STATEMENT OF INVESTMENTS
BNY Mellon High Yield Fund
September 30, 2021 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% | |||||||||
Advertising - 1.8% | |||||||||
Advantage Sales & Marketing, Sr. Scd. Notes | 6.50 | 11/15/2028 | 5,120,000 | b | 5,343,334 | ||||
Clear Channel International, Sr. Scd. Notes | 6.63 | 8/1/2025 | 2,687,000 | b | 2,807,579 | ||||
Clear Channel Outdoor Holdings, Gtd. Notes | 7.75 | 4/15/2028 | 3,445,000 | b,c | 3,630,479 | ||||
Outfront Media Capital, Gtd. Notes | 4.63 | 3/15/2030 | 1,860,000 | b | 1,866,273 | ||||
Outfront Media Capital, Gtd. Notes | 5.00 | 8/15/2027 | 1,843,000 | b | 1,892,577 | ||||
Outfront Media Capital, Sr. Unscd. Notes | 4.25 | 1/15/2029 | 1,325,000 | b | 1,315,029 | ||||
Terrier Media Buyer, Gtd. Notes | 8.88 | 12/15/2027 | 3,789,000 | b | 4,011,376 | ||||
20,866,647 | |||||||||
Aerospace & Defense - 1.1% | |||||||||
Bombardier, Sr. Unscd. Notes | 6.00 | 2/15/2028 | 1,960,000 | b,c | 1,984,686 | ||||
Bombardier, Sr. Unscd. Notes | 7.13 | 6/15/2026 | 1,598,000 | b,c | 1,679,898 | ||||
TransDigm, Gtd. Notes | 4.63 | 1/15/2029 | 1,763,000 | 1,763,000 | |||||
TransDigm, Gtd. Notes | 4.88 | 5/1/2029 | 1,726,000 | 1,732,162 | |||||
TransDigm, Gtd. Notes | 5.50 | 11/15/2027 | 2,605,000 | 2,680,050 | |||||
TransDigm, Sr. Scd. Notes | 6.25 | 3/15/2026 | 2,920,000 | b | 3,047,750 | ||||
12,887,546 | |||||||||
Airlines - .5% | |||||||||
American Airlines, Sr. Scd. Notes | 11.75 | 7/15/2025 | 1,636,000 | b | 2,026,595 | ||||
American Airlines Group, Gtd. Notes | 3.75 | 3/1/2025 | 1,377,000 | b,c | 1,242,536 | ||||
United Airlines, Sr. Scd. Notes | 4.38 | 4/15/2026 | 1,855,000 | b | 1,906,013 | ||||
5,175,144 | |||||||||
Automobiles & Components - 2.8% | |||||||||
Clarios Global, Sr. Scd. Notes | 6.25 | 5/15/2026 | 1,914,000 | b | 2,013,336 | ||||
Dealer Tire, Sr. Unscd. Notes | 8.00 | 2/1/2028 | 5,915,000 | b | 6,202,187 | ||||
Ford Motor, Sr. Unscd. Notes | 5.29 | 12/8/2046 | 1,690,000 | 1,884,350 | |||||
Ford Motor, Sr. Unscd. Notes | 8.50 | 4/21/2023 | 1,325,000 | 1,459,077 | |||||
Ford Motor, Sr. Unscd. Notes | 9.00 | 4/22/2025 | 1,325,000 | 1,595,009 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 2.90 | 2/16/2028 | 1,500,000 | 1,500,000 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 3.38 | 11/13/2025 | 3,000,000 | 3,086,250 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 3.82 | 11/2/2027 | 200,000 | 207,750 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.00 | 11/13/2030 | 1,180,000 | 1,228,675 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.13 | 8/17/2027 | 975,000 | 1,035,206 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.27 | 1/9/2027 | 2,780,000 | 2,961,895 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 5.11 | 5/3/2029 | 2,440,000 | 2,729,750 | |||||
IHO Verwaltungs GmbH, Sr. Scd. Notes | 6.38 | 5/15/2029 | 2,160,000 | b,d | 2,361,128 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Automobiles & Components - 2.8% (continued) | |||||||||
Real Hero Merger Sub 2, Sr. Unscd. Notes | 6.25 | 2/1/2029 | 2,825,000 | b | 2,934,709 | ||||
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | 4/30/2026 | 1,105,000 | b | 1,175,659 | |||
32,374,981 | |||||||||
Beverage Products - .3% | |||||||||
Primo Water Holdings, Gtd. Notes | 4.38 | 4/30/2029 | 3,665,000 | b | 3,659,887 | ||||
Building Materials - 2.0% | |||||||||
Builders FirstSource, Gtd. Notes | 4.25 | 2/1/2032 | 2,994,000 | b | 3,065,108 | ||||
Cornerstone Building Brands, Gtd. Notes | 6.13 | 1/15/2029 | 2,899,000 | b,c | 3,085,188 | ||||
CP Atlas Buyer, Sr. Unscd. Notes | 7.00 | 12/1/2028 | 6,404,000 | b | 6,428,815 | ||||
Griffon, Gtd. Notes | 5.75 | 3/1/2028 | 3,385,000 | 3,558,481 | |||||
Masonite International, Gtd. Notes | 3.50 | 2/15/2030 | 3,493,000 | b | 3,471,169 | ||||
PGT Innovations, Gtd. Notes | 4.38 | 10/1/2029 | 3,399,000 | b | 3,428,758 | ||||
23,037,519 | |||||||||
Chemicals - 4.6% | |||||||||
Consolidated Energy Finance, Gtd. Notes | 5.63 | 10/15/2028 | 2,938,000 | 2,938,000 | |||||
Consolidated Energy Finance, Gtd. Notes | 6.50 | 5/15/2026 | 2,160,000 | b | 2,239,261 | ||||
Consolidated Energy Finance, Sr. Unscd. Notes | 6.88 | 6/15/2025 | 2,155,000 | b | 2,233,765 | ||||
Innophos Holdings, Sr. Unscd. Notes | 9.38 | 2/15/2028 | 2,880,000 | b | 3,116,851 | ||||
Iris Holdings, Sr. Unscd. Notes | 8.75 | 2/15/2026 | 3,194,000 | b,d | 3,260,579 | ||||
Italmatch Chemicals, Sr. Scd. Notes, 3 Month EURIBOR +4.75% | EUR | 4.75 | 9/30/2024 | 2,840,000 | b,e | 3,228,443 | |||
Kraton Polymers, Gtd. Notes | 4.25 | 12/15/2025 | 4,015,000 | b | 4,200,694 | ||||
NOVA Chemicals, Sr. Unscd. Notes | 4.25 | 5/15/2029 | 4,785,000 | b | 4,790,981 | ||||
Olympus Water US Holding, Sr. Scd. Notes | 4.25 | 10/1/2028 | 7,972,000 | b,f | 7,866,251 | ||||
Olympus Water US Holding, Sr. Unscd. Notes | 6.25 | 10/1/2029 | 2,112,000 | b,f | 2,095,526 | ||||
Polar US Borrower, Sr. Unscd. Notes | 6.75 | 5/15/2026 | 3,751,000 | b | 3,779,189 | ||||
Trinseo Materials Finance, Gtd. Bonds | 5.13 | 4/1/2029 | 4,595,000 | b | 4,635,344 | ||||
Unifrax Escrow Issuer, Sr. Scd. Notes | 5.25 | 9/30/2028 | 2,164,000 | b | 2,193,755 | ||||
Unifrax Escrow Issuer, Sr. Unscd. Notes | 7.50 | 9/30/2029 | 1,205,000 | b | 1,236,354 | ||||
Venator Finance, Gtd. Notes | 5.75 | 7/15/2025 | 4,855,000 | b,c | 4,595,209 | ||||
52,410,202 | |||||||||
Collateralized Loan Obligations Debt - 3.5% | |||||||||
