STATEMENT OF INVESTMENTS
BNY Mellon Floating Rate Income Fund
May 31, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 6.9% | | | | | |
Advertising - .2% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 1,500,000 | b | 1,418,370 | |
Banks - .2% | | | | | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 6.63 | | 1/15/2027 | | 500,000 | b,c | 483,329 | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 7.63 | | 5/1/2026 | | 1,500,000 | b | 1,491,649 | |
| | 1,974,978 | |
Chemicals - .5% | | | | | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 1,500,000 | b,d | 1,226,250 | |
Kobe US Midco 2, Inc., Sr. Unscd. Notes | | 9.25 | | 11/1/2026 | | 1,263,465 | b,d | 1,051,835 | |
Rain Carbon, Inc., Sr. Scd. Notes | | 12.25 | | 9/1/2029 | | 1,430,000 | b,c | 1,526,981 | |
| | 3,805,066 | |
Collateralized Loan Obligations Debt - 2.8% | | | | | |
Arbour VII DAC CLO, Ser. 7A, CI. E, (3 Month EURIBOR +6.40%) | EUR | 10.34 | | 3/15/2033 | | 1,000,000 | b,e | 1,086,991 | |
Ares European XII DAC CLO, Ser. 12A, Cl. E, (3 Month EURIBOR +6.10%) | EUR | 10.00 | | 4/20/2032 | | 1,450,000 | b,e | 1,570,102 | |
Barings I Ltd. CLO, Ser. 2018-1A, Cl. D, (3 Month TSFR +5.76%) | | 11.09 | | 4/15/2031 | | 2,900,000 | b,e | 2,867,160 | |
Barings III Ltd. CLO, Ser. 2019-3A, Cl. ER, (3 Month TSFR +6.96%) | | 12.29 | | 4/20/2031 | | 1,000,000 | b,e | 1,004,415 | |
Battalion XVI Ltd. CLO, Ser. 2019-16A, Cl. ER, (3 Month TSFR +6.86%) | | 12.19 | | 12/19/2032 | | 2,000,000 | b,e | 1,960,726 | |
CBAM Ltd. CLO, Ser. 2021-14A, Cl. E, (3 Month TSFR +6.76%) | | 12.09 | | 4/20/2034 | | 1,500,000 | b,e | 1,411,565 | |
CIFC Funding IV Ltd. CLO, Ser. 2020-4A, Cl. E, (3 Month TSFR +7.11%) | | 12.44 | | 1/15/2034 | | 1,180,000 | b,e | 1,193,102 | |
KKR 23 Ltd. CLO, Ser. 23, Cl. E, (3 Month TSFR +6.26%) | | 11.59 | | 10/20/2031 | | 2,000,000 | b,e | 2,006,296 | |
Neuberger Berman Loan Advisers 24 Ltd. CLO, Ser. 2017-24A, Cl. E, (3 Month TSFR +6.28%) | | 11.61 | | 4/19/2030 | | 1,000,000 | b,e | 1,004,166 | |
Neuberger Berman Loan Advisers 36 Ltd. CLO, Ser. 2020-36A, Cl. ER2, (3 Month TSFR +7.30%) | | 12.62 | | 4/20/2033 | | 500,000 | b,e | 502,946 | |
Palmer Square Loan Funding Ltd. CLO, Ser. 2022-3A, Cl. DR, (3 Month TSFR +5.90%) | | 11.23 | | 4/15/2031 | | 800,000 | b,e | 803,986 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 6.9% (continued) | | | | | |
Collateralized Loan Obligations Debt - 2.8% (continued) | | | | | |
Rockford Tower Europe DAC CLO, Ser. 2019-1A, Cl. E, (3 Month EURIBOR +6.03%) | EUR | 9.93 | | 1/20/2033 | | 1,000,000 | b,e | 1,083,382 | |
Rockford Tower Ltd. CLO, Ser. 2022-2A, Cl. ER, (3 Month TSFR +8.12%) | | 13.44 | | 10/20/2035 | | 750,000 | b,e | 752,885 | |
Sound Point XXXIII Ltd. CLO, Ser. 2022-1A, Cl. E, (3 Month TSFR +6.70%) | | 12.02 | | 4/25/2035 | | 2,000,000 | b,e | 1,838,690 | |
St. Pauls CLO, Ser. 11-A, Cl. E, (3 Month EURIBOR +6.00%) | EUR | 9.89 | | 1/17/2032 | | 1,000,000 | b,e | 1,057,599 | |
Trimaran CAVU Ltd. CLO, Ser. 2019-1A, CI. E, (3 Month TSFR +7.30%) | | 12.63 | | 7/20/2032 | | 2,840,000 | b,e | 2,822,375 | |
| | 22,966,386 | |
Commercial & Professional Services - .3% | | | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Scd. Notes | | 6.63 | | 7/15/2026 | | 2,527,000 | b | 2,527,583 | |
Consumer Discretionary - .4% | | | | | |
Everi Holdings, Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 1,500,000 | b,c | 1,457,362 | |
NCL Finance Ltd., Gtd. Notes | | 6.13 | | 3/15/2028 | | 1,500,000 | b | 1,469,499 | |
| | 2,926,861 | |
Diversified Financials - .2% | | | | | |
PennyMac Financial Services, Inc., Gtd. Notes | | 5.38 | | 10/15/2025 | | 2,000,000 | b | 1,983,707 | |
Energy - .3% | | | | | |
New Fortress Energy, Inc., Sr. Scd. Notes | | 6.75 | | 9/15/2025 | | 973,000 | b,c | 962,146 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 1,500,000 | b | 1,534,049 | |
| | 2,496,195 | |
Food Products - .2% | | | | | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 1,500,000 | b | 1,754,594 | |
Health Care - .4% | | | | | |
CHS/Community Health Systems, Inc., Scd. Notes | | 6.88 | | 4/15/2029 | | 1,500,000 | b | 1,175,404 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 6.00 | | 1/15/2029 | | 1,500,000 | b | 1,344,579 | |
LifePoint Health, Inc., Gtd. Notes | | 5.38 | | 1/15/2029 | | 1,000,000 | b | 845,095 | |
| | 3,365,078 | |
Industrial - .1% | | | | | |
GrafTech Finance, Inc., Sr. Scd. Notes | | 4.63 | | 12/15/2028 | | 1,497,000 | b,c | 971,087 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 6.9% (continued) | | | | | |
Insurance - .1% | | | | | |
Ardonagh Finco Ltd., Sr. Scd. Notes | | 7.75 | | 2/15/2031 | | 520,000 | b | 516,856 | |
Ardonagh Group Finance Ltd., Sr. Unscd. Notes | | 8.88 | | 2/15/2032 | | 588,000 | b | 579,930 | |
| | 1,096,786 | |
Internet Software & Services - .2% | | | | | |
Arches Buyer, Inc., Sr. Unscd. Notes | | 6.13 | | 12/1/2028 | | 2,000,000 | b | 1,613,074 | |
Materials - .2% | | | | | |
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 1,523,000 | b,c | 1,394,059 | |
Metals & Mining - .1% | | | | | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.00 | | 6/30/2031 | | 1,000,000 | b,d | 935,700 | |
Real Estate - .5% | | | | | |
Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp., Scd. Notes | | 7.00 | | 4/15/2030 | | 991,571 | b | 862,024 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 864,000 | b | 856,965 | |
Starwood Property Trust, Inc., Sr. Unscd. Notes | | 3.75 | | 12/31/2024 | | 2,000,000 | b | 1,965,549 | |
| | 3,684,538 | |
Retailing - .2% | | | | | |
Carvana Co., Sr. Scd. Notes | | 13.00 | | 6/1/2030 | | 1,500,000 | b,d | 1,545,314 | |
Total Bonds and Notes
(cost $56,567,055) | | 56,459,376 | |
| | | | | | | | | |
Floating Rate Loan Interests - 88.8% | | | | | |
Advertising - 1.1% | | | | | |
CB Poly US Holdings, Inc., Initial Term Loan, (3 Month TSFR +5.50%) | | 10.85 | | 5/21/2029 | | 1,965,394 | e | 1,934,439 | |
Dotdash Meredith, Inc., Term Loan B, (1 Month TSFR +4.10%) | | 9.41 | | 12/1/2028 | | 3,901,155 | e | 3,915,785 | |
