STATEMENT OF INVESTMENTS
BNY Mellon Balanced Opportunity Fund
February 29, 2020 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% | |||||||||
Aerospace & Defense - .2% | |||||||||
The Boeing Company, Sr. Unscd. Notes | 3.20 | 3/1/2029 | 280,000 | 299,622 | |||||
United Technologies, Sr. Unscd. Notes | 4.13 | 11/16/2028 | 200,000 | 234,249 | |||||
533,871 | |||||||||
Asset-Backed Certificates - .6% | |||||||||
Cascade Funding Mortgage Trust, Ser. 2019-HB1, Cl. A | 2.39 | 12/25/2029 | 229,826 | a | 231,705 | ||||
CNH Equipment Trust, Ser. 2018-B, Cl. A4 | 3.37 | 5/15/2024 | 495,000 | 520,328 | |||||
Dell Equipment Finance Trust, Ser. 2017-2, Cl. A3 | 2.19 | 10/24/2022 | 35,859 | a | 35,881 | ||||
HPEFS Equipment Trust, Ser. 2019-1A, Cl. A2 | 2.19 | 9/20/2029 | 175,000 | a | 175,804 | ||||
HPEFS Equipment Trust, Ser. 2019-1A, Cl. A3 | 2.21 | 9/20/2029 | 100,000 | a | 101,366 | ||||
SCF Equipment Leasing, Ser. 2019-1A, Cl. A2 | 3.23 | 10/20/2024 | 100,000 | a | 101,354 | ||||
Verizon Owner Trust, Ser. 2017-3A, Cl. A1A | 2.06 | 4/20/2022 | 237,186 | a | 237,885 | ||||
Verizon Owner Trust, Ser. 2018-1A, Cl. A1A | 2.82 | 9/20/2022 | 360,000 | a | 362,874 | ||||
Verizon Owner Trust, Ser. 2019-C, Cl. A1A | 1.94 | 4/22/2024 | 200,000 | 203,241 | |||||
1,970,438 | |||||||||
Asset-Backed Ctfs./Auto Receivables - .8% | |||||||||
Ally Auto Receivables Trust, Ser. 2019-3, CI. A3 | 1.93 | 5/15/2024 | 330,000 | 334,287 | |||||
AmeriCredit Automobile Receivables Trust, Ser. 2017-4, Cl. A3 | 2.04 | 7/18/2022 | 232,008 | 232,354 | |||||
CarMax Auto Owner Trust, Ser. 2017-4, Cl. A4 | 2.33 | 5/15/2023 | 170,000 | 172,751 | |||||
Enterprise Fleet Financing, Ser. 2017-3, Cl. A2 | 2.13 | 5/22/2023 | 52,132 | a | 52,222 | ||||
Hyundai Auto Lease Securitization Trust, Ser. 2017-C, Cl. A3 | 2.12 | 2/16/2021 | 11,412 | a | 11,415 | ||||
Hyundai Auto Lease Securitization Trust, Ser. 2017-C, Cl. A4 | 2.21 | 9/15/2021 | 295,000 | a | 295,199 | ||||
Nissan Auto Receivables Owner Trust, Ser. 2019-A, Cl. A3 | 2.90 | 10/16/2023 | 250,000 | 255,971 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Asset-Backed Ctfs./Auto Receivables - .8% (continued) | |||||||||
OSCAR US Funding Trust IX, Ser. 2018-2A, Cl. A4 | 3.63 | 9/10/2025 | 320,000 | a | 334,992 | ||||
OSCAR US Funding Trust VII, Ser. 2017-2A, Cl. A3 | 2.45 | 12/10/2021 | 24,663 | a | 24,714 | ||||
OSCAR US Funding Trust VII, Ser. 2017-2A, Cl. A4 | 2.76 | 12/10/2024 | 50,000 | a | 50,938 | ||||
OSCAR US Funding Trust VIII, Ser. 2018-1A, Cl. A4 | 3.50 | 5/12/2025 | 380,000 | a | 395,129 | ||||
Oscar US Funding XI, Ser. 2019-2A, Cl. A4 | 2.68 | 9/10/2026 | 370,000 | a | 381,529 | ||||
2,541,501 | |||||||||
Asset-Backed Ctfs./Credit Cards - .1% | |||||||||
Delamare Cards MTN Issuer, Ser. 2018-1A, Cl. A1, 1 Month LIBOR +.70% | 2.36 | 11/19/2025 | 425,000 | a,b | 425,746 | ||||
Automobiles & Components - .1% | |||||||||
Volkswagen Group of America Finance, Gtd. Notes | 2.70 | 9/26/2022 | 200,000 | a | 204,628 | ||||
Banks - 2.5% | |||||||||
Banco Santander, Sr. Unscd. Notes | 3.13 | 2/23/2023 | 200,000 | 207,810 | |||||
Bank of America, Sr. Unscd. Notes | 3.00 | 12/20/2023 | 229,000 | 237,419 | |||||
Bank of America, Sr. Unscd. Notes | 3.42 | 12/20/2028 | 105,000 | 113,533 | |||||
Bank of America, Sr. Unscd. Notes | 3.50 | 5/17/2022 | 60,000 | 61,342 | |||||
Bank of America, Sr. Unscd. Notes | 3.97 | 2/7/2030 | 250,000 | 283,599 | |||||
Bank of America, Sr. Unscd. Notes | 4.00 | 4/1/2024 | 68,000 | 74,054 | |||||
Barclays, Sr. Unscd. Notes | 3.93 | 5/7/2025 | 205,000 | 218,144 | |||||
Citigroup, Sr. Unscd. Notes | 3.88 | 10/25/2023 | 325,000 | 350,460 | |||||
Citigroup, Sr. Unscd. Notes | 4.50 | 1/14/2022 | 180,000 | 189,288 | |||||
Citigroup, Sr. Unscd. Notes | 4.65 | 7/30/2045 | 260,000 | 340,463 | |||||
Citizens Bank, Sr. Unscd. Notes | 3.75 | 2/18/2026 | 250,000 | 276,672 | |||||
First Republic Bank, Sr. Unscd. Notes | 1.91 | 2/12/2024 | 250,000 | 253,573 | |||||
ING Groep, Sr. Unscd. Notes | 3.55 | 4/9/2024 | 200,000 | 214,311 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.96 | 1/29/2027 | 255,000 | 283,445 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.45 | 12/5/2029 | 185,000 | 215,849 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.50 | 1/24/2022 | 235,000 | 247,705 | |||||
Keybank, Sr. Unscd. Bonds | 2.50 | 11/22/2021 | 250,000 | 255,127 | |||||
Kreditanstalt Fuer Wiederaufbau, Govt Gtd. Notes | 2.38 | 12/29/2022 | 565,000 | 587,444 | |||||
Morgan Stanley, Sr. Unscd. Notes | 3.70 | 10/23/2024 | 85,000 | 92,488 | |||||
