063 | | 176,840 | | 177,718 | |
HCA, Gtd. Notes | | 3.50 | | 9/1/2030 | | 5,160,000 | | 5,471,612 | |
HCA, Gtd. Notes | | 5.88 | | 2/1/2029 | | 1,625,000 | | 1,954,773 | |
Healthcare Trust of America Holdings, Gtd. Notes | | 3.10 | | 2/15/2030 | | 3,485,000 | | 3,667,343 | |
Healthcare Trust of America Holdings, Gtd. Notes | | 3.50 | | 8/1/2026 | | 3,055,000 | | 3,313,788 | |
Hertz Vehicle Financing III, Ser. 2021-2A, CI. A | | 1.68 | | 12/27/2027 | | 15,400,000 | b | 15,455,043 | |
Hilton Domestic Operating, Gtd. Notes | | 3.63 | | 2/15/2032 | | 4,475,000 | b | 4,413,469 | |
HPLY Trust, Ser. 2019-HIT, Cl. A, 1 Month LIBOR +1.00% | | 1.08 | | 11/15/2036 | | 6,984,195 | b,d | 6,993,800 | |
Icahn Enterprises, Gtd. Notes | | 5.25 | | 5/15/2027 | | 4,200,000 | | 4,362,750 | |
Invitation Homes Trust, Ser. 2018-SFR3, Cl. A, 1 Month LIBOR +1.00% | | 1.08 | | 7/17/2037 | | 6,323,042 | b,d | 6,345,734 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2013-C16, Cl. A3 | | 3.88 | | 12/15/2046 | | 2,743,907 | | 2,860,885 | |
JPMorgan Chase & Co., Jr. Sub. Bonds, Ser. FF | | 5.00 | | 8/1/2024 | | 13,688,000 | e | 14,295,405 | |
JPMorgan Chase & Co., Jr. Sub. Bonds, Ser. Q | | 5.15 | | 5/1/2023 | | 4,342,000 | e | 4,472,262 | |
KeyCorp, Sr. Unscd. Notes | | 2.25 | | 4/6/2027 | | 8,320,000 | | 8,602,034 | |
Kraft Heinz Foods, Gtd. Notes | | 3.88 | | 5/15/2027 | | 1,830,000 | | 1,999,261 | |
Kraft Heinz Foods, Gtd. Notes | | 4.25 | | 3/1/2031 | | 1,530,000 | | 1,730,701 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
Kraft Heinz Foods, Gtd. Notes | | 4.88 | | 10/1/2049 | | 1,445,000 | | 1,762,045 | |
Lamar Media, Gtd. Notes | | 3.75 | | 2/15/2028 | | 6,390,000 | | 6,581,157 | |
Lennar, Gtd. Notes | | 4.75 | | 11/29/2027 | | 5,275,000 | | 6,119,422 | |
Lennar, Gtd. Notes | | 5.25 | | 6/1/2026 | | 1,625,000 | | 1,858,594 | |
Level 3 Financing, Gtd. Notes | | 4.25 | | 7/1/2028 | | 6,810,000 | b | 6,871,154 | |
Life 2021-BMR Mortgage Trust, Ser. 2021-BMR Cl. A, 1 Month LIBOR +.70% | | 0.78 | | 3/15/2038 | | 4,350,000 | b,d | 4,359,245 | |
Lumen Technologies, Sr. Unscd. Notes | | 5.38 | | 6/15/2029 | | 6,950,000 | b | 7,100,189 | |
Marriott International, Sr. Unscd. Notes, Ser. EE | | 5.75 | | 5/1/2025 | | 4,375,000 | | 5,005,526 | |
Marsh & McLennan, Sr. Unscd. Bonds | EUR | 1.98 | | 3/21/2030 | | 2,145,000 | | 2,762,670 | |
Mastercard, Sr. Unscd. Notes | | 3.30 | | 3/26/2027 | | 1,775,000 | | 1,952,322 | |
Mastercard, Sr. Unscd. Notes | | 3.35 | | 3/26/2030 | | 5,665,000 | | 6,304,765 | |
Metropolitan Life Global Funding I, Sr. Scd. Notes | | 3.00 | | 9/19/2027 | | 5,475,000 | b | 5,904,460 | |
MGM Growth Properties Operating Partnership, Gtd. Notes | | 3.88 | | 2/15/2029 | | 6,612,000 | b | 7,050,045 | |