Neptune BidCo US, Inc., Dollar Term Loan B, (3 Month TSFR +5.10%) | | 10.41 | | 4/11/2029 | | 2,969,281 | e | 2,854,221 | |
| | 8,704,445 | |
Aerospace & Defense - 1.8% | | | | | |
Dynasty Acquisition I Co., 2024 Refinancing Term Loan B-1, (1 Month TSFR +3.50%) | | 8.83 | | 8/24/2028 | | 2,886,685 | e | 2,914,080 | |
Ovation Parent, Inc., Term Loan, (3 Month TSFR +3.50%) | | 8.83 | | 4/21/2031 | | 2,722,727 | e | 2,745,707 | |
Propulsion BC Newco LLC, Initial Term Loan, (3 Month TSFR +3.75%) | | 9.06 | | 9/14/2029 | | 2,679,437 | e | 2,704,556 | |
Spirit AeroSystems, Inc., New Initial Term Loan, (3 Month TSFR +4.25%) | | 9.58 | | 1/15/2027 | | 1,802,028 | e | 1,815,318 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Aerospace & Defense - 1.8% (continued) | | | | | |
Standard Aero Ltd., 2024 Refinancing Term Loan B-2, (1 Month TSFR +3.50%) | | 8.83 | | 8/24/2028 | | 1,113,032 | e | 1,123,594 | |
TransDigm, Inc., Term Loan I, (3 Month TSFR +2.75%) | | 8.06 | | 8/24/2028 | | 2,243,592 | e | 2,256,324 | |
TransDigm, Inc., Tranche Term Loan J, (3 Month TSFR +3.25%) | | 8.56 | | 2/28/2031 | | 1,246,875 | e | 1,253,265 | |
| | 14,812,844 | |
Airlines - 1.1% | | | | | |
AAdvantage Loyalty LP, Initial Term Loan, (3 Month TSFR +5.01%) | | 10.34 | | 4/20/2028 | | 4,901,417 | e | 5,099,777 | |
Mileage Plus Holdings LLC, Initial Term Loan, (3 Month TSFR +5.40%) | | 10.73 | | 6/21/2027 | | 3,870,000 | e | 3,963,228 | |
| | 9,063,005 | |
Automobiles & Components - 2.0% | | | | | |
Clarios Global LP, First Lien Amendment No. 1 Euro Term Loan, (1 Month EURIBOR +3.25%) | EUR | 7.02 | | 4/30/2026 | | 4,105,850 | e | 4,475,568 | |
First Brands Group LLC, 2021 First Lien Term Loan, (3 Month TSFR +5.26%) | | 10.59 | | 3/30/2027 | | 373,397 | e | 370,329 | |
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month TSFR +5.26%) | | 10.59 | | 3/30/2027 | | 6,419,382 | e | 6,387,285 | |
IXS Holdings, Inc., Initial Term Loan, (3 Month TSFR +4.35%) | | 9.70 | | 3/5/2027 | | 3,142,409 | e | 2,988,038 | |
Realtruck Group, Inc., Initial Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 1/31/2028 | | 1,442,398 | e | 1,444,209 | |
Realtruck Group, Inc., Second Amendment Incremental Term Loan, (1 Month TSFR +5.11%) | | 10.44 | | 1/31/2028 | | 860,000 | e | 863,229 | |
| | 16,528,658 | |
Banks - .7% | | | | | |
Ascensus Holdings, Inc., Initial Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 8/2/2028 | | 3,398,856 | e | 3,408,424 | |
Chrysaor Bidco Sarl, Term Loan B, (1 Month TSFR +3.50%) | | 4.00 | | 5/16/2031 | | 2,450,000 | e | 2,462,250 | |
| | 5,870,674 | |
Beverage Products - .7% | | | | | |
Triton Water Holdings, Inc., 2024 Incremental Term Loan, (3 Month TSFR +4.00%) | | 9.30 | | 3/31/2028 | | 1,102,237 | e | 1,108,024 | |
Triton Water Holdings, Inc., First Lien Initial Term Loan, (3 Month TSFR +3.51%) | | 8.81 | | 3/31/2028 | | 4,778,414 | e | 4,777,052 | |
| | 5,885,076 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Building Materials - 2.4% | | | | | |
Cornerstone Building Brands, Inc., Facility Term Loan B, (1 Month TSFR +3.35%) | | 8.67 | | 4/12/2028 | | 2,977,545 | e | 2,939,789 | |
Cornerstone Building Brands, Inc., Term Loan, (1 Month TSFR +5.63%) | | 10.94 | | 8/1/2028 | | 2,080,448 | e | 2,114,256 | |
Cornerstone Building Brands, Inc., Tranche Term Loan C, (1 Month TSFR +4.50%) | | 9.82 | | 5/15/2031 | | 1,250,000 | e | 1,253,125 | |
Emrld Borrower LP, Term Loan B, (1 Month TSFR +2.50%) | | 7.83 | | 5/31/2030 | | 1,583,811 | e | 1,595,800 | |
MIWD Holdco II LLC, 2024 Incremental Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 3/28/2031 | | 3,661,597 | e | 3,694,021 | |
Oscar Acquisitionco LLC, Term Loan B, (3 Month TSFR +4.60%) | | 9.90 | | 4/29/2029 | | 2,992,405 | e | 3,000,574 | |
Potters Borrower LP, 2024 Refinancing Term Loan, (3 Month TSFR +3.75%) | | 9.05 | | 12/14/2027 | | 2,488,333 | e | 2,508,551 | |
Tamko Building Products, Inc., Refinancing Term Loan, (3 Month TSFR +3.25%) | | 8.58 | | 9/20/2030 | | 2,929,006 | e | 2,942,421 | |
| | 20,048,537 | |
Chemicals - 2.2% | | | | | |
Chemours Co., Euro Tranche Term Loan B-3, (1 Month EURIBOR +4.00%) | EUR | 7.78 | | 8/18/2028 | | 1,500,000 | e | 1,637,340 | |
Derby Buyer LLC, 2024 Refinancing Term Loan, (3 Month TSFR +3.50%) | | 8.82 | | 11/1/2030 | | 2,284,916 | e | 2,295,621 | |
Hexion Holdings Corp., First Lien Initial Term Loan, (3 Month TSFR +4.65%) | | 9.98 | | 3/15/2029 | | 3,066,173 | e | 3,074,559 | |
Nouryon Finance BV, Extended Euro Term Loan, (3 Month EURIBOR +4.25%) | EUR | 8.18 | | 4/3/2028 | | 2,000,000 | e | 2,179,193 | |
Nouryon USA LLC, Incremental Term Loan B, (3 Month TSFR +3.50%) | | 8.82 | | 4/3/2028 | | 2,050,527 | e | 2,071,032 | |
Olympus Water US Holding Corp., Initial Euro Term Loan, (3 Month EURIBOR +4.00%) | EUR | 7.90 | | 11/9/2028 | | 2,000,000 | e | 2,181,341 | |
The Chemours Company, Tranche Term Loan B-3, (1 Month TSFR +3.50%) | | 8.83 | | 8/18/2028 | | 1,492,500 | e | 1,504,634 | |
WR Grace Holdings LLC, Term Loan B, (3 Month TSFR +3.75%) | | 9.32 | | 9/22/2028 | | 3,029,504 | e | 3,044,651 | |
| | 17,988,371 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Commercial & Professional Services - 6.4% | | | | | |
Adtalem Global Education, Inc., 2024 Repricing Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 8/14/2028 | | 2,075,160 | e | 2,083,813 | |
Albion Financing 3 Sarl, 2023 & 2026 Term Loan, (3 Month EURIBOR +5.25%) | EUR | 9.15 | | 8/17/2026 | | 1,500,000 | e | 1,642,418 | |
Albion Financing 3 Sarl, 2023 Incremental US Dollar Term Loan, (3 Month TSFR +5.50%) | | 10.83 | | 8/17/2026 | | 990,000 | e | 998,049 | |
Albion Financing 3 Sarl, Term Loan B, (3 Month TSFR +5.25%) | | 10.57 | | 8/17/2026 | | 1,779,760 | e | 1,794,781 | |
American Auto Auction, First Lien Tranche Term Loan B, (3 Month TSFR +5.15%) | | 10.46 | | 12/30/2027 | | 3,246,057 | e | 3,248,492 | |
CHG Healthcare Services, Inc., 2023 Incremental Term Loan, (1 Month TSFR +3.75%) | | 9.08 | | 10/2/2028 | | 1,995,000 | e | 2,008,217 | |
