STATEMENT OF INVESTMENTS
BNY Mellon Dynamic Total Return Fund
July 31, 2024 (Unaudited)
| | | | | | | | | | |
| |
Description | | | | | Shares | | Value ($) | |
Exchange-Traded Funds - 4.6% | | | | | |
Registered Investment Companies - 4.6% | | | | | |
VanEck J. P. Morgan EM Local Currency Bond ETF
(cost $4,329,994) | | | | | | 178,449 | | 4,320,250 | |
Description /Number of Contracts | Exercise
Price | | Expiration
Date | | Notional
Amount ($) | | Value ($) | |
Options Purchased - .5% | | | | | |
Call Options - .5% | | | | | |
Standard & Poor's 500 E-mini September Future, Contracts 37 | | 5,650 | | 9/20/2024 | | 10,452,500 | | 123,025 | |
Standard & Poor's 500 E-mini September Future, Contracts 37 | | 5,500 | | 9/20/2024 | | 10,175,000 | | 274,263 | |
Standard & Poor's 500 E-mini 3rd Week December Future, Contracts 38 | | 5,900 | | 10/18/2024 | | 11,210,000 | | 59,375 | |
Total Options Purchased
(cost $341,883) | | 456,663 | |
Description | Annualized
Yield (%) | | Maturity
Date | | Principal
Amount ($) | | Value ($) | |
Short-Term Investments - 75.8% | | | | | |
U.S. Government Securities | | | | | |
U.S. Treasury Bills | | 5.26 | | 10/3/2024 | | 69,804,300 | a,b | 69,172,175 | |
U.S. Treasury Bills | | 5.18 | | 8/8/2024 | | 1,500,000 | a,b | 1,498,467 | |
Total Short-Term Investments
(cost $70,670,962) | | 70,670,642 | |
Description | 1-Day
Yield (%) | | | | Shares | | Value ($) | |
Investment Companies - 8.2% | | | | | |
Registered Investment Companies - 8.2% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $7,603,628) | | 5.44 | | | | 7,603,628 | c | 7,603,628 | |
Total Investments (cost $82,946,467) | | 89.1% | 83,051,183 | |
Cash and Receivables (Net) | | 10.9% | 10,181,601 | |
Net Assets | | 100.0% | 93,232,784 | |
ETF—Exchange-Traded Fund
a These securities are wholly-owned by the Subsidiary referenced in Note 1.
b Security is a discount security. Income is recognized through the accretion of discount.
c Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
Futures | | | |
Description | Number
of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized
Appreciation (Depreciation) ($) | |
Futures Long | | |
Australian 10 Year Bond | 181 | 9/16/2024 | 13,476,431a | 13,645,315 | 168,884 | |
Brent Crude | 6 | 11/29/2024 | 477,902b | 475,740 | (2,162) | |
CAC 40 10 Euro | 13 | 8/16/2024 | 1,064,341a | 1,061,666 | (2,675) | |
Coffee "C" | 5 | 12/18/2024 | 457,986b | 427,781 | (30,205) | |
Crude Oil | 12 | 11/20/2024 | 944,562b | 905,040 | (39,522) | |
Crude Soybean Oil | 19 | 12/13/2024 | 510,666b | 482,448 | (28,218) | |
DAX | 10 | 9/20/2024 | 4,977,007a | 5,034,086 | 57,079 | |
DJ Euro Stoxx 50 | 11 | 9/20/2024 | 586,653a | 583,095 | (3,558) | |
Gold 100 oz | 9 | 12/27/2024 | 2,179,575b | 2,225,700 | 46,125 | |
Hang Seng | 41 | 8/29/2024 | 4,625,658a | 4,552,174 | (73,484) | |
Hard Red Winter Wheat | 8 | 12/13/2024 | 242,559b | 226,300 | (16,259) | |
IBEX 35 Index | 59 | 8/16/2024 | 7,168,236a | 7,084,718 | (83,518) | |
Japanese 10 Year Mini Bond | 237 | 9/11/2024 | 22,653,687a | 22,587,023 | (66,664) | |
