STATEMENT OF INVESTMENTS
BNY Mellon Global Fixed Income Fund
March 31, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% | | | | | |
Australia - 2.0% | | | | | |
Australia, Sr. Unscd. Bonds, Ser. 140 | AUD | 4.50 | | 4/21/2033 | | 22,400,000 | | 15,221,975 | |
Australia, Sr. Unscd. Bonds, Ser. 150 | AUD | 3.00 | | 3/21/2047 | | 5,240,000 | | 2,750,247 | |
Treasury Corp. of Victoria, Bonds | AUD | 2.00 | | 9/17/2035 | | 8,814,000 | | 4,259,946 | |
Treasury Corp. of Victoria, Govt. Gtd. Notes | AUD | 4.75 | | 9/15/2036 | | 41,354,000 | | 26,511,384 | |
| | 48,743,552 | |
Austria - 1.3% | | | | | |
Austria, Sr. Unscd. Bonds | EUR | 2.90 | | 2/20/2034 | | 9,875,000 | b | 10,733,333 | |
Raiffeisen Bank International AG, Sr. Bonds | EUR | 4.75 | | 1/26/2027 | | 8,300,000 | | 9,035,457 | |
Raiffeisen Bank International AG, Sr. Notes | EUR | 0.05 | | 9/1/2027 | | 900,000 | | 851,182 | |
Raiffeisen Bank International AG, Sub. Notes | EUR | 2.88 | | 6/18/2032 | | 7,600,000 | | 7,442,919 | |
Raiffeisen Bank International AG, Sub. Notes | EUR | 7.38 | | 12/20/2032 | | 2,700,000 | c | 3,041,773 | |
| | 31,104,664 | |
Belgium - 1.1% | | | | | |
Anheuser-Busch InBev SA, Gtd. Notes | EUR | 2.88 | | 4/2/2032 | | 7,174,000 | | 7,533,036 | |
Belgium, Sr. Unscd. Notes | EUR | 3.30 | | 6/22/2054 | | 6,825,000 | b | 7,302,111 | |
FLUVIUS System Operator CVBA, Gtd. Notes | EUR | 3.88 | | 5/9/2033 | | 10,600,000 | | 11,696,764 | |
| | 26,531,911 | |
Bermuda - .1% | | | | | |
Athora Holding Ltd., Sr. Unscd. Bonds | EUR | 6.63 | | 6/16/2028 | | 1,652,000 | | 1,894,503 | |
Canada - 1.9% | | | | | |
Alimentation Couche-Tard, Inc., Gtd. Notes | EUR | 3.65 | | 5/12/2031 | | 6,196,000 | b | 6,711,888 | |
Alimentation Couche-Tard, Inc., Sr. Unscd. Notes | EUR | 4.01 | | 2/12/2036 | | 6,518,000 | b | 7,084,206 | |
Canada, Bonds | CAD | 1.75 | | 12/1/2053 | | 19,725,000 | | 10,221,818 | |
Canada, Bonds | CAD | 3.25 | | 9/1/2028 | | 17,600,000 | | 12,836,546 | |
CNH Capital Canada Receivables Trust, Ser. 2021-1A, Cl. A2 | CAD | 1.00 | | 11/16/2026 | | 2,863,802 | b | 2,047,168 | |
Ford Auto Securitization Trust II, Ser. 2022-AA, Cl. A3 | CAD | 5.40 | | 9/15/2028 | | 11,382,000 | b | 8,464,803 | |
| | 47,366,429 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
Cayman Islands - .4% | | | | | |
Octagon 61 CLO, Ser. 2023-2A, Cl. A, (3 Month TSFR +1.85%) | | 7.17 | | 4/20/2036 | | 5,274,060 | b,d | 5,299,650 | |
Regatta XXV Funding Ltd. CLO, Ser. 2023-1A, Cl.A, (3 Month TSFR +1.90%) | | 7.21 | | 7/15/2036 | | 5,775,000 | b,d | 5,821,829 | |
| | 11,121,479 | |
China - 3.0% | | | | | |
China, Unscd. Bonds | CNY | 3.81 | | 9/14/2050 | | 438,050,000 | | 73,878,771 | |
Denmark - .4% | | | | | |
Carlsberg Breweries AS, Sr. Unscd. Notes | EUR | 4.25 | | 10/5/2033 | | 7,117,000 | | 8,178,988 | |
Denmark, Bonds | DKK | 4.50 | | 11/15/2039 | | 14,250,000 | | 2,595,198 | |
| | 10,774,186 | |
Finland - .2% | | | | | |
Finland, Sr. Unscd. Bonds | EUR | 3.00 | | 9/15/2033 | | 3,750,000 | b | 4,119,219 | |
France - 4.2% | | | | | |
BNP Paribas SA, Sr. Notes | EUR | 2.10 | | 4/7/2032 | | 8,700,000 | c | 8,374,814 | |
Credit Agricole SA, Sr. Notes | | 5.34 | | 1/10/2030 | | 9,588,000 | b,c | 9,563,617 | |
Electricite de France SA, Sr. Unscd. Notes | EUR | 4.63 | | 1/25/2043 | | 3,200,000 | | 3,609,590 | |
France, Bonds | EUR | 0.75 | | 5/25/2052 | | 12,800,000 | b | 7,595,173 | |
France, Bonds | EUR | 3.00 | | 5/25/2033 | | 22,650,000 | b | 24,897,206 | |
France, Bonds | EUR | 4.00 | | 10/25/2038 | | 11,685,000 | b | 14,044,830 | |
Kering SA, Sr. Unscd. Notes | EUR | 3.63 | | 9/5/2031 | | 5,100,000 | | 5,610,248 | |
Kering SA, Sr. Unscd. Notes | EUR | 3.88 | | 9/5/2035 | | 4,000,000 | | 4,444,353 | |
La Banque Postale SA, Sub. Notes | EUR | 5.50 | | 3/5/2034 | | 1,600,000 | | 1,813,281 | |
Orano SA, Sr. Unscd. Notes | EUR | 5.38 | | 5/15/2027 | | 5,100,000 | | 5,733,335 | |
Pernod Ricard SA, Sr. Unscd. Notes | EUR | 3.75 | | 9/15/2033 | | 9,100,000 | | 10,124,961 | |
Suez SACA, Sr. Unscd. Notes | EUR | 2.38 | | 5/24/2030 | | 7,400,000 | | 7,472,800 | |
Suez SACA, Sr. Unscd. Notes | EUR | 5.00 | | 11/3/2032 | | 1,000,000 | | 1,180,730 | |
| | 104,464,938 | |
Germany - 2.5% | | | | | |
Amprion GmbH, Sr. Unscd. Notes | EUR | 3.97 | | 9/22/2032 | | 12,500,000 | c | 13,919,756 | |
Amprion GmbH, Sr. Unscd. Notes | EUR | 4.13 | | 9/7/2034 | | 6,200,000 | c | 6,968,191 | |
Deutsche Bahn Finance GmbH, Gtd. Notes | EUR | 1.88 | | 5/24/2030 | | 8,067,000 | | 8,184,536 | |
Deutsche Bahn Finance GmbH, Gtd. Notes | EUR | 2.75 | | 3/19/2029 | | 6,210,000 | | 6,637,680 | |
Deutsche Bahn Finance GmbH, Gtd. Notes | EUR | 3.25 | | 5/19/2033 | | 4,646,000 | | 5,163,435 | |
Eurogrid GmbH, Gtd. Notes | EUR | 0.74 | | 4/21/2033 | | 2,600,000 | | 2,217,052 | |
Eurogrid GmbH, Gtd. Notes | EUR | 1.11 | | 5/15/2032 | | 200,000 | | 180,158 | |
LEG Immobilien SE, Sr. Unscd. Notes | EUR | 0.88 | | 1/17/2029 | | 200,000 | | 188,236 | |
Vonovia SE, Sr. Unscd. Notes | EUR | 0.50 | | 9/14/2029 | | 1,700,000 | | 1,525,087 | |
Vonovia SE, Sr. Unscd. Notes | EUR | 0.63 | | 12/14/2029 | | 1,400,000 | | 1,257,472 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
Germany - 2.5% (continued) | | | | | |
Vonovia SE, Sr. Unscd. Notes | EUR | 0.75 | | 9/1/2032 | | 12,000,000 | | 9,840,575 | |
Vonovia SE, Sr. Unscd. Notes | EUR | 2.38 | | 3/25/2032 | | 6,300,000 | c | 6,042,179 | |
| | 62,124,357 | |
Greece - .3% | | | | | |
Hellenic Republic, Sr. Unscd. Notes | EUR | 4.38 | | 7/18/2038 | | 3,438,000 | b | 4,001,449 | |
Piraeus Bank SA, Sr. Notes | EUR | 6.75 | | 12/5/2029 | | 2,951,000 | | 3,421,724 | |
| | 7,423,173 | |
Hungary - .3% | | | | | |
Hungary, Bonds, Ser. 32/A | HUF | 4.75 | | 11/24/2032 | | 1,702,850,000 | | 4,085,235 | |
Hungary, Sr. Unscd. Notes | EUR | 5.38 | | 9/12/2033 | | 4,054,000 | | 4,619,061 | |
| | 8,704,296 | |
Indonesia - .2% | | | | | |
Indonesia, Bonds, Ser. FR83 | IDR | 7.50 | | 4/15/2040 | | 93,430,000,000 | | 6,227,547 | |
Ireland - 1.1% | | | | | |
ESB Finance DAC, Gtd. Notes | EUR | 3.75 | | 1/25/2043 | | 6,170,000 | | 6,589,600 | |
Ireland, Bonds | EUR | 2.60 | | 10/18/2034 | | 3,950,000 | | 4,209,400 | |