Morgan Stanley, Sr. Unscd. Notes | 3.75 | 2/25/2023 | 310,000 | 330,078 | |||||
Morgan Stanley, Sr. Unscd. Notes | 4.00 | 7/23/2025 | 75,000 | 83,329 | |||||
Morgan Stanley, Sr. Unscd. Notes, 3 Month LIBOR +1.18% | 3.00 | 1/20/2022 | 110,000 | b | 110,776 |
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Banks - 2.5% (continued) | |||||||||
PNC Bank, Sr. Unscd. Notes | 2.23 | 7/22/2022 | 290,000 | 292,987 | |||||
Royal Bank of Canada, Sr. Unscd. Notes | 2.55 | 7/16/2024 | 230,000 | 239,303 | |||||
Royal Bank of Scotland Group, Sr. Unscd. Notes | 4.27 | 3/22/2025 | 250,000 | 269,667 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.81 | 4/23/2029 | 190,000 | 209,423 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes, 3 Month LIBOR +1.60% | 3.21 | 11/29/2023 | 395,000 | b | 406,952 | ||||
The PNC Financial Services Group, Sr. Unscd. Notes | 3.30 | 3/8/2022 | 210,000 | 217,117 | |||||
Truist Financial, Sr. Unscd. Notes | 2.50 | 8/1/2024 | 265,000 | 273,847 | |||||
U.S. Bancorp, Sr. Unscd. Notes | 2.40 | 7/30/2024 | 205,000 | 213,247 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 3.07 | 1/24/2023 | 175,000 | 179,876 | |||||
Wells Fargo & Co., Sub. Notes | 4.30 | 7/22/2027 | 320,000 | 360,350 | |||||
7,689,678 | |||||||||
Beverage Products - .1% | |||||||||
Anheuser-Busch Inbev Worldwide, Gtd. Notes | 4.00 | 4/13/2028 | 110,000 | 124,107 | |||||
Anheuser-Busch Inbev Worldwide, Gtd. Notes | 4.90 | 2/1/2046 | 180,000 | 222,746 | |||||
Keurig Dr Pepper, Gtd. Notes | 4.06 | 5/25/2023 | 35,000 | 37,590 | |||||
384,443 | |||||||||
Building Materials - .1% | |||||||||
Carrier Global, Gtd. Notes | 2.49 | 2/15/2027 | 235,000 | a | 239,466 | ||||
Chemicals - .1% | |||||||||
The Dow Chemical Company, Sr. Unscd. Notes | 4.63 | 10/1/2044 | 145,000 | 167,606 | |||||
Collateralized Municipal-Backed Securities - .7% | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K089, Cl. A2 | 3.56 | 1/25/2029 | 560,000 | c | 644,328 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K090, Cl. A2 | 3.42 | 2/25/2029 | 545,000 | c | 621,230 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K095, Cl. A2 | 2.79 | 6/25/2029 | 775,000 | c | 849,590 | ||||
2,115,148 | |||||||||
Commercial & Professional Services - .2% | |||||||||
ERAC USA Finance, Gtd. Notes | 7.00 | 10/15/2037 | 280,000 | a | 422,359 | ||||
PayPal Holdings, Sr. Unscd. Notes | 2.65 | 10/1/2026 | 165,000 | 172,475 | |||||
594,834 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Commercial Mortgage Pass-Through Ctfs. - 1.8% | |||||||||
CAMB Commercial Mortgage Trust, Ser. 2019-LIFE, Cl. A, 1 Month LIBOR +1.07% | 2.73 | 12/15/2037 | 225,000 | a,b | 225,885 | ||||
Citigroup Commercial Mortgage Trust, Ser. 2020-GC46, Cl. A2 | 2.71 | 1/15/2053 | 140,000 | 146,437 | |||||
Commercial Mortgage Trust, Ser. 2013-300P, Cl. A1 | 4.35 | 8/10/2030 | 250,000 | a | 270,264 | ||||
Commercial Mortgage Trust, Ser. 2015-LC19, Cl. A4 | 3.18 | 2/10/2048 | 555,000 | 594,775 | |||||
Commercial Mortgage Trust, Ser. 2017-CD3, Cl. A4 | 3.63 | 2/10/2050 | 465,000 | 519,199 | |||||
DBCG Mortgage Trust, Ser. 2017-BBG, Cl. A, 1 Month LIBOR +.70% | 2.36 | 6/15/2034 | 335,000 | a,b | 334,723 | ||||
GS Mortgage Securities Trust, Ser. 2013-GC13, CI. A5 | 4.05 | 7/10/2046 | 220,000 | 238,236 | |||||
Lanark Master Issuer, Ser. 2019-1A, Cl. 1A1, 3 Month LIBOR +.77% | 2.45 | 12/22/2069 | 213,200 | a,b | 213,490 | ||||
Permanent Master Issuer, Ser. 2019-1A, Cl. 1A1, 3 Month LIBOR +.55% | 2.38 | 7/15/2058 | 250,000 | a,b | 250,460 | ||||
Seasoned Credit Risk Transfer Trust, Ser. 2019-1, Cl. M55D | 4.00 | 7/25/2058 | 410,617 | 444,779 | |||||
Seasoned Credit Risk Transfer Trust, Ser. 2019-1, Cl. MA | 3.50 | 7/25/2058 | 202,146 | 215,499 | |||||
Seasoned Loans Structured Transaction, Ser. 2019-1, Cl. A2 | 3.50 | 5/25/2029 | 165,000 | 182,815 | |||||
Seasoned Loans Structured Transaction Trust, Ser. 2019-2, Cl. A2C | 2.75 | 9/25/2029 | 265,000 | 283,212 | |||||
Seasoned Loans Structured Transaction Trust, Ser. 2019-3, Cl. A2C | 2.75 | 11/25/2029 | 255,000 | 267,595 | |||||
Silverstone Master Issuer, Ser. 2019-1A, Cl. 1A, 3 Month LIBOR +.57% | 2.39 | 1/21/2070 | 215,000 | a,b | 215,388 | ||||
Starwood Waypoint Homes Trust, Ser. 2017-1, Cl. A, 1 Month LIBOR +.95% | 2.61 | 1/17/2035 | 347,907 | a,b | 348,364 | ||||
Tricon American Homes Trust, Ser. 2017-SFR2, Cl. A | 2.93 | 1/17/2036 | 244,307 | a | 251,965 | ||||
VNDO Mortgage Trust, Ser. 2013-PENN, Cl. A | 3.81 | 12/13/2029 | 250,000 | a | 252,593 | ||||
Wells Fargo Commercial Mortgage Trust, Ser. 2014-LC18, Cl. A4 | 3.15 | 12/15/2047 | 200,000 | 212,687 | |||||