MGM Growth Properties Operating Partnership, Gtd. Notes | | 5.75 | | 2/1/2027 | | 3,070,000 | | 3,534,338 | |
Molina Healthcare, Sr. Unscd. Notes | | 4.38 | | 6/15/2028 | | 3,400,000 | b | 3,541,542 | |
Morgan Stanley Capital I Trust, Ser. 2019-H7, Cl. A3 | | 3.01 | | 7/15/2052 | | 6,825,000 | | 7,210,636 | |
Morgan Stanley Capital I Trust, Ser. 2019-L2, Cl. A3 | | 3.81 | | 3/15/2052 | | 9,750,000 | | 10,729,440 | |
Mozart Debt Merger Sub, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 11,850,000 | | 11,850,000 | |
MPT Operating Partnership, Gtd. Bonds | EUR | 0.99 | | 10/15/2026 | | 5,125,000 | f | 5,950,554 | |
NRG Energy, Gtd. Notes | | 3.63 | | 2/15/2031 | | 7,360,000 | b,c | 7,238,560 | |
Occidental Petroleum, Sr. Unscd. Notes | | 3.00 | | 2/15/2027 | | 3,480,000 | | 3,483,654 | |
OneMain Financial Issuance Trust, Ser. 2020-2A, Cl. A | | 1.75 | | 9/14/2035 | | 7,975,000 | b | 8,097,981 | |
PayPal Holdings, Sr. Unscd. Notes | | 2.40 | | 10/1/2024 | | 6,410,000 | | 6,737,889 | |
Pfizer, Sr. Unscd. Notes | | 3.45 | | 3/15/2029 | | 1,400,000 | | 1,559,010 | |
Pioneer Natural Resources, Sr. Unscd. Notes | | 1.90 | | 8/15/2030 | | 3,150,000 | | 3,016,390 | |
Plains All American Pipeline, Sr. Unscd. Notes | | 3.55 | | 12/15/2029 | | 5,000 | | 5,264 | |
Pricoa Global Funding I, Scd. Notes | | 2.40 | | 9/23/2024 | | 2,775,000 | b | 2,909,253 | |
Prologis, Sr. Unscd. Notes | | 2.13 | | 4/15/2027 | | 1,400,000 | | 1,450,101 | |
Prologis, Sr. Unscd. Notes | | 2.25 | | 4/15/2030 | | 4,535,000 | | 4,619,096 | |
Republic Services, Sr. Unscd. Notes | | 2.50 | | 8/15/2024 | | 3,400,000 | | 3,561,577 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
Rocket Mortgage, Gtd. Notes | | 3.63 | | 3/1/2029 | | 5,900,000 | b | 5,973,750 | |
Santander Retail Auto Lease Trust, Ser. 2019-B, Cl. C | | 2.77 | | 8/21/2023 | | 3,600,000 | b | 3,654,217 | |
SBA Tower Trust, Notes | | 1.88 | | 1/15/2026 | | 6,860,000 | b | 6,953,252 | |
SBA Tower Trust, Notes | | 2.84 | | 1/15/2025 | | 8,030,000 | b | 8,325,574 | |
SLM, Sr. Unscd. Notes | | 4.20 | | 10/29/2025 | | 1,900,000 | | 2,039,365 | |
Southern Copper, Sr. Unscd. Notes | | 5.88 | | 4/23/2045 | | 2,510,000 | | 3,396,658 | |
Spirit Realty, Gtd. Notes | | 3.20 | | 2/15/2031 | | 4,505,000 | | 4,683,865 | |
Spirit Realty, Gtd. Notes | | 4.00 | | 7/15/2029 | | 2,645,000 | | 2,933,149 | |
SpringCastle America Funding, Ser. 2020-AA, Cl. A | | 1.97 | | 9/25/2037 | | 5,433,462 | b | 5,487,029 | |
Stellantis Finance US, Gtd. Notes | | 2.69 | | 9/15/2031 | | 5,585,000 | b | 5,534,286 | |
Taylor Morrison Communities, Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 2,135,000 | b,c | 2,300,505 | |
