STATEMENT OF INVESTMENTS
BNY Mellon Short Term Income Fund
April 30, 2023 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% | | | | | |
Aerospace & Defense - .7% | | | | | |
Rolls-Royce PLC, Gtd. Notes | | 5.75 | | 10/15/2027 | | 220,000 | b | 219,789 | |
The Boeing Company, Sr. Unscd. Notes | | 2.20 | | 2/4/2026 | | 550,000 | | 511,467 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 52,000 | b | 52,873 | |
| | 784,129 | |
Agriculture - .3% | | | | | |
Philip Morris International, Inc., Sr. Unscd. Notes | | 0.88 | | 5/1/2026 | | 350,000 | c | 315,774 | |
Asset-Backed Certificates - 7.8% | | | | | |
Amur Equipment Finance Receivables XI LLC, Ser. 2022-2A, Cl. A2 | | 5.30 | | 6/21/2028 | | 97,056 | b | 96,566 | |
CF Hippolyta Issuer LLC, Ser. 2020-1, Cl. A1 | | 1.69 | | 7/15/2060 | | 346,289 | b | 314,597 | |
CF Hippolyta Issuer LLC, Ser. 2021-1A, Cl. A1 | | 1.53 | | 3/15/2061 | | 259,173 | b | 228,272 | |
CLI Funding VI LLC, Ser. 2020-1A, Cl. A | | 2.08 | | 9/18/2045 | | 135,651 | b | 120,513 | |
CLI Funding VI LLC, Ser. 2020-3A, Cl. A | | 2.07 | | 10/18/2045 | | 229,667 | b | 204,814 | |
CNH Capital Canada Receivables Trust, Ser. 2021-1A, Cl. A2 | CAD | 1.00 | | 11/16/2026 | | 245,766 | b | 174,608 | |
DataBank Issuer, Ser. 2021-1A, Cl. A2 | | 2.06 | | 2/27/2051 | | 300,000 | b | 267,205 | |
DataBank Issuer, Ser. 2021-2A, CI. A2 | | 2.40 | | 10/25/2051 | | 350,000 | b | 307,829 | |
DataBank Issuer, Ser. 2023-1A, Cl. A2 | | 5.12 | | 2/25/2053 | | 270,000 | b | 262,592 | |
Dell Equipment Finance Trust, Ser. 2023-1, Cl. A3 | | 5.65 | | 9/22/2028 | | 310,000 | b | 314,527 | |
Domino's Pizza Master Issuer LLC, Ser. 2021-1A, Cl. A2I | | 2.66 | | 4/25/2051 | | 220,500 | b | 191,099 | |
Flexential Issuer, Ser. 2021-1A, Cl. A2 | | 3.25 | | 11/27/2051 | | 305,000 | b | 274,482 | |
FREED ABS Trust, Ser. 2021-3FP, CI. B | | 1.01 | | 11/20/2028 | | 70,486 | b | 70,223 | |
Hilton Grand Vacations Trust, Ser. 2022-2A, CI. A | | 4.30 | | 1/25/2037 | | 88,208 | b | 86,153 | |
HPEFS Equipment Trust, Ser. 2021-2A, CI. C | | 0.88 | | 9/20/2028 | | 500,000 | b | 481,710 | |
Marlette Funding Trust, Ser. 2022-3A, Cl. A | | 5.18 | | 11/15/2032 | | 70,012 | b | 69,468 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Asset-Backed Certificates - 7.8% (continued) | | | | | |
MVW LLC, Ser. 2020-1A, Cl. A | | 1.74 | | 10/20/2037 | | 80,169 | b | 73,821 | |
New Economy Assets Phase 1 Sponsor LLC, Ser. 2021-1, Cl. A1 | | 1.91 | | 10/20/2061 | | 1,125,000 | b | 978,866 | |
Octane Receivables Trust 2023-1, Ser. 2023-1A, Cl. B | | 5.96 | | 7/20/2029 | | 300,000 | b | 302,501 | |
OneMain Financial Issuance Trust, Ser. 2020-2A, Cl. A | | 1.75 | | 9/14/2035 | | 350,000 | b | 315,908 | |
Pagaya AI Debt Selection Trust, Ser. 2021-3, Cl. A | | 1.15 | | 5/15/2029 | | 105,258 | b | 103,902 | |
Purewest Funding LLC, Ser. 2021-1, Cl. A1 | | 4.09 | | 12/22/2036 | | 295,239 | b | 281,690 | |
Textainer Marine Containers VII Ltd., Ser. 2020-2A, CI. A | | 2.10 | | 9/20/2045 | | 435,056 | b | 389,808 | |
Textainer Marine Containers VII Ltd., Ser. 2021-1A, Cl. A | | 1.68 | | 2/20/2046 | | 289,333 | b | 250,657 | |
Tricon American Homes Trust, Ser. 2018-SFR1, Cl. A | | 3.53 | | 5/17/2037 | | 618,936 | b | 600,444 | |
Trinity Rail Leasing LLC, Ser. 2020-2A, Cl. A1 | | 1.83 | | 11/19/2050 | | 185,681 | b | 171,870 | |
TRP, Ser. 2021-2, Cl. A | | 2.15 | | 6/19/2051 | | 299,293 | b | 263,412 | |
TRP LLC, Ser. 2021-1, Cl. A | | 2.07 | | 6/19/2051 | | 290,477 | b | 254,272 | |
Upstart Securitization Trust, Ser. 2021-4, Cl. A | | 0.84 | | 9/20/2031 | | 128,867 | b | 125,859 | |
Vantage Data Centers LLC, Ser. 2020-2A, CI. A2 | | 1.99 | | 9/15/2045 | | 414,000 | b | 353,267 | |
Verizon Master Trust, Ser. 2021-1, Cl. C | | 0.89 | | 5/20/2027 | | 500,000 | | 473,371 | |
Verizon Master Trust, Ser. 2022-5, CI. A1A | | 3.72 | | 7/20/2027 | | 142,000 | | 140,106 | |
| | 8,544,412 | |
Asset-Backed Certificates/Auto Receivables - 14.4% | | | | | |
AmeriCredit Automobile Receivables Trust, Ser. 2019-1, Cl. C | | 3.36 | | 2/18/2025 | | 119,519 | | 119,347 | |
AmeriCredit Automobile Receivables Trust, Ser. 2020-1, Cl. C | | 1.59 | | 10/20/2025 | | 350,000 | | 342,251 | |
AmeriCredit Automobile Receivables Trust, Ser. 2022-1, CI. A2 | | 2.05 | | 1/20/2026 | | 30,343 | | 30,065 | |
AmeriCredit Automobile Receivables Trust, Ser. 2022-2, Cl. B | | 4.81 | | 4/18/2028 | | 214,000 | | 213,188 | |
Avis Budget Rental Car Funding AESOP LLC, Ser. 2020-1A, Cl. A | | 2.33 | | 8/20/2026 | | 240,000 | b | 225,700 | |
Avis Budget Rental Car Funding AESOP LLC, Ser. 2023-3A, Cl. A | | 5.44 | | 2/22/2028 | | 385,000 | b | 388,672 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 14.4% (continued) | | | | | |
Bank of The West Auto Trust, Ser. 2019-1, Cl. B | | 2.76 | | 1/15/2025 | | 300,000 | b | 298,328 | |