Linde PLC, Sr. Unscd. Notes | EUR | 1.63 | | 3/31/2035 | | 7,800,000 | | 7,133,799 | |
Permanent TSB Group Holdings PLC, Sr. Unscd. Notes | EUR | 6.63 | | 4/25/2028 | | 3,872,000 | | 4,447,178 | |
Permanent TSB Group Holdings PLC, Sub. Notes | EUR | 3.00 | | 8/19/2031 | | 4,102,000 | | 4,196,430 | |
| | 26,576,407 | |
Israel - .5% | | | | | |
Israel, Sr. Unscd. Notes | | 5.50 | | 3/12/2034 | | 11,359,000 | | 11,266,424 | |
Italy - 3.0% | | | | | |
Autostrade per L'Italia SpA, Sr. Unscd. Bonds | EUR | 2.00 | | 1/15/2030 | | 3,890,000 | | 3,813,859 | |
Autostrade per L'Italia SpA, Sr. Unscd. Notes | EUR | 1.88 | | 9/26/2029 | | 3,550,000 | | 3,466,516 | |
Autostrade per L'Italia SpA, Sr. Unscd. Notes | EUR | 2.00 | | 12/4/2028 | | 6,450,000 | | 6,455,595 | |
Autostrade per L'Italia SpA, Sr. Unscd. Notes | EUR | 5.13 | | 6/14/2033 | | 3,178,000 | | 3,668,192 | |
Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Bonds, Ser. 10Y | EUR | 4.40 | | 5/1/2033 | | 48,375,000 | | 55,684,960 | |
| | 73,089,122 | |
Japan - 2.4% | | | | | |
Japan (20 Year Issue), Bonds, Ser. 183 | JPY | 1.40 | | 12/20/2042 | | 3,756,900,000 | | 24,887,251 | |
Japan (20 Year Issue), Bonds, Ser. 184 | JPY | 1.10 | | 3/20/2043 | | 1,329,500,000 | | 8,350,152 | |
Japan (30 Year Issue), Bonds, Ser. 66 | JPY | 0.40 | | 3/20/2050 | | 760,000,000 | | 3,699,700 | |
Japan (30 Year Issue), Bonds, Ser. 69 | JPY | 0.70 | | 12/20/2050 | | 1,593,000,000 | | 8,323,657 | |
Japan (40 Year Issue), Bonds, Ser. 15 | JPY | 1.00 | | 3/20/2062 | | 1,336,600,000 | | 6,809,418 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
Japan - 2.4% (continued) | | | | | |
Mizuho Financial Group, Inc., Sr. Unscd. Notes | EUR | 4.03 | | 9/5/2032 | | 4,767,000 | | 5,328,695 | |
OSCAR US Funding X LLC, Ser. 2019-1A, Cl. A4 | | 3.27 | | 5/10/2026 | | 98,145 | b | 98,093 | |
OSCAR US Funding XI LLC, Ser. 2019-2A, Cl. A4 | | 2.68 | | 9/10/2026 | | 864,892 | b | 862,131 | |
| | 58,359,097 | |
Jersey - .4% | | | | | |
Ballyrock 24 Ltd. CLO, Ser. 2023-24A, Cl. A1, (3 Month TSFR +1.77%) | | 7.08 | | 7/15/2036 | | 5,420,000 | b,d | 5,436,027 | |
Invesco US Ltd. CLO, Ser. 2023-3A, CI. A, (3 Month TSFR +1.80%) | | 7.22 | | 7/15/2036 | | 5,600,000 | b,d | 5,636,814 | |
| | 11,072,841 | |
Luxembourg - .4% | | | | | |
Logicor Financing Sarl, Gtd. Notes | EUR | 0.88 | | 1/14/2031 | | 6,047,000 | | 5,201,424 | |
Logicor Financing Sarl, Gtd. Notes | EUR | 2.00 | | 1/17/2034 | | 1,095,000 | | 928,587 | |
SELP Finance Sarl, Gtd. Bonds | EUR | 0.88 | | 5/27/2029 | | 1,996,000 | c | 1,858,110 | |
SELP Finance Sarl, Gtd. Notes | EUR | 3.75 | | 8/10/2027 | | 1,359,000 | | 1,459,293 | |
| | 9,447,414 | |
Malaysia - .4% | | | | | |
Malaysia, Bonds | MYR | 4.64 | | 11/7/2033 | | 41,200,000 | | 9,246,581 | |
Mexico - .2% | | | | | |
Mexico, Bonds, Ser. M | MXN | 7.50 | | 5/26/2033 | | 99,700,000 | | 5,343,721 | |
Netherlands - 2.2% | | | | | |
Athora Netherlands NV, Sub. Notes | EUR | 2.25 | | 7/15/2031 | | 1,170,000 | | 1,164,869 | |
Athora Netherlands NV, Sub. Notes | EUR | 5.38 | | 8/31/2032 | | 9,541,000 | | 10,118,579 | |
BNI Finance BV, Gtd. Notes | EUR | 3.88 | | 12/1/2030 | | 7,907,000 | | 8,784,632 | |
Enel Finance International NV, Gtd. Notes | EUR | 0.50 | | 6/17/2030 | | 5,278,000 | | 4,824,558 | |
Enel Finance International NV, Gtd. Notes | EUR | 4.50 | | 2/20/2043 | | 1,000,000 | | 1,131,560 | |
ING Groep NV, Sr. Unscd. Notes | | 6.11 | | 9/11/2034 | | 2,188,000 | c | 2,273,433 | |
JDE Peet's NV, Sr. Unscd. Notes | EUR | 4.50 | | 1/23/2034 | | 5,345,000 | | 6,000,548 | |
RELX Finance BV, Gtd. Bonds | EUR | 3.75 | | 6/12/2031 | | 5,050,000 | | 5,601,537 | |
Sartorius Finance BV, Gtd. Notes | EUR | 4.50 | | 9/14/2032 | | 6,100,000 | | 6,945,966 | |
Stellantis NV, Sr. Unscd. Notes | EUR | 4.25 | | 6/16/2031 | | 3,210,000 | | 3,609,114 | |
WPC Eurobond BV, Gtd. Bonds | EUR | 2.25 | | 7/19/2024 | | 2,975,000 | | 3,189,227 | |
| | 53,644,023 | |
New Zealand - 3.3% | | | | | |
New Zealand, Unscd. Bonds, Ser. 433 | NZD | 3.50 | | 4/14/2033 | | 86,392,000 | | 47,673,096 | |
New Zealand, Unscd. Bonds, Ser. 532 | NZD | 2.00 | | 5/15/2032 | | 66,105,000 | | 32,834,735 | |
| | 80,507,831 | |
Panama - .1% | | | | | |
Panama, Sr. Unscd. Notes | | 8.00 | | 3/1/2038 | | 3,118,000 | | 3,274,243 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
Peru - .7% | | | | | |
Peru, Sr. Unscd. Bonds | PEN | 7.30 | | 8/12/2033 | | 65,380,000 | b | 17,668,856 | |
Poland - .6% | | | | | |
Poland, Bonds, Ser. 1033 | PLN | 6.00 | | 10/25/2033 | | 11,625,000 | | 3,029,805 | |
Poland, Sr. Unscd. Notes | | 5.50 | | 3/18/2054 | | 11,379,000 | | 11,346,228 | |
| | 14,376,033 | |
Portugal - .3% | | | | | |
Novo Banco SA, Sub. Notes | EUR | 9.88 | | 12/1/2033 | | 5,800,000 | | 7,228,605 | |
Romania - .1% | | | | | |
Romania, Sr. Unscd. Notes | | 6.38 | | 1/30/2034 | | 3,546,000 | b | 3,602,186 | |
Saudi Arabia - .5% | | | | | |
Saudi, Sr. Unscd. Notes | | 5.00 | | 1/16/2034 | | 13,008,000 | b | 12,949,594 | |
Singapore - .5% | | | | | |
Pfizer Investment Enterprises Pte Ltd., Gtd. Notes | | 5.30 | | 5/19/2053 | | 6,120,000 | | 6,089,193 | |
Pfizer Investment Enterprises Pte Ltd., Gtd. Notes | | 5.34 | | 5/19/2063 | | 2,250,000 | | 2,206,515 | |
Singapore, Bonds | SGD | 3.38 | | 9/1/2033 | | 5,615,000 | | 4,254,613 | |
| | 12,550,321 | |
South Korea - 4.2% | | | | | |
Korea, Bonds, Ser. 2812 | KRW | 2.38 | | 12/10/2028 | | 11,350,200,000 | | 8,087,844 | |
Korea, Bonds, Ser. 3212 | KRW | 4.25 | | 12/10/2032 | | 108,270,300,000 | | 85,759,305 | |
Korea, Bonds, Ser. 5209 | KRW | 3.13 | | 9/10/2052 | | 5,180,000,000 | | 3,741,925 | |
Korea, Bonds, Ser. 5303 | KRW | 3.25 | | 3/10/2053 | | 7,778,000,000 | | 5,756,467 | |
| | 103,345,541 | |
Spain - 2.9% | | | | | |
Banco de Credito Social Cooperativo SA, Sr. Notes | EUR | 7.50 | | 9/14/2029 | | 4,500,000 | | 5,373,413 | |
Banco de Credito Social Cooperativo SA, Sub. Notes | EUR | 5.25 | | 11/27/2031 | | 10,200,000 | | 10,626,020 | |
Cellnex Finance Co. SA, Gtd. Notes | EUR | 2.00 | | 9/15/2032 | | 6,200,000 | | 5,862,701 | |
Cellnex Telecom SA, Sr. Unscd. Notes | EUR | 1.75 | | 10/23/2030 | | 8,000,000 | c | 7,698,026 | |
Cellnex Telecom SA, Sr. Unscd. Notes | EUR | 1.88 | | 6/26/2029 | | 6,300,000 | | 6,241,956 | |