5,468,366 | |||||||||
Consumer Staples - .0% | |||||||||
The Estee Lauder Companies, Sr. Unscd. Notes | 2.38 | 12/1/2029 | 115,000 | 119,222 | |||||
Diversified Financials - .2% | |||||||||
American Express, Sr. Unscd. Notes | 2.50 | 7/30/2024 | 130,000 | 134,727 |
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Diversified Financials - .2% (continued) | |||||||||
American Express, Sr. Unscd. Notes | 3.40 | 2/22/2024 | 180,000 | 192,611 | |||||
Capital One Bank USA, Sub. Notes | 3.38 | 2/15/2023 | 300,000 | 314,010 | |||||
Visa, Sr. Unscd. Notes | 3.15 | 12/14/2025 | 100,000 | 108,695 | |||||
750,043 | |||||||||
Energy - 1.1% | |||||||||
Cameron LNG, Sr. Scd. Notes | 3.30 | 1/15/2035 | 260,000 | a | 280,144 | ||||
Cheniere Corpus Christi Holdings, Sr. Scd. Notes | 3.70 | 11/15/2029 | 285,000 | a | 285,851 | ||||
Concho Resources, Gtd. Notes | 4.88 | 10/1/2047 | 60,000 | 66,914 | |||||
ConocoPhillips, Gtd. Notes | 4.95 | 3/15/2026 | 280,000 | 327,542 | |||||
Diamondback Energy, Gtd. Notes | 2.88 | 12/1/2024 | 190,000 | 191,072 | |||||
Enbridge, Gtd. Notes | 3.13 | 11/15/2029 | 175,000 | 181,561 | |||||
Energy Transfer Operating, Gtd. Notes | 4.90 | 2/1/2024 | 225,000 | 245,293 | |||||
Energy Transfer Operating, Gtd. Notes | 5.95 | 10/1/2043 | 90,000 | 100,140 | |||||
Enterprise Products Operating, Gtd. Notes | 2.80 | 1/31/2030 | 185,000 | 189,342 | |||||
Equinor, Gtd. Notes | 3.25 | 11/18/2049 | 130,000 | 137,494 | |||||
Kinder Morgan Energy Partners, Gtd. Notes | 5.00 | 3/1/2043 | 140,000 | 153,103 | |||||
Kinder Morgan Energy Partners, Gtd. Notes | 6.55 | 9/15/2040 | 210,000 | 272,227 | |||||
MPLX, Sr. Unscd. Notes | 4.13 | 3/1/2027 | 110,000 | 118,034 | |||||
MPLX, Sr. Unscd. Notes | 5.20 | 3/1/2047 | 210,000 | 221,700 | |||||
Spectra Energy Partners, Gtd. Notes | 4.75 | 3/15/2024 | 75,000 | 82,556 | |||||
Total Capital International, Gtd. Notes | 3.46 | 2/19/2029 | 260,000 | 287,880 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.50 | 3/1/2028 | 65,000 | 65,390 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.65 | 7/1/2026 | 175,000 | 183,830 | |||||
3,390,073 | |||||||||
Environmental Control - .1% | |||||||||
Republic Services, Sr. Unscd. Notes | 2.50 | 8/15/2024 | 100,000 | 103,925 | |||||
Waste Management, Gtd. Notes | 3.15 | 11/15/2027 | 100,000 | 107,834 | |||||
211,759 | |||||||||
Food Products - .1% | |||||||||
Conagra Brands, Sr. Unscd. Notes | 3.80 | 10/22/2021 | 200,000 | 207,956 | |||||
Kraft Heinz Foods, Gtd. Notes | 3.95 | 7/15/2025 | 145,000 | 150,954 | |||||
358,910 | |||||||||
Foreign Governmental - .1% | |||||||||
Colombia, Sr. Unscd. Notes | 4.50 | 3/15/2029 | 200,000 | 226,269 | |||||
Italy, Sr. Unscd. Notes | 2.88 | 10/17/2029 | 225,000 | 225,597 | |||||
451,866 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Health Care - .9% | |||||||||
Abbott Laboratories, Sr. Unscd. Notes | 4.90 | 11/30/2046 | 170,000 | 236,253 | |||||
AbbVie, Sr. Unscd. Notes | 3.20 | 11/21/2029 | 220,000 | a | 232,516 | ||||
AmerisourceBergen, Sr. Unscd. Notes | 3.25 | 3/1/2025 | 130,000 | 138,629 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 3.20 | 6/15/2026 | 135,000 | a | 147,471 | ||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 3.40 | 7/26/2029 | 80,000 | a | 89,688 | ||||
Cigna, Gtd. Notes | 3.05 | 11/30/2022 | 140,000 | a | 144,534 | ||||
CVS Health, Sr. Unscd. Notes | 4.30 | 3/25/2028 | 225,000 | 251,964 | |||||
DH Europe Finance II, Gtd. Notes | 2.60 | 11/15/2029 | 180,000 | 187,167 | |||||
Gilead Sciences, Sr. Unscd. Notes | 3.65 | 3/1/2026 | 75,000 | 82,614 | |||||
Gilead Sciences, Sr. Unscd. Notes | 4.75 | 3/1/2046 | 110,000 | 141,385 | |||||
Medtronic, Gtd. Notes | 4.63 | 3/15/2045 | 50,000 | 67,845 | |||||
Merck & Co., Sr. Unscd. Notes | 2.90 | 3/7/2024 | 115,000 | 121,680 | |||||
Merck & Co., Sr. Unscd. Notes | 3.40 | 3/7/2029 | 60,000 | 67,257 | |||||
Mylan, Gtd. Notes | 3.15 | 6/15/2021 | 195,000 | 198,128 | |||||
Pfizer, Sr. Unscd. Notes | 2.95 | 3/15/2024 | 40,000 | 42,469 | |||||
Pfizer, Sr. Unscd. Notes | 3.20 | 9/15/2023 | 45,000 | 47,901 | |||||
Pfizer, Sr. Unscd. Notes | 3.45 | 3/15/2029 | 55,000 | d | 61,751 | ||||
Shire Acquisitions Investments Ireland, Gtd. Notes | 2.88 | 9/23/2023 | 195,000 | 202,549 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 2.88 | 8/15/2029 | 150,000 | 159,817 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 4.75 | 7/15/2045 | 155,000 | 199,360 | |||||
2,820,978 | |||||||||
Industrial - .0% | |||||||||
John Deere Capital, Sr. Unscd. Notes | 1.95 | 6/13/2022 | 140,000 | 142,324 | |||||
