UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number | 811-05202 | |||||
BNY Mellon Investment Funds IV, Inc. | ||||||
(Exact name of Registrant as specified in charter) | ||||||
c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street New York, New York 10286 | ||||||
(Address of principal executive offices) (Zip code) | ||||||
Deirdre Cunnane, Esq. 240 Greenwich Street New York, New York 10286 | ||||||
(Name and address of agent for service) | ||||||
Registrant's telephone number, including area code: | (212) 922-6400 | |||||
Date of fiscal year end:
| 10/31 | |||||
Date of reporting period: | 10/31/2021
| |||||
The following N-CSR relates only to the Registrant's series listed below and does not relate to any series of the Registrant with a different fiscal year end and, therefore, different N-CSR reporting requirements. A separate N-CSR will be filed for any series with a different fiscal year end, as appropriate.
BNY Mellon Bond Market Index Fund
BNY Mellon Institutional S&P 500 Stock Index Fund
BNY Mellon Tax Managed Growth Fund
FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon Bond Market Index Fund
ANNUAL REPORT October 31, 2021 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.im.bnymellon.com and sign up for eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through October 31, 2021, as provided by Nancy G. Rogers, CFA, Portfolio Managers
Market and Fund Performance Overview
For the 12-month period ended October 31, 2021, the BNY Mellon Bond Market Index Fund’s Class I shares produced a total return of -0.51%, and its Investor shares produced a total return of -0.67%.1 In comparison, the Bloomberg U.S. Aggregate Bond Index (the “Index”) achieved a total return of -0.48% for the same period.2
Investment-grade, U.S. fixed-income securities produced negative returns over the reporting period in an environment of rising rates and economic recovery. The difference in returns between the fund and the Index was primarily the result of operating expenses that are not reflected in the Index’s results.
The Fund’s Investment Approach
The fund seeks to match the total return of the Index. To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in bonds that are included in the Index (or other instruments with similar economic characteristics). To maintain liquidity, the fund may invest up to 20% of its assets in various short-term, fixed-income securities and money market instruments.
The fund’s investments are selected by a “sampling” process, which is a statistical process used to select bonds so that the fund has investment characteristics that closely approximate those of the Index. By using this sampling process, the fund typically will not invest in all of the securities in the Index.
Economic Recovery, Inflation and Tapering Concerns Weigh on the Market
Fixed-income markets posted a negative performance during the reporting period, which was driven by intermittent concerns about the pandemic, worries about inflation and questions about when the Federal Reserve (the “Fed”) would begin tapering its bond purchases. Losses were largely due to yield-curve steepening at the long end of the curve.
With the approval of COVID-19 vaccines early in November 2020, investors exhibited an increased risk appetite. As investors shifted to risk assets, prices on longer Treasury securities fell, causing yields to rise. In addition, the Fed remained dovish, leaving short-term interest rates unchanged and continuing its bond purchasing program.
In 2021, risk appetites remained strong with the passage of an additional $1.9 trillion federal stimulus and a proposal for $2.3 trillion more to come. The Fed also remained accommodative and was expected to remain so through at least the end of the year. As a result, the Treasury yield curve experienced continued steepening on expectations of robust economic growth.
The combination of increased fiscal stimulus and easy monetary policy led to some rising concerns about inflation and questions about whether the Fed would begin to reduce its bond purchases sooner than expected. These concerns also contributed further to the yield-curve steepening, and the yield on the 10-year Treasury note hit a high of 1.74%, while the Index experienced a loss of 3.37% over the last year.
In the second quarter of 2021, the Fed calmed the market, signaling that it would not be tapering its bond purchase program in the near term. It also termed the rise in inflation as “transitory” and therefore not a concern to fixed-income investors. The Delta variant of COVID-19 also emerged, casting some doubt on the pace of economic recovery.
In the third quarter of 2021, returns in the fixed-income market were muted. Inflation remained a focus as investors tried to determine whether the higher inflation rate was indeed going to be
2
“transitory” as the Fed termed it. Supply-chain issues emerged as a threat to the economy and as a driver of higher prices. The stability of the global economy also came into question with the financial difficulties of Evergrande, a Chinese real estate developer. In the U.S., concerns about whether the debt ceiling would be raised by Congress also factored into the market environment.
The Fed met seven times during the period and left rates unchanged. While it did not taper its purchases of Treasury and mortgage securities, it announced shortly after the reporting period that it would begin to do so.
Treasuries Lead Market Lower
The Index posted weak results during the period, led by Treasuries, which make up approximately 38% of the Index. Treasuries posted a loss of -2.45% as a result of the large run-up in yields. This rise stemmed from the increase in risk appetite that led investors into other segments of the fixed-income market and other risk assets. Concerns about inflation and the beginning of the Fed’s tapering program also helped drive rates up. Mortgage-backed securities were also a drag on performance, underperforming risk neutral (or duration neutral) Treasuries despite ongoing Fed purchases.
On the other hand, other spread sectors of the market performed relatively well. Corporate bonds outperformed risk neutral (or duration neutral) Treasuries by 499 bps, led in particular by the financial sector. The industrial sector also performed well, and within this sector, the energy industry led the way, driven in part by inflation concerns.
Replicating the Composition of the Index
As an index fund, we attempt to match closely the returns of the Index by approximating its composition and credit quality. Although we do not actively manage the fund’s investments in response to the macroeconomic environment, we continue to monitor factors which affect the fund’s investments.
November 15, 2021
¹ Total return includes reinvestment of dividends and any capital gains paid. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement. Had these expenses not been absorbed, returns would have been lower. Past performance is no guarantee of future results. Share price, yield and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost.
² Source: Lipper Inc. — The Bloomberg U.S. Aggregate Bond Index is a broad-based, flagship benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market. The Index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and nonagency). Investors cannot invest directly in any index.
Bonds are subject generally to interest-rate, credit, liquidity and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines.
American Depositary Receipts (ADR) may be subject to certain of the risks associated with direct investments in the securities of foreign companies, such as currency risk, political and economic risk and market risk, because their values depend on the performance of the nondollar denominated underlying foreign securities. Certain countries may limit the ability to convert ADRs into the underlying foreign securities and vice versa, which may cause the securities of the foreign company to trade at a discount or premium to the market price of the related ADR.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
Indexing does not attempt to manage market volatility, use defensive strategies, or reduce the effects of any long-term periods of poor index performance. The correlation between fund and index performance may be affected by the fund’s expenses and use of sampling techniques, changes in securities markets, changes in the composition of the index, and the timing of purchases and redemptions of fund shares.
3
FUND PERFORMANCE (Unaudited)
Comparison of change in value of a $10,000 investment in Investor shares and Class I shares of BNY Mellon Bond Market Index Fund with a hypothetical investment of $10,000 in the Bloomberg U.S. Aggregate Bond Index (the “Index”).
† Source: Lipper Inc.
Past performance is not predictive of future performance.
The above graph compares a hypothetical investment of $10,000 made in each of the Investor shares and Class I shares of BNY Mellon Bond Market Index Fund on 10/31/11 to a hypothetical investment of $10,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses for Class I shares and Investor shares. The Index is a broad-based flagship benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market. The Index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and nonagency). Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
4
Average Annual Total Returns as of 10/31/2021 | |||
| 1 Year | 5 Years | 10 Years |
Class I shares | -0.51% | 2.94% | 2.79% |
Investor shares | -0.67% | 2.70% | 2.55% |
Bloomberg U.S. Aggregate Bond Index | -0.48% | 3.10% | 3.00% |
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to www.im.bnymellon.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Bond Market Index Fund from May 1, 2021 to October 31, 2021. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment |
| |||
Assume actual returns for the six months ended October 31, 2021 |
| |||
|
|
|
|
|
|
| Class I | Investor Shares |
|
Expenses paid per $1,000† | $.76 | $2.03 |
| |
Ending value (after expenses) | $1,009.50 | $1,009.20 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| |||
Assuming a hypothetical 5% annualized return for the six months ended October 31, 2021 |
| |||
|
|
|
|
|
|
| Class I | Investor Shares |
|
Expenses paid per $1,000† | $.77 | $2.04 |
| |
Ending value (after expenses) | $1,024.45 | $1,023.19 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of .15% for Class I and .40% for Investor Shares, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
October 31, 2021
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% | |||||||||
Advertising - .0% | |||||||||
WPP Finance, Gtd. Notes | 3.75 | 9/19/2024 | 350,000 | 375,918 | |||||
Aerospace & Defense - .4% | |||||||||
L3Harris Technologies, Sr. Unscd. Notes | 5.05 | 4/27/2045 | 200,000 | 266,576 | |||||
Lockheed Martin, Sr. Unscd. Bonds | 3.60 | 3/1/2035 | 250,000 | 281,250 | |||||
Lockheed Martin, Sr. Unscd. Notes | 3.55 | 1/15/2026 | 235,000 | 256,096 | |||||
Lockheed Martin, Sr. Unscd. Notes | 4.07 | 12/15/2042 | 250,000 | 300,091 | |||||
Northrop Grumman, Sr. Unscd. Notes | 4.03 | 10/15/2047 | 160,000 | 192,097 | |||||
Raytheon Technologies, Sr. Unscd. Notes | 3.13 | 5/4/2027 | 110,000 | 117,865 | |||||
Raytheon Technologies, Sr. Unscd. Notes | 4.13 | 11/16/2028 | 210,000 | 238,107 | |||||
Raytheon Technologies, Sr. Unscd. Notes | 4.63 | 11/16/2048 | 105,000 | 136,256 | |||||
Raytheon Technologies, Sr. Unscd. Notes | 5.70 | 4/15/2040 | 300,000 | 416,866 | |||||
Raytheon Technologies, Sr. Unscd. Notes | 6.70 | 8/1/2028 | 50,000 | 64,523 | |||||
Raytheon Technologies, Sr. Unscd. Notes | 7.20 | 8/15/2027 | 150,000 | 192,886 | |||||
The Boeing Company, Sr. Unscd. Notes | 2.95 | 2/1/2030 | 125,000 | 126,506 | |||||
The Boeing Company, Sr. Unscd. Notes | 3.50 | 3/1/2039 | 200,000 | 203,138 | |||||
The Boeing Company, Sr. Unscd. Notes | 3.75 | 2/1/2050 | 125,000 | 131,700 | |||||
The Boeing Company, Sr. Unscd. Notes | 3.83 | 3/1/2059 | 100,000 | 101,741 | |||||
The Boeing Company, Sr. Unscd. Notes | 4.88 | 5/1/2025 | 280,000 | 309,428 | |||||
The Boeing Company, Sr. Unscd. Notes | 5.15 | 5/1/2030 | 250,000 | 291,804 | |||||
The Boeing Company, Sr. Unscd. Notes | 5.93 | 5/1/2060 | 390,000 | 549,645 | |||||
4,176,575 | |||||||||
Agriculture - .3% | |||||||||
Altria Group, Gtd. Notes | 2.35 | 5/6/2025 | 500,000 | 515,651 | |||||
Altria Group, Gtd. Notes | 2.45 | 2/4/2032 | 85,000 | 80,740 | |||||
Altria Group, Gtd. Notes | 3.40 | 2/4/2041 | 80,000 | 74,807 | |||||
Altria Group, Gtd. Notes | 4.00 | 2/4/2061 | 105,000 | 100,714 | |||||
Altria Group, Gtd. Notes | 4.80 | 2/14/2029 | 300,000 | 341,997 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Agriculture - .3% (continued) | |||||||||
Archer-Daniels-Midland, Sr. Unscd. Notes | 2.50 | 8/11/2026 | 350,000 | 368,630 | |||||
BAT Capital, Gtd. Notes | 3.22 | 8/15/2024 | 310,000 | 326,067 | |||||
BAT Capital, Gtd. Notes | 3.56 | 8/15/2027 | 310,000 | 328,463 | |||||
BAT Capital, Gtd. Notes | 4.39 | 8/15/2037 | 180,000 | 192,657 | |||||
BAT International Finance, Gtd. Notes | 1.67 | 3/25/2026 | 400,000 | 395,695 | |||||
Philip Morris International, Sr. Unscd. Notes | 4.50 | 3/20/2042 | 300,000 | 351,216 | |||||
Reynolds American, Gtd. Notes | 5.70 | 8/15/2035 | 240,000 | 284,830 | |||||
3,361,467 | |||||||||
Airlines - .2% | |||||||||
American Airlines Pass Through Trust, Ser. 2016-1, Cl. AA | 3.58 | 1/15/2028 | 415,220 | 421,465 | |||||
JetBlue Pass Through Trust, Ser. 2019-1, Cl. AA | 2.75 | 5/15/2032 | 281,711 | 290,535 | |||||
Southwest Airlines, Sr. Unscd. Notes | 5.13 | 6/15/2027 | 125,000 | 144,282 | |||||
Southwest Airlines, Sr. Unscd. Notes | 5.25 | 5/4/2025 | 200,000 | 224,288 | |||||
United Airlines Pass Through Trust, Ser. 2013-1, Cl. A | 4.30 | 8/15/2025 | 652,959 | 695,834 | |||||
1,776,404 | |||||||||
Asset-Backed Certificates - .0% | |||||||||
Verizon Owner Trust, Ser. 2020-B, Cl. A | 0.47 | 2/20/2025 | 300,000 | 300,011 | |||||
Asset-Backed Certificates/Auto Receivables - .1% | |||||||||
AmeriCredit Automobile Receivables Trust, Ser. 2021-1, CI. A3 | 0.37 | 8/18/2025 | 50,000 | 49,909 | |||||
Ford Credit Floorplan Master Owner Trust, Ser. 2019-3, Cl. A1 | 2.23 | 9/15/2024 | 150,000 | 152,485 | |||||
Honda Auto Receivables Owner Trust, Ser. 2021-1, CI. A4 | 0.42 | 1/21/2028 | 400,000 | 396,054 | |||||
Hyundai Auto Receivables Trust, Ser. 2020-A, Cl. A4 | 1.72 | 6/15/2026 | 100,000 | 101,775 | |||||
Santander Drive Auto Receivables Trust, Ser. 2021-1, Cl. D | 1.13 | 11/16/2026 | 300,000 | 299,382 | |||||
Santander Drive Auto Receivables Trust, Ser.2021-2, Cl. A3 | 0.34 | 2/18/2025 | 100,000 | 99,867 | |||||
Toyota Auto Receivables Owner Trust, Ser. 2021-A, Cl. A4 | 0.39 | 6/15/2026 | 300,000 | 295,480 | |||||
1,394,952 | |||||||||
Automobiles & Components - .6% | |||||||||
American Honda Finance, Sr. Unscd. Notes | 1.00 | 9/10/2025 | 200,000 | 198,557 | |||||
American Honda Finance, Sr. Unscd. Notes | 1.20 | 7/8/2025 | 300,000 | 299,487 |
8
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Automobiles & Components - .6% (continued) | |||||||||
Aptiv, Gtd. Notes | 4.25 | 1/15/2026 | 400,000 | 440,766 | |||||
BorgWarner, Sr. Unscd. Notes | 3.38 | 3/15/2025 | 500,000 | a | 530,356 | ||||
Cummins, Sr. Unscd. Notes | 1.50 | 9/1/2030 | 200,000 | 190,757 | |||||
Cummins, Sr. Unscd. Notes | 2.60 | 9/1/2050 | 100,000 | 95,792 | |||||
Daimler Finance North America, Gtd. Notes | 8.50 | 1/18/2031 | 200,000 | 301,658 | |||||
General Motors, Sr. Unscd. Notes | 4.20 | 10/1/2027 | 180,000 | 196,853 | |||||
General Motors, Sr. Unscd. Notes | 5.20 | 4/1/2045 | 340,000 | 425,393 | |||||
General Motors Financial, Gtd. Notes | 4.30 | 7/13/2025 | 500,000 | 544,108 | |||||
General Motors Financial, Sr. Unscd. Notes | 1.25 | 1/8/2026 | 200,000 | 196,283 | |||||
General Motors Financial, Sr. Unscd. Notes | 2.35 | 1/8/2031 | 200,000 | 194,503 | |||||
General Motors Financial, Sr. Unscd. Notes | 2.40 | 4/10/2028 | 300,000 | 298,925 | |||||
General Motors Financial, Sr. Unscd. Notes | 2.70 | 6/10/2031 | 30,000 | 29,672 | |||||
General Motors Financial, Sr. Unscd. Notes | 2.75 | 6/20/2025 | 200,000 | 207,747 | |||||
General Motors Financial, Sr. Unscd. Notes | 3.60 | 6/21/2030 | 200,000 | 213,193 | |||||
Magna International, Sr. Unscd. Notes | 2.45 | 6/15/2030 | 200,000 | 203,454 | |||||
Toyota Motor, Sr. Unscd. Bonds | 3.67 | 7/20/2028 | 200,000 | 222,453 | |||||
Toyota Motor Credit, Sr. Unscd. Notes | 0.80 | 1/9/2026 | 200,000 | 196,292 | |||||
Toyota Motor Credit, Sr. Unscd. Notes | 1.65 | 1/10/2031 | 300,000 | 288,864 | |||||
Toyota Motor Credit, Sr. Unscd. Notes | 2.00 | 10/7/2024 | 370,000 | 381,572 | |||||
5,656,685 | |||||||||
Banks - 5.8% | |||||||||
Banco Santander, Sr. Unscd. Notes | 3.80 | 2/23/2028 | 400,000 | 437,711 | |||||
Bank of America, Sr. Unscd. Notes | 1.20 | 10/24/2026 | 250,000 | 245,943 | |||||
Bank of America, Sr. Unscd. Notes | 1.32 | 6/19/2026 | 200,000 | 198,529 | |||||