Spain, Sr. Unscd. Bonds | EUR | 0.70 | | 4/30/2032 | | 27,750,000 | b | 25,108,775 | |
Spain, Sr. Unscd. Bonds | EUR | 3.25 | | 4/30/2034 | | 10,875,000 | b | 11,830,660 | |
| | 72,741,551 | |
Supranational - .2% | | | | | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., Gtd. Notes | | 3.63 | | 1/15/2032 | | 5,915,000 | | 5,064,778 | |
Sweden - .1% | | | | | |
Sweden, Bonds, Ser. 1066 | SEK | 2.25 | | 5/11/2035 | | 40,325,000 | | 3,703,465 | |
Switzerland - 1.5% | | | | | |
Switzerland, Bonds | CHF | 0.50 | | 6/27/2032 | | 10,775,000 | | 11,816,776 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
Switzerland - 1.5% (continued) | | | | | |
UBS Group AG, Sr. Unscd. Notes | EUR | 0.88 | | 11/3/2031 | | 14,469,000 | | 12,733,026 | |
UBS Group AG, Sr. Unscd. Notes | EUR | 2.88 | | 4/2/2032 | | 12,330,000 | | 12,499,604 | |
| | 37,049,406 | |
United Kingdom - 5.3% | | | | | |
BAE Systems PLC, Sr. Unscd. Notes | | 5.30 | | 3/26/2034 | | 5,272,000 | b | 5,300,425 | |
BAE Systems PLC, Sr. Unscd. Notes | | 5.50 | | 3/26/2054 | | 200,000 | b | 202,045 | |
BAT International Finance PLC, Gtd. Notes | EUR | 2.25 | | 1/16/2030 | | 5,700,000 | | 5,660,972 | |
Brass No. 10 PLC, Ser. 10-A, Cl. A1 | | 0.67 | | 4/16/2069 | | 911,516 | b | 891,906 | |
Gemgarto PLC, Ser. 2021-1A, Cl. A, (3 Month SONIO +0.59%) | GBP | 5.81 | | 12/16/2067 | | 2,069,340 | b,d | 2,611,449 | |
International Distributions Services PLC, Gtd. Notes | EUR | 5.25 | | 9/14/2028 | | 1,130,000 | | 1,268,875 | |
Motability Operations Group PLC, Gtd. Notes | EUR | 3.50 | | 7/17/2031 | | 17,340,000 | c | 18,821,935 | |
National Grid PLC, Sr. Unscd. Notes | EUR | 0.75 | | 9/1/2033 | | 10,180,000 | | 8,439,628 | |
SW Finance I PLC, Sr. Scd. Notes | GBP | 7.38 | | 12/12/2041 | | 7,129,000 | | 9,483,266 | |
Thames Water Utilities Finance PLC, Sr. Scd. Notes | EUR | 1.25 | | 1/31/2032 | | 7,347,000 | | 5,989,619 | |
Thames Water Utilities Finance PLC, Sr. Scd. Notes | EUR | 4.38 | | 1/18/2031 | | 3,543,000 | | 3,564,508 | |
Tower Bridge Funding PLC, Ser. 2021-2, Cl. A, (3 Month SONIO +0.78%) | GBP | 6.00 | | 11/20/2063 | | 2,267,688 | d | 2,865,737 | |
United Kingdom Gilt, Bonds | GBP | 1.25 | | 7/31/2051 | | 26,900,000 | | 17,155,862 | |
United Kingdom Gilt, Bonds | GBP | 3.25 | | 1/31/2033 | | 29,500,000 | | 35,521,023 | |
United Kingdom Gilt, Bonds | GBP | 3.75 | | 7/22/2052 | | 3,175,000 | | 3,592,034 | |
United Kingdom Gilt, Bonds | GBP | 4.50 | | 6/7/2028 | | 7,175,000 | | 9,255,609 | |
| | 130,624,893 | |
United States - 47.5% | | | | | |
A&D Mortgage Trust, Ser. 2023-NQM2, Cl. A1 | | 6.13 | | 5/25/2068 | | 4,489,429 | b | 4,467,948 | |
Alexandria Real Estate Equities, Inc., Gtd. Notes | | 5.25 | | 5/15/2036 | | 4,432,000 | | 4,351,675 | |
Aligned Data Centers Issuer LLC, Ser. 2023-1A, Cl. A2 | | 6.00 | | 8/17/2048 | | 3,914,000 | b | 3,919,648 | |
American Homes 4 Rent Trust, Ser. 2014-SFR3, Cl. A | | 3.68 | | 12/17/2036 | | 3,730,295 | b | 3,668,139 | |
American Tower Corp., Sr. Unscd. Notes | | 5.20 | | 2/15/2029 | | 17,200,000 | | 17,200,118 | |
AmeriCredit Automobile Receivables Trust, Ser. 2020-1, Cl. C | | 1.59 | | 10/20/2025 | | 991,880 | | 988,779 | |
AMSR Trust, Ser. 2019-SFR1, Cl. B | | 3.02 | | 1/19/2039 | | 4,925,000 | b | 4,617,692 | |
AT&T, Inc., Sr. Unscd. Bonds | EUR | 3.55 | | 12/17/2032 | | 1,080,000 | c | 1,174,231 | |
AT&T, Inc., Sr. Unscd. Notes | EUR | 3.95 | | 4/30/2031 | | 4,210,000 | | 4,686,779 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
United States - 47.5% (continued) | | | | | |
AT&T, Inc., Sr. Unscd. Notes | | 4.50 | | 5/15/2035 | | 1,400,000 | | 1,308,283 | |
Avis Budget Rental Car Funding AESOP LLC, Ser. 2023-4A, Cl. A | | 5.49 | | 6/20/2029 | | 3,643,000 | b | 3,677,116 | |
Avis Budget Rental Car Funding AESOP LLC, Ser. 2023-8A, Cl. A | | 6.02 | | 2/20/2030 | | 2,831,000 | b | 2,926,281 | |
Bimbo Bakeries USA, Inc., Gtd. Notes | | 5.38 | | 1/9/2036 | | 1,939,000 | b | 1,924,977 | |
Bristol-Myers Squibb Co., Sr. Unscd. Notes | | 5.20 | | 2/22/2034 | | 1,838,000 | c | 1,867,158 | |
Bristol-Myers Squibb Co., Sr. Unscd. Notes | | 5.55 | | 2/22/2054 | | 2,687,000 | c | 2,765,653 | |
Bristol-Myers Squibb Co., Sr. Unscd. Notes | | 6.25 | | 11/15/2053 | | 3,051,000 | | 3,439,239 | |
Bristol-Myers Squibb Co., Sr. Unscd. Notes | | 6.40 | | 11/15/2063 | | 3,211,000 | | 3,672,948 | |
BXHPP Trust, Ser. 2021-FILM, Cl. B, (1 Month TSFR +1.01%) | | 6.34 | | 8/15/2036 | | 9,620,000 | b,d | 9,086,018 | |
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. A, (1 Month TSFR +1.37%) | | 6.69 | | 12/15/2037 | | 8,350,000 | b,d | 8,354,582 | |
Capital One Financial Corp., Sr. Unscd. Notes | | 7.62 | | 10/30/2031 | | 4,405,000 | | 4,868,413 | |
Carrier Global Corp., Sr. Unscd. Notes | EUR | 4.50 | | 11/29/2032 | | 3,829,000 | | 4,388,678 | |
Carrier Global Corp., Sr. Unscd. Notes | | 5.90 | | 3/15/2034 | | 1,863,000 | | 1,958,864 | |
Carrier Global Corp., Sr. Unscd. Notes | | 6.20 | | 3/15/2054 | | 1,346,000 | c | 1,483,238 | |
Carvana Auto Receivables Trust, Ser. 2021-N2, Cl. C | | 1.07 | | 3/10/2028 | | 1,168,915 | | 1,099,073 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes | | 3.90 | | 6/1/2052 | | 5,760,000 | | 3,667,127 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes | | 5.25 | | 4/1/2053 | | 7,583,000 | c | 6,012,121 | |
COLT Mortgage Loan Trust, Ser. 2023-2, Cl. A1 | | 6.60 | | 7/25/2068 | | 3,027,035 | b | 3,051,514 | |
COLT Mortgage Loan Trust, Ser. 2023-4, Cl. A1 | | 7.16 | | 10/25/2068 | | 7,059,019 | b | 7,166,655 | |
Columbia Pipelines Operating Co. LLC, Sr. Unscd. Notes | | 5.93 | | 8/15/2030 | | 6,623,000 | b | 6,797,791 | |
Columbia Pipelines Operating Co. LLC, Sr. Unscd. Notes | | 6.04 | | 11/15/2033 | | 3,441,000 | b | 3,566,978 | |
Constellation Energy Generation LLC, Sr. Unscd. Notes | | 5.75 | | 3/15/2054 | | 8,670,000 | | 8,690,683 | |
Consumers Energy Co., First Mortgage Bonds | | 4.60 | | 5/30/2029 | | 5,508,000 | | 5,447,731 | |
CVS Health Corp., Sr. Unscd. Notes | | 5.05 | | 3/25/2048 | | 3,200,000 | | 2,908,099 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
United States - 47.5% (continued) | | | | | |