CHG Healthcare Services, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.36%) | | 8.69 | | 9/29/2028 | | 957,307 | e | 961,697 | |
Division Holding Corp., Term Loan B, (1 Month TSFR +4.86%) | | 10.19 | | 5/30/2028 | | 2,916,014 | e | 2,916,014 | |
Ensemble RCM LLC, Term Loan B, (3 Month TSFR +3.00%) | | 8.33 | | 8/1/2029 | | 2,897,908 | e | 2,918,223 | |
Envalior Finance GmbH, Facility Euro Term Loan B-1, (3 Month EURIBOR +5.50%) | EUR | 9.36 | | 4/3/2030 | | 1,500,000 | e | 1,577,836 | |
Envalior Finance GmbH, Term Loan B-1, (1 Month TSFR +5.50%) | | 6.00 | | 4/3/2030 | | 1,000,000 | e | 951,250 | |
Grant Thornton LLP, Initial Term Loan, (1 Month TSFR +2.25%) | | 3.25 | | 5/30/2031 | | 2,000,000 | e | 2,015,640 | |
House of HR Group BV, Additional Facility Term Loan B-2, (3 Month TSFR +5.00%) | EUR | 8.83 | | 11/5/2029 | | 1,500,000 | e | 1,637,747 | |
Kingpin Intermediate Holdings, Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 2/8/2028 | | 2,482,494 | e | 2,487,695 | |
KUEHG Corp., Term Loan B, (3 Month TSFR +4.50%) | | 9.82 | | 6/12/2030 | | 3,641,536 | e | 3,662,275 | |
Modulaire Group Holdings, Facility Term Loan B, (3 Month EURIBOR +4.43%) | EUR | 8.33 | | 12/22/2028 | | 1,500,000 | e | 1,633,369 | |
OMNIA Partners LLC, Repriced Term Loan, (3 Month TSFR +3.75%) | | 9.07 | | 7/25/2030 | | 3,516,188 | e | 3,534,982 | |
OMNIA Partners LLC, Term Loan B, (1 Month TSFR +3.25%) | | 3.25 | | 7/25/2030 | | 271,000 | e | 272,449 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Commercial & Professional Services - 6.4% (continued) | | | | | |
Prime Security Services Borrower LLC, 2024 Refinancing Term Loan B-1, (3 Month TSFR +2.25%) | | 7.58 | | 10/15/2030 | | 1,995,000 | e | 2,005,025 | |
Prometric Holdings, Inc., Term Loan B, (1 Month TSFR +4.86%) | | 10.19 | | 1/31/2028 | | 2,301,234 | e | 2,317,918 | |
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, (1 Month TSFR +4.36%) | | 9.69 | | 7/10/2028 | | 2,047,690 | e | 2,044,404 | |
Spring Education Group, Inc., Initial Term Loan, (3 Month TSFR +4.50%) | | 9.81 | | 10/4/2030 | | 2,819,872 | e | 2,847,719 | |
Vaco Holdings LLC, Initial Term Loan, (3 Month TSFR +5.25%) | | 10.43 | | 1/21/2029 | | 3,200,879 | e | 3,198,894 | |
Wand NewCo 3, Inc., Intial Term Loan, (1 Month TSFR +3.75%) | | 9.08 | | 1/30/2031 | | 3,733,333 | e | 3,767,699 | |
| | 52,526,606 | |
Consumer Discretionary - 6.6% | | | | | |
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan B, (1 Month TSFR +4.25%) | | 9.57 | | 7/31/2028 | | 2,000,000 | e | 2,013,750 | |
AI Aqua Merger Sub, Inc., Initial Term Loan B, (1 Month TSFR +4.00%) | | 9.32 | | 7/31/2028 | | 2,726,210 | e | 2,741,477 | |
Allwyn Entertainment Financing US LLC, Term Loan B, (1 Month TSFR +2.25%) | | 2.25 | | 6/30/2031 | | 3,000,000 | e | 3,009,375 | |
Bally's Corp., Facility Term Loan B, (3 Month TSFR +3.25%) | | 8.84 | | 10/2/2028 | | 4,100,619 | e | 3,943,648 | |
Cirque Du Soleil Holding, Initial Term Loan, (1 Month TSFR +3.75%) | | 9.05 | | 3/8/2030 | | 1,980,000 | e | 1,984,950 | |
Closure Systems International Group, Inc., Amendment No. 4 Term Loan, (1 Month TSFR +4.00%) | | 9.33 | | 3/22/2029 | | 2,285,000 | e | 2,302,138 | |
Dealer Tire Financial LLC, Term Loan B-3, (1 Month TSFR +3.75%) | | 9.08 | | 12/14/2027 | | 3,937,918 | e | 3,955,954 | |
ECL Entertainment LLC, Term Loan B, (1 Month TSFR +4.00%) | | 9.33 | | 8/30/2030 | | 2,348,201 | e | 2,365,812 | |
Fitness International LLC, New Term Loan B, (1 Month TSFR +5.25%) | | 10.58 | | 2/12/2029 | | 4,372,460 | e | 4,388,857 | |
GVC Holdings PLC, Facility Euro Term Loan B-4, (3 Month EURIBOR +3.25%) | EUR | 7.10 | | 6/30/2028 | | 1,000,000 | e | 1,092,423 | |
GVC Holdings PLC, Facility Term Loan B-3, (3 Month TSFR +2.85%) | | 8.17 | | 10/31/2029 | | 2,500,000 | e | 2,511,325 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Consumer Discretionary - 6.6% (continued) | | | | | |
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan, (1 Month TSFR +4.36%) | | 9.69 | | 4/26/2028 | | 2,890,849 | e,f | 2,890,863 | |
LC Ahab US Bidco LLC, Initial Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 5/1/2031 | | 2,068,000 | e | 2,083,520 | |
ONE Hotels GmbH, Facility Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 4.50 | | 5/14/2031 | | 2,000,000 | e | 2,189,088 | |
Ontario Gaming GTA LP, Term Loan B, (3 Month TSFR +4.25%) | | 9.56 | | 8/1/2030 | | 3,449,388 | e | 3,476,500 | |
Recess Holdings, Inc., Initial Term Loan, (1 Month TSFR +4.50%) | | 9.83 | | 2/20/2030 | | 3,534,444 | e | 3,559,857 | |
Tecta America Corp., First Lien Initial Term Loan, (1 Month TSFR +4.11%) | | 9.44 | | 4/10/2028 | | 1,629,117 | e | 1,639,250 | |
Tecta America Corp., Term Loan B, (1 Month TSFR +4.36%) | | 9.68 | | 4/10/2028 | | 1,960,150 | e | 1,972,342 | |
Verde Purchaser LLC, Initial Term Loan, (3 Month TSFR +5.00%) | | 10.31 | | 12/2/2030 | | 2,440,000 | e | 2,447,320 | |
Windsor Holdings III LLC, 2024 Term Loan B, (1 Month TSFR +4.00%) | | 9.32 | | 8/1/2030 | | 3,852,745 | e | 3,902,927 | |
| | 54,471,376 | |
Consumer Durables & Apparel - .2% | | | | | |
S&S Holdings LLC, First Lien Initial Term Loan, (1 Month TSFR +5.10%) | | 10.42 | | 3/13/2028 | | 1,942,015 | e | 1,950,511 | |
Consumer Staples - 1.0% | | | | | |
Hunter Douglas, Inc., Tranche Term Loan B-1, (3 Month TSFR +3.50%) | | 8.84 | | 2/26/2029 | | 4,444,693 | e | 4,434,381 | |
Kronos Acquisition Holdings, Inc., Tranche Term Loan B-1, (3 Month TSFR +4.01%) | | 9.31 | | 12/22/2026 | | 3,794,676 | e | 3,805,737 | |
| | 8,240,118 | |
Diversified Financials - 3.0% | | | | | |
Blackhawk Network Holdings, Inc., Term Loan B, (1 Month TSFR +5.00%) | | 10.33 | | 3/12/2029 | | 4,824,408 | e | 4,850,340 | |
Edelman Financial Center, First Lien Term Loan B, (1 Month TSFR +3.61%) | | 8.94 | | 4/7/2028 | | 3,505,924 | e | 3,512,655 | |
Hudson River Trading LLC, Term Loan, (1 Month TSFR +3.11%) | | 8.44 | | 3/20/2028 | | 1,814,841 | e | 1,819,378 | |
Jane Street Group LLC, 2021 Term Loan, (1 Month TSFR +2.61%) | | 7.94 | | 1/26/2028 | | 3,451,680 | e | 3,466,988 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Diversified Financials - 3.0% (continued) | | | | | |