BMW Canada Auto Trust, Ser. 2021-1A, Cl. A3 | CAD | 0.76 | | 12/20/2025 | | 400,000 | b | 287,524 | |
BMW Vehicle Lease Trust, Ser.2023-1, CI. A3 | | 5.16 | | 11/25/2025 | | 56,000 | | 56,113 | |
Capital One Prime Auto Receivables Trust, Ser. 2021-1, CI. A2 | | 0.32 | | 2/18/2025 | | 9,214 | | 9,170 | |
Capital One Prime Auto Receivables Trust, Ser. 2022-2, CI. A3 | | 3.66 | | 5/17/2027 | | 302,000 | | 296,116 | |
CarMax Auto Owner Trust, Ser. 2019-3, Cl. C | | 2.60 | | 6/16/2025 | | 315,000 | | 311,168 | |
CarMax Auto Owner Trust, Ser. 2019-4, Cl. B | | 2.32 | | 7/15/2025 | | 475,000 | | 465,538 | |
CarMax Auto Owner Trust, Ser. 2021-3, Cl. C | | 1.25 | | 5/17/2027 | | 500,000 | | 458,508 | |
Carvana Auto Receivables Trust, Ser. 2020-P1, Cl. A3 | | 0.44 | | 6/9/2025 | | 90,019 | | 89,404 | |
Carvana Auto Receivables Trust, Ser. 2020-P1, Cl. C | | 1.32 | | 11/9/2026 | | 425,000 | | 376,330 | |
Carvana Auto Receivables Trust, Ser. 2021-N2, Cl. C | | 1.07 | | 3/10/2028 | | 141,573 | | 130,741 | |
Carvana Auto Receivables Trust, Ser. 2021-P1, Cl. B | | 1.19 | | 1/11/2027 | | 230,000 | | 204,730 | |
Carvana Auto Receivables Trust, Ser. 2021-P4, Cl. B | | 1.98 | | 2/10/2028 | | 125,000 | | 109,473 | |
Carvana Auto Receivables Trust, Ser. 2022-P3, CI. C | | 5.54 | | 11/10/2028 | | 238,000 | | 226,152 | |
CPS Auto Receivables Trust, Ser. 2021-D, Cl. B | | 1.09 | | 10/15/2027 | | 525,000 | b | 513,321 | |
Drive Auto Receivables Trust, Ser. 2021-2, Cl. B | | 0.58 | | 12/15/2025 | | 120,109 | | 119,666 | |
DT Auto Owner Trust, Ser. 2020-1A, Cl. C | | 2.29 | | 11/17/2025 | | 25,519 | b | 25,490 | |
DT Auto Owner Trust, Ser. 2021-2A, Cl. B | | 0.81 | | 1/15/2027 | | 457,269 | b | 452,972 | |
Enterprise Fleet Financing LLC, Ser. 2022-3, CI. A2 | | 4.38 | | 7/20/2029 | | 96,000 | b | 94,605 | |
Exeter Automobile Receivables Trust, Ser. 2021-2A, Cl. C | | 0.98 | | 6/15/2026 | | 470,292 | | 458,950 | |
Exeter Automobile Receivables Trust, Ser. 2021-3A, Cl. B | | 0.69 | | 1/15/2026 | | 184,158 | | 182,346 | |
Exeter Automobile Receivables Trust, Ser. 2022-3A, Cl. B | | 4.86 | | 12/15/2026 | | 254,000 | | 251,304 | |
Ford Auto Securitization Trust, Ser. 2020-AA, Cl. B | CAD | 1.87 | | 6/15/2026 | | 450,000 | b | 314,630 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 14.4% (continued) | | | | | |
Ford Auto Securitization Trust II, Ser. 2022-AA, Cl. A3 | CAD | 5.40 | | 9/15/2028 | | 626,000 | b | 471,188 | |
Ford Credit Auto Owner Trust, Ser. 2018-2, Cl. A | | 3.47 | | 1/15/2030 | | 129,000 | b | 128,491 | |
Ford Credit Auto Owner Trust, Ser. 2020-2, Cl. B | | 1.49 | | 4/15/2033 | | 375,000 | b | 343,095 | |
Ford Credit Auto Owner Trust, Ser. 2022-C, CI. C | | 5.22 | | 3/15/2030 | | 325,000 | | 324,500 | |
GM Financial Automobile Leasing Trust, Ser. 2021-1, Cl. C | | 0.70 | | 2/20/2025 | | 500,000 | | 493,527 | |
GM Financial Automobile Leasing Trust, Ser. 2021-3, Cl. B | | 0.76 | | 7/21/2025 | | 500,000 | | 478,211 | |
GM Financial Consumer Automobile Receivables Trust, Ser. 2020-4, Cl. B | | 0.73 | | 3/16/2026 | | 300,000 | | 280,870 | |
GMF Canada Leasing Trust, Ser. 2021-1A, Cl. B | CAD | 1.26 | | 5/20/2026 | | 850,000 | b | 618,611 | |
Hertz Vehicle Financing LLC, Ser. 2021-1A, CI. A | | 1.21 | | 12/26/2025 | | 650,000 | b | 609,867 | |
Hyundai Auto Receivables Trust, Ser. 2022-C, CI. A4 | | 5.52 | | 10/16/2028 | | 333,000 | | 343,390 | |
MBarc Credit Canada, Inc., Ser. 2021-AA, Cl. A3 | CAD | 0.93 | | 2/17/2026 | | 325,000 | b | 235,547 | |
Nissan Auto Receivables Owner Trust, Ser. 2022-A, Cl. A2 | | 1.32 | | 11/15/2024 | | 85,243 | | 84,204 | |
OSCAR US Funding Trust IX LLC, Ser. 2018-2A, Cl. A4 | | 3.63 | | 9/10/2025 | | 13,294 | b | 13,255 | |
OSCAR US Funding XIII LLC, Ser. 2021-2A, Cl. A4 | | 1.27 | | 9/11/2028 | | 600,000 | b | 552,659 | |
PenFed Auto Receivables Owner Trust, Ser. 2022-A, CI. C | | 4.83 | | 12/15/2028 | | 1,000,000 | b | 972,788 | |
Santander Consumer Auto Receivables Trust, Ser. 2020-BA, Cl. C | | 1.29 | | 4/15/2026 | | 210,000 | b | 203,870 | |
Santander Drive Auto Receivables Trust, Ser. 2021-4, CI. C | | 1.26 | | 2/16/2027 | | 260,000 | | 248,986 | |
Santander Drive Auto Receivables Trust, Ser. 2022-5, CI. C | | 4.74 | | 10/16/2028 | | 306,000 | | 301,072 | |
Tesla Auto Lease Trust, Ser. 2021-A, CI. C | | 1.18 | | 3/20/2025 | | 275,000 | b | 265,785 | |
Tesla Auto Lease Trust, Ser. 2021-A, Cl. A3 | | 0.56 | | 3/20/2025 | | 294,889 | b | 290,500 | |
Toyota Auto Receivables Owner Trust, Ser. 2020-D, Cl. A3 | | 0.35 | | 1/15/2025 | | 22,013 | | 21,705 | |
Toyota Auto Receivables Owner Trust, Ser. 2022-D, CI. A3 | | 5.30 | | 9/15/2027 | | 514,000 | | 522,474 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 14.4% (continued) | | | | | |
