STATEMENT OF INVESTMENTS
BNY Mellon Short Term Income Fund
April 30, 2022 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% | | | | | |
Aerospace & Defense - .7% | | | | | |
Raytheon Technologies, Sr. Unscd. Notes | | 3.20 | | 3/15/2024 | | 300,000 | | 300,670 | |
The Boeing Company, Sr. Unscd. Notes | | 1.17 | | 2/4/2023 | | 500,000 | | 494,217 | |
| | 794,887 | |
Agriculture - .3% | | | | | |
Philip Morris International, Sr. Unscd. Notes | | 1.13 | | 5/1/2023 | | 300,000 | | 295,382 | |
Asset-Backed Certificates - 8.6% | | | | | |
CF Hippolyta, Ser. 2020-1, Cl. A1 | | 1.69 | | 7/15/2060 | | 354,394 | b | 329,042 | |
CF Hippolyta, Ser. 2021-1A, Cl. A1 | | 1.53 | | 3/15/2061 | | 265,239 | b | 241,813 | |
CLI Funding VI, Ser. 2020-1A, Cl. A | | 2.08 | | 9/18/2045 | | 153,966 | b | 141,268 | |
CLI Funding VI, Ser. 2020-3A, Cl. A | | 2.07 | | 10/18/2045 | | 266,229 | b | 244,912 | |
CNH Capital Canada Receivables Trust, Ser. 2021-1A, Cl. A2 | CAD | 1.00 | | 11/16/2026 | | 425,000 | b | 320,931 | |
DataBank Issuer, Ser. 2021-1A, Cl. A2 | | 2.06 | | 2/27/2051 | | 300,000 | b | 275,154 | |
DataBank Issuer, Ser. 2021-2A, CI. A2 | | 2.40 | | 10/25/2051 | | 350,000 | b | 321,848 | |
Domino's Pizza Master Issuer, Ser. 2021-1A, Cl. A2I | | 2.66 | | 4/25/2051 | | 222,750 | b | 200,552 | |
Flexential Issuer, Ser. 2021-1A, Cl. A2 | | 3.25 | | 11/27/2051 | | 305,000 | b | 286,979 | |
FREED ABS Trust, Ser. 2021-3FP, CI. B | | 1.01 | | 11/20/2028 | | 500,000 | b | 487,287 | |
HPEFS Equipment Trust, Ser. 2021-2A, CI. C | | 0.88 | | 9/20/2028 | | 500,000 | b | 477,203 | |
MMAF Equipment Finance, Ser. 2018-A, Cl. A4 | | 3.39 | | 1/10/2025 | | 107,446 | b | 108,052 | |
MVW, Ser. 2020-1A, Cl. A | | 1.74 | | 10/20/2037 | | 117,509 | b | 112,331 | |
New Economy Assets Phase 1 Sponsor, Ser. 2021-1, Cl. A1 | | 1.91 | | 10/20/2061 | | 1,125,000 | b | 1,011,075 | |
OneMain Financial Issuance Trust, Ser. 2019-1A, Cl. A | | 3.48 | | 2/14/2031 | | 1,094 | b | 1,094 | |
OneMain Financial Issuance Trust, Ser. 2020-2A, Cl. A | | 1.75 | | 9/14/2035 | | 350,000 | b | 320,007 | |
Pagaya AI Debt Selection Trust, Ser. 2021-3, Cl. A | | 1.15 | | 5/15/2029 | | 391,845 | b | 383,728 | |
Purewest Funding, Ser. 2021-1, Cl. A1 | | 4.09 | | 12/22/2036 | | 424,103 | b | 412,136 | |
Textainer Marine Containers VII, Ser. 2021-1A, Cl. A | | 1.68 | | 2/20/2046 | | 317,333 | b | 283,640 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Asset-Backed Certificates - 8.6% (continued) | | | | | |
Textainer Marine Containers VIII, Ser. 2020-2A, CI. A | | 2.10 | | 9/20/2045 | | 492,025 | b | 454,650 | |
Tricon American Homes Trust, Ser. 2018-SFR1, Cl. A | | 3.53 | | 5/17/2037 | | 659,291 | b | 646,704 | |
Trinity Rail Leasing, Ser. 2020-2A, Cl. A1 | | 1.83 | | 11/19/2050 | | 241,716 | b | 228,485 | |
TRP, Ser. 2021-1, Cl. A | | 2.07 | | 6/19/2051 | | 295,904 | b | 267,274 | |
TRP, Ser. 2021-2, Cl. A | | 2.15 | | 6/19/2051 | | 315,580 | b | 288,145 | |
Upstart Securitization Trust, Ser. 2021-4, Cl. A | | 0.84 | | 9/20/2031 | | 379,168 | b | 367,702 | |
Vantage Data Centers, Ser. 2020-2A, CI. A2 | | 1.99 | | 9/15/2045 | | 414,000 | b | 368,658 | |
Verizon Master Trust, Ser. 2021-1, Cl. C | | 0.89 | | 5/20/2027 | | 500,000 | | 473,112 | |
Verizon Owner Trust, Ser. 2019-A, Cl. C | | 3.22 | | 9/20/2023 | | 800,000 | | 802,712 | |
Volvo Financial Equipment, Ser. 2019-1A, Cl. A4 | | 3.13 | | 11/15/2023 | | 291,604 | b | 292,571 | |
| | 10,149,065 | |
Asset-Backed Certificates/Auto Receivables - 12.9% | | | | | |
AmeriCredit Automobile Receivables Trust, Ser. 2019-1, Cl. C | | 3.36 | | 2/18/2025 | | 650,000 | | 653,261 | |
AmeriCredit Automobile Receivables Trust, Ser. 2020-1, Cl. C | | 1.59 | | 10/20/2025 | | 350,000 | | 343,529 | |
BMW Canada Auto Trust, Ser. 2021-1A, Cl. A3 | CAD | 0.76 | | 12/20/2025 | | 400,000 | b | 297,538 | |
CarMax Auto Owner Trust, Ser. 2019-3, Cl. C | | 2.60 | | 6/16/2025 | | 315,000 | | 311,142 | |
CarMax Auto Owner Trust, Ser. 2019-4, Cl. B | | 2.32 | | 7/15/2025 | | 475,000 | | 468,627 | |
CarMax Auto Owner Trust, Ser. 2021-3, Cl. C | | 1.25 | | 5/17/2027 | | 500,000 | | 467,832 | |
Carvana Auto Receivables Trust, Ser. 2020-P1, Cl. C | | 1.32 | | 11/9/2026 | | 425,000 | | 395,277 | |
Carvana Auto Receivables Trust, Ser. 2021-N2, Cl. C | | 1.07 | | 3/10/2028 | | 375,000 | | 364,512 | |
Carvana Auto Receivables Trust, Ser. 2021-P1, Cl. B | | 1.19 | | 1/11/2027 | | 230,000 | | 215,256 | |