Nexus Buyer LLC, Amendment No. 5 Term Loan, (1 Month TSFR +4.50%) | | 9.83 | | 12/13/2028 | | 1,020,000 | e | 1,023,402 | |
Nexus Buyer LLC, Initial Term Loan, (1 Month TSFR +3.85%) | | 9.18 | | 11/9/2026 | | 2,472,264 | e | 2,479,681 | |
Russell Investments US Institutional Holdco, Inc., 2027 Term Loan, (3 Month TSFR +5.00%) | | 10.33 | | 6/1/2027 | | 3,851,981 | d,e | 3,506,266 | |
The Edelman Financial Engines Center LLC, Term Loan, (1 Month TSFR +5.25%) | | 5.25 | | 10/20/2028 | | 2,083,000 | e | 2,086,999 | |
The Edelman Financial Engines Center LLC, Term Loan B, (1 Month TSFR +6.86%) | | 12.19 | | 7/20/2026 | | 1,530,000 | e | 1,536,342 | |
| | 24,282,051 | |
Electronic Components - .5% | | | | | |
Roper Industrial Products Investment Co., First Lien Term Loan, (3 Month TSFR +4.00%) | | 9.30 | | 11/23/2029 | | 4,106,307 | e | 4,141,806 | |
Energy - 3.0% | | | | | |
CPV Shore Holdings LLC, Advance Term Loan B, (1 Month TSFR +3.75%) | | 3.90 | | 12/27/2025 | | 1,427,230 | e | 1,376,206 | |
Freeport LNG Investments, Initial Term Loan B, (3 Month TSFR +3.76%) | | 9.09 | | 12/21/2028 | | 3,578,986 | e | 3,582,959 | |
GIP Pilot Acquisition Partners LP, 2024 Term Loan B, (3 Month TSFR +2.50%) | | 7.83 | | 10/4/2030 | | 2,407,300 | e | 2,422,947 | |
NGL Energy Operating LLC, Intial Term Loan, (1 Month TSFR +4.50%) | | 9.83 | | 2/3/2031 | | 2,284,000 | e | 2,304,385 | |
Oryx Midstream Services LLC, 2024 Refinancing Term Loan, (1 Month TSFR +3.11%) | | 8.44 | | 10/5/2028 | | 2,449,841 | e | 2,468,006 | |
Traverse Midstream Partners LLC, Term Loan B, (3 Month TSFR +3.50%) | | 8.83 | | 2/16/2028 | | 3,941,977 | e | 3,974,006 | |
UGI Energy Services LLC, 2023 Incremental Term Loan, (1 Month TSFR +3.35%) | | 8.68 | | 2/22/2030 | | 1,978,545 | e | 1,993,997 | |
WaterBridge Midstream Operating, Initial Term Loan, (3 Month TSFR +6.01%) | | 11.34 | | 6/21/2026 | | 3,795,479 | e | 3,819,561 | |
WaterBridge NDB Operating LLC, Term Loan, (3 Month TSFR +4.50%) | | 9.83 | | 5/10/2029 | | 3,086,957 | e | 3,106,250 | |
| | 25,048,317 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Environmental Control - .2% | | | | | |
Win Waste Innovations Holdings , Term Loan, (1 Month TSFR +2.75%) | | 8.18 | | 3/27/2028 | | 1,406,000 | e | 1,315,489 | |
Financials - .3% | | | | | |
Jump Financial LLC, Term Loan, (3 Month TSFR +4.76%) | | 10.07 | | 8/7/2028 | | 2,592,145 | e | 2,592,145 | |
Food Products - 1.9% | | | | | |
Biscuit Holding SASU, Facility Term Loan B, (6 Month EURIBOR +4.00%) | EUR | 7.86 | | 2/14/2027 | | 1,500,000 | e | 1,533,615 | |
Chobani LLC, 2023 Additional Term Loan, (1 Month TSFR +3.75%) | | 9.07 | | 10/25/2027 | | 3,401,475 | e | 3,426,561 | |
Fiesta Purchaser, Inc., Term Loan B, (1 Month TSFR +4.00%) | | 9.33 | | 2/12/2031 | | 2,988,889 | e | 3,019,704 | |
Max US Bidco, Inc., Initial Term Loan, (3 Month TSFR +5.00%) | | 10.31 | | 10/2/2030 | | 4,140,000 | e | 3,941,011 | |
Platform Bidco Ltd., Facility Term Loan B, (6 Month EURIBOR +4.00%) | EUR | 7.86 | | 9/23/2028 | | 2,000,000 | e | 2,134,315 | |
Upfield BV, Facility Term Loan B-6, (3 Month EURIBOR +5.00%) | EUR | 8.88 | | 1/3/2028 | | 1,500,000 | e | 1,632,287 | |
| | 15,687,493 | |
Food Service - .2% | | | | | |
PAX Holdco Spain SL, Term Loan B-3, (3 Month EURIBOR +5.00%) | EUR | 8.83 | | 12/24/2029 | | 1,500,000 | e | 1,629,618 | |
Health Care - 9.6% | | | | | |
Aenova Holding GmbH, Facility Term Loan B-2, (1 Month EURIBOR +4.50%) | EUR | 8.30 | | 3/31/2026 | | 1,500,000 | e | 1,635,103 | |
AI Sirona Luxembourg Acquisition Sarl, Facility Euro Term Loan B-3, (1 Month EURIBOR +4.00%) | EUR | 7.77 | | 9/29/2028 | | 2,000,000 | e | 2,181,222 | |
Alvogen Pharma US, Inc., 2022 New Extended June Term Loan, (3 Month TSFR +7.65%) | | 12.96 | | 6/30/2025 | | 108,596 | e | 99,636 | |
Amneal Pharmaceuticals LLC, Term Loan, (1 Month TSFR +5.50%) | | 10.82 | | 5/4/2028 | | 3,234,000 | e | 3,272,420 | |
Auris Luxembourg III Sarl, Facility Term Loan B-4, (6 Month TSFR +4.68%) | | 9.56 | | 2/8/2029 | | 3,399,560 | e | 3,412,325 | |
Catalent Pharma Solution, Inc., Term Loan B4, (1 Month TSFR +3.00%) | | 8.32 | | 2/22/2028 | | 2,000,000 | e | 2,013,750 | |
eResearchTechnology, Inc., First Lien Initial Term Loan, (1 Month TSFR +4.00%) | | 9.32 | | 2/4/2027 | | 3,578,504 | e | 3,599,474 | |
Financiere Mendel SASU, USD Facility Term Loan B, (3 Month TSFR +4.25%) | | 9.57 | | 11/13/2030 | | 2,500,000 | e | 2,516,562 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Health Care - 9.6% (continued) | | | | | |
Gainwell Acquisition Corp., Term Loan B, (3 Month TSFR +4.10%) | | 9.41 | | 10/1/2027 | | 5,725,791 | e | 5,580,270 | |
GHX Ultimate Parent Corp., Initial Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 6/30/2027 | | 1,965,175 | e | 1,975,001 | |
Global Medical Response Inc, Term Loan B, (1 Month TSFR +4.75%) | | 4.75 | | 10/2/2028 | | 2,740,000 | d,e | 2,707,462 | |
IVC Acquisition Ltd., Facility Term Loan B-8, (3 Month EURIBOR +5.00%) | EUR | 5.00 | | 12/6/2028 | | 1,500,000 | e | 1,633,898 | |
LifePoint Health, Inc., 2024 Incremental Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 5/9/2031 | | 1,680,000 | e | 1,687,350 | |
LifePoint Health, Inc., 2024 Repricing Term Loan B, (3 Month TSFR +4.75%) | | 10.06 | | 11/16/2028 | | 3,890,250 | e | 3,923,842 | |
Medline Borrower LP, Initial Euro Term Loan, (1 Month EURIBOR +3.00%) | EUR | 6.85 | | 10/23/2028 | | 2,000,000 | e | 2,179,345 | |
Medline Borrower LP, Term Loan B, (1 Month TSFR +2.75%) | | 8.08 | | 10/23/2028 | | 3,871,541 | e | 3,901,681 | |
Midwest Physician Adminstrative Services LLC, First Lien Term Loan, (3 Month TSFR +3.51%) | | 8.82 | | 3/13/2028 | | 2,423,555 | e | 2,090,316 | |
Nidda Healthcare Holding, Term Loan, (3 Month EURIBOR +3.50%) | EUR | 7.32 | | 8/21/2026 | | 1,500,000 | e | 1,629,251 | |
Onex TSG Intermediate Corp., Initial Term Loan, (1 Month TSFR +4.86%) | | 10.19 | | 2/28/2028 | | 936,082 | e | 940,762 | |