Bank of America, Sr. Unscd. Notes | 1.90 | 7/23/2031 | 200,000 | 191,218 | |||||
Bank of America, Sr. Unscd. Notes | 1.92 | 10/24/2031 | 250,000 | 238,614 | |||||
Bank of America, Sr. Unscd. Notes | 2.30 | 7/21/2032 | 160,000 | 156,662 | |||||
Bank of America, Sr. Unscd. Notes | 2.46 | 10/22/2025 | 200,000 | 206,905 | |||||
Bank of America, Sr. Unscd. Notes | 2.50 | 2/13/2031 | 470,000 | 472,279 | |||||
Bank of America, Sr. Unscd. Notes | 2.57 | 10/20/2032 | 125,000 | 125,361 | |||||
Bank of America, Sr. Unscd. Notes | 2.59 | 4/29/2031 | 250,000 | 253,072 | |||||
Bank of America, Sr. Unscd. Notes | 2.68 | 6/19/2041 | 145,000 | 139,881 | |||||
Bank of America, Sr. Unscd. Notes | 2.69 | 4/22/2032 | 225,000 | 227,991 | |||||
Bank of America, Sr. Unscd. Notes | 2.83 | 10/24/2051 | 250,000 | 246,679 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Banks - 5.8% (continued) | |||||||||
Bank of America, Sr. Unscd. Notes | 2.88 | 10/22/2030 | 300,000 | 310,840 | |||||
Bank of America, Sr. Unscd. Notes | 2.97 | 7/21/2052 | 85,000 | 85,858 | |||||
Bank of America, Sr. Unscd. Notes | 3.00 | 12/20/2023 | 744,000 | 763,725 | |||||
Bank of America, Sr. Unscd. Notes | 3.19 | 7/23/2030 | 130,000 | 137,962 | |||||
Bank of America, Sr. Unscd. Notes | 3.31 | 4/22/2042 | 170,000 | 180,299 | |||||
Bank of America, Sr. Unscd. Notes | 3.82 | 1/20/2028 | 310,000 | 338,277 | |||||
Bank of America, Sr. Unscd. Notes | 3.86 | 7/23/2024 | 150,000 | 157,556 | |||||
Bank of America, Sr. Unscd. Notes | 3.95 | 1/23/2049 | 75,000 | 88,603 | |||||
Bank of America, Sr. Unscd. Notes | 3.97 | 3/5/2029 | 150,000 | 166,260 | |||||
Bank of America, Sr. Unscd. Notes | 3.97 | 2/7/2030 | 300,000 | 333,609 | |||||
Bank of America, Sr. Unscd. Notes | 4.24 | 4/24/2038 | 160,000 | 187,581 | |||||
Bank of America, Sr. Unscd. Notes | 4.27 | 7/23/2029 | 180,000 | 202,556 | |||||
Bank of America, Sr. Unscd. Notes | 4.33 | 3/15/2050 | 145,000 | 180,679 | |||||
Bank of America, Sr. Unscd. Notes | 5.00 | 1/21/2044 | 500,000 | 657,835 | |||||
Bank of America, Sr. Unscd. Notes, Ser. N | 3.48 | 3/13/2052 | 50,000 | 55,363 | |||||
Bank of America, Sub. Notes | 4.00 | 1/22/2025 | 500,000 | 539,144 | |||||
Bank of America, Sub. Notes, Ser. L | 4.18 | 11/25/2027 | 500,000 | 551,133 | |||||
Bank of Montreal, Sr. Unscd. Notes | 0.95 | 1/22/2027 | 600,000 | 584,240 | |||||
Bank of Montreal, Sr. Unscd. Notes | 2.05 | 11/1/2022 | 300,000 | a | 305,083 | ||||
BankUnited, Sub. Notes | 5.13 | 6/11/2030 | 200,000 | 229,466 | |||||
Barclays, Sr. Unscd. Notes | 4.34 | 1/10/2028 | 200,000 | 220,849 | |||||
Barclays, Sr. Unscd. Notes | 4.38 | 1/12/2026 | 200,000 | 220,327 | |||||
BPCE, Gtd. Notes | 4.00 | 4/15/2024 | 200,000 | 214,668 | |||||
Canadian Imperial Bank of Commerce, Sr. Unscd. Notes | 0.95 | 6/23/2023 | 200,000 | 200,947 | |||||
Citigroup, Sr. Unscd. Notes | 1.68 | 5/15/2024 | 500,000 | 507,480 | |||||
Citigroup, Sr. Unscd. Notes | 3.11 | 4/8/2026 | 750,000 | 790,222 | |||||
Citigroup, Sr. Unscd. Notes | 3.67 | 7/24/2028 | 500,000 | 541,379 | |||||
Citigroup, Sr. Unscd. Notes | 3.88 | 1/24/2039 | 60,000 | 68,631 | |||||
Citigroup, Sr. Unscd. Notes | 4.08 | 4/23/2029 | 100,000 | 111,586 | |||||
Citigroup, Sr. Unscd. Notes | 4.28 | 4/24/2048 | 200,000 | 250,613 | |||||
Citigroup, Sr. Unscd. Notes | 4.65 | 7/23/2048 | 150,000 | 197,323 | |||||
Citigroup, Sr. Unscd. Notes | 6.63 | 1/15/2028 | 100,000 | a | 126,233 | ||||
Citigroup, Sub. Notes | 5.50 | 9/13/2025 | 500,000 | 570,513 | |||||
Citigroup, Sub. Notes | 6.68 | 9/13/2043 | 250,000 | 382,177 | |||||
Cooperatieve Rabobank, Sr. Unscd. Notes | 0.38 | 1/12/2024 | 300,000 | 297,116 | |||||
Credit Suisse, Sr. Unscd. Notes | 2.95 | 4/9/2025 | 250,000 | 263,330 | |||||
Credit Suisse Group, Sr. Unscd. Notes | 3.75 | 3/26/2025 | 500,000 | 535,369 | |||||
Deutsche Bank, Sr. Unscd. Notes | 2.13 | 11/24/2026 | 200,000 | 201,029 | |||||
Deutsche Bank, Sr. Unscd. Notes | 3.96 | 11/26/2025 | 400,000 | 427,891 |
10
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Banks - 5.8% (continued) | |||||||||
Discover Bank, Sr. Unscd. Notes | 4.25 | 3/13/2026 | 400,000 | 442,659 | |||||
Fifth Third Bancorp, Sr. Unscd. Notes | 2.55 | 5/5/2027 | 200,000 | 207,839 | |||||
HSBC Holdings, Sr. Unscd. Notes | 1.59 | 5/24/2027 | 200,000 | 196,618 | |||||
HSBC Holdings, Sr. Unscd. Notes | 2.63 | 11/7/2025 | 400,000 | 413,752 | |||||
HSBC Holdings, Sr. Unscd. Notes | 3.90 | 5/25/2026 | 295,000 | 320,699 | |||||
HSBC Holdings, Sr. Unscd. Notes | 3.97 | 5/22/2030 | 300,000 | 328,326 | |||||
HSBC Holdings, Sr. Unscd. Notes | 4.95 | 3/31/2030 | 400,000 | 471,313 | |||||
HSBC Holdings, Sub. Notes | 4.25 | 3/14/2024 | 500,000 | 532,597 | |||||
HSBC Holdings, Sub. Notes | 6.50 | 5/2/2036 | 450,000 | 613,813 | |||||
ING Groep, Sr. Unscd. Notes | 3.55 | 4/9/2024 | 300,000 | 318,665 | |||||
Intesa Sanpaolo, Gtd. Bonds | 5.25 | 1/12/2024 | 400,000 | 434,760 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 0.56 | 2/16/2025 | 400,000 | 396,010 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 1.05 | 11/19/2026 | 150,000 | 146,437 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 1.58 | 4/22/2027 | 300,000 | 297,240 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 1.76 | 11/19/2031 | 75,000 | 71,099 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.08 | 4/22/2026 | 250,000 | 255,083 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.30 | 10/15/2025 | 230,000 | 237,085 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.52 | 4/22/2031 | 390,000 | 394,965 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.53 | 11/19/2041 | 80,000 | 76,085 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.58 | 4/22/2032 | 300,000 | 302,517 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.74 | 10/15/2030 | 220,000 | 225,623 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.11 | 4/22/2041 | 75,000 | 77,800 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.20 | 1/25/2023 | 500,000 | 516,820 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.30 | 4/1/2026 | 500,000 | 535,055 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.51 | 1/23/2029 | 135,000 | 145,876 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.80 | 7/23/2024 | 140,000 | 147,185 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.90 | 1/23/2049 | 105,000 | 123,288 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.96 | 11/15/2048 | 200,000 | 236,178 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Banks - 5.8% (continued) | |||||||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.01 | 4/23/2029 | 200,000 | 222,198 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.20 | 7/23/2029 | 150,000 | 168,359 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.26 | 2/22/2048 | 400,000 | 491,438 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.49 | 3/24/2031 | 300,000 | 348,147 | |||||
JPMorgan Chase & Co., Sub. Notes | 3.63 | 12/1/2027 | 500,000 | 539,817 | |||||
JPMorgan Chase & Co., Sub. Notes | 3.88 | 9/10/2024 | 500,000 | 537,720 | |||||
KeyBank, Sr. Unscd. Notes | 0.42 | 1/3/2024 | 200,000 | 199,713 | |||||
KeyBank, Sr. Unscd. Notes | 3.30 | 6/1/2025 | 400,000 | 429,457 | |||||
KeyBank, Sub. Notes | 6.95 | 2/1/2028 | 100,000 | 127,185 | |||||
KfW, Gov't Gtd. Bonds | 0.38 | 7/18/2025 | 245,000 | 239,304 | |||||
KfW, Gov't Gtd. Notes | 0.63 | 1/22/2026 | 250,000 | 244,928 | |||||
KfW, Gov't Gtd. Notes | 2.00 | 5/2/2025 | 1,100,000 | a | 1,140,644 | ||||
KfW, Gov't Gtd. Notes | 2.38 | 12/29/2022 | 805,000 | 824,075 | |||||
Landwirtschaftliche Rentenbank, Gov't Gtd. Notes | 2.38 | 6/10/2025 | 500,000 | 525,274 | |||||
Landwirtschaftliche Rentenbank, Gov't Gtd. Notes | 3.13 | 11/14/2023 | 400,000 | 420,607 | |||||
Lloyds Banking Group, Sr. Unscd. Notes | 4.55 | 8/16/2028 | 500,000 | 570,967 | |||||
Lloyds Banking Group, Sub. Notes | 4.58 | 12/10/2025 | 820,000 | 907,028 | |||||
Mitsubishi UFJ Financial Group, Sr. Unscd. Notes | 1.41 | 7/17/2025 | 200,000 | 199,667 | |||||
Mitsubishi UFJ Financial Group, Sr. Unscd. Notes | 2.05 | 7/17/2030 | 200,000 | 194,906 | |||||
Mitsubishi UFJ Financial Group, Sr. Unscd. Notes | 3.76 | 7/26/2023 | 300,000 | 316,021 | |||||
Mitsubishi UFJ Financial Group, Sr. Unscd. Notes | 4.29 | 7/26/2038 | 200,000 | 240,830 | |||||
Mizuho Financial Group, Sr. Unscd. Notes | 1.24 | 7/10/2024 | 200,000 | 201,397 | |||||
Mizuho Financial Group, Sr. Unscd. Notes | 2.20 | 7/10/2031 | 200,000 | 195,073 | |||||
Morgan Stanley, Sr. Unscd. Notes | 0.53 | 1/25/2024 | 300,000 | 299,469 | |||||
Morgan Stanley, Sr. Unscd. Notes | 0.56 | 11/10/2023 | 75,000 | 74,953 | |||||
Morgan Stanley, Sr. Unscd. Notes | 1.51 | 7/20/2027 | 140,000 | 137,756 | |||||
Morgan Stanley, Sr. Unscd. Notes | 1.59 | 5/4/2027 | 300,000 | 297,294 | |||||
Morgan Stanley, Sr. Unscd. Notes | 1.79 | 2/13/2032 | 75,000 | 70,705 | |||||
Morgan Stanley, Sr. Unscd. Notes | 2.24 | 7/21/2032 | 155,000 | 151,447 | |||||
Morgan Stanley, Sr. Unscd. Notes | 2.51 | 10/20/2032 | 95,000 | 94,847 | |||||
Morgan Stanley, Sr. Unscd. Notes | 2.70 | 1/22/2031 | 175,000 | 178,989 | |||||
Morgan Stanley, Sr. Unscd. Notes | 2.72 | 7/22/2025 | 100,000 | 103,862 |
12
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Banks - 5.8% (continued) | |||||||||
Morgan Stanley, Sr. Unscd. Notes | 3.13 | 1/23/2023 | 150,000 | 154,717 | |||||
Morgan Stanley, Sr. Unscd. Notes | 3.22 | 4/22/2042 | 300,000 | 315,690 | |||||
Morgan Stanley, Sr. Unscd. Notes | 3.63 | 1/20/2027 | 380,000 | 413,139 | |||||
Morgan Stanley, Sr. Unscd. Notes | 3.77 | 1/24/2029 | 180,000 | 197,794 | |||||
Morgan Stanley, Sr. Unscd. Notes | 4.00 | 7/23/2025 | 500,000 | 545,901 | |||||
Morgan Stanley, Sr. Unscd. Notes | 4.38 | 1/22/2047 | 500,000 | 631,737 | |||||
Morgan Stanley, Sr. Unscd. Notes | 7.25 | 4/1/2032 | 300,000 | 432,965 | |||||
Morgan Stanley, Sub. Notes | 3.95 | 4/23/2027 | 500,000 | 549,035 | |||||
National Australia Bank, Sr. Unscd. Notes | 1.88 | 12/13/2022 | 250,000 | 254,332 | |||||
National Australia Bank, Sr. Unscd. Notes | 2.50 | 7/12/2026 | 250,000 | 262,164 | |||||
Natwest Group, Sr. Unscd. Notes | 4.80 | 4/5/2026 | 500,000 | 560,745 | |||||
Northern Trust, Sub. Notes | 3.95 | 10/30/2025 | 546,000 | 603,682 | |||||
PNC Bank, Sub. Notes | 3.80 | 7/25/2023 | 500,000 | 525,460 | |||||
Royal Bank of Canada, Sr. Unscd. Notes | 0.43 | 1/19/2024 | 300,000 | a | 297,500 | ||||
Royal Bank of Canada, Sr. Unscd. Notes | 1.15 | 6/10/2025 | 200,000 | 199,049 | |||||
Royal Bank of Canada, Sr. Unscd. Notes | 1.60 | 4/17/2023 | 250,000 | 253,964 | |||||
Royal Bank of Canada, Sr. Unscd. Notes | 1.95 | 1/17/2023 | 200,000 | 203,552 | |||||
Santander UK Group Holdings, Sr. Unscd. Notes | 1.09 | 3/15/2025 | 300,000 | 298,646 | |||||
State Street, Sr. Unscd. Notes | 3.15 | 3/30/2031 | 300,000 | 325,976 | |||||
State Street, Sub. Notes | 3.03 | 11/1/2034 | 225,000 | 235,548 | |||||
Sumitomo Mitsui Banking, Gtd. Bonds | 3.00 | 1/18/2023 | 290,000 | 298,678 | |||||
Sumitomo Mitsui Financial Group, Sr. Unscd. Notes | 0.51 | 1/12/2024 | 300,000 | 297,573 | |||||
Sumitomo Mitsui Financial Group, Sr. Unscd. Notes | 0.95 | 1/12/2026 | 300,000 | 292,597 | |||||
Sumitomo Mitsui Financial Group, Sr. Unscd. Notes | 3.45 | 1/11/2027 | 160,000 | 172,608 | |||||
Sumitomo Mitsui Financial Group, Sr. Unscd. Notes | 3.78 | 3/9/2026 | 500,000 | 544,784 | |||||
SVB Financial Group, Sr. Unscd. Notes | 3.13 | 6/5/2030 | 200,000 | 212,766 | |||||
The Bank of Nova Scotia, Sr. Unscd. Notes | 1.30 | 6/11/2025 | 200,000 | a | 200,005 | ||||
The Bank of Nova Scotia, Sr. Unscd. Notes | 1.30 | 9/15/2026 | 300,000 | 295,664 | |||||
The Bank of Nova Scotia, Sr. Unscd. Notes | 1.63 | 5/1/2023 | 250,000 | 254,074 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Banks - 5.8% (continued) | |||||||||
The Bank of Nova Scotia, Sr. Unscd. Notes | 2.00 | 11/15/2022 | 180,000 | 183,007 | |||||
The Bank of Nova Scotia, Sr. Unscd. Notes | 3.40 | 2/11/2024 | 200,000 | 211,132 | |||||
The Bank of Nova Scotia, Sub. Notes | 4.50 | 12/16/2025 | 500,000 | 556,929 | |||||
The Goldman Sachs Group, Sr. Unscd. Bonds | 4.22 | 5/1/2029 | 200,000 | 224,089 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 1.43 | 3/9/2027 | 150,000 | 147,763 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 1.54 | 9/10/2027 | 140,000 | 137,702 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 1.95 | 10/21/2027 | 130,000 | 130,175 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 2.38 | 7/21/2032 | 170,000 | 167,224 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 2.62 | 4/22/2032 | 300,000 | 301,447 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 2.65 | 10/21/2032 | 120,000 | 120,981 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 2.91 | 7/21/2042 | 65,000 | 64,965 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.21 | 4/22/2042 | 300,000 | 311,452 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.63 | 1/22/2023 | 500,000 | 518,453 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.63 | 2/20/2024 | 500,000 | 529,089 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.81 | 4/23/2029 | 150,000 | 164,462 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.85 | 1/26/2027 | 730,000 | 790,804 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes, Ser. FXD | 0.48 | 1/27/2023 | 300,000 | 299,281 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes, Ser. VAR | 0.63 | 11/17/2023 | 200,000 | 199,825 | |||||
The Goldman Sachs Group, Sub. Notes | 4.25 | 10/21/2025 | 130,000 | 142,579 | |||||
The Goldman Sachs Group, Sub. Notes | 6.75 | 10/1/2037 | 500,000 | 712,445 | |||||
The PNC Financial Services Group, Sr. Unscd. Notes | 2.20 | 11/1/2024 | 500,000 | 519,544 | |||||
The PNC Financial Services Group, Sr. Unscd. Notes | 3.45 | 4/23/2029 | 200,000 | 220,121 | |||||
The Toronto-Dominion Bank, Sr. Unscd. Notes | 0.75 | 6/12/2023 | 200,000 | 200,744 | |||||
The Toronto-Dominion Bank, Sr. Unscd. Notes | 0.75 | 1/6/2026 | 300,000 | 292,635 |
14
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Banks - 5.8% (continued) | |||||||||
The Toronto-Dominion Bank, Sr. Unscd. Notes | 1.15 | 6/12/2025 | 200,000 | 199,359 | |||||
The Toronto-Dominion Bank, Sr. Unscd. Notes | 1.90 | 12/1/2022 | 300,000 | a | 304,844 | ||||
The Toronto-Dominion Bank, Sr. Unscd. Notes | 3.50 | 7/19/2023 | 350,000 | 367,929 | |||||
Truist Bank, Sr. Unscd. Notes | 2.15 | 12/6/2024 | 250,000 | 258,400 | |||||
Truist Financial, Sr. Unscd. Notes | 1.20 | 8/5/2025 | 200,000 | a | 199,930 | ||||
Truist Financial, Sr. Unscd. Notes | 1.95 | 6/5/2030 | 200,000 | 198,401 | |||||
Truist Financial, Sr. Unscd. Notes | 2.50 | 8/1/2024 | 200,000 | 208,478 | |||||
Truist Financial, Sr. Unscd. Notes | 3.70 | 6/5/2025 | 300,000 | 325,204 | |||||
U.S. Bancorp, Sr. Unscd. Notes | 1.38 | 7/22/2030 | 200,000 | 189,200 | |||||
US Bank, Sr. Unscd. Notes | 3.40 | 7/24/2023 | 350,000 | 366,725 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 2.16 | 2/11/2026 | 145,000 | 148,430 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 2.19 | 4/30/2026 | 400,000 | 408,950 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 2.57 | 2/11/2031 | 545,000 | 551,638 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 3.07 | 4/30/2041 | 400,000 | 411,221 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 3.55 | 9/29/2025 | 200,000 | 215,442 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 4.15 | 1/24/2029 | 135,000 | 152,085 | |||||
Wells Fargo & Co., Sub. Notes | 4.10 | 6/3/2026 | 500,000 | 548,478 | |||||
Wells Fargo & Co., Sub. Notes | 4.30 | 7/22/2027 | 500,000 | 560,336 | |||||
Wells Fargo & Co., Sub. Notes | 4.65 | 11/4/2044 | 500,000 | 618,190 | |||||
Westpac Banking, Sr. Unscd. Notes | 2.00 | 1/13/2023 | 300,000 | 305,649 | |||||
Westpac Banking, Sr. Unscd. Notes | 2.85 | 5/13/2026 | 200,000 | 212,500 | |||||
Westpac Banking, Sub. Notes | 2.67 | 11/15/2035 | 200,000 | 195,272 | |||||
Westpac Banking, Sub. Notes | 2.96 | 11/16/2040 | 200,000 | 199,960 | |||||
58,607,875 | |||||||||
Beverage Products - .6% | |||||||||
Anheuser-Busch InBev Finance, Gtd. Notes | 4.00 | 1/17/2043 | 700,000 | 784,850 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 3.50 | 6/1/2030 | 100,000 | 109,719 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 3.65 | 2/1/2026 | 315,000 | 342,565 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 4.60 | 6/1/2060 | 140,000 | 175,383 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 4.60 | 4/15/2048 | 250,000 | 309,275 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 4.70 | 2/1/2036 | 590,000 | 714,319 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 5.45 | 1/23/2039 | 120,000 | 157,853 | |||||
Anheuser-Busch InBev Worldwide, Gtd. Notes | 5.80 | 1/23/2059 | 300,000 | 444,677 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Beverage Products - .6% (continued) | |||||||||
Constellation Brands, Sr. Unscd. Notes | 2.88 | 5/1/2030 | 400,000 | 414,325 | |||||