Carvana Auto Receivables Trust, Ser. 2021-P4, Cl. B | | 1.98 | | 2/10/2028 | | 125,000 | | 116,372 | |
Chesapeake Funding II, Ser. 2019-1A, Cl. A2, 1 Month LIBOR +0.40% | | 0.95 | | 4/15/2031 | | 57,365 | b,c | 57,363 | |
CPS Auto Receivables Trust, Ser. 2021-D, Cl. B | | 1.09 | | 10/15/2027 | | 525,000 | b | 505,925 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 12.9% (continued) | | | | | |
Drive Auto Receivables Trust, Ser. 2020-1, Cl. C | | 2.36 | | 3/16/2026 | | 186,336 | | 186,508 | |
Drive Auto Receivables Trust, Ser. 2021-2, Cl. B | | 0.58 | | 12/15/2025 | | 390,000 | | 381,818 | |
DT Auto Owner Trust, Ser. 2020-1A, Cl. B | | 2.16 | | 5/15/2024 | | 40,698 | b | 40,706 | |
DT Auto Owner Trust, Ser. 2020-1A, Cl. C | | 2.29 | | 11/17/2025 | | 500,000 | b | 498,714 | |
DT Auto Owner Trust, Ser. 2020-2A, Cl. B | | 2.08 | | 3/16/2026 | | 269,827 | b | 270,085 | |
DT Auto Owner Trust, Ser. 2021-2A, Cl. B | | 0.81 | | 1/15/2027 | | 675,000 | b | 658,825 | |
Exeter Automobile Receivables Trust, Ser. 2020-2A, Cl. B | | 2.08 | | 7/15/2024 | | 4,011 | b | 4,012 | |
Exeter Automobile Receivables Trust, Ser. 2021-2A, CI. B | | 0.57 | | 9/15/2025 | | 490,000 | | 483,038 | |
Exeter Automobile Receivables Trust, Ser. 2021-2A, Cl. C | | 0.98 | | 6/15/2026 | | 475,000 | | 458,552 | |
Exeter Automobile Receivables Trust, Ser. 2021-3A, Cl. B | | 0.69 | | 1/15/2026 | | 390,000 | | 380,854 | |
Ford Auto Securitization Trust, Ser. 2020-AA, Cl. B | CAD | 1.87 | | 6/15/2026 | | 450,000 | b | 333,115 | |
Ford Credit Auto Owner Trust, Ser. 2018-2, Cl. A | | 3.47 | | 1/15/2030 | | 129,000 | b | 129,814 | |
Ford Credit Auto Owner Trust, Ser. 2020-2, Cl. B | | 1.49 | | 4/15/2033 | | 375,000 | b | 343,122 | |
GM Financial Automobile Leasing Trust, Ser. 2021-3, Cl. B | | 0.76 | | 7/21/2025 | | 500,000 | | 475,675 | |
GM Financial Consumer Automobile Receivables Trust, Ser. 2020-4, Cl. B | | 0.73 | | 3/16/2026 | | 300,000 | | 284,772 | |
GMF Canada Leasing Trust, Ser. 2020-1A, Cl. B | CAD | 1.69 | | 11/20/2025 | | 550,000 | b | 422,626 | |
GMF Canada Leasing Trust, Ser. 2021-1A, Cl. B | CAD | 1.26 | | 5/20/2026 | | 850,000 | b | 640,572 | |
Hertz Vehicle Financing, Ser. 2021-1A, CI. A | | 1.21 | | 12/26/2025 | | 650,000 | b | 611,414 | |
MBarc Credit Canada, Ser. 2021-AA, Cl. A3 | CAD | 0.93 | | 2/17/2026 | | 325,000 | b | 244,386 | |
OSCAR US Funding Trust IX, Ser. 2018-2A, Cl. A4 | | 3.63 | | 9/10/2025 | | 122,194 | b | 122,978 | |
OSCAR US Funding Trust VII, Ser. 2017-2A, Cl. A4 | | 2.76 | | 12/10/2024 | | 22,768 | b | 22,796 | |
OSCAR US Funding Trust VIII, Ser. 2018-1A, Cl. A4 | | 3.50 | | 5/12/2025 | | 271,989 | b | 273,381 | |
OSCAR US Funding XIII, Ser. 2021-2A, Cl. A4 | | 1.27 | | 9/11/2028 | | 600,000 | b | 553,150 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 12.9% (continued) | | | | | |
Santander Drive Auto Receivables Trust, Ser. 2020-2, Cl. C | | 1.46 | | 9/15/2025 | | 215,000 | | 214,328 | |
Santander Drive Auto Receivables Trust, Ser. 2021-4, CI. C | | 1.26 | | 2/16/2027 | | 260,000 | | 246,589 | |
Santander Retail Auto Lease Trust, Ser. 2020-A, Cl. C | | 2.08 | | 3/20/2024 | | 750,000 | b | 749,426 | |
Silver Arrow Canada, Ser. 2019-1A, Cl. A3 | CAD | 2.40 | | 8/15/2026 | | 328,005 | | 255,556 | |
Tesla Auto Lease Trust, Ser. 2019-A, Cl. B | | 2.41 | | 12/20/2022 | | 550,000 | b | 549,802 | |
Tesla Auto Lease Trust, Ser. 2020-A, Cl. B | | 1.18 | | 1/22/2024 | | 100,000 | b | 98,875 | |
Tesla Auto Lease Trust, Ser. 2021-A, CI. C | | 1.18 | | 3/20/2025 | | 275,000 | b | 263,319 | |
Tesla Auto Lease Trust, Ser. 2021-A, Cl. A3 | | 0.56 | | 3/20/2025 | | 300,000 | b | 289,591 | |
Westlake Automobile Receivables Trust, Ser. 2021-1A, Cl. C | | 0.95 | | 3/16/2026 | | 510,000 | b | 494,480 | |
| | 15,179,513 | |
Asset-Backed Certificates/Student Loans - .1% | | | | | |
Navient Private Education Loan Trust, Ser. 2014-AA, Cl. A2A | | 2.74 | | 2/15/2029 | | 119,214 | b | 119,421 | |
Automobiles & Components - 2.0% | | | | | |
Daimler Finance North America, Gtd. Notes | | 0.75 | | 3/1/2024 | | 650,000 | b | 622,287 | |
Ford Motor Credit, Sr. Unscd. Notes | | 2.30 | | 2/10/2025 | | 290,000 | | 269,674 | |
Ford Motor Credit, Sr. Unscd. Notes | | 3.38 | | 11/13/2025 | | 300,000 | | 288,410 | |
General Motors, Sr. Unscd. Notes | | 5.40 | | 10/2/2023 | | 350,000 | | 359,546 | |
General Motors Financial, Sr. Unscd. Notes | | 1.70 | | 8/18/2023 | | 300,000 | | 294,153 | |