Volkswagen Auto Lease Trust, Ser. 2022-A, Cl. A3 | | 3.44 | | 7/21/2025 | | 100,000 | | 98,133 | |
Westlake Automobile Receivables Trust, Ser. 2021-1A, Cl. C | | 0.95 | | 3/16/2026 | | 510,000 | b | 495,884 | |
Westlake Automobile Receivables Trust, Ser. 2021-2A, CI. B | | 0.62 | | 7/15/2026 | | 250,000 | b | 244,597 | |
Westlake Automobile Receivables Trust, Ser. 2021-2A, Cl. A2A | | 0.32 | | 4/15/2025 | | 58,697 | b | 58,440 | |
World Omni Auto Receivables Trust, Ser. 2023-A, Cl. A3 | | 4.83 | | 5/15/2028 | | 101,000 | | 101,500 | |
| | 15,854,951 | |
Automobiles & Components - 1.7% | | | | | |
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | | 2.30 | | 2/10/2025 | | 290,000 | | 270,414 | |
General Motors Financial Co., Inc., Sr. Unscd. Notes | | 1.70 | | 8/18/2023 | | 300,000 | | 296,685 | |
General Motors Financial Co., Inc., Sr. Unscd. Notes | | 2.35 | | 2/26/2027 | | 400,000 | | 360,017 | |
Mercedes-Benz Finance North America LLC, Gtd. Notes | | 0.75 | | 3/1/2024 | | 650,000 | b | 626,786 | |
Stellantis Finance US, Inc., Gtd. Notes | | 1.71 | | 1/29/2027 | | 330,000 | b | 295,364 | |
| | 1,849,266 | |
Banks - 8.9% | | | | | |
Banco Santander Mexico SA, Sr. Unscd. Notes | | 5.38 | | 4/17/2025 | | 200,000 | b | 199,848 | |
Banco Santander SA, Sr. Unscd. Notes | | 1.85 | | 3/25/2026 | | 600,000 | | 543,670 | |
Bank of America Corp., Jr. Sub. Notes, Ser. JJ | | 5.13 | | 6/20/2024 | | 192,000 | d | 184,827 | |
Bank of America Corp., Jr. Sub. Notes, Ser. X | | 6.25 | | 9/5/2024 | | 196,000 | d | 192,100 | |
Bank of America Corp., Sr. Unscd. Notes | | 0.98 | | 9/25/2025 | | 700,000 | | 654,518 | |
Barclays PLC, Sr. Unscd. Notes | | 3.93 | | 5/7/2025 | | 300,000 | | 293,406 | |
BNP Paribas SA, Sr. Unscd. Notes | | 2.22 | | 6/9/2026 | | 325,000 | b | 303,193 | |
Canadian Imperial Bank of Commerce, Sr. Unscd. Notes | | 3.30 | | 4/7/2025 | | 650,000 | | 628,311 | |
Citigroup, Inc., Jr. Sub. Bonds, Ser. W | | 4.00 | | 12/10/2025 | | 600,000 | d | 524,160 | |
Comerica, Inc., Sr. Unscd. Notes | | 3.70 | | 7/31/2023 | | 932,000 | | 922,792 | |
Credit Agricole SA, Sub. Notes | | 4.38 | | 3/17/2025 | | 600,000 | | 583,553 | |
Credit Suisse Group AG, Sr. Unscd. Notes | | 2.59 | | 9/11/2025 | | 500,000 | b | 466,275 | |
Credit Suisse Group AG, Sr. Unscd. Notes | | 6.37 | | 7/15/2026 | | 350,000 | b | 341,138 | |
ING Groep NV, Sr. Unscd. Notes | | 3.55 | | 4/9/2024 | | 280,000 | | 274,481 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Banks - 8.9% (continued) | | | | | |
JPMorgan Chase & Co., Jr. Sub. Bonds, Ser. FF | | 5.00 | | 8/1/2024 | | 614,000 | d | 588,820 | |
JPMorgan Chase & Co., Sr. Unscd. Notes | | 4.85 | | 7/25/2028 | | 445,000 | | 446,505 | |
KeyBank NA/Cleveland OH, Sr. Unscd. Notes | | 4.15 | | 8/8/2025 | | 310,000 | | 297,015 | |
Morgan Stanley, Sr. Unscd. Notes | | 5.12 | | 2/1/2029 | | 270,000 | | 271,520 | |
Morgan Stanley, Sr. Unscd. Notes | | 6.14 | | 10/16/2026 | | 300,000 | | 308,101 | |
Santander Holdings USA, Inc., Sr. Unscd. Notes | | 6.50 | | 3/9/2029 | | 139,000 | | 139,859 | |
Synovus Bank/Columbus GA, Sr. Unscd. Notes | | 5.63 | | 2/15/2028 | | 300,000 | | 282,376 | |
The Goldman Sachs Group, Inc., Jr. Sub. Notes, Ser. T | | 3.80 | | 5/10/2026 | | 350,000 | d | 290,500 | |
The Goldman Sachs Group, Inc., Sr. Unscd. Notes | | 0.93 | | 10/21/2024 | | 660,000 | | 644,199 | |
The PNC Financial Services Group, Inc., Sr. Unscd. Notes | | 5.67 | | 10/28/2025 | | 379,000 | | 379,776 | |
| | 9,760,943 | |
Chemicals - 1.1% | | | | | |
Celanese US Holdings LLC, Gtd. Notes | | 5.90 | | 7/5/2024 | | 300,000 | | 300,400 | |
Celanese US Holdings LLC, Gtd. Notes | | 6.17 | | 7/15/2027 | | 200,000 | | 202,596 | |
MEGlobal Canada ULC, Gtd. Notes | | 5.00 | | 5/18/2025 | | 300,000 | | 298,500 | |
Nutrien Ltd., Sr. Unscd. Notes | | 1.90 | | 5/13/2023 | | 100,000 | | 99,869 | |
SPCM SA, Sr. Unscd. Notes | | 3.13 | | 3/15/2027 | | 250,000 | b | 223,467 | |
The Sherwin-Williams Company, Sr. Unscd. Notes | | 4.05 | | 8/8/2024 | | 48,000 | | 47,402 | |
| | 1,172,234 | |
Collateralized Loan Obligations Debt - 6.7% | | | | | |
Antares Ltd. CLO, Ser. 2020-1A, Cl. A1R, 3 Month LIBOR +1.46% | | 6.73 | | 10/23/2033 | | 350,000 | b,e | 340,338 | |
Arbor Realty Commercial Real Estate Notes Ltd. CLO, Ser. 2021-FL4, Cl. A, 1 Month LIBOR +1.35% | | 6.30 | | 11/15/2036 | | 365,000 | b,e | 357,321 | |
Bain Capital Credit Ltd. CLO, Ser. 2020-3A, Cl. A1R, 3 Month LIBOR +1.16% | | 6.43 | | 10/23/2034 | | 360,000 | b,e | 352,259 | |
Ballyrock Ltd. CLO, Ser. 2020-2A, Cl. A1R, 3 Month LIBOR +1.01% | | 6.26 | | 10/20/2031 | | 275,000 | b,e | 272,310 | |
Carlyle US Ltd. CLO, Ser. 2017-1A, Cl. A1R, 3 Month LIBOR +1.00% | | 6.25 | | 4/20/2031 | | 500,000 | b,e | 494,516 | |