Ares European XII CLO, Ser. 12A, Cl. E, 3 Month EURIBOR +6.10% | EUR | 6.10 | 4/20/2032 | 1,450,000 | b,e | 1,676,370 | |||
Armada Euro I CLO, Ser. 1A, CI. DR, 3 Month EURIBOR +3.40% | EUR | 3.40 | 10/24/2033 | 1,125,000 | b,e | 1,308,614 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Collateralized Loan Obligations Debt - 3.5% (continued) | |||||||||
Barings I CLO, Ser. 2018-1A, Cl. D, 3 Month LIBOR +5.50% | 5.63 | 4/15/2031 | 2,000,000 | b,e | 1,917,466 | ||||
Barings III CLO, Ser. 2019-3A, Cl. ER, 3 Month LIBOR +6.70% | 6.83 | 4/20/2031 | 1,000,000 | b,e | 999,077 | ||||
Battalion 18 CLO, Ser. 2020-18A, Cl. D2, 3 Month LIBOR +4.00% | 4.13 | 10/15/2032 | 2,000,000 | b,e | 2,000,824 | ||||
Battalion X CLO, Ser. 2016-10A, Cl. DR2, 3 Month LIBOR +6.61% | 6.74 | 1/25/2035 | 1,750,000 | b,e | 1,753,217 | ||||
Battalion XIV CLO, Ser. 2019-14A, Cl. D, 3 Month LIBOR +3.95% | 4.08 | 4/20/2032 | 4,000,000 | b,e | 4,004,400 | ||||
Battalion XVI CLO, Ser. 2019-16A, CI. D, 3 Month LIBOR +4.36% | 4.49 | 12/19/2032 | 3,000,000 | b,e | 3,015,063 | ||||
Catamaran CLO, Ser. 2018-1A, Cl. D, 3 Month LIBOR +3.65% | 3.78 | 10/25/2031 | 1,520,000 | b,e | 1,512,579 | ||||
Dryden 69 Euro CLO, Ser. 2019-69A, Cl. E, 3 Month EURIBOR +6.29% | EUR | 6.29 | 4/18/2032 | 2,000,000 | b,e | 2,307,875 | |||
Euro-Galaxy VII CLO, Ser. 2019-7A, Cl. DR, 3 Month EURIBOR +3.50% | EUR | 3.50 | 7/25/2035 | 2,000,000 | b,e | 2,330,818 | |||
Euro-Galaxy VII CLO, Ser. 2019-7A, Cl. ER, 3 Month EURIBOR +6.20% | EUR | 6.20 | 7/25/2035 | 3,000,000 | b,e | 3,425,802 | |||
KKR 23 CLO, Ser. 23, Cl. E, 3 Month LIBOR +6.00% | 6.13 | 10/20/2031 | 3,000,000 | b,e | 2,931,225 | ||||
KKR 26 CLO, Ser. 26, Cl. ER, 3 Month LIBOR +7.15% | 0.01 | 10/15/2034 | 1,000,000 | b,e | 987,973 | ||||
Neuberger Berman Loan Advisers 24 CLO, Ser. 2017-24A, Cl. E, 3 Month LIBOR +6.02% | 6.15 | 4/19/2030 | 2,000,000 | b,e | 1,987,594 | ||||
Octagon Investment Partners 46 CLO, Ser. 2020-2A, Cl. ER, 3 Month LIBOR +6.60% | 6.71 | 7/15/2036 | 3,000,000 | b,e | 3,002,436 | ||||
OZLM VI CLO, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% | 6.18 | 4/17/2031 | 4,000,000 | b,e | 3,762,692 | ||||
St. Pauls CLO, Ser. 11-A, Cl. E, 3 Month EURIBOR +6.00% | EUR | 6.00 | 1/17/2032 | 1,000,000 | b,e | 1,152,187 | |||
40,076,212 | |||||||||
Commercial & Professional Services - 4.1% | |||||||||
Adtalem Global Education, Sr. Scd. Notes | 5.50 | 3/1/2028 | 5,494,000 | b | 5,553,025 | ||||
AMN Healthcare, Gtd. Notes | 4.00 | 4/15/2029 | 1,910,000 | b | 1,970,814 | ||||
AMN Healthcare, Gtd. Notes | 4.63 | 10/1/2027 | 2,005,000 | b | 2,082,694 | ||||
APX Group, Gtd. Notes | 5.75 | 7/15/2029 | 2,493,000 | b | 2,464,206 | ||||
APX Group, Sr. Scd. Notes | 6.75 | 2/15/2027 | 1,419,000 | b | 1,509,248 | ||||
HealthEquity, Gtd. Notes | 4.50 | 10/1/2029 | 4,457,000 | b,f | 4,529,426 | ||||
MPH Acquisition Holdings, Gtd. Notes | 5.75 | 11/1/2028 | 1,032,000 | b,c | 973,682 | ||||
Paysafe Finance, Sr. Scd. Notes | 4.00 | 6/15/2029 | 4,210,000 | b,c | 4,036,337 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Commercial & Professional Services - 4.1% (continued) | |||||||||
Prime Security Services Borrower, Scd. Notes | 6.25 | 1/15/2028 | 3,471,000 | b | 3,593,006 | ||||
Team Health Holdings, Gtd. Notes | 6.38 | 2/1/2025 | 8,275,000 | b,c | 8,011,772 | ||||
The ADT Security, Sr. Scd. Notes | 4.88 | 7/15/2032 | 2,550,000 | b | 2,575,500 | ||||
United Rentals North America, Gtd. Notes | 4.00 | 7/15/2030 | 2,225,000 | 2,311,219 | |||||
United Rentals North America, Gtd. Notes | 4.88 | 1/15/2028 | 2,500,000 | 2,646,300 | |||||
WW International, Sr. Scd. Notes | 4.50 | 4/15/2029 | 4,250,000 | b | 4,166,328 | ||||
46,423,557 | |||||||||
Consumer Discretionary - 6.6% | |||||||||
Allen Media, Gtd. Notes | 10.50 | 2/15/2028 | 6,445,000 | b | 6,627,812 | ||||
Ashton Woods USA, Sr. Unscd. Notes | 4.63 | 8/1/2029 | 3,944,000 | b | 3,987,305 | ||||
Ashton Woods USA, Sr. Unscd. Notes | 6.63 | 1/15/2028 | 1,840,000 | b | 1,958,928 | ||||
Banijay Entertainment, Sr. Scd. Notes | 5.38 | 3/1/2025 | 3,750,000 | b | 3,871,875 | ||||
Banijay Group, Sr. Unscd. Notes | EUR | 6.50 | 3/1/2026 | 1,405,000 | b | 1,702,265 | |||
Boyd Gaming, Gtd. Notes | 4.75 | 6/15/2031 | 3,980,000 | b | 4,109,350 | ||||
Caesars Entertainment, Sr. Scd. Notes | 6.25 | 7/1/2025 | 1,485,000 | b | 1,565,201 | ||||
Caesars Entertainment, Sr. Unscd. Notes | 4.63 | 10/15/2029 | 2,379,000 | b | 2,411,711 | ||||
Caesars Entertainment, Sr. Unscd. Notes | 8.13 | 7/1/2027 | 1,020,000 | b,c | 1,147,985 | ||||
Carnival, Gtd. Bonds | EUR | 7.63 | 3/1/2026 | 895,000 | b | 1,121,890 | |||
Carnival, Sr. Unscd. Notes | 5.75 | 3/1/2027 | 5,180,000 | b | 5,361,300 | ||||
Carnival, Sr. Unscd. Notes | 7.63 | 3/1/2026 | 2,750,000 | b | 2,939,063 | ||||
Cinemark USA, Gtd. Notes | 5.88 | 3/15/2026 | 2,445,000 | b,c | 2,472,714 | ||||
Everi Holdings, Gtd. Notes | 5.00 | 7/15/2029 | 3,430,000 | b | 3,518,940 | ||||
Gamma Bidco, Sr. Scd. Notes | EUR | 5.13 | 7/15/2025 | 2,395,000 | b | 2,836,469 | |||
International Game Technology, Sr. Scd. Notes | 5.25 | 1/15/2029 | 5,022,000 | b | 5,373,640 | ||||
Lions Gate Capital Holdings, Gtd. Notes | 5.50 | 4/15/2029 | 690,000 | b | 714,164 | ||||
NCL Finance, Gtd. Notes | 6.13 | 3/15/2028 | 3,470,000 | b | 3,606,076 | ||||
Royal Caribbean Cruises, Sr. Unscd. Notes | 3.70 | 3/15/2028 | 2,048,000 | c | 1,964,790 | ||||