CyrusOne Data Centers Issuer I LLC, Ser. 2023-1A, Cl. B | | 5.45 | | 4/20/2048 | | 1,212,549 | b | 1,130,834 | |
CyrusOne Data Centers Issuer I LLC, Ser. 2023-2A, Cl. A2 | | 5.56 | | 11/20/2048 | | 4,454,000 | b | 4,368,977 | |
Digital Euro Finco LLC, Gtd. Bonds | EUR | 2.63 | | 4/15/2024 | | 5,814,000 | c | 6,268,658 | |
Domino's Pizza Master Issuer LLC, Ser. 2021-1A, Cl. A2I | | 2.66 | | 4/25/2051 | | 5,470,312 | b | 4,876,814 | |
Duke Energy Carolinas LLC, First Mortgage Bonds | | 4.85 | | 1/15/2034 | | 15,715,000 | | 15,456,719 | |
Energy Transfer LP, Sr. Unscd. Notes | | 5.55 | | 5/15/2034 | | 2,965,000 | | 2,975,885 | |
Energy Transfer LP, Sr. Unscd. Notes | | 6.40 | | 12/1/2030 | | 3,053,000 | | 3,224,815 | |
Energy Transfer LP, Sr. Unscd. Notes | | 6.55 | | 12/1/2033 | | 3,218,000 | | 3,456,510 | |
Ent Auto Receivables Trust, Ser. 2023-1A, Cl. A3 | | 6.24 | | 1/16/2029 | | 2,112,000 | b | 2,139,358 | |
Enterprise Products Operating LLC, Gtd. Notes | | 4.85 | | 1/31/2034 | | 16,086,000 | | 15,851,852 | |
Exelon Corp., Sr. Unscd. Notes | | 5.60 | | 3/15/2053 | | 4,480,000 | c | 4,475,314 | |
Federal Agricultural Mortgage Corp. Mortgage Trust, Ser. 2021-1, CI. A | | 2.18 | | 1/25/2051 | | 5,595,996 | b | 4,514,866 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Ser. 2021-MN1, Cl. M1, (1 Month SOFR +2.00%) | | 7.32 | | 1/25/2051 | | 991,100 | b,d,e | 971,521 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. KC02, Cl. A2 | | 3.37 | | 7/25/2025 | | 5,400,998 | e | 5,280,376 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. KL3W, Cl. AFLW, (1 Month SOFR +0.56%) | | 5.88 | | 8/25/2025 | | 3,816,393 | d,e | 3,822,527 | |
Federal National Mortgage Association Grantor Trust, Ser. 2017-T1, Cl. A | | 2.90 | | 6/25/2027 | | 7,628,777 | e | 7,188,772 | |
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | | 6.05 | | 3/5/2031 | | 9,231,000 | | 9,302,532 | |
General Motors Financial Co., Inc., Sr. Unscd. Notes | | 5.85 | | 4/6/2030 | | 2,444,000 | c | 2,493,700 | |
HCA, Inc., Gtd. Notes | | 5.45 | | 4/1/2031 | | 17,030,000 | | 17,124,733 | |
Helios Issuer LLC, Ser. 2023-GRID1, Cl. 1A | | 5.75 | | 12/20/2050 | | 823,371 | b | 837,587 | |
Honeywell International, Inc., Sr. Unscd. Bonds | EUR | 4.13 | | 11/2/2034 | | 5,980,000 | | 6,822,060 | |
Honeywell International, Inc., Sr. Unscd. Notes | EUR | 3.38 | | 3/1/2030 | | 12,376,000 | | 13,384,199 | |
Honeywell International, Inc., Sr. Unscd. Notes | EUR | 3.75 | | 5/17/2032 | | 2,386,000 | | 2,647,980 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
United States - 47.5% (continued) | | | | | |
John Deere Capital Corp., Sr. Unscd. Notes | | 4.50 | | 1/16/2029 | | 13,300,000 | | 13,175,464 | |
JPMorgan Chase & Co., Sr. Unscd. Notes | | 5.34 | | 1/23/2035 | | 6,331,000 | c | 6,358,144 | |
Keurig Dr Pepper, Inc., Gtd. Notes | | 5.30 | | 3/15/2034 | | 14,690,000 | | 14,746,325 | |
Kite Realty Group LP, Sr. Unscd. Notes | | 5.50 | | 3/1/2034 | | 1,224,000 | | 1,216,733 | |
Life Mortgage Trust, Ser. 2021-BMR, Cl. A, (1 Month TSFR +0.81%) | | 6.14 | | 3/15/2038 | | 4,275,920 | b,d | 4,230,993 | |
McDonald's Corp., Sr. Unscd. Notes | EUR | 4.13 | | 11/28/2035 | | 12,000,000 | | 13,542,903 | |
MetroNet Infrastructure Issuer LLC, Ser. 2024-1A, Cl. A2 | | 6.23 | | 4/20/2054 | | 1,643,978 | b | 1,649,489 | |
Metropolitan Life Global Funding I, Scd. Notes | | 4.85 | | 1/8/2029 | | 12,288,000 | b | 12,205,824 | |
Morgan Stanley, Sr. Unscd. Notes | | 5.47 | | 1/18/2035 | | 6,103,000 | c | 6,159,869 | |
Mosaic Solar Loan Trust, Ser. 2023-2A, Cl. A | | 5.36 | | 9/22/2053 | | 2,348,625 | b | 2,318,668 | |
Nasdaq, Inc., Sr. Unscd. Bonds | EUR | 4.50 | | 2/15/2032 | | 13,980,000 | | 15,957,083 | |
Nasdaq, Inc., Sr. Unscd. Notes | | 5.55 | | 2/15/2034 | | 3,328,000 | | 3,386,168 | |
Nasdaq, Inc., Sr. Unscd. Notes | | 6.10 | | 6/28/2063 | | 3,164,000 | c | 3,376,874 | |
National Grid North America, Inc., Sr. Unscd. Notes | EUR | 1.05 | | 1/20/2031 | | 13,249,000 | | 12,064,627 | |
New Residential Mortgage Loan Trust, Ser. 2022-NQM1, CI. A1 | | 2.28 | | 4/25/2061 | | 5,415,273 | b | 4,657,000 | |
Public Service Enterprise Group, Inc., Sr. Unscd. Notes | | 5.45 | | 4/1/2034 | | 3,193,000 | | 3,201,010 | |
Purewest Funding LLC, Ser. 2021-1, Cl. A1 | | 4.09 | | 12/22/2036 | | 2,260,196 | b | 2,189,120 | |
Realty Income Corp., Sr. Unscd. Notes | EUR | 4.88 | | 7/6/2030 | | 6,834,000 | | 7,819,125 | |
Realty Income Corp., Sr. Unscd. Notes | EUR | 5.13 | | 7/6/2034 | | 1,288,000 | | 1,519,187 | |
Retained Vantage Data Centers Issuer LLC, Ser. 2023-1A, Cl. A2A | | 5.00 | | 9/15/2048 | | 5,630,000 | b | 5,455,616 | |
SBA Tower Trust, Asset Backed Notes | | 1.88 | | 1/15/2026 | | 6,860,000 | b | 6,406,839 | |
SBA Tower Trust, Asset Backed Notes | | 2.59 | | 10/15/2031 | | 6,340,000 | b | 5,124,713 | |
SBA Tower Trust, Asset Backed Notes | | 2.84 | | 1/15/2025 | | 8,030,000 | b | 7,838,815 | |
SpringCastle America Funding LLC, Ser. 2020-AA, Cl. A | | 1.97 | | 9/25/2037 | | 2,381,626 | b | 2,211,491 | |
Stack Infrastructure Issuer LLC, Ser. 2023-1A, CI. A2 | | 5.90 | | 3/25/2048 | | 1,430,000 | b | 1,427,380 | |
Tapestry, Inc., Sr. Unscd. Notes | | 7.70 | | 11/27/2030 | | 1,707,000 | | 1,821,694 | |
Texas Instruments, Inc., Sr. Unscd. Notes | | 4.85 | | 2/8/2034 | | 2,918,000 | | 2,933,172 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
United States - 47.5% (continued) | | | | | |
Texas Instruments, Inc., Sr. Unscd. Notes | | 5.15 | | 2/8/2054 | | 3,135,000 | | 3,149,414 | |
The PNC Financial Services Group, Inc., Sr. Unscd. Notes | | 5.94 | | 8/18/2034 | | 5,080,000 | | 5,214,786 | |
The PNC Financial Services Group, Inc., Sr. Unscd. Notes | | 6.04 | | 10/28/2033 | | 4,385,000 | | 4,536,198 | |
TIF Funding III LLC, Ser. 2024-1A, Cl. A | | 5.48 | | 5/22/2034 | | 7,894,000 | b | 7,891,359 | |
Tricon American Homes Trust, Ser. 2019-SFR1, Cl. A | | 2.75 | | 3/17/2038 | | 7,428,760 | b | 7,044,739 | |
TRP LLC, Ser. 2021-1, Cl. A | | 2.07 | | 6/19/2051 | | 6,473,290 | b | 5,845,137 | |
TRP LLC, Ser. 2021-2, Cl. A | | 2.15 | | 6/19/2051 | | 6,530,359 | b | 5,914,898 | |
Truist Financial Corp., Sr. Unscd. Notes | | 5.12 | | 1/26/2034 | | 3,648,000 | | 3,512,942 | |