LME Primary Aluminum | 23 | 9/18/2024 | 1,489,439b | 1,299,322 | (190,117) | |
LME Primary Nickel | 3 | 9/18/2024 | 313,396b | 296,661 | (16,735) | |
LME Refined Pig Lead | 7 | 9/18/2024 | 378,309b | 363,032 | (15,277) | |
LME Refined Pig Lead | 4 | 12/18/2024 | 223,459b | 210,472 | (12,987) | |
LME Zinc | 2 | 12/18/2024 | 148,306b | 134,796 | (13,510) | |
LME Zinc | 4 | 9/18/2024 | 271,387b | 265,078 | (6,309) | |
Low Sulphur Gas oil | 3 | 11/12/2024 | 240,832b | 222,450 | (18,382) | |
NY Harbor ULSD | 1 | 11/29/2024 | 104,981b | 103,097 | (1,884) | |
Platinum | 11 | 10/29/2024 | 557,511b | 542,520 | (14,991) | |
Soybean Meal | 122 | 12/13/2024 | 3,804,455b | 3,851,540 | 47,085 | |
Standard & Poor's 500 E-mini | 53 | 9/20/2024 | 14,709,343 | 14,728,700 | 19,357 | |
Sugar No.11 | 65 | 9/30/2024 | 1,459,952b | 1,378,832 | (81,120) | |
Topix | 48 | 9/12/2024 | 9,198,693a | 8,962,051 | (236,642) | |
U.S. Treasury 10 Year Notes | 252 | 9/19/2024 | 27,650,852 | 28,176,750 | 525,898 | |
Futures Short | | |
ASX SPI 200 | 56 | 9/19/2024 | 7,285,896a | 7,380,087 | (94,191) | |
Canadian 10 Year Bond | 132 | 9/18/2024 | 11,485,455a | 11,753,942 | (268,487) | |
Chicago SRW Wheat | 65 | 12/13/2024 | 1,910,358b | 1,794,000 | 116,358 | |
Copper | 1 | 9/26/2024 | 102,035b | 104,413 | (2,378) | |
Copper | 11 | 12/27/2024 | 1,127,884b | 1,159,125 | (31,241) | |
Corn No.2 Yellow | 41 | 12/13/2024 | 843,703b | 819,488 | 24,215 | |
Cotton No.2 | 111 | 12/6/2024 | 4,017,280b | 3,828,945 | 188,335 | |
Crude Oil | 1 | 12/19/2024 | 73,947b | 74,900 | (953) | |
Crude Soybean Oil | 2 | 1/14/2025 | 51,408b | 50,760 | 648 | |
Euro-Bond | 153 | 9/6/2024 | 21,475,807a | 22,143,582 | (667,775) | |
FTSE 100 | 103 | 9/20/2024 | 10,835,741a | 11,066,304 | (230,563) | |
FTSE/MIB Index | 17 | 9/20/2024 | 3,162,980a | 3,123,563 | 39,417 | |
Gasoline | 3 | 11/29/2024 | 260,150b | 270,005 | (9,855) | |
Lean Hog | 8 | 12/13/2024 | 215,975b | 219,920 | (3,945) | |
Live Cattle | 1 | 10/31/2024 | 72,886b | 74,670 | (1,784) | |
| | | | | | | | | | | | |
Futures (continued) | | | |
Description | Number
of
Contracts | Expiration | Notional
Value ($) | Market
Value ($) | Unrealized
Appreciation (Depreciation) ($) | |
Futures Short (continued) | | |
Live Cattle | 1 | 12/31/2024 | 74,876b | 75,150 | (274) | |
LME Primary Aluminum | 24 | 9/18/2024 | 1,464,446b | 1,355,814 | 108,632 | |
LME Primary Aluminum | 26 | 12/18/2024 | 1,611,275b | 1,502,345 | 108,930 | |
LME Primary Nickel | 2 | 12/18/2024 | 208,997b | 201,011 | 7,986 | |
LME Primary Nickel | 3 | 9/18/2024 | 313,047b | 296,661 | 16,386 | |
LME Refined Pig Lead | 8 | 9/18/2024 | 429,754b | 414,894 | 14,860 | |
LME Zinc | 5 | 9/18/2024 | 351,518b | 331,348 | 20,170 | |
Long Gilt | 7 | 9/26/2024 | 889,459a | 892,866 | (3,407) | |
Low Sulphur Gas oil | 1 | 1/10/2025 | 73,248b | 73,500 | (252) | |
Natural Gas | 27 | 11/26/2024 | 867,206b | 861,840 | 5,366 | |
Natural Gas | 1 | 12/27/2024 | 34,617b | 34,840 | (223) | |
NYMEX Palladium | 3 | 12/27/2024 | 278,451b | 279,360 | (909) | |