Volkswagen Group of America Finance, Gtd. Notes | | 1.25 | | 11/24/2025 | | 500,000 | b | 455,713 | |
| | 2,289,783 | |
Banks - 8.1% | | | | | |
Banco Santander, Sr. Unscd. Notes | | 1.85 | | 3/25/2026 | | 600,000 | | 546,001 | |
Banco Santander Mexico, Sr. Unscd. Notes | | 5.38 | | 4/17/2025 | | 200,000 | b | 205,247 | |
Bank of America, Jr. Sub. Notes, Ser. JJ | | 5.13 | | 6/20/2024 | | 192,000 | d | 187,272 | |
Bank of America, Jr. Sub. Notes, Ser. X | | 6.25 | | 9/5/2024 | | 196,000 | d | 198,901 | |
Bank of America, Sr. Unscd. Notes | | 0.98 | | 9/25/2025 | | 700,000 | | 652,244 | |
Barclays, Sr. Unscd. Notes | | 3.93 | | 5/7/2025 | | 300,000 | | 298,813 | |
BNP Paribas, Sr. Unscd. Notes | | 2.22 | | 6/9/2026 | | 325,000 | b | 303,503 | |
BNP Paribas, Sub. Notes | | 4.38 | | 3/1/2033 | | 300,000 | b | 284,434 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Banks - 8.1% (continued) | | | | | |
Canadian Imperial Bank of Commerce, Sr. Unscd. Notes | | 0.45 | | 6/22/2023 | | 650,000 | | 633,324 | |
Citigroup, Jr. Sub. Bonds, Ser. W | | 4.00 | | 12/10/2025 | | 600,000 | d | 546,000 | |
Credit Agricole, Sub. Notes | | 4.38 | | 3/17/2025 | | 600,000 | | 599,677 | |
Credit Suisse Group, Sr. Unscd. Notes | | 2.59 | | 9/11/2025 | | 500,000 | b | 477,396 | |
First-Citizens Bank & Trust, Sub. Notes | | 6.13 | | 3/9/2028 | | 275,000 | e | 295,053 | |
HSBC Holdings, Sr. Unscd. Notes | | 0.73 | | 8/17/2024 | | 255,000 | | 245,570 | |
ING Groep, Sr. Unscd. Notes | | 3.55 | | 4/9/2024 | | 280,000 | | 279,677 | |
JPMorgan Chase & Co., Jr. Sub. Bonds, Ser. FF | | 5.00 | | 8/1/2024 | | 614,000 | d | 582,272 | |
JPMorgan Chase & Co., Sub. Notes | | 3.38 | | 5/1/2023 | | 425,000 | | 427,599 | |
KeyBank, Sr. Unscd. Notes | | 1.25 | | 3/10/2023 | | 300,000 | | 296,754 | |
National Bank of Canada, Gtd. Notes | | 0.75 | | 8/6/2024 | | 330,000 | | 310,385 | |
NatWest Group, Sr. Unscd. Notes | | 3.88 | | 9/12/2023 | | 325,000 | | 326,143 | |
The Goldman Sachs Group, Jr. Sub. Notes, Ser. T | | 3.80 | | 5/10/2026 | | 350,000 | d | 308,869 | |
The Goldman Sachs Group, Sr. Unscd. Notes | | 0.93 | | 10/21/2024 | | 660,000 | | 634,597 | |
The PNC Financial Services Group, Jr. Sub. Bonds, Ser. T | | 3.40 | | 9/15/2026 | | 1,000,000 | d | 862,500 | |
| | 9,502,231 | |
Chemicals - .9% | | | | | |
Braskem Netherlands Finance, Gtd. Notes | | 4.50 | | 1/10/2028 | | 500,000 | | 471,450 | |
MEGlobal Canada, Gtd. Notes | | 5.00 | | 5/18/2025 | | 300,000 | | 306,189 | |
Nutrien, Sr. Unscd. Notes | | 1.90 | | 5/13/2023 | | 100,000 | | 99,006 | |
SPCM, Sr. Unscd. Notes | | 3.13 | | 3/15/2027 | | 250,000 | b | 220,919 | |
| | 1,097,564 | |
Collateralized Loan Obligations Debt - 6.8% | | | | | |
Antares CLO, Ser. 2020-1A, Cl. A1R, 3 Month LIBOR +1.46% | | 2.64 | | 10/23/2033 | | 350,000 | b,c | 345,903 | |
Arbor Realty Commercial Real Estate Notes CLO, Ser. 2021-FL4, Cl. A, 1 Month LIBOR +1.35% | | 1.90 | | 11/15/2036 | | 365,000 | b,c | 363,047 | |
Bain Capital Credit CLO, Ser. 2020-3A, Cl. A1R, 3 Month LIBOR +1.16% | | 2.34 | | 10/23/2034 | | 360,000 | b,c | 355,524 | |
Ballyrock CLO, Ser. 2020-2A, Cl. A1R, 3 Month LIBOR +1.01% | | 2.07 | | 10/20/2031 | | 275,000 | b,c | 272,742 | |
California Street IX CLO, Ser. 2012-9A, CI. AR3, 3 Month LIBOR +1.10% | | 2.14 | | 7/16/2032 | | 500,000 | b,c | 495,749 | |
Carlyle US CLO, Ser. 2017-1A, Cl. A1R, 3 Month LIBOR +1.00% | | 2.06 | | 4/20/2031 | | 500,000 | b,c | 495,896 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Collateralized Loan Obligations Debt - 6.8% (continued) | | | | | |
Cent 21 CLO, Ser. 2014-21A, Cl. A1R3, 3 Month LIBOR +0.97% | | 2.19 | | 7/27/2030 | | 325,000 | b,c | 323,044 | |
Columbia Cent 30 CLO, Ser. 2020-30A, Cl. A1, 3 Month LIBOR +1.31% | | 2.37 | | 1/20/2034 | | 330,000 | b,c | 328,253 | |
Dryden 41 Senior Loan Fund CLO, Ser. 2015-41A, Cl. AR, 3 Month LIBOR +0.97% | | 2.01 | | 4/15/2031 | | 275,000 | b,c | 272,995 | |
Dryden 83 CLO, Ser. 2020-83A, Cl. B, 3 Month LIBOR +1.60% | | 2.64 | | 1/18/2032 | | 600,000 | b,c | 595,475 | |
Madison Park Funding XXVII CLO, Ser. 2018-27A, Cl. A1A, 3 Month LIBOR +1.03% | | 2.09 | | 4/20/2030 | | 300,000 | b,c | 298,738 | |
Madison Park Funding XXX CLO, Ser. 2018-30A, Cl. A, 3 Month LIBOR +0.75% | | 1.79 | | 4/15/2029 | | 364,491 | b,c | 361,648 | |
Magnetite XIX CLO, Ser. 2017-19A, Cl. AR, 3 Month LIBOR +1.05% | | 2.09 | | 4/17/2034 | | 325,000 | b,c | 320,647 | |
Magnetite XVII CLO, Ser. 2016-17A, Cl. AR, 3 Month LIBOR +1.10% | | 2.16 | | 7/20/2031 | | 325,000 | b,c | 323,428 | |