Packaging Coordinators Midco, Inc., Term Loan, (1 Month TSFR +3.25%) | | 4.00 | | 11/30/2027 | | 3,969,342 | e | 3,986,708 | |
Phoenix Guarantor, Inc., Tranche Term Loan B-4, (1 Month TSFR +3.25%) | | 8.58 | | 2/21/2031 | | 1,994,805 | e | 1,998,366 | |
Radiology Partners, Inc., Term Loan C, (3 Month TSFR +5.00%) | | 8.83 | | 1/31/2029 | | 3,627,167 | d,e | 3,478,689 | |
Sharp Services LLC, Tranche Term Loan C , (3 Month TSFR +3.75%) | | 9.05 | | 12/29/2028 | | 5,440,444 | e | 5,501,649 | |
Sirona BidCo SASU, Facility Term Loan B, (3 Month EURIBOR +4.50%) | EUR | 8.43 | | 12/16/2028 | | 2,000,000 | e | 1,929,544 | |
Sotera Health Holdings LLC, Term Loan B, (1 Month TSFR +3.25%) | | 3.25 | | 5/30/2031 | | 3,300,000 | e | 3,292,789 | |
Surgery Center Holdings, Inc., Term Loan, (1 Month TSFR +3.50%) | | 8.82 | | 12/19/2030 | | 3,753,149 | e | 3,778,088 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Health Care - 9.6% (continued) | | | | | |
US Anesthesia Partners, Initial Term Loan, (1 Month TSFR +4.36%) | | 9.68 | | 10/2/2028 | | 3,988,077 | e | 3,885,564 | |
WCG Intermediate Corp., First Lien Initial Term Loan, (1 Month TSFR +4.11%) | | 9.44 | | 1/8/2027 | | 4,257,263 | e | 4,285,042 | |
| | 79,116,109 | |
Industrial - 5.4% | | | | | |
Artera Services LLC, Tranche Term Loan C, (3 Month TSFR +4.50%) | | 9.81 | | 2/10/2031 | | 1,955,833 | e | 1,974,776 | |
CPM Holdings, Inc., First Lien Term Loan, (1 Month TSFR +4.50%) | | 9.81 | | 9/28/2028 | | 3,663,879 | e | 3,673,038 | |
Dellner Couplers Group AB, Term Loan B, (3 Month EURIBOR +5.50%) | EUR | 5.50 | | 6/18/2029 | | 1,500,000 | e | 1,609,265 | |
DXP Enterprises, Inc., Initial Term Loan, (6 Month TSFR +4.85%) | | 10.16 | | 10/7/2030 | | 3,079,762 | e | 3,104,308 | |
Emerald Expo Holdings, Inc., Refinancing Term Loan, (1 Month TSFR +5.10%) | | 10.43 | | 5/22/2026 | | 2,940,189 | e | 2,960,403 | |
First Eagle Holdings, Inc., Term Loan, (3 Month TSFR +3.00%) | | 8.33 | | 3/5/2029 | | 3,951,918 | e | 3,947,532 | |
Innio Group Holding GmbH, Extended Facility Term Loan B, (3 Month EURIBOR +4.25%) | EUR | 8.17 | | 11/6/2028 | | 1,734,630 | e | 1,899,457 | |
LSF12 Badger Bidco LLC, Initial Term Loan, (1 Month TSFR +6.00%) | | 11.33 | | 7/10/2030 | | 1,373,659 | e | 1,359,923 | |
Michael Baker International LLC, Term Loan B, (1 Month TSFR +4.75%) | | 5.50 | | 12/1/2028 | | 2,391,000 | e | 2,402,955 | |
Revere Power LLC, Term Loan B, (3 Month TSFR +4.40%) | | 9.71 | | 3/30/2026 | | 2,241,559 | e | 2,021,606 | |
Revere Power LLC, Term Loan C, (3 Month TSFR +4.40%) | | 9.71 | | 3/30/2026 | | 196,309 | e | 177,046 | |
STS Operating, Inc., First Refinancing Term Loan, (3 Month TSFR +4.10%) | | 9.42 | | 3/25/2031 | | 3,147,273 | e | 3,169,555 | |
Swissport Stratosphere USA LLC, USD Facility Term Loan B, (3 Month TSFR +4.25%) | | 9.56 | | 3/31/2031 | | 3,445,714 | e | 3,469,421 | |
Titan Acquisition Ltd., Amendment No. 5 Refinancing Term Loan, (6 Month TSFR +5.00%) | | 10.33 | | 4/24/2029 | | 2,388,822 | e | 2,409,736 | |
TK Elevator Midco GmbH, Repriced Euro Term Loan, (6 Month EURIBOR +3.63%) | EUR | 7.49 | | 7/30/2027 | | 1,500,000 | e | 1,634,622 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Industrial - 5.4% (continued) | | | | | |
Touchdown Acquirer, Inc., Delayed Draw Tem Loan, (3 Month TSFR +4.00%) | | 1.00 | | 2/21/2031 | | 561,377 | e,f | 566,466 | |
Touchdown Acquirer, Inc., Initial Dollar Term Loan, (3 Month TSFR +4.00%) | | 9.33 | | 2/21/2031 | | 2,563,623 | e | 2,586,862 | |
TRC Companies, Inc., Term Loan, (1 Month TSFR +3.86%) | | 9.19 | | 12/11/2028 | | 2,589,848 | e | 2,599,560 | |
Victory Buyer LLC, First Lien Initial Term Loan, (3 Month TSFR +4.01%) | | 9.34 | | 11/20/2028 | | 2,745,036 | e | 2,671,030 | |
| | 44,237,561 | |
Information Technology - 11.7% | | | | | |
AI Silk Midco Ltd., Facility Term Loan B, (3 Month EURIBOR +5.00%) | EUR | 8.94 | | 3/24/2031 | | 1,500,000 | e | 1,625,801 | |
Applied Systems, Inc., 2024 First Lien Initial Term Loan, (3 Month TSFR +3.50%) | | 8.81 | | 2/24/2031 | | 2,173,575 | e | 2,195,224 | |
AthenaHealth Group, Inc., Term Loan B, (1 Month TSFR +3.25%) | | 8.58 | | 2/15/2029 | | 6,875,052 | e | 6,875,533 | |
Azalea Topco, Inc., Initial Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 4/24/2031 | | 3,341,000 | e | 3,356,937 | |
Boxer Parent Co., Inc., 2028 Dollar Extended Term Loan, (1 Month TSFR +4.00%) | | 9.33 | | 12/29/2028 | | 4,106,277 | e | 4,141,489 | |
Central Parent, Inc., 2024 Refinancing Term Loan, (3 Month TSFR +3.25%) | | 8.58 | | 7/6/2029 | | 2,143,055 | e | 2,163,157 | |
Cloud Software Group, Inc., Term Loan, (3 Month TSFR +4.60%) | | 9.91 | | 9/29/2028 | | 4,349,270 | e | 4,366,146 | |
Cloud Software Group, Inc., Term Loan B, (3 Month TSFR +4.00%) | | 9.33 | | 3/29/2029 | | 910,000 | e | 914,550 | |
ConnectWise LLC, Initial Term Loan, (3 Month TSFR +3.76%) | | 9.06 | | 9/29/2028 | | 3,509,385 | e | 3,523,264 | |
Cotiviti, Inc., Initial Floating Rate Term Loan, (2 Month TSFR +3.25%) | | 8.56 | | 4/30/2031 | | 5,270,000 | e | 5,299,670 | |
Dedalus Finance GmbH, Additional Term Loan B-2, (6 Month EURIBOR +3.75%) | EUR | 7.61 | | 7/17/2027 | | 2,000,000 | e | 2,157,134 | |
Ellucian Holdings, Inc., Term Loan B, (1 Month TSFR +3.60%) | | 8.93 | | 10/29/2029 | | 3,471,346 | e | 3,496,773 | |
Epicor Software Corp., Delayed Draw Term Loan, (1 Month TSFR +3.25%) | | 4.00 | | 5/23/2031 | | 210,016 | e,f | 211,250 | |
Epicor Software Corp., Term Loan, (1 Month TSFR +3.25%) | | 4.00 | | 5/23/2031 | | 1,789,984 | e | 1,800,500 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Information Technology - 11.7% (continued) | | | | | |
Genesys Cloud Services Holdings II LLC, 2024 Incremental No. 2 Dollar Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 12/1/2027 | | 3,202,637 | e | 3,229,235 | |
Genesys Cloud Services, Inc., Term Loan B, (1 Month TSFR +3.86%) | | 9.19 | | 12/1/2027 | | 289,275 | e | 292,198 | |
HS Purchaser LLC, First Lien 7th Amendment Refinancing Term Loan, (3 Month TSFR +4.10%) | | 9.43 | | 11/30/2026 | | 2,073,483 | e | 1,941,298 | |