Insurance - .8% | |||||||||
American International Group, Sr. Unscd. Notes | 4.88 | 6/1/2022 | 460,000 | 490,302 | |||||
Jackson National Life Global Funding, Scd. Notes | 3.30 | 2/1/2022 | 145,000 | a | 149,932 | ||||
MassMutual Global Funding II, Scd. Notes | 2.95 | 1/11/2025 | 200,000 | a | 211,788 | ||||
Metropolitan Life Global Funding I, Sr. Scd. Notes | 2.40 | 1/8/2021 | 405,000 | a | 408,446 | ||||
Metropolitan Life Global Funding I, Sr. Scd. Notes | 3.00 | 9/19/2027 | 545,000 | a | 586,650 | ||||
New York Life Global Funding, Scd. Notes | 2.88 | 4/10/2024 | 250,000 | a | 263,821 | ||||
Pricoa Global Funding I, Scd. Notes | 2.40 | 9/23/2024 | 155,000 | a | 160,191 |
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Insurance - .8% (continued) | |||||||||
Principal Financial Group, Gtd. Notes | 4.30 | 11/15/2046 | 125,000 | 153,406 | |||||
2,424,536 | |||||||||
Internet Software & Services - .1% | |||||||||
Amazon.com, Sr. Unscd. Notes | 4.05 | 8/22/2047 | 175,000 | 224,370 | |||||
Media - .5% | |||||||||
Charter Communications Operating, Sr. Scd. Notes | 4.91 | 7/23/2025 | 185,000 | 207,408 | |||||
Comcast, Gtd. Notes | 2.65 | 2/1/2030 | 335,000 | 351,697 | |||||
Comcast, Gtd. Notes | 6.50 | 11/15/2035 | 210,000 | 317,261 | |||||
Sky, Gtd. Notes | 3.75 | 9/16/2024 | 265,000 | a | 290,377 | ||||
The Walt Disney Company, Gtd. Notes | 4.00 | 10/1/2023 | 55,000 | 59,828 | |||||
The Walt Disney Company, Gtd. Notes | 6.65 | 11/15/2037 | 245,000 | 378,015 | |||||
1,604,586 | |||||||||
Metals & Mining - .1% | |||||||||
Southern Copper, Sr. Unscd. Notes | 5.88 | 4/23/2045 | 70,000 | 89,521 | |||||
Steel Dynamics, Sr. Unscd. Notes | 3.45 | 4/15/2030 | 75,000 | 78,861 | |||||
168,382 | |||||||||
Municipal Securities - .8% | |||||||||
Arizona Department of Transportation State Highway Fund, Revenue Bonds, Refunding | 2.46 | 7/1/2030 | 45,000 | 48,083 | |||||
California, GO, Ser. A | 2.38 | 10/1/2026 | 230,000 | 243,809 | |||||
Honolulu City & County Wastewater System, Revenue Bonds, Refunding, Ser. B | 2.50 | 7/1/2027 | 25,000 | 26,657 | |||||
Los Angeles Department of Water & Power System, Water and Power System Revenue Bonds (Build America Bonds) | 5.72 | 7/1/2039 | 120,000 | 177,096 | |||||
Massachusetts School Building Authority, Revenue Bonds, Refunding, Ser. B | 2.44 | 10/15/2027 | 115,000 | 121,633 | |||||
Massachusetts Water Resources Authority, Revenue Bonds, Refunding (Green Bond) Ser. F | 2.16 | 8/1/2026 | 255,000 | 263,627 | |||||
Metropolitan Transportation Authority, Revenue Bonds (Build America Bonds) | 6.55 | 11/15/2031 | 225,000 | 306,308 | |||||
Metropolitan Transportation Authority, Revenue Bonds (Build America Bonds) Ser. A2 | 6.09 | 11/15/2040 | 10,000 | 14,654 | |||||
Miami-Dade County Water & Sewer System, Revenue Bonds, Refunding, Ser. C | 2.55 | 10/1/2028 | 250,000 | 268,192 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Municipal Securities - ..8% (continued) | |||||||||
New Jersey Economic Development Authority, Revenue Bonds, Refunding, Ser. YY | 4.45 | 6/15/2020 | 425,000 | 428,243 | |||||
New York City, GO (Build America Bonds) Ser. D | 5.99 | 12/1/2036 | 135,000 | 189,621 | |||||
Reedy Creek Improvement District, GO, Refunding, Ser. A | 2.40 | 6/1/2032 | 65,000 | 68,629 | |||||
Reedy Creek Improvement District, GO, Refunding, Ser. A | 2.45 | 6/1/2033 | 65,000 | 68,861 | |||||
Reedy Creek Improvement District, GO, Refunding, Ser. A | 2.50 | 6/1/2034 | 50,000 | 53,199 | |||||
Wisconsin, Revenue Bonds, Refunding, Ser. A | 2.20 | 5/1/2027 | 135,000 | 140,351 | |||||
2,418,963 | |||||||||
Real Estate - .7% | |||||||||
Alexandria Real Estate Equities, Gtd. Notes | 3.80 | 4/15/2026 | 225,000 | 249,355 | |||||
Alexandria Real Estate Equities, Gtd. Notes | 4.50 | 7/30/2029 | 165,000 | 195,301 | |||||
American Tower, Sr. Unscd. Notes | 2.40 | 3/15/2025 | 140,000 | 143,871 | |||||
AvalonBay Communities, Sr. Unscd. Notes | 3.30 | 6/1/2029 | 215,000 | 238,699 | |||||
CyrusOne, Gtd. Notes | 2.90 | 11/15/2024 | 35,000 | 35,535 | |||||
CyrusOne, Gtd. Notes | 3.45 | 11/15/2029 | 85,000 | 86,816 | |||||
Healthcare Trust of America Holdings, Gtd. Notes | 3.10 | 2/15/2030 | 235,000 | d | 245,885 | ||||
Prologis, Sr. Unscd. Notes | 2.13 | 4/15/2027 | 40,000 | 40,519 | |||||
Prologis, Sr. Unscd. Notes | 2.25 | 4/15/2030 | 120,000 | 120,578 | |||||
SBA Tower Trust, Asset Backed Notes | 2.84 | 1/15/2025 | 210,000 | a | 220,285 | ||||
Simon Property Group, Sr. Unscd. Notes | 3.50 | 9/1/2025 | 300,000 | 325,963 | |||||