S&P/Toronto Stock Exchange 60 Index | 60 | 9/19/2024 | 11,722,694a | 12,040,416 | (317,722) | |
Silver | 1 | 12/27/2024 | 143,096b | 146,835 | (3,739) | |
Soybean | 1 | 1/14/2025 | 54,484b | 51,975 | 2,509 | |
Soybean | 92 | 11/14/2024 | 4,810,277b | 4,703,500 | 106,777 | |
Soybean Meal | 2 | 1/14/2025 | 64,404b | 63,320 | 1,084 | |
Sugar No.11 | 3 | 2/28/2025 | 63,618b | 64,882 | (1,264) | |
Gross Unrealized Appreciation | | 1,626,101 | |
Gross Unrealized Depreciation | | (2,593,181) | |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
b These securities are wholly-owned by the Subsidiary referenced in Note 1.
See notes to consolidated financial statements.
| | | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. |
Swiss Franc | 1,133,000 | United States Dollar | 1,282,021 | 9/18/2024 | 16,466 |
United States Dollar | 147,203 | Malaysian Ringgit | 692,000 | 9/18/2024 | (3,921) |
United States Dollar | 14,591,354 | Malaysian Ringgit | 68,146,000 | 9/18/2024 | (290,870) |
Australian Dollar | 720,000 | United States Dollar | 483,674 | 9/18/2024 | (12,241) |
Swedish Krona | 6,981,000 | United States Dollar | 668,631 | 9/18/2024 | (15,111) |
Hungarian Forint | 401,586,000 | United States Dollar | 1,113,078 | 9/18/2024 | (11,749) |
Citigroup Global Markets, Inc. |
Canadian Dollar | 3,434,000 | United States Dollar | 2,516,592 | 9/18/2024 | (25,775) |
United States Dollar | 1,316,798 | Canadian Dollar | 1,803,000 | 9/18/2024 | 9,010 |
Polish Zloty | 583,000 | United States Dollar | 147,099 | 9/18/2024 | (100) |
Swiss Franc | 1,599,000 | United States Dollar | 1,809,745 | 9/18/2024 | 22,806 |
United States Dollar | 1,221,618 | Swiss Franc | 1,092,000 | 9/18/2024 | (29,880) |
Australian Dollar | 1,121,000 | United States Dollar | 743,527 | 9/18/2024 | (9,533) |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Citigroup Global Markets, Inc. (continued) |
United States Dollar | 432,760 | Australian Dollar | 644,000 | 9/18/2024 | 11,090 |
Indonesian Rupiah | 84,370,597,000 | United States Dollar | 5,154,292 | 9/18/2024 | 26,268 |
United States Dollar | 248,017 | Czech Koruna | 5,743,000 | 9/18/2024 | 3,124 |
United States Dollar | 174,087 | Hungarian Forint | 64,337,000 | 9/18/2024 | (2,354) |
South Korean Won | 301,746,000 | United States Dollar | 219,797 | 9/19/2024 | 34 |
United States Dollar | 267,032 | South Korean Won | 365,833,000 | 9/19/2024 | 512 |
United States Dollar | 82,658 | Chilean Peso | 75,234,000 | 9/23/2024 | 2,812 |
Swedish Krona | 11,995,000 | United States Dollar | 1,142,863 | 9/18/2024 | (19,963) |
United States Dollar | 392,666 | Swedish Krona | 4,159,000 | 9/18/2024 | 3,325 |
Indonesian Rupiah | 9,501,351,000 | United States Dollar | 578,821 | 9/18/2024 | 4,585 |
United States Dollar | 504,362 | Indonesian Rupiah | 8,224,864,000 | 9/18/2024 | (665) |
Brazilian Real | 3,557,000 | United States Dollar | 644,993 | 9/18/2024 | (19,348) |
Japanese Yen | 115,154,000 | United States Dollar | 742,600 | 9/18/2024 | 31,722 |
United States Dollar | 752,759 | Japanese Yen | 118,696,000 | 9/18/2024 | (45,381) |