Diageo Capital, Gtd. Notes | 2.38 | 10/24/2029 | 300,000 | 307,461 | |||||
Diageo Investment, Gtd. Notes | 4.25 | 5/11/2042 | 250,000 | 308,582 | |||||
Keurig Dr. Pepper, Gtd. Notes | 4.06 | 5/25/2023 | 107,000 | 112,414 | |||||
Molson Coors Beverage, Gtd. Notes | 4.20 | 7/15/2046 | 150,000 | 168,189 | |||||
PepsiCo, Sr. Unscd. Notes | 2.63 | 7/29/2029 | 400,000 | 422,652 | |||||
PepsiCo, Sr. Unscd. Notes | 2.75 | 10/21/2051 | 40,000 | 41,313 | |||||
PepsiCo, Sr. Unscd. Notes | 3.50 | 7/17/2025 | 250,000 | 270,380 | |||||
The Coca-Cola Company, Sr. Unscd. Notes | 1.38 | 3/15/2031 | 200,000 | 188,820 | |||||
The Coca-Cola Company, Sr. Unscd. Notes | 2.88 | 5/5/2041 | 300,000 | 311,393 | |||||
The Coca-Cola Company, Sr. Unscd. Notes | 3.00 | 3/5/2051 | 200,000 | 213,208 | |||||
5,797,378 | |||||||||
Building Materials - ..1% | |||||||||
Carrier Global, Sr. Unscd. Notes | 2.49 | 2/15/2027 | 150,000 | 154,484 | |||||
Carrier Global, Sr. Unscd. Notes | 3.38 | 4/5/2040 | 225,000 | 235,746 | |||||
Carrier Global, Sr. Unscd. Notes | 3.58 | 4/5/2050 | 245,000 | 265,827 | |||||
Johnson Controls International, Sr. Unscd. Notes | 5.13 | 9/14/2045 | 10,000 | 13,188 | |||||
Owens Corning, Sr. Unscd. Notes | 7.00 | 12/1/2036 | 69,000 | 99,319 | |||||
768,564 | |||||||||
Chemicals - .4% | |||||||||
Celanese US Holdings, Gtd. Notes | 4.63 | 11/15/2022 | 350,000 | 364,808 | |||||
DuPont de Nemours, Sr. Unscd. Notes | 4.21 | 11/15/2023 | 100,000 | 106,653 | |||||
DuPont de Nemours, Sr. Unscd. Notes | 4.49 | 11/15/2025 | 100,000 | 111,297 | |||||
DuPont de Nemours, Sr. Unscd. Notes | 4.73 | 11/15/2028 | 100,000 | 117,004 | |||||
DuPont de Nemours, Sr. Unscd. Notes | 5.42 | 11/15/2048 | 125,000 | 175,052 | |||||
Ecolab, Sr. Unscd. Notes | 1.30 | 1/30/2031 | 300,000 | a | 281,499 | ||||
Ecolab, Sr. Unscd. Notes | 2.13 | 8/15/2050 | 325,000 | 294,597 | |||||
LYB International Finance, Gtd. Bonds | 4.00 | 7/15/2023 | 198,000 | 208,777 | |||||
LYB International Finance III, Gtd. Notes | 3.80 | 10/1/2060 | 250,000 | 267,952 | |||||
NewMarket, Sr. Unscd. Notes | 2.70 | 3/18/2031 | 400,000 | 397,577 | |||||
Nutrien, Sr. Unscd. Notes | 3.63 | 3/15/2024 | 200,000 | 211,355 | |||||
Nutrien, Sr. Unscd. Notes | 5.25 | 1/15/2045 | 200,000 | 269,824 | |||||
The Dow Chemical Company, Sr. Unscd. Bonds | 7.38 | 11/1/2029 | 229,000 | 309,137 |
16
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Chemicals - .4% (continued) | |||||||||
The Dow Chemical Company, Sr. Unscd. Notes | 3.63 | 5/15/2026 | 250,000 | 271,188 | |||||
The Dow Chemical Company, Sr. Unscd. Notes | 4.38 | 11/15/2042 | 300,000 | 357,643 | |||||
The Mosaic Company, Sr. Unscd. Notes | 4.25 | 11/15/2023 | 300,000 | 318,107 | |||||
The Sherwin-Williams Company, Sr. Unscd. Notes | 4.50 | 6/1/2047 | 100,000 | 125,266 | |||||
Westlake Chemical, Sr. Unscd. Notes | 3.38 | 8/15/2061 | 200,000 | 194,307 | |||||
4,382,043 | |||||||||
Commercial & Professional Services - .3% | |||||||||
Duke University, Unscd. Bonds, Ser. 2020 | 2.76 | 10/1/2050 | 100,000 | a | 104,903 | ||||
Equifax, Sr. Unscd. Notes | 2.60 | 12/1/2024 | 400,000 | 416,626 | |||||
Global Payments, Sr. Unscd. Notes | 4.80 | 4/1/2026 | 500,000 | 559,954 | |||||
Moody's, Sr. Unscd. Notes | 2.00 | 8/19/2031 | 400,000 | 391,295 | |||||
Moody's, Sr. Unscd. Notes | 2.55 | 8/18/2060 | 250,000 | 225,997 | |||||
PayPal Holdings, Sr. Unscd. Notes | 1.65 | 6/1/2025 | 400,000 | 405,866 | |||||
PayPal Holdings, Sr. Unscd. Notes | 2.85 | 10/1/2029 | 95,000 | 100,397 | |||||
President & Fellows of Harvard College, Unscd. Bonds | 3.15 | 7/15/2046 | 450,000 | 504,095 | |||||
The Cleveland Clinic Foundation, Unscd. Bonds | 4.86 | 1/1/2114 | 150,000 | 225,276 | |||||
The Leland Stanford Junior University, Unscd. Bonds | 3.65 | 5/1/2048 | 105,000 | 128,460 | |||||
University of Southern California, Sr. Unscd. Notes | 5.25 | 10/1/2111 | 40,000 | 66,317 | |||||
William Marsh Rice University, Unscd. Bonds | 3.57 | 5/15/2045 | 250,000 | 288,249 | |||||
3,417,435 | |||||||||
Commercial Mortgage Pass-Through Certificates - 1.3% | |||||||||
Bank, Ser. 2019-BN21, Cl. A5 | 2.85 | 10/17/2052 | 400,000 | 422,245 | |||||
BBCMS Mortgage Trust, Ser. 2020-C7, Cl. AS | 2.44 | 4/15/2053 | 200,000 | 201,760 | |||||
Benchmark Mortgage Trust, Ser. 2019-B10, Cl. A4 | 3.72 | 3/15/2062 | 300,000 | 333,876 | |||||
Benchmark Mortgage Trust, Ser. 2020-IG1, Cl. A3 | 2.69 | 9/15/2043 | 400,000 | 415,877 | |||||
Benchmark Mortgage Trust, Ser. 2020-IG1, Cl. AS | 2.91 | 9/15/2043 | 500,000 | 517,809 | |||||
CFCRE Commercial Mortgage Trust, Ser. 2017-C8, Cl. A4 | 3.57 | 6/15/2050 | 500,000 | 541,712 | |||||
Citigroup Commercial Mortgage Trust, Ser. 2014-GC23, Cl. A4 | 3.62 | 7/10/2047 | 500,000 | 530,192 | |||||
Commercial Mortgage Trust, Ser. 2013-CR11, Cl. B | 5.11 | 8/10/2050 | 750,000 | 797,036 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Commercial Mortgage Pass-Through Certificates - 1.3% (continued) | |||||||||
Commercial Mortgage Trust, Ser. 2014-CR16, Cl. A4 | 4.05 | 4/10/2047 | 200,000 | 213,180 | |||||
Commercial Mortgage Trust, Ser. 2016-CR28, Cl. A4 | 3.76 | 2/10/2049 | 1,035,000 | 1,121,053 | |||||
GS Mortgage Securities Trust, Ser. 2014-GC18, Cl. A3 | 3.80 | 1/10/2047 | 413,407 | 426,587 | |||||
GS Mortgage Securities Trust, Ser. 2019-GC42, Cl. A4 | 3.00 | 9/1/2052 | 250,000 | 266,116 | |||||
GS Mortgage Securities Trust, Ser. 2020-GC45, Cl. AS | 3.17 | 2/13/2053 | 200,000 | 212,211 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2012-LC9, Cl. A5 | 2.84 | 12/15/2047 | 623,319 | 632,153 | |||||
JPMBB Commercial Mortgage Securities Trust, Ser. 2014-C24, Cl. A5 | 3.64 | 11/15/2047 | 725,000 | 770,567 | |||||
JPMBB Commercial Mortgage Securities Trust, Ser. 2015-C33, Cl. A4 | 3.77 | 12/15/2048 | 1,000,000 | 1,087,075 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2015-C20, Cl. A4 | 3.25 | 2/15/2048 | 1,175,000 | 1,241,133 | |||||
SG Commercial Mortgage Securities Trust, Ser. 2016-C5, Cl. A4 | 3.06 | 10/10/2048 | 1,000,000 | 1,047,527 | |||||
UBS Commercial Mortgage Trust, Ser. 2018-C12, Cl. A5 | 4.30 | 8/15/2051 | 500,000 | 568,241 | |||||
UBS-Barclays Commercial Mortgage Trust, Ser. 2013-C6, Cl. A4 | 3.24 | 4/10/2046 | 412,000 | 422,796 | |||||
Wells Fargo Commercial Mortgage Trust, Ser. 2018-C44, Cl. A5 | 4.21 | 5/15/2051 | 900,000 | 1,016,833 | |||||
Wells Fargo Commercial Mortgage Trust, Ser. 2019-C50, Cl. ASB | 3.64 | 5/15/2052 | 200,000 | 218,620 | |||||
13,004,599 | |||||||||
Consumer Discretionary - .0% | |||||||||
Lennar, Gtd. Notes | 4.88 | 12/15/2023 | 100,000 | 107,335 | |||||
Sands China, Sr. Unscd. Notes | 4.38 | 6/18/2030 | 200,000 | 204,843 | |||||
312,178 | |||||||||
Consumer Durables & Apparel - .1% | |||||||||
NIKE, Sr. Unscd. Notes | 2.25 | 5/1/2023 | 300,000 | 306,900 | |||||
NIKE, Sr. Unscd. Notes | 3.38 | 3/27/2050 | 300,000 | 344,124 | |||||
Ralph Lauren, Sr. Unscd. Notes | 2.95 | 6/15/2030 | 200,000 | 209,503 | |||||
860,527 | |||||||||
Consumer Staples - .2% | |||||||||
Church & Dwight, Sr. Unscd. Notes | 3.95 | 8/1/2047 | 300,000 | 357,410 | |||||
Kimberly-Clark, Sr. Unscd. Notes | 3.10 | 3/26/2030 | 300,000 | 326,452 |
18
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Consumer Staples - .2% (continued) | |||||||||
The Estee Lauder Companies, Sr. Unscd. Notes | 2.00 | 12/1/2024 | 320,000 | 330,573 | |||||
The Estee Lauder Companies, Sr. Unscd. Notes | 2.60 | 4/15/2030 | 300,000 | 313,558 | |||||
Unilever Capital, Gtd. Notes | 1.38 | 9/14/2030 | 500,000 | 477,325 | |||||
1,805,318 | |||||||||
Diversified Financials - 1.0% | |||||||||
Affiliated Managers Group, Sr. Unscd. Notes | 3.50 | 8/1/2025 | 250,000 | 267,977 | |||||
Air Lease, Sr. Unscd. Notes | 0.70 | 2/15/2024 | 300,000 | 296,660 | |||||
Air Lease, Sr. Unscd. Notes | 3.38 | 7/1/2025 | 300,000 | 316,223 | |||||
Ally Financial, Sr. Unscd. Notes | 3.88 | 5/21/2024 | 200,000 | 213,266 | |||||
Ally Financial, Sr. Unscd. Notes | 5.80 | 5/1/2025 | 250,000 | 284,967 | |||||
American Express, Sub. Notes | 3.63 | 12/5/2024 | 500,000 | 537,334 | |||||
Ares Capital, Sr. Unscd. Notes | 3.50 | 2/10/2023 | 300,000 | 309,285 | |||||
BlackRock, Sr. Unscd. Notes | 3.50 | 3/18/2024 | 250,000 | 266,062 | |||||
Blackstone Secured Lending Fund, Sr. Unscd. Notes | 3.63 | 1/15/2026 | 300,000 | 313,853 | |||||
Capital One Financial, Sub. Notes | 3.75 | 7/28/2026 | 750,000 | 811,339 | |||||
CI Financial, Sr. Unscd. Notes | 4.10 | 6/15/2051 | 300,000 | 329,783 | |||||
CME Group, Sr. Unscd. Notes | 3.00 | 3/15/2025 | 250,000 | 263,884 | |||||
FS KKR Capital, Sr. Unscd. Notes | 3.40 | 1/15/2026 | 200,000 | 205,666 | |||||
GE Capital Funding, Gtd. Notes | 4.05 | 5/15/2027 | 100,000 | 111,478 | |||||
GE Capital International Funding, Gtd. Notes | 4.42 | 11/15/2035 | 1,100,000 | 1,339,400 | |||||
Intercontinental Exchange, Gtd. Notes | 4.00 | 10/15/2023 | 350,000 | 371,932 | |||||
Intercontinental Exchange, Sr. Unscd. Notes | 2.10 | 6/15/2030 | 200,000 | 197,833 | |||||
Intercontinental Exchange, Sr. Unscd. Notes | 2.65 | 9/15/2040 | 75,000 | 72,486 | |||||
Intercontinental Exchange, Sr. Unscd. Notes | 3.00 | 9/15/2060 | 75,000 | 73,106 | |||||
Intercontinental Exchange, Sr. Unscd. Notes | 3.00 | 6/15/2050 | 200,000 | 200,253 | |||||
Intercontinental Exchange, Sr. Unscd. Notes | 4.25 | 9/21/2048 | 75,000 | 90,096 | |||||
Invesco Finance, Gtd. Notes | 4.00 | 1/30/2024 | 250,000 | 266,628 | |||||
Jefferies Group, Sr. Unscd. Debs. | 6.45 | 6/8/2027 | 35,000 | 43,220 | |||||
Jefferies Group, Sr. Unscd. Notes | 5.13 | 1/20/2023 | 150,000 | 157,862 | |||||
Legg Mason, Sr. Unscd. Notes | 5.63 | 1/15/2044 | 200,000 | 278,266 | |||||
Mastercard, Sr. Unscd. Notes | 3.85 | 3/26/2050 | 250,000 | 304,345 | |||||
Nasdaq, Sr. Unscd. Notes | 4.25 | 6/1/2024 | 250,000 | 268,495 | |||||
Owl Rock Capital, Sr. Unscd. Notes | 3.40 | 7/15/2026 | 200,000 | 205,616 | |||||
Prospect Capital, Sr. Unscd. Notes | 3.36 | 11/15/2026 | 300,000 | 300,014 |
19
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Diversified Financials - 1.0% (continued) | |||||||||
Synchrony Financial, Sr. Unscd. Notes | 4.25 | 8/15/2024 | 500,000 | 536,704 | |||||
Visa, Sr. Unscd. Notes | 1.10 | 2/15/2031 | 300,000 | a | 280,633 | ||||
Visa, Sr. Unscd. Notes | 2.00 | 8/15/2050 | 140,000 | 125,400 | |||||
Visa, Sr. Unscd. Notes | 3.65 | 9/15/2047 | 55,000 | 64,774 | |||||
Visa, Sr. Unscd. Notes | 4.30 | 12/14/2045 | 200,000 | 256,589 | |||||
9,961,429 | |||||||||
Educational Services - .0% | |||||||||
California Institute of Technology, Unscd. Bonds | 4.32 | 8/1/2045 | 110,000 | 144,276 | |||||
Electronic Components - .2% | |||||||||
Arrow Electronics, Sr. Unscd. Notes | 4.50 | 3/1/2023 | 500,000 | 519,192 | |||||
Emerson Electric, Sr. Unscd. Notes | 2.63 | 2/15/2023 | 260,000 | 266,094 | |||||
Honeywell International, Sr. Unscd. Notes | 1.10 | 3/1/2027 | 200,000 | 196,526 | |||||
Honeywell International, Sr. Unscd. Notes | 1.75 | 9/1/2031 | 400,000 | 389,382 | |||||
Jabil, Sr. Unscd. Notes | 3.00 | 1/15/2031 | 200,000 | 204,892 | |||||
1,576,086 | |||||||||
Energy - 2.2% | |||||||||
Baker Hughes Co-Obligor, Sr. Unscd. Notes | 4.49 | 5/1/2030 | 400,000 | 462,027 | |||||
BP Capital Markets, Gtd. Notes | 2.50 | 11/6/2022 | 400,000 | 407,657 | |||||
BP Capital Markets America, Gtd. Notes | 3.63 | 4/6/2030 | 300,000 | a | 332,433 | ||||
BP Capital Markets America, Gtd. Notes | 3.80 | 9/21/2025 | 300,000 | 327,767 | |||||
BP Capital Markets America, Gtd. Notes | 3.94 | 9/21/2028 | 300,000 | 336,163 | |||||
BP Capital Markets America, Gtd. Notes | 4.23 | 11/6/2028 | 100,000 | 114,125 | |||||
Canadian Natural Resources, Sr. Unscd. Notes | 6.25 | 3/15/2038 | 200,000 | 267,745 | |||||
Cenovus Energy, Sr. Unscd. Notes | 6.75 | 11/15/2039 | 115,000 | 157,843 | |||||
Cheniere Corpus Christi Holdings, Sr. Scd. Notes | 5.88 | 3/31/2025 | 180,000 | 201,551 | |||||
Chevron, Sr. Unscd. Notes | 2.24 | 5/11/2030 | 180,000 | 184,080 | |||||
Chevron, Sr. Unscd. Notes | 2.95 | 5/16/2026 | 295,000 | 314,549 | |||||
Chevron, Sr. Unscd. Notes | 3.08 | 5/11/2050 | 300,000 | 322,030 | |||||
Chevron, Sr. Unscd. Notes | 3.33 | 11/17/2025 | 165,000 | 177,970 | |||||
Chevron USA, Gtd. Notes | 2.34 | 8/12/2050 | 35,000 | 32,898 | |||||
Chevron USA, Gtd. Notes | 3.90 | 11/15/2024 | 200,000 | 216,577 | |||||
CNOOC Finance, Gtd. Notes | 3.00 | 5/9/2023 | 500,000 | 514,208 | |||||
CNOOC Petroleum North America, Gtd. Notes | 5.88 | 3/10/2035 | 125,000 | 154,400 |
20
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Energy - 2.2% (continued) | |||||||||
ConocoPhillips, Gtd. Notes | 4.85 | 8/15/2048 | 65,000 | b | 86,918 | ||||
ConocoPhillips, Gtd. Notes | 4.95 | 3/15/2026 | 150,000 | 170,660 | |||||
ConocoPhillips, Gtd. Notes | 5.95 | 3/15/2046 | 250,000 | 379,495 | |||||
ConocoPhillips, Sr. Unscd. Notes | 6.95 | 4/15/2029 | 125,000 | 165,767 | |||||
Devon Energy, Sr. Unscd. Notes | 5.85 | 12/15/2025 | 71,000 | 81,839 | |||||
Enable Midstream Partners, Gtd. Notes | 5.00 | 5/15/2044 | 250,000 | 271,498 | |||||
Enbridge, Gtd. Notes | 4.25 | 12/1/2026 | 500,000 | 556,110 | |||||
Energy Transfer, Sr. Unscd. Notes | 3.75 | 5/15/2030 | 200,000 | 213,283 | |||||
Energy Transfer, Sr. Unscd. Notes | 4.95 | 1/15/2043 | 200,000 | 221,286 | |||||
Energy Transfer, Sr. Unscd. Notes | 5.15 | 2/1/2043 | 500,000 | 565,463 | |||||
Energy Transfer, Sr. Unscd. Notes | 6.25 | 4/15/2049 | 95,000 | 126,370 | |||||
Enterprise Products Operating, Gtd. Notes | 3.13 | 7/31/2029 | 300,000 | 320,101 | |||||
Enterprise Products Operating, Gtd. Notes | 3.70 | 2/15/2026 | 200,000 | 216,913 | |||||
Enterprise Products Operating, Gtd. Notes | 3.95 | 1/31/2060 | 95,000 | 104,282 | |||||
Enterprise Products Operating, Gtd. Notes | 4.25 | 2/15/2048 | 75,000 | 85,946 | |||||
Enterprise Products Operating, Gtd. Notes | 4.90 | 5/15/2046 | 500,000 | 615,347 | |||||
EOG Resources, Sr. Unscd. Notes | 3.90 | 4/1/2035 | 200,000 | 226,889 | |||||
Equinor, Gtd. Notes | 2.65 | 1/15/2024 | 500,000 | 520,285 | |||||
Equinor, Gtd. Notes | 3.63 | 4/6/2040 | 200,000 | 225,760 | |||||
Exxon Mobil, Sr. Unscd. Notes | 1.57 | 4/15/2023 | 250,000 | 253,823 | |||||
Exxon Mobil, Sr. Unscd. Notes | 2.61 | 10/15/2030 | 345,000 | 359,460 | |||||
Exxon Mobil, Sr. Unscd. Notes | 3.10 | 8/16/2049 | 230,000 | 240,451 | |||||
Exxon Mobil, Sr. Unscd. Notes | 3.45 | 4/15/2051 | 135,000 | 149,916 | |||||
Exxon Mobil, Sr. Unscd. Notes | 4.11 | 3/1/2046 | 250,000 | 300,839 | |||||
Halliburton, Sr. Unscd. Notes | 3.80 | 11/15/2025 | 415,000 | 452,285 | |||||
Hess, Sr. Unscd. Notes | 4.30 | 4/1/2027 | 250,000 | a | 274,333 | ||||
Hess, Sr. Unscd. Notes | 5.60 | 2/15/2041 | 250,000 | 315,416 | |||||
Kinder Morgan, Gtd. Notes | 3.60 | 2/15/2051 | 200,000 | 203,504 | |||||
Kinder Morgan Energy Partners, Gtd. Notes | 3.50 | 9/1/2023 | 500,000 | 521,006 | |||||
Kinder Morgan Energy Partners, Gtd. Notes | 7.40 | 3/15/2031 | 350,000 | 473,647 | |||||
Marathon Oil, Sr. Unscd. Notes | 6.60 | 10/1/2037 | 150,000 | 202,261 | |||||
Marathon Petroleum, Sr. Unscd. Notes | 4.75 | 9/15/2044 | 300,000 | 350,594 | |||||
MPLX, Sr. Unscd. Notes | 4.50 | 4/15/2038 | 105,000 | 118,441 | |||||
MPLX, Sr. Unscd. Notes | 4.88 | 12/1/2024 | 500,000 | 548,264 | |||||
MPLX, Sr. Unscd. Notes | 4.90 | 4/15/2058 | 115,000 | 137,375 |
21
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Energy - 2.2% (continued) | |||||||||
MPLX, Sr. Unscd. Notes | 5.50 | 2/15/2049 | 150,000 | 193,839 | |||||
ONEOK Partners, Gtd. Notes | 5.00 | 9/15/2023 | 500,000 | 531,244 | |||||
ONEOK Partners, Gtd. Notes | 6.85 | 10/15/2037 | 60,000 | 81,865 | |||||
Phillips 66, Gtd. Notes | 1.30 | 2/15/2026 | 200,000 | 196,841 | |||||
Phillips 66, Gtd. Notes | 4.88 | 11/15/2044 | 202,000 | 254,990 | |||||
Plains All American Pipeline, Sr. Unscd. Notes | 3.85 | 10/15/2023 | 300,000 | 314,214 | |||||
Plains All American Pipeline, Sr. Unscd. Notes | 4.90 | 2/15/2045 | 250,000 | 278,205 | |||||
Sabine Pass Liquefaction, Sr. Scd. Notes | 5.00 | 3/15/2027 | 600,000 | 680,596 | |||||
Sabine Pass Liquefaction, Sr. Scd. Notes | 5.63 | 4/15/2023 | 300,000 | 317,035 | |||||
Shell International Finance, Gtd. Notes | 2.38 | 4/6/2025 | 250,000 | 259,602 | |||||
Shell International Finance, Gtd. Notes | 2.38 | 11/7/2029 | 400,000 | 410,843 | |||||
Shell International Finance, Gtd. Notes | 2.75 | 4/6/2030 | 250,000 | 263,655 | |||||
Shell International Finance, Gtd. Notes | 2.88 | 5/10/2026 | 185,000 | 197,357 | |||||
Shell International Finance, Gtd. Notes | 3.25 | 4/6/2050 | 250,000 | a | 273,473 | ||||
Shell International Finance, Gtd. Notes | 4.13 | 5/11/2035 | 260,000 | 307,481 | |||||
Spectra Energy Partners, Gtd. Notes | 5.95 | 9/25/2043 | 200,000 | 276,965 | |||||
Suncor Energy, Sr. Unscd. Notes | 4.00 | 11/15/2047 | 50,000 | 56,503 | |||||
Suncor Energy, Sr. Unscd. Notes | 6.50 | 6/15/2038 | 300,000 | 417,233 | |||||
Tennessee Gas Pipeline, Gtd. Debs. | 7.63 | 4/1/2037 | 70,000 | 101,157 | |||||
The Williams Companies, Sr. Unscd. Notes | 3.75 | 6/15/2027 | 150,000 | 163,321 | |||||