Royal Caribbean Cruises, Sr. Unscd. Notes | 5.50 | 8/31/2026 | 2,040,000 | b | 2,099,558 | ||||
Royal Caribbean Cruises, Sr. Unscd. Notes | 5.50 | 4/1/2028 | 3,155,000 | b | 3,231,600 | ||||
Scientific Games International, Gtd. Notes | 7.25 | 11/15/2029 | 1,065,000 | b | 1,198,005 | ||||
Scientific Games International, Gtd. Notes | 8.25 | 3/15/2026 | 2,985,000 | b | 3,171,563 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Consumer Discretionary - 6.6% (continued) | |||||||||
Taylor Morrison Communities, Sr. Unscd. Notes | 5.13 | 8/1/2030 | 2,785,000 | b | 3,000,893 | ||||
Tempur Sealy International, Gtd. Notes | 3.88 | 10/15/2031 | 1,760,000 | b | 1,764,400 | ||||
Tempur Sealy International, Gtd. Notes | 4.00 | 4/15/2029 | 3,420,000 | b | 3,526,875 | ||||
75,284,372 | |||||||||
Consumer Staples - .9% | |||||||||
Edgewell Personal Care, Gtd. Notes | 4.13 | 4/1/2029 | 1,810,000 | b | 1,809,457 | ||||
Edgewell Personal Care, Gtd. Notes | 5.50 | 6/1/2028 | 2,394,000 | b | 2,531,368 | ||||
Kronos Acquisition Holdings, Sr. Scd. Notes | 5.00 | 12/31/2026 | 3,164,000 | b | 3,164,000 | ||||
Spectrum Brands, Gtd. Notes | 5.50 | 7/15/2030 | 2,645,000 | b | 2,932,644 | ||||
10,437,469 | |||||||||
Diversified Financials - 3.5% | |||||||||
Compass Group Diversified Holdings, Gtd. Notes | 5.25 | 4/15/2029 | 5,115,000 | b | 5,357,962 | ||||
FS Energy & Power Fund, Sr. Scd. Notes | 7.50 | 8/15/2023 | 1,670,000 | b | 1,734,771 | ||||
Garfunkelux Holdco 3, Sr. Scd. Bonds | GBP | 7.75 | 11/1/2025 | 1,765,000 | b | 2,490,624 | |||
Garfunkelux Holdco 3, Sr. Scd. Notes | EUR | 6.75 | 11/1/2025 | 1,590,000 | b,c | 1,928,522 | |||
Icahn Enterprises, Gtd. Notes | 5.25 | 5/15/2027 | 3,590,000 | 3,729,113 | |||||
Icahn Enterprises, Gtd. Notes | 6.25 | 5/15/2026 | 3,715,000 | 3,886,819 | |||||
Nationstar Mortgage Holdings, Gtd. Notes | 5.50 | 8/15/2028 | 5,305,000 | b | 5,471,338 | ||||
Nationstar Mortgage Holdings, Gtd. Notes | 6.00 | 1/15/2027 | 1,825,000 | b | 1,912,691 | ||||
Navient, Sr. Unscd. Notes | 6.75 | 6/15/2026 | 3,575,000 | 3,949,946 | |||||
PennyMac Financial Services, Gtd. Notes | 5.75 | 9/15/2031 | 3,410,000 | b | 3,409,250 | ||||
Rocket Mortgage, Gtd. Notes | 3.88 | 3/1/2031 | 4,369,000 | b | 4,412,690 | ||||
Rocket Mortgage, Gtd. Notes | 5.25 | 1/15/2028 | 970,000 | b | 1,046,388 | ||||
39,330,114 | |||||||||
Electronic Components - 1.8% | |||||||||
Atkore, Sr. Unscd. Notes | 4.25 | 6/1/2031 | 3,575,000 | b | 3,686,719 | ||||
Energizer Holdings, Gtd. Notes | 4.38 | 3/31/2029 | 4,060,000 | b | 4,034,625 | ||||
Energizer Holdings, Gtd. Notes | 4.75 | 6/15/2028 | 2,690,000 | b | 2,739,873 | ||||
Sensata Technologies, Gtd. Notes | 3.75 | 2/15/2031 | 2,615,000 | b | 2,636,155 | ||||
TTM Technologies, Gtd. Notes | 4.00 | 3/1/2029 | 4,245,000 | b | 4,233,538 | ||||
Wesco Distribution, Gtd. Notes | 7.25 | 6/15/2028 | 3,260,000 | b | 3,614,525 | ||||
20,945,435 | |||||||||
Energy - 10.8% | |||||||||
Antero Midstream Partners, Gtd. Notes | 5.75 | 3/1/2027 | 2,569,000 | b | 2,657,117 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Energy - 10.8% (continued) | |||||||||
Antero Midstream Partners, Gtd. Notes | 7.88 | 5/15/2026 | 1,800,000 | b | 1,971,378 | ||||
Antero Resources, Gtd. Notes | 5.38 | 3/1/2030 | 1,980,000 | b | 2,087,712 | ||||
Antero Resources, Gtd. Notes | 7.63 | 2/1/2029 | 1,830,000 | b | 2,048,228 | ||||
Antero Resources, Gtd. Notes | 8.38 | 7/15/2026 | 944,000 | b | 1,070,477 | ||||
Apache, Sr. Unscd. Notes | 4.25 | 1/15/2030 | 1,105,000 | c | 1,192,748 | ||||
Apache, Sr. Unscd. Notes | 5.10 | 9/1/2040 | 2,199,000 | 2,465,585 | |||||
Archrock Partners, Gtd. Notes | 6.25 | 4/1/2028 | 4,163,000 | b | 4,311,161 | ||||
Blue Racer Midstream, Sr. Unscd. Notes | 6.63 | 7/15/2026 | 3,246,000 | b | 3,402,912 | ||||
Blue Racer Midstream, Sr. Unscd. Notes | 7.63 | 12/15/2025 | 1,660,000 | b | 1,796,950 | ||||
Centennial Resource Production, Gtd. Notes | 6.88 | 4/1/2027 | 3,580,000 | b,c | 3,652,853 | ||||
Cheniere Energy, Sr. Scd. Notes | 4.63 | 10/15/2028 | 3,260,000 | 3,439,300 | |||||
Cheniere Energy Partners, Gtd. Notes | 4.00 | 3/1/2031 | 3,345,000 | b | 3,507,065 | ||||
Cheniere Energy Partners, Gtd. Notes | 4.50 | 10/1/2029 | 2,750,000 | 2,927,045 | |||||
Colgate Energy Partners III, Sr. Unscd. Notes | 5.88 | 7/1/2029 | 2,780,000 | b | 2,804,381 | ||||
Crestwood Midstream Partners, Gtd. Notes | 5.63 | 5/1/2027 | 2,811,000 | b | 2,896,595 | ||||
Crestwood Midstream Partners, Gtd. Notes | 6.00 | 2/1/2029 | 2,036,000 | b | 2,133,164 | ||||
CrownRock, Sr. Unscd. Notes | 5.00 | 5/1/2029 | 3,575,000 | b | 3,737,126 | ||||
CrownRock, Sr. Unscd. Notes | 5.63 | 10/15/2025 | 2,327,000 | b | 2,384,477 | ||||
Endeavor Energy Resources, Sr. Unscd. Notes | 5.75 | 1/30/2028 | 3,790,000 | b | 3,993,712 | ||||
EnLink Midstream Partners, Sr. Unscd. Notes | 4.15 | 6/1/2025 | 2,955,000 | 3,050,993 | |||||
EnLink Midstream Partners, Sr. Unscd. Notes | 4.85 | 7/15/2026 | 1,475,000 | 1,551,058 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 4.75 | 1/15/2031 | 2,210,000 | b | 2,301,207 | ||||
EQM Midstream Partners, Sr. Unscd. Notes | 5.50 | 7/15/2028 | 1,485,000 | 1,633,307 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 6.00 | 7/1/2025 | 930,000 | b | 1,020,629 | ||||
EQM Midstream Partners, Sr. Unscd. Notes | 6.50 | 7/1/2027 | 1,165,000 | b | 1,311,790 | ||||
Genesis Energy, Gtd. Notes | 6.50 | 10/1/2025 | 2,780,000 | 2,769,770 | |||||