Tesla Auto Lease Trust, Ser. 2019-A, Cl. B | | 2.41 | | 12/20/2022 | | 13,400,000 | b | 13,644,838 | |
Tesla Auto Lease Trust, Ser. 2020-A, Cl. B | | 1.18 | | 1/22/2024 | | 2,400,000 | b | 2,422,786 | |
Tesla Auto Lease Trust, Ser. 2021-A, CI. C | | 1.18 | | 3/20/2025 | | 5,775,000 | b | 5,775,314 | |
The Estee Lauder Companies, Sr. Unscd. Notes | | 2.00 | | 12/1/2024 | | 425,000 | | 442,179 | |
The Estee Lauder Companies, Sr. Unscd. Notes | | 2.38 | | 12/1/2029 | | 3,025,000 | c | 3,143,332 | |
The Goldman Sachs Group, Jr. Sub. Notes, Ser. T | | 3.80 | | 5/10/2026 | | 5,405,000 | e | 5,546,881 | |
The Southern Company, Jr. Sub. Notes | EUR | 1.88 | | 9/15/2081 | | 5,625,000 | | 6,488,692 | |
The Southern Company, Sr. Unscd. Notes | | 3.25 | | 7/1/2026 | | 7,725,000 | | 8,317,246 | |
T-Mobile USA, Gtd. Notes | | 4.75 | | 2/1/2028 | | 4,175,000 | | 4,441,156 | |
Tricon American Homes Trust, Ser. 2017-SFR2, Cl. A | | 2.93 | | 1/17/2036 | | 8,054,001 | b | 8,199,305 | |
Tricon American Homes Trust, Ser. 2019-SFR1, Cl. A | | 2.75 | | 3/17/2038 | | 7,493,763 | b | 7,804,243 | |
TRP, Ser. 2021-1, Cl. A | | 2.07 | | 6/19/2051 | | 6,946,431 | b | 6,982,811 | |
TRP, Ser. 2021-2, Cl. A | | 2.15 | | 6/19/2051 | | 7,385,126 | b | 7,455,394 | |
Truist Bank, Sub. Notes | | 3.63 | | 9/16/2025 | | 4,750,000 | | 5,188,829 | |
Truist Financial, Sr. Unscd. Notes | | 2.50 | | 8/1/2024 | | 5,000,000 | | 5,260,837 | |
U.S. Treasury Bonds | | 3.38 | | 11/15/2048 | | 78,525,000 | | 100,064,162 | |
U.S. Treasury Bonds | | 4.50 | | 2/15/2036 | | 43,675,000 | c | 59,693,147 | |
United Rentals North America, Gtd. Notes | | 4.00 | | 7/15/2030 | | 5,175,000 | | 5,375,531 | |
Upstart Securitization Trust, Ser. 2021-4, Cl. A | | 0.84 | | 9/20/2031 | | 11,800,000 | b | 11,824,801 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.1% (continued) | | | | | |
United States - 43.4% (continued) | | | | | |
VASA Trust, Ser. 2021-VASA, CI. B, 1 Month LIBOR +1.25% | | 1.33 | | 7/15/2039 | | 9,725,000 | b,d | 9,744,273 | |
VB-S1 Issuer, Ser. 2020-1A, CI. C2 | | 3.03 | | 6/15/2050 | | 3,645,000 | b | 3,804,461 | |
VICI Properties, Gtd. Notes | | 3.50 | | 2/15/2025 | | 4,466,000 | b | 4,560,903 | |
VICI Properties, Gtd. Notes | | 4.25 | | 12/1/2026 | | 2,550,000 | b | 2,666,229 | |
Visa, Sr. Unscd. Notes | | 1.90 | | 4/15/2027 | | 7,075,000 | | 7,308,418 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2019-C51, Cl. A4 | | 3.31 | | 6/15/2052 | | 8,200,000 | | 8,939,629 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2021-SAVE, Cl. A, 1 Month LIBOR +1.15% | | 1.23 | | 2/15/2040 | | 4,567,835 | b,d | 4,603,788 | |
Western Midstream Operating, Sr. Unscd. Notes | | 4.50 | | 3/1/2028 | | 2,450,000 | | 2,632,427 | |
