STATEMENT OF INVESTMENTS
BNY Mellon Short Term Income Fund
April 30, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% | | | | | |
Advertising - .5% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 265,000 | b | 245,876 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes | | 5.00 | | 8/15/2027 | | 250,000 | b | 238,192 | |
| | 484,068 | |
Aerospace & Defense - 2.2% | | | | | |
Rolls-Royce PLC, Gtd. Notes | | 5.75 | | 10/15/2027 | | 470,000 | b | 465,296 | |
The Boeing Company, Sr. Unscd. Notes | | 2.20 | | 2/4/2026 | | 786,000 | | 733,450 | |
The Boeing Company, Sr. Unscd. Notes | | 6.30 | | 5/1/2029 | | 576,000 | b | 578,650 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 352,000 | b | 353,936 | |
| | 2,131,332 | |
Airlines - .5% | | | | | |
Air Canada, Sr. Scd. Notes | | 3.88 | | 8/15/2026 | | 528,000 | b | 501,319 | |
Asset-Backed Certificates - 6.2% | | | | | |
AMSR Trust, Ser. 2023-SFR2, Cl. A | | 3.95 | | 6/17/2040 | | 555,000 | b | 517,579 | |
Amur Equipment Finance Receivables XI LLC, Ser. 2022-2A, Cl. A2 | | 5.30 | | 6/21/2028 | | 61,746 | b | 61,527 | |
Auxilior Term Funding LLC, Ser. 2023-1A, Cl. A2 | | 6.18 | | 12/15/2028 | | 100,000 | b | 100,307 | |
CLI Funding VI LLC, Ser. 2020-1A, Cl. A | | 2.08 | | 9/18/2045 | | 117,457 | b | 104,605 | |
CLI Funding VI LLC, Ser. 2020-3A, Cl. A | | 2.07 | | 10/18/2045 | | 197,167 | b | 176,331 | |
CNH Capital Canada Receivables Trust, Ser. 2021-1A, Cl. A2 | CAD | 1.00 | | 11/16/2026 | | 127,807 | b | 90,078 | |
CyrusOne Data Centers Issuer I LLC, Ser. 2023-1A, Cl. B | | 5.45 | | 4/20/2048 | | 92,640 | b | 85,420 | |
Dell Equipment Finance Trust, Ser. 2023-1, Cl. A3 | | 5.65 | | 9/22/2028 | | 310,000 | b | 309,752 | |
Domino's Pizza Master Issuer LLC, Ser. 2021-1A, Cl. A2I | | 2.66 | | 4/25/2051 | | 218,812 | b | 191,577 | |
Hilton Grand Vacations Trust, Ser. 2022-2A, Cl. A | | 4.30 | | 1/25/2037 | | 60,973 | b | 58,859 | |
HPEFS Equipment Trust, Ser. 2021-2A, Cl. C | | 0.88 | | 9/20/2028 | | 146,055 | b | 145,112 | |
Marlette Funding Trust, Ser. 2022-3A, Cl. A | | 5.18 | | 11/15/2032 | | 8,688 | b | 8,679 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Asset-Backed Certificates - 6.2% (continued) | | | | | |
MetroNet Infrastructure Issuer LLC, Ser. 2024-1A, Cl. A2 | | 6.23 | | 4/20/2054 | | 25,000 | b | 24,741 | |
MVW LLC, Ser. 2020-1A, Cl. A | | 1.74 | | 10/20/2037 | | 56,307 | b | 52,647 | |
Octane Receivables Trust, Ser. 2023-1A, Cl. B | | 5.96 | | 7/20/2029 | | 300,000 | b | 299,076 | |
Octane Receivables Trust, Ser. 2023-3A, Cl. A2 | | 6.44 | | 3/20/2029 | | 266,415 | b | 267,999 | |
OneMain Financial Issuance Trust, Ser. 2020-2A, Cl. A | | 1.75 | | 9/14/2035 | | 350,000 | b | 324,551 | |
Purewest Funding LLC, Ser. 2021-1, Cl. A1 | | 4.09 | | 12/22/2036 | | 193,602 | b | 187,076 | |
Textainer Marine Containers VII Ltd., Ser. 2020-2A, Cl. A | | 2.10 | | 9/20/2045 | | 377,630 | b | 339,982 | |
Textainer Marine Containers VII Ltd., Ser. 2021-1A, Cl. A | | 1.68 | | 2/20/2046 | | 261,333 | b | 228,752 | |
Tricon American Homes Trust, Ser. 2018-SFR1, Cl. A | | 3.53 | | 5/17/2037 | | 546,842 | b | 534,545 | |
Tricon American Homes Trust, Ser. 2018-SFR1, Cl. C | | 4.04 | | 5/17/2037 | | 350,000 | b | 342,996 | |
Trinity Rail Leasing LLC, Ser. 2020-2A, Cl. A1 | | 1.83 | | 11/19/2050 | | 132,924 | b | 123,281 | |
TRP LLC, Ser. 2021-1, Cl. A | | 2.07 | | 6/19/2051 | | 277,174 | b | 247,765 | |
TRP LLC, Ser. 2021-2, Cl. A | | 2.15 | | 6/19/2051 | | 283,210 | b | 254,291 | |
Verizon Master Trust, Ser. 2021-1, Cl. C | | 0.89 | | 5/20/2027 | | 500,000 | | 498,747 | |
Verizon Master Trust, Ser. 2024-1, Cl. C | | 5.49 | | 12/20/2028 | | 386,000 | | 382,330 | |
| | 5,958,605 | |
Asset-Backed Certificates/Auto Receivables - 12.1% | | | | | |
Ally Auto Receivables Trust, Ser. 2024-1, Cl. A3 | | 5.08 | | 12/15/2028 | | 172,000 | | 170,742 | |
AmeriCredit Automobile Receivables Trust, Ser. 2020-1, Cl. C | | 1.59 | | 10/20/2025 | | 10,077 | | 10,056 | |
AmeriCredit Automobile Receivables Trust, Ser. 2022-2, Cl. B | | 4.81 | | 4/18/2028 | | 214,000 | | 211,103 | |
AmeriCredit Automobile Receivables Trust, Ser. 2023-2, Cl. A2 | | 6.19 | | 4/19/2027 | | 271,837 | | 272,521 | |
Avis Budget Rental Car Funding AESOP LLC, Ser. 2020-1A, Cl. A | | 2.33 | | 8/20/2026 | | 240,000 | b | 231,415 | |
Avis Budget Rental Car Funding AESOP LLC, Ser. 2023-3A, Cl. A | | 5.44 | | 2/22/2028 | | 385,000 | b | 382,792 | |
Bayview Opportunity Master Fund VII Trust, Ser. 2024-SN1, Cl. C | | 5.83 | | 12/15/2028 | | 59,000 | b | 58,545 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 12.1% (continued) | | | | | |
BMW Vehicle Lease Trust, Ser.2023-1, Cl. A3 | | 5.16 | | 11/25/2025 | | 56,000 | | 55,871 | |