MF1 CLO, Ser. 2021-FL7, CI. AS, 1 Month LIBOR +1.45% | | 2.00 | | 10/16/2036 | | 500,000 | b,c | 492,464 | |
MF1 CLO, Ser. 2022-FL8, CI. AS, 1 Month SOFR +1.75% | | 2.02 | | 2/19/2037 | | 375,000 | b,c | 374,755 | |
Neuberger Berman Loan Advisers 40 CLO, Ser. 2021-40A, Cl. B, 3 Month LIBOR +1.40% | | 2.44 | | 4/16/2033 | | 400,000 | b,c | 393,802 | |
RIN IV CLO, Ser. 2021-1A, CI. A, 3 Month LIBOR +1.30% | | 1.55 | | 4/20/2033 | | 250,000 | b,c | 247,736 | |
Symphony XV CLO, Ser. 2014-15A, Cl. BR3, 3 Month LIBOR +1.55% | | 2.59 | | 1/17/2032 | | 550,000 | b,c | 543,174 | |
Symphony XXIV CLO, Ser. 2020-24A, Cl. A, 3 Month LIBOR +1.20% | | 2.38 | | 1/23/2032 | | 300,000 | b,c | 299,020 | |
Thompson Park CLO, Ser. 2021-1A, CI. A1, 3 Month LIBOR +1.00% | | 2.04 | | 4/15/2034 | | 350,000 | b,c | 344,810 | |
Voya CLO, Ser. 2019-1A, Cl. AR, 3 Month LIBOR +1.06% | | 2.10 | | 4/15/2031 | | 150,000 | b,c | 149,012 | |
| | 7,997,862 | |
Commercial & Professional Services - .4% | | | | | |
Avis Budget Car Rental, Gtd. Notes | | 5.75 | | 7/15/2027 | | 500,000 | b | 490,621 | |
Commercial Mortgage Pass-Through Certificates - 13.6% | | | | | |
American Homes 4 Rent Trust, Ser. 2014-SFR3, Cl. A | | 3.68 | | 12/17/2036 | | 280,472 | b | 277,526 | |
Bank, Ser. 2020-BN25, Cl. A2 | | 2.76 | | 1/15/2063 | | 335,000 | | 322,769 | |
BBCMS Mortgage Trust, Ser. 2019-BWAY, Cl. A, 1 Month LIBOR +0.96% | | 1.51 | | 11/15/2034 | | 275,000 | b,c | 271,257 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Commercial Mortgage Pass-Through Certificates - 13.6% (continued) | | | | | |
Benchmark Mortgage Trust, Ser. 2020-B16, Cl. A2 | | 2.88 | | 2/15/2053 | | 325,000 | | 316,277 | |
BF Mortgage Trust, Ser. 2019-NYT, Cl. A, 1 Month LIBOR +1.20% | | 1.75 | | 12/15/2035 | | 610,000 | b,c | 600,969 | |
BF Mortgage Trust, Ser. 2019-NYT, Cl. B, 1 Month LIBOR +1.40% | | 1.95 | | 12/15/2035 | | 365,000 | b,c | 355,005 | |
BSREP Commercial Mortgage Trust, Ser. 2021-DC, Cl. C, 1 Month LIBOR +1.55% | | 2.11 | | 8/15/2038 | | 500,000 | b,c | 486,513 | |
BX Commercial Mortgage Trust, Ser. 2019-IMC, Cl. A, 1 Month LIBOR +1.00% | | 1.55 | | 4/15/2034 | | 500,000 | b,c | 493,257 | |
BX Commercial Mortgage Trust, Ser. 2020-VKNG, Cl. B, 1 Month LIBOR +1.13% | | 1.68 | | 10/15/2037 | | 291,885 | b,c | 286,445 | |
BX Commercial Mortgage Trust, Ser. 2021-ACNT, Cl. B, 1 Month LIBOR +1.25% | | 1.81 | | 11/15/2038 | | 500,000 | b,c | 488,414 | |
BXHPP Trust, Ser. 2021-FILM, Cl. B, 1 Month LIBOR +0.90% | | 1.45 | | 8/15/2036 | | 450,000 | b,c | 432,292 | |
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. A, 1 Month LIBOR +1.07% | | 1.62 | | 12/15/2037 | | 500,000 | b,c | 498,194 | |
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. B, 1 Month LIBOR +1.25% | | 1.80 | | 12/15/2037 | | 100,000 | b,c | 98,955 | |
CGDB Commercial Mortgage Trust, Ser. 2019-MOB, Cl. B, 1 Month LIBOR +1.25% | | 1.80 | | 11/15/2036 | | 675,000 | b,c | 662,284 | |
CHC Commercial Mortgage Trust, Ser. 2019-CHC, Cl. C, 1 Month LIBOR +1.75% | | 2.30 | | 6/15/2034 | | 694,928 | b,c | 676,780 | |
Citigroup Commercial Mortgage Trust, Ser. 2014-GC25, Cl. B | | 4.35 | | 10/10/2047 | | 270,000 | | 268,136 | |
Citigroup Commercial Mortgage Trust, Ser. 2020-GC46, Cl. A2 | | 2.71 | | 2/15/2053 | | 320,000 | | 310,409 | |
Commercial Mortgage Trust, Ser. 2014-CR20, Cl. A3 | | 3.33 | | 11/10/2047 | | 194,589 | | 192,568 | |
Commercial Mortgage Trust, Ser. 2015-LC23, Cl. A3 | | 3.52 | | 10/10/2048 | | 430,000 | | 424,040 | |
CSAIL Commercial Mortgage Trust, Ser. 2015-C1, Cl. A3 | | 3.24 | | 4/15/2050 | | 480,679 | | 468,162 | |
DBWF Mortgage Trust, Ser. 2016-85T, Cl. A | | 3.79 | | 12/10/2036 | | 350,000 | b | 343,606 | |
GS Mortgage Securities Trust, Ser. 2019-70P, Cl. B, 1 Month LIBOR +1.32% | | 1.87 | | 10/15/2036 | | 560,000 | b,c | 546,731 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Commercial Mortgage Pass-Through Certificates - 13.6% (continued) | | | | | |
HPLY Trust, Ser. 2019-HIT, Cl. A, 1 Month LIBOR +1.00% | | 1.55 | | 11/15/2036 | | 384,071 | b,c | 375,840 | |
JPMBB Commercial Mortgage Securities Trust, Ser. 2015-C30, Cl. A4 | | 3.55 | | 7/15/2048 | | 347,127 | | 343,886 | |
KKR Industrial Portfolio Trust, Ser. 2021-KDIP, Cl. C, 1 Month LIBOR +1.00% | | 1.55 | | 12/15/2037 | | 255,000 | b,c | 248,352 | |
Lanark Master Issuer, Ser. 2020-1A, Cl. 1A | | 2.28 | | 12/22/2069 | | 225,000 | b | 224,409 | |