Cent 21 Ltd. CLO, Ser. 2014-21A, Cl. A1R3, 3 Month LIBOR +0.97% | | 6.26 | | 7/27/2030 | | 271,258 | b,e | 268,694 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Collateralized Loan Obligations Debt - 6.7% (continued) | | | | | |
Columbia Cent 30 Ltd. CLO, Ser. 2020-30A, Cl. A1, 3 Month LIBOR +1.31% | | 6.56 | | 1/20/2034 | | 330,000 | b,e | 324,341 | |
Dryden 41 Senior Loan Fund CLO, Ser. 2015-41A, Cl. AR, 3 Month LIBOR +0.97% | | 6.23 | | 4/15/2031 | | 275,000 | b,e | 272,181 | |
Dryden 83 Ltd. CLO, Ser. 2020-83A, Cl. B, 3 Month LIBOR +1.60% | | 6.86 | | 1/18/2032 | | 600,000 | b,e | 588,390 | |
Madison Park Funding XXVII Ltd. CLO, Ser. 2018-27A, Cl. A1A, 3 Month LIBOR +1.03% | | 6.28 | | 4/20/2030 | | 300,000 | b,e | 298,348 | |
Madison Park Funding XXX Ltd. CLO, Ser. 2018-30A, Cl. A, 3 Month LIBOR +0.75% | | 6.01 | | 4/15/2029 | | 356,229 | b,e | 351,793 | |
Magnetite XIX Ltd. CLO, Ser. 2017-19A, Cl. AR, 3 Month LIBOR +1.05% | | 6.31 | | 4/17/2034 | | 325,000 | b,e | 318,293 | |
Magnetite XVII Ltd. CLO, Ser. 2016-17A, Cl. AR, 3 Month LIBOR +1.10% | | 6.35 | | 7/20/2031 | | 325,000 | b,e | 322,212 | |
MF1 Ltd. CLO, Ser. 2021-FL7, CI. AS, 1 Month LIBOR +1.45% | | 6.41 | | 10/16/2036 | | 500,000 | b,e | 485,429 | |
MF1 Ltd. CLO, Ser. 2022-FL8, CI. AS, 1 Month SOFR +1.75% | | 6.53 | | 2/19/2037 | | 375,000 | b,e | 356,136 | |
Neuberger Berman Loan Advisers 40 Ltd. CLO, Ser. 2021-40A, Cl. B, 3 Month LIBOR +1.40% | | 6.66 | | 4/16/2033 | | 400,000 | b,e | 392,022 | |
RIN IV Ltd. CLO, Ser. 2021-1A, CI. A, 3 Month LIBOR +1.30% | | 6.55 | | 4/20/2033 | | 250,000 | b,e | 243,740 | |
Symphony XV Ltd. CLO, Ser. 2014-15A, Cl. BR3, 3 Month LIBOR +1.55% | | 6.81 | | 1/17/2032 | | 550,000 | b,e | 532,387 | |
Symphony XXIV Ltd. CLO, Ser. 2020-24A, Cl. A, 3 Month LIBOR +1.20% | | 6.47 | | 1/23/2032 | | 300,000 | b,e | 296,667 | |
Thompson Park CLO, Ser. 2021-1A, CI. A1, 3 Month LIBOR +1.00% | | 6.26 | | 4/15/2034 | | 350,000 | b,e | 341,725 | |
Voya Ltd. CLO, Ser. 2019-1A, Cl. AR, 3 Month LIBOR +1.06% | | 6.32 | | 4/15/2031 | | 150,000 | b,e | 148,341 | |
| | 7,357,443 | |
Commercial & Professional Services - .3% | | | | | |
Adani Ports & Special Economic Zone Ltd., Sr. Unscd. Notes | | 3.38 | | 7/24/2024 | | 400,000 | b | 384,549 | |
Commercial Mortgage Pass-Through Certificates - 7.8% | | | | | |
American Homes 4 Rent Trust, Ser. 2014-SFR3, Cl. A | | 3.68 | | 12/17/2036 | | 274,199 | b | 267,013 | |
BSREP Commercial Mortgage Trust, Ser. 2021-DC, Cl. C, 1 Month LIBOR +1.55% | | 6.50 | | 8/15/2038 | | 500,000 | b,e | 435,879 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Commercial Mortgage Pass-Through Certificates - 7.8% (continued) | | | | | |
BXHPP Trust, Ser. 2021-FILM, Cl. B, 1 Month LIBOR +0.90% | | 5.85 | | 8/15/2036 | | 450,000 | b,e | 412,317 | |
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. A, 1 Month LIBOR +1.07% | | 6.02 | | 12/15/2037 | | 500,000 | b,e | 493,785 | |
CGDB Commercial Mortgage Trust, Ser. 2019-MOB, Cl. B, 1 Month LIBOR +1.25% | | 6.20 | | 11/15/2036 | | 675,000 | b,e | 658,689 | |
CHC Commercial Mortgage Trust, Ser. 2019-CHC, Cl. C, 1 Month LIBOR +1.75% | | 6.70 | | 6/15/2034 | | 694,754 | b,e | 664,164 | |
Citigroup Commercial Mortgage Trust, Ser. 2014-GC25, Cl. B | | 4.35 | | 10/10/2047 | | 270,000 | | 246,635 | |
CSAIL Commercial Mortgage Trust, Ser. 2015-C1, Cl. A3 | | 3.24 | | 4/15/2050 | | 465,181 | | 446,973 | |
GS Mortgage Securities Corp. Trust, Ser. 2019-70P, Cl. B, 1 Month LIBOR +1.32% | | 6.27 | | 10/15/2036 | | 560,000 | b,e | 523,005 | |
HPLY Trust, Ser. 2019-HIT, Cl. A, 1 Month LIBOR +1.00% | | 5.95 | | 11/15/2036 | | 379,013 | b,e | 372,625 | |
Imperial Fund Mortgage Trust, Ser. 2023-NQM1, Cl. A3 | | 7.16 | | 2/25/2068 | | 487,023 | b | 483,559 | |
JPMBB Commercial Mortgage Securities Trust, Ser. 2015-C30, Cl. A4 | | 3.55 | | 7/15/2048 | | 330,069 | | 316,747 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2014-C17, Cl. A4 | | 3.44 | | 8/15/2047 | | 345,007 | | 336,499 | |
Natixis Commercial Mortgage Securities Trust, Ser. 2020-2PAC, Cl. A | | 2.97 | | 12/15/2038 | | 172,355 | b | 161,469 | |
New Residential Mortgage Loan Trust, Ser. 2022-NQM1, CI. A1 | | 2.28 | | 4/25/2061 | | 526,306 | b | 457,918 | |
OBX 2023-NQM2 Trust, Ser. 2023-NQM2, Cl. A1 | | 6.32 | | 1/25/2062 | | 416,445 | b | 421,495 | |
Towd Point Mortgage Trust, Ser. 2023-1, CI. A1 | | 3.75 | | 1/25/2063 | | 107,001 | b | 100,897 | |
Tricon American Homes Trust, Ser. 2017-SFR2, Cl. A | | 2.93 | | 1/17/2036 | | 494,430 | b | 483,936 | |
Tricon American Homes Trust, Ser. 2019-SFR1, Cl. A | | 2.75 | | 3/17/2038 | | 322,702 | b | 303,236 | |