Capital One Prime Auto Receivables Trust, Ser. 2022-2, Cl. A3 | | 3.66 | | 5/17/2027 | | 302,000 | | 296,116 | |
CarMax Auto Owner Trust, Ser. 2021-3, Cl. C | | 1.25 | | 5/17/2027 | | 500,000 | | 468,714 | |
Carvana Auto Receivables Trust, Ser. 2020-P1, Cl. C | | 1.32 | | 11/9/2026 | | 425,000 | | 394,955 | |
Carvana Auto Receivables Trust, Ser. 2021-N1, Cl. C | | 1.30 | | 1/10/2028 | | 206,957 | | 196,432 | |
Carvana Auto Receivables Trust, Ser. 2021-N2, Cl. C | | 1.07 | | 3/10/2028 | | 91,600 | | 86,008 | |
Carvana Auto Receivables Trust, Ser. 2021-P1, Cl. B | | 1.19 | | 1/11/2027 | | 230,000 | | 213,820 | |
Carvana Auto Receivables Trust, Ser. 2021-P4, Cl. B | | 1.98 | | 2/10/2028 | | 125,000 | | 112,916 | |
Carvana Auto Receivables Trust, Ser. 2022-P3, Cl. C | | 5.54 | | 11/10/2028 | | 238,000 | | 231,911 | |
Carvana Auto Receivables Trust, Ser. 2023-P4, Cl. A2 | | 6.23 | | 1/11/2027 | | 263,123 | b | 263,649 | |
Chesapeake Funding II LLC, Ser. 2023-2A, Cl. A1 | | 6.16 | | 10/15/2035 | | 86,925 | b | 87,316 | |
Citizens Auto Receivables Trust, Ser. 2023-2, Cl. A2A | | 6.09 | | 10/15/2026 | | 128,951 | b | 129,244 | |
Citizens Auto Receivables Trust, Ser. 2024-1, Cl. A3 | | 5.11 | | 4/17/2028 | | 101,000 | b | 100,315 | |
Enterprise Fleet Financing LLC, Ser. 2022-3, Cl. A2 | | 4.38 | | 7/20/2029 | | 61,316 | b | 60,569 | |
Exeter Automobile Receivables Trust, Ser. 2021-2A, Cl. C | | 0.98 | | 6/15/2026 | | 59,368 | | 59,120 | |
Exeter Automobile Receivables Trust, Ser. 2022-3A, Cl. B | | 4.86 | | 12/15/2026 | | 180,563 | | 180,156 | |
Exeter Automobile Receivables Trust, Ser. 2023-4A, Cl. B | | 6.31 | | 10/15/2027 | | 250,000 | | 250,734 | |
Ford Auto Securitization Trust, Ser. 2020-AA, Cl. B | CAD | 1.87 | | 6/15/2026 | | 450,000 | b | 317,306 | |
Ford Auto Securitization Trust II, Ser. 2022-AA, Cl. A3 | CAD | 5.40 | | 9/15/2028 | | 626,000 | b | 456,901 | |
Ford Credit Auto Owner Trust, Ser. 2018-1, Cl. C | | 3.49 | | 7/15/2031 | | 100,000 | b | 98,092 | |
Ford Credit Auto Owner Trust, Ser. 2020-2, Cl. B | | 1.49 | | 4/15/2033 | | 375,000 | b | 351,733 | |
Ford Credit Auto Owner Trust, Ser. 2021-1, Cl. C | | 1.91 | | 10/17/2033 | | 202,000 | b | 186,337 | |
Ford Credit Auto Owner Trust, Ser. 2022-C, Cl. C | | 5.22 | | 3/15/2030 | | 325,000 | | 322,482 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Asset-Backed Certificates/Auto Receivables - 12.1% (continued) | | | | | |
GM Financial Consumer Automobile Receivables Trust, Ser. 2020-4, Cl. B | | 0.73 | | 3/16/2026 | | 300,000 | | 294,263 | |
GM Financial Consumer Automobile Receivables Trust, Ser. 2022-1, Cl. C | | 1.94 | | 4/17/2028 | | 170,000 | | 158,170 | |
Hertz Vehicle Financing LLC, Ser. 2021-1A, Cl. A | | 1.21 | | 12/26/2025 | | 650,000 | b | 636,940 | |
Hyundai Auto Receivables Trust, Ser. 2022-C, Cl. A4 | | 5.52 | | 10/16/2028 | | 333,000 | | 333,627 | |
M&T Bank Auto Receivables Trust, Ser. 2024-1A, Cl. A3 | | 5.22 | | 2/17/2032 | | 287,000 | b | 284,561 | |
OSCAR US Funding XIII LLC, Ser. 2021-2A, Cl. A4 | | 1.27 | | 9/11/2028 | | 600,000 | b | 575,274 | |
OSCAR US Funding XVI LLC, Ser. 2024-1A, Cl. A3 | | 5.54 | | 2/10/2028 | | 143,000 | b | 142,227 | |
PenFed Auto Receivables Owner Trust, Ser. 2022-A, Cl. C | | 4.83 | | 12/15/2028 | | 1,000,000 | b | 977,009 | |
Santander Consumer Auto Receivables Trust, Ser. 2020-BA, Cl. C | | 1.29 | | 4/15/2026 | | 16,656 | b | 16,625 | |
Santander Drive Auto Receivables Trust, Ser. 2021-4, Cl. C | | 1.26 | | 2/16/2027 | | 155,189 | | 153,344 | |
Santander Drive Auto Receivables Trust, Ser. 2022-5, Cl. C | | 4.74 | | 10/16/2028 | | 306,000 | | 301,780 | |
Santander Drive Auto Receivables Trust, Ser. 2024-1, Cl. B | | 5.23 | | 12/15/2028 | | 67,000 | | 66,320 | |
SFS Auto Receivables Securitization Trust, Ser. 2024-1A, Cl. A3 | | 4.95 | | 5/21/2029 | | 78,000 | b | 77,028 | |
SFS Auto Receivables Securitization Trust, Ser.2023-1A, Cl. A2A | | 5.89 | | 3/22/2027 | | 81,190 | b | 81,250 | |
SFS Auto Receivables Securitization Trust, Ser.2023-1A, Cl. A3 | | 5.47 | | 10/20/2028 | | 205,000 | b | 204,697 | |
Tesla Electric Vehicle Trust, Ser. 2023-1, Cl. A3 | | 5.38 | | 6/20/2028 | | 87,000 | b | 86,775 | |
Toyota Auto Receivables Owner Trust, Ser. 2022-D, Cl. A3 | | 5.30 | | 9/15/2027 | | 514,000 | | 512,465 | |
US Bank NA, Ser. 2023-1, Cl. B | | 6.79 | | 8/25/2032 | | 203,682 | b | 204,371 | |
Volkswagen Auto Lease Trust, Ser. 2022-A, Cl. A3 | | 3.44 | | 7/21/2025 | | 56,134 | | 55,903 | |
Westlake Automobile Receivables Trust, Ser. 2021-1A, Cl. C | | 0.95 | | 3/16/2026 | | 45,818 | b | 45,726 | |
Wheels Fleet Lease Funding 1 LLC, Ser. 2022-1A, Cl. A | | 2.47 | | 10/18/2036 | | 70,537 | b | 70,141 | |
World Omni Auto Receivables Trust, Ser. 2023-A, Cl. A3 | | 4.83 | | 5/15/2028 | | 101,000 | | 100,057 | |