Swedish Krona | 1,726,000 | United States Dollar | 166,390 | 9/18/2024 | (4,812) |
Norwegian Krone | 2,905,000 | United States Dollar | 272,437 | 9/18/2024 | (5,871) |
United States Dollar | 782,134 | Norwegian Krone | 8,443,000 | 9/18/2024 | 7,396 |
Mexican Peso | 5,070,000 | United States Dollar | 283,838 | 9/18/2024 | (13,784) |
Indian Rupee | 9,620,000 | United States Dollar | 114,960 | 9/18/2024 | (241) |
United States Dollar | 876,373 | Indian Rupee | 73,351,000 | 9/18/2024 | 1,655 |
New Zealand Dollar | 1,479,000 | United States Dollar | 911,914 | 9/18/2024 | (31,636) |
United States Dollar | 2,532,332 | New Zealand Dollar | 4,153,000 | 9/18/2024 | 60,530 |
Indian Rupee | 4,754,000 | United States Dollar | 56,823 | 9/18/2024 | (131) |
United States Dollar | 1,686,763 | Philippine Peso | 98,892,000 | 9/18/2024 | (5,761) |
British Pound | 2,733,000 | United States Dollar | 3,484,820 | 9/18/2024 | 30,130 |
United States Dollar | 2,222,951 | British Pound | 1,752,000 | 9/18/2024 | (30,321) |
Euro | 7,948,000 | United States Dollar | 8,601,554 | 9/18/2024 | 20,026 |
United States Dollar | 11,041,824 | Euro | 10,243,000 | 9/18/2024 | (69,253) |
United States Dollar | 1,493,197 | Euro | 1,368,000 | 9/18/2024 | 9,261 |
Goldman Sachs & Co. LLC |
United States Dollar | 1,097,014 | Canadian Dollar | 1,500,000 | 9/18/2024 | 9,004 |
United States Dollar | 1,063,453 | Philippine Peso | 62,329,000 | 9/18/2024 | (3,300) |
Malaysian Ringgit | 720,000 | United States Dollar | 154,536 | 9/18/2024 | 2,703 |
Israeli Shekel | 755,000 | United States Dollar | 203,337 | 9/18/2024 | (2,968) |
United States Dollar | 1,382,511 | Japanese Yen | 212,631,000 | 9/18/2024 | (47,269) |
Philippine Peso | 31,020,000 | United States Dollar | 530,710 | 9/18/2024 | 193 |
Brazilian Real | 2,125,000 | United States Dollar | 390,087 | 9/18/2024 | (16,318) |
Mexican Peso | 4,492,000 | United States Dollar | 235,650 | 9/18/2024 | 3,616 |
Polish Zloty | 860,000 | United States Dollar | 217,782 | 9/18/2024 | (939) |
Brazilian Real | 19,577,000 | United States Dollar | 3,666,586 | 9/18/2024 | (223,162) |
United States Dollar | 397,577 | Mexican Peso | 7,258,000 | 9/18/2024 | 10,980 |
HSBC Securities (USA), Inc. |
Japanese Yen | 12,455,000 | United States Dollar | 80,506 | 9/18/2024 | 3,244 |
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
Mexican Peso | 1,982,000 | United States Dollar | 108,574 | 9/18/2024 | (3,003) |
Swedish Krona | 12,842,000 | United States Dollar | 1,211,874 | 9/18/2024 | (9,682) |
United States Dollar | 239,260 | Swedish Krona | 2,543,000 | 9/18/2024 | 1,199 |
United States Dollar | 250,843 | Indonesian Rupiah | 4,092,222,000 | 9/18/2024 | (429) |
Norwegian Krone | 13,065,000 | United States Dollar | 1,225,462 | 9/18/2024 | (26,605) |
United States Dollar | 1,472,322 | Norwegian Krone | 15,658,000 | 9/18/2024 | 35,529 |
United States Dollar | 1,465,268 | New Zealand Dollar | 2,404,000 | 9/18/2024 | 34,444 |
British Pound | 7,190,651 | United States Dollar | 9,200,060 | 9/18/2024 | 47,938 |