The Williams Companies, Sr. Unscd. Notes | 4.00 | 9/15/2025 | 100,000 | 108,728 | |||||
The Williams Companies, Sr. Unscd. Notes | 6.30 | 4/15/2040 | 400,000 | 546,849 | |||||
TotalEnergies Capital International, Gtd. Notes | 2.83 | 1/10/2030 | 170,000 | 180,841 | |||||
TotalEnergies Capital International, Gtd. Notes | 3.46 | 7/12/2049 | 50,000 | 55,444 | |||||
TransCanada Pipelines, Sr. Unscd. Notes | 4.88 | 5/15/2048 | 60,000 | 76,437 | |||||
TransCanada Pipelines, Sr. Unscd. Notes | 6.20 | 10/15/2037 | 75,000 | 102,308 | |||||
TransCanada Pipelines, Sr. Unscd. Notes | 7.63 | 1/15/2039 | 300,000 | 465,246 | |||||
Valero Energy, Sr. Unscd. Notes | 6.63 | 6/15/2037 | 165,000 | 225,711 |
22
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Energy - 2.2% (continued) | |||||||||
Valero Energy, Sr. Unscd. Notes | 7.50 | 4/15/2032 | 170,000 | 236,931 | |||||
22,154,764 | |||||||||
Environmental Control - .0% | |||||||||
Waste Management, Gtd. Notes | 4.15 | 7/15/2049 | 250,000 | 314,931 | |||||
Financials - .0% | |||||||||
Brookfield Asset Management, Sr. Unscd. Notes | 4.00 | 1/15/2025 | 250,000 | 269,464 | |||||
Food Products - .4% | |||||||||
Campbell Soup, Sr. Unscd. Notes | 3.30 | 3/19/2025 | 400,000 | 424,564 | |||||
Campbell Soup, Sr. Unscd. Notes | 4.15 | 3/15/2028 | 80,000 | 89,689 | |||||
Conagra Brands, Sr. Unscd. Notes | 1.38 | 11/1/2027 | 200,000 | 192,790 | |||||
Conagra Brands, Sr. Unscd. Notes | 3.20 | 1/25/2023 | 85,000 | 87,132 | |||||
Conagra Brands, Sr. Unscd. Notes | 4.85 | 11/1/2028 | 100,000 | 116,676 | |||||
Conagra Brands, Sr. Unscd. Notes | 5.40 | 11/1/2048 | 60,000 | 81,441 | |||||
General Mills, Sr. Unscd. Notes | 2.88 | 4/15/2030 | 300,000 | 314,308 | |||||
General Mills, Sr. Unscd. Notes | 3.00 | 2/1/2051 | 300,000 | b | 307,121 | ||||
Hormel Foods, Sr. Unscd. Notes | 1.80 | 6/11/2030 | 200,000 | 196,228 | |||||
Kellogg, Sr. Unscd. Notes | 2.65 | 12/1/2023 | 300,000 | 311,684 | |||||
McCormick & Co., Sr. Unscd. Notes | 0.90 | 2/15/2026 | 200,000 | 194,521 | |||||
McCormick & Co., Sr. Unscd. Notes | 2.50 | 4/15/2030 | 300,000 | 305,107 | |||||
Mondelez International, Sr. Unscd. Notes | 2.75 | 4/13/2030 | 300,000 | 312,709 | |||||
Sysco, Gtd. Notes | 5.38 | 9/21/2035 | 200,000 | 257,129 | |||||
The Kroger Company, Sr. Unscd. Notes | 3.70 | 8/1/2027 | 300,000 | 330,312 | |||||
The Kroger Company, Sr. Unscd. Notes | 7.50 | 4/1/2031 | 200,000 | 282,001 | |||||
Tyson Foods, Sr. Unscd. Bonds | 5.15 | 8/15/2044 | 250,000 | 329,046 | |||||
4,132,458 | |||||||||
Foreign Governmental - 1.4% | |||||||||
Canada, Sr. Unscd. Bonds | 1.63 | 1/22/2025 | 400,000 | a | 409,949 | ||||
Chile, Sr. Unscd. Notes | 3.13 | 3/27/2025 | 500,000 | 529,485 | |||||
Finland, Sr. Unscd. Bonds | 6.95 | 2/15/2026 | 25,000 | 30,594 | |||||
Hungary, Sr. Unscd. Notes | 7.63 | 3/29/2041 | 300,000 | 495,351 | |||||
Indonesia, Sr. Unscd. Notes | 3.50 | 1/11/2028 | 300,000 | 324,389 | |||||
Indonesia, Sr. Unscd. Notes | 3.85 | 10/15/2030 | 300,000 | a | 334,191 | ||||
Indonesia, Sr. Unscd. Notes | 4.35 | 1/11/2048 | 300,000 | 338,080 | |||||
Israel, Gov't Gtd. Bonds | 5.50 | 9/18/2023 | 450,000 | 491,713 | |||||
Israel, Sr. Unscd. Bonds | 3.15 | 6/30/2023 | 300,000 | 312,327 | |||||
Israel, Sr. Unscd. Bonds | 3.88 | 7/3/2050 | 250,000 | 286,807 | |||||
Israel, Sr. Unscd. Notes | 3.38 | 1/15/2050 | 300,000 | 317,987 | |||||
Italy, Sr. Unscd. Debs. | 6.88 | 9/27/2023 | 400,000 | 444,827 | |||||
Mexico, Sr. Unscd. Notes | 2.66 | 5/24/2031 | 300,000 | 290,280 |
23
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Foreign Governmental - 1.4% (continued) | |||||||||
Mexico, Sr. Unscd. Notes | 3.77 | 5/24/2061 | 300,000 | 277,162 | |||||
Mexico, Sr. Unscd. Notes | 3.90 | 4/27/2025 | 300,000 | 326,937 | |||||
Mexico, Sr. Unscd. Notes | 4.15 | 3/28/2027 | 345,000 | a | 385,657 | ||||
Mexico, Sr. Unscd. Notes | 4.28 | 8/14/2041 | 300,000 | 313,431 | |||||
Mexico, Sr. Unscd. Notes | 4.60 | 1/23/2046 | 600,000 | 640,416 | |||||
Mexico, Sr. Unscd. Notes | 5.00 | 4/27/2051 | 250,000 | 281,392 | |||||
Mexico, Sr. Unscd. Notes | 5.55 | 1/21/2045 | 350,000 | 419,104 | |||||
Panama, Sr. Unscd. Bonds | 3.88 | 3/17/2028 | 500,000 | 543,347 | |||||
Panama, Sr. Unscd. Bonds | 4.50 | 4/16/2050 | 200,000 | 221,270 | |||||
Panama, Sr. Unscd. Bonds | 6.70 | 1/26/2036 | 400,000 | 535,322 | |||||
Peru, Sr. Unscd. Bonds | 6.55 | 3/14/2037 | 370,000 | 505,044 | |||||
Peru, Sr. Unscd. Bonds | 7.35 | 7/21/2025 | 500,000 | 601,620 | |||||
Philippines, Sr. Unscd. Bonds | 3.70 | 2/2/2042 | 400,000 | 431,271 | |||||
Philippines, Sr. Unscd. Bonds | 10.63 | 3/16/2025 | 800,000 | 1,043,806 | |||||
Province of Alberta Canada, Sr. Unscd. Notes | 3.30 | 3/15/2028 | 80,000 | 88,093 | |||||
Province of British Columbia Canada, Sr. Unscd. Bonds, Ser. USD2 | 6.50 | 1/15/2026 | 525,000 | 632,393 | |||||
Province of Ontario Canada, Sr. Unscd. Bonds | 1.75 | 1/24/2023 | 300,000 | 305,087 | |||||
Province of Ontario Canada, Sr. Unscd. Notes | 0.63 | 1/21/2026 | 200,000 | 195,568 | |||||
Province of Ontario Canada, Sr. Unscd. Notes | 3.40 | 10/17/2023 | 150,000 | 158,244 | |||||
Province of Quebec Canada, Sr. Unscd. Debs., Ser. NJ | 7.50 | 7/15/2023 | 200,000 | 223,164 | |||||
Province of Quebec Canada, Sr. Unscd. Debs., Ser. PD | 7.50 | 9/15/2029 | 550,000 | 778,293 | |||||
Uruguay, Sr. Unscd. Bonds | 4.98 | 4/20/2055 | 105,000 | 134,745 | |||||
Uruguay, Sr. Unscd. Bonds | 7.63 | 3/21/2036 | 300,000 | 452,220 | |||||
Uruguay, Sr. Unscd. Notes | 4.50 | 8/14/2024 | 400,000 | a | 426,304 | ||||
14,525,870 | |||||||||
Health Care - 2.9% | |||||||||
Abbott Laboratories, Sr. Unscd. Notes | 1.40 | 6/30/2030 | 200,000 | a | 192,792 | ||||
Abbott Laboratories, Sr. Unscd. Notes | 3.40 | 11/30/2023 | 200,000 | 210,000 | |||||
Abbott Laboratories, Sr. Unscd. Notes | 4.90 | 11/30/2046 | 200,000 | 278,648 | |||||
AbbVie, Sr. Unscd. Notes | 3.20 | 11/21/2029 | 335,000 | 358,210 | |||||
AbbVie, Sr. Unscd. Notes | 3.60 | 5/14/2025 | 170,000 | 182,325 | |||||
AbbVie, Sr. Unscd. Notes | 3.80 | 3/15/2025 | 300,000 | 323,424 | |||||
AbbVie, Sr. Unscd. Notes | 4.25 | 11/21/2049 | 490,000 | 590,056 | |||||
AbbVie, Sr. Unscd. Notes | 4.25 | 11/14/2028 | 110,000 | 124,997 |
24
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Health Care - 2.9% (continued) | |||||||||
AbbVie, Sr. Unscd. Notes | 4.75 | 3/15/2045 | 400,000 | 503,428 | |||||
Aetna, Sr. Unscd. Notes | 4.75 | 3/15/2044 | 250,000 | 312,666 | |||||
Aetna, Sr. Unscd. Notes | 6.63 | 6/15/2036 | 150,000 | 214,640 | |||||
AmerisourceBergen, Sr. Unscd. Notes | 2.80 | 5/15/2030 | 100,000 | 103,420 | |||||
Amgen, Sr. Unscd. Notes | 2.45 | 2/21/2030 | 70,000 | 71,178 | |||||
Amgen, Sr. Unscd. Notes | 2.60 | 8/19/2026 | 500,000 | 522,635 | |||||
Amgen, Sr. Unscd. Notes | 2.80 | 8/15/2041 | 200,000 | 194,526 | |||||
Amgen, Sr. Unscd. Notes | 3.00 | 1/15/2052 | 200,000 | 196,280 | |||||
Amgen, Sr. Unscd. Notes | 3.15 | 2/21/2040 | 60,000 | 61,599 | |||||
Amgen, Sr. Unscd. Notes | 3.38 | 2/21/2050 | 60,000 | 63,287 | |||||
Amgen, Sr. Unscd. Notes | 4.66 | 6/15/2051 | 300,000 | 387,534 | |||||
Anthem, Sr. Unscd. Notes | 2.25 | 5/15/2030 | 100,000 | 99,778 | |||||
Anthem, Sr. Unscd. Notes | 3.60 | 3/15/2051 | 60,000 | 66,992 | |||||
Anthem, Sr. Unscd. Notes | 4.38 | 12/1/2047 | 450,000 | 554,716 | |||||
AstraZeneca, Sr. Unscd. Notes | 1.38 | 8/6/2030 | 70,000 | 66,255 | |||||
AstraZeneca, Sr. Unscd. Notes | 4.38 | 8/17/2048 | 45,000 | 58,846 | |||||
AstraZeneca, Sr. Unscd. Notes | 4.38 | 11/16/2045 | 205,000 | 265,232 | |||||
Banner Health, Unscd. Bonds | 2.34 | 1/1/2030 | 300,000 | 303,017 | |||||
Baxalta, Gtd. Notes | 5.25 | 6/23/2045 | 200,000 | 270,992 | |||||
Becton Dickinson & Co., Sr. Unscd. Notes | 3.73 | 12/15/2024 | 386,000 | 414,123 | |||||
Biogen, Sr. Unscd. Notes | 4.05 | 9/15/2025 | 500,000 | 547,314 | |||||
Boston Scientific, Sr. Unscd. Notes | 1.90 | 6/1/2025 | 300,000 | 305,932 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 0.75 | 11/13/2025 | 200,000 | 196,371 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 1.45 | 11/13/2030 | 200,000 | 191,258 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 2.35 | 11/13/2040 | 200,000 | 191,311 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 2.55 | 11/13/2050 | 200,000 | 191,597 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 2.90 | 7/26/2024 | 285,000 | 300,061 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 3.25 | 2/20/2023 | 58,000 | 60,006 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 3.40 | 7/26/2029 | 250,000 | 275,000 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 3.90 | 2/20/2028 | 90,000 | 101,242 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 4.25 | 10/26/2049 | 200,000 | 251,814 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 4.35 | 11/15/2047 | 90,000 | 114,169 |
25
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Health Care - 2.9% (continued) | |||||||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 4.55 | 2/20/2048 | 90,000 | 117,974 | |||||
Cardinal Health, Sr. Unscd. Notes | 3.20 | 3/15/2023 | 150,000 | 155,111 | |||||
Cardinal Health, Sr. Unscd. Notes | 4.60 | 3/15/2043 | 300,000 | 352,814 | |||||
Cigna, Gtd. Notes | 3.40 | 3/1/2027 | 300,000 | 322,898 | |||||
Cigna, Gtd. Notes | 3.75 | 7/15/2023 | 67,000 | 70,339 | |||||
Cigna, Gtd. Notes | 3.88 | 10/15/2047 | 75,000 | 84,070 | |||||
Cigna, Gtd. Notes | 4.13 | 11/15/2025 | 130,000 | 143,042 | |||||
Cigna, Gtd. Notes | 4.38 | 10/15/2028 | 230,000 | 263,792 | |||||
Cigna, Gtd. Notes | 4.80 | 7/15/2046 | 250,000 | 315,966 | |||||
Cigna, Sr. Unscd. Notes | 2.38 | 3/15/2031 | 80,000 | 80,237 | |||||
CVS Health, Sr. Unscd. Notes | 1.75 | 8/21/2030 | 85,000 | 81,015 | |||||
CVS Health, Sr. Unscd. Notes | 2.88 | 6/1/2026 | 400,000 | 421,175 | |||||
CVS Health, Sr. Unscd. Notes | 3.25 | 8/15/2029 | 100,000 | 106,945 | |||||
CVS Health, Sr. Unscd. Notes | 4.30 | 3/25/2028 | 640,000 | 724,898 | |||||
CVS Health, Sr. Unscd. Notes | 4.78 | 3/25/2038 | 500,000 | 612,300 | |||||
CVS Health, Sr. Unscd. Notes | 5.05 | 3/25/2048 | 200,000 | 263,297 | |||||
Danaher, Sr. Unscd. Notes | 4.38 | 9/15/2045 | 250,000 | 316,353 | |||||
Dignity Health, Scd. Bonds | 5.27 | 11/1/2064 | 304,000 | 428,605 | |||||
Eli Lilly & Co., Sr. Unscd. Notes | 2.50 | 9/15/2060 | 200,000 | 188,543 | |||||
Eli Lilly & Co., Sr. Unscd. Notes | 3.10 | 5/15/2027 | 500,000 | 537,302 | |||||
Gilead Sciences, Sr. Unscd. Notes | 1.20 | 10/1/2027 | 80,000 | 77,180 | |||||
Gilead Sciences, Sr. Unscd. Notes | 4.15 | 3/1/2047 | 220,000 | 262,211 | |||||
GlaxoSmithKline Capital, Gtd. Bonds | 6.38 | 5/15/2038 | 300,000 | 444,596 | |||||
GlaxoSmithKline Capital, Gtd. Notes | 2.80 | 3/18/2023 | 300,000 | 309,585 | |||||
GlaxoSmithKline Capital, Gtd. Notes | 3.38 | 5/15/2023 | 140,000 | 146,093 | |||||
HCA, Sr. Scd. Notes | 4.13 | 6/15/2029 | 110,000 | 121,900 | |||||
HCA, Sr. Scd. Notes | 5.13 | 6/15/2039 | 50,000 | 62,008 | |||||
HCA, Sr. Scd. Notes | 5.25 | 6/15/2049 | 100,000 | 129,832 | |||||
Humana, Sr. Unscd. Notes | 3.85 | 10/1/2024 | 500,000 | 537,073 | |||||
Johnson & Johnson, Sr. Unscd. Notes | 2.10 | 9/1/2040 | 400,000 | 381,226 | |||||
Johnson & Johnson, Sr. Unscd. Notes | 2.45 | 3/1/2026 | 380,000 | 399,423 | |||||
Johnson & Johnson, Sr. Unscd. Notes | 3.50 | 1/15/2048 | 50,000 | 59,003 | |||||
Kaiser Foundation Hospitals, Gtd. Notes | 3.15 | 5/1/2027 | 500,000 | 537,033 | |||||
Kaiser Foundation Hospitals, Unscd. Bonds, Ser. 2021 | 3.00 | 6/1/2051 | 70,000 | 72,881 | |||||
Laboratory Corp. of America Holdings, Sr. Unscd. Notes | 4.00 | 11/1/2023 | 400,000 | 422,304 | |||||
Medtronic, Gtd. Notes | 3.50 | 3/15/2025 | 386,000 | 416,168 | |||||
Memorial Sloan-Kettering Cancer Center, Sr. Unscd. Notes, Ser. 2015 | 4.20 | 7/1/2055 | 200,000 | 258,505 | |||||
Merck & Co., Sr. Unscd. Notes | 1.45 | 6/24/2030 | 400,000 | a | 384,705 |
26
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Health Care - 2.9% (continued) | |||||||||
Merck & Co., Sr. Unscd. Notes | 2.35 | 6/24/2040 | 50,000 | 47,887 | |||||
Merck & Co., Sr. Unscd. Notes | 2.45 | 6/24/2050 | 60,000 | a | 57,252 | ||||
Merck & Co., Sr. Unscd. Notes | 2.75 | 2/10/2025 | 500,000 | 524,982 | |||||
Merck & Co., Sr. Unscd. Notes | 3.90 | 3/7/2039 | 55,000 | 64,452 | |||||
Merck & Co., Sr. Unscd. Notes | 4.00 | 3/7/2049 | 80,000 | 99,038 | |||||
Mount Sinai Hospitals Group, Scd. Bonds, Ser. 2019 | 3.74 | 7/1/2049 | 300,000 | 334,892 | |||||
Mylan, Gtd. Notes | 5.40 | 11/29/2043 | 300,000 | 375,266 | |||||
Northwell Healthcare, Scd. Notes | 3.98 | 11/1/2046 | 250,000 | 287,235 | |||||
Novartis Capital, Gtd. Notes | 2.20 | 8/14/2030 | 390,000 | 398,434 | |||||
Novartis Capital, Gtd. Notes | 2.75 | 8/14/2050 | 60,000 | 61,498 | |||||
Novartis Capital, Gtd. Notes | 4.40 | 5/6/2044 | 340,000 | 435,290 | |||||
Pfizer, Sr. Unscd. Notes | 0.80 | 5/28/2025 | 300,000 | 297,054 | |||||
Pfizer, Sr. Unscd. Notes | 2.55 | 5/28/2040 | 300,000 | 298,959 | |||||
Pfizer, Sr. Unscd. Notes | 3.45 | 3/15/2029 | 100,000 | 110,785 | |||||
Pfizer, Sr. Unscd. Notes | 4.00 | 3/15/2049 | 65,000 | 80,384 | |||||
Pfizer, Sr. Unscd. Notes | 4.13 | 12/15/2046 | 300,000 | 373,964 | |||||
Pfizer, Sr. Unscd. Notes | 4.20 | 9/15/2048 | 60,000 | 76,247 | |||||
Providence St. Joseph Health Obligated Group, Unscd. Notes, Ser. I | 3.74 | 10/1/2047 | 250,000 | 289,930 | |||||
Quest Diagnostics, Sr. Unscd. Notes | 3.50 | 3/30/2025 | 250,000 | 266,656 | |||||
Stryker, Sr. Unscd. Notes | 3.50 | 3/15/2026 | 250,000 | 270,172 | |||||
Stryker, Sr. Unscd. Notes | 4.38 | 5/15/2044 | 250,000 | 307,314 | |||||
Takeda Pharmaceutical, Sr. Unscd. Notes | 4.40 | 11/26/2023 | 200,000 | 214,156 | |||||
Takeda Pharmaceutical, Sr. Unscd. Notes | 5.00 | 11/26/2028 | 200,000 | 236,713 | |||||
Thermo Fisher Scientific, Sr. Unscd. Notes | 2.80 | 10/15/2041 | 200,000 | 201,131 | |||||
Thermo Fisher Scientific, Sr. Unscd. Notes | 5.30 | 2/1/2044 | 250,000 | 346,603 | |||||
Trinity Health, Scd. Bonds | 4.13 | 12/1/2045 | 200,000 | 251,371 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 3.05 | 5/15/2041 | 75,000 | 78,254 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 3.75 | 10/15/2047 | 70,000 | 81,311 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 3.75 | 7/15/2025 | 330,000 | 360,171 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 3.88 | 12/15/2028 | 100,000 | 113,132 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 4.25 | 6/15/2048 | 80,000 | 100,399 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 4.45 | 12/15/2048 | 60,000 | 77,640 |
27
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Health Care - 2.9% (continued) | |||||||||
UnitedHealth Group, Sr. Unscd. Notes | 4.75 | 7/15/2045 | 280,000 | 373,942 | |||||
UnitedHealth Group, Sr. Unscd. Notes | 6.88 | 2/15/2038 | 410,000 | 632,309 | |||||
UnitedHealth Group , Sr. Unscd. Notes | 2.30 | 5/15/2031 | 75,000 | 75,863 | |||||
UnitedHealth Group , Sr. Unscd. Notes | 3.25 | 5/15/2051 | 100,000 | 108,867 | |||||
Viatris, Gtd. Notes | 2.70 | 6/22/2030 | 150,000 | a,b | 149,996 | ||||
Zoetis, Sr. Unscd. Notes | 3.00 | 5/15/2050 | 300,000 | 315,121 | |||||
29,100,743 | |||||||||
Industrial - .6% | |||||||||
3M, Sr. Unscd. Notes | 2.25 | 9/19/2026 | 500,000 | 519,292 | |||||
3M, Sr. Unscd. Notes | 2.38 | 8/26/2029 | 390,000 | 401,804 | |||||
3M, Sr. Unscd. Notes | 3.38 | 3/1/2029 | 300,000 | 329,774 | |||||
Caterpillar, Sr. Unscd. Bonds | 6.05 | 8/15/2036 | 237,000 | 340,081 | |||||
Caterpillar, Sr. Unscd. Notes | 3.25 | 4/9/2050 | 300,000 | 336,353 | |||||
Caterpillar, Sr. Unscd. Notes | 4.30 | 5/15/2044 | 200,000 | 251,023 | |||||
Caterpillar Financial Services, Sr. Unscd. Notes | 0.80 | 11/13/2025 | 200,000 | a | 197,188 | ||||
Eaton, Gtd. Notes | 4.15 | 11/2/2042 | 200,000 | 238,169 | |||||
General Electric, Sr. Unscd. Notes | 3.63 | 5/1/2030 | 395,000 | 442,767 | |||||
General Electric, Sr. Unscd. Notes | 4.35 | 5/1/2050 | 210,000 | 267,746 | |||||
Illinois Tool Works, Sr. Unscd. Notes | 3.90 | 9/1/2042 | 270,000 | 316,708 | |||||
John Deere Capital, Sr. Unscd. Notes | 0.70 | 1/15/2026 | 200,000 | 195,303 | |||||
John Deere Capital, Sr. Unscd. Notes | 1.45 | 1/15/2031 | 300,000 | a | 285,949 | ||||
Otis Worldwide, Sr. Unscd. Notes | 2.06 | 4/5/2025 | 300,000 | 307,409 | |||||
Parker-Hannifin, Sr. Unscd. Notes | 3.25 | 6/14/2029 | 300,000 | 321,663 | |||||
Parker-Hannifin, Sr. Unscd. Notes | 4.00 | 6/14/2049 | 40,000 | 46,994 | |||||
Stanley Black & Decker, Sr. Unscd. Notes | 2.30 | 3/15/2030 | 300,000 | 307,322 | |||||
Textron, Sr. Unscd. Notes | 4.00 | 3/15/2026 | 500,000 | 545,941 | |||||
Xylem, Sr. Unscd. Notes | 4.38 | 11/1/2046 | 250,000 | 306,249 | |||||
5,957,735 | |||||||||
Information Technology - .8% | |||||||||
Adobe, Sr. Unscd. Notes | 3.25 | 2/1/2025 | 250,000 | 266,199 | |||||
Autodesk, Sr. Unscd. Notes | 4.38 | 6/15/2025 | 250,000 | 274,428 | |||||
Broadridge Financial Solutions, Sr. Unscd. Notes | 2.90 | 12/1/2029 | 150,000 | 156,038 | |||||