Verus Securitization Trust, Ser. 2019-INV2, CI. A1 | | 2.91 | | 7/25/2059 | | 154,870 | b | 150,186 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2015-C27, Cl. A4 | | 3.19 | | 2/15/2048 | | 384,239 | | 368,490 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2020-C56, CI. A2 | | 2.50 | | 6/15/2053 | | 300,000 | | 284,697 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Commercial Mortgage Pass-Through Certificates - 7.8% (continued) | | | | | |
Wells Fargo Commercial Mortgage Trust, Ser. 2021-SAVE, Cl. A, 1 Month LIBOR +1.15% | | 6.10 | | 2/15/2040 | | 181,804 | b,e | 170,743 | |
| | 8,560,957 | |
Consumer Discretionary - 1.6% | | | | | |
Caesars Entertainment, Inc., Sr. Scd. Notes | | 6.25 | | 7/1/2025 | | 500,000 | b | 501,060 | |
Caesars Entertainment, Inc., Sr. Scd. Notes | | 7.00 | | 2/15/2030 | | 9,000 | b | 9,088 | |
Caesars Entertainment, Inc., Sr. Unscd. Notes | | 8.13 | | 7/1/2027 | | 270,000 | b,c | 275,730 | |
Lennar Corp., Gtd. Notes | | 4.50 | | 4/30/2024 | | 600,000 | | 594,609 | |
Marriott International, Inc., Sr. Unscd. Notes, Ser. EE | | 5.75 | | 5/1/2025 | | 58,000 | | 58,769 | |
Scientific Games International, Inc., Gtd. Notes | | 7.00 | | 5/15/2028 | | 275,000 | b | 274,680 | |
| | 1,713,936 | |
Consumer Staples - .1% | | | | | |
Newell Brands, Inc., Sr. Unscd. Notes | | 6.38 | | 9/15/2027 | | 79,000 | c | 78,012 | |
Diversified Financials - 3.0% | | | | | |
Aercap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes | | 1.75 | | 1/30/2026 | | 700,000 | | 628,507 | |
Aercap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes | | 2.45 | | 10/29/2026 | | 500,000 | | 448,656 | |
Air Lease Corp., Sr. Unscd. Notes | | 3.38 | | 7/1/2025 | | 625,000 | | 599,279 | |
Ally Financial, Inc., Sr. Unscd. Notes | | 4.75 | | 6/9/2027 | | 330,000 | c | 312,711 | |
Capital One Financial Corp., Sub. Notes | | 4.20 | | 10/29/2025 | | 650,000 | | 620,949 | |
Discover Financial Services, Sr. Unscd. Notes | | 3.75 | | 3/4/2025 | | 450,000 | | 431,427 | |
Mamoura Diversified Global Holding Ltd., Gtd. Notes | | 2.50 | | 11/7/2024 | | 320,000 | | 309,461 | |
| | 3,350,990 | |
Energy - 5.8% | | | | | |
Aker BP ASA, Sr. Unscd. Notes | | 3.00 | | 1/15/2025 | | 325,000 | b | 313,634 | |
BP Capital Markets PLC, Gtd. Notes | | 4.38 | | 6/22/2025 | | 345,000 | d | 331,825 | |
Cheniere Corpus Christi Holdings LLC, Sr. Scd. Notes | | 5.88 | | 3/31/2025 | | 585,000 | | 589,742 | |
CITGO Petroleum Corp., Sr. Scd. Notes | | 7.00 | | 6/15/2025 | | 250,000 | b | 249,125 | |
CVR Energy, Inc., Gtd. Bonds | | 5.25 | | 2/15/2025 | | 280,000 | b | 271,067 | |
Enbridge, Inc., Gtd. Notes | | 1.60 | | 10/4/2026 | | 500,000 | | 453,237 | |
Enbridge, Inc., Gtd. Notes | | 2.50 | | 1/15/2025 | | 300,000 | | 288,371 | |
Energean Israel Finance Ltd., Sr. Scd. Notes | | 4.50 | | 3/30/2024 | | 275,000 | b | 269,225 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Energy - 5.8% (continued) | | | | | |
Energy Transfer LP, Sr. Unscd. Notes | | 2.90 | | 5/15/2025 | | 500,000 | | 477,475 | |
Energy Transfer LP, Sr. Unscd. Notes | | 5.55 | | 2/15/2028 | | 266,000 | | 271,486 | |
Enterprise Products Operating LLC, Gtd. Notes | | 5.05 | | 1/10/2026 | | 136,000 | | 138,297 | |
EQT Corp., Sr. Unscd. Notes | | 3.13 | | 5/15/2026 | | 500,000 | b | 464,852 | |
EQT Corp., Sr. Unscd. Notes | | 5.68 | | 10/1/2025 | | 67,000 | | 66,903 | |
Marathon Petroleum Corp., Sr. Unscd. Notes | | 3.63 | | 9/15/2024 | | 300,000 | | 294,114 | |
Parkland Corp., Gtd. Notes | | 5.88 | | 7/15/2027 | | 875,000 | b | 853,206 | |
Petroleos Mexicanos, Gtd. Notes | | 4.25 | | 1/15/2025 | | 1,000,000 | | 953,764 | |
Pioneer Natural Resources Co., Sr. Unscd. Notes | | 1.13 | | 1/15/2026 | | 150,000 | | 136,908 | |
| | 6,423,231 | |
Food Products - .2% | | | | | |
MARB BondCo PLC, Gtd. Bonds | | 3.95 | | 1/29/2031 | | 260,000 | b | 191,219 | |
Foreign Governmental - .5% | | | | | |
Hungary, Sr. Unscd. Notes | | 6.13 | | 5/22/2028 | | 200,000 | b | 207,651 | |
Romania, Sr. Unscd. Notes | | 6.63 | | 2/17/2028 | | 300,000 | b | 312,523 | |
| | 520,174 | |
Health Care - 1.9% | | | | | |
AbbVie, Inc., Sr. Unscd. Notes | | 3.80 | | 3/15/2025 | | 450,000 | | 442,552 | |
Elevance Health, Inc., Sr. Unscd. Notes | | 5.35 | | 10/15/2025 | | 155,000 | | 157,176 | |
HCA, Inc., Gtd. Notes | | 5.38 | | 2/1/2025 | | 300,000 | | 300,261 | |
Royalty Pharma PLC, Gtd. Notes | | 1.20 | | 9/2/2025 | | 325,000 | | 296,459 | |
Shire Acquisitions Investments Ireland DAC, Gtd. Notes | | 3.20 | | 9/23/2026 | | 300,000 | | 286,076 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.88 | | 1/1/2026 | | 300,000 | | 295,884 | |
Teva Pharmaceutical Finance Netherlands III BV, Gtd. Notes | | 3.15 | | 10/1/2026 | | 331,000 | | 299,423 | |
| | 2,077,831 | |
Industrial - .8% | | | | | |
General Electric Co., Jr. Sub. Debs., Ser. D, 3 Month LIBOR +3.33% | | 8.20 | | 6/15/2023 | | 347,000 | d,e | 347,694 | |