Truist Financial Corp., Sr. Unscd. Notes | | 5.87 | | 6/8/2034 | | 8,175,000 | | 8,278,265 | |
Truist Financial Corp., Sr. Unscd. Notes | | 6.12 | | 10/28/2033 | | 859,000 | | 888,362 | |
Truist Financial Corp., Sr. Unscd. Notes | | 7.16 | | 10/30/2029 | | 2,399,000 | | 2,559,114 | |
U.S. Bancorp, Sr. Unscd. Notes | | 5.84 | | 6/12/2034 | | 5,801,000 | | 5,914,906 | |
U.S. Treasury Bonds | | 4.13 | | 8/15/2053 | | 15,800,000 | | 15,190,219 | |
U.S. Treasury Notes | | 2.88 | | 8/15/2028 | | 4,400,000 | | 4,155,594 | |
U.S. Treasury Notes | | 3.13 | | 11/15/2028 | | 51,050,000 | | 48,633,102 | |
U.S. Treasury Notes | | 4.00 | | 1/31/2029 | | 85,000,000 | c | 84,136,719 | |
U.S. Treasury Notes | | 4.00 | | 2/15/2034 | | 107,500,000 | | 105,736,328 | |
U.S. Treasury Notes | | 4.63 | | 2/28/2026 | | 3,575,000 | c | 3,572,347 | |
U.S. Treasury Notes | | 4.63 | | 9/30/2030 | | 50,250,000 | | 51,362,959 | |
Unilever Capital Corp., Sr. Unscd. Notes | EUR | 3.40 | | 6/6/2033 | | 4,404,000 | | 4,845,554 | |
Vantage Data Centers Issuer LLC, Ser. 2023-1A, CI. A2 | | 6.32 | | 3/16/2048 | | 5,716,000 | b | 5,779,097 | |
Verizon Communications, Inc., Sr. Unscd. Bonds | EUR | 4.25 | | 10/31/2030 | | 2,900,000 | | 3,283,628 | |
Verizon Communications, Inc., Sr. Unscd. Notes | EUR | 3.50 | | 6/28/2032 | | 16,691,000 | | 18,085,776 | |
Verus Securitization Trust, Ser. 2023-4, CI. A1 | | 5.81 | | 5/25/2068 | | 2,683,511 | b | 2,670,360 | |
Verus Securitization Trust, Ser. 2023-5, CI. A1 | | 6.48 | | 6/25/2068 | | 3,041,133 | b | 3,054,698 | |
WEA Finance LLC, Gtd. Notes | | 2.88 | | 1/15/2027 | | 2,764,000 | | 2,530,444 | |
WEA Finance LLC, Gtd. Notes | | 2.88 | | 1/15/2027 | | 5,510,000 | b | 5,044,409 | |
WEA Finance LLC, Gtd. Notes | | 3.50 | | 6/15/2029 | | 2,180,000 | b | 1,927,559 | |
WEA Finance LLC, Gtd. Notes | | 4.13 | | 9/20/2028 | | 2,326,000 | b | 2,132,705 | |
WEA Finance LLC, Gtd. Notes | | 4.63 | | 9/20/2048 | | 379,000 | b | 269,274 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 96.3% (continued) | | | | | |
United States - 47.5% (continued) | | | | | |
WEA Finance LLC/Westfield UK & Europe Finance PLC, Gtd. Notes | | 4.75 | | 9/17/2044 | | 6,752,000 | b | 5,003,961 | |
Wells Fargo & Co., Sr. Unscd. Notes | | 5.39 | | 4/24/2034 | | 3,670,000 | | 3,648,439 | |
Wells Fargo & Co., Sr. Unscd. Notes | | 5.56 | | 7/25/2034 | | 6,900,000 | | 6,929,641 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2021-SAVE, Cl. A, (1 Month TSFR +1.26%) | | 6.59 | | 2/15/2040 | | 2,877,544 | b,d | 2,861,033 | |
Federal Home Loan Mortgage Corp.: | | | |
2.50%, 10/1/2050 | | | 18,130,936 | e | 15,284,624 | |
3.50%, 6/1/2052 | | | 23,042,539 | e | 20,641,319 | |
5.00%, 7/1/2052-9/1/2053 | | | 32,639,348 | e | 32,010,515 | |
5.50%, 9/1/2053 | | | 25,071,410 | e | 25,276,974 | |
6.00%, 12/1/2053 | | | 8,808,037 | e | 8,992,942 | |
Federal National Mortgage Association: | | | |
2.50%, 9/1/2050-4/1/2052 | | | 43,852,785 | e | 36,907,213 | |
3.00%, 6/1/2050 | | | 35,641,688 | e | 31,263,164 | |
4.00%, 5/1/2052-6/1/2052 | | | 14,271,685 | e | 13,249,862 | |
4.50%, 6/1/2052 | | | 47,501,809 | e | 45,251,265 | |
5.00%, 7/1/2052 | | | 25,833,610 | e | 25,237,965 | |
6.00%, 11/1/2053-2/1/2054 | | | 31,349,377 | e | 32,307,377 | |
| | 1,174,842,330 | |
Total Bonds and Notes
(cost $2,404,514,228) | | 2,382,054,288 | |
Description /Number of Contracts/Counterparty | Exercise
Price | | Expiration Date | | Notional Amount ($) | | Value ($) | |
Options Purchased - .0% | | | | | |
Call Options - .0% | | | | | |
Japanese Yen, Contracts N/A, Goldman Sachs & Co. LLC | | 150.85 | | 5/21/2024 | | 18,205,000 | | 176,840 | |
Put Options - .0% | | | | | |
Swaption Receiver Markit CDX North America Investment Grade Index Series 41, Payer 3 Month Fixed Rate of 1.00% terminating on 12/20/2028, Contracts 249,950,000, Citigroup Global Markets Inc. | | 0.58 | | 4/17/2024 | | 249,950,000 | f | 18,567 | |
Swaption Receiver Markit CDX North America Investment Grade Index Series 42, Payer 3 Month Fixed Rate of .00% terminating on 06/20/2029, Contracts 237,150,000, Citigroup Global Markets Inc. | | 0.55 | | 5/15/2024 | | 237,150,000 | f | 215,841 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description /Number of Contracts/Counterparty | Exercise
Price | | Expiration Date | | Notional Amount ($) | a | Value ($) | |
Options Purchased - .0% (continued) | | | | | |
Put Options - .0% (continued) | | | | | |
Swaption Receiver Markit iTraxx Europe Index Series 40, Payer 3 Month Fixed Rate of 1.00% terminating on 12/20/2028, Contracts 188,700,000, Goldman Sachs & Co. LLC | EUR | 0.60 | | 4/17/2024 | | 188,700,000 | f | 25,861 | |
Swaption Receiver Markit iTraxx Europe Index Series 41, Payer 3 Month Fixed Rate of .00% terminating on 06/20/2029, Contracts 179,550,000, Citigroup Global Markets Inc. | EUR | 0.58 | | 5/15/2024 | | 179,550,000 | f | 223,791 | |
| | 484,060 | |
Total Options Purchased
(cost $1,290,162) | | 660,900 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.1% | | | | | |
Registered Investment Companies - 1.1% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $26,232,555) | | 5.42 | | | | 26,232,555 | g | 26,232,555 | |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - .7% | | | | | |
Registered Investment Companies - .7% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $17,782,619) | | 5.42 | | | | 17,782,619 | g | 17,782,619 | |
Total Investments (cost $2,449,819,564) | | 98.1% | 2,426,730,362 | |
Cash and Receivables (Net) | | 1.9% | 47,091,243 | |
Net Assets | | 100.0% | 2,473,821,605 | |
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Index Average
TSFR—Term Secured Overnight Financing Rate Reference Rates
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
CNY—Chinese Yuan Renminbi
DKK—Danish Krone
EUR—Euro
GBP—British Pound
HUF—Hungarian Forint
IDR—Indonesian Rupiah
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
MYR—Malaysian Ringgit
NZD—New Zealand Dollar
PEN—Peruvian Nuevo Sol
PLN—Polish Zloty
SEK—Swedish Krona
SGD—Singapore Dollar
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 March 31, 2024, these securities were valued at $403,105,916 or 16.29% of net assets.