Genesis Energy, Gtd. Notes | 8.00 | 1/15/2027 | 1,990,000 | 2,017,492 | |||||
Matador Resources, Gtd. Notes | 5.88 | 9/15/2026 | 850,000 | 879,776 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 3.50 | 8/15/2029 | 2,020,000 | 2,057,107 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Energy - 10.8% (continued) | |||||||||
Occidental Petroleum, Sr. Unscd. Notes | 6.13 | 1/1/2031 | 2,095,000 | c | 2,517,614 | ||||
Occidental Petroleum, Sr. Unscd. Notes | 6.38 | 9/1/2028 | 1,503,000 | 1,760,389 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.45 | 9/15/2036 | 2,435,000 | 3,066,578 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.95 | 7/1/2024 | 2,712,000 | 3,069,604 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 7.50 | 5/1/2031 | 1,410,000 | 1,835,115 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 8.88 | 7/15/2030 | 2,390,000 | 3,249,635 | |||||
Ovintiv, Gtd. Notes | 6.63 | 8/15/2037 | 2,925,000 | 4,019,417 | |||||
PDC Energy, Gtd. Notes | 5.75 | 5/15/2026 | 2,668,000 | 2,781,390 | |||||
PDC Energy, Gtd. Notes | 6.13 | 9/15/2024 | 577,000 | 586,376 | |||||
Precision Drilling, Gtd. Notes | 6.88 | 1/15/2029 | 1,390,000 | b | 1,453,940 | ||||
Precision Drilling, Gtd. Notes | 7.13 | 1/15/2026 | 765,000 | b,c | 787,292 | ||||
Rockcliff Energy II, Sr. Unscd. Notes | 5.50 | 10/15/2029 | 2,343,000 | b,f | 2,381,074 | ||||
Southwestern Energy, Gtd. Notes | 5.38 | 2/1/2029 | 2,538,000 | b | 2,718,350 | ||||
Southwestern Energy, Gtd. Notes | 5.38 | 3/15/2030 | 2,390,000 | 2,582,335 | |||||
Southwestern Energy, Gtd. Notes | 8.38 | 9/15/2028 | 900,000 | 1,020,582 | |||||
Targa Resources Partners, Gtd. Notes | 4.00 | 1/15/2032 | 995,000 | b | 1,029,527 | ||||
Targa Resources Partners, Gtd. Notes | 5.00 | 1/15/2028 | 1,040,000 | 1,093,300 | |||||
Targa Resources Partners, Gtd. Notes | 6.50 | 7/15/2027 | 1,325,000 | 1,430,311 | |||||
TerraForm Power Operating, Gtd. Notes | 4.75 | 1/15/2030 | 4,135,000 | b | 4,331,412 | ||||
USA Compression Partners, Gtd. Notes | 6.88 | 9/1/2027 | 2,033,000 | 2,155,193 | |||||
USA Compression Partners, Gtd. Notes | 6.88 | 4/1/2026 | 2,116,000 | 2,205,934 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.50 | 3/1/2028 | 4,045,000 | 4,346,191 | |||||
123,494,674 | |||||||||
Environmental Control - 1.2% | |||||||||
Covanta Holding, Gtd. Notes | 5.00 | 9/1/2030 | 2,690,000 | 2,720,370 | |||||
Covanta Holding, Sr. Unscd. Notes | 6.00 | 1/1/2027 | 2,660,000 | 2,760,761 | |||||
Harsco, Gtd. Notes | 5.75 | 7/31/2027 | 5,080,000 | b | 5,270,500 | ||||
Waste Pro USA, Sr. Unscd. Notes | 5.50 | 2/15/2026 | 2,549,000 | b | 2,578,033 | ||||
13,329,664 | |||||||||
Food Products - 1.6% | |||||||||
Albertsons, Gtd. Notes | 3.50 | 3/15/2029 | 1,877,000 | b | 1,875,545 | ||||
Kraft Heinz Foods, Gtd. Notes | 4.25 | 3/1/2031 | 1,560,000 | 1,764,637 | |||||
Kraft Heinz Foods, Gtd. Notes | 4.38 | 6/1/2046 | 1,140,000 | 1,299,438 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Food Products - 1.6% (continued) | |||||||||
Kraft Heinz Foods, Gtd. Notes | 5.20 | 7/15/2045 | 1,185,000 | 1,486,743 | |||||
New Albertsons, Sr. Unscd. Bonds | 8.00 | 5/1/2031 | 954,000 | 1,170,343 | |||||
Post Holdings, Gtd. Notes | 4.63 | 4/15/2030 | 3,840,000 | b | 3,874,483 | ||||
Post Holdings, Gtd. Notes | 5.50 | 12/15/2029 | 1,715,000 | b | 1,820,198 | ||||
Post Holdings, Gtd. Notes | 5.75 | 3/1/2027 | 1,015,000 | b | 1,056,082 | ||||
United Natural Foods, Gtd. Notes | 6.75 | 10/15/2028 | 3,970,000 | b | 4,302,487 | ||||
18,649,956 | |||||||||
Food Service - .2% | |||||||||
TKC Holdings, Sr. Unscd. Notes | 10.50 | 5/15/2029 | 1,841,000 | b | 2,021,004 | ||||
Forest Products & Paper - .3% | |||||||||
Ahlstrom-Munksjo Holding 3, Sr. Scd. Bonds | 4.88 | 2/4/2028 | 3,600,000 | b | 3,635,100 | ||||
Health Care - 6.5% | |||||||||
Air Methods, Sr. Unscd. Notes | 8.00 | 5/15/2025 | 6,460,000 | b | 6,179,797 | ||||
Bausch Health, Gtd. Notes | 5.25 | 1/30/2030 | 1,715,000 | b,c | 1,601,844 | ||||
Bausch Health, Gtd. Notes | 6.25 | 2/15/2029 | 875,000 | b | 867,073 | ||||
Bausch Health, Gtd. Notes | 7.25 | 5/30/2029 | 1,315,000 | b | 1,349,492 | ||||
Bausch Health, Gtd. Notes | 9.00 | 12/15/2025 | 2,027,000 | b | 2,141,982 | ||||
Bausch Health, Sr. Scd. Notes | 4.88 | 6/1/2028 | 1,984,000 | b | 2,058,400 | ||||
Bausch Health Americas, Gtd. Notes | 8.50 | 1/31/2027 | 936,000 | b | 998,197 | ||||
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | 5.50 | 1/15/2028 | 4,600,000 | b | 4,771,672 | ||||
Community Health Systems, Scd. Notes | 6.13 | 4/1/2030 | 3,525,000 | b | 3,429,966 | ||||
Community Health Systems, Scd. Notes | 6.88 | 4/15/2029 | 2,445,000 | b | 2,454,132 | ||||
Community Health Systems, Sr. Scd. Notes | 4.75 | 2/15/2031 | 2,830,000 | b | 2,851,225 | ||||
Community Health Systems, Sr. Scd. Notes | 5.63 | 3/15/2027 | 1,052,000 | b | 1,102,896 | ||||
DaVita, Gtd. Notes | 4.63 | 6/1/2030 | 3,055,000 | b | 3,146,225 | ||||
Encompass Health, Gtd. Notes | 4.75 | 2/1/2030 | 2,155,000 | 2,269,215 | |||||
Grifols Escrow Issuer, Sr. Unscd. Notes | 4.75 | 10/15/2028 | 3,359,000 | b,f | 3,436,257 | ||||
HCA, Gtd. Notes | 3.50 | 9/1/2030 | 2,110,000 | 2,237,423 | |||||
Legacy LifePoint Health, Sr. Scd. Notes | 6.75 | 4/15/2025 | 500,000 | b | 526,050 | ||||
LifePoint Health, Gtd. Notes | 5.38 | 1/15/2029 | 1,615,000 | b | 1,573,470 | ||||