Citrix Systems, Sr. Unscd. Notes | 1.25 | 3/1/2026 | 400,000 | 389,582 | |||||
Electronic Arts, Sr. Unscd. Notes | 1.85 | 2/15/2031 | 200,000 | 192,405 | |||||
Electronic Arts, Sr. Unscd. Notes | 2.95 | 2/15/2051 | 200,000 | 195,356 | |||||
Fiserv, Sr. Unscd. Notes | 3.50 | 7/1/2029 | 190,000 | 205,182 | |||||
Fiserv, Sr. Unscd. Notes | 4.40 | 7/1/2049 | 100,000 | 120,918 |
28
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Information Technology - .8% (continued) | |||||||||
Microsoft, Sr. Unscd. Notes | 2.53 | 6/1/2050 | 661,000 | 651,382 | |||||
Microsoft, Sr. Unscd. Notes | 2.68 | 6/1/2060 | 353,000 | 351,741 | |||||
Microsoft, Sr. Unscd. Notes | 3.04 | 3/17/2062 | 360,000 | 387,986 | |||||
Oracle, Sr. Unscd. Notes | 2.88 | 3/25/2031 | 205,000 | 210,450 | |||||
Oracle, Sr. Unscd. Notes | 2.95 | 4/1/2030 | 700,000 | 726,074 | |||||
Oracle, Sr. Unscd. Notes | 3.25 | 11/15/2027 | 250,000 | 267,342 | |||||
Oracle, Sr. Unscd. Notes | 3.40 | 7/8/2024 | 500,000 | 528,645 | |||||
Oracle, Sr. Unscd. Notes | 3.85 | 7/15/2036 | 900,000 | 973,587 | |||||
Oracle, Sr. Unscd. Notes | 3.90 | 5/15/2035 | 300,000 | 326,164 | |||||
Oracle, Sr. Unscd. Notes | 4.00 | 11/15/2047 | 160,000 | 173,260 | |||||
Oracle, Sr. Unscd. Notes | 4.10 | 3/25/2061 | 210,000 | 230,805 | |||||
Roper Technologies, Sr. Unscd. Notes | 1.00 | 9/15/2025 | 300,000 | 295,355 | |||||
Roper Technologies, Sr. Unscd. Notes | 1.40 | 9/15/2027 | 300,000 | 291,882 | |||||
Roper Technologies, Sr. Unscd. Notes | 3.80 | 12/15/2026 | 500,000 | 548,579 | |||||
7,763,360 | |||||||||
Insurance - .9% | |||||||||
American International Group, Sr. Unscd. Notes | 3.88 | 1/15/2035 | 500,000 | 558,731 | |||||
American International Group, Sr. Unscd. Notes | 4.20 | 4/1/2028 | 90,000 | 101,825 | |||||
American International Group, Sr. Unscd. Notes | 4.75 | 4/1/2048 | 200,000 | 257,955 | |||||
Aon, Gtd. Notes | 2.80 | 5/15/2030 | 100,000 | 103,709 | |||||
Aon, Gtd. Notes | 3.75 | 5/2/2029 | 250,000 | 277,462 | |||||
Aon, Gtd. Notes | 4.60 | 6/14/2044 | 200,000 | 248,770 | |||||
Arthur J. Gallagher & Co., Sr. Unscd. Notes | 3.50 | 5/20/2051 | 40,000 | 43,618 | |||||
Athene Holding, Sr. Unscd. Notes | 3.95 | 5/25/2051 | 300,000 | 337,330 | |||||
AXA, Sub. Bonds | 8.60 | 12/15/2030 | 165,000 | 242,943 | |||||
Berkshire Hathaway, Sr. Unscd. Notes | 3.13 | 3/15/2026 | 500,000 | 538,422 | |||||
Berkshire Hathaway Finance, Gtd. Notes | 2.85 | 10/15/2050 | 250,000 | 251,197 | |||||
Berkshire Hathaway Finance, Gtd. Notes | 4.20 | 8/15/2048 | 135,000 | 167,096 | |||||
Chubb INA Holdings, Gtd. Notes | 3.35 | 5/15/2024 | 250,000 | 265,820 | |||||
Equitable Holdings, Sr. Unscd. Notes | 4.35 | 4/20/2028 | 90,000 | 101,930 | |||||
First American Financial, Sr. Unscd. Notes | 4.60 | 11/15/2024 | 500,000 | 547,957 | |||||
Lincoln National, Sr. Unscd. Notes | 3.63 | 12/12/2026 | 500,000 | 544,140 | |||||
Loews, Sr. Unscd. Notes | 2.63 | 5/15/2023 | 250,000 | 256,671 | |||||
Marsh & McLennan, Sr. Unscd. Notes | 4.38 | 3/15/2029 | 70,000 | 80,902 |
29
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Insurance - .9% (continued) | |||||||||
Marsh & McLennan, Sr. Unscd. Notes | 4.90 | 3/15/2049 | 65,000 | 88,950 | |||||
MetLife, Sr. Unscd. Notes | 3.60 | 4/10/2024 | 250,000 | 266,612 | |||||
MetLife, Sr. Unscd. Notes | 4.05 | 3/1/2045 | 200,000 | 241,530 | |||||
MetLife, Sr. Unscd. Notes | 6.38 | 6/15/2034 | 150,000 | 211,382 | |||||
Principal Financial Group, Gtd. Notes | 2.13 | 6/15/2030 | 300,000 | 295,397 | |||||
Prudential Financial, Jr. Sub. Notes | 5.20 | 3/15/2044 | 300,000 | 317,558 | |||||
Prudential Financial, Sr. Unscd. Notes | 3.70 | 3/13/2051 | 75,000 | 87,054 | |||||
Prudential Financial, Sr. Unscd. Notes | 4.60 | 5/15/2044 | 400,000 | 505,717 | |||||
Reinsurance Group of America, Sr. Unscd. Notes | 3.15 | 6/15/2030 | 300,000 | 317,070 | |||||
Reinsurance Group of America, Sr. Unscd. Notes | 3.90 | 5/15/2029 | 250,000 | 277,305 | |||||
Reinsurance Group of America, Sr. Unscd. Notes | 4.70 | 9/15/2023 | 350,000 | 374,315 | |||||
The Allstate, Sr. Unscd. Notes | 0.75 | 12/15/2025 | 200,000 | 196,048 | |||||
The Allstate, Sub. Debs., Ser. B | 5.75 | 8/15/2053 | 300,000 | 318,150 | |||||
The Chubb, Gtd. Notes | 6.00 | 5/11/2037 | 200,000 | 286,586 | |||||
The Progressive Corp., Sr. Unscd. Notes | 4.13 | 4/15/2047 | 70,000 | 86,089 | |||||
The Progressive Corp., Sr. Unscd. Notes | 6.63 | 3/1/2029 | 100,000 | 130,219 | |||||
The Travelers Companies, Sr. Unscd. Notes | 4.05 | 3/7/2048 | 300,000 | 371,888 | |||||
9,298,348 | |||||||||
Internet Software & Services - .5% | |||||||||
Alibaba Group Holding, Sr. Unscd. Notes | 3.60 | 11/28/2024 | 300,000 | 319,199 | |||||
Alibaba Group Holding, Sr. Unscd. Notes | 4.00 | 12/6/2037 | 400,000 | 434,624 | |||||
Alphabet, Sr. Unscd. Notes | 0.45 | 8/15/2025 | 250,000 | 245,085 | |||||
Alphabet, Sr. Unscd. Notes | 1.10 | 8/15/2030 | 215,000 | 201,822 | |||||
Alphabet, Sr. Unscd. Notes | 1.90 | 8/15/2040 | 65,000 | 58,971 | |||||
Alphabet, Sr. Unscd. Notes | 2.00 | 8/15/2026 | 300,000 | 309,800 | |||||
Amazon.com, Sr. Unscd. Notes | 0.40 | 6/3/2023 | 200,000 | 200,018 | |||||
Amazon.com, Sr. Unscd. Notes | 0.80 | 6/3/2025 | 200,000 | 198,110 | |||||
Amazon.com, Sr. Unscd. Notes | 1.50 | 6/3/2030 | 200,000 | 193,685 | |||||
Amazon.com, Sr. Unscd. Notes | 1.65 | 5/12/2028 | 300,000 | 299,255 | |||||
Amazon.com, Sr. Unscd. Notes | 2.50 | 6/3/2050 | 200,000 | 191,890 | |||||
Amazon.com, Sr. Unscd. Notes | 2.70 | 6/3/2060 | 195,000 | 188,212 | |||||
Amazon.com, Sr. Unscd. Notes | 2.88 | 5/12/2041 | 500,000 | 518,713 | |||||
Amazon.com, Sr. Unscd. Notes | 3.25 | 5/12/2061 | 220,000 | 240,935 | |||||
Baidu, Sr. Unscd. Notes | 1.72 | 4/9/2026 | 200,000 | 197,833 |
30
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Internet Software & Services - .5% (continued) | |||||||||
Baidu, Sr. Unscd. Notes | 2.38 | 10/9/2030 | 200,000 | 193,022 | |||||
Baidu, Sr. Unscd. Notes | 4.38 | 5/14/2024 | 200,000 | 214,792 | |||||
eBay, Sr. Unscd. Notes | 1.40 | 5/10/2026 | 300,000 | 297,824 | |||||
eBay, Sr. Unscd. Notes | 3.65 | 5/10/2051 | 13,000 | 14,205 | |||||
4,517,995 | |||||||||
Materials - .0% | |||||||||
Berry Global, Sr. Scd. Notes | 1.57 | 1/15/2026 | 150,000 | 148,366 | |||||
Media - .9% | |||||||||
Charter Communications Operating, Sr. Scd. Notes | 4.40 | 12/1/2061 | 70,000 | 74,435 | |||||
Charter Communications Operating, Sr. Scd. Notes | 4.80 | 3/1/2050 | 300,000 | 341,424 | |||||
Charter Communications Operating, Sr. Scd. Notes | 4.91 | 7/23/2025 | 510,000 | 567,329 | |||||
Charter Communications Operating, Sr. Scd. Notes | 5.75 | 4/1/2048 | 100,000 | 128,017 | |||||
Charter Communications Operating, Sr. Scd. Notes | 6.48 | 10/23/2045 | 500,000 | 690,791 | |||||
Comcast, Gtd. Bonds | 4.00 | 8/15/2047 | 60,000 | 69,742 | |||||
Comcast, Gtd. Notes | 1.50 | 2/15/2031 | 650,000 | 610,258 | |||||
Comcast, Gtd. Notes | 2.45 | 8/15/2052 | 750,000 | a | 682,485 | ||||
Comcast, Gtd. Notes | 3.38 | 8/15/2025 | 730,000 | 783,652 | |||||
Comcast, Gtd. Notes | 3.70 | 4/15/2024 | 345,000 | 368,005 | |||||
Comcast, Gtd. Notes | 3.90 | 3/1/2038 | 75,000 | 85,188 | |||||
Comcast, Gtd. Notes | 4.00 | 3/1/2048 | 60,000 | 69,771 | |||||
Comcast, Gtd. Notes | 4.60 | 10/15/2038 | 200,000 | 245,102 | |||||
Comcast, Gtd. Notes | 6.45 | 3/15/2037 | 300,000 | 437,506 | |||||
Comcast Cable Communications Holdings, Gtd. Notes | 9.46 | 11/15/2022 | 304,000 | 332,784 | |||||
Discovery Communications, Gtd. Notes | 3.95 | 3/20/2028 | 350,000 | 385,627 | |||||
Fox, Sr. Unscd. Notes | 4.03 | 1/25/2024 | 83,000 | 88,422 | |||||
Fox, Sr. Unscd. Notes | 5.48 | 1/25/2039 | 315,000 | 407,793 | |||||
Grupo Televisa, Sr. Unscd. Notes | 5.00 | 5/13/2045 | 200,000 | 243,435 | |||||
The Walt Disney Company, Gtd. Notes | 2.00 | 9/1/2029 | 225,000 | 225,314 | |||||
The Walt Disney Company, Gtd. Notes | 2.20 | 1/13/2028 | 100,000 | 102,146 | |||||
The Walt Disney Company, Gtd. Notes | 2.75 | 9/1/2049 | 225,000 | 221,279 | |||||
The Walt Disney Company, Gtd. Notes | 3.80 | 5/13/2060 | 350,000 | 415,024 | |||||
The Walt Disney Company, Gtd. Notes | 4.75 | 11/15/2046 | 110,000 | 144,864 |
31
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Media - .9% (continued) | |||||||||
The Walt Disney Company, Gtd. Notes | 6.20 | 12/15/2034 | 250,000 | 350,299 | |||||
Time Warner Cable, Sr. Scd. Debs. | 4.50 | 9/15/2042 | 250,000 | 273,629 | |||||
Time Warner Cable, Sr. Scd. Debs. | 6.55 | 5/1/2037 | 350,000 | 470,881 | |||||
ViacomCBS, Sr. Unscd. Debs. | 7.88 | 7/30/2030 | 150,000 | 210,152 | |||||
ViacomCBS, Sr. Unscd. Notes | 4.90 | 8/15/2044 | 240,000 | 293,427 | |||||
9,318,781 | |||||||||
Metals & Mining - .2% | |||||||||
Barrick PD Australia Finance, Gtd. Notes | 5.95 | 10/15/2039 | 200,000 | 275,719 | |||||
Newmont, Gtd. Notes | 6.25 | 10/1/2039 | 126,000 | 178,713 | |||||
Nucor, Sr. Unscd. Notes | 2.98 | 12/15/2055 | 200,000 | b | 200,531 | ||||
Rio Tinto Alcan, Sr. Unscd. Debs. | 7.25 | 3/15/2031 | 350,000 | 490,745 | |||||
Southern Copper, Sr. Unscd. Notes | 5.25 | 11/8/2042 | 300,000 | 372,543 | |||||
Steel Dynamics, Sr. Unscd. Notes | 3.25 | 10/15/2050 | 60,000 | 60,883 | |||||
Teck Resources, Sr. Unscd. Notes | 3.90 | 7/15/2030 | 300,000 | a | 325,705 | ||||
Vale Overseas, Gtd. Notes | 3.75 | 7/8/2030 | 200,000 | 203,745 | |||||
Vale Overseas, Gtd. Notes | 6.88 | 11/21/2036 | 250,000 | 327,207 | |||||
2,435,791 | |||||||||
Municipal Securities - .8% | |||||||||
American Municipal Power, Revenue Bonds (Combined Hydroelectric Projects) (Build America Bond) Ser. B | 8.08 | 2/15/2050 | 100,000 | 187,923 | |||||
Bay Area Toll Authority, Revenue Bonds (Build America Bond) Ser. F2 | 6.26 | 4/1/2049 | 300,000 | 493,424 | |||||
California, GO | 3.50 | 4/1/2028 | 100,000 | 110,807 | |||||
California, GO (Build America Bond) | 7.50 | 4/1/2034 | 200,000 | 306,280 | |||||
California, GO (Build America Bond) | 7.55 | 4/1/2039 | 300,000 | 505,785 | |||||
Connecticut, GO, Ser. A | 5.85 | 3/15/2032 | 200,000 | 261,801 | |||||
District of Columbia, Revenue Bonds (Build America Bond) Ser. E | 5.59 | 12/1/2034 | 200,000 | 256,891 | |||||
Georgia Municipal Electric Authority, Revenue Bonds, Refunding (Build America Bond) | 6.64 | 4/1/2057 | 341,000 | 525,130 | |||||
Illinois, GO | 5.10 | 6/1/2033 | 730,000 | 851,857 | |||||
Los Angeles Unified School District, GO (Build America Bond) | 5.75 | 7/1/2034 | 350,000 | 462,631 | |||||
Massachusetts School Building Authority, Revenue Bonds (Build America Bond) | 5.72 | 8/15/2039 | 100,000 | 138,056 | |||||
Metropolitan Transportation Authority, Revenue Bonds (Build America Bond) | 7.34 | 11/15/2039 | 300,000 | 483,536 |
32
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Municipal Securities - .8% (continued) | |||||||||
New Jersey Economic Development Authority, Revenue Bonds (Insured; National Public Finance Guarantee Corp.) Ser. A | 7.43 | 2/15/2029 | 250,000 | 317,313 | |||||
New Jersey Turnpike Authority, Revenue Bonds (Build America Bond) Ser. F | 7.41 | 1/1/2040 | 400,000 | 655,552 | |||||
New York City Water & Sewer System, Revenue Bonds (Build America Bond) | 5.95 | 6/15/2042 | 345,000 | 524,974 | |||||
Pennsylvania Turnpike Commission, Revenue Bonds (Build America Bond) Ser. B | 5.51 | 12/1/2045 | 200,000 | 281,959 | |||||
Port Authority of New York & New Jersey, Revenue Bonds, Ser. 192 | 4.81 | 10/15/2065 | 300,000 | 427,871 | |||||
San Diego County Water Authority, Revenue Bonds (Build America Bond) Ser. B | 6.14 | 5/1/2049 | 300,000 | 455,587 | |||||
The Ohio State University, Revenue Bonds, Ser. A | 3.80 | 12/1/2046 | 250,000 | 304,257 | |||||
7,551,634 | |||||||||
Real Estate - 1.0% | |||||||||
Alexandria Real Estate Equities, Gtd. Notes | 2.00 | 5/18/2032 | 250,000 | 241,007 | |||||
Alexandria Real Estate Equities, Gtd. Notes | 3.00 | 5/18/2051 | 200,000 | 199,963 | |||||
American Tower, Sr. Unscd. Notes | 1.50 | 1/31/2028 | 200,000 | 192,160 | |||||
American Tower, Sr. Unscd. Notes | 1.60 | 4/15/2026 | 300,000 | 298,528 | |||||
American Tower, Sr. Unscd. Notes | 2.70 | 4/15/2031 | 300,000 | 304,840 | |||||
American Tower, Sr. Unscd. Notes | 2.95 | 1/15/2051 | 200,000 | 193,896 | |||||
American Tower, Sr. Unscd. Notes | 3.80 | 8/15/2029 | 90,000 | 98,950 | |||||
AvalonBay Communities, Sr. Unscd. Notes | 4.20 | 12/15/2023 | 400,000 | 426,277 | |||||
Boston Properties, Sr. Unscd. Notes | 4.50 | 12/1/2028 | 100,000 | 114,310 | |||||
Corporate Office Properties, Gtd. Notes | 2.00 | 1/15/2029 | 200,000 | 194,139 | |||||
Crown Castle International, Sr. Unscd. Notes | 2.25 | 1/15/2031 | 200,000 | 194,703 | |||||
Crown Castle International, Sr. Unscd. Notes | 3.20 | 9/1/2024 | 270,000 | 284,491 | |||||
Crown Castle International, Sr. Unscd. Notes | 3.70 | 6/15/2026 | 430,000 | 464,605 | |||||
Duke Realty, Gtd. Notes | 3.75 | 12/1/2024 | 400,000 | 428,880 | |||||
Equinix, Sr. Unscd. Notes | 1.45 | 5/15/2026 | 200,000 | 197,734 | |||||
Equinix, Sr. Unscd. Notes | 3.40 | 2/15/2052 | 200,000 | 208,809 | |||||
Essex Portfolio, Gtd. Notes | 2.65 | 3/15/2032 | 150,000 | 151,037 |
33
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Real Estate - 1.0% (continued) | |||||||||
Essex Portfolio, Gtd. Notes | 4.00 | 3/1/2029 | 200,000 | 222,612 | |||||
Kimco Realty, Sr. Unscd. Notes | 2.70 | 10/1/2030 | 200,000 | 205,592 | |||||
Kimco Realty, Sr. Unscd. Notes | 3.13 | 6/1/2023 | 250,000 | 258,005 | |||||
Mid-America Apartments, Sr. Unscd. Notes | 1.10 | 9/15/2026 | 400,000 | 390,174 | |||||
Mid-America Apartments, Sr. Unscd. Notes | 4.30 | 10/15/2023 | 400,000 | 424,260 | |||||
National Retail Properties, Sr. Unscd. Notes | 3.90 | 6/15/2024 | 500,000 | 532,989 | |||||
Office Properties Income Trust, Sr. Unscd. Notes | 2.65 | 6/15/2026 | 200,000 | 200,041 | |||||
Prologis, Sr. Unscd. Notes | 2.25 | 4/15/2030 | 370,000 | 373,709 | |||||
Prologis, Sr. Unscd. Notes | 3.00 | 4/15/2050 | 35,000 | 36,503 | |||||
Realty Income, Sr. Unscd. Notes | 3.88 | 7/15/2024 | 500,000 | 535,203 | |||||
Rexford Industrial Realty, Gtd. Notes | 2.15 | 9/1/2031 | 400,000 | 383,088 | |||||
Simon Property Group, Sr. Unscd. Notes | 2.65 | 7/15/2030 | 200,000 | a | 204,280 | ||||
Simon Property Group, Sr. Unscd. Notes | 3.25 | 9/13/2049 | 65,000 | 67,556 | |||||
Simon Property Group, Sr. Unscd. Notes | 3.80 | 7/15/2050 | 200,000 | 227,110 | |||||
Simon Property Group, Sr. Unscd. Notes | 6.75 | 2/1/2040 | 150,000 | 222,715 | |||||
Tanger Properties, Sr. Unscd. Notes | 2.75 | 9/1/2031 | 400,000 | 383,024 | |||||
UDR, Gtd. Notes | 2.10 | 8/1/2032 | 200,000 | 191,743 | |||||
Ventas Realty, Gtd. Notes | 4.00 | 3/1/2028 | 300,000 | 331,192 | |||||
Ventas Realty, Gtd. Notes | 4.88 | 4/15/2049 | 200,000 | 253,335 | |||||
VEREIT Operating Partnership, Gtd. Notes | 3.95 | 8/15/2027 | 500,000 | 553,781 | |||||
Welltower, Sr. Unscd. Notes | 4.13 | 3/15/2029 | 200,000 | 224,198 | |||||
10,415,439 | |||||||||
Retailing - .7% | |||||||||
Advance Auto Parts, Gtd. Notes | 1.75 | 10/1/2027 | 300,000 | 295,080 | |||||
Autozone, Sr. Unscd. Notes | 3.13 | 4/21/2026 | 500,000 | 532,431 | |||||
Costco Wholesale, Sr. Unscd. Notes | 1.60 | 4/20/2030 | 200,000 | 194,910 | |||||
Costco Wholesale, Sr. Unscd. Notes | 3.00 | 5/18/2027 | 100,000 | 108,415 | |||||
Dollar Tree, Sr. Unscd. Notes | 4.20 | 5/15/2028 | 95,000 | 107,017 | |||||
Lowe's, Sr. Unscd. Notes | 1.70 | 10/15/2030 | 300,000 | 286,595 | |||||
Lowe's, Sr. Unscd. Notes | 1.70 | 9/15/2028 | 200,000 | 196,310 | |||||
Lowe's, Sr. Unscd. Notes | 2.80 | 9/15/2041 | 200,000 | 197,116 | |||||
Lowe's, Sr. Unscd. Notes | 3.00 | 10/15/2050 | 200,000 | 200,620 | |||||
Lowe's, Sr. Unscd. Notes | 3.13 | 9/15/2024 | 250,000 | 264,069 | |||||
Lowe's, Sr. Unscd. Notes | 3.65 | 4/5/2029 | 80,000 | 88,389 | |||||
Lowe's, Sr. Unscd. Notes | 4.05 | 5/3/2047 | 120,000 | 140,263 |
34
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Retailing - .7% (continued) | |||||||||
Lowe's, Sr. Unscd. Notes | 4.55 | 4/5/2049 | 80,000 | 101,604 | |||||
McDonald's, Sr. Unscd. Notes | 3.63 | 9/1/2049 | 50,000 | 55,940 | |||||
McDonald's, Sr. Unscd. Notes | 4.88 | 12/9/2045 | 465,000 | 607,040 | |||||
O'Reilly Automotive, Sr. Unscd. Notes | 1.75 | 3/15/2031 | 300,000 | 286,337 | |||||
Starbucks, Sr. Unscd. Notes | 2.55 | 11/15/2030 | 400,000 | 409,464 | |||||
Starbucks, Sr. Unscd. Notes | 4.30 | 6/15/2045 | 100,000 | 120,570 | |||||
Starbucks, Sr. Unscd. Notes | 4.45 | 8/15/2049 | 250,000 | 311,568 | |||||
Target, Sr. Unscd. Notes | 2.50 | 4/15/2026 | 400,000 | 422,681 | |||||
The Home Depot, Sr. Unscd. Notes | 3.35 | 4/15/2050 | 500,000 | 556,791 | |||||
The Home Depot, Sr. Unscd. Notes | 5.88 | 12/16/2036 | 300,000 | 423,050 | |||||
Walmart, Sr. Unscd. Notes | 2.35 | 12/15/2022 | 300,000 | 306,330 | |||||
Walmart, Sr. Unscd. Notes | 3.40 | 6/26/2023 | 265,000 | 277,168 | |||||
Walmart, Sr. Unscd. Notes | 3.95 | 6/28/2038 | 90,000 | 108,737 | |||||
Walmart, Sr. Unscd. Notes | 4.05 | 6/29/2048 | 180,000 | 231,108 | |||||
6,829,603 | |||||||||