Promontoria Holding BV, Sr. Scd. Notes | | 7.88 | | 3/1/2027 | | 200,000 | b | 202,417 | |
TK Elevator US Newco, Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 400,000 | b | 374,403 | |
| | 924,514 | |
Insurance - 2.0% | | | | | |
Allianz SE, Jr. Sub. Bonds | | 3.20 | | 10/30/2027 | | 400,000 | b,d | 291,697 | |
Berkshire Hathaway, Inc., Sr. Unscd. Notes | EUR | 0.15 | | 3/12/2025 | | 875,000 | | 904,957 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Insurance - 2.0% (continued) | | | | | |
Jackson Financial, Inc., Sr. Unscd. Notes | | 1.13 | | 11/22/2023 | | 410,000 | | 400,200 | |
Prudential Financial, Inc., Jr. Sub. Notes | | 5.63 | | 6/15/2043 | | 600,000 | | 599,838 | |
| | 2,196,692 | |
Materials - 2.1% | | | | | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Sr. Scd. Notes | | 6.00 | | 6/15/2027 | | 500,000 | b | 497,997 | |
Ball Corp., Gtd. Notes | | 5.25 | | 7/1/2025 | | 575,000 | | 575,343 | |
Berry Global, Inc., Sr. Scd. Notes | | 1.57 | | 1/15/2026 | | 175,000 | | 159,107 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, Gtd. Notes | | 4.75 | | 2/1/2026 | | 190,000 | | 186,480 | |
Sealed Air Corp., Sr. Scd. Notes | | 1.57 | | 10/15/2026 | | 1,075,000 | b | 948,377 | |
| | 2,367,304 | |
Metals & Mining - .3% | | | | | |
Anglo American Capital PLC, Gtd. Notes | | 3.63 | | 9/11/2024 | | 300,000 | b | 293,032 | |
Municipal Securities - .1% | | | | | |
Dallas Fort Worth International Airport, Revenue Bonds, Refunding, Ser. C | | 1.33 | | 11/1/2025 | | 75,000 | | 69,531 | |
Real Estate - 3.8% | | | | | |
Boston Properties LP, Sr. Unscd. Notes | | 3.80 | | 2/1/2024 | | 153,000 | | 149,697 | |
Brixmor Operating Partnership LP, Sr. Unscd. Notes | | 2.25 | | 4/1/2028 | | 355,000 | | 302,986 | |
Equinix, Inc., Sr. Unscd. Notes | | 1.00 | | 9/15/2025 | | 430,000 | | 390,574 | |
ERP Operating LP, Sr. Unscd. Notes | | 3.38 | | 6/1/2025 | | 650,000 | | 629,394 | |
Extra Space Storage LP, Gtd. Notes | | 5.70 | | 4/1/2028 | | 80,000 | | 81,918 | |
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | | 5.38 | | 4/15/2026 | | 710,000 | | 703,752 | |
Kimco Realty OP LLC, Gtd. Notes | | 3.85 | | 6/1/2025 | | 235,000 | | 225,005 | |
Realty Income Corp., Sr. Unscd. Notes | | 5.05 | | 1/13/2026 | | 112,000 | | 112,045 | |
SBA Tower Trust, Asset Backed Notes | | 1.84 | | 4/15/2027 | | 500,000 | b | 437,620 | |
SBA Tower Trust, Asset Backed Notes | | 1.88 | | 1/15/2026 | | 275,000 | b | 249,853 | |
SBA Tower Trust, Asset Backed Notes | | 2.84 | | 1/15/2025 | | 650,000 | b | 620,788 | |
WPC Eurobond BV, Gtd. Notes | EUR | 1.35 | | 4/15/2028 | | 300,000 | | 277,294 | |
| | 4,180,926 | |
Retailing - 1.0% | | | | | |
7-Eleven, Inc., Sr. Unscd. Notes | | 0.80 | | 2/10/2024 | | 500,000 | b | 482,146 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Retailing - 1.0% (continued) | | | | | |
Autozone, Inc., Sr. Unscd. Notes | | 3.63 | | 4/15/2025 | | 300,000 | | 292,924 | |
CK Hutchison Europe Finance 18 Ltd., Gtd. Bonds | EUR | 1.25 | | 4/13/2025 | | 300,000 | | 314,559 | |
| | 1,089,629 | |
Semiconductors & Semiconductor Equipment - .3% | | | | | |
Intel Corp., Sr. Unscd. Notes | | 4.88 | | 2/10/2028 | | 104,000 | | 105,876 | |
TSMC Arizona Corp., Gtd. Notes | | 1.75 | | 10/25/2026 | | 240,000 | | 218,838 | |
| | 324,714 | |
Supranational Bank - .6% | | | | | |
The African Export-Import Bank, Sr. Unscd. Notes | | 4.13 | | 6/20/2024 | | 300,000 | | 292,401 | |
The African Export-Import Bank, Sr. Unscd. Notes | | 5.25 | | 10/11/2023 | | 350,000 | | 348,514 | |
| | 640,915 | |
Technology Hardware & Equipment - .3% | | | | | |
Hewlett Packard Enterprise Co., Sr. Unscd. Notes | | 1.45 | | 4/1/2024 | | 300,000 | c | 289,407 | |
Telecommunication Services - .7% | | | | | |
Millicom International Cellular SA, Sr. Unscd. Notes | | 5.13 | | 1/15/2028 | | 180,000 | b | 158,667 | |
T-Mobile USA, Inc., Gtd. Notes | | 2.25 | | 2/15/2026 | | 300,000 | | 279,459 | |
T-Mobile USA, Inc., Gtd. Notes | | 3.50 | | 4/15/2025 | | 300,000 | | 291,990 | |
T-Mobile USA, Inc., Gtd. Notes | | 4.95 | | 3/15/2028 | | 58,000 | | 58,644 | |
| | 788,760 | |
Transportation - .3% | | | | | |
Canadian Pacific Railway Co., Gtd. Notes | | 1.35 | | 12/2/2024 | | 385,000 | c | 363,901 | |
U.S. Government Agencies Collateralized Mortgage Obligations - 1.6% | | | | | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 3541, Cl. KB | | 4.00 | | 6/15/2024 | | 32,084 | f | 31,776 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4091 Cl. KC | | 3.00 | | 8/15/2040 | | 62,486 | f | 60,493 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4838, Cl. VA | | 4.00 | | 3/15/2036 | | 361,413 | f | 353,315 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 5050, Cl. XA | | 1.00 | | 7/15/2039 | | 465,534 | f | 419,597 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2020-3, Cl. TTU | | 2.50 | | 5/25/2060 | | 102,868 | f | 94,693 | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2018-2, Cl. A1 | | 3.50 | | 11/25/2028 | | 58,717 | f | 56,281 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