c Security, or portion thereof, on loan. At March 31, 2024, the value of the fund’s securities on loan was $121,030,375 and the value of the collateral was $124,926,558, consisting of cash collateral of $17,782,619 and U.S. Government & Agency securities valued at $107,143,939. In addition, the value of collateral may include pending sales that are also on loan.
d Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
e The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
f Exercise price is referenced as basis points.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | | |
Futures | | | |
Description | Number of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | | |
U.S. Treasury 10 Year Notes | 1,790 | 6/18/2024 | 198,408,013 | 198,326,415 | (81,598) | |
U.S. Treasury 2 Year Notes | 231 | 6/28/2024 | 47,281,061 | 47,235,891 | (45,170) | |
U.S. Treasury 5 Year Notes | 978 | 6/28/2024 | 104,472,782 | 104,661,286 | 188,504 | |
U.S. Treasury Long Bond | 152 | 6/18/2024 | 18,135,780 | 18,306,500 | 170,720 | |
Ultra 10 Year U.S. Treasury Notes | 590 | 6/18/2024 | 67,482,592 | 67,619,534 | 136,942 | |
Futures Short | | |
Australian 10 Year Bond | 361 | 6/17/2024 | 27,150,166a | 27,423,952 | (273,786) | |
Canadian 10 Year Bond | 2,523 | 6/19/2024 | 222,809,155a | 224,146,632 | (1,337,477) | |
Euro 30 Year Bond | 225 | 6/6/2024 | 32,034,332a | 32,964,262 | (929,930) | |
Euro-Bobl | 342 | 6/6/2024 | 43,501,242a | 43,630,312 | (129,070) | |
Euro-Bond | 1,179 | 6/6/2024 | 167,970,051a | 169,654,578 | (1,684,527) | |
Long Gilt | 84 | 6/26/2024 | 10,406,786a | 10,595,699 | (188,913) | |
U.S. Treasury Ultra Long Bond | 90 | 6/18/2024 | 11,461,640 | 11,610,000 | (148,360) | |
Gross Unrealized Appreciation | | 496,166 | |
Gross Unrealized Depreciation | | (4,818,831) | |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
Options Written | | | |
Description/ Contracts/ Counterparties | Exercise Price | Expiration Date | Notional Amount ($) | a | Value ($) | |
Call Options: | | | | | | |
Japanese Yen,
Contracts N/A, Goldman Sachs & Co. LLC | 153.00 | 5/21/2024 | 18,205,000 | | (84,905) | |
Put Options: | | | | | | |
Swaption Payer Markit CDX North America Investment Grade Index Series 41, Receiver 3 Month Fixed Rate of 1.00% terminating on 12/20/2028,
Contracts 499,900,000, Citigroup Global Markets Inc. | 0.65 | 4/17/2024 | 499,900,000 | b | (30,144) | |
Swaption Payer Markit CDX North America Investment Grade Index Series 42, Receiver 3 Month Fixed Rate of .00% terminating on 06/20/2029,
Contracts 474,300,000, Citigroup Global Markets Inc. | 0.63 | 5/15/2024 | 474,300,000 | b | (171,410) | |
Swaption Payer Markit iTraxx Europe Index Series 40, Receiver 3 Month Fixed Rate of 1.00% terminating on 12/20/2028,
Contracts 377,400,000, Goldman Sachs & Co. LLC | 0.68 | 4/17/2024 | 377,400,000 | bEUR | (25,503) | |
Swaption Payer Markit iTraxx Europe Index Series 41, Receiver 3 Month Fixed Rate of .00% terminating on 06/20/2029,
Contracts 359,100,000, Citigroup Global Markets Inc. | 0.65 | 5/15/2024 | 359,100,000 | bEUR | (198,309) | |
Japanese Yen,
Contracts N/A, Goldman Sachs & Co. LLC | 144.00 | 5/21/2024 | 18,205,000 | | (40,706) | |
Total Options Written (premiums received $1,161,753) | | | | (550,977) | |
a Notional amount stated in U.S. Dollars unless otherwise indicated.
b Exercise price is referenced as basis points.
EUR—Euro
See notes to financial statements.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
United States Dollar | 1,593,543 | Japanese Yen | 234,550,000 | 4/9/2024 | 41,343 |
Euro | 4,400,000 | United States Dollar | 4,822,980 | 4/18/2024 | (72,173) |
Chilean Peso | 1,786,930,000 | United States Dollar | 1,842,861 | 4/18/2024 | (20,205) |
United States Dollar | 3,345,460 | Swedish Krona | 34,174,546 | 4/18/2024 | 150,162 |
Australian Dollar | 3,720,623 | Japanese Yen | 361,170,000 | 4/18/2024 | 32,668 |
Japanese Yen | 1,810,162,000 | United States Dollar | 12,064,015 | 4/18/2024 | (68,995) |
United States Dollar | 3,280,872 | Japanese Yen | 489,055,000 | 4/18/2024 | 40,154 |
BNP Paribas Corp. |
Singapore Dollar | 6,463,000 | United States Dollar | 4,847,975 | 4/18/2024 | (56,916) |
Japanese Yen | 358,533,284 | Australian Dollar | 3,677,000 | 4/18/2024 | (21,697) |
Euro | 7,717,000 | United States Dollar | 8,366,583 | 4/18/2024 | (34,315) |
United States Dollar | 2,877,671 | Swiss Franc | 2,511,000 | 4/18/2024 | 87,095 |
Citigroup Global Markets Inc. |
United States Dollar | 75,955,572 | New Zealand Dollar | 122,862,000 | 4/9/2024 | 2,550,959 |
United States Dollar | 2,377,434 | Swiss Franc | 2,072,000 | 4/18/2024 | 74,736 |
United States Dollar | 3,909,676 | Hungarian Forint | 1,408,187,000 | 4/9/2024 | 55,131 |
South African Rand | 200,516,000 | United States Dollar | 10,575,635 | 4/9/2024 | 1,505 |
Taiwan Dollar | 141,971,000 | United States Dollar | 4,525,058 | 4/18/2024 | (77,560) |
Euro | 6,980,000 | United States Dollar | 7,644,030 | 4/9/2024 | (110,147) |
United States Dollar | 3,025,379 | Euro | 2,770,000 | 4/9/2024 | 35,572 |
British Pound | 10,506,000 | United States Dollar | 13,272,910 | 4/18/2024 | (11,283) |
South African Rand | 26,960,000 | United States Dollar | 1,426,289 | 4/18/2024 | (5,150) |
Japanese Yen | 361,942,000 | Australian Dollar | 3,709,448 | 4/18/2024 | (20,266) |
United States Dollar | 33,913,758 | South African Rand | 658,068,000 | 4/9/2024 | (799,069) |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs & Co. LLC |
United States Dollar | 10,150,963 | Swedish Krona | 104,519,000 | 4/9/2024 | 381,883 |
Euro | 1,764,000 | United States Dollar | 1,932,615 | 4/9/2024 | (28,637) |
United States Dollar | 13,400,637 | Euro | 12,320,000 | 4/9/2024 | 103,010 |
United States Dollar | 2,362,818 | Hungarian Forint | 851,227,000 | 4/18/2024 | 34,162 |
Canadian Dollar | 7,702,000 | United States Dollar | 5,700,747 | 4/18/2024 | (13,032) |
United States Dollar | 50,721,578 | Japanese Yen | 7,581,618,000 | 4/9/2024 | 548,095 |
United States Dollar | 8,609,410 | New Zealand Dollar | 14,157,000 | 4/9/2024 | 151,228 |
United States Dollar | 4,522,215 | Singapore Dollar | 6,051,000 | 4/18/2024 | 36,574 |
South African Rand | 460,353,000 | United States Dollar | 24,575,431 | 4/9/2024 | (291,992) |
United States Dollar | 615,097 | Swedish Krona | 6,326,454 | 4/18/2024 | 23,578 |
United States Dollar | 3,005,040 | Polish Zloty | 11,989,000 | 4/9/2024 | 3,789 |
United States Dollar | 25,199,025 | Australian Dollar | 38,289,000 | 4/9/2024 | 239,728 |
United States Dollar | 17,381,648 | Japanese Yen | 2,610,604,800 | 4/18/2024 | 82,503 |