Semiconductors & Semiconductor Equipment - .6% | |||||||||
Applied Materials, Sr. Unscd. Notes | 3.90 | 10/1/2025 | 500,000 | 546,114 | |||||
Broadcom, Gtd. Notes | 2.45 | 2/15/2031 | 230,000 | b | 222,670 | ||||
Broadcom, Gtd. Notes | 2.60 | 2/15/2033 | 200,000 | b | 192,894 | ||||
Broadcom, Gtd. Notes | 3.50 | 2/15/2041 | 200,000 | b | 198,736 | ||||
Broadcom, Gtd. Notes | 4.11 | 9/15/2028 | 260,000 | 286,767 | |||||
Broadcom, Gtd. Notes | 4.15 | 11/15/2030 | 230,000 | 253,007 | |||||
Broadcom, Gtd. Notes | 4.75 | 4/15/2029 | 210,000 | 239,525 | |||||
Broadcom Cayman Finance, Gtd. Notes | 3.50 | 1/15/2028 | 110,000 | 118,794 | |||||
Broadcom Cayman Finance, Gtd. Notes | 3.88 | 1/15/2027 | 300,000 | 325,315 | |||||
Intel, Sr. Unscd. Notes | 1.60 | 8/12/2028 | 300,000 | 295,606 | |||||
Intel, Sr. Unscd. Notes | 3.15 | 5/11/2027 | 110,000 | 119,131 | |||||
Intel, Sr. Unscd. Notes | 3.25 | 11/15/2049 | 150,000 | 158,497 | |||||
Intel, Sr. Unscd. Notes | 3.73 | 12/8/2047 | 120,000 | 135,928 | |||||
Intel, Sr. Unscd. Notes | 3.90 | 3/25/2030 | 300,000 | 340,156 | |||||
Intel, Sr. Unscd. Notes | 4.10 | 5/11/2047 | 80,000 | 95,632 | |||||
Intel, Sr. Unscd. Notes | 4.75 | 3/25/2050 | 300,000 | 399,249 | |||||
NVIDIA, Sr. Unscd. Notes | 1.55 | 6/15/2028 | 300,000 | 296,519 | |||||
NXP, Gtd. Notes | 4.88 | 3/1/2024 | 200,000 | b | 216,337 | ||||
NXP, Gtd. Notes | 5.35 | 3/1/2026 | 100,000 | b | 114,600 | ||||
NXP, Gtd. Notes | 5.55 | 12/1/2028 | 100,000 | b | 120,822 | ||||
Qualcomm, Sr. Unscd. Notes | 4.30 | 5/20/2047 | 120,000 | 151,600 | |||||
Qualcomm, Sr. Unscd. Notes | 4.65 | 5/20/2035 | 140,000 | 173,229 | |||||
Texas Instruments, Sr. Unscd. Notes | 1.13 | 9/15/2026 | 200,000 | a | 198,585 | ||||
Texas Instruments, Sr. Unscd. Notes | 1.75 | 5/4/2030 | 400,000 | 394,805 |
35
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Semiconductors & Semiconductor Equipment - .6% (continued) | |||||||||
Texas Instruments, Sr. Unscd. Notes | 1.90 | 9/15/2031 | 300,000 | 296,075 | |||||
Texas Instruments, Sr. Unscd. Notes | 4.15 | 5/15/2048 | 80,000 | 101,664 | |||||
5,992,257 | |||||||||
Supranational Bank - 1.7% | |||||||||
African Development Bank, Sr. Unscd. Notes | 3.00 | 9/20/2023 | 300,000 | 314,023 | |||||
Asian Development Bank, Sr. Unscd. Bonds | 0.63 | 4/29/2025 | 220,000 | 216,934 | |||||
Asian Development Bank, Sr. Unscd. Notes | 0.25 | 7/14/2023 | 300,000 | 298,737 | |||||
Asian Development Bank, Sr. Unscd. Notes | 1.00 | 4/14/2026 | 200,000 | 198,513 | |||||
Asian Development Bank, Sr. Unscd. Notes | 1.88 | 1/24/2030 | 100,000 | 102,663 | |||||
Asian Development Bank, Sr. Unscd. Notes | 2.00 | 1/22/2025 | 1,000,000 | 1,037,708 | |||||
Asian Development Bank, Sr. Unscd. Notes | 2.75 | 3/17/2023 | 500,000 | 516,445 | |||||
Asian Development Bank, Sr. Unscd. Notes | 2.75 | 1/19/2028 | 90,000 | 97,214 | |||||
Council of Europe Development Bank, Sr. Unscd. Notes | 2.63 | 2/13/2023 | 300,000 | 308,366 | |||||
European Bank for Reconstruction & Development, Sr. Unscd. Notes | 0.25 | 7/10/2023 | 300,000 | 298,987 | |||||
European Investment Bank, Sr. Unscd. Bonds | 0.25 | 9/15/2023 | 400,000 | 398,240 | |||||
European Investment Bank, Sr. Unscd. Bonds | 0.38 | 12/15/2025 | 200,000 | 194,551 | |||||
European Investment Bank, Sr. Unscd. Bonds | 1.63 | 10/9/2029 | 300,000 | 301,804 | |||||
European Investment Bank, Sr. Unscd. Bonds | 1.63 | 3/14/2025 | 200,000 | 204,813 | |||||
European Investment Bank, Sr. Unscd. Bonds | 2.25 | 6/24/2024 | 160,000 | 166,468 | |||||
European Investment Bank, Sr. Unscd. Notes | 0.38 | 3/26/2026 | 250,000 | 241,968 | |||||
European Investment Bank, Sr. Unscd. Notes | 1.88 | 2/10/2025 | 1,000,000 | 1,032,883 | |||||
European Investment Bank, Sr. Unscd. Notes | 2.38 | 5/24/2027 | 500,000 | 528,651 | |||||
European Investment Bank, Sr. Unscd. Notes | 2.50 | 3/15/2023 | 305,000 | 313,827 | |||||
Export Development Canada, Gov't Gtd. Bonds | 2.63 | 2/21/2024 | 300,000 | 313,184 |
36
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Supranational Bank - 1.7% (continued) | |||||||||
Export-Import Bank of Korea, Sr. Unscd. Bonds | 4.00 | 1/14/2024 | 500,000 | 535,786 | |||||
FMS Wertmanagement, Gov't Gtd. Notes | 2.75 | 1/30/2024 | 400,000 | 418,865 | |||||
Inter-American Development Bank, Sr. Unscd. Bonds | 2.13 | 1/15/2025 | 1,000,000 | 1,039,532 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 0.25 | 11/15/2023 | 400,000 | 397,556 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 1.13 | 1/13/2031 | 200,000 | 191,807 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 1.75 | 3/14/2025 | 150,000 | a | 154,165 | ||||
Inter-American Development Bank, Sr. Unscd. Notes | 2.00 | 7/23/2026 | 80,000 | 82,799 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 2.50 | 1/18/2023 | 225,000 | 230,796 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 3.13 | 9/18/2028 | 300,000 | 331,800 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Bonds | 0.63 | 4/22/2025 | 390,000 | 385,740 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Bonds | 1.25 | 2/10/2031 | 175,000 | 169,693 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Bonds | 2.50 | 7/29/2025 | 1,000,000 | 1,054,933 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Bonds | 7.63 | 1/19/2023 | 300,000 | 326,377 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 0.13 | 4/20/2023 | 300,000 | a | 298,776 | ||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 0.38 | 7/28/2025 | 300,000 | 293,300 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 0.88 | 5/14/2030 | 200,000 | 189,430 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 1.38 | 4/20/2028 | 300,000 | 298,800 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 1.63 | 1/15/2025 | 300,000 | 306,897 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | 1.75 | 4/19/2023 | 500,000 | 509,907 |
37
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Supranational Bank - 1.7% (continued) | |||||||||
International Finance, Sr. Unscd. Notes | 0.38 | 7/16/2025 | 200,000 | 195,552 | |||||
International Finance, Sr. Unscd. Notes | 0.50 | 3/20/2023 | 300,000 | 300,519 | |||||
Japan Bank for International Cooperation, Gov't Gtd. Bonds | 1.88 | 7/21/2026 | 500,000 | 512,003 | |||||
Japan Bank for International Cooperation, Gov't Gtd. Notes | 1.75 | 1/23/2023 | 200,000 | 203,184 | |||||
Japan Bank for International Cooperation, Gov't Gtd. Notes | 2.00 | 10/17/2029 | 300,000 | 306,332 | |||||
Japan Bank for International Cooperation, Gov't Gtd. Notes | 2.75 | 1/21/2026 | 750,000 | a | 796,638 | ||||
The Asian Infrastructure Investment Bank, Sr. Unscd. Bonds | 0.50 | 1/27/2026 | 250,000 | 243,133 | |||||
The Asian Infrastructure Investment Bank, Sr. Unscd. Notes | 0.50 | 5/28/2025 | 200,000 | 196,685 | |||||
The Korea Development Bank, Sr. Unscd. Bonds | 0.80 | 7/19/2026 | 300,000 | 291,994 | |||||
The Korea Development Bank, Sr. Unscd. Notes | 2.75 | 3/19/2023 | 300,000 | 309,035 | |||||
17,658,013 | |||||||||
Technology Hardware & Equipment - .7% | |||||||||
Amdocs, Sr. Unscd. Notes | 2.54 | 6/15/2030 | 200,000 | 199,846 | |||||
Apple, Sr. Unscd. Notes | 0.70 | 2/8/2026 | 230,000 | 225,569 | |||||
Apple, Sr. Unscd. Notes | 1.13 | 5/11/2025 | 125,000 | 125,002 | |||||
Apple, Sr. Unscd. Notes | 1.65 | 2/8/2031 | 175,000 | 169,679 | |||||
Apple, Sr. Unscd. Notes | 1.65 | 5/11/2030 | 100,000 | 97,246 | |||||
Apple, Sr. Unscd. Notes | 1.80 | 9/11/2024 | 135,000 | 138,474 | |||||
Apple, Sr. Unscd. Notes | 2.20 | 9/11/2029 | 120,000 | 122,814 | |||||
Apple, Sr. Unscd. Notes | 2.38 | 2/8/2041 | 80,000 | 77,968 | |||||
Apple, Sr. Unscd. Notes | 2.40 | 1/13/2023 | 160,000 | 163,507 | |||||
Apple, Sr. Unscd. Notes | 2.55 | 8/20/2060 | 140,000 | 131,672 | |||||
Apple, Sr. Unscd. Notes | 2.65 | 5/11/2050 | 120,000 | 118,746 | |||||
Apple, Sr. Unscd. Notes | 2.80 | 2/8/2061 | 215,000 | 212,893 | |||||
Apple, Sr. Unscd. Notes | 2.95 | 9/11/2049 | 75,000 | 77,893 | |||||
Apple, Sr. Unscd. Notes | 3.20 | 5/11/2027 | 200,000 | 217,145 | |||||
Apple, Sr. Unscd. Notes | 3.35 | 2/9/2027 | 500,000 | 544,923 | |||||
Apple, Sr. Unscd. Notes | 3.45 | 5/6/2024 | 500,000 | 532,432 | |||||
Apple, Sr. Unscd. Notes | 3.75 | 11/13/2047 | 90,000 | 106,196 | |||||
Apple, Sr. Unscd. Notes | 4.25 | 2/9/2047 | 300,000 | 379,378 | |||||
Dell International, Sr. Scd. Notes | 6.02 | 6/15/2026 | 200,000 | 235,747 | |||||
Dell International, Sr. Scd. Notes | 8.35 | 7/15/2046 | 260,000 | 432,744 | |||||
DXC Technology, Sr. Unscd. Notes | 2.38 | 9/15/2028 | 300,000 | 291,603 | |||||
Hewlett Packard Enterprise, Sr. Unscd. Notes | 1.75 | 4/1/2026 | 200,000 | 201,397 |
38
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Technology Hardware & Equipment - .7% (continued) | |||||||||
Hewlett Packard Enterprise, Sr. Unscd. Notes | 4.90 | 10/15/2025 | 500,000 | 560,408 | |||||
HP, Sr. Unscd. Notes | 3.40 | 6/17/2030 | 200,000 | 211,424 | |||||
International Business Machines, Sr. Unscd. Notes | 1.70 | 5/15/2027 | 100,000 | 100,144 | |||||
International Business Machines, Sr. Unscd. Notes | 3.30 | 5/15/2026 | 250,000 | 269,812 | |||||
International Business Machines, Sr. Unscd. Notes | 3.50 | 5/15/2029 | 220,000 | 241,188 | |||||
International Business Machines, Sr. Unscd. Notes | 4.15 | 5/15/2039 | 105,000 | 123,254 | |||||
International Business Machines, Sr. Unscd. Notes | 4.25 | 5/15/2049 | 160,000 | 196,184 | |||||
International Business Machines, Sr. Unscd. Notes | 5.60 | 11/30/2039 | 300,000 | 413,233 | |||||
Leidos, Gtd. Notes | 2.30 | 2/15/2031 | 200,000 | 192,854 | |||||
NetApp, Sr. Unscd. Notes | 2.70 | 6/22/2030 | 200,000 | 204,055 | |||||
7,315,430 | |||||||||
Telecommunication Services - 1.4% | |||||||||
America Movil, Gtd. Notes | 6.38 | 3/1/2035 | 100,000 | 138,661 | |||||
America Movil, Sr. Unscd. Notes | 4.38 | 4/22/2049 | 200,000 | 249,569 | |||||
AT&T, Sr. Unscd. Notes | 3.50 | 9/15/2053 | 615,000 | 625,928 | |||||
AT&T, Sr. Unscd. Notes | 3.80 | 12/1/2057 | 300,000 | 315,406 | |||||
AT&T, Sr. Unscd. Notes | 4.30 | 2/15/2030 | 507,000 | 576,068 | |||||
AT&T, Sr. Unscd. Notes | 4.35 | 3/1/2029 | 560,000 | 636,131 | |||||
AT&T, Sr. Unscd. Notes | 4.50 | 3/9/2048 | 341,000 | 403,517 | |||||
AT&T, Sr. Unscd. Notes | 4.50 | 5/15/2035 | 500,000 | 578,376 | |||||
AT&T, Sr. Unscd. Notes | 4.55 | 3/9/2049 | 400,000 | 475,749 | |||||
AT&T, Sr. Unscd. Notes | 4.85 | 3/1/2039 | 110,000 | 132,328 | |||||
AT&T, Sr. Unscd. Notes | 4.85 | 7/15/2045 | 300,000 | 367,897 | |||||
British Telecommunications, Sr. Unscd. Notes | 9.63 | 12/15/2030 | 175,000 | 262,747 | |||||
Cisco Systems, Sr. Unscd. Notes | 2.95 | 2/28/2026 | 500,000 | 536,490 | |||||
Cisco Systems, Sr. Unscd. Notes | 5.50 | 1/15/2040 | 250,000 | 351,647 | |||||
Corning, Sr. Unscd. Notes | 3.90 | 11/15/2049 | 300,000 | 343,975 | |||||
Corning, Sr. Unscd. Notes | 4.38 | 11/15/2057 | 50,000 | 61,224 | |||||
Deutsche Telekom International Finance, Gtd. Bonds | 8.75 | 6/15/2030 | 300,000 | 440,579 | |||||
Orange, Sr. Unscd. Notes | 9.00 | 3/1/2031 | 300,000 | 460,251 | |||||
Rogers Communications, Gtd. Bonds | 7.50 | 8/15/2038 | 125,000 | 188,459 | |||||
Telefonica Emisiones, Gtd. Notes | 5.21 | 3/8/2047 | 300,000 | 379,106 | |||||
Telefonica Emisiones, Gtd. Notes | 7.05 | 6/20/2036 | 250,000 | 357,969 | |||||
T-Mobile USA, Sr. Scd. Notes | 1.50 | 2/15/2026 | 300,000 | 298,165 | |||||
T-Mobile USA, Sr. Scd. Notes | 2.05 | 2/15/2028 | 300,000 | 297,633 |
39
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Telecommunication Services - 1.4% (continued) | |||||||||
T-Mobile USA, Sr. Scd. Notes | 3.00 | 2/15/2041 | 200,000 | 192,776 | |||||
T-Mobile USA, Sr. Scd. Notes | 3.50 | 4/15/2025 | 310,000 | 330,741 | |||||
T-Mobile USA, Sr. Scd. Notes | 3.60 | 11/15/2060 | 200,000 | b | 201,360 | ||||
T-Mobile USA, Sr. Scd. Notes | 4.50 | 4/15/2050 | 250,000 | 295,925 | |||||
Verizon Communications, Sr. Unscd. Notes | 0.85 | 11/20/2025 | 200,000 | 196,030 | |||||
Verizon Communications, Sr. Unscd. Notes | 1.75 | 1/20/2031 | 200,000 | 188,990 | |||||
Verizon Communications, Sr. Unscd. Notes | 2.88 | 11/20/2050 | 200,000 | 190,886 | |||||
Verizon Communications, Sr. Unscd. Notes | 2.99 | 10/30/2056 | 435,000 | 413,843 | |||||
Verizon Communications, Sr. Unscd. Notes | 3.38 | 2/15/2025 | 387,000 | 413,601 | |||||
Verizon Communications, Sr. Unscd. Notes | 3.40 | 3/22/2041 | 190,000 | 199,562 | |||||
Verizon Communications, Sr. Unscd. Notes | 3.70 | 3/22/2061 | 365,000 | 397,462 | |||||
Verizon Communications, Sr. Unscd. Notes | 4.02 | 12/3/2029 | 977,000 | 1,095,559 | |||||
Verizon Communications, Sr. Unscd. Notes | 4.33 | 9/21/2028 | 250,000 | 285,504 | |||||
Verizon Communications, Sr. Unscd. Notes | 4.86 | 8/21/2046 | 400,000 | 525,952 | |||||
Vodafone Group, Sr. Unscd. Notes | 4.25 | 9/17/2050 | 75,000 | 88,031 | |||||
Vodafone Group, Sr. Unscd. Notes | 4.38 | 5/30/2028 | 225,000 | 256,618 | |||||
Vodafone Group, Sr. Unscd. Notes | 5.00 | 5/30/2038 | 60,000 | 74,597 | |||||
Vodafone Group, Sr. Unscd. Notes | 5.13 | 6/19/2059 | 110,000 | 146,649 | |||||
Vodafone Group, Sr. Unscd. Notes | 5.25 | 5/30/2048 | 180,000 | 237,503 | |||||
Vodafone Group, Sr. Unscd. Notes | 7.88 | 2/15/2030 | 125,000 | 176,127 | |||||
14,385,591 | |||||||||
Transportation - .5% | |||||||||
Burlington Northern Santa Fe, Sr. Unscd. Debs. | 4.55 | 9/1/2044 | 300,000 | 381,748 | |||||
Burlington Northern Santa Fe, Sr. Unscd. Debs. | 6.15 | 5/1/2037 | 300,000 | 430,712 | |||||
Burlington Northern Santa Fe, Sr. Unscd. Debs. | 7.00 | 12/15/2025 | 100,000 | 122,266 | |||||
Canadian Pacific Railway, Gtd. Notes | 6.13 | 9/15/2115 | 100,000 | 155,634 | |||||
CSX, Sr. Unscd. Notes | 3.80 | 3/1/2028 | 200,000 | 222,041 | |||||
CSX, Sr. Unscd. Notes | 4.30 | 3/1/2048 | 50,000 | 61,819 | |||||
CSX, Sr. Unscd. Notes | 4.75 | 11/15/2048 | 100,000 | 131,971 | |||||
FedEx, Gtd. Notes | 4.75 | 11/15/2045 | 400,000 | 497,795 | |||||
Kansas Southern, Gtd. Notes | 4.95 | 8/15/2045 | 300,000 | 388,399 | |||||
Norfolk Southern, Sr. Unscd. Bonds | 4.84 | 10/1/2041 | 350,000 | 450,437 |
40
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Transportation - .5% (continued) | |||||||||
Norfolk Southern, Sr. Unscd. Notes | 2.90 | 8/25/2051 | 300,000 | 300,473 | |||||
Norfolk Southern, Sr. Unscd. Notes | 3.85 | 1/15/2024 | 300,000 | 317,112 | |||||
Union Pacific, Sr. Unscd. Notes | 2.75 | 4/15/2023 | 400,000 | 410,299 | |||||
Union Pacific, Sr. Unscd. Notes | 3.80 | 4/6/2071 | 55,000 | 64,596 | |||||
Union Pacific, Sr. Unscd. Notes | 3.84 | 3/20/2060 | 443,000 | 525,043 | |||||
Union Pacific, Sr. Unscd. Notes | 3.95 | 9/10/2028 | 105,000 | 118,498 | |||||
United Parcel Service, Sr. Unscd. Notes | 3.75 | 11/15/2047 | 80,000 | 96,131 | |||||
United Parcel Service, Sr. Unscd. Notes | 5.30 | 4/1/2050 | 200,000 | 298,201 | |||||
4,973,175 | |||||||||
U.S. Government Agencies Collateralized Municipal-Backed Securities - 1.0% | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K043, Cl. A2 | 3.06 | 12/25/2024 | 648,000 | c | 685,907 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K047, Cl. A2 | 3.33 | 5/25/2025 | 45,000 | c | 48,262 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K056, Cl. A2 | 2.53 | 5/25/2026 | 1,300,000 | c | 1,368,413 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K091, Cl. A2 | 3.51 | 3/25/2029 | 400,000 | c | 451,721 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K092, Cl. A2 | 3.30 | 4/25/2029 | 400,000 | c | 446,594 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K103, Cl. A2 | 2.65 | 11/25/2029 | 400,000 | c | 430,329 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K104, Cl. A2 | 2.25 | 1/25/2030 | 400,000 | c | 418,278 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K106, Cl. A1 | 1.78 | 10/25/2029 | 295,011 | c | 300,694 |
41
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Government Agencies Collateralized Municipal-Backed Securities - 1.0% (continued) | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K112, Cl. A2 | 1.31 | 5/25/2030 | 200,000 | c | 194,906 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K126, Cl. A2 | 2.07 | 1/25/2031 | 400,000 | c | 413,490 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K-1514, Cl. A2 | 2.86 | 10/25/2034 | 400,000 | c | 433,996 | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K-1516, Cl. A2 | 1.72 | 5/25/2035 | 400,000 | c | 383,901 | ||||
Federal National Mortgage Association, Ser. 2013-M14, Cl. APT | 2.55 | 4/25/2023 | 103,279 | c | 105,143 | ||||
Federal National Mortgage Association, Ser. 2017-M12, Cl. A2 | 3.07 | 6/25/2027 | 894,980 | c | 968,826 | ||||
Federal National Mortgage Association, Ser. 2017-M8, Cl. A1 | 2.65 | 5/25/2027 | 19,833 | c | 19,876 | ||||
Federal National Mortgage Association, Ser. 2018-M1, Cl. A2 | 2.99 | 12/25/2027 | 919,043 | c | 992,271 | ||||
Federal National Mortgage Association, Ser. 2018-M10, Cl. A2 | 3.37 | 7/25/2028 | 750,000 | c | 829,298 | ||||
Federal National Mortgage Association, Ser. 2019-M12, Cl. A2 | 2.89 | 6/25/2029 | 500,000 | c | 544,135 | ||||