Canadian Dollar | 1,254,000 | United States Dollar | 914,534 | 9/18/2024 | (4,958) |
United States Dollar | 2,799,214 | Canadian Dollar | 3,842,000 | 9/18/2024 | 12,459 |
Hungarian Forint | 35,032,000 | United States Dollar | 96,336 | 9/18/2024 | (263) |
United States Dollar | 112,987 | Hungarian Forint | 40,737,000 | 9/18/2024 | 1,268 |
United States Dollar | 5,164,880 | Czech Koruna | 117,192,000 | 9/18/2024 | 167,579 |
Indian Rupee | 46,362,000 | United States Dollar | 554,085 | 9/18/2024 | (1,214) |
United States Dollar | 429,291 | Indian Rupee | 35,921,000 | 9/18/2024 | 930 |
Chilean Peso | 313,641,000 | United States Dollar | 331,635 | 9/23/2024 | 1,235 |
Euro | 3,164,000 | United States Dollar | 3,424,264 | 9/18/2024 | 7,880 |
United States Dollar | 2,985,372 | Euro | 2,738,000 | 9/18/2024 | 15,331 |
United States Dollar | 10,812,042 | Israeli Shekel | 39,894,000 | 9/18/2024 | 224,573 |
South Korean Won | 518,685,000 | United States Dollar | 375,396 | 9/19/2024 | 2,481 |
United States Dollar | 1,799,901 | Philippine Peso | 105,298,000 | 9/18/2024 | (2,261) |
Polish Zloty | 346,000 | United States Dollar | 87,504 | 9/18/2024 | (263) |
Swiss Franc | 922,000 | United States Dollar | 1,046,109 | 9/18/2024 | 10,559 |
Israeli Shekel | 3,590,000 | United States Dollar | 976,149 | 9/18/2024 | (23,399) |
South African Rand | 1,652,000 | United States Dollar | 91,337 | 9/18/2024 | (978) |
Australian Dollar | 1,147,000 | United States Dollar | 761,676 | 9/18/2024 | (10,658) |
United States Dollar | 6,783,678 | Australian Dollar | 10,165,874 | 9/18/2024 | 127,394 |
Morgan Stanley & Co. LLC |
United States Dollar | 592,797 | Canadian Dollar | 812,013 | 9/18/2024 | 3,812 |
Indian Rupee | 1,065,624,000 | United States Dollar | 12,735,958 | 9/18/2024 | (28,287) |
New Zealand Dollar | 3,386,817 | United States Dollar | 2,092,186 | 9/18/2024 | (76,404) |
Hungarian Forint | 29,179,000 | United States Dollar | 78,963 | 9/18/2024 | 1,059 |
Philippine Peso | 153,165,000 | United States Dollar | 2,601,308 | 9/18/2024 | 20,092 |
Swedish Krona | 9,025,085 | United States Dollar | 872,274 | 9/18/2024 | (27,399) |
New Zealand Dollar | 122,000 | United States Dollar | 75,256 | 9/18/2024 | (2,643) |
United States Dollar | 83,240 | Australian Dollar | 125,000 | 9/18/2024 | 1,394 |
United States Dollar | 634,233 | Norwegian Krone | 6,986,000 | 9/18/2024 | (6,809) |
Japanese Yen | 261,869,015 | United States Dollar | 1,705,915 | 9/18/2024 | 54,953 |
Polish Zloty | 639,000 | United States Dollar | 158,747 | 9/18/2024 | 2,372 |
Malaysian Ringgit | 608,000 | United States Dollar | 129,103 | 9/18/2024 | 3,676 |
United States Dollar | 11,893,991 | Swiss Franc | 10,508,941 | 9/18/2024 | (149,895) |
United States Dollar | 1,049,581 | Polish Zloty | 4,151,000 | 9/18/2024 | 2,935 |
Mexican Peso | 185,602,000 | United States Dollar | 10,372,700 | 9/18/2024 | (486,607) |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
Forward Foreign Currency Exchange Contracts (continued) | |
Counterparty/ Purchased
Currency | Purchased Currency