LIFE Mortgage Trust, Ser. 2021-BMR, CI. C, 1 Month LIBOR +1.10% | | 1.65 | | 3/15/2038 | | 491,485 | b,c | 473,663 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C13, Cl. A3 | | 3.77 | | 11/15/2046 | | 889,229 | | 884,767 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2014-C17, Cl. A4 | | 3.44 | | 8/15/2047 | | 549,170 | | 544,558 | |
Natixis Commercial Mortgage Securities Trust, Ser. 2020-2PAC, Cl. A | | 2.97 | | 12/15/2038 | | 490,000 | b | 474,076 | |
New Residential Mortgage Loan Trust, Ser. 2022-NQM1, CI. A1 | | 2.28 | | 1/25/2026 | | 589,758 | b | 547,088 | |
Tricon American Homes Trust, Ser. 2017-SFR2, Cl. A | | 2.93 | | 1/17/2036 | | 554,779 | b | 548,548 | |
Tricon American Homes Trust, Ser. 2019-SFR1, Cl. A | | 2.75 | | 3/17/2038 | | 323,866 | b | 309,557 | |
VASA Trust, Ser. 2021-VASA, CI. B, 1 Month LIBOR +1.25% | | 1.80 | | 7/15/2039 | | 425,000 | b,c | 414,857 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2014-LC18, Cl. A4 | | 3.15 | | 12/15/2047 | | 685,000 | | 672,499 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2015-C27, Cl. A4 | | 3.19 | | 2/15/2048 | | 431,105 | | 420,096 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2020-C56, CI. A2 | | 2.50 | | 6/15/2053 | | 300,000 | | 287,981 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2021-SAVE, Cl. A, 1 Month LIBOR +1.15% | | 1.70 | | 2/15/2040 | | 181,804 | b,c | 179,428 | |
WF-RBS Commercial Mortgage Trust, Ser. 2013-C14, Cl. ASB | | 2.98 | | 6/15/2046 | | 235,419 | | 235,861 | |
| | 16,006,055 | |
Consumer Discretionary - 1.0% | | | | | |
Hilton Worldwide Finance, Gtd. Notes | | 4.88 | | 4/1/2027 | | 200,000 | | 198,240 | |
Lennar, Gtd. Notes | | 4.50 | | 4/30/2024 | | 600,000 | | 609,314 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Consumer Discretionary - 1.0% (continued) | | | | | |
Marriott International, Sr. Unscd. Notes, Ser. EE | | 5.75 | | 5/1/2025 | | 58,000 | | 60,860 | |
Taylor Morrison Holdings II, Gtd. Notes | | 5.63 | | 3/1/2024 | | 300,000 | | 302,468 | |
| | 1,170,882 | |
Diversified Financials - 3.7% | | | | | |
AerCap Global Aviation Trust, Gtd. Notes | | 1.75 | | 1/30/2026 | | 700,000 | | 623,090 | |
AerCap Global Aviation Trust, Gtd. Notes | | 2.45 | | 10/29/2026 | | 500,000 | | 445,182 | |
Air Lease, Sr. Unscd. Notes | | 3.38 | | 7/1/2025 | | 625,000 | | 603,973 | |
Ally Financial, Jr. Sub. Notes, Ser. B | | 4.70 | | 5/15/2026 | | 400,000 | d | 346,650 | |
Ally Financial, Sr. Unscd. Notes | | 3.05 | | 6/5/2023 | | 325,000 | | 324,577 | |
Capital One Financial, Sub. Notes | | 4.20 | | 10/29/2025 | | 650,000 | | 649,263 | |
Discover Financial Services, Sr. Unscd. Notes | | 3.75 | | 3/4/2025 | | 450,000 | | 450,353 | |
Mamoura Diversified Global Holding, Gtd. Notes | | 2.50 | | 11/7/2024 | | 320,000 | | 314,052 | |
SLM, Sr. Unscd. Notes | | 4.20 | | 10/29/2025 | | 635,000 | | 621,030 | |
| | 4,378,170 | |
Energy - 4.6% | | | | | |
Aker BP, Sr. Unscd. Notes | | 3.00 | | 1/15/2025 | | 325,000 | b | 317,196 | |
Cheniere Corpus Christi Holdings, Sr. Scd. Notes | | 5.88 | | 3/31/2025 | | 585,000 | | 607,894 | |
Enbridge, Gtd. Notes | | 1.60 | | 10/4/2026 | | 500,000 | | 452,313 | |
Enbridge, Gtd. Notes | | 2.50 | | 1/15/2025 | | 300,000 | e | 291,295 | |
Energy Transfer, Sr. Unscd. Notes | | 2.90 | | 5/15/2025 | | 500,000 | | 483,194 | |
EQT, Sr. Unscd. Notes | | 3.13 | | 5/15/2026 | | 500,000 | b | 471,970 | |
Marathon Petroleum, Sr. Unscd. Notes | | 3.63 | | 9/15/2024 | | 300,000 | | 298,828 | |
MPLX, Sr. Unscd. Notes | | 3.50 | | 12/1/2022 | | 155,000 | | 155,787 | |
Occidental Petroleum, Sr. Unscd. Notes | | 5.50 | | 12/1/2025 | | 310,000 | | 315,797 | |
Parkland, Gtd. Notes | | 4.63 | | 5/1/2030 | | 1,000,000 | b | 876,785 | |
Petroleos Mexicanos, Gtd. Notes | | 4.25 | | 1/15/2025 | | 1,000,000 | e | 965,090 | |
Pioneer Natural Resources, Sr. Unscd. Notes | | 0.55 | | 5/15/2023 | | 150,000 | | 146,218 | |
| | 5,382,367 | |
Food Products - .8% | | | | | |
JBS Finance Luxembourg, Gtd. Notes | | 3.63 | | 1/15/2032 | | 325,000 | | 276,432 | |
MARB BondCo, Gtd. Bonds | | 3.95 | | 1/29/2031 | | 350,000 | | 291,372 | |
MARB BondCo, Gtd. Bonds | | 3.95 | | 1/29/2031 | | 260,000 | b | 216,447 | |
Mondelez International, Sr. Unscd. Notes | | 2.13 | | 3/17/2024 | | 147,000 | | 144,412 | |
| | 928,663 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Foreign Governmental - .7% | | | | | |
Philippine, Sr. Unscd. Notes | EUR | 0.13 | | 2/3/2023 | | 525,000 | | 551,561 | |