Federal National Mortgage Association, Ser. 2019-M5, Cl. A2 | 3.27 | 2/25/2029 | 200,000 | c | 221,752 | ||||
Federal National Mortgage Association, Ser. 2020-M1, Cl. A2 | 2.44 | 10/25/2029 | 400,000 | c | 423,777 | ||||
Federal National Mortgage Association, Ser. 2020-M14, Cl. A2 | 1.78 | 5/25/2030 | 300,000 | c | 303,155 | ||||
9,984,724 | |||||||||
U.S. Government Agencies Mortgage-Backed - 27.9% | |||||||||
Federal Home Loan Mortgage Corp.: | |||||||||
1.50%, 5/1/2041-10/1/2051 | 519,838 | c | 505,847 | ||||||
2.00%, 8/1/2028-11/1/2051 | 6,730,149 | c | 6,783,835 | ||||||
2.25%, 8/1/2034, 1 Year U.S. Treasury Curve Rate T-Note Constant +2.25% | 316 | c,d | 321 | ||||||
2.50%, 3/1/2028-9/1/2051 | 8,976,609 | c | 9,283,772 | ||||||
3.00%, 12/1/2021-7/1/2050 | 11,484,564 | c | 12,137,011 | ||||||
3.50%, 11/1/2025-7/1/2049 | 6,769,173 | c | 7,249,415 |
42
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | |||
Bonds and Notes - 100.1% (continued) | ||||||||
U.S. Government Agencies Mortgage-Backed - 27.9% (continued) | ||||||||
4.00%, 4/1/2024-6/1/2050 | 5,758,866 | c | 6,290,358 | |||||
4.50%, 5/1/2023-2/1/2049 | 2,515,757 | c | 2,783,280 | |||||
5.00%, 5/1/2023-2/1/2048 | 1,016,164 | c | 1,160,395 | |||||
5.50%, 2/1/2023-1/1/2039 | 285,122 | c | 327,040 | |||||
6.00%, 7/1/2022-7/1/2039 | 356,909 | c | 414,909 | |||||
6.50%, 4/1/2026-9/1/2037 | 73,348 | c | 84,255 | |||||
7.00%, 12/1/2024-9/1/2031 | 11,629 | c | 12,754 | |||||
7.50%, 6/1/2024-7/1/2030 | 2,395 | c | 2,535 | |||||
8.00%, 5/1/2026-10/1/2031 | 2,941 | c | 3,298 | |||||
8.50%, 6/1/2030 | 220 | c | 254 | |||||
Federal National Mortgage Association: | ||||||||
1.50% | 12,175,000 | c,e | 12,012,825 | |||||
1.50%, 11/1/2035-6/1/2051 | 3,853,617 | c | 3,795,403 | |||||
2.00% | 57,050,000 | c,e | 57,289,155 | |||||
2.00%, 7/1/2028-9/1/2051 | 6,375,987 | c | 6,442,567 | |||||
2.50% | 29,225,000 | c,e | 30,012,843 | |||||
2.50%, 7/1/2027-5/1/2051 | 8,103,152 | c | 8,393,174 | |||||
3.00%, 10/1/2026-9/1/2050 | 20,053,752 | c | 21,165,749 | |||||
3.00% | 25,000 | c,e | 26,053 | |||||
3.50% | 650,000 | c,e | 686,852 | |||||
3.50%, 8/1/2025-6/1/2050 | 14,172,365 | c | 15,164,127 | |||||
4.00%, 7/1/2024-10/1/2049 | 8,904,650 | c | 9,701,926 | |||||
4.50%, 4/1/2023-6/1/2049 | 4,225,106 | c | 4,666,358 | |||||
5.00%, 7/1/2022-6/1/2049 | 1,374,771 | c | 1,566,423 | |||||
5.50%, 1/1/2032-12/1/2038 | 576,611 | c | 663,415 | |||||
6.00%, 5/1/2024-11/1/2038 | 693,025 | c | 805,340 | |||||
6.50%, 3/1/2022-12/1/2037 | 184,944 | c | 210,646 | |||||
7.00%, 8/1/2023-7/1/2032 | 18,954 | c | 21,094 | |||||
7.50%, 4/1/2026-6/1/2031 | 10,124 | c | 10,790 | |||||
8.00%, 3/1/2022-8/1/2030 | 2,491 | c | 2,751 | |||||
8.50%, 7/1/2030 | 136 | c | 158 | |||||
Government National Mortgage Association I: | ||||||||
2.50%, 2/15/2028-9/15/2046 | 118,292 |
| 122,895 | |||||
3.00%, 9/15/2042-8/15/2045 | 640,142 |
| 679,041 | |||||
3.50%, 2/15/2026-8/15/2045 | 451,809 |
| 484,770 | |||||
4.00%, 2/15/2041-9/15/2045 | 512,797 |
| 567,819 | |||||
4.50%, 3/15/2039-2/15/2041 | 505,008 |
| 570,601 | |||||
5.00%, 7/15/2033-4/15/2040 | 722,547 |
| 835,130 | |||||
5.50%, 2/15/2033-11/15/2038 | 255,510 |
| 296,371 | |||||
6.00%, 1/15/2029-10/15/2036 | 87,860 |
| 101,794 | |||||
6.50%, 2/15/2024-11/15/2033 | 44,107 |
| 49,605 | |||||
7.00%, 10/15/2027-8/15/2032 | 27,693 |
| 30,679 |
43
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Government Agencies Mortgage-Backed - 27.9% (continued) | |||||||||
7.50%, 12/15/2023-11/15/2030 | 12,759 |
| 12,835 | ||||||
8.00%, 8/15/2024-3/15/2032 | 5,140 |
| 5,876 | ||||||
8.25%, 6/15/2027 | 569 |
| 574 | ||||||
8.50%, 10/15/2026 | 2,119 |
| 2,151 | ||||||
9.00%, 2/15/2022-2/15/2023 | 521 |
| 523 | ||||||
Government National Mortgage Association II: | |||||||||
2.00% | 11,975,000 | e | 12,126,369 | ||||||
2.00%, 9/20/2050-7/20/2051 | 1,496,208 |
| 1,516,538 | ||||||
2.50% | 11,325,000 | e | 11,641,685 | ||||||
2.50%, 3/20/2027-9/20/2051 | 2,590,775 |
| 2,670,096 | ||||||
3.00%, 11/20/2027-9/20/2050 | 9,407,466 |
| 9,839,492 | ||||||
3.00% | 2,450,000 | e | 2,543,921 | ||||||
3.50% | 763,000 | e | 798,170 | ||||||
3.50%, 9/20/2028-12/20/2050 | 8,589,915 |
| 9,107,504 | ||||||
4.00%, 9/20/2043-6/20/2050 | 5,048,769 |
| 5,433,754 | ||||||
4.50%, 7/20/2041-6/20/2049 | 2,257,560 |
| 2,487,897 | ||||||
5.00%, 9/20/2040-2/20/2049 | 201,919 |
| 229,123 | ||||||
5.50%, 10/20/2031-6/20/2041 | 45,491 |
| 53,347 | ||||||
6.50%, 2/20/2028 | 215 |
| 239 | ||||||
8.50%, 7/20/2025 | 81 |
| 84 | ||||||
281,885,811 | |||||||||
U.S. Government Agencies Obligations - 1.4% | |||||||||
Federal Farm Credit Bank Funding Corp., Unscd. Bonds | 1.65 | 7/23/2035 | 200,000 | 189,217 | |||||
Federal Home Loan Bank, Unscd. Bonds | 1.38 | 2/17/2023 | 2,000,000 | 2,028,664 | |||||
Federal Home Loan Bank, Unscd. Bonds | 1.88 | 12/9/2022 | 1,000,000 | 1,018,199 | |||||
Federal Home Loan Bank, Unscd. Bonds | 3.38 | 12/8/2023 | 500,000 | 529,649 | |||||
Federal Home Loan Bank, Unscd. Bonds | 5.50 | 7/15/2036 | 480,000 | 699,802 | |||||
Federal Home Loan Mortgage Corp., Notes | 0.80 | 10/27/2026 | 125,000 | c | 122,314 | ||||
Federal Home Loan Mortgage Corp., Unscd. Notes | 0.13 | 10/16/2023 | 500,000 | c | 496,855 | ||||
Federal Home Loan Mortgage Corp., Unscd. Notes | 0.25 | 6/26/2023 | 1,400,000 | c | 1,396,686 | ||||
Federal Home Loan Mortgage Corp., Unscd. Notes | 1.50 | 2/12/2025 | 500,000 | c | 510,609 | ||||
Federal National Mortgage Association, Notes | 6.63 | 11/15/2030 | 1,000,000 | a,c | 1,416,823 | ||||
Federal National Mortgage Association, Unscd. Notes | 0.25 | 5/22/2023 | 1,000,000 | c | 997,739 |
44
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Government Agencies Obligations - 1.4% (continued) | |||||||||
Federal National Mortgage Association, Unscd. Notes | 0.38 | 8/25/2025 | 1,000,000 | c | 977,295 | ||||
Federal National Mortgage Association, Unscd. Notes | 0.88 | 12/18/2026 | 325,000 | c | 319,082 | ||||
Federal National Mortgage Association, Unscd. Notes | 1.63 | 10/15/2024 | 500,000 | a,c | 512,891 | ||||
Federal National Mortgage Association, Unscd. Notes | 1.88 | 9/24/2026 | 1,000,000 | c | 1,033,352 | ||||
Federal National Mortgage Association, Unscd. Notes | 6.25 | 5/15/2029 | 540,000 | c | 721,552 | ||||
Tennessee Valley Authority, Sr. Unscd. Bonds | 5.25 | 9/15/2039 | 700,000 | 993,713 | |||||
Tennessee Valley Authority, Sr. Unscd. Bonds | 6.15 | 1/15/2038 | 165,000 | 252,490 | |||||
14,216,932 | |||||||||
U.S. Treasury Securities - 37.9% | |||||||||
U.S. Treasury Bonds | 1.13 | 5/15/2040 | 435,000 | 376,802 | |||||
U.S. Treasury Bonds | 1.25 | 5/15/2050 | 2,856,000 | 2,417,169 | |||||
U.S. Treasury Bonds | 1.38 | 8/15/2050 | 3,350,000 | 2,922,940 | |||||
U.S. Treasury Bonds | 1.63 | 11/15/2050 | 4,415,000 | 4,097,241 | |||||
U.S. Treasury Bonds | 1.75 | 8/15/2041 | 3,925,000 | 3,779,652 | |||||
U.S. Treasury Bonds | 1.88 | 2/15/2041 | 535,000 | 526,055 | |||||
U.S. Treasury Bonds | 1.88 | 2/15/2051 | 260,000 | 255,856 | |||||
U.S. Treasury Bonds | 2.00 | 8/15/2051 | 3,205,000 | 3,251,573 | |||||
U.S. Treasury Bonds | 2.00 | 2/15/2050 | 1,145,000 | 1,159,156 | |||||
U.S. Treasury Bonds | 2.25 | 8/15/2049 | 1,525,000 | 1,626,835 | |||||
U.S. Treasury Bonds | 2.25 | 8/15/2046 | 1,625,000 | 1,714,565 | |||||
U.S. Treasury Bonds | 2.38 | 5/15/2051 | 1,275,000 | 1,401,703 | |||||
U.S. Treasury Bonds | 2.38 | 11/15/2049 | 1,000,000 | a | 1,095,098 | ||||
U.S. Treasury Bonds | 2.50 | 2/15/2045 | 3,135,000 | 3,436,866 | |||||
U.S. Treasury Bonds | 2.50 | 2/15/2046 | 2,390,000 | 2,633,154 | |||||
U.S. Treasury Bonds | 2.50 | 5/15/2046 | 2,230,000 | 2,460,143 | |||||
U.S. Treasury Bonds | 2.75 | 11/15/2047 | 1,445,000 | 1,682,099 | |||||
U.S. Treasury Bonds | 2.75 | 11/15/2042 | 1,892,000 | 2,140,473 | |||||
U.S. Treasury Bonds | 2.75 | 8/15/2047 | 1,470,000 | 1,709,593 | |||||
U.S. Treasury Bonds | 2.88 | 5/15/2043 | 2,952,000 | 3,413,019 | |||||
U.S. Treasury Bonds | 2.88 | 11/15/2046 | 1,861,000 | 2,204,485 | |||||
U.S. Treasury Bonds | 2.88 | 5/15/2049 | 2,286,000 | a | 2,745,656 | ||||
U.S. Treasury Bonds | 3.00 | 2/15/2047 | 1,490,000 | 1,807,527 | |||||
U.S. Treasury Bonds | 3.00 | 8/15/2048 | 2,375,000 | 2,900,330 | |||||
U.S. Treasury Bonds | 3.00 | 2/15/2049 | 1,150,000 | 1,410,120 | |||||
U.S. Treasury Bonds | 3.00 | 11/15/2044 | 1,077,000 | 1,280,494 | |||||
U.S. Treasury Bonds | 3.00 | 2/15/2048 | 1,840,000 | 2,241,817 | |||||
U.S. Treasury Bonds | 3.13 | 5/15/2048 | 1,245,000 | 1,552,724 |
45
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Treasury Securities - 37.9% (continued) | |||||||||
U.S. Treasury Bonds | 3.13 | 8/15/2044 | 656,000 | 793,324 | |||||
U.S. Treasury Bonds | 3.13 | 11/15/2041 | 776,000 | 926,471 | |||||
U.S. Treasury Bonds | 3.13 | 2/15/2043 | 130,000 | 155,893 | |||||
U.S. Treasury Bonds | 3.38 | 5/15/2044 | 760,000 | 953,741 | |||||
U.S. Treasury Bonds | 3.38 | 11/15/2048 | 1,515,000 | 1,978,643 | |||||
U.S. Treasury Bonds | 3.50 | 2/15/2039 | 1,500,000 | 1,876,230 | |||||
U.S. Treasury Bonds | 3.63 | 2/15/2044 | 1,968,000 | 2,553,634 | |||||
U.S. Treasury Bonds | 3.63 | 8/15/2043 | 2,745,000 | 3,547,162 | |||||
U.S. Treasury Bonds | 3.75 | 11/15/2043 | 1,575,000 | 2,074,786 | |||||
U.S. Treasury Bonds | 3.75 | 8/15/2041 | 1,450,000 | 1,880,922 | |||||
U.S. Treasury Bonds | 4.25 | 5/15/2039 | 1,190,000 | 1,626,628 | |||||
U.S. Treasury Bonds | 4.38 | 2/15/2038 | 1,233,000 | 1,697,061 | |||||
U.S. Treasury Bonds | 4.38 | 11/15/2039 | 535,000 | 742,459 | |||||
U.S. Treasury Bonds | 4.63 | 2/15/2040 | 945,000 | 1,352,384 | |||||
U.S. Treasury Bonds | 4.75 | 2/15/2041 | 960,000 | 1,403,137 | |||||
U.S. Treasury Bonds | 5.25 | 11/15/2028 | 335,000 | 421,145 | |||||
U.S. Treasury Bonds | 6.13 | 11/15/2027 | 1,065,000 | 1,363,283 | |||||
U.S. Treasury Bonds | 7.13 | 2/15/2023 | 76,000 | 82,686 | |||||
U.S. Treasury Bonds | 7.63 | 2/15/2025 | 550,000 | 672,063 | |||||
U.S. Treasury Notes | 0.13 | 7/31/2023 | 2,545,000 | 2,532,076 | |||||
U.S. Treasury Notes | 0.13 | 1/31/2023 | 2,000,000 | 1,996,914 | |||||
U.S. Treasury Notes | 0.13 | 11/30/2022 | 1,000,000 | 999,629 | |||||
U.S. Treasury Notes | 0.13 | 12/31/2022 | 2,900,000 | 2,896,941 | |||||
U.S. Treasury Notes | 0.13 | 2/28/2023 | 2,955,000 | 2,948,940 | |||||
U.S. Treasury Notes | 0.13 | 5/31/2023 | 200,000 | 199,246 | |||||
U.S. Treasury Notes | 0.13 | 6/30/2023 | 2,880,000 | a | 2,867,794 | ||||
U.S. Treasury Notes | 0.13 | 2/15/2024 | 1,500,000 | 1,484,678 | |||||
U.S. Treasury Notes | 0.13 | 3/31/2023 | 1,000,000 | 997,363 | |||||
U.S. Treasury Notes | 0.13 | 5/15/2023 | 1,790,000 | 1,783,812 | |||||
U.S. Treasury Notes | 0.13 | 8/31/2023 | 2,665,000 | a | 2,649,905 | ||||
U.S. Treasury Notes | 0.25 | 3/15/2024 | 1,635,000 | 1,620,981 | |||||
U.S. Treasury Notes | 0.25 | 4/15/2023 | 1,690,000 | 1,688,284 | |||||
U.S. Treasury Notes | 0.25 | 11/15/2023 | 2,795,000 | 2,780,315 | |||||
U.S. Treasury Notes | 0.25 | 5/31/2025 | 1,375,000 | 1,341,538 | |||||
U.S. Treasury Notes | 0.25 | 9/30/2025 | 965,000 | 936,804 | |||||
U.S. Treasury Notes | 0.25 | 10/31/2025 | 2,440,000 | a | 2,364,417 | ||||
U.S. Treasury Notes | 0.25 | 7/31/2025 | 2,153,000 | 2,095,559 | |||||
U.S. Treasury Notes | 0.25 | 8/31/2025 | 4,030,000 | 3,915,554 | |||||
U.S. Treasury Notes | 0.25 | 6/15/2024 | 1,000,000 | 988,555 | |||||
U.S. Treasury Notes | 0.25 | 5/15/2024 | 2,800,000 | 2,771,016 | |||||
U.S. Treasury Notes | 0.25 | 9/30/2023 | 1,500,000 | 1,494,023 | |||||
U.S. Treasury Notes | 0.38 | 7/15/2024 | 2,460,000 | a | 2,438,379 | ||||
U.S. Treasury Notes | 0.38 | 1/31/2026 | 4,740,000 | a | 4,597,985 |
46
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Treasury Securities - 37.9% (continued) | |||||||||
U.S. Treasury Notes | 0.38 | 12/31/2025 | 1,950,000 | a | 1,894,242 | ||||
U.S. Treasury Notes | 0.38 | 9/15/2024 | 2,255,000 | a | 2,232,362 | ||||
U.S. Treasury Notes | 0.38 | 8/15/2024 | 2,305,000 | a | 2,283,571 | ||||
U.S. Treasury Notes | 0.38 | 4/30/2025 | 358,000 | 351,315 | |||||
U.S. Treasury Notes | 0.38 | 4/15/2024 | 2,805,000 | 2,786,318 | |||||
U.S. Treasury Notes | 0.38 | 10/31/2023 | 2,295,000 | f | 2,289,711 | ||||
U.S. Treasury Notes | 0.50 | 6/30/2027 | 1,500,000 | a | 1,434,814 | ||||
U.S. Treasury Notes | 0.50 | 2/28/2026 | 3,890,000 | 3,790,471 | |||||
U.S. Treasury Notes | 0.50 | 8/31/2027 | 1,350,000 | 1,287,325 | |||||
U.S. Treasury Notes | 0.63 | 10/15/2024 | 2,220,000 | 2,212,550 | |||||
U.S. Treasury Notes | 0.63 | 5/15/2030 | 4,020,000 | 3,736,087 | |||||
U.S. Treasury Notes | 0.63 | 8/15/2030 | 4,616,000 | 4,278,725 | |||||
U.S. Treasury Notes | 0.63 | 3/31/2027 | 600,000 | a | 580,230 | ||||
U.S. Treasury Notes | 0.63 | 7/31/2026 | 1,595,000 | 1,554,813 | |||||
U.S. Treasury Notes | 0.63 | 11/30/2027 | 2,815,000 | 2,694,318 | |||||
U.S. Treasury Notes | 0.63 | 12/31/2027 | 2,950,000 | 2,818,690 | |||||
U.S. Treasury Notes | 0.75 | 4/30/2026 | 2,950,000 | a | 2,900,737 | ||||
U.S. Treasury Notes | 0.75 | 3/31/2026 | 2,660,000 | 2,617,295 | |||||
U.S. Treasury Notes | 0.75 | 1/31/2028 | 3,085,000 | a | 2,967,083 | ||||
U.S. Treasury Notes | 0.75 | 8/31/2026 | 1,355,000 | 1,327,953 | |||||
U.S. Treasury Notes | 0.88 | 11/15/2030 | 5,745,000 | a | 5,429,474 | ||||
U.S. Treasury Notes | 0.88 | 6/30/2026 | 1,170,000 | 1,154,827 | |||||
U.S. Treasury Notes | 0.88 | 9/30/2026 | 3,450,000 | a | 3,400,002 | ||||
U.S. Treasury Notes | 1.00 | 7/31/2028 | 2,630,000 | 2,554,079 | |||||
U.S. Treasury Notes | 1.13 | 2/29/2028 | 3,055,000 | a | 3,007,445 | ||||
U.S. Treasury Notes | 1.13 | 2/28/2025 | 3,655,000 | a | 3,686,553 | ||||
U.S. Treasury Notes | 1.13 | 8/31/2028 | 2,465,000 | 2,411,848 | |||||
U.S. Treasury Notes | 1.13 | 2/15/2031 | 5,010,000 | a | 4,833,084 | ||||
U.S. Treasury Notes | 1.13 | 10/31/2026 | 4,000,000 | f | 3,987,344 | ||||
U.S. Treasury Notes | 1.25 | 9/30/2028 | 2,410,000 | 2,377,051 | |||||
U.S. Treasury Notes | 1.25 | 5/31/2028 | 2,995,000 | 2,962,125 | |||||
U.S. Treasury Notes | 1.25 | 6/30/2028 | 2,975,000 | 2,938,916 | |||||
U.S. Treasury Notes | 1.25 | 3/31/2028 | 1,220,000 | 1,208,300 | |||||
U.S. Treasury Notes | 1.25 | 8/15/2031 | 5,715,000 | a | 5,554,266 | ||||
U.S. Treasury Notes | 1.25 | 7/31/2023 | 870,000 | 882,727 | |||||
U.S. Treasury Notes | 1.25 | 8/31/2024 | 1,770,000 | 1,796,135 | |||||
U.S. Treasury Notes | 1.38 | 9/30/2023 | 105,000 | 106,809 | |||||
U.S. Treasury Notes | 1.38 | 2/15/2023 | 1,020,000 | 1,034,603 | |||||
U.S. Treasury Notes | 1.38 | 10/31/2028 | 2,370,000 | f | 2,356,669 | ||||
U.S. Treasury Notes | 1.38 | 6/30/2023 | 875,000 | 889,543 | |||||
U.S. Treasury Notes | 1.38 | 8/31/2023 | 2,680,000 | 2,725,330 | |||||
U.S. Treasury Notes | 1.50 | 10/31/2024 | 2,050,000 | a | 2,094,924 | ||||
U.S. Treasury Notes | 1.50 | 1/31/2027 | 425,000 | 431,001 |
47
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Treasury Securities - 37.9% (continued) | |||||||||
U.S. Treasury Notes | 1.50 | 1/15/2023 | 1,870,000 | 1,898,561 | |||||
U.S. Treasury Notes | 1.50 | 2/28/2023 | 508,000 | 516,225 | |||||
U.S. Treasury Notes | 1.50 | 2/15/2030 | 1,945,000 | a | 1,947,469 | ||||
U.S. Treasury Notes | 1.63 | 12/15/2022 | 2,735,000 | 2,778,803 | |||||
U.S. Treasury Notes | 1.63 | 4/30/2023 | 1,080,000 | 1,100,798 | |||||
U.S. Treasury Notes | 1.63 | 2/15/2026 | 3,060,000 | 3,128,970 | |||||
U.S. Treasury Notes | 1.63 | 5/15/2026 | 2,030,000 | 2,074,486 | |||||
U.S. Treasury Notes | 1.63 | 11/30/2026 | 915,000 | 934,319 | |||||
U.S. Treasury Notes | 1.63 | 5/31/2023 | 1,420,000 | 1,448,400 | |||||
U.S. Treasury Notes | 1.63 | 5/15/2031 | 1,130,000 | 1,138,210 | |||||
U.S. Treasury Notes | 1.63 | 9/30/2026 | 239,000 | a | 244,172 | ||||
U.S. Treasury Notes | 1.75 | 1/31/2023 | 2,970,000 | 3,025,455 | |||||
U.S. Treasury Notes | 1.75 | 6/30/2024 | 1,570,000 | 1,613,850 | |||||
U.S. Treasury Notes | 1.75 | 7/31/2024 | 760,000 | 781,850 | |||||
U.S. Treasury Notes | 1.75 | 12/31/2026 | 2,775,000 | a | 2,850,499 | ||||
U.S. Treasury Notes | 1.75 | 5/15/2023 | 2,210,000 | 2,257,524 | |||||
U.S. Treasury Notes | 1.88 | 8/31/2024 | 3,500,000 | 3,613,203 | |||||
U.S. Treasury Notes | 1.88 | 7/31/2026 | 1,535,000 | 1,586,267 | |||||
U.S. Treasury Notes | 1.88 | 6/30/2026 | 396,000 | 409,226 | |||||
U.S. Treasury Notes | 2.00 | 2/15/2023 | 2,945,000 | 3,011,378 | |||||
U.S. Treasury Notes | 2.00 | 2/15/2025 | 728,000 | 755,485 | |||||
U.S. Treasury Notes | 2.00 | 8/15/2025 | 4,488,000 | 4,659,280 | |||||
U.S. Treasury Notes | 2.00 | 11/30/2022 | 794,000 | 809,725 | |||||
U.S. Treasury Notes | 2.00 | 6/30/2024 | 775,000 | 801,974 | |||||
U.S. Treasury Notes | 2.00 | 4/30/2024 | 1,185,000 | 1,224,855 | |||||
U.S. Treasury Notes | 2.00 | 11/15/2026 | 2,015,000 | a | 2,094,183 | ||||
U.S. Treasury Notes | 2.13 | 5/15/2025 | 1,590,000 | 1,656,395 | |||||
U.S. Treasury Notes | 2.13 | 9/30/2024 | 765,000 | 795,331 | |||||
U.S. Treasury Notes | 2.13 | 3/31/2024 | 1,594,000 | 1,650,848 | |||||