| | 11,636,424 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Asset-Backed Certificates/Credit Cards - .1% | | | | | |
Synchrony Card Funding LLC, Ser. 2023-A1, Cl. A | | 5.54 | | 7/15/2029 | | 47,000 | | 47,034 | |
Automobiles & Components - 2.9% | | | | | |
Clarios Global LP/Clarios US Finance Co., Sr. Scd. Notes | | 6.25 | | 5/15/2026 | | 300,000 | b,c | 299,914 | |
Daimler Truck Finance North America LLC, Gtd. Notes | | 5.00 | | 1/15/2027 | | 500,000 | b | 493,358 | |
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | | 4.54 | | 8/1/2026 | | 500,000 | | 483,786 | |
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | | 5.80 | | 3/5/2027 | | 275,000 | | 273,236 | |
General Motors Financial Co., Inc., Sr. Unscd. Notes | | 6.00 | | 1/9/2028 | | 800,000 | | 807,968 | |
Stellantis Finance US, Inc., Gtd. Notes | | 1.71 | | 1/29/2027 | | 530,000 | b | 477,595 | |
| | 2,835,857 | |
Banks - 9.2% | | | | | |
Banco Santander Mexico SA, Sr. Unscd. Notes | | 5.38 | | 4/17/2025 | | 200,000 | b | 198,826 | |
Banco Santander SA, Sr. Notes | | 5.55 | | 3/14/2028 | | 600,000 | | 592,781 | |
Bank of America Corp., Jr. Sub. Notes, Ser. JJ | | 5.13 | | 6/20/2024 | | 192,000 | d | 192,078 | |
Bank of America Corp., Jr. Sub. Notes, Ser. X | | 6.25 | | 9/5/2024 | | 196,000 | d | 195,852 | |
BNP Paribas SA, Sub. Notes | | 4.63 | | 3/13/2027 | | 325,000 | | 314,351 | |
Canadian Imperial Bank of Commerce, Sr. Unscd. Notes | | 5.26 | | 4/8/2029 | | 321,000 | | 316,173 | |
Citigroup, Inc., Jr. Sub. Bonds, Ser. W | | 4.00 | | 12/10/2025 | | 363,000 | d | 347,493 | |
Citizens Bank NA/Providence RI, Sr. Unscd. Notes | | 6.06 | | 10/24/2025 | | 750,000 | | 746,570 | |
Citizens Financial Group, Inc., Sr. Unscd. Notes | | 5.84 | | 1/23/2030 | | 63,000 | | 61,718 | |
Credit Agricole SA, Sub. Notes | | 4.38 | | 3/17/2025 | | 600,000 | | 590,125 | |
JPMorgan Chase & Co., Jr. Sub. Bonds, Ser. FF | | 5.00 | | 8/1/2024 | | 614,000 | d | 611,332 | |
JPMorgan Chase & Co., Sr. Unscd. Notes | | 4.08 | | 4/26/2026 | | 500,000 | | 491,490 | |
Morgan Stanley, Sr. Unscd. Notes | | 5.12 | | 2/1/2029 | | 462,000 | | 454,834 | |
Morgan Stanley, Sr. Unscd. Notes | | 6.14 | | 10/16/2026 | | 300,000 | | 301,750 | |
Santander Holdings USA, Inc., Sr. Unscd. Notes | | 6.50 | | 3/9/2029 | | 139,000 | | 140,137 | |
State Street Corp., Jr. Sub. Notes, Ser. I | | 6.70 | | 3/15/2029 | | 121,000 | d | 121,404 | |
Synovus Bank/Columbus GA, Sr. Unscd. Notes | | 5.63 | | 2/15/2028 | | 300,000 | | 286,573 | |
The Goldman Sachs Group, Inc., Jr. Sub. Notes, Ser. T | | 3.80 | | 5/10/2026 | | 350,000 | c,d | 328,584 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Banks - 9.2% (continued) | | | | | |
The Goldman Sachs Group, Inc., Sr. Unscd. Notes, (3 Month SOFR +0.49%) | | 5.86 | | 10/21/2024 | | 660,000 | e | 660,514 | |
The PNC Financial Services Group, Inc., Sr. Unscd. Notes | | 5.67 | | 10/28/2025 | | 379,000 | | 378,695 | |
Truist Financial Corp., Sr. Unscd. Notes | | 6.05 | | 6/8/2027 | | 450,000 | | 452,475 | |
UBS Group AG, Sr. Unscd. Notes | | 6.37 | | 7/15/2026 | | 350,000 | b | 351,364 | |
Wells Fargo & Co., Sr. Unscd. Notes | | 5.20 | | 1/23/2030 | | 700,000 | | 686,581 | |
| | 8,821,700 | |
Beverage Products - .4% | | | | | |
Bacardi Ltd./Bacardi-Martini BV, Sr. Unscd. Notes | | 5.25 | | 1/15/2029 | | 380,000 | b | 370,062 | |
Chemicals - 1.4% | | | | | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, Gtd. Notes | | 4.75 | | 6/15/2027 | | 350,000 | b,c | 336,131 | |
Braskem Netherlands Finance BV, Gtd. Notes | | 4.50 | | 1/10/2028 | | 300,000 | b | 268,090 | |
Celanese US Holdings LLC, Gtd. Notes | | 6.17 | | 7/15/2027 | | 200,000 | | 201,240 | |
MEGlobal Canada ULC, Gtd. Notes | | 5.00 | | 5/18/2025 | | 300,000 | | 296,090 | |
SNF Group SACA, Sr. Unscd. Notes | | 3.13 | | 3/15/2027 | | 250,000 | b | 229,817 | |
The Sherwin-Williams Company, Sr. Unscd. Notes | | 4.05 | | 8/8/2024 | | 48,000 | | 47,780 | |
| | 1,379,148 | |
Collateralized Loan Obligations Debt - 6.5% | | | | | |
Antares Ltd. CLO, Ser. 2020-1A, Cl. A1R, (3 Month TSFR +1.72%) | | 7.05 | | 10/23/2033 | | 350,000 | b,e | 350,203 | |
Arbor Realty Commercial Real Estate Notes Ltd. CLO, Ser. 2021-FL4, Cl. A, (1 Month TSFR +1.46%) | | 6.79 | | 11/15/2036 | | 365,000 | b,e | 363,964 | |
Bain Capital Credit Ltd. CLO, Ser. 2020-3A, Cl. A1R, (3 Month TSFR +1.42%) | | 6.75 | | 10/23/2034 | | 360,000 | b,e | 360,191 | |
Ballyrock Ltd. CLO, Ser. 2020-2A, Cl. A1R, (3 Month TSFR +1.27%) | | 6.60 | | 10/20/2031 | | 262,295 | b,e | 262,947 | |
Carlyle US Ltd. CLO, Ser. 2017-1A, Cl. A1R, (3 Month TSFR +1.26%) | | 6.59 | | 4/20/2031 | | 316,952 | b,e | 317,494 | |