Ventas Realty, Gtd. Notes | 3.10 | 1/15/2023 | 210,000 | 219,856 | |||||
2,122,663 | |||||||||
Retailing - .2% | |||||||||
Dollar Tree, Sr. Unscd. Notes | 4.20 | 5/15/2028 | 110,000 | 123,123 | |||||
Target, Sr. Unscd. Notes | 3.38 | 4/15/2029 | 250,000 | 278,283 | |||||
Walmart, Sr. Unscd. Notes | 3.05 | 7/8/2026 | 270,000 | 292,916 | |||||
694,322 | |||||||||
Semiconductors & Semiconductor Equipment - .1% | |||||||||
Broadcom Cayman Finance, Gtd. Notes | 3.00 | 1/15/2022 | 245,000 | 249,888 | |||||
Supranational Bank - .5% | |||||||||
Asian Development Bank, Sr. Unscd. Notes | 2.25 | 1/20/2021 | 315,000 | 317,992 |
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Supranational Bank - .5% (continued) | |||||||||
Corp. Andina de Fomento, Sr. Unscd. Notes | 3.25 | 2/11/2022 | 175,000 | 180,681 | |||||
European Investment Bank, Sr. Unscd. Notes | 2.50 | 3/15/2023 | 310,000 | 324,046 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 2.50 | 1/18/2023 | 300,000 | 312,961 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 2.00 | 1/26/2022 | 320,000 | 326,063 | |||||
1,461,743 | |||||||||
Technology Hardware & Equipment - .3% | |||||||||
Apple, Sr. Unscd. Notes | 2.05 | 9/11/2026 | 425,000 | 436,171 | |||||
Dell International, Sr. Scd. Notes | 6.02 | 6/15/2026 | 130,000 | a | 152,353 | ||||
Hewlett Packard Enterprise, Sr. Unscd. Notes | 3.50 | 10/5/2021 | 35,000 | 36,053 | |||||
Hewlett Packard Enterprise, Sr. Unscd. Notes | 4.40 | 10/15/2022 | 145,000 | 154,619 | |||||
779,196 | |||||||||
Telecommunication Services - .6% | |||||||||
AT&T, Sr. Unscd. Notes | 4.25 | 3/1/2027 | 375,000 | 422,724 | |||||
AT&T, Sr. Unscd. Notes | 5.35 | 9/1/2040 | 85,000 | 106,929 | |||||
AT&T, Sr. Unscd. Notes | 5.35 | 12/15/2043 | 225,000 | 279,545 | |||||
Cisco Systems, Sr. Unscd. Notes | 2.50 | 9/20/2026 | 95,000 | 100,406 | |||||
Corning, Sr. Unscd. Notes | 4.38 | 11/15/2057 | 110,000 | 120,203 | |||||
Sprint Spectrum, Sr. Scd. Notes | 4.74 | 3/20/2025 | 200,000 | a | 214,573 | ||||
Telefonica Emisiones, Gtd. Notes | 5.21 | 3/8/2047 | 150,000 | 184,486 | |||||
Verizon Communications, Sr. Unscd. Notes | 3.38 | 2/15/2025 | 47,000 | 50,859 | |||||
Verizon Communications, Sr. Unscd. Notes | 3.88 | 2/8/2029 | 140,000 | 160,286 | |||||
Verizon Communications, Sr. Unscd. Notes | 4.02 | 12/3/2029 | 305,000 | 355,252 | |||||
1,995,263 | |||||||||
Transportation - .3% | |||||||||
CSX, Sr. Unscd. Notes | 2.60 | 11/1/2026 | 380,000 | 401,219 | |||||
CSX, Sr. Unscd. Notes | 3.35 | 11/1/2025 | 205,000 | 222,454 | |||||
FedEx, Gtd. Notes | 4.40 | 1/15/2047 | 205,000 | 217,478 | |||||
Union Pacific, Sr. Unscd. Notes | 3.15 | 3/1/2024 | 145,000 | 153,765 | |||||
994,916 | |||||||||
U.S. Government Agencies - .3% | |||||||||
Federal Home Loan Bank, Bonds | 1.88 | 11/29/2021 | 445,000 | 451,809 | |||||
Federal National Mortgage Association, Notes | 2.38 | 1/19/2023 | 575,000 | c | 598,735 | ||||
1,050,544 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
U.S. Government Agencies Mortgage-Backed - 11.3% | |||||||||
Federal Home Loan Mortgage Corp.: | |||||||||
2.50%, 11/1/2027 | 189,676 | c | 195,891 | ||||||
3.00%, 6/1/2031-12/1/2046 | 1,501,508 | c | 1,569,305 | ||||||
3.50%, 12/1/2041-8/1/2049 | 2,194,988 | c | 2,320,615 | ||||||
5.50%, 4/1/2022-1/1/2036 | 66,060 | c | 74,883 | ||||||
Federal National Mortgage Association: | |||||||||
2.50% | 1,150,000 | c,e | 1,180,547 | ||||||
2.50%, 9/1/2028-12/1/2031 | 885,839 | c | 913,663 | ||||||
3.00% | 2,545,000 | c,e | 2,617,120 | ||||||
3.00%, 6/1/2028-1/1/2059 | 5,154,319 | c | 5,363,293 | ||||||
3.50%, 8/1/2034-8/1/2056 | 5,822,275 | c | 6,163,568 | ||||||
3.50% | 1,605,000 | c,e | 1,670,503 | ||||||
4.00%, 7/1/2042-6/1/2047 | 1,993,033 | c | 2,159,884 | ||||||
4.00% | 3,165,000 | c,e | 3,334,241 | ||||||
4.50%, 2/1/2039-9/1/2049 | 2,398,795 | c | 2,618,105 | ||||||
4.50% | 900,000 | c,e | 960,609 | ||||||
5.00%, 8/1/2020-12/1/2048 | 641,682 | c | 716,126 | ||||||
5.50%, 9/1/2034-5/1/2039 | 54,851 | c | 62,367 | ||||||
8.00%, 3/1/2030 | 99 | c | 100 | ||||||
Government National Mortgage Association I: | |||||||||
5.50%, 4/15/2033 | 14,720 | 16,710 | |||||||
Government National Mortgage Association II: | |||||||||
3.00%, 1/20/2045-11/20/2047 | 1,271,613 | 1,325,074 | |||||||
4.00%, 10/20/2047-1/20/2048 | 880,451 | 928,291 | |||||||
4.50%, 7/20/2048 | 536,735 | 571,264 | |||||||
34,762,159 | |||||||||
U.S. Treasury Securities - 3.2% | |||||||||
U.S. Treasury Bonds | 2.88 | 5/15/2049 | 5,565,000 | 7,132,113 | |||||
U.S. Treasury Inflation Indexed Bonds, US CPI Urban Consumers Not Seasonally Adjusted | 0.88 | 2/15/2047 | 175,656 | f | 209,927 | ||||