Mozart Debt Merger Sub, Sr. Scd. Notes | 3.88 | 4/1/2029 | 1,600,000 | 1,600,000 | |||||
Mozart Debt Merger Sub, Sr. Unscd. Notes | 5.25 | 10/1/2029 | 2,816,000 | 2,816,000 | |||||
Organon & Co., Sr. Scd. Notes | 4.13 | 4/30/2028 | 1,230,000 | b | 1,256,138 | ||||
Organon & Co., Sr. Unscd. Notes | 5.13 | 4/30/2031 | 5,290,000 | b | 5,562,964 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Health Care - 6.5% (continued) | |||||||||
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | 7.25 | 2/1/2028 | 3,468,000 | b | 3,716,794 | ||||
Ortho-Clinical Diagnostics, Sr. Unscd. Notes | 7.38 | 6/1/2025 | 810,000 | b | 855,810 | ||||
Prime Healthcare Services, Sr. Scd. Notes | 7.25 | 11/1/2025 | 3,805,000 | b | 4,085,619 | ||||
Tenet Healthcare, Gtd. Notes | 6.13 | 10/1/2028 | 2,510,000 | b | 2,639,918 | ||||
Tenet Healthcare, Scd. Notes | 6.25 | 2/1/2027 | 3,415,000 | b | 3,547,331 | ||||
Tenet Healthcare, Sr. Scd. Notes | 4.63 | 6/15/2028 | 2,990,000 | b | 3,101,990 | ||||
Tenet Healthcare, Sr. Scd. Notes | 5.13 | 11/1/2027 | 2,260,000 | b | 2,358,875 | ||||
74,536,755 | |||||||||
Industrial - 2.0% | |||||||||
Arcosa, Gtd. Notes | 4.38 | 4/15/2029 | 3,120,000 | b | 3,162,900 | ||||
Dycom Industries, Gtd. Notes | 4.50 | 4/15/2029 | 4,482,000 | b,c | 4,506,539 | ||||
Gates Global, Gtd. Notes | 6.25 | 1/15/2026 | 3,465,000 | b | 3,599,269 | ||||
Husky III Holding, Sr. Unscd. Notes | 13.00 | 2/15/2025 | 4,325,000 | b,c,d | 4,609,563 | ||||
Titan Acquisition, Sr. Unscd. Notes | 7.75 | 4/15/2026 | 1,685,000 | b | 1,724,176 | ||||
VM Consolidated, Gtd. Notes | 5.50 | 4/15/2029 | 4,571,000 | b | 4,655,541 | ||||
22,257,988 | |||||||||
Insurance - 1.1% | |||||||||
Alliant Holdings Intermediate, Sr. Scd. Notes | 4.25 | 10/15/2027 | 3,825,000 | b | 3,870,154 | ||||
Alliant Holdings Intermediate, Sr. Unscd. Notes | 6.75 | 10/15/2027 | 2,350,000 | b | 2,435,376 | ||||
AmWINS Group, Sr. Unscd. Notes | 4.88 | 6/30/2029 | 5,820,000 | b | 5,909,046 | ||||
12,214,576 | |||||||||
Internet Software & Services - 1.4% | |||||||||
Endure Digital, Sr. Unscd. Notes | 6.00 | 2/15/2029 | 4,956,000 | b | 4,715,510 | ||||
Match Group Holdings II, Sr. Unscd. Notes | 3.63 | 10/1/2031 | 1,317,000 | b,f | 1,303,013 | ||||
Netflix, Sr. Unscd. Notes | 4.88 | 6/15/2030 | 3,420,000 | b | 4,031,325 | ||||
Northwest Fiber, Sr. Scd. Notes | 4.75 | 4/30/2027 | 1,768,000 | 1,768,000 | |||||
Northwest Fiber, Sr. Unscd. Notes | 6.00 | 2/15/2028 | 4,125,000 | b,c | 4,108,871 | ||||
15,926,719 | |||||||||
Materials - 2.7% | |||||||||
ARD Finance, Sr. Scd. Notes | 6.50 | 6/30/2027 | 2,215,000 | b,d | 2,355,874 | ||||
Ardagh Metal Packaging Finance USA, Sr. Scd. Notes | 3.25 | 9/1/2028 | 1,030,000 | b | 1,028,713 | ||||
Ardagh Metal Packaging Finance USA, Sr. Unscd. Notes | 4.00 | 9/1/2029 | 4,065,000 | b,c | 4,115,812 | ||||
Ardagh Packaging Finance, Sr. Unscd. Notes | 5.25 | 8/15/2027 | 2,253,000 | b | 2,296,652 | ||||
Graham Packaging, Gtd. Notes | 7.13 | 8/15/2028 | 3,985,000 | b | 4,236,453 | ||||
LABL, Sr. Unscd. Notes | 10.50 | 7/15/2027 | 2,815,000 | b | 3,037,652 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Materials - 2.7% (continued) | |||||||||
Mauser Packaging Solutions Holding, Sr. Scd. Bonds | EUR | 4.75 | 4/15/2024 | 2,325,000 | 2,702,692 | ||||
Mauser Packaging Solutions Holding, Sr. Scd. Notes | 5.50 | 4/15/2024 | 1,550,000 | b | 1,565,500 | ||||
Mauser Packaging Solutions Holding, Sr. Scd. Notes | 8.50 | 4/15/2024 | 2,247,000 | b | 2,339,442 | ||||
Mauser Packaging Solutions Holding, Sr. Unscd. Notes | 7.25 | 4/15/2025 | 6,762,000 | b | 6,729,542 | ||||
30,408,332 | |||||||||
Media - 9.7% | |||||||||
Altice Financing, Sr. Scd. Bonds | 5.75 | 8/15/2029 | 3,920,000 | b | 3,802,400 | ||||
Altice Finco, Scd. Notes | EUR | 4.75 | 1/15/2028 | 2,800,000 | b | 3,092,404 | |||
Block Communications, Gtd. Notes | 4.88 | 3/1/2028 | 4,080,000 | b | 4,179,858 | ||||
Cable One, Gtd. Notes | 4.00 | 11/15/2030 | 4,865,000 | b,c | 4,852,837 | ||||
CCO Holdings, Sr. Unscd. Notes | 4.50 | 8/15/2030 | 3,200,000 | b | 3,305,504 | ||||
CCO Holdings, Sr. Unscd. Notes | 4.75 | 3/1/2030 | 3,465,000 | b | 3,626,902 | ||||
CCO Holdings, Sr. Unscd. Notes | 5.00 | 2/1/2028 | 4,755,000 | b | 4,969,688 | ||||
CCO Holdings, Sr. Unscd. Notes | 5.13 | 5/1/2027 | 2,155,000 | b | 2,246,717 | ||||
CCO Holdings, Sr. Unscd. Notes | 5.38 | 6/1/2029 | 4,240,000 | b | 4,584,500 | ||||
CSC Holdings, Gtd. Notes | 5.38 | 2/1/2028 | 1,020,000 | b | 1,067,175 | ||||
CSC Holdings, Gtd. Notes | 6.50 | 2/1/2029 | 1,870,000 | b | 2,027,454 | ||||
CSC Holdings, Sr. Unscd. Notes | 4.63 | 12/1/2030 | 5,150,000 | b | 4,888,792 | ||||
CSC Holdings, Sr. Unscd. Notes | 5.75 | 1/15/2030 | 2,780,000 | b | 2,830,471 | ||||
Diamond Sports Group, Sr. Scd. Notes | 5.38 | 8/15/2026 | 1,695,000 | b,c | 1,120,819 | ||||
DISH DBS, Gtd. Notes | 5.88 | 11/15/2024 | 1,934,000 | 2,082,009 | |||||
DISH DBS, Gtd. Notes | 7.38 | 7/1/2028 | 1,690,000 | c | 1,794,510 | ||||
Gray Television, Gtd. Notes | 4.75 | 10/15/2030 | 3,550,000 | b | 3,492,313 | ||||
iHeartCommunications, Sr. Scd. Notes | 4.75 | 1/15/2028 | 1,208,000 | b | 1,246,354 | ||||
Midcontinent Communications, Gtd. Notes | 5.38 | 8/15/2027 | 2,225,000 | b | 2,320,586 | ||||
Nexstar Media, Gtd. Notes | 4.75 | 11/1/2028 | 5,405,000 | b,c | 5,613,822 | ||||
Radiate Holdco, Sr. Unscd. Notes | 6.50 | 9/15/2028 | 7,807,000 | b | 7,971,572 | ||||