Cent 21 Ltd. CLO, Ser. 2014-21A, Cl. A1R3, (3 Month TSFR +1.23%) | | 6.56 | | 7/27/2030 | | 91,549 | b,e | 91,604 | |
Columbia Cent 30 Ltd. CLO, Ser. 2020-30A, Cl. A1, (3 Month TSFR +1.57%) | | 6.90 | | 1/20/2034 | | 330,000 | b,e | 330,203 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Collateralized Loan Obligations Debt - 6.5% (continued) | | | | | |
Dryden 41 Senior Loan Fund CLO, Ser. 2015-41A, Cl. AR, (3 Month TSFR +1.23%) | | 6.56 | | 4/15/2031 | | 222,030 | b,e | 222,300 | |
Dryden 83 Ltd. CLO, Ser. 2020-83A, Cl. B, (3 Month TSFR +1.86%) | | 7.19 | | 1/18/2032 | | 600,000 | b,e | 600,865 | |
Madison Park Funding XXVII Ltd. CLO, Ser. 2018-27A, Cl. A1A, (3 Month TSFR +1.29%) | | 6.62 | | 4/20/2030 | | 266,380 | b,e | 266,551 | |
Madison Park Funding XXX Ltd. CLO, Ser. 2018-30A, Cl. A, (3 Month TSFR +1.01%) | | 6.34 | | 4/15/2029 | | 275,857 | b,e | 276,064 | |
Magnetite XIX Ltd. CLO, Ser. 2017-19A, Cl. AR, (3 Month TSFR +1.31%) | | 6.63 | | 4/17/2034 | | 325,000 | b,e | 325,908 | |
MF1 Ltd. CLO, Ser. 2021-FL7, Cl. AS, (1 Month TSFR +1.56%) | | 6.88 | | 10/16/2036 | | 500,000 | b,e | 492,049 | |
MF1 Ltd. CLO, Ser. 2022-FL8, Cl. AS, (1 Month TSFR +1.75%) | | 7.07 | | 2/19/2037 | | 375,000 | b,e | 369,778 | |
Neuberger Berman Loan Advisers 40 Ltd. CLO, Ser. 2021-40A, Cl. B, (3 Month TSFR +1.66%) | | 6.99 | | 4/16/2033 | | 400,000 | b,e | 397,466 | |
RIN IV Ltd. CLO, Ser. 2021-1A, Cl. A, (3 Month TSFR +1.56%) | | 6.89 | | 4/20/2033 | | 250,000 | b,e | 247,181 | |
Symphony XV Ltd. CLO, Ser. 2014-15A, Cl. BR3, (3 Month TSFR +1.81%) | | 7.13 | | 1/17/2032 | | 550,000 | b,e | 544,700 | |
TPRK CLO, Ser. 2021-1A, Cl. A1, (3 Month TSFR +1.26%) | | 6.59 | | 4/15/2034 | | 350,000 | b,e | 350,262 | |
Voya Ltd. CLO, Ser. 2019-1A, Cl. AR, (3 Month TSFR +1.32%) | | 6.65 | | 4/15/2031 | | 102,835 | b,e | 102,989 | |
| | 6,272,719 | |
Commercial & Professional Services - 1.4% | | | | | |
Adani Ports & Special Economic Zone Ltd., Sr. Unscd. Notes | | 3.38 | | 7/24/2024 | | 600,000 | b | 596,480 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes | | 5.75 | | 7/15/2027 | | 300,000 | b | 285,350 | |
United Rentals North America, Inc., Gtd. Notes | | 4.88 | | 1/15/2028 | | 500,000 | | 479,737 | |
| | 1,361,567 | |
Commercial Mortgage Pass-Through Certificates - 10.4% | | | | | |
American Homes 4 Rent Trust, Ser. 2014-SFR3, Cl. A | | 3.68 | | 12/17/2036 | | 267,462 | b | 263,938 | |
Angel Oak Mortgage Trust, Ser. 2024-3, Cl. A2 | | 4.80 | | 11/26/2068 | | 48,912 | b | 47,078 | |
BRAVO Residential Funding Trust, Ser. 2023-NQM5, Cl. A2 | | 6.86 | | 6/25/2063 | | 135,329 | b | 135,249 | |
BSREP, Ser. 2021-DC, Cl. C, (1 Month TSFR +1.66%) | | 6.99 | | 8/15/2038 | | 473,853 | b,e | 402,323 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Commercial Mortgage Pass-Through Certificates - 10.4% (continued) | | | | | |
BXHPP Trust, Ser. 2021-FILM, Cl. B, (1 Month TSFR +1.01%) | | 6.34 | | 8/15/2036 | | 450,000 | b,e | 427,272 | |
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. A, (1 Month TSFR +1.37%) | | 6.69 | | 12/15/2037 | | 500,000 | b,e | 499,497 | |
CF Hippolyta Issuer LLC, Ser. 2020-1, Cl. A1 | | 1.69 | | 7/15/2060 | | 346,289 | b | 324,773 | |
CF Hippolyta Issuer LLC, Ser. 2021-1A, Cl. A1 | | 1.53 | | 3/15/2061 | | 259,173 | b | 234,521 | |
CGDB Commercial Mortgage Trust, Ser. 2019-MOB, Cl. B, (1 Month TSFR +1.36%) | | 6.69 | | 11/15/2036 | | 675,000 | b,e | 671,752 | |
Citigroup Commercial Mortgage Trust, Ser. 2014-GC25, Cl. B | | 4.35 | | 10/10/2047 | | 270,000 | | 262,242 | |
COLT Mortgage Loan Trust, Ser. 2023-3, Cl. A2 | | 7.43 | | 9/25/2068 | | 130,632 | b | 131,745 | |
Cross Mortgage Trust, Ser. 2024-H2, Cl. A2 | | 6.42 | | 4/25/2069 | | 49,627 | b | 49,314 | |
Cross Mortgage Trust, Ser. 2024-H2, Cl. A3 | | 6.52 | | 4/25/2069 | | 49,627 | b | 49,314 | |
CSAIL Commercial Mortgage Trust, Ser. 2015-C1, Cl. A3 | | 3.24 | | 4/15/2050 | | 449,165 | | 443,208 | |
DataBank Issuer, Ser. 2021-1A, Cl. A2 | | 2.06 | | 2/27/2051 | | 300,000 | b | 273,891 | |
DataBank Issuer, Ser. 2021-2A, Cl. A2 | | 2.40 | | 10/25/2051 | | 350,000 | b | 311,952 | |
DataBank Issuer, Ser. 2023-1A, Cl. A2 | | 5.12 | | 2/25/2053 | | 270,000 | b | 253,344 | |
Flexential Issuer, Ser. 2021-1A, Cl. A2 | | 3.25 | | 11/27/2051 | | 305,000 | b | 276,476 | |
Imperial Fund Mortgage Trust, Ser. 2023-NQM1, Cl. A3 | | 7.16 | | 2/25/2068 | | 400,379 | b | 396,373 | |
JP Morgan Mortgage Trust, Ser. 2024-CES1, Cl. A1B | | 6.02 | | 6/25/2054 | | 390,060 | b | 386,396 | |
JPMBB Commercial Mortgage Securities Trust, Ser. 2015-C30, Cl. A4 | | 3.55 | | 7/15/2048 | | 314,588 | | 307,898 | |
Natixis Commercial Mortgage Securities Trust, Ser. 2020-2PAC, Cl. A | | 2.97 | | 12/15/2038 | | 172,355 | b | 156,869 | |