Romania, Sr. Unscd. Notes | | 4.88 | | 1/22/2024 | | 300,000 | | 307,329 | |
| | 858,890 | |
Health Care - 1.8% | | | | | |
AbbVie, Sr. Unscd. Notes | | 3.80 | | 3/15/2025 | | 450,000 | | 450,877 | |
Bausch Health, Sr. Scd. Notes | | 5.75 | | 8/15/2027 | | 500,000 | b | 468,420 | |
HCA, Gtd. Notes | | 5.38 | | 2/1/2025 | | 300,000 | | 309,000 | |
Royalty Pharma, Gtd. Notes | | 1.20 | | 9/2/2025 | | 325,000 | | 295,518 | |
Shire Acquisitions Investments Ireland, Gtd. Notes | | 3.20 | | 9/23/2026 | | 300,000 | | 289,652 | |
Tenet Healthcare, Sr. Scd. Notes | | 4.88 | | 1/1/2026 | | 300,000 | b | 294,077 | |
| | 2,107,544 | |
Industrial - .6% | | | | | |
General Electric, Jr. Sub. Debs., Ser. D, 3 Month LIBOR +3.33% | | 4.16 | | 9/15/2022 | | 755,000 | c,d | 716,208 | |
Insurance - 1.9% | | | | | |
Allianz, Jr. Sub. Bonds | | 3.20 | | 10/30/2027 | | 400,000 | b,d | 325,880 | |
Berkshire Hathaway, Sr. Unscd. Notes | EUR | 0.14 | | 3/12/2025 | | 875,000 | | 888,904 | |
Jackson Financial, Sr. Unscd. Notes | | 1.13 | | 11/22/2023 | | 410,000 | b | 395,720 | |
Prudential Financial, Jr. Sub. Notes | | 5.63 | | 6/15/2043 | | 600,000 | | 600,582 | |
| | 2,211,086 | |
Materials - 1.6% | | | | | |
Ball, Gtd. Notes | | 5.25 | | 7/1/2025 | | 575,000 | | 590,036 | |
Berry Global, Sr. Scd. Notes | | 1.57 | | 1/15/2026 | | 175,000 | | 159,318 | |
Crown Americas, Gtd. Notes | | 4.75 | | 2/1/2026 | | 190,000 | | 189,516 | |
Sealed Air, Sr. Scd. Notes | | 1.57 | | 10/15/2026 | | 1,075,000 | b | 950,668 | |
| | 1,889,538 | |
Media - .6% | | | | | |
CCO Holdings, Sr. Unscd. Notes | | 4.25 | | 2/1/2031 | | 375,000 | b | 316,763 | |
Charter Communications Operating, Sr. Scd. Notes | | 4.46 | | 7/23/2022 | | 380,000 | | 380,666 | |
| | 697,429 | |
Metals & Mining - ..3% | | | | | |
Anglo American Capital, Gtd. Notes | | 3.63 | | 9/11/2024 | | 300,000 | b | 298,521 | |
Municipal Securities - .5% | | | | | |
California Health Facilities Financing Authority, Revenue Bonds | | 0.95 | | 6/1/2025 | | 300,000 | | 277,978 | |
Dallas Fort Worth International Airport, Revenue Bonds, Refunding, Ser. C | | 1.33 | | 11/1/2025 | | 75,000 | | 69,857 | |
University of Washington, Revenue Bonds, Refunding, Ser. B | | 0.73 | | 4/1/2026 | | 325,000 | | 294,006 | |
| | 641,841 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Real Estate - 3.5% | | | | | |
Blackstone Mortgage Trust, Sr. Scd. Notes | | 3.75 | | 1/15/2027 | | 500,000 | b | 456,885 | |
Equinix, Sr. Unscd. Notes | | 1.00 | | 9/15/2025 | | 430,000 | | 390,226 | |
GLP Capital, Gtd. Notes | | 3.25 | | 1/15/2032 | | 150,000 | | 126,434 | |
GLP Capital, Gtd. Notes | | 5.38 | | 4/15/2026 | | 710,000 | | 725,107 | |
Healthpeak Properties, Sr. Unscd. Notes | | 1.35 | | 2/1/2027 | | 515,000 | | 462,482 | |
SBA Tower Trust, Asset Backed Notes | | 1.84 | | 4/15/2027 | | 500,000 | b | 447,141 | |
SBA Tower Trust, Asset Backed Notes | | 1.88 | | 1/15/2026 | | 275,000 | b | 254,983 | |
SBA Tower Trust, Asset Backed Notes | | 2.84 | | 1/15/2025 | | 650,000 | b | 631,231 | |
VICI Properties, Gtd. Notes | | 3.88 | | 2/15/2029 | | 293,000 | | 279,815 | |
WPC Eurobond, Gtd. Notes | EUR | 1.35 | | 4/15/2028 | | 300,000 | | 288,625 | |
| | 4,062,929 | |
Retailing - 1.0% | | | | | |
7-Eleven, Sr. Unscd. Notes | | 0.80 | | 2/10/2024 | | 500,000 | b | 476,742 | |
Autozone, Sr. Unscd. Notes | | 3.63 | | 4/15/2025 | | 300,000 | | 300,228 | |
CK Hutchison Europe Finance 18, Gtd. Bonds | EUR | 1.25 | | 4/13/2025 | | 300,000 | | 312,039 | |
Yum! Brands, Sr. Unscd. Notes | | 4.63 | | 1/31/2032 | | 149,000 | | 135,627 | |
| | 1,224,636 | |
Semiconductors & Semiconductor Equipment - .3% | | | | | |
Skyworks Solutions, Sr. Unscd. Notes | | 1.80 | | 6/1/2026 | | 150,000 | | 136,598 | |
TSMC Arizona, Gtd. Notes | | 1.75 | | 10/25/2026 | | 240,000 | | 220,195 | |
| | 356,793 | |
Supranational Bank - .9% | | | | | |
Africa Finance, Sr. Unscd. Notes | | 2.88 | | 4/28/2028 | | 225,000 | b | 206,438 | |
The African Export-Import Bank, Sr. Unscd. Notes | | 3.80 | | 5/17/2031 | | 200,000 | b | 182,972 | |
The African Export-Import Bank, Sr. Unscd. Notes | | 4.13 | | 6/20/2024 | | 300,000 | | 299,634 | |
The African Export-Import Bank, Sr. Unscd. Notes | | 5.25 | | 10/11/2023 | | 350,000 | | 357,140 | |
| | 1,046,184 | |
Technology Hardware & Equipment - .3% | | | | | |
Dell International, Sr. Unscd. Notes | | 5.45 | | 6/15/2023 | | 106,000 | | 108,341 | |