Western Midstream Operating, Sr. Unscd. Notes | | 4.65 | | 7/1/2026 | | 1,810,000 | | 1,961,298 | |
Western Midstream Operating, Sr. Unscd. Notes | | 5.30 | | 2/1/2030 | | 3,040,000 | | 3,363,000 | |
Yum! Brands, Sr. Unscd. Notes | | 4.63 | | 1/31/2032 | | 9,225,000 | | 9,859,219 | |
Federal National Mortgage Association: | | | |
2.00% | | | 29,650,000 | g,h | 29,732,233 | |
2.50% | | | 42,750,000 | g,h | 44,080,928 | |
3.00% | | | 35,595,000 | g,h | 37,248,221 | |
3.50% | | | 28,600,000 | g,h | 30,262,934 | |
Government National Mortgage Association II: | | | |
3.63%, 1/20/2063 | | | 45,110 | | 45,336 | |
| | 1,281,047,545 | |
Total Bonds and Notes
(cost $2,853,890,617) | | 2,892,688,617 | |
Description | Annualized
Yield (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Short-Term Investments - 4.9% | | | | | |
U.S. Government Securities | | | | | |
U.S. Treasury Bills
(cost $144,422,418) | | 0.05 | | 10/14/2021 | | 144,425,000 | i | 144,423,826 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 3.1% | | | | | |
Registered Investment Companies - 3.1% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $92,921,956) | | 0.06 | | | | 92,921,956 | j | 92,921,956 | |
| | | | | | | | | | |
| |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - 1.4% | | | | | |
Registered Investment Companies - 1.4% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares
(cost $41,548,273) | | 0.02 | | | | 41,548,273 | j | 41,548,273 | |
Total Investments (cost $3,132,783,264) | | 107.5% | 3,171,582,672 | |
Liabilities, Less Cash and Receivables | | (7.5%) | (221,949,484) | |
Net Assets | | 100.0% | 2,949,633,188 | |
LIBOR—London Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Index Average
AUD—Australian Dollar
CAD—Canadian Dollar
CNY—Chinese Yuan Renminbi
EUR—Euro
GBP—British Pound
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
MYR—Malaysian Ringgit
RUB—Russian Ruble
SGD—Singapore Dollar
THB—Thai Baht
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, 2021, these securities were valued at $910,776,138 or 30.88% of net assets.
c Security, or portion thereof, on loan. At September 30, 2021, the value of the fund’s securities on loan was $107,019,872 and the value of the collateral was $110,503,519, consisting of cash collateral of $41,548,273 and U.S. Government & Agency securities valued at $68,955,246.
d Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
e Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f Purchased on a when—issued basis.
g The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
h Purchased on a forward commitment basis.
i Security is a discount security. Income is recognized through the accretion of discount.
j Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon Global Fixed Income Fund
September 30, 2021 (Unaudited)
The following is a summary of the inputs used as of September 30, 2021 in valuing the fund’s investments:
| | | | | |
| | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) |
Investments in Securities: † |
Asset-Backed Securities | - | 229,300,033 | - | 229,300,033 |
Collateralized Loan Obligations | - | 137,173,280 | - | 137,173,280 |
Commercial
Mortgage-Backed | - | 185,148,844 | - | 185,148,844 |
Corporate Bonds | - | 949,902,942 | | 949,902,942 |
Foreign Governmental | - | 1,020,484,056 | - | 1,020,484,056 |
Investment Companies | 134,470,229 | - | - | 134,470,229 |
U.S. Government Agencies Collateralized Mortgage Obligations | - | 56,714,246 | - | 56,714,246 |
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 12,838,255 | - | 12,838,255 |
U.S. Government Agencies Mortgage-Backed | - | 141,369,652 | - | 141,369,652 |
U.S. Treasury Securities | - | 304,181,135 | - | 304,181,135 |
Other Financial Instruments: |
Forward Foreign Currency
Exchange Contracts†† | - | 10,355,836 | - | 10,355,836 |
Futures†† | 7,267,359 | - | - | 7,267,359 |
Swap Agreements†† | - | 463,929 | - | 463,929 |
Liabilities ($) | | | | |
Other Financial Instruments: |
Forward Foreign Currency
Exchange Contracts†† | - | (577,638) | - | (577,638) |
Futures†† | (1,957,894) | - | - | (1,957,894) |
Swap Agreements†† | - | (3,144,927) | - | (3,144,927) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
STATEMENT OF FINANCIAL FUTURES
BNY Mellon Global Fixed Income Fund
September 30, 2021 (Unaudited)
| | | | | | | |
Description | Number of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | | |
Australian 10 Year Bond | 143 | 12/15/2021 | 14,991,513a | 14,625,696 | (365,817) | |
Australian 3 Year Bond | 442 | 12/15/2021 | 37,295,221a | 37,207,075 | (88,146) | |
Euro-Bond | 175 | 12/8/2021 | 34,782,725a | 34,424,424 | (358,301) | |
Euro-Schatz | 382 | 12/8/2021 | 49,689,709a | 49,649,557 | (40,152) | |
Japanese 10 Year Bond | 35 | 12/13/2021 | 47,823,097a | 47,602,767 | (220,330) | |
U.S. Treasury 2 Year Notes | 376 | 12/31/2021 | 82,782,387 | 82,740,563 | (41,824) | |
U.S. Treasury Long Bond | 203 | 12/21/2021 | 33,164,730 | 32,321,406 | (843,324) | |
Futures Short | | |
Canadian 10 Year Bond | 192 | 12/20/2021 | 22,130,516a | 21,699,668 | 430,848 | |
Euro 30 Year Bond | 103 | 12/8/2021 | 25,069,432a | 24,260,506 | 808,926 | |
U.S. Treasury 10 Year Notes | 1,021 | 12/21/2021 | 136,453,515 | 134,373,177 | 2,080,338 | |
U.S. Treasury 5 Year Notes | 494 | 12/31/2021 | 61,004,243 | 60,634,642 | 369,601 | |
Ultra 10 Year U.S. Treasury Notes | 1,377 | 12/21/2021 | 203,586,896 | 200,009,250 | 3,577,646 | |
Gross Unrealized Appreciation | | 7,267,359 | |
Gross Unrealized Depreciation | | (1,957,894) | |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Global Fixed Income Fund
September 30, 2021 (Unaudited)
| | | | | | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital |
United States Dollar | 641,457,317 | Euro | 548,885,100 | 10/29/2021 | 5,309,969 |
United States Dollar | 199,212,082 | Japanese Yen | 22,020,166,570 | 10/29/2021 | 1,319,714 |
United States Dollar | 2,430,869 | Thai Baht | 79,600,000 | 12/15/2021 | 79,264 |
United States Dollar | 35,390,915 | Chinese Yuan Renminbi | 229,695,000 | 12/15/2021 | (17,647) |
Indian Rupee | 875,500,000 | United States Dollar | 11,682,992 | 12/15/2021 | 19,207 |
Citigroup |
United States Dollar | 14,969,078 | Russian Ruble | 1,115,825,000 | 12/15/2021 | (137,199) |
Goldman Sachs |
United States Dollar | 11,838,413 | Taiwan Dollar | 328,220,000 | 12/15/2021 | 57,276 |
Polish Zloty | 22,730,000 | United States Dollar | 5,911,219 | 12/15/2021 | (197,616) |
United States Dollar | 5,725,009 | Polish Zloty | 22,730,000 | 12/15/2021 | 11,406 |
United States Dollar | 50,862,535 | Mexican Peso | 1,023,628,612 | 12/15/2021 | 1,815,630 |
United States Dollar | 9,458,909 | Malaysian Ringgit | 39,420,000 | 12/15/2021 | 74,535 |