New Economy Assets Phase 1 Sponsor LLC, Ser. 2021-1, Cl. A1 | | 1.91 | | 10/20/2061 | | 1,125,000 | b | 981,789 | |
New Residential Mortgage Loan Trust, Ser. 2022-NQM1, Cl. A1 | | 2.28 | | 4/25/2061 | | 488,394 | b | 412,575 | |
OBX Trust, Ser. 2023-NQM2, Cl. A1 | | 6.32 | | 1/25/2062 | | 367,375 | b | 366,454 | |
RCKT Mortgage Trust, Ser. 2024-CES2, Cl. A1B | | 6.29 | | 4/25/2044 | | 302,186 | b | 300,388 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Commercial Mortgage Pass-Through Certificates - 10.4% (continued) | | | | | |
Towd Point Mortgage Trust, Ser. 2023-1, Cl. A1 | | 3.75 | | 1/25/2063 | | 93,549 | b | 86,955 | |
Tricon American Homes Trust, Ser. 2019-SFR1, Cl. A | | 2.75 | | 3/17/2038 | | 321,057 | b | 303,908 | |
Vantage Data Centers Issuer LLC, Ser. 2021-1A, Cl. A2 | | 2.17 | | 10/15/2046 | | 250,000 | b | 226,286 | |
Vantage Data Centers LLC, Ser. 2020-2A, Cl. A2 | | 1.99 | | 9/15/2045 | | 414,000 | b | 358,694 | |
Verus Securitization Trust, Ser. 2019-INV2, Cl. A1 | | 3.91 | | 7/25/2059 | | 75,792 | b | 72,932 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2015-C27, Cl. A4 | | 3.19 | | 2/15/2048 | | 259,448 | | 255,330 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2020-C56, Cl. A2 | | 2.50 | | 6/15/2053 | | 300,000 | | 287,658 | |
Wells Fargo Commercial Mortgage Trust, Ser. 2021-SAVE, Cl. A, (1 Month TSFR +1.26%) | | 6.59 | | 2/15/2040 | | 114,529 | b,e | 114,285 | |
| | 10,072,679 | |
Consumer Discretionary - 3.3% | | | | | |
Caesars Entertainment, Inc., Gtd. Notes | | 8.13 | | 7/1/2027 | | 270,000 | b | 273,837 | |
Caesars Entertainment, Inc., Sr. Scd. Notes | | 7.00 | | 2/15/2030 | | 99,000 | b | 99,757 | |
Carnival Corp., Gtd. Notes | | 5.75 | | 3/1/2027 | | 250,000 | b | 244,160 | |
International Game Technology PLC, Sr. Scd. Notes | | 4.13 | | 4/15/2026 | | 500,000 | b | 481,850 | |
International Game Technology PLC, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 300,000 | b | 283,591 | |
Light & Wonder International, Inc., Gtd. Notes | | 7.25 | | 11/15/2029 | | 300,000 | b | 303,025 | |
MGM China Holdings Ltd., Sr. Unscd. Notes | | 4.75 | | 2/1/2027 | | 500,000 | b | 472,314 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 250,000 | b | 245,133 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 250,000 | b | 245,408 | |
Wynn Macau Ltd., Sr. Unscd. Notes | | 5.63 | | 8/26/2028 | | 600,000 | b,c | 553,828 | |
| | 3,202,903 | |
Diversified Financials - 3.8% | | | | | |
Aercap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes | | 1.75 | | 1/30/2026 | | 700,000 | | 652,426 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes | | 5.10 | | 1/19/2029 | | 450,000 | | 439,075 | |
Air Lease Corp., Sr. Unscd. Notes | | 5.10 | | 3/1/2029 | | 600,000 | | 583,500 | |
Ally Financial, Inc., Sr. Unscd. Notes | | 4.75 | | 6/9/2027 | | 330,000 | | 317,513 | |
American Express Co., Sr. Unscd. Notes | | 6.34 | | 10/30/2026 | | 145,000 | | 146,203 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Diversified Financials - 3.8% (continued) | | | | | |
Capital One Financial Corp., Sub. Notes | | 4.20 | | 10/29/2025 | | 650,000 | | 633,677 | |
Discover Financial Services, Sr. Unscd. Notes | | 3.75 | | 3/4/2025 | | 450,000 | | 442,035 | |
MDGH GMTN RSC Ltd., Gtd. Notes | | 2.50 | | 11/7/2024 | | 320,000 | | 314,355 | |
Nasdaq, Inc., Sr. Unscd. Notes | | 5.35 | | 6/28/2028 | | 85,000 | | 84,585 | |
| | 3,613,369 | |
Energy - 9.8% | | | | | |
Aker BP ASA, Sr. Unscd. Notes | | 3.00 | | 1/15/2025 | | 325,000 | b | 317,665 | |
BP Capital Markets PLC, Gtd. Notes | | 4.38 | | 6/22/2025 | | 72,000 | d | 70,568 | |
CITGO Petroleum Corp., Sr. Scd. Notes | | 7.00 | | 6/15/2025 | | 716,000 | b | 715,799 | |
CITGO Petroleum Corp., Sr. Scd. Notes | | 8.38 | | 1/15/2029 | | 14,000 | b | 14,501 | |
Columbia Pipelines Holding Co. LLC, Sr. Unscd. Notes | | 6.06 | | 8/15/2026 | | 500,000 | b | 501,841 | |
CVR Energy, Inc., Gtd. Bonds | | 5.75 | | 2/15/2028 | | 500,000 | b | 465,043 | |
Diamondback Energy, Inc., Gtd. Notes | | 5.15 | | 1/30/2030 | | 279,000 | | 273,737 | |
Enbridge, Inc., Gtd. Notes | | 5.25 | | 4/5/2027 | | 1,000,000 | | 992,484 | |
Energy Transfer LP, Gtd. Notes | | 5.63 | | 5/1/2027 | | 675,000 | b | 668,918 | |
Energy Transfer LP, Sr. Unscd. Notes | | 5.55 | | 2/15/2028 | | 453,000 | | 452,884 | |
Enterprise Products Operating LLC, Gtd. Notes | | 5.05 | | 1/10/2026 | | 136,000 | | 135,304 | |
EQT Corp., Sr. Unscd. Notes | | 5.70 | | 4/1/2028 | | 475,000 | | 473,683 | |
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes | | 6.25 | | 5/15/2026 | | 350,000 | | 347,326 | |
Global Partners LP/GLP Finance Corp., Gtd. Notes | | 6.88 | | 1/15/2029 | | 54,000 | | 52,894 | |