U.S. Government Agencies Collateralized Mortgage Obligations - 1.6% (continued) | | | | | |
Federal National Mortgage Association, REMIC, Ser. 2013-16, Cl. GP | | 3.00 | | 3/25/2033 | | 56,037 | f | 54,256 | |
Government National Mortgage Association, Ser. 2011-H23, Cl. HA | | 3.00 | | 12/20/2061 | | 5,286 | | 5,052 | |
Government National Mortgage Association, Ser. 2022-173, Cl. PQ | | 5.00 | | 6/20/2051 | | 704,912 | | 713,063 | |
| | 1,788,526 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities - .0% | | | | | |
Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Ser. 2021-MN1, Cl. M1, 1 Month SOFR +2.00% | | 6.56 | | 1/25/2051 | | 48,232 | b,e,f | 45,671 | |
U.S. Government Agencies Mortgage-Backed - .1% | | | | | |
Federal Home Loan Mortgage Corp.: | | | |
2.50%, 7/1/2029 | | | 91,612 | f | 87,956 | |
Government National Mortgage Association II: | | | |
7.00%, 12/20/2030-4/20/2031 | | | 1,885 | | 1,990 | |
7.50%, 11/20/2029-12/20/2030 | | | 1,672 | | 1,746 | |
| | 91,692 | |
U.S. Treasury Securities - 16.5% | | | | | |
U.S. Treasury Bonds | | 6.25 | | 8/15/2023 | | 1,165,000 | | 1,169,204 | |
U.S. Treasury Floating Rate Notes, 3 Month U.S. T-BILL +0.03% | | 5.16 | | 7/31/2023 | | 3,770,000 | e | 3,768,364 | |
U.S. Treasury Notes | | 0.63 | | 12/31/2027 | | 499,000 | | 437,073 | |
U.S. Treasury Notes | | 0.75 | | 12/31/2023 | | 550,000 | | 535,000 | |
U.S. Treasury Notes | | 1.13 | | 2/28/2027 | | 3,550,000 | | 3,240,346 | |
U.S. Treasury Notes | | 2.88 | | 5/31/2025 | | 3,650,000 | | 3,567,305 | |
U.S. Treasury Notes | | 3.13 | | 8/31/2027 | | 1,530,000 | | 1,503,434 | |
U.S. Treasury Notes | | 3.88 | | 11/30/2027 | | 1,950,000 | | 1,978,564 | |
U.S. Treasury Notes | | 4.13 | | 10/31/2027 | | 1,430,000 | | 1,463,488 | |
U.S. Treasury Notes | | 4.25 | | 10/15/2025 | | 550,000 | | 554,651 | |
| | 18,217,429 | |
Utilities - 4.9% | | | | | |
American Electric Power Co., Inc., Jr. Sub. Notes | | 2.03 | | 3/15/2024 | | 170,000 | | 164,703 | |
Constellation Energy Generation LLC, Sr. Unscd. Notes | | 5.60 | | 3/1/2028 | | 375,000 | | 387,926 | |
Dominion Energy, Inc., Sr. Unscd. Notes | | 3.90 | | 10/1/2025 | | 575,000 | | 563,999 | |
DTE Energy Co., Sr. Unscd. Notes | | 4.22 | | 11/1/2024 | | 207,000 | | 204,051 | |
Duke Energy Corp., Sr. Unscd. Notes | | 2.65 | | 9/1/2026 | | 300,000 | | 281,834 | |
Enel Finance America LLC, Gtd. Notes | | 7.10 | | 10/14/2027 | | 200,000 | b | 214,776 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.2% (continued) | | | | | |
Utilities - 4.9% (continued) | | | | | |
Entergy Corp., Sr. Unscd. Notes | | 0.90 | | 9/15/2025 | | 500,000 | | 455,796 | |
Evergy Missouri West, Inc., First Mortgage Bonds | | 5.15 | | 12/15/2027 | | 855,000 | b | 867,978 | |
NextEra Energy Capital Holdings, Inc., Gtd. Notes | | 4.26 | | 9/1/2024 | | 82,000 | | 81,246 | |
NextEra Energy Capital Holdings, Inc., Gtd. Notes | | 6.05 | | 3/1/2025 | | 62,000 | | 63,062 | |
NiSource, Inc., Sr. Unscd. Notes | | 5.25 | | 3/30/2028 | | 30,000 | | 30,659 | |
NRG Energy, Inc., Sr. Scd. Notes | | 2.00 | | 12/2/2025 | | 600,000 | b | 541,888 | |
Pacific Gas & Electric Co., First Mortgage Bonds | | 3.25 | | 2/16/2024 | | 600,000 | | 587,496 | |
The AES Corp., Sr. Unscd. Notes | | 1.38 | | 1/15/2026 | | 300,000 | | 272,113 | |
The AES Corp., Sr. Unscd. Notes | | 3.30 | | 7/15/2025 | | 300,000 | b | 285,319 | |
Xcel Energy, Inc., Sr. Unscd. Notes | | 1.75 | | 3/15/2027 | | 500,000 | | 450,970 | |
| | 5,453,816 | |
Total Bonds and Notes
(cost $112,923,053) | | 108,066,510 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 1.1% | | | | | |
Registered Investment Companies - 1.1% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $1,147,277) | | 4.96 | | | | 1,147,277 | g | 1,147,277 | |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - .9% | | | | | |
Registered Investment Companies - .9% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares
(cost $1,029,563) | | 4.96 | | | | 1,029,563 | g | 1,029,563 | |
Total Investments (cost $115,099,893) | | 100.2% | 110,243,350 | |
Liabilities, Less Cash and Receivables | | (0.2%) | (216,746) | |
Net Assets | | 100.0% | 110,026,604 | |
LIBOR—London Interbank Offered Rate
REMIC—Real Estate Mortgage Investment Conduit
SOFR—Secured Overnight Financing Rate
U.S. T-BILL—U.S. Treasury Bill Money Market Yield
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, 2023, these securities were valued at $43,774,084 or 39.78% of net assets.