United States Dollar | 58,690,341 | Canadian Dollar | 74,340,120 | 10/29/2021 | 97 |
United States Dollar | 22,373,082 | South Korean Won | 26,148,315,000 | 12/15/2021 | 312,518 |
HSBC |
United States Dollar | 4,439,829 | Euro | 3,800,000 | 10/29/2021 | 35,702 |
United States Dollar | 109,771,180 | Chinese Yuan Renminbi | 710,955,000 | 12/15/2021 | 174,130 |
British Pound | 23,670,290 | United States Dollar | 32,018,340 | 10/1/2021 | (124,967) |
British Pound | 42,613,278 | United States Dollar | 57,213,141 | 10/4/2021 | 204,160 |
United States Dollar | 107,248,263 | British Pound | 79,584,745 | 10/29/2021 | 11,792 |
J.P. Morgan Securities |
United States Dollar | 14,731,225 | Czech Koruna | 324,350,000 | 12/15/2021 | (59,631) |
| | | | | | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
J.P. Morgan Securities(continued) |
United States Dollar | 11,632,486 | Chinese Yuan Renminbi | 75,340,000 | 12/15/2021 | 18,471 |
Australian Dollar | 530,771 | United States Dollar | 386,875 | 10/29/2021 | (3,107) |
United States Dollar | 5,871,497 | New Zealand Dollar | 8,380,000 | 10/29/2021 | 87,289 |
Euro | 12,680,000 | United States Dollar | 14,733,349 | 10/29/2021 | (37,471) |
United States Dollar | 23,053,843 | Thai Baht | 755,290,000 | 12/15/2021 | 740,482 |
United States Dollar | 7,368,266 | Singapore Dollar | 9,895,000 | 12/15/2021 | 81,955 |
United States Dollar | 82,663 | Chilean Peso | 65,665,000 | 12/15/2021 | 2,239 |
Gross Unrealized Appreciation | | | 10,355,836 |
Gross Unrealized Depreciation | | | (577,638) |
See notes to financial statements.
STATEMENT OF SWAP AGREEMENTS
BNY Mellon Global Fixed Income Fund
September 30, 2021 (Unaudited)
| | | | | |
Centrally Cleared Interest Rate Swaps | |
Received
Reference
Entity | Paid
Reference
Entity | Maturity Date | Notional
Amount ($) | Unrealized (Depreciation) ($) |
GBP Fixed at 0.73 | GBP - 6 Month GBP LIBOR | 2/26/2050 | 23,700,766 | (3,088,990) |
Gross Unrealized Depreciation | (3,088,990) |
GBP—British Pound
LIBOR—London Interbank Offered Rate
See notes to financial statements.
| | | | | | |
Centrally Cleared Credit Default Swaps | |
| | | | | | |
Reference
Obligation | Maturity
Date | Notional
Amount ($) | Market
Value ($) | Upfront
Payments/
Receipts ($) | Unrealized Appreciation (Depreciation)($) |
Purchased Contracts:1 | |
Markit CDX Emerging Market Index Series 35 Paid Fixed Rate of 1.00% 3 Month | 6/20/2026 | 124,450,000 | 3,995,470 | 3,723,819 | 271,651 |
Markit CDX North America High Yield Index Series 36 Paid Fixed Rate of 5.00% 3 Month | 6/20/2026 | 26,740,000 | (2,522,081) | (2,466,144) | (55,937) |
Markit CDX North America High Yield Index Series 36 Paid Fixed Rate of 5.00% 3 Month | 6/20/2026 | 27,190,000 | (2,564,525) | (2,621,554) | 57,029 |
Markit CDX Emerging Market Index Series 35 Paid Fixed Rate of 1.00% 3 Month | 6/20/2026 | 30,155,000 | 968,127 | 832,878 | 135,249 |
Gross Unrealized Appreciation | 463,929 |
Gross Unrealized Depreciation | (55,937) |
1 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.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), 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 fund's Board Members (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. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures, 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. 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 September 30, 2021 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.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on
these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
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. Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.
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 September 30, 2021 are set forth in the Statement of Swap Agreements.
At September 30, 2021, accumulated net unrealized appreciation on investments was $38,799,408, consisting of $72,128,173 gross unrealized appreciation and $33,328,765 gross unrealized depreciation.
At September 30, 2021, 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.