Global Partners LP/GLP Finance Corp., Gtd. Notes | | 7.00 | | 8/1/2027 | | 500,000 | | 496,519 | |
Global Partners LP/GLP Finance Corp., Gtd. Notes | | 8.25 | | 1/15/2032 | | 22,000 | b | 22,554 | |
Hess Midstream Operations LP, Gtd. Notes | | 5.63 | | 2/15/2026 | | 300,000 | b | 296,874 | |
Howard Midstream Energy Partners LLC, Sr. Unscd. Notes | | 6.75 | | 1/15/2027 | | 501,000 | b | 494,763 | |
Howard Midstream Energy Partners LLC, Sr. Unscd. Notes | | 8.88 | | 7/15/2028 | | 113,000 | b | 118,559 | |
Ithaca Energy North Sea PLC, Gtd. Notes | | 9.00 | | 7/15/2026 | | 250,000 | b | 251,853 | |
Leviathan Bond Ltd., Sr. Scd. Notes | | 6.13 | | 6/30/2025 | | 300,000 | b | 292,515 | |
Occidental Petroleum Corp., Sr. Unscd. Notes | | 6.38 | | 9/1/2028 | | 300,000 | | 306,913 | |
ONEOK, Inc., Gtd. Notes | | 5.65 | | 11/1/2028 | | 82,000 | | 82,285 | |
Petroleos Mexicanos, Gtd. Notes | | 4.25 | | 1/15/2025 | | 1,000,000 | c | 979,936 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Energy - 9.8% (continued) | | | | | |
Pioneer Natural Resources Co., Sr. Unscd. Notes | | 5.10 | | 3/29/2026 | | 150,000 | | 148,954 | |
Targa Resources Corp., Gtd. Notes | | 5.20 | | 7/1/2027 | | 500,000 | | 494,558 | |
| | 9,468,930 | |
Food Products - .5% | | | | | |
Motorola Solutions, Inc., Gtd. Notes | | 7.00 | | 5/14/2026 | | 210,000 | b | 208,872 | |
US Foods, Inc., Gtd. Notes | | 6.88 | | 9/15/2028 | | 239,000 | b,c | 241,333 | |
| | 450,205 | |
Foreign Governmental - .5% | | | | | |
Hungary, Sr. Unscd. Notes | | 6.13 | | 5/22/2028 | | 200,000 | b | 202,360 | |
Romania, Sr. Unscd. Notes | | 6.63 | | 2/17/2028 | | 300,000 | b | 304,081 | |
| | 506,441 | |
Health Care - 1.4% | | | | | |
Avantor Funding, Inc., Gtd. Notes | | 4.63 | | 7/15/2028 | | 310,000 | b | 288,471 | |
Elevance Health, Inc., Sr. Unscd. Notes | | 5.35 | | 10/15/2025 | | 155,000 | | 154,510 | |
HCA, Inc., Gtd. Notes | | 5.38 | | 2/1/2025 | | 300,000 | | 298,708 | |
Royalty Pharma PLC, Gtd. Notes | | 1.20 | | 9/2/2025 | | 325,000 | | 306,134 | |
Teva Pharmaceutical Finance Netherlands III BV, Gtd. Notes | | 7.88 | | 9/15/2029 | | 250,000 | | 262,782 | |
| | 1,310,605 | |
Industrial - 1.2% | | | | | |
AGCO Corp., Gtd. Notes | | 5.45 | | 3/21/2027 | | 272,000 | | 271,109 | |
Benteler International AG, Sr. Scd. Notes | | 10.50 | | 5/15/2028 | | 500,000 | b | 532,838 | |
TK Elevator US Newco, Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 400,000 | b | 383,051 | |
| | 1,186,998 | |
Insurance - .8% | | | | | |
Allianz SE, Jr. Sub. Bonds | | 3.20 | | 10/30/2027 | | 400,000 | b,d | 323,194 | |
Brighthouse Financial Global Funding, Scd. Notes | | 5.55 | | 4/9/2027 | | 495,000 | b | 490,573 | |
| | 813,767 | |
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 | 485,219 | |
Berry Global, Inc., Sr. Scd. Notes | | 4.88 | | 7/15/2026 | | 150,000 | b,c | 146,933 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, Gtd. Notes | | 4.75 | | 2/1/2026 | | 190,000 | | 186,110 | |
Owens-Brockway Glass Container, Inc., Gtd. Notes | | 6.38 | | 8/15/2025 | | 250,000 | b | 251,197 | |
Sealed Air Corp., Sr. Scd. Notes | | 1.57 | | 10/15/2026 | | 1,075,000 | b | 966,583 | |
| | 2,036,042 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Media - 2.1% | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 300,000 | b | 281,422 | |
Paramount Global, Jr. Sub. Notes | | 6.38 | | 3/30/2062 | | 550,000 | c | 509,226 | |
Sirius XM Radio, Inc., Gtd. Notes | | 5.00 | | 8/1/2027 | | 500,000 | b | 472,663 | |
Univision Communications, Inc., Sr. Scd. Notes | | 8.00 | | 8/15/2028 | | 8,000 | b | 7,998 | |
UPC Holding IV BV, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 500,000 | b | 471,391 | |
Ziggo Bond Co. BV, Sr. Unscd. Notes | | 6.00 | | 1/15/2027 | | 250,000 | b,c | 246,037 | |
| | 1,988,737 | |
Metals & Mining - .8% | | | | | |
Anglo American Capital PLC, Gtd. Notes | | 3.63 | | 9/11/2024 | | 300,000 | b | 297,317 | |
Cleveland-Cliffs, Inc., Gtd. Notes | | 5.88 | | 6/1/2027 | | 500,000 | c | 495,172 | |
| | 792,489 | |
Real Estate - 4.8% | | | | | |
Brixmor Operating Partnership LP, Sr. Unscd. Notes | | 2.25 | | 4/1/2028 | | 355,000 | | 310,501 | |
Brixmor Operating Partnership LP, Sr. Unscd. Notes | | 3.85 | | 2/1/2025 | | 95,000 | | 93,494 | |
EPR Properties, Gtd. Notes | | 4.50 | | 4/1/2025 | | 196,000 | | 193,072 | |
Equinix, Inc., Sr. Unscd. Notes | | 1.00 | | 9/15/2025 | | 430,000 | | 402,371 | |
Extra Space Storage LP, Gtd. Notes | | 5.70 | | 4/1/2028 | | 80,000 | | 80,000 | |
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | | 5.25 | | 6/1/2025 | | 500,000 | | 495,704 | |
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | | 5.38 | | 4/15/2026 | | 710,000 | | 701,411 | |
Kimco Realty OP LLC, Gtd. Notes | | 3.85 | | 6/1/2025 | | 235,000 | | 230,010 | |