c Security, or portion thereof, on loan. At April 30, 2023, the value of the fund’s securities on loan was $994,859 and the value of the collateral was $1,029,563. In addition, the value of collateral may include pending sales that are also on loan.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | | |
Futures | | | |
Description | Number of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | | |
U.S. Treasury 2 Year Notes | 78 | 6/30/2023 | 15,911,131 | 16,080,797 | 169,666 | |
U.S. Treasury 5 Year Notes | 107 | 6/30/2023 | 11,650,860 | 11,742,414 | 91,554 | |
Futures Short | | |
Canadian 10 Year Bond | 3 | 6/21/2023 | 268,850a | 279,175 | (10,325) | |
Euro-Bobl | 6 | 6/8/2023 | 761,892a | 779,947 | (18,055) | |
U.S. Treasury 10 Year Notes | 4 | 6/21/2023 | 446,244 | 460,813 | (14,569) | |
Gross Unrealized Appreciation | | 261,220 | |
Gross Unrealized Depreciation | | (42,949) | |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
United States Dollar | 1,552,479 | Euro | 1,428,000 | 5/10/2023 | (22,225) |
Goldman Sachs & Co. LLC |
United States Dollar | 2,273,727 | Canadian Dollar | 3,086,000 | 5/10/2023 | (4,525) |
HSBC Securities (USA) Inc. |
Canadian Dollar | 269,000 | United States Dollar | 197,386 | 5/10/2023 | 1,204 |
Gross Unrealized Appreciation | | | 1,204 |
Gross Unrealized Depreciation | | | (26,750) |
See notes to financial statements.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
Centrally Cleared Credit Default Swaps | |
Reference
Obligation | Maturity
Date | Notional
Amount ($) | Market
Value ($) | Upfront
Payments/
Receipts ($) | Unrealized (Depreciation) ($) |
Purchased Contracts:1 | |
Markit iTraxx Europe Index Series 39, Paid Fixed Rate of 1.00% 3 Month | 6/20/2028 | 1,046,805 | (9,582) | (2,145) | (7,437) |
Markit CDX North America Investment Grade Index Series 40, Paid Fixed Rate of 1.00% 3 Month | 6/20/2028 | 5,000,000 | (61,768) | (39,639) | (22,129) |
Gross Unrealized Depreciation | (29,566) |
1 If the fund is a buyer of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Short Term Income Fund
April 30, 2023 (Unaudited)
The following is a summary of the inputs used as of April 30, 2023 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Asset-Backed Securities | - | 24,399,363 | | - | 24,399,363 | |
Collateralized Loan Obligations | - | 7,357,443 | | - | 7,357,443 | |
Commercial Mortgage-Backed | - | 8,560,957 | | - | 8,560,957 | |
Corporate Bonds | - | 47,015,724 | | - | 47,015,724 | |
Foreign Governmental | - | 520,174 | | - | 520,174 | |
Investment Companies | 2,176,840 | - | | - | 2,176,840 | |
Municipal Securities | - | 69,531 | | - | 69,531 | |
U.S. Government Agencies Collateralized Mortgage Obligations | - | 1,788,526 | | - | 1,788,526 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 45,671 | | - | 45,671 | |
U.S. Government Agencies Mortgage-Backed | - | 91,692 | | - | 91,692 | |
U.S. Treasury Securities | - | 18,217,429 | | - | 18,217,429 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 1,204 | | - | 1,204 | |
Futures†† | 261,220 | - | | - | 261,220 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (26,750) | | - | (26,750) | |
Futures†† | (42,949) | - | | - | (42,949) | |
Swap Agreements†† | - | (29,566) | | - | (29,566) | |
† 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), financial futures and forward foreign currency exchange contracts (“forward contracts”)are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend
securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at April 30, 2023 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 non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date. Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.
Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.
Credit Default Swaps: Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced obligation or index) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rate, the fund is selling credit protection on the underlying instrument. The maximum payouts for these agreements are limited to the
notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
GAAP requires disclosure for (i) the nature and terms of the credit derivative, reasons for entering into the credit derivative, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative, (iii) the fair value of the credit derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. All required disclosures have been made and are incorporated within the current period as part of the Notes to the Statement of Investments and disclosures within this Note.
At April 30, 2023, accumulated net unrealized depreciation on investments was $4,693,384, consisting of $755,487 gross unrealized appreciation and $5,448,871 gross unrealized depreciation.
At April 30, 2023, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