Amounts | Currency
Sold | Sold
Currency
Amounts | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Morgan Stanley & Co. LLC (continued) |
British Pound | 418,000 | United States Dollar | 539,309 | 9/18/2024 | (1,713) |
South African Rand | 56,113,000 | United States Dollar | 2,941,659 | 9/18/2024 | 127,555 |
United States Dollar | 1,323,464 | Chilean Peso | 1,199,614,000 | 9/23/2024 | 50,304 |
Norwegian Krone | 7,387,218 | United States Dollar | 699,418 | 9/18/2024 | (21,560) |
Canadian Dollar | 150,000 | United States Dollar | 109,294 | 9/18/2024 | (493) |
Swedish Krona | 792,000 | United States Dollar | 76,072 | 9/18/2024 | (1,930) |
United States Dollar | 82,579 | Swedish Krona | 872,000 | 9/18/2024 | 948 |
United States Dollar | 273,412 | Czech Koruna | 6,397,000 | 9/18/2024 | 631 |
United States Dollar | 11,954,812 | South Korean Won | 16,307,320,000 | 9/19/2024 | 74,466 |
United States Dollar | 103,177 | Swiss Franc | 91,000 | 9/18/2024 | (1,115) |
Euro | 38,635 | United States Dollar | 42,207 | 9/18/2024 | (298) |
Brazilian Real | 565,000 | United States Dollar | 105,901 | 9/18/2024 | (6,522) |
Japanese Yen | 279,396,000 | United States Dollar | 1,831,817 | 9/18/2024 | 46,907 |
United States Dollar | 95,617 | Japanese Yen | 15,209,000 | 9/18/2024 | (6,652) |
RBC Capital Markets, LLC |
Australian Dollar | 134,000 | United States Dollar | 90,348 | 9/18/2024 | (2,609) |
British Pound | 82,000 | United States Dollar | 106,485 | 9/18/2024 | (1,024) |
Malaysian Ringgit | 813,000 | United States Dollar | 173,104 | 9/18/2024 | 4,445 |
Euro | 2,238,000 | United States Dollar | 2,441,894 | 9/18/2024 | (14,227) |
United States Dollar | 121,523 | Euro | 113,000 | 9/18/2024 | (1,054) |
Swiss Franc | 105,000 | United States Dollar | 119,573 | 9/18/2024 | 763 |
Canadian Dollar | 186,000 | United States Dollar | 136,009 | 9/18/2024 | (1,096) |
New Zealand Dollar | 144,000 | United States Dollar | 87,409 | 9/18/2024 | (1,702) |
United States Dollar | 2,620,676 | New Zealand Dollar | 4,341,000 | 9/18/2024 | 36,979 |
United States Dollar | 99,748 | South African Rand | 1,832,000 | 9/18/2024 | (457) |
Swedish Krona | 911,000 | United States Dollar | 86,557 | 9/18/2024 | (1,275) |
Standard Chartered Securities |
Swiss Franc | 89,000 | United States Dollar | 100,598 | 9/18/2024 | 1,401 |
United States Dollar | 108,905 | Swiss Franc | 97,000 | 9/18/2024 | (2,263) |
United States Dollar | 119,916 | Canadian Dollar | 166,000 | 9/18/2024 | (490) |
United States Dollar | 537,206 | Japanese Yen | 82,489,000 | 9/18/2024 | (17,469) |
United States Dollar | 86,535 | New Zealand Dollar | 142,000 | 9/18/2024 | 2,019 |
Euro | 93,000 | United States Dollar | 100,618 | 9/18/2024 | 264 |
United States Dollar | 106,123 | Euro | 98,000 | 9/18/2024 | (182) |
United States Dollar | 77,115 | Australian Dollar | 118,000 | 9/18/2024 | (148) |
United States Dollar | 101,173 | British Pound | 80,000 | 9/18/2024 | (1,716) |
UBS Securities LLC |
British Pound | 1,083,000 | United States Dollar | 1,402,864 | 9/18/2024 | (10,002) |