U.S. Treasury Inflation Indexed Notes, US CPI Urban Consumers Not Seasonally Adjusted | 0.38 | 1/15/2027 | 1,329,812 | f | 1,391,343 | ||||
U.S. Treasury Inflation Indexed Notes, US CPI Urban Consumers Not Seasonally Adjusted | 0.50 | 4/15/2024 | 952,700 | d,f | 984,737 | ||||
9,718,120 | |||||||||
Utilities - 1.0% | |||||||||
Berkshire Hathaway Energy, Sr. Unscd. Notes | 3.25 | 4/15/2028 | 95,000 | d | 103,072 | ||||
Dominion Energy, Sr. Unscd. Notes | 3.90 | 10/1/2025 | 165,000 | 181,986 | |||||
Duke Energy, Sr. Unscd. Notes | 3.15 | 8/15/2027 | 275,000 | d | 295,534 | ||||
Duke Energy Progress, First Mortgage Bonds | 3.45 | 3/15/2029 | 245,000 | 273,808 |
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 30.6% (continued) | |||||||||
Utilities - 1.0% (continued) | |||||||||
Eversource Energy, Sr. Unscd. Notes, Ser. O | 4.25 | 4/1/2029 | 215,000 | 249,377 | |||||
Exelon Generation, Sr. Unscd. Notes | 6.25 | 10/1/2039 | 440,000 | 550,817 | |||||
FirstEnergy, Sr. Unscd. Notes | 2.05 | 3/1/2025 | 45,000 | 45,680 | |||||
FirstEnergy, Sr. Unscd. Notes | 2.65 | 3/1/2030 | 205,000 | 209,770 | |||||
Kentucky Utilities, First Mortgage Bonds | 4.38 | 10/1/2045 | 105,000 | 129,949 | |||||
Louisville Gas & Electric, First Mortgage Bonds | 4.38 | 10/1/2045 | 125,000 | 154,257 | |||||
NiSource, Sr. Unscd. Notes | 5.65 | 2/1/2045 | 230,000 | 314,459 | |||||
Sempra Energy, Sr. Unscd. Notes | 3.40 | 2/1/2028 | 100,000 | 107,950 | |||||
Sierra Pacific Power, Mortgage Notes, Ser. P | 6.75 | 7/1/2037 | 25,000 | 36,942 | |||||
Southern California Edison, First Mortgage Bonds, Ser. A | 4.20 | 3/1/2029 | 235,000 | 271,895 | |||||
Xcel Energy, Sr. Unscd. Notes | 2.60 | 12/1/2029 | 260,000 | 265,171 | |||||
3,190,667 | |||||||||
Total Bonds and Notes | 94,441,218 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 62.8% | |||||||||
Advertising - .2% | |||||||||
Omnicom Group | 6,937 | 480,595 | |||||||
Aerospace & Defense - 2.8% | |||||||||
L3Harris Technologies | 15,465 | g | 3,057,894 | ||||||
Northrop Grumman | 2,673 | 878,989 | |||||||
United Technologies | 36,761 | 4,800,619 | |||||||
8,737,502 | |||||||||
Agriculture - .7% | |||||||||
Archer-Daniels-Midland | 27,099 | 1,020,277 | |||||||
Philip Morris International | 12,029 | 984,814 | |||||||
2,005,091 | |||||||||
Airlines - .8% | |||||||||
Delta Air Lines | 50,278 | 2,319,324 | |||||||
Automobiles & Components - .4% | |||||||||
General Motors | 39,514 | 1,205,177 | |||||||
Banks - 4.1% | |||||||||
Bank of America | 118,374 | 3,373,659 | |||||||
Citigroup | 44,075 | 2,796,999 | |||||||
JPMorgan Chase & Co. | 55,929 | 6,493,916 | |||||||
12,664,574 | |||||||||
Beverage Products - .4% | |||||||||
CVS Health | 7,364 | 435,802 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 62.8% (continued) | |||||||||
Beverage Products - .4% (continued) | |||||||||
PepsiCo | 5,249 | 693,025 | |||||||
1,128,827 | |||||||||
Chemicals - 3.3% | |||||||||
CF Industries Holdings | 124,227 | 4,579,007 | |||||||
Martin Marietta Materials | 7,231 | 1,645,269 | |||||||
The Mosaic Company | 53,232 | 906,541 | |||||||
Vulcan Materials | 26,015 | 3,128,564 | |||||||
10,259,381 | |||||||||
Commercial & Professional Services - .3% | |||||||||
Square, Cl. A | 11,393 | d,g | 949,379 | ||||||
Consumer Discretionary - 1.4% | |||||||||
Chipotle Mexican Grill | 1,438 | g | 1,112,408 | ||||||
Las Vegas Sands | 17,479 | 1,019,200 | |||||||
Lennar, Cl. A | 35,520 | 2,143,277 | |||||||
4,274,885 | |||||||||
Consumer Durables & Apparel - .2% | |||||||||
PVH | 10,243 | 759,109 | |||||||
Consumer Staples - .4% | |||||||||
Colgate-Palmolive | 17,035 | 1,151,055 | |||||||
Diversified Financials - 4.2% | |||||||||
Capital One Financial | 12,468 | 1,100,426 | |||||||
E*TRADE Financial | 20,724 | 948,745 | |||||||
LPL Financial Holdings | 11,191 | 889,461 | |||||||
Morgan Stanley | 75,769 | 3,411,878 | |||||||
State Street | 10,017 | 682,258 | |||||||
The Charles Schwab | 19,032 | 775,554 | |||||||
The Goldman Sachs Group | 11,295 | 2,267,697 | |||||||
Voya Financial | 55,063 | d | 2,898,516 | ||||||
12,974,535 | |||||||||
Electronic Components - .3% | |||||||||
Quanta Services | 25,521 | 973,116 | |||||||
Energy - 3.7% | |||||||||
Apergy | 24,571 | g | 457,021 | ||||||
Concho Resources | 5,989 | 407,372 | |||||||
Hess | 74,100 | 4,162,938 | |||||||
Marathon Petroleum | 76,050 | 3,606,291 | |||||||
Phillips 66 | 17,477 | 1,308,328 | |||||||
Pioneer Natural Resources | 7,935 | 974,259 | |||||||
Schlumberger | 20,081 | 543,994 | |||||||