United States Dollar | 18,260,588 | Peruvian Nuevo Sol | 67,902,000 | 5/14/2024 | 23,508 |
United States Dollar | 1,866,397 | Brazilian Real | 9,260,000 | 4/18/2024 | 23,915 |
South African Rand | 33,996,000 | United States Dollar | 1,815,838 | 4/18/2024 | (23,811) |
United States Dollar | 3,347,515 | South African Rand | 62,976,000 | 4/18/2024 | 27,869 |
United States Dollar | 1,857,844 | Chilean Peso | 1,786,930,000 | 4/18/2024 | 35,188 |
United States Dollar | 4,030,764 | Polish Zloty | 16,106,000 | 4/18/2024 | (785) |
Euro | 4,990,000 | United States Dollar | 5,403,342 | 4/18/2024 | (15,495) |
United States Dollar | 4,568,791 | Euro | 4,203,000 | 4/18/2024 | 30,691 |
United States Dollar | 9,502,244 | Malaysian Ringgit | 44,480,000 | 5/14/2024 | 75,096 |
HSBC Securities (USA) Inc. |
Czech Koruna | 91,992,000 | United States Dollar | 3,925,996 | 4/18/2024 | (4,402) |
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
HSBC Securities (USA) Inc. (continued) |
Euro | 21,035,000 | United States Dollar | 22,877,934 | 4/9/2024 | (173,748) |
United States Dollar | 233,958,606 | Euro | 215,466,000 | 4/9/2024 | 1,394,775 |
United States Dollar | 11,213,116 | Swiss Franc | 9,828,000 | 4/9/2024 | 301,329 |
Japanese Yen | 2,239,506,878 | United States Dollar | 15,039,999 | 4/18/2024 | (199,930) |
United States Dollar | 4,971,120 | Japanese Yen | 740,062,000 | 4/18/2024 | 67,107 |
United States Dollar | 4,829,276 | Indian Rupee | 399,866,000 | 4/18/2024 | 37,485 |
United States Dollar | 89,523,508 | British Pound | 70,510,000 | 4/9/2024 | 523,592 |
Australian Dollar | 7,405,638 | Japanese Yen | 719,159,020 | 4/18/2024 | 63,198 |
Japanese Yen | 358,161,000 | Australian Dollar | 3,674,950 | 4/18/2024 | (22,827) |
Taiwan Dollar | 74,302,000 | United States Dollar | 2,368,229 | 4/18/2024 | (40,585) |
United States Dollar | 2,367,021 | Taiwan Dollar | 74,302,000 | 4/18/2024 | 39,377 |
Brazilian Real | 9,260,000 | United States Dollar | 1,867,877 | 4/18/2024 | (25,395) |
United States Dollar | 4,965,037 | South Korean Won | 6,646,000,000 | 5/14/2024 | 15,677 |
United States Dollar | 994,306 | Swedish Krona | 10,225,000 | 4/18/2024 | 38,275 |
Hungarian Forint | 851,042,000 | United States Dollar | 2,327,503 | 4/18/2024 | 647 |
United States Dollar | 6,778,596 | Indonesian Rupiah | 106,229,675,000 | 5/14/2024 | 87,405 |
United States Dollar | 2,356,939 | Mexican Peso | 40,372,000 | 4/18/2024 | (63,850) |
United States Dollar | 30,485,476 | Swiss Franc | 26,661,008 | 4/18/2024 | 856,016 |
United States Dollar | 26,208,830 | Australian Dollar | 40,204,000 | 4/9/2024 | 1,210 |
United States Dollar | 32,661,180 | Canadian Dollar | 43,952,000 | 4/9/2024 | 207,926 |
Thai Baht | 208,793,000 | United States Dollar | 5,845,023 | 4/9/2024 | (117,049) |
Euro | 1,165,000 | United States Dollar | 1,275,267 | 4/18/2024 | (17,383) |
United States Dollar | 4,857,626 | Euro | 4,449,000 | 4/18/2024 | 53,912 |
Norwegian Krone | 88,905,000 | United States Dollar | 8,494,454 | 4/18/2024 | (301,033) |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
J.P. Morgan Securities LLC |
United States Dollar | 5,378,707 | Thai Baht | 193,625,000 | 4/9/2024 | 66,848 |
Euro | 3,072,000 | United States Dollar | 3,329,206 | 4/18/2024 | (12,279) |
United States Dollar | 5,271,263 | Euro | 4,855,000 | 4/18/2024 | 29,179 |
Japanese Yen | 897,710,000 | United States Dollar | 6,103,039 | 4/18/2024 | (154,373) |
Swedish Krona | 39,286,000 | United States Dollar | 3,817,086 | 4/18/2024 | (143,871) |
United States Dollar | 3,349,877 | Chinese Yuan Renminbi | 24,098,000 | 4/18/2024 | 29,540 |
Australian Dollar | 15,550,000 | United States Dollar | 10,211,086 | 4/18/2024 | (72,022) |
United States Dollar | 2,256,917 | Australian Dollar | 3,453,000 | 4/18/2024 | 5,458 |
New Zealand Dollar | 21,523,000 | United States Dollar | 13,308,663 | 4/18/2024 | (449,436) |
Mexican Peso | 40,467,000 | United States Dollar | 2,351,419 | 4/18/2024 | 75,066 |
United States Dollar | 100,592,868 | South Korean Won | 133,399,220,000 | 5/14/2024 | 1,248,796 |
United States Dollar | 247,467,011 | Euro | 227,897,000 | 4/9/2024 | 1,485,745 |
Morgan Stanley & Co. LLC |
United States Dollar | 5,612,988 | British Pound | 4,413,000 | 4/9/2024 | 42,762 |
Swedish Krona | 32,496,000 | United States Dollar | 3,175,164 | 4/9/2024 | (137,860) |
United States Dollar | 4,181,486 | Singapore Dollar | 5,609,000 | 4/9/2024 | 25,172 |
Chinese Yuan Renminbi | 8,465,000 | United States Dollar | 1,175,447 | 4/9/2024 | (9,547) |
United States Dollar | 5,460,369 | Mexican Peso | 94,022,000 | 4/9/2024 | (184,938) |
Euro | 969,000 | United States Dollar | 1,049,618 | 4/9/2024 | (3,725) |
United States Dollar | 241,926,209 | Euro | 222,651,000 | 4/9/2024 | 1,607,228 |
RBC Capital Markets, LLC |
United States Dollar | 2,539,664 | Danish Krone | 17,434,000 | 4/9/2024 | 16,581 |
Canadian Dollar | 4,885,000 | United States Dollar | 3,599,582 | 4/18/2024 | 7,856 |
British Pound | 11,039,000 | United States Dollar | 14,008,148 | 4/9/2024 | (74,379) |
United States Dollar | 2,520,277 | Swiss Franc | 2,250,000 | 4/18/2024 | 19,761 |
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
RBC Capital Markets, LLC (continued) |
United States Dollar | 72,774,754 | Chinese Yuan Renminbi | 522,879,626 | 4/9/2024 | 757,581 |
Gross Unrealized Appreciation | | | 13,995,646 |
Gross Unrealized Depreciation | | | (3,880,160) |
See notes to financial statements.
| | | | | | | | |
Centrally Cleared Interest Rate Swaps |
Received
Reference
Entity | Paid
Reference
Entity | Maturity Date | Notional
Amount ($) | Market
Value ($) | Upfront
Payments/
Receipts ($) | Unrealized Appreciation(Depreciation) ($) |
EUR - Maturity Eurostat Eurozone HICP Ex Tobacco Unrevised NSA | EUR Fixed at 2.80% at Maturity | 7/28/2053 | 39,556,035 | 4,195,343 | 2,534,847 | 1,660,496 |
USD Fixed at 2.53% at Maturity | USD - Maturity US CPI Urban Consumers NSA at Maturity | 7/28/2053 | 55,615,000 | (392,597) | 996,600 | (1,389,197) |
USD Fixed at 2.45% at Maturity | USD - Maturity US CPI Urban Consumers NSA at Maturity | 12/7/2053 | 48,869,000 | 250,589 | 51,923 | 198,666 |
EUR - Maturity Eurostat Eurozone HICP Ex Tobacco Unrevised NSA | EUR Fixed at 2.50% at Maturity | 12/7/2053 | 35,364,703 | 359,862 | 773,310 | (413,448) |
GBP - 12 Month Sterling Overnight Interbank Average | GBP Fixed at 3.45% at Maturity | 12/21/2028 | 126,215,000 | 2,731,917 | 95,389 | 2,636,528 |
Gross Unrealized Appreciation | 4,495,690 |
Gross Unrealized Depreciation | (1,802,645) |
EUR—Euro
STATEMENT OF INVESTMENTS (Unaudited) (continued)
GBP—British Pound
USD—United States Dollar
See notes to financial statements.