Idera, Inc., First Lien Initial Term Loan, (3 Month TSFR +3.90%) | | 9.23 | | 3/2/2028 | | 3,805,954 | e | 3,821,559 | |
Instructure Holdings, Inc., Term Loan B, (3 Month TSFR +3.01%) | | 8.35 | | 10/30/2028 | | 2,992,366 | e | 2,999,847 | |
Isolved, Inc., Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 10/15/2030 | | 2,725,170 | e | 2,741,358 | |
Mitchell International, First Lien Initial Term Loan, (1 Month TSFR +3.86%) | | 9.19 | | 10/16/2028 | | 3,574,521 | e | 3,587,192 | |
Mitchell International, Second Lien Initial Term Loan, (1 Month TSFR +6.61%) | | 11.94 | | 10/15/2029 | | 784,615 | e | 787,840 | |
Project Alpha Intermediate Holding Inc., 2024 Refinancing Term Loan, (3 Month TSFR +3.75%) | | 9.07 | | 10/28/2030 | | 3,358,333 | e | 3,384,730 | |
Project Boost Purchaser LLC, 2021 First Lien Tranche 2 Term Loan, (1-3 Month TSFR +3.69%) | | 8.96 | | 5/29/2026 | | 1,994,872 | e | 2,005,784 | |
Project Boost Purchaser LLC, Senior Secured First Lien Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 5/29/2026 | | 1,984,416 | e | 1,995,439 | |
Quartz Acquireco LLC, Term Loan, (3 Month TSFR +3.50%) | | 8.81 | | 6/28/2030 | | 2,665,857 | e | 2,683,078 | |
Quest Software, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.40%) | | 9.73 | | 2/1/2029 | | 2,252,927 | e | 1,684,773 | |
RealPage, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.11%) | | 8.44 | | 4/24/2028 | | 3,682,066 | e | 3,638,802 | |
RealPage, Inc., Second Lien Initial Term Loan, (1 Month TSFR +6.61%) | | 11.94 | | 4/23/2029 | | 1,540,000 | e | 1,518,348 | |
Renaissance Holdings Corp., First Lien Term Loan, (3 Month TSFR +4.25%) | | 9.60 | | 4/30/2030 | | 2,487,516 | e | 2,491,023 | |
SolarWinds Holdings, Inc., 2024 Refinancing Facility Term Loan, (1 Month TSFR +3.25%) | | 8.58 | | 2/5/2027 | | 3,392,198 | e | 3,419,336 | |
UKG, Inc., Term Loan B, (1 Month TSFR +3.50%) | | 8.57 | | 2/10/2031 | | 5,230,647 | e | 5,276,180 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Information Technology - 11.7% (continued) | | | | | |
VS Buyer LLC, 2024 Refinancing Initial Term Loan, (1 Month TSFR +3.25%) | | 8.57 | | 4/14/2031 | | 1,824,000 | e | 1,839,395 | |
Waystar Technologies, Inc., Initial Term Loan, (1 Month TSFR +4.00%) | | 9.33 | | 10/22/2029 | | 2,113,333 | e | 2,122,579 | |
West Technology Group LLC, Term Loan B-3, (3 Month TSFR +4.25%) | | 9.58 | | 4/10/2027 | | 3,054,598 | e | 2,986,251 | |
| | 96,573,673 | |
Insurance - 5.0% | | | | | |
Acrisure LLC, 2023 Term Loan B, (1 Month TSFR +4.50%) | | 9.83 | | 11/6/2030 | | 4,531,110 | e | 4,565,093 | |
Acrisure LLC, Term Loan B-1, (1 Month LIBOR +3.50%) | | 8.94 | | 2/15/2027 | | 2,042,240 | e | 2,046,069 | |
Alliant Holdings Intermediate LLC, Term Loan 6, (1 Month TSFR +3.50%) | | 8.82 | | 11/6/2030 | | 3,208,774 | e | 3,225,331 | |
Amynta Agency Borrower, Inc., 2023 Repricing Term Loan, (3 Month TSFR +4.25%) | | 9.55 | | 2/28/2028 | | 3,274,586 | e | 3,286,866 | |
AssuredPartners, Inc., 2024 Term Loan, (1 Month TSFR +3.50%) | | 8.83 | | 2/14/2031 | | 4,000,000 | e | 4,034,840 | |
Asurion LLC, New Term Loan B-8, (1 Month TSFR +3.36%) | | 8.69 | | 12/23/2026 | | 5,704,414 | e | 5,672,327 | |
Asurion LLC, Second Lien Term Loan B-3, (1 Month TSFR +5.36%) | | 10.69 | | 2/3/2028 | | 3,118,585 | e | 2,945,114 | |
Asurion LLC, Term Loan B-4, (1 Month TSFR +5.36%) | | 10.69 | | 1/22/2029 | | 1,743,698 | e | 1,630,898 | |
BroadStreet Partners, Inc., Term Loan B-4, (1 Month TSFR +3.25%) | | 3.25 | | 5/12/2031 | | 1,900,000 | e | 1,910,355 | |
HUB International Ltd., Initial Term Loan, (1-3 Month TSFR +3.25%) | | 8.57 | | 6/20/2030 | | 2,526,175 | e | 2,545,854 | |
OneDigital Borrower LLC, 2021 Term Loan B, (1 Month TSFR +4.35%) | | 9.68 | | 11/16/2027 | | 3,911,426 | e | 3,938,415 | |
Sedgwick CMS, Inc., Term Loan B, (1 Month TSFR +3.75%) | | 9.08 | | 2/24/2028 | | 2,139,592 | e | 2,153,103 | |
Truist Insurance Holdings LLC, Initial Term Loan, (3 Month TSFR +3.25%) | | 8.59 | | 5/6/2031 | | 3,183,333 | e | 3,208,338 | |
| | 41,162,603 | |
Internet Software & Services - 4.5% | | | | | |
Arches Buyer, Inc., Refinancing Term Loan, (1 Month TSFR +3.35%) | | 8.68 | | 12/6/2027 | | 1,597,423 | e | 1,541,513 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Internet Software & Services - 4.5% (continued) | | | | | |
CNT Holdings I Corp., First Lien Initial Term Loan, (3 Month TSFR +3.50%) | | 8.83 | | 11/8/2027 | | 2,979,371 | e | 2,997,590 | |
Delivery Hero Finco LLC, Extended Dollar Term Loan, (3 Month TSFR +5.00%) | | 10.32 | | 12/12/2029 | | 2,472,640 | e | 2,504,067 | |
Endure Digital, Inc., Initial Term Loan, (1 Month TSFR +3.61%) | | 8.93 | | 2/10/2028 | | 2,862,952 | e | 2,688,941 | |
ION Trading Finance Ltd., Initial Dollar Term Loan, (3 Month TSFR +4.85%) | | 10.15 | | 4/3/2028 | | 1,470,858 | e | 1,474,270 | |
ION Trading Finance Ltd., Initial Euro Term Loan, (3 Month EURIBOR +4.25%) | EUR | 8.15 | | 4/3/2028 | | 3,988,481 | e | 4,215,895 | |
MH Sub I LLC, 2023 May New Term Loan, (1 Month TSFR +4.25%) | | 9.57 | | 5/3/2028 | | 4,878,352 | e | 4,892,499 | |
MH Sub I LLC, Second Lien Term Loan, (1 Month TSFR +6.25%) | | 11.58 | | 2/23/2029 | | 1,670,000 | e | 1,670,785 | |
Proofpoint, Inc., Term Loan B, (1 Month TSFR +3.00%) | | 3.50 | | 8/31/2028 | | 4,576,162 | e | 4,594,192 | |
StubHub Holdco Sub LLC, Extended EUR Term Loan B, (1 Month EURIBOR +5.00%) | EUR | 8.77 | | 3/15/2030 | | 1,000,000 | e | 1,088,278 | |
StubHub Holdco Sub LLC, Extended USD Term Loan B, (1 Month TSFR +4.75%) | | 10.08 | | 3/12/2030 | | 4,893,430 | e | 4,905,688 | |
Weddingwire, Inc., Term Loan, (1 Month TSFR +4.50%) | | 9.82 | | 1/31/2028 | | 4,151,434 | e | 4,172,191 | |
| | 36,745,909 | |
Materials - 3.7% | | | | | |
Anchor Packaging LLC, Amendment No. 4 Term Loan, (1 Month TSFR +3.75%) | | 9.08 | | 4/17/2029 | | 2,926,351 | e | 2,944,378 | |
Berlin Packaging LLC, Tranche Term Loan B-5, (1-3 Month TSFR +3.86%) | | 9.18 | | 3/13/2028 | | 2,990,027 | e | 2,999,386 | |