Scripps Escrow, Gtd. Notes | 5.88 | 7/15/2027 | 4,081,000 | b | 4,193,982 | ||||
Scripps Escrow II, Sr. Unscd. Notes | 5.38 | 1/15/2031 | 2,900,000 | b | 2,855,413 | ||||
Sirius XM Radio, Gtd. Notes | 4.00 | 7/15/2028 | 2,120,000 | b | 2,158,425 | ||||
Sirius XM Radio, Gtd. Notes | 4.13 | 7/1/2030 | 2,397,000 | b | 2,411,112 | ||||
Sirius XM Radio, Gtd. Notes | 5.50 | 7/1/2029 | 915,000 | b | 990,488 | ||||
TEGNA, Gtd. Notes | 4.75 | 3/15/2026 | 1,793,000 | b | 1,872,564 | ||||
TEGNA, Gtd. Notes | 5.00 | 9/15/2029 | 5,835,000 | 6,017,635 | |||||
Townsquare Media, Sr. Scd. Notes | 6.88 | 2/1/2026 | 2,075,000 | b | 2,179,393 | ||||
UPC Broadband Finco, Sr. Scd. Notes | 4.88 | 7/15/2031 | 4,230,000 | b | 4,336,215 | ||||
Virgin Media Finance, Gtd. Notes | 5.00 | 7/15/2030 | 3,535,000 | b | 3,629,738 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Media - 9.7% (continued) | |||||||||
Virgin Media Secured Finance, Sr. Scd. Notes | 5.50 | 5/15/2029 | 3,065,000 | b | 3,234,341 | ||||
Ziggo, Sr. Scd. Notes | 4.88 | 1/15/2030 | 3,531,000 | b | 3,645,758 | ||||
Ziggo Bond, Gtd. Notes | 5.13 | 2/28/2030 | 2,045,000 | b,c | 2,100,726 | ||||
110,742,477 | |||||||||
Metals & Mining - 2.2% | |||||||||
Arconic, Scd. Notes | 6.13 | 2/15/2028 | 4,960,000 | b | 5,263,899 | ||||
FMG Resources, Gtd. Notes | 4.38 | 4/1/2031 | 1,820,000 | b | 1,882,972 | ||||
Freeport-McMoRan, Gtd. Notes | 4.63 | 8/1/2030 | 1,905,000 | 2,062,163 | |||||
Freeport-McMoRan, Gtd. Notes | 5.45 | 3/15/2043 | 2,665,000 | 3,284,613 | |||||
Hudbay Minerals, Gtd. Notes | 4.50 | 4/1/2026 | 3,027,000 | b | 3,000,514 | ||||
Hudbay Minerals, Gtd. Notes | 6.13 | 4/1/2029 | 2,298,000 | b | 2,410,142 | ||||
Kaiser Aluminum, Gtd. Notes | 4.63 | 3/1/2028 | 1,628,000 | b | 1,682,945 | ||||
Novelis, Gtd. Notes | 3.88 | 8/15/2031 | 1,732,000 | b | 1,715,200 | ||||
Novelis, Gtd. Notes | 4.75 | 1/30/2030 | 3,345,000 | b | 3,525,463 | ||||
24,827,911 | |||||||||
Real Estate - 3.6% | |||||||||
Apollo Commercial Real Estate Finance, Sr. Scd. Notes | 4.63 | 6/15/2029 | 1,018,000 | b | 988,794 | ||||
Greystar Real Estate Partners, Sr. Scd. Notes | 5.75 | 12/1/2025 | 3,770,000 | b | 3,834,448 | ||||
Iron Mountain, Gtd. Notes | 5.25 | 7/15/2030 | 5,010,000 | b | 5,323,025 | ||||
Ladder Capital Finance Holdings, Gtd. Notes | 4.25 | 2/1/2027 | 3,235,000 | b | 3,206,694 | ||||
Ladder Capital Finance Holdings, Gtd. Notes | 4.75 | 6/15/2029 | 2,400,000 | b | 2,386,080 | ||||
Ladder Capital Finance Holdings, Gtd. Notes | 5.25 | 10/1/2025 | 2,350,000 | b | 2,382,313 | ||||
Park Intermediate Holdings, Sr. Scd. Notes | 4.88 | 5/15/2029 | 3,990,000 | b | 4,111,595 | ||||
RLJ Lodging Trust, Sr. Scd. Notes | 4.00 | 9/15/2029 | 3,427,000 | b | 3,425,938 | ||||
SBA Communications, Sr. Unscd. Notes | 3.88 | 2/15/2027 | 2,190,000 | 2,272,125 | |||||
Starwood Property Trust, Sr. Unscd. Notes | 5.50 | 11/1/2023 | 3,155,000 | b | 3,313,476 | ||||
VICI Properties, Gtd. Notes | 4.13 | 8/15/2030 | 2,150,000 | b | 2,281,688 | ||||
VICI Properties, Gtd. Notes | 4.63 | 12/1/2029 | 2,995,000 | b | 3,223,369 | ||||
XHR, Sr. Scd. Notes | 4.88 | 6/1/2029 | 4,015,000 | b | 4,128,785 | ||||
40,878,330 | |||||||||
Retailing - 3.3% | |||||||||
BCPE Ulysses Intermediate, Sr. Unscd. Notes | 7.75 | 4/1/2027 | 3,000,000 | b,c,d | 2,982,225 | ||||
Golden Nugget, Sr. Unscd. Notes | 6.75 | 10/15/2024 | 2,105,000 | b | 2,110,368 | ||||
LBM Acquisition, Gtd. Notes | 6.25 | 1/15/2029 | 2,980,000 | b | 2,982,727 | ||||
Macy's Retail Holdings, Gtd. Notes | 4.50 | 12/15/2034 | 3,210,000 | 3,161,240 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Retailing - 3.3% (continued) | |||||||||
Park River Holdings, Gtd. Notes | 5.63 | 2/1/2029 | 4,270,000 | b | 4,142,903 | ||||
Park River Holdings, Sr. Unscd. Notes | 6.75 | 8/1/2029 | 3,580,000 | b | 3,594,302 | ||||
SRS Distribution, Gtd. Notes | 6.13 | 7/1/2029 | 2,250,000 | b,c | 2,320,335 | ||||
SRS Distribution, Sr. Scd. Notes | 4.63 | 7/1/2028 | 1,330,000 | b | 1,358,529 | ||||
Staples, Sr. Scd. Notes | 7.50 | 4/15/2026 | 2,366,000 | b | 2,402,685 | ||||
Staples, Sr. Unscd. Notes | 10.75 | 4/15/2027 | 4,801,000 | b,c | 4,680,975 | ||||
White Cap Buyer, Sr. Unscd. Notes | 6.88 | 10/15/2028 | 3,280,000 | b | 3,464,762 | ||||
White Cap Parent, Sr. Unscd. Notes | 8.25 | 3/15/2026 | 4,806,000 | b,c,d | 4,970,605 | ||||
38,171,656 | |||||||||
Technology Hardware & Equipment - .3% | |||||||||
Banff Merger Sub, Sr. Unscd. Notes | EUR | 8.38 | 9/1/2026 | 2,935,000 | b | 3,540,592 | |||
Telecommunication Services - 5.9% | |||||||||
Altice France, Sr. Scd. Notes | 5.13 | 7/15/2029 | 3,770,000 | b | 3,701,556 | ||||
Altice France, Sr. Scd. Notes | 5.50 | 10/15/2029 | 5,098,000 | b,f | 5,052,972 | ||||
Altice France, Sr. Scd. Notes | 8.13 | 2/1/2027 | 1,480,000 | b | 1,594,330 | ||||
Altice France Holding, Gtd. Notes | 6.00 | 2/15/2028 | 2,120,000 | b | 2,039,270 | ||||
CommScope, Gtd. Notes | 7.13 | 7/1/2028 | 3,130,000 | b,c | 3,198,484 | ||||
CommScope, Gtd. Notes | 8.25 | 3/1/2027 | 530,000 | b | 555,427 | ||||
CommScope, Sr. Scd. Notes | 4.75 | 9/1/2029 | 4,570,000 | b | 4,570,000 | ||||
CommScope, Sr. Scd. Notes | 6.00 | 3/1/2026 | 3,445,000 | b | 3,581,353 | ||||
Connect Finco, Sr. Scd. Notes | 6.75 | 10/1/2026 | 5,801,000 | b | 6,076,896 | ||||
Embarq, Sr. Unscd. Notes | 8.00 | 6/1/2036 | 2,090,000 | 2,244,670 | |||||
Intrado, Gtd. Notes | 8.50 | 10/15/2025 | 1,723,000 | b,c | 1,714,273 | ||||