U.S. Treasury Notes | 2.13 | 11/30/2024 | 520,000 | 541,105 | |||||
U.S. Treasury Notes | 2.13 | 5/31/2026 | 1,350,000 | 1,409,906 | |||||
U.S. Treasury Notes | 2.13 | 7/31/2024 | 845,000 | 877,843 | |||||
U.S. Treasury Notes | 2.13 | 12/31/2022 | 2,349,000 | 2,401,027 | |||||
U.S. Treasury Notes | 2.13 | 11/30/2023 | 2,350,000 | 2,427,844 | |||||
U.S. Treasury Notes | 2.13 | 2/29/2024 | 2,780,000 | 2,878,603 | |||||
U.S. Treasury Notes | 2.25 | 12/31/2023 | 1,430,000 | 1,482,033 | |||||
U.S. Treasury Notes | 2.25 | 1/31/2024 | 345,000 | a | 357,937 | ||||
U.S. Treasury Notes | 2.25 | 11/15/2027 | 3,000,000 | 3,157,617 | |||||
U.S. Treasury Notes | 2.25 | 8/15/2027 | 3,345,000 | 3,519,306 | |||||
U.S. Treasury Notes | 2.25 | 2/15/2027 | 3,625,000 | 3,812,339 | |||||
U.S. Treasury Notes | 2.25 | 3/31/2026 | 2,500,000 | 2,623,340 | |||||
U.S. Treasury Notes | 2.25 | 11/15/2025 | 3,380,000 | 3,543,851 | |||||
U.S. Treasury Notes | 2.25 | 4/30/2024 | 1,309,000 | 1,360,900 |
48
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
U.S. Treasury Securities - 37.9% (continued) | |||||||||
U.S. Treasury Notes | 2.25 | 11/15/2024 | 3,075,000 | 3,211,994 | |||||
U.S. Treasury Notes | 2.38 | 8/15/2024 | 2,425,000 | 2,536,446 | |||||
U.S. Treasury Notes | 2.38 | 4/30/2026 | 196,200 | 206,976 | |||||
U.S. Treasury Notes | 2.38 | 5/15/2029 | 3,610,000 | a | 3,841,759 | ||||
U.S. Treasury Notes | 2.38 | 5/15/2027 | 4,605,000 | 4,875,544 | |||||
U.S. Treasury Notes | 2.38 | 1/31/2023 | 2,055,000 | 2,109,265 | |||||
U.S. Treasury Notes | 2.50 | 3/31/2023 | 615,000 | 633,906 | |||||
U.S. Treasury Notes | 2.50 | 1/31/2024 | 1,290,000 | 1,345,379 | |||||
U.S. Treasury Notes | 2.50 | 8/15/2023 | 1,440,000 | 1,493,184 | |||||
U.S. Treasury Notes | 2.50 | 1/31/2025 | 1,745,000 | 1,838,521 | |||||
U.S. Treasury Notes | 2.50 | 5/15/2024 | 1,900,000 | 1,988,209 | |||||
U.S. Treasury Notes | 2.63 | 2/28/2023 | 1,005,000 | 1,036,171 | |||||
U.S. Treasury Notes | 2.63 | 2/15/2029 | 4,040,000 | 4,364,699 | |||||
U.S. Treasury Notes | 2.63 | 12/31/2023 | 2,420,000 | 2,527,387 | |||||
U.S. Treasury Notes | 2.63 | 6/30/2023 | 670,000 | 694,811 | |||||
U.S. Treasury Notes | 2.75 | 6/30/2025 | 1,408,000 | 1,499,135 | |||||
U.S. Treasury Notes | 2.75 | 2/15/2024 | 3,029,000 | 3,178,734 | |||||
U.S. Treasury Notes | 2.75 | 7/31/2023 | 680,000 | 707,691 | |||||
U.S. Treasury Notes | 2.75 | 5/31/2023 | 1,500,000 | 1,556,426 | |||||
U.S. Treasury Notes | 2.75 | 11/15/2023 | 2,865,000 | 2,995,436 | |||||
U.S. Treasury Notes | 2.75 | 8/31/2023 | 1,235,000 | 1,286,836 | |||||
U.S. Treasury Notes | 2.75 | 4/30/2023 | 2,110,000 | 2,185,911 | |||||
U.S. Treasury Notes | 2.88 | 7/31/2025 | 1,836,000 | 1,964,986 | |||||
U.S. Treasury Notes | 2.88 | 10/31/2023 | 2,110,000 | 2,209,648 | |||||
U.S. Treasury Notes | 2.88 | 11/30/2023 | 1,413,000 | 1,481,608 | |||||
U.S. Treasury Notes | 2.88 | 8/15/2028 | 265,000 | 289,890 | |||||
U.S. Treasury Notes | 2.88 | 5/15/2028 | 3,981,000 | 4,346,521 | |||||
U.S. Treasury Notes | 2.88 | 5/31/2025 | 810,000 | 865,751 | |||||
U.S. Treasury Notes | 3.00 | 9/30/2025 | 1,460,000 | 1,572,466 | |||||
U.S. Treasury Notes | 3.00 | 10/31/2025 | 1,660,000 | 1,788,520 | |||||
U.S. Treasury Notes | 3.13 | 11/15/2028 | 2,535,000 | 2,819,841 | |||||
383,252,213 | |||||||||
Utilities - 2.1% | |||||||||
AEP Texas, Sr. Unscd. Notes, Ser. H | 3.45 | 1/15/2050 | 200,000 | 210,715 | |||||
Alabama Power, Sr. Unscd. Notes | 3.13 | 7/15/2051 | 300,000 | a | 318,053 | ||||
Alabama Power, Sr. Unscd. Notes, Ser. B | 3.70 | 12/1/2047 | 200,000 | 229,008 | |||||
Ameren Illinois, First Mortgage Bonds | 1.55 | 11/15/2030 | 200,000 | 190,005 | |||||
Ameren Illinois, First Mortgage Bonds | 4.50 | 3/15/2049 | 250,000 | 328,265 | |||||
American Electric Power, Sr. Unscd. Notes, Ser. N | 1.00 | 11/1/2025 | 200,000 | 196,531 |
49
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Utilities - 2.1% (continued) | |||||||||
American Water Capital, Sr. Unscd. Notes | 3.75 | 9/1/2047 | 110,000 | 125,285 | |||||
American Water Capital, Sr. Unscd. Notes | 3.85 | 3/1/2024 | 250,000 | 265,502 | |||||
Arizona Public Service, Sr. Unscd. Notes | 4.25 | 3/1/2049 | 250,000 | 301,068 | |||||
Atmos Energy, Sr. Unscd. Notes | 1.50 | 1/15/2031 | 300,000 | 281,585 | |||||
Berkshire Hathaway Energy, Sr. Unscd. Notes | 3.80 | 7/15/2048 | 445,000 | 508,113 | |||||
Berkshire Hathaway Energy, Sr. Unscd. Notes | 5.15 | 11/15/2043 | 250,000 | 328,684 | |||||
Commonwealth Edison, First Mortgage Bonds | 4.00 | 3/1/2049 | 250,000 | 302,065 | |||||
Commonwealth Edison, First Mortgage Bonds | 5.90 | 3/15/2036 | 471,000 | 659,201 | |||||
Consolidated Edison, Sr. Unscd. Notes, Ser. A | 0.65 | 12/1/2023 | 200,000 | 199,616 | |||||
Consolidated Edison Company of New York, Sr. Unscd. Debs., Ser. 06-B | 6.20 | 6/15/2036 | 200,000 | 275,583 | |||||
Dominion Energy, Sr. Unscd. Notes, Ser. A | 1.45 | 4/15/2026 | 200,000 | 198,582 | |||||
Dominion Energy, Sr. Unscd. Notes, Ser. C | 3.38 | 4/1/2030 | 400,000 | 430,451 | |||||
Dominion Energy, Sr. Unscd. Notes, Ser. E | 6.30 | 3/15/2033 | 100,000 | 132,796 | |||||
Dominion Energy South Carolina, First Mortgage Bonds | 6.63 | 2/1/2032 | 200,000 | 273,671 | |||||
DTE Electric, First Mortgage Bonds | 2.95 | 3/1/2050 | 250,000 | 259,255 | |||||
DTE Electric, First Mortgage Bonds, Ser. C | 2.63 | 3/1/2031 | 250,000 | 259,014 | |||||
Duke Energy, Sr. Unscd. Notes | 3.75 | 4/15/2024 | 250,000 | 265,066 | |||||
Duke Energy Carolinas, First Mortgage Bonds | 2.45 | 2/1/2030 | 200,000 | 205,042 | |||||
Duke Energy Carolinas, First Mortgage Bonds | 3.20 | 8/15/2049 | 400,000 | 424,823 | |||||
Duke Energy Carolinas, First Mortgage Bonds | 4.00 | 9/30/2042 | 250,000 | 288,098 | |||||
Duke Energy Florida, First Mortgage Bonds | 3.80 | 7/15/2028 | 200,000 | 223,089 | |||||
Duke Energy Florida, First Mortgage Bonds | 6.40 | 6/15/2038 | 150,000 | 218,338 | |||||
Emera US Finance, Gtd. Notes | 4.75 | 6/15/2046 | 100,000 | 119,997 | |||||
Enel Generacion Chile, Sr. Unscd. Notes | 4.25 | 4/15/2024 | 250,000 | 267,630 |
50
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Utilities - 2.1% (continued) | |||||||||
Entergy Louisiana, First Mortgage Bonds | 1.60 | 12/15/2030 | 200,000 | 190,053 | |||||
Evergy Kansas Central, First Mortgage Bonds | 3.45 | 4/15/2050 | 150,000 | 164,327 | |||||
Exelon Generation, Sr. Unscd. Notes | 6.25 | 10/1/2039 | 400,000 | 512,279 | |||||
Florida Power & Light, First Mortgage Bonds | 3.70 | 12/1/2047 | 50,000 | 59,107 | |||||
Florida Power & Light, First Mortgage Bonds | 3.99 | 3/1/2049 | 200,000 | 248,844 | |||||
Florida Power & Light, First Mortgage Bonds | 4.05 | 10/1/2044 | 200,000 | 243,432 | |||||
Georgia Power, Sr. Unscd. Notes | 3.25 | 3/30/2027 | 250,000 | 266,080 | |||||
Hydro-Quebec, Gov't Gtd. Debs., Ser. HK | 9.38 | 4/15/2030 | 20,000 | 31,284 | |||||
Idaho Power, First Mortgage Bonds, Ser. K | 4.20 | 3/1/2048 | 217,000 | 267,612 | |||||
Indiana Michigan Power, Sr. Unscd. Notes | 6.05 | 3/15/2037 | 300,000 | 414,108 | |||||
Interstate Power & Light, Sr. Unscd. Debs. | 3.70 | 9/15/2046 | 150,000 | 170,960 | |||||
Interstate Power & Light, Sr. Unscd. Notes | 4.10 | 9/26/2028 | 300,000 | 339,050 | |||||
MidAmerican Energy, First Mortgage Bonds | 3.15 | 4/15/2050 | 125,000 | 133,788 | |||||
NextEra Energy Capital Holdings, Gtd. Debs. | 5.65 | 5/1/2079 | 300,000 | 348,673 | |||||
NiSource, Sr. Unscd. Notes | 0.95 | 8/15/2025 | 500,000 | 490,503 | |||||
NiSource, Sr. Unscd. Notes | 1.70 | 2/15/2031 | 500,000 | 471,431 | |||||
Oncor Electric Delivery, Sr. Scd. Notes | 5.75 | 3/15/2029 | 170,000 | 210,756 | |||||
Pacific Gas & Electric, First Mortgage Bonds | 2.10 | 8/1/2027 | 380,000 | 368,944 | |||||
Pacific Gas & Electric, First Mortgage Bonds | 3.15 | 1/1/2026 | 310,000 | 319,332 | |||||
Pacific Gas & Electric, First Mortgage Bonds | 4.50 | 7/1/2040 | 215,000 | 224,065 | |||||
Pacific Gas & Electric, First Mortgage Bonds | 4.55 | 7/1/2030 | 210,000 | 228,936 | |||||
Pacific Gas & Electric, First Mortgage Bonds | 4.95 | 7/1/2050 | 245,000 | 271,525 | |||||
PacifiCorp, First Mortgage Bonds | 4.15 | 2/15/2050 | 300,000 | 362,967 | |||||
PECO Energy, First Mortgage Bonds | 2.85 | 9/15/2051 | 200,000 | 201,211 | |||||
PPL Electric Utilities, First Mortgage Bonds | 3.00 | 10/1/2049 | 250,000 | 264,693 | |||||
PPL Electric Utilities, First Mortgage Bonds | 4.75 | 7/15/2043 | 200,000 | 261,965 |
51
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Bonds and Notes - 100.1% (continued) | |||||||||
Utilities - 2.1% (continued) | |||||||||
Progress Energy, Sr. Unscd. Notes | 7.75 | 3/1/2031 | 480,000 | 670,558 | |||||
Public Service Electric & Gas, First Mortgage Notes | 3.25 | 9/1/2023 | 300,000 | 313,994 | |||||
Public Service Enterprise Group, Sr. Unscd. Notes | 0.80 | 8/15/2025 | 150,000 | 146,231 | |||||
Public Service Enterprise Group, Sr. Unscd. Notes | 1.60 | 8/15/2030 | 200,000 | 187,803 | |||||
Puget Sound Energy, Sr. Scd. Notes | 3.25 | 9/15/2049 | 150,000 | 159,052 | |||||
San Diego Gas & Electric, First Mortgage Bonds, Ser. UUU | 3.32 | 4/15/2050 | 250,000 | 267,730 | |||||
San Diego Gas & Electric, Sr. Scd. Bonds, Ser. VVV | 1.70 | 10/1/2030 | 100,000 | 95,666 | |||||
Sempra Energy, Sr. Unscd. Notes | 4.00 | 2/1/2048 | 50,000 | 56,550 | |||||
Southern California Edison, First Mortgage Notes, Ser. 08-A | 5.95 | 2/1/2038 | 70,000 | 91,827 | |||||
Southern California Edison, Sr. Unscd. Notes | 6.65 | 4/1/2029 | 200,000 | 248,203 | |||||
Southern Co. Gas Capital, Gtd. Notes, Ser. 21A | 3.15 | 9/30/2051 | 400,000 | 405,770 | |||||
Southernwestern Public Service, First Mortgage Bonds | 3.40 | 8/15/2046 | 350,000 | 381,432 | |||||
Southwestern Electric Power, Sr. Unscd. Notes, Ser. M | 4.10 | 9/15/2028 | 300,000 | 336,287 | |||||
Tampa Electric, Sr. Unscd. Notes | 4.35 | 5/15/2044 | 250,000 | 304,797 | |||||
The Southern Company, Sr. Unscd. Notes | 2.95 | 7/1/2023 | 400,000 | 413,194 | |||||
Tucson Electric Power, Sr. Unscd. Notes | 4.00 | 6/15/2050 | 250,000 | 296,825 | |||||
Virginia Electric & Power, Sr. Unscd. Notes | 4.00 | 1/15/2043 | 500,000 | 582,811 | |||||
Washington Gas Light, Sr. Unscd. Notes, Ser. K | 3.80 | 9/15/2046 | 300,000 | 347,415 | |||||
Xcel Energy, Sr. Unscd. Notes | 0.50 | 10/15/2023 | 300,000 | 298,828 | |||||
Xcel Energy, Sr. Unscd. Notes | 6.50 | 7/1/2036 | 200,000 | 284,443 | |||||
21,240,472 | |||||||||
Total Bonds and Notes | 1,013,319,620 |
52
Description | 1-Day | Shares |
| Value ($) | |||||
Investment Companies - 12.4% | |||||||||
Registered Investment Companies - 12.4% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.06 | 125,107,114 | g | 125,107,114 | |||||
| |||||||||
Investment of Cash Collateral for Securities Loaned - 2.3% | |||||||||
Registered Investment Companies - 2.3% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 0.02 | 23,856,730 | g | 23,856,730 | |||||
Total Investments (cost $1,122,824,540) | 114.8% | 1,162,283,464 | |||||||
Liabilities, Less Cash and Receivables | (14.8%) | (149,965,549) | |||||||
Net Assets | 100.0% | 1,012,317,915 |
a Security, or portion thereof, on loan. At October 31, 2021, the value of the fund’s securities on loan was $73,343,922 and the value of the collateral was $75,357,809, consisting of cash collateral of $23,856,730 and U.S. Government & Agency securities valued at $51,501,079. In addition, the value of collateral may include pending sales that are also on loan.
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 October 31, 2021, these securities were valued at $2,011,985 or .2% of net assets.
c The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
d Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
e Purchased on a forward commitment basis.
f Security purchased on a when-issued or delayed basis for which the fund has not taken delivery as of October 31, 2021.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
53
STATEMENT OF INVESTMENTS (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Government | 43.0 |
Mortgage Securities | 30.3 |
Investment Companies | 14.7 |
Financial | 8.8 |
Consumer, Non-cyclical | 4.7 |
Communications | 2.8 |
Energy | 2.2 |
Utilities | 2.1 |
Technology | 2.0 |
Industrial | 1.8 |
Consumer, Cyclical | 1.5 |
Basic Materials | .7 |
Asset Backed Securities | .2 |
Banks | .0 |
Insurance | .0 |
114.8 |
† Based on net assets.
See notes to financial statements.
54
Statement of TBA Sale Commitments
October 31, 2021
Description | Principal Amount ($) |
| Value ($) | ||||||
Bonds and Notes - .4% | |||||||||
U.S. Government Agencies Mortgage-Backed - .4% | |||||||||
Federal Home Loan Mortgage Corp. | |||||||||
3.00% | (150,000) | a | (157,234) | ||||||
Federal National Mortgage Association | |||||||||
3.00% | (875,000) | a | (915,824) | ||||||
4.00% | (275,000) | a | (292,832) | ||||||
4.50% | (550,000) | a | (594,580) | ||||||
Federal National Mortgage Association: | |||||||||
4.50% | (200,000) | a | (216,259) | ||||||
Government National Mortgage Association | |||||||||
3.50% | (50,000) |
| (52,441) | ||||||
Government National Mortgage Association II | |||||||||
4.00% | (1,100,000) |
| (1,165,871) | ||||||
4.50% | (475,000) |
| (506,673) | ||||||
Total Sale Commitments (proceeds $3,905,734) | (3,901,714) |
a The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
55
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Investment Companies | Value | Purchases($)† | Sales ($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 117,798,664 | 309,828,624 | (302,520,174) | 125,107,114 | 12.4 | 88,991 |
Investment of Cash Collateral for Securities Loaned;†† | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 10,959,305 | 9,970,124 | (20,929,429) | - | - | - |
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | - | 309,683,529 | (285,826,799) | 23,856,730 | 2.3 | 57,300††† |
Total | 128,757,969 | 629,482,277 | (609,276,402) | 148,963,844 | 14.7 | 146,291 |
† Includes reinvested dividends/distributions.
†† Effective November 9, 2020, cash collateral for securities lending was transferred from Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares to Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares.
††† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.
See notes to financial statements.
56
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2021
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 973,860,696 |
| 1,013,319,620 |
| ||
Affiliated issuers |
| 148,963,844 |
| 148,963,844 |
| |
Cash |
|
|
|
| 296,738 |
|
Receivable for investment securities sold |
| 29,540,607 |
| |||
Dividends, interest and securities lending income receivable |
| 4,984,702 |
| |||
Receivable for shares of Common Stock subscribed |
| 834,279 |
| |||
Tax reclaim receivable—Note 1(b) |
| 4,572 |
| |||
|
|
|
|
| 1,197,944,362 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 181,144 |
| |||
Payable for investment securities purchased |
| 156,209,215 |
| |||
Liability for securities on loan—Note 1(c) |
| 23,856,730 |
| |||
TBA sale commitments, at value (proceeds $3,905,734)—Note 4 |
| 3,901,714 |
| |||
Payable for shares of Common Stock redeemed |
| 1,470,124 |
| |||
Directors’ fees and expenses payable |
| 7,520 |
| |||
|
|
|
|
| 185,626,447 |
|
Net Assets ($) |
|
| 1,012,317,915 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 965,974,981 |
|
Total distributable earnings (loss) |
|
|
|
| 46,342,934 |
|
Net Assets ($) |
|
| 1,012,317,915 |
|
Net Asset Value Per Share | Class I | Investor Shares |
|
Net Assets ($) | 734,595,555 | 277,722,360 |
|
Shares Outstanding | 68,649,390 | 25,960,534 |
|
Net Asset Value Per Share ($) | 10.70 | 10.70 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
57
STATEMENT OF OPERATIONS
Year Ended October 31, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest (net of $1,368 foreign taxes withheld at source) |
|
| 21,752,850 |
| ||
Dividends from affiliated issuers |
|
| 88,991 |
| ||
Income from securities lending—Note 1(c) |
|
| 57,300 |
| ||
Total Income |
|
| 21,899,141 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,765,121 |
| ||
Distribution fees—Note 3(b) |
|
| 796,842 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 93,300 |
| ||
Loan commitment fees—Note 2 |
|
| 20,700 |
| ||
Total Expenses |
|
| 2,675,963 |
| ||
Less—Directors’ fees reimbursed by |
|
| (93,300) |
| ||
Net Expenses |
|
| 2,582,663 |
| ||
Investment Income—Net |
|
| 19,316,478 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 10,945,217 |
| ||||
Net change in unrealized appreciation (depreciation) on investments | (35,958,788) |
| ||||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (25,013,571) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (5,697,093) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
58
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2021 |
| 2020 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 19,316,478 |
|
|
| 25,262,307 |
| |
Net realized gain (loss) on investments |
| 10,945,217 |
|
|
| 17