Gross Unrealized Appreciation | | | 1,418,266 |
Gross Unrealized Depreciation | | | (1,900,411) |
See notes to consolidated financial statements.
| | | | | | |
OTC Total Return Swaps | |
Received
Reference
Entity | Paid
Reference
Entity | Counterparties | Maturity
Date | Notional
Amount ($) | Unrealized Appreciation (Depreciation) ($) |
USD - BAEISH2O INDEX at Maturity | USD Fixed at 0.00% | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1/29/25 | 24,296,569 | (66,640) |
USD - ABGS1204 at Maturity | USD Fixed at 0.21% | Goldman Sachs & Co. LLC | 3/27/25 | 24,021,698 | 223,106 |
Gross Unrealized Appreciation | 223,106 |
Gross Unrealized Depreciation | (66,640) |
USD—United States Dollar
BAEISH2O INDEX—Bank of America Shore 2D Index Series O
ABGS1204—Golman Sachs Commodity Strategy 1204
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Dynamic Total Return Fund
July 31, 2024 (Unaudited)
The following is a summary of the inputs used as of July 31, 2024 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Exchange-Traded Funds | 4,320,250 | - | | - | 4,320,250 | |
Investment Companies | 7,603,628 | - | | - | 7,603,628 | |
U.S. Treasury Securities | - | 70,670,642 | | - | 70,670,642 | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 1,418,266 | | - | 1,418,266 | |
Futures†† | 1,626,101 | - | | - | 1,626,101 | |
Options Purchased | 456,663 | - | | - | 456,663 | |
Swap Agreements†† | - | 223,106 | | - | 223,106 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | (1,900,411) | | - | (1,900,411) | |
Futures†† | (2,593,181) | - | | - | (2,593,181) | |
Swap Agreements†† | - | (66,640) | | - | (66,640) | |
† See Consolidated 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, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap
transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
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 July 31, 2024 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of interest rates, foreign currencies, or as a substitute for an investment. The fund is subject to market riskinterest rate risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date. Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.
Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.
Total Return Swaps: Total return swaps involve commitments to pay interest in exchange for a market-linked return based on a notional principal amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the specific reference entity, the fund either receives a payment from or makes a payment to the counterparty, respectively. Total return swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk is mitigated by Master Agreements between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The underlying reference asset could be a security, an index, or basket of investments.
At July 31, 2024, accumulated net unrealized depreciation on investments was $1,411,149, consisting of $3,192,619 gross unrealized appreciation and $4,603,768 gross unrealized depreciation.
At July 31, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.