| | | | | | |
OTC Total Return Swaps | |
Received
Reference
Entity | Paid
Reference
Entity | Counterparties | Maturity Date | Notional
Amount ($) | Unrealized Appreciation ($) |
EUR - 3 Month Euribor at 3.93% | EUR - Maturity Markit iBoxx € Liquid High Yield Index at Maturity | J.P. Morgan Securities LLC | 6/20/24 | 12,980,546 | 36,617 |
| | | | | | |
EUR - Maturity Markit iBoxx € Corporates at Maturity | EUR - 3 Month Euribor at 3.93% | J.P. Morgan Securities LLC | 6/20/24 | 77,107,358 | 30,623 |
| | | | | | |
EUR - 3 Month Euribor at 3.93% | EUR - Maturity Markit iBoxx € Liquid High Yield Index at Maturity | Goldman Sachs & Co. LLC | 6/20/24 | 72,294,735 | 336,719 |
| | | | | | |
EUR - Maturity Markit iBoxx € Corporates at Maturity | EUR - 3 Month Euribor at 3.93% | Goldman Sachs & Co. LLC | 6/20/24 | 158,003,047 | 554,777 |
| | | | | | |
USD - Maturity Markit iBoxx $ Investment Grade Corporate Bond ETF at Maturity | USD - 3 Month Secured Overnight Financing Rate 5.32% | J.P. Morgan Securities LLC | 6/20/24 | 16,334,477 | 5,537 |
| | |
Gross Unrealized Appreciation | 964,273 |
See notes to financial statements.
| | | | | | |
OTC Credit Default Swaps | |
Reference
Obligation/
Counterparty | Maturity
Date | Notional
Amount ($)1 | Market
Value ($) | Upfront
Payments/
Receipts ($) | Unrealized Appreciation(Depreciation)($) |
Sold Contracts:2 | |
Barclays Capital, Inc. | | |
Electrolux AB, 2.5%, 5/18/2030 Received 3 Month Fixed Rate of 1.00% | 12/20/2028 | 2,028,238 | (46,414) | (53,755) | 7,341 |
Citigroup Global Markets Inc. | | |
Whirlpool, 4.75%, 2/26/2029 Received 3 Month Fixed Rate of 1.00% | 6/20/2029 | 5,530,000 | (70,237) | (71,929) | 1,692 |
Goldman Sachs & Co. LLC | | |
Electrolux AB, 2.5%, 5/18/2030 Received 3 Month Fixed Rate of 1.00% | 12/20/2028 | 2,740,279 | (62,708) | (75,626) | 12,918 |
Purchased Contracts:3 | |
Barclays Capital, Inc. | | |
Deutsche Lufthansa, .25%, 9/6/2024 Paid 3 Month Fixed Rate of 1.00% | 12/20/2028 | 3,560,205 | (4,631) | 51,960 | (56,591) |
Citigroup Global Markets Inc. | | |
Southwest Airlines, 5.125%, 6/15/2027 Paid 3 Month Fixed Rate of 1.00% | 12/20/2028 | 8,590,000 | (77,867) | (17,536) | (60,331) |
Deutsche Lufthansa, .25%, 9/6/2024 Paid 3 Month Fixed Rate of 1.00% | 12/20/2028 | 3,775,975 | (4,912) | 58,140 | (63,052) |
Goldman Sachs & Co. LLC | | |
United Airlines, 4.875%, 1/15/2025 Paid 3 Month Fixed Rate of 5.00% | 12/20/2028 | 2,790,000 | (183,859) | 10,698 | (194,557) |
Gross Unrealized Appreciation | 21,951 |
Gross Unrealized Depreciation | (374,531) |
1 The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.
2 If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
3 If the fund is a buyer of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
See notes to financial statements.
| | | | | | |
Centrally Cleared Credit Default Swaps | |
Reference
Obligation | Maturity
Date | Notional
Amount ($)1 | Market
Value ($) | Upfront
Payments/
Receipts ($) | Unrealized Appreciation (Depreciation) ($) |
Sold Contracts:2 | |
Markit CDX North America High Yield Index Series 42, Received 3 Month Fixed Rate of 5.00% | 6/20/2029 | 2,980,000 | 214,074 | 208,669 | 5,405 |
Markit CDX North America Investment Grade Index Series 42, Received 3 Month Fixed Rate of 1.00% | 6/20/2029 | 139,500,000 | 3,197,641 | 3,048,722 | 148,919 |
Markit CDX North America High Yield Index Series 41, Received 3 Month Fixed Rate of 5.00% | 12/20/2028 | 3,306,600 | 248,944 | 186,483 | 62,461 |
Purchased Contracts:3 | |
Markit CDX North America High Yield Index Series 41, Paid 3 Month Fixed Rate of 5.00% | 12/20/2028 | 3,306,600 | (242,743) | (236,683) | (6,060) |
Markit iTraxx Europe Index Series 41, Paid 3 Month Fixed Rate of 1.00% | 6/20/2029 | 165,716,754 | (3,710,208) | (3,569,807) | (140,401) |
Markit CDX North America Investment Grade Index Series 42, Paid 3 Month Fixed Rate of 1.00% | 6/20/2029 | 975,000 | (22,055) | (21,685) | (370) |
Markit iTraxx Europe Senior Financial Index Series 41, Paid 3 Month Fixed Rate of 1.00% | 6/20/2029 | 142,667,124 | (2,576,319) | (2,402,018) | (174,301) |
Gross Unrealized Appreciation | 216,785 |
Gross Unrealized Depreciation | (321,132) |
1 The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.
2 If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
3 If the fund is a buyer of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Global Fixed Income Fund
March 31, 2024 (Unaudited)
The following is a summary of the inputs used as of March 31, 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 ($) | | |
Investments in Securities:† | | |
Asset-Backed Securities | - | 82,736,609 | | - | 82,736,609 | |
Collateralized Loan Obligations | - | 22,194,320 | | - | 22,194,320 | |
Commercial Mortgage-Backed | - | 66,682,771 | | - | 66,682,771 | |
Corporate Bonds | - | 857,766,624 | | - | 857,766,624 | |
Foreign Governmental | - | 731,685,414 | | - | 731,685,414 | |
Investment Companies | 44,015,174 | - | | - | 44,015,174 | |
U.S. Government Agencies Collateralized Mortgage Obligations | - | 11,703,638 | | - | 11,703,638 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 10,074,424 | | - | 10,074,424 | |
U.S. Government Agencies Mortgage-Backed | - | 286,423,220 | | - | 286,423,220 | |
U.S. Treasury Securities | - | 312,787,268 | | - | 312,787,268 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 13,995,646 | | - | 13,995,646 | |
Futures†† | 496,166 | - | | - | 496,166 | |
Options Purchased | - | 660,900 | | - | 660,900 | |
Swap Agreements†† | - | 5,698,699 | | - | 5,698,699 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (3,880,160) | | - | (3,880,160) | |
Futures†† | (4,818,831) | - | | - | (4,818,831) | |
Options Written | - | (550,977) | | - | (550,977) | |
Swap Agreements†† | - | (2,498,308) | | - | (2,498,308) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchange-traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
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)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.
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 March 31, 2024 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of interest rates, foreign currencies and credit, or as a substitute for an investment. The fund is subject to market risk, interest rate risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written
and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or
interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date. 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. There is minimal counterparty risk to the fund with centrally cleared swaps since they are exchange traded and the exchange guarantees these swaps against default. Interest rate swaps open at March 31, 2024 are set forth in the Statement of Investments.
Credit Default Swaps: Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced obligation or index) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to
manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rate, the fund is selling credit protection on the underlying instrument. The maximum payouts for these agreements are limited to the notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
GAAP requires disclosure for (i) the nature and terms of the credit derivative, reasons for entering into the credit derivative, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative, (iii) the fair value of the credit derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. All required disclosures have been made and are incorporated within the current period as part of the Notes to the Statement of Investments and disclosures within this Note.
Total Return Swaps: Total return swaps involve commitments to pay interest in exchange for a market-linked return based on a notional principal amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the specific reference entity, the fund either receives a payment from or makes a payment to the counterparty, respectively. Total return swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk is mitigated by Master Agreements 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. The underlying reference asset could be a security, an index, or basket of investments.
At March 31, 2024, accumulated net unrealized depreciation on investments was $13,986,067, consisting of $61,757,379 gross unrealized appreciation and $75,743,446 gross unrealized depreciation.
At March 31, 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.