Kite Realty Group LP, Sr. Unscd. Notes | | 4.00 | | 10/1/2026 | | 67,000 | | 63,598 | |
Prologis Targeted US Logistics Fund LP, Gtd. Notes | | 5.25 | | 4/1/2029 | | 226,000 | b | 221,788 | |
SBA Tower Trust, Asset Backed Notes | | 1.84 | | 4/15/2027 | | 500,000 | b | 444,292 | |
SBA Tower Trust, Asset Backed Notes | | 1.88 | | 1/15/2026 | | 275,000 | b | 256,075 | |
SBA Tower Trust, Asset Backed Notes | | 2.84 | | 1/15/2025 | | 650,000 | b | 635,579 | |
VICI Properties LP/VICI Note Co., Inc., Gtd. Notes | | 3.50 | | 2/15/2025 | | 225,000 | b | 220,875 | |
WPC Eurobond BV, Gtd. Notes | EUR | 1.35 | | 4/15/2028 | | 300,000 | | 286,234 | |
| | 4,635,004 | |
Retailing - 1.4% | | | | | |
Asbury Automotive Group, Inc., Gtd. Notes | | 4.63 | | 11/15/2029 | | 535,000 | b,c | 484,303 | |
Autozone, Inc., Sr. Unscd. Notes | | 3.63 | | 4/15/2025 | | 300,000 | | 294,356 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
Retailing - 1.4% (continued) | | | | | |
CK Hutchison Europe Finance 18 Ltd., Gtd. Bonds | EUR | 1.25 | | 4/13/2025 | | 300,000 | | 311,714 | |
SRS Distribution, Inc., Gtd. Notes | | 6.13 | | 7/1/2029 | | 235,000 | b | 238,706 | |
| | 1,329,079 | |
Supranational Bank - .3% | | | | | |
The African Export-Import Bank, Sr. Unscd. Notes | | 4.13 | | 6/20/2024 | | 300,000 | | 299,262 | |
Technology Hardware & Equipment - .3% | | | | | |
Kyndryl Holdings, Inc., Sr. Unscd. Notes | | 2.05 | | 10/15/2026 | | 258,000 | | 235,907 | |
Telecommunication Services - 1.3% | | | | | |
Iliad Holding SASU, Sr. Scd. Notes | | 6.50 | | 10/15/2026 | | 300,000 | b | 298,842 | |
Millicom International Cellular SA, Sr. Unscd. Notes | | 5.13 | | 1/15/2028 | | 495,000 | b | 457,129 | |
T-Mobile USA, Inc., Gtd. Notes | | 4.75 | | 2/1/2028 | | 450,000 | | 438,447 | |
T-Mobile USA, Inc., Gtd. Notes | | 4.95 | | 3/15/2028 | | 58,000 | | 56,968 | |
| | 1,251,386 | |
U.S. Government Agencies Collateralized Mortgage Obligations - 1.4% | | | | | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 3541, Cl. KB | | 4.00 | | 6/15/2024 | | 2,063 | f | 2,057 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4091 Cl. KC | | 3.00 | | 8/15/2040 | | 39,066 | f | 37,714 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 4838, Cl. VA | | 4.00 | | 3/15/2036 | | 267,719 | f | 261,889 | |
Federal Home Loan Mortgage Corp., REMIC, Ser. 5050, Cl. XA | | 1.00 | | 7/15/2039 | | 366,283 | f | 325,233 | |
Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Ser. 2020-3, Cl. TTU | | 2.50 | | 5/25/2060 | | 86,475 | f | 77,012 | |
Federal Home Loan Mortgage Corp. Seasoned Loans Structured Transaction Trust, Ser. 2018-2, Cl. A1 | | 3.50 | | 11/25/2028 | | 52,414 | f | 48,764 | |
Federal National Mortgage Association, REMIC, Ser. 2013-16, Cl. GP | | 3.00 | | 3/25/2033 | | 35,337 | f | 34,071 | |
Government National Mortgage Association, Ser. 2022-173, Cl. PQ | | 5.00 | | 6/20/2051 | | 617,658 | | 601,230 | |
| | 1,387,970 | |
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%) | | 7.33 | | 1/25/2051 | | 41,945 | b,e,f | 41,069 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | a | Value ($) | |
Bonds and Notes - 98.8% (continued) | | | | | |
U.S. Government Agencies Mortgage-Backed - .1% | | | | | |
Federal Home Loan Mortgage Corp.: | | | |
2.50%, 7/1/2029 | | | 66,270 | f | 62,893 | |
Government National Mortgage Association II: | | | |
7.00%, 12/20/2030-4/20/2031 | | | 1,459 | | 1,507 | |
7.50%, 11/20/2029-12/20/2030 | | | 1,316 | | 1,343 | |
| | 65,743 | |
U.S. Treasury Securities - 3.1% | | | | | |
U.S. Treasury Floating Rate Notes, (3 Month USBMMY +0.04%) | | 5.36 | | 7/31/2024 | | 3,000,000 | e | 3,000,090 | |
Utilities - 6.0% | | | | | |
Constellation Energy Generation LLC, Sr. Unscd. Notes | | 5.60 | | 3/1/2028 | | 375,000 | | 375,421 | |
Dominion Energy, Inc., Sr. Unscd. Notes | | 3.90 | | 10/1/2025 | | 575,000 | | 560,993 | |
DTE Energy Co., Sr. Unscd. Notes | | 4.22 | | 11/1/2024 | | 207,000 | | 205,201 | |
Duke Energy Corp., Sr. Unscd. Notes | | 4.85 | | 1/5/2027 | | 450,000 | | 443,197 | |
Electricite de France SA, Sr. Unscd. Notes | | 5.70 | | 5/23/2028 | | 457,000 | b | 458,980 | |
Enel Finance America LLC, Gtd. Notes | | 7.10 | | 10/14/2027 | | 200,000 | b | 208,603 | |
Evergy Missouri West, Inc., First Mortgage Bonds | | 5.15 | | 12/15/2027 | | 855,000 | b | 843,289 | |
FirstEnergy Corp., Sr. Unscd. Notes, Ser. B | | 4.15 | | 7/15/2027 | | 400,000 | c | 377,162 | |
NextEra Energy Capital Holdings, Inc., Gtd. Notes | | 4.26 | | 9/1/2024 | | 82,000 | | 81,547 | |
NextEra Energy Capital Holdings, Inc., Gtd. Notes | | 6.05 | | 3/1/2025 | | 62,000 | | 62,134 | |
NiSource, Inc., Sr. Unscd. Notes | | 5.25 | | 3/30/2028 | | 230,000 | | 227,550 | |