Charter Next Generation, Inc., Term Loan, (1 Month TSFR +3.50%) | | 8.82 | | 12/1/2027 | | 3,138,883 | e | 3,156,885 | |
Clydesdale Acquisition Holdings Inc, Facility Term Loan B, (1 Month TSFR +3.78%) | | 9.10 | | 4/13/2029 | | 4,909,774 | e | 4,941,392 | |
Crosby US Acquisition Corp., Amendment No. 3 Replacement Term Loan, (1 Month TSFR +4.00%) | | 9.33 | | 8/16/2029 | | 1,935,150 | e | 1,955,111 | |
LABL, Inc., Initial Dollar Term Loan, (1 Month TSFR +5.10%) | | 10.43 | | 10/30/2028 | | 3,257,214 | e | 3,234,446 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Materials - 3.7% (continued) | | | | | |
LABL, Inc., Initial Term Loan, (1 Month EURIBOR +5.00%) | EUR | 8.77 | | 10/30/2028 | | 1,492,366 | e | 1,554,925 | |
Mauser Packaging Solutions Holding Co., Initial Term Loan, (1 Month TSFR +3.50%) | | 8.81 | | 4/16/2027 | | 1,557,401 | e | 1,563,732 | |
Pregis TopCo LLC, First Lien Initial Term Loan, (1 Month TSFR +3.75%) | | 9.08 | | 7/31/2026 | | 2,593,229 | e | 2,605,275 | |
Proampac PG Borrower LLC, 2024 Term Loan B, (3 Month TSFR +4.00%) | | 9.33 | | 9/15/2028 | | 3,425,697 | e | 3,452,674 | |
SupplyOne, Inc., Term Loan B, (1 Month TSFR +4.25%) | | 9.58 | | 4/21/2031 | | 1,965,000 | e | 1,987,106 | |
| | 30,395,310 | |
Media - 1.0% | | | | | |
Altice Financing SA, 2022 Dollar Term Loan, (3 Month TSFR +5.00%) | | 10.33 | | 10/29/2027 | | 797,980 | e | 700,558 | |
CSC Holdings LLC, Term Loan, (1 Month LIBOR +2.50%) | | 7.93 | | 4/15/2027 | | 2,483,140 | e | 1,969,292 | |
DIRECTV Financing LLC, Closing Date Term Loan, (1 Month TSFR +5.11%) | | 10.44 | | 8/2/2027 | | 3,126,924 | e | 3,142,559 | |
Fleet Midco I Ltd., Facility Term Loan B, (1 Month TSFR +3.25%) | | 8.58 | | 2/10/2031 | | 2,552,857 | e | 2,572,004 | |
| | 8,384,413 | |
Metals & Mining - .4% | | | | | |
Arsenal AIC Parent LLC, 2024 Refinancing Term Loan B, (1 Month TSFR +3.75%) | | 9.08 | | 8/19/2030 | | 3,497,447 | e | 3,533,523 | |
Real Estate - 1.4% | | | | | |
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 6/2/2028 | | 3,708,792 | e | 3,669,386 | |
Cushman & Wakefield US Borrower LLC, 2024 Term Loan, (1 Month TSFR +3.75%) | | 9.08 | | 1/31/2030 | | 3,152,100 | e | 3,179,681 | |
Emeria SASU, Facility Term Loan B, (3 Month EURIBOR +3.50%) | EUR | 7.43 | | 3/27/2028 | | 1,500,000 | e | 1,504,083 | |
Forest City Enterprises LP, Term Loan B, (1 Month TSFR +3.61%) | | 8.94 | | 12/8/2025 | | 1,374,000 | e | 1,284,264 | |
Greystar Real Estate Partners LLC, Term Loan B-1, (3 Month TSFR +3.25%) | | 8.58 | | 8/21/2030 | | 2,146,633 | e | 2,162,733 | |
| | 11,800,147 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Retailing - 2.8% | | | | | |
Foundation Building Materials, Inc., 2024 Incremental Term Loan, (1-3 Month TSFR +4.00%) | | 9.33 | | 1/29/2031 | | 2,485,000 | e | 2,501,103 | |
Gulfside Supply, Inc., Term Loan, (1 Month TSFR +3.50%) | | 3.00 | | 5/29/2031 | | 1,049,000 | e | 1,052,278 | |
Johnstone Supply LLC, Term Loan B, (1 Month TSFR +3.00%) | | 3.00 | | 5/16/2031 | | 1,500,000 | e | 1,505,003 | |
Lakeshore Learning Materials LLC, Initial Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 10/1/2028 | | 1,856,263 | e | 1,853,942 | |
Peer Holding III BV, Facility Term Loan B-4, (3 Month TSFR +3.25%) | | 8.56 | | 10/28/2030 | | 3,000,000 | e | 3,019,695 | |
PetSmart, Inc., Initial Term Loan, (1 Month TSFR +3.85%) | | 9.18 | | 2/14/2028 | | 992,334 | e | 990,920 | |
RH, Initial Term Loan, (1 Month TSFR +2.61%) | | 7.94 | | 10/20/2028 | | 2,605,649 | e | 2,550,826 | |
SRS Distribution, Inc., 2021 Refinancing Term Loan, (1 Month TSFR +3.61%) | | 8.94 | | 6/5/2028 | | 2,487,212 | e | 2,505,742 | |
Staples, Inc., 2019 Refinancing New Term Loan B-1, (1 Month LIBOR +5.00%) | | 10.43 | | 4/13/2026 | | 3,943,814 | e | 3,919,974 | |
Staples, Inc., Term Loan B, (1 Month TSFR +5.75%) | | 6.25 | | 8/23/2029 | | 3,276,000 | e | 3,131,315 | |
| | 23,030,798 | |
Semiconductors & Semiconductor Equipment - .2% | | | | | |
MKS Instruments, Inc., 2023 Term Loan B, (1 Month TSFR +2.50%) | | 7.82 | | 8/17/2029 | | 1,890,629 | e | 1,903,590 | |
Technology Hardware & Equipment - 2.0% | | | | | |
Foundever Worldwide Corp., Initial Dollar Term Loan, (1 Month TSFR +3.86%) | | 9.19 | | 8/28/2028 | | 1,937,205 | e | 1,539,139 | |
Indy US Holdco LLC, 2023 Incremental Dollar Term Loan, (1 Month TSFR +6.25%) | | 11.58 | | 3/6/2028 | | 4,156,661 | e | 4,167,053 | |
Mcafee Corp., Tranche Term Loan B-1, (1 Month TSFR +3.25%) | | 8.58 | | 3/1/2029 | | 1,890,569 | e | 1,894,473 | |
Optiv Parent, Inc., Term Loan, (3 Month TSFR +5.25%) | | 10.57 | | 8/26/2026 | | 993,463 | e | 959,188 | |
Peraton Corp., First Lien Term Loan B, (1 Month TSFR +3.85%) | | 9.18 | | 2/1/2028 | | 2,359,086 | e | 2,364,937 | |
Perforce Software, Inc., Term Loan, (1 Month TSFR +3.75%) | | 9.18 | | 7/1/2026 | | 3,382,168 | e | 3,376,655 | |
Virtusa Corp., Term Loan B, (1 Month TSFR +3.86%) | | 9.19 | | 2/11/2028 | | 2,477,028 | e | 2,491,221 | |
| | 16,792,666 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Telecommunication Services - 2.9% | | | | | |
Altice France SA, USD Term Loan B-14, (3 Month TSFR +5.50%) | | 10.83 | | 8/31/2028 | | 3,254,069 | e | 2,460,890 | |
CCI Buyer, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.00%) | | 9.30 | | 12/17/2027 | | 3,662,576 | e | 3,685,192 | |
Consolidated Communications, Inc., Term Loan B-1, (1 Month TSFR +3.50%) | | 8.94 | | 10/4/2027 | | 2,845,000 | e | 2,716,221 | |
Crown Subsea Communications Holding, Inc., Intial Term Loan, (3 Month TSFR +4.75%) | | 10.08 | | 1/30/2031 | | 2,253,080 | e | 2,278,427 | |
Frontier Communications Holdings LLC, New Term Loan B, (1 Month TSFR +3.86%) | | 9.19 | | 10/8/2027 | | 2,468,561 | e | 2,472,091 | |
Level 3 Financing, Inc., Term Loan B-1, (1 Month TSFR +6.56%) | | 11.88 | | 4/16/2029 | | 2,728,000 | e | 2,654,262 | |
Lumen Technologies, Inc., Term Loan B-1, (1 Month TSFR +2.46%) | | 7.79 | | 4/16/2029 | | 1,221,439 | e | 853,481 | |
Lumen Technologies, Inc., Term Loan B-2, (1 Month TSFR +2.46%) | | 7.79 | | 4/15/2030 | | 1,221,439 | e | 831,257 | |