11,460,203 | |||||||||
Food & Staples Retailing - .3% | |||||||||
Walmart | 8,591 | 925,079 | |||||||
Food Products - .9% | |||||||||
Conagra Brands | 76,961 | 2,054,089 |
Description | Shares | Value ($) | |||||||
Common Stocks - 62.8% (continued) | |||||||||
Food Products - .9% (continued) | |||||||||
Kellogg | 9,297 | d | 562,190 | ||||||
2,616,279 | |||||||||
Food Service - .3% | |||||||||
McDonald's | 5,167 | 1,003,276 | |||||||
Health Care - 8.2% | |||||||||
AbbVie | 29,684 | 2,544,216 | |||||||
Alcon | 26,009 | d,g | 1,594,352 | ||||||
Anthem | 7,982 | 2,052,092 | |||||||
Becton Dickinson & Co. | 8,437 | 2,006,487 | |||||||
Biogen | 6,670 | g | 2,056,961 | ||||||
Bristol-Myers Squibb | 12,136 | 716,752 | |||||||
Cigna | 2,527 | 462,289 | |||||||
Eli Lilly & Co. | 11,522 | 1,453,270 | |||||||
Gilead Sciences | 6,831 | 473,798 | |||||||
Humana | 2,194 | 701,378 | |||||||
Intuitive Surgical | 1,598 | g | 853,268 | ||||||
Laboratory Corporation of America Holdings | 2,800 | g | 491,932 | ||||||
Medtronic | 50,627 | 5,096,620 | |||||||
Merck & Co. | 27,017 | 2,068,422 | |||||||
Sarepta Therapeutics | 5,775 | d,g | 661,064 | ||||||
Vertex Pharmaceuticals | 5,553 | g | 1,244,039 | ||||||
Zoetis | 6,726 | 896,105 | |||||||
25,373,045 | |||||||||
Industrial - 1.8% | |||||||||
Eaton | 33,634 | 3,051,276 | |||||||
Gardner Denver Holdings | 53,172 | d,g | 1,743,510 | ||||||
Ingersoll-Rand | 6,141 | 792,435 | |||||||
5,587,221 | |||||||||
Information Technology - 5.1% | |||||||||
HubSpot | 3,099 | d,g | 556,116 | ||||||
International Business Machines | 7,302 | 950,355 | |||||||
Microsoft | 40,408 | 6,546,500 | |||||||
Salesforce.com | 6,398 | g | 1,090,219 | ||||||
ServiceNow | 3,783 | g | 1,233,598 | ||||||
Splunk | 16,297 | g | 2,401,037 | ||||||
Visa, Cl. A | 15,583 | d | 2,832,366 | ||||||
15,610,191 | |||||||||
Insurance - 4.4% | |||||||||
American International Group | 57,164 | 2,410,034 | |||||||
Assurant | 11,062 | 1,333,967 | |||||||
Berkshire Hathaway, Cl. B | 34,155 | g | 7,047,543 | ||||||
Chubb | 10,245 | 1,485,832 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 62.8% (continued) | |||||||||
Insurance - 4.4% (continued) | |||||||||
Willis Towers Watson | 7,043 | 1,332,888 | |||||||
13,610,264 | |||||||||
Internet Software & Services - 5.8% | |||||||||
Alphabet, Cl. A | 1,800 | g | 2,410,650 | ||||||
Alphabet, Cl. C | 4,788 | g | 6,412,712 | ||||||
Amazon.com | 1,678 | g | 3,160,932 | ||||||
Pinterest, Cl. A | 35,519 | d,g | 692,620 | ||||||
Proofpoint | 27,233 | g | 2,904,399 | ||||||
Shopify, Cl. A | 3,221 | g | 1,492,322 | ||||||
27,002 | g | 896,466 | |||||||
17,970,101 | |||||||||
Metals & Mining - .8% | |||||||||
Freeport-McMoRan | 106,159 | 1,057,344 | |||||||
Louisiana-Pacific | 20,313 | 577,905 | |||||||
Newmont | 20,463 | 913,264 | |||||||
2,548,513 | |||||||||
Real Estate - .4% | |||||||||
Outfront Media | 28,356 | h | 746,897 | ||||||
Weyerhaeuser | 23,293 | h | 605,152 | ||||||
1,352,049 | |||||||||
Semiconductors & Semiconductor Equipment - 4.1% | |||||||||
Advanced Micro Devices | 62,964 | d,g | 2,863,603 | ||||||
Applied Materials | 20,582 | 1,196,226 | |||||||
Broadcom | 8,647 | 2,357,345 | |||||||
Intel | 49,452 | 2,745,575 | |||||||
Microchip Technology | 7,902 | d | 716,790 | ||||||
Micron Technology | 13,997 | g | 735,682 | ||||||
NVIDIA | 7,640 | 2,063,335 | |||||||
12,678,556 | |||||||||
Technology Hardware & Equipment - 3.2% | |||||||||
Apple | 8,386 | 2,292,397 | |||||||
Cognex | 15,336 | 683,065 | |||||||
Corning | 92,807 | d | 2,214,375 | ||||||
Qualcomm | 24,988 | 1,956,560 | |||||||
Western Digital | 12,036 | 668,720 | |||||||
Zebra Technologies, Cl. A | 9,485 | g | 2,001,050 | ||||||
9,816,167 | |||||||||
Telecommunication Services - .6% | |||||||||
AT&T | 29,717 | 1,046,633 | |||||||
Cisco Systems | 21,297 | 850,389 | |||||||
1,897,022 | |||||||||
Transportation - .8% | |||||||||
Union Pacific | 15,906 | 2,541,938 |
Description | Shares | Value ($) | |||||||
Common Stocks - 62.8% (continued) | |||||||||
Utilities - 2.9% | |||||||||
Clearway Energy, Cl. C | 57,788 | 1,215,860 | |||||||
Edison International | 35,140 | 2,361,057 | |||||||
PPL | 183,092 | 5,494,591 | |||||||
9,071,508 | |||||||||
Total Common Stocks | 193,943,962 | ||||||||
Description | Annualized | Maturity Date | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - .3% | |||||||||
U.S. Government Securities | |||||||||
U.S. Treasury Bills | 1.55 | 4/16/2020 | 950,000 | i,j | 948,398 | ||||
Description | 1-Day | Shares | Value ($) | ||||||
Investment Companies - 9.3% | |||||||||