Level 3 Financing, Gtd. Notes | 3.63 | 1/15/2029 | 4,055,000 | b | 3,933,350 | ||||
Level 3 Financing, Gtd. Notes | 3.75 | 7/15/2029 | 1,450,000 | b | 1,403,209 | ||||
Lumen Technologies, Sr. Unscd. Notes | 5.13 | 12/15/2026 | 2,600,000 | b | 2,700,750 | ||||
Sprint, Gtd. Notes | 7.63 | 3/1/2026 | 3,265,000 | 3,960,363 | |||||
Telecom Italia Capital, Gtd. Notes | 6.00 | 9/30/2034 | 3,420,000 | 3,843,225 | |||||
T-Mobile USA, Gtd. Notes | 2.25 | 2/15/2026 | 1,705,000 | 1,726,313 | |||||
T-Mobile USA, Gtd. Notes | 3.50 | 4/15/2031 | 2,690,000 | b | 2,840,330 | ||||
T-Mobile USA, Gtd. Notes | 4.75 | 2/1/2028 | 1,650,000 | 1,755,188 | |||||
ViaSat, Sr. Unscd. Notes | 5.63 | 9/15/2025 | 2,068,000 | b | 2,098,363 | ||||
ViaSat, Sr. Unscd. Notes | 6.50 | 7/15/2028 | 720,000 | b | 759,218 | ||||
Viavi Solutions, Gtd. Notes | 3.75 | 10/1/2029 | 3,675,000 | b | 3,687,679 | ||||
Vmed O2 UK Financing I, Sr. Scd. Notes | 4.25 | 1/31/2031 | 4,350,000 | b | 4,344,562 | ||||
67,381,781 | |||||||||
Transportation - .5% | |||||||||
First Transit Parent, Sr. Scd. Notes | 4.00 | 7/31/2029 | 5,828,000 | b | 5,755,150 | ||||
Utilities - 1.9% | |||||||||
Calpine, Sr. Scd. Notes | 4.50 | 2/15/2028 | 2,700,000 | b | 2,757,375 | ||||
Calpine, Sr. Unscd. Notes | 5.00 | 2/1/2031 | 2,209,000 | b | 2,211,761 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 88.7% (continued) | |||||||||
Utilities - 1.9% (continued) | |||||||||
Calpine, Sr. Unscd. Notes | 5.13 | 3/15/2028 | 1,565,000 | b | 1,586,885 | ||||
Clearway Energy Operating, Gtd. Notes | 3.75 | 2/15/2031 | 2,265,000 | b | 2,273,494 | ||||
NRG Energy, Gtd. Notes | 3.88 | 2/15/2032 | 1,568,000 | b | 1,552,320 | ||||
Pattern Energy Operations, Gtd. Notes | 4.50 | 8/15/2028 | 3,590,000 | b | 3,747,062 | ||||
Pike, Gtd. Notes | 5.50 | 9/1/2028 | 4,040,000 | b | 4,122,355 | ||||
Vistra Operations, Sr. Unscd. Notes | 4.38 | 5/1/2029 | 3,270,000 | b | 3,294,133 | ||||
21,545,385 | |||||||||
Total Bonds and Notes | 1,012,227,135 | ||||||||
Floating Rate Loan Interests - 7.0% | |||||||||
Automobiles & Components - .2% | |||||||||
Autokiniton US Holdings, Closing Date Term Loan B, 12 Month LIBOR +4.50% | 5.00 | 4/6/2028 | 2,859,057 | e | 2,862,631 | ||||
Chemicals - .3% | |||||||||
Flexsys, Term Loan B, 1 Month LIBOR +5.25% | 6.00 | 8/12/2028 | 3,480,000 | e | 3,471,300 | ||||
Commercial & Professional Services - .3% | |||||||||
Praesidiad, Facility Term Loan B, 3 Month EURIBOR +4.00% | EUR | 4.00 | 10/4/2024 | 1,000,000 | e | 1,033,538 | |||
Travelport Finance Luxembourg, Term Loan, 3 Month LIBOR +8.00% | 9.75 | 2/28/2025 | 2,284,494 | e | 2,375,463 | ||||
3,409,001 | |||||||||
Consumer Discretionary - .7% | |||||||||
AP Gaming I, First Lien Incremental Term Loan B, 3 Month LIBOR +3.50% | 4.50 | 2/15/2024 | 2,872,788 | e | 2,861,411 | ||||
Caesars Resort Collection, Term Loan B-1, 1 Month LIBOR +3.50% | 4.58 | 7/20/2025 | 3,339,763 | e | 3,346,475 | ||||
Silk Bidco, Facility Term Loan B, 6 Month EURIBOR +4.00% | EUR | 4.00 | 2/22/2025 | 2,000,000 | e | 2,198,178 | |||
8,406,064 | |||||||||
Environmental Control - .2% | |||||||||
Waterlogic USA Holdings, Facility Term Loan B-2, 3 Month LIBOR +4.75% | 4.89 | 8/12/2028 | 2,528,090 | e | 2,532,843 | ||||
Forest Products & Paper - .3% | |||||||||
SPA US HoldCo, USD Facility Term Loan B, 3 Month LIBOR +4.00% | 4.75 | 3/18/2028 | 2,872,583 | e | 2,882,163 | ||||
Health Care - .5% | |||||||||
One Call, First Lien Term Loan B, 3 Month LIBOR +5.50% | 6.25 | 4/22/2027 | 5,640,863 | e | 5,697,271 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
�� | |||||||||
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 7.0% (continued) | |||||||||
Information Technology - 1.3% | |||||||||
CT Technologies, 2021 Reprice Term Loan, 1 Month LIBOR +4.25% | 5.00 | 12/16/2025 | 2,905,400 | e | 2,914,029 | ||||
Finastra USA, First Lien Dollar Term Loan, 3 Month LIBOR +3.50% | 4.50 | 6/13/2024 | 2,913,026 | e | 2,893,698 | ||||
Greeneden US Holdings II, Dollar Term Loan B-4, 1 Month LIBOR +4.00% | 4.75 | 12/1/2027 | 3,507,375 | e | 3,523,351 | ||||
Ivanti Software, First Amendment Term Loan, 3 Month LIBOR +4.00% | 4.75 | 12/1/2027 | 1,223,850 | e | 1,227,369 | ||||
Ivanti Software, First Lien Initial Term Loan, 3 Month LIBOR +4.75% | 5.75 | 12/1/2027 | 4,089,411 | e | 4,108,263 | ||||
14,666,710 | |||||||||
Insurance - .8% | |||||||||
Asurion, New Term Loan B-4, 1 Month LIBOR +5.25% | 5.33 | 1/15/2029 | 790,155 | e | 787,489 | ||||
Asurion, Second Lien Term Loan B-3, 1 Month LIBOR +5.25% | 5.33 | 2/3/2028 | 4,478,000 | e | 4,470,544 | ||||
Mayfield Agency Borrower, First Lien Term Loan B, 1 Month LIBOR +4.50% | 4.58 | 2/28/2025 | 4,382,804 | e | 4,382,804 | ||||
9,640,837 | |||||||||
Materials - .3% | |||||||||
LABL, USD Facility Term Loan B, 1 Month LIBOR +4.00% | 4.08 | 7/2/2026 | 3,076,515 | e | 3,076,900 | ||||
Media - .8% | |||||||||
DIRECTV Financing, Closing Date Term Loan, 3 Month LIBOR +5.00% | 5.75 | 8/2/2027 | 7,060,000 | e | 7,072,496 | ||||
Radiate Holdco, Term Loan B, 1 Month LIBOR +3.50% | 4.25 | 9/25/2026 | 2,359,058 | e | 2,359,742 | ||||
9,432,238 | |||||||||
Retailing - .5% | |||||||||
Great Outdoors Group, Term Loan B-1, 3 Month LIBOR +4.25% | 5.00 | 3/5/2028 | 3,971,615 | e | 3,992,963 | ||||
Staples, 2019 Refinancing New Term Loan B-1, 3 Month LIBOR +5.00% | 5.13 | 4/12/2026 | 1,308,308 | e | 1,251,069 | ||||
5,244,032 | |||||||||