NRG Energy, Inc., Sr. Scd. Notes | | 4.45 | | 6/15/2029 | | 550,000 | b | 510,677 | |
System Energy Resources, Inc., First Mortgage Bonds | | 6.00 | | 4/15/2028 | | 500,000 | | 503,044 | |
The AES Corp., Sr. Unscd. Notes | | 5.45 | | 6/1/2028 | | 500,000 | | 492,490 | |
Vistra Operations Co. LLC, Gtd. Notes | | 5.00 | | 7/31/2027 | | 500,000 | b | 476,299 | |
| | 5,826,587 | |
Total Bonds and Notes
(cost $97,910,080) | | 95,315,097 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 3.4% | | | | | |
Registered Investment Companies - 3.4% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $3,342,607) | | 5.41 | | | | 3,342,607 | g | 3,342,607 | |
| | | | | | | | | | |
| |
| | | | | | | | | |
Investment of Cash Collateral for Securities Loaned - 4.8% | | | | | |
Registered Investment Companies - 4.8% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $4,611,729) | | 5.41 | | | | 4,611,729 | g | 4,611,729 | |
Total Investments (cost $105,864,416) | | 107.0% | 103,269,433 | |
Liabilities, Less Cash and Receivables | | (7.0%) | (6,791,512) | |
Net Assets | | 100.0% | 96,477,921 | |
REMIC—Real Estate Mortgage Investment Conduit
SOFR—Secured Overnight Financing Rate
TSFR—Term Secured Overnight Financing Rate Reference Rates
USBMMY—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, 2024, these securities were valued at $52,045,511 or 53.95% of net assets.
c Security, or portion thereof, on loan. At April 30, 2024, the value of the fund’s securities on loan was $4,435,762 and the value of the collateral was $4,611,729, consisting of cash collateral. In addition, the value of collateral may include pending sales that are also on loan.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
| | | | | | | |
Futures | | | |
Description | Number of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | | |
U.S. Treasury 2 Year Notes | 81 | 6/28/2024 | 16,592,960 | 16,415,156 | (177,804) | |
U.S. Treasury 5 Year Notes | 147 | 6/28/2024 | 15,695,121 | 15,397,102 | (298,019) | |
Futures Short | | |
Canadian 10 Year Bond | 3 | 6/19/2024 | 260,506a | 254,945 | 5,561 | |
Euro-Bobl | 2 | 6/6/2024 | 251,345a | 248,508 | 2,837 | |
Euro-Schatz | 4 | 6/6/2024 | 450,953a | 448,694 | 2,259 | |
U.S. Treasury 10 Year Notes | 11 | 6/18/2024 | 1,212,778 | 1,181,813 | 30,965 | |
U.S. Treasury Ultra Long Bond | 4 | 6/18/2024 | 502,500 | 478,250 | 24,250 | |
Ultra 10 Year U.S. Treasury Notes | 3 | 6/18/2024 | 341,713 | 330,656 | 11,057 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
Futures (continued) | | | |
Description | Number of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Gross Unrealized Appreciation | | 76,929 | |
Gross Unrealized Depreciation | | (475,823) | |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs & Co. LLC |
United States Dollar | 1,624,230 | Euro | 1,492,000 | 5/14/2024 | 31,087 |
United States Dollar | 878,302 | Canadian Dollar | 1,185,000 | 5/14/2024 | 17,322 |
Morgan Stanley & Co. LLC |
Euro | 846,000 | United States Dollar | 911,812 | 5/14/2024 | (8,462) |
Gross Unrealized Appreciation | | | 48,409 |
Gross Unrealized Depreciation | | | (8,462) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Short Term Income Fund
April 30, 2024 (Unaudited)
The following is a summary of the inputs used as of April 30, 2024 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Asset-Backed Securities | - | 21,184,177 | | - | 21,184,177 | |
Collateralized Loan Obligations | - | 6,272,719 | | - | 6,272,719 | |
Commercial Mortgage-Backed | - | 6,530,565 | | - | 6,530,565 | |
Corporate Bonds | - | 56,326,323 | | - | 56,326,323 | |
Foreign Governmental | - | 506,441 | | - | 506,441 | |
Investment Companies | 7,954,336 | - | | - | 7,954,336 | |
U.S. Government Agencies Collateralized Mortgage Obligations | - | 1,387,970 | | - | 1,387,970 | |
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 41,069 | | - | 41,069 | |
U.S. Government Agencies Mortgage-Backed | - | 65,743 | | - | 65,743 | |
U.S. Treasury Securities | - | 3,000,090 | | - | 3,000,090 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 48,409 | | - | 48,409 | |
Futures†† | 76,929 | - | | - | 76,929 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (8,462) | | - | (8,462) | |
Futures†† | (475,823) | - | | - | (475,823) | |
† 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 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, 2024 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments.
The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At April 30, 2024, accumulated net unrealized depreciation on investments was $2,953,930, consisting of $350,354 gross unrealized appreciation and $3,304,284 gross unrealized depreciation.
At April 30, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