Registered Investment Companies - 9.3% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.59 | 28,656,811 | k | 28,656,811 | |||||
Investment of Cash Collateral for Securities Loaned - .1% | |||||||||
Registered Investment Companies - .1% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.59 | 470,180 | k | 470,180 | |||||
Total Investments (cost $292,278,798) | 103.1% | 318,460,569 | |||||||
Liabilities, Less Cash and Receivables | (3.1%) | (9,713,504) | |||||||
Net Assets | 100.0% | 308,747,065 |
LIBOR—London Interbank Offered Rate
a 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 February 29, 2020, these securities were valued at $10,286,958 or 3.33% of net assets.
b Variable rate security—rate shown is the interest rate in effect at period end.
c 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.
d Security, or portion thereof, on loan. At February 29, 2020, the value of the fund’s securities on loan was $18,438,412 and the value of the collateral was $18,887,598, consisting of cash collateral of $470,180 and U.S. Government & Agency securities valued at $18,417,418.
e Purchased on a forward commitment basis.
f Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
g Non-income producing security.
h Investment in real estate investment trust within the United States.
i Held by a counterparty for open exchange traded derivative contracts.
j Security is a discount security. Income is recognized through the accretion of discount.
k Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon Balanced Opportunity Fund
February 29, 2020 (Unaudited)
The following is a summary of the inputs used as of February 29, 2020 in valuing the fund’s investments:
Assets ($) | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total |
Investments in Securities: † | ||||
Asset-Backed | − | 4,937,685 | − | 4,937,685 |
Collateralized Municipal-Backed Securities | − | 2,115,148 | − | 2,115,148 |
Commercial Mortgage-Backed | − | 5,468,366 | − | 5,468,366 |
Corporate Bonds | − | 33,518,367 | − | 33,518,367 |
Equity Securities―Common Stocks | 193,943,962 | − | − | 193,943,962 |
Foreign Governmental | − | 451,866 | − | 451,866 |
Investment Companies | 29,126,991 | − | − | 29,126,991 |
Municipal Securities | − | 2,418,963 | − | 2,418,963 |
U.S. Government Agencies | − | 1,050,544 | − | 1,050,544 |
U.S. Government Agencies Mortgage-Backed | − | 34,762,159 | − | 34,762,159 |
U.S. Treasury Treasuries | − | 10,666,518 | − | 10,666,518 |
Other Financial Instruments: | ||||
Futures†† | 60,024 | − | − | 60,024 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (49,534) | − | − | (49,534) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
STATEMENT OF FINANCIAL FUTURES
BNY Mellon Balanced Opportunity Fund
February 29, 2020 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | ||||||
U.S. Treasury 2 Year Notes | 9 | 6/30/2020 | 1,949,836 | 1,964,953 | 15,117 | |
U.S. Treasury 5 Year Notes | 12 | 6/30/2020 | 1,454,719 | 1,473,000 | 18,281 | |
U.S. Treasury Ultra Long Bond | 6 | 6/19/2020 | 1,218,374 | 1,245,000 | 26,626 | |
Futures Short | ||||||
Ultra 10 Year U.S. Treasury Notes | 18 | 6/19/2020 | 2,654,404 | 2,703,938 | (49,534) | |
Gross Unrealized Appreciation | 60,024 | |||||
Gross Unrealized Depreciation | (49,534) |
See notes to financial statements.
NOTES
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 Securities and Exchange Commission (“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:
Investments in debt securities excluding short-term investments (other than U.S. Treasury Bills), are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board Members (“Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid
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prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Board.These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and 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.
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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.
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.
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 February 29, 2020 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
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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.
At February 29, 2020, accumulated net unrealized appreciation on investments was $26,181,771, consisting of $35,845,809 gross unrealized appreciation and $9,664,038 gross unrealized depreciation
At February 29, 2020, 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.