Technology Hardware & Equipment - .4% | |||||||||
Atlas CC Acquisition, First Lien Term Loan B, 3 Month LIBOR +4.25% | 5.00 | 5/25/2028 | 3,332,526 | e | 3,349,422 | ||||
Atlas CC Acquisition, First Lien Term Loan C, 3 Month LIBOR +4.25% | 5.00 | 5/25/2028 | 677,802 | e | 681,238 | ||||
4,030,660 |
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Floating Rate Loan Interests - 7.0% (continued) | |||||||||
Telecommunication Services - .4% | |||||||||
Cyxtera DC Holdings, First Lien Initial Term Loan, 6 Month LIBOR +3.00% | 4.00 | 5/1/2024 | 1,698,454 | e | 1,688,747 | ||||
West, Initial Term Loan B, 3 Month LIBOR +4.00% | 5.00 | 10/10/2024 | 2,653,492 | e | 2,618,638 | ||||
4,307,385 | |||||||||
Total Floating Rate Loan Interests | 79,660,035 | ||||||||
Description | Shares |
| Value ($) | ||||||
Common Stocks - .1% | |||||||||
Information Technology - .0% | |||||||||
Skillsoft | 46,443 | g | 542,919 | ||||||
Media - .1% | |||||||||
Altice USA, Cl. A | 29,000 | g | 600,880 | ||||||
Total Common Stocks | 1,143,799 | ||||||||
| |||||||||
Exchange-Traded Funds - 1.0% | |||||||||
Registered Investment Companies - 1.0% | |||||||||
iShares iBoxx High Yield Corporate Bond ETF | 64,752 | c | 5,665,152 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 51,886 | c | 5,674,253 | ||||||
Total Exchange-Traded Funds | 11,339,405 | ||||||||
Description | Annualized | Maturity Date | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - .1% | |||||||||
U.S. Government Securities | |||||||||
U.S. Treasury Bills | 0.02 | 10/28/2021 | 1,055,000 | h | 1,054,952 | ||||
Description | 1-Day | Shares |
| Value ($) | |||||
Investment Companies - 3.4% | |||||||||
Registered Investment Companies - 3.4% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.06 | 38,981,467 | i | 38,981,467 | |||||
| |||||||||
Investment of Cash Collateral for Securities Loaned - 4.2% | |||||||||
Registered Investment Companies - 4.2% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 0.02 | 48,364,071 | i | 48,364,071 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Total Investments (cost $1,165,513,894) | 104.5% | 1,192,770,864 | ||
Liabilities, Less Cash and Receivables | (4.5%) | (50,926,238) | ||
Net Assets | 100.0% | 1,141,844,626 |
ETF—Exchange-Traded Fund
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
SPDR—Standard & Poor's Depository Receipt
EUR—Euro
GBP—British Pound
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 September 30, 2021, these securities were valued at $842,875,472 or 73.82% of net assets.
c Security, or portion thereof, on loan. At September 30, 2021, the value of the fund’s securities on loan was $59,487,916 and the value of the collateral was $63,404,659, consisting of cash collateral of $48,364,071 and U.S. Government & Agency securities valued at $15,040,588.
d Payment-in-kind security and interest may be paid in additional par.
e Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
f Purchased on a when—issued basis.
g Non-income producing security.
h Security is a discount security. Income is recognized through the accretion of discount.
i Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF INVESTMENTS
BNY Mellon High Yield Fund
September 30, 2021 (Unaudited)
The following is a summary of the inputs used as of September 30, 2021 in valuing the fund’s investments:
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) | ||||
Investments in Securities: † | ||||
Collateralized Loan Obligations | − | 40,076,212 | − | 40,076,212 |
Corporate Bonds | − | 972,150,923 | − | 972,150,923 |
Equity Securities – Common Stocks | 1,143,799 | − | − | 1,143,799 |
Exchange-Traded Funds | 11,339,405 | − | − | 11,339,405 |
Floating Rate Loan Interests | − | 79,660,035 | − | 79,660,035 |
Investment Companies | 87,345,538 | − | − | 87,345,538 |
U.S. Treasury Securities | − | 1,054,952 | − | 1,054,952 |
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts†† | − | 361,483 | − | 361,483 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation at period end.
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon High Yield Fund
September 30, 2021 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation ($) |
Goldman Sachs | |||||
United States Dollar | 2,597,345 | British Pound | 1,920,000 | 10/28/2021 | 10,244 |
United States Dollar | 43,928,129 | Euro | 37,600,000 | 10/28/2021 | 351,239 |
Gross Unrealized Appreciation | 361,483 |
See notes to financial statements.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), 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 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 a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
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.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest on the loans adjust periodically by reference to a base lending rate, such as the London Interbank Offered Rate (“LIBOR”) plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
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 September 30, 2021 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments.
The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
At September 30, 2021, accumulated net unrealized appreciation on investments was $27,256,970, consisting of $32,893,344 gross unrealized appreciation and $5,636,374 gross unrealized depreciation.
At September 30, 2021, 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.