Hewlett Packard Enterprise, Sr. Unscd. Notes | | 1.45 | | 4/1/2024 | | 300,000 | | 289,240 | |
| | 397,581 | |
Telecommunication Services - 1.0% | | | | | |
Level 3 Financing, Gtd. Notes | | 4.25 | | 7/1/2028 | | 150,000 | b | 126,999 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
Telecommunication Services - 1.0% (continued) | | | | | |
Millicom International Cellular, Sr. Unscd. Notes | | 4.50 | | 4/27/2031 | | 200,000 | b | 173,500 | |
Telefonica Emisiones, Gtd. Notes | | 4.10 | | 3/8/2027 | | 300,000 | | 297,094 | |
T-Mobile USA, Gtd. Notes | | 2.25 | | 2/15/2026 | | 300,000 | | 276,326 | |
T-Mobile USA, Sr. Scd. Notes | | 3.50 | | 4/15/2025 | | 300,000 | | 296,074 | |
| | 1,169,993 | |
Transportation - .3% | | | | | |
Canadian Pacific Railway, Gtd. Notes | | 1.35 | | 12/2/2024 | | 385,000 | | 364,912 | |
U.S. Government Agencies Collateralized Mortgage Obligations - 1.3% | | | | | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 3541, Cl. KB | | 4.00 | | 6/15/2024 | | 81,708 | f | 82,309 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4091 Cl. KC | | 3.00 | | 8/15/2040 | | 95,035 | f | 95,051 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4262, Cl. AB | | 2.50 | | 1/15/2031 | | 81,282 | f | 81,222 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4838, Cl. VA | | 4.00 | | 3/15/2036 | | 382,497 | f | 385,662 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 5050, Cl. XA | | 1.00 | | 7/15/2039 | | 604,361 | f | 565,795 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2020-3, Cl. TTU | | 2.50 | | 5/25/2060 | | 122,525 | f | 118,064 | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2018-2, Cl. A1 | | 3.50 | | 11/25/2028 | | 67,881 | f | 68,866 | |
Federal National Mortgage Association, REMIC, Ser. 2013-16, Cl. GP | | 3.00 | | 3/25/2033 | | 85,521 | f | 84,947 | |
Government National Mortgage Association, Ser. 2011-H23, Cl. HA | | 3.00 | | 12/20/2061 | | 5,365 | | 5,247 | |
| | 1,487,163 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities - .1% | | | | | |
Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Ser. 2021-MN1, Cl. M1, 1 Month SOFR +2.00% | | 2.29 | | 1/25/2051 | | 72,859 | b,c,f | 70,849 | |
U.S. Government Agencies Mortgage-Backed - .2% | | | | | |
Federal Home Loan Mortgage Corp.: | | | |
2.50%, 7/1/2029 | | | 123,709 | f | 121,386 | |
Federal National Mortgage Association: | | | |
2.00%, 3/1/2023 | | | 54,651 | f | 52,354 | |
Government National Mortgage Association II: | | | |
7.00%, 12/20/2030-4/20/2031 | | | 2,258 | | 2,491 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 88.8% (continued) | | | | | |
U.S. Government Agencies Mortgage-Backed - .2% (continued) | | | | | |
7.50%, 11/20/2029-12/20/2030 | | | 2,557 | | 2,771 | |
| | 179,002 | |
U.S. Treasury Securities - 3.7% | | | | | |
U.S. Treasury Notes | | 1.13 | | 2/28/2027 | | 4,750,000 | | 4,363,135 | |
Utilities - 3.7% | | | | | |
American Electric Power, Jr. Sub. Notes | | 2.03 | | 3/15/2024 | | 170,000 | | 165,603 | |
Dominion Energy, Sr. Unscd. Notes | | 3.90 | | 10/1/2025 | | 575,000 | | 579,073 | |
Duke Energy, Sr. Unscd. Notes | | 2.65 | | 9/1/2026 | | 300,000 | | 284,208 | |
Edison International, Sr. Unscd. Notes | | 2.40 | | 9/15/2022 | | 350,000 | | 348,774 | |
Edison International, Sr. Unscd. Notes | | 3.13 | | 11/15/2022 | | 350,000 | | 350,582 | |
Entergy, Sr. Unscd. Notes | | 0.90 | | 9/15/2025 | | 500,000 | | 453,304 | |
NRG Energy, Sr. Scd. Notes | | 2.00 | | 12/2/2025 | | 600,000 | b | 558,092 | |
Pacific Gas & Electric, First Mortgage Bonds | | 3.25 | | 2/16/2024 | | 600,000 | | 592,323 | |
The AES, Sr. Unscd. Notes | | 1.38 | | 1/15/2026 | | 300,000 | | 269,076 | |
The AES, Sr. Unscd. Notes | | 3.30 | | 7/15/2025 | | 300,000 | b | 290,951 | |
Xcel Energy, Sr. Unscd. Notes | | 1.75 | | 3/15/2027 | | 500,000 | | 453,216 | |
| | 4,345,202 | |
Total Bonds and Notes
(cost $109,972,448) | | 104,271,902 | |
Description | Annualized
Yield (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Short-Term Investments - 8.2% | | | | | |
U.S. Government Securities | | | | | |
U.S. Treasury Bills | | 0.66 | | 9/1/2022 | | 2,600,000 | g | 2,590,660 | |
U.S. Treasury Bills | | 0.64 | | 8/18/2022 | | 1,920,000 | g | 1,914,280 | |
U.S. Treasury Bills | | 0.43 | | 7/28/2022 | | 5,100,000 | g | 5,089,893 | |
Total Short-Term Investments
(cost $9,605,084) | | 9,594,833 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.9% | | | | | |