Telesat LLC, Term Loan B-5, (3 Month TSFR +3.01%) | | 8.36 | | 12/7/2026 | | 1,650,000 | e | 802,015 | |
WP/AP Telecom Holdings, Facility Term Loan B, (3 Month EURIBOR +3.80%) | EUR | 7.70 | | 4/3/2029 | | 2,000,000 | e | 2,184,379 | |
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (1 Month TSFR +3.11%) | | 8.44 | | 3/9/2027 | | 3,842,660 | e | 3,343,114 | |
| | 24,281,329 | |
Transportation - .4% | | | | | |
PODS LLC, Term Loan, (3 Month TSFR +3.26%) | | 8.59 | | 3/31/2028 | | 3,269,519 | e | 3,108,086 | |
Utilities - 2.5% | | | | | |
Compass Power Generation, Tranche Term Loan B-2, (1 Month TSFR +4.36%) | | 9.69 | | 4/16/2029 | | 3,088,846 | e | 3,113,943 | |
Eastern Power LLC, Term Loan, (1 Month TSFR +3.86%) | | 9.19 | | 10/2/2025 | | 3,919,764 | e | 3,921,489 | |
Generation Bridge Northeast LLC, Term Loan B, (1 Month TSFR +3.50%) | | 8.82 | | 8/22/2029 | | 2,606,350 | e | 2,633,496 | |
Hamilton Projects Acquiror LLC, Term Loan B, (1 Month TSFR +3.75%) | | 4.25 | | 5/22/2031 | | 3,276,000 | e | 3,298,539 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Floating Rate Loan Interests - 88.8% (continued) | | | | | |
Utilities - 2.5% (continued) | | | | | |
Invenergy Thermal Operating I LLC, Term Loan B, (3 Month SOFR +4.36%) | | 9.67 | | 8/14/2029 | | 1,618,519 | e | 1,638,750 | |
Invenergy Thermal Operating I LLC, Term Loan C, (3 Month SOFR +4.36%) | | 9.67 | | 8/14/2029 | | 140,816 | e | 142,576 | |
Potomac Energy Center LLC, Term Loan, (3 Month TSFR +6.00%) | | 12.26 | | 9/30/2026 | | 2,742,074 | e | 2,659,812 | |
Vistra Zero Operating Co. LLC, Term Loan B, (1 Month TSFR +2.75%) | | 8.07 | | 4/30/2031 | | 3,040,000 | e | 3,063,940 | |
| | 20,472,545 | |
Total Floating Rate Loan Interests
(cost $722,732,933) | | 732,325,402 | |
| | | | | | | | | |
Exchange-Traded Funds - 2.4% | | | | | |
Registered Investment Companies - 2.4% | | | | | |
Invesco Senior Loan ETF | | | | | | 225,545 | | 4,763,510 | |
iShares 1-5 Year Investment Grade Corporate Bond ETF | | | | | | 19,560 | | 1,000,298 | |
iShares 5-10 Year Investment Grade Corporate Bond ETF | | | | | | 66,900 | | 3,417,921 | |
iShares 7-10 Year Treasury Bond ETF | | | | | | 8,990 | | 834,272 | |
iShares iBoxx High Yield Corporate Bond ETF | | | | | | 6,500 | c | 501,345 | |
iShares iBoxx Investment Grade Corporate Bond ETF | | | | | | 30,790 | c | 3,291,143 | |
ProShares Ultra VIX Short-Term Futures ETF | | | | | | 27,429 | c,g | 707,668 | |
SPDR Blackstone Senior Loan ETF | | | | | | 114,045 | | 4,800,154 | |
SPDR Bloomberg High Yield Bond ETF | | | | | | 5,300 | c | 500,055 | |
Total Exchange-Traded Funds
(cost $19,974,326) | | 19,816,366 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 3.8% | | | | | |
Registered Investment Companies - 3.8% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $31,646,289) | | 5.43 | | | | 31,646,289 | h | 31,646,289 | |
| | | | | | | | | | |
| |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - .9% | | | | | |
Registered Investment Companies - .9% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $7,320,384) | | 5.43 | | | | 7,320,384 | h | 7,320,384 | |
Total Investments (cost $838,240,987) | | 102.8% | 847,567,817 | |
Liabilities, Less Cash and Receivables | | (2.8%) | (23,305,564) | |
Net Assets | | 100.0% | 824,262,253 | |
ETF—Exchange-Traded Fund
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
SPDR—Standard & Poor's Depository Receipt
TSFR—Term Secured Overnight Financing Rate Reference Rates
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2024, these securities were valued at $56,459,376 or 6.85% of net assets.
c Security, or portion thereof, on loan. At May 31, 2024, the value of the fund’s securities on loan was $7,557,380 and the value of the collateral was $7,802,305, consisting of cash collateral of $7,320,384 and U.S. Government & Agency securities valued at $481,921. In addition, the value of collateral may include pending sales that are also on loan.
d Payment-in-kind security and interest may be paid in additional par.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f Investment, or portion of investment, represents an unfunded floating note loan interest outstanding.
g Non-income producing security.
h Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized (Depreciation) ($) |
Citigroup Global Markets, Inc. |
United States Dollar | 2,042,956 | British Pound | 1,605,000 | 6/28/2024 | (2,509) |
United States Dollar | 61,544,356 | Euro | 56,670,000 | 6/28/2024 | (23,579) |
Gross Unrealized Depreciation | | | (26,088) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Floating Rate Income Fund
May 31, 2024 (Unaudited)
The following is a summary of the inputs used as of May 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 ($) | | |
Investments in Securities:† | | |
Collateralized Loan Obligations | - | 22,966,386 | | - | 22,966,386 | |
Corporate Bonds | - | 33,492,990 | | - | 33,492,990 | |
Exchange-Traded Funds | 19,816,366 | - | | - | 19,816,366 | |
Floating Rate Loan Interests | - | 732,325,402 | | - | 732,325,402 | |
Investment Companies | 38,966,673 | - | | - | 38,966,673 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (26,088) | | - | (26,088) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Company’s Board of Directors (the “Board”) has designated the Adviser as the fund’s valuation designee, effective September 8, 2022, to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills)options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing
model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest on the loans adjust periodically by reference to a base lending rate, plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at May 31, 2024 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to
foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At May 31, 2024, accumulated net unrealized appreciation on investments was $9,300,742, consisting of $14,291,835 gross unrealized appreciation and $4,991,093 gross unrealized depreciation.
At May 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.