Registered Investment Companies - 1.9% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $2,233,044) | | 0.38 | | | | 2,233,044 | h | 2,233,044 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - .4% | | | | | |
Registered Investment Companies - .4% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares
(cost $434,730) | | 0.38 | | | | 434,730 | h | 434,730 | |
Total Investments (cost $122,245,306) | | 99.3% | 116,534,509 | |
Cash and Receivables (Net) | | 0.7% | 813,405 | |
Net Assets | | 100.0% | 117,347,914 | |
LIBOR—London Interbank Offered Rate
REMIC—Real Estate Mortgage Investment Conduit
SOFR—Secured Overnight Financing Rate
CAD—Canadian Dollar
EUR—Euro
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 April 30, 2022, these securities were valued at $47,649,935 or 40.61% of net assets.
c 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.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Security, or portion thereof, on loan. At April 30, 2022, the value of the fund’s securities on loan was $420,340 and the value of the collateral was $434,730. In addition, the value of collateral may include pending sales that are also on loan.
f The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
g Security is a discount security. Income is recognized through the accretion of discount.
h Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF FUTURES
BNY Mellon Short Term Income Fund
April 30, 2022 (Unaudited)
| | | | | | | |
Futures | | | |
Description | Number of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | | |
U.S. Treasury 2 Year Notes | 94 | 6/30/2022 | 20,184,339 | 19,816,375 | (367,964) | |
U.S. Treasury 5 Year Notes | 60 | 6/30/2022 | 7,024,278 | 6,760,313 | (263,965) | |
Futures Short | | |
Euro-Bobl | 12 | 6/8/2022 | 1,683,826a | 1,610,022 | 73,804 | |
U.S. Treasury 10 Year Notes | 22 | 6/21/2022 | 2,780,938 | 2,621,438 | 159,500 | |
Ultra 10 Year U.S. Treasury Notes | 12 | 6/21/2022 | 1,678,692 | 1,548,000 | 130,692 | |
Gross Unrealized Appreciation | | 363,996 | |
Gross Unrealized Depreciation | | (631,929) | |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Short Term Income Fund
April 30, 2022 (Unaudited)
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation ($) |
HSBC |
United States Dollar | 2,691,641 | Canadian Dollar | 3,388,650 | 5/10/2022 | 53,937 |
United States Dollar | 2,915,892 | Euro | 2,669,483 | 5/10/2022 | 98,453 |
Gross Unrealized Appreciation | | | 152,390 |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Short Term Income Fund
April 30, 2022 (Unaudited)
The following is a summary of the inputs used as of April 30, 2022 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Asset-Backed Securities | - | 25,447,999 | | - | 25,447,999 | |
Collateralized Loan Obligations | - | 7,997,862 | | - | 7,997,862 | |
Commercial Mortgage-Backed | - | 16,006,055 | | - | 16,006,055 | |
Corporate Bonds | - | 47,219,106 | | - | 47,219,106 | |
Foreign Governmental | - | 858,890 | | - | 858,890 | |
Investment Companies | 2,667,774 | - | | - | 2,667,774 | |
Municipal Securities | - | 641,841 | | - | 641,841 | |
U.S. Government Agencies Collateralized Mortgage Obligations | - | 1,487,163 | | - | 1,487,163 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 70,849 | | - | 70,849 | |
U.S. Government Agencies Mortgage-Backed | - | 179,002 | | - | 179,002 | |
U.S. Treasury Securities | - | 13,957,968 | | - | 13,957,968 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 152,390 | | - | 152,390 | |
Futures†† | 363,996 | - | | - | 363,996 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Futures†† | (631,929) | - | | - | (631,929) | |
† 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:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), financial futures and forward foreign currency exchange contracts (“forward contracts”)are valued each business day by one or more independent pricing
services (each, a “Service”) approved by the fund's Board Members (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are
secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at April 30, 2022 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on
these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At April 30, 2022, accumulated net unrealized depreciation on investments was $5,710,797, consisting of $180,861 gross unrealized appreciation and $5,891,658 gross unrealized depreciation.
At April 30, 2022, 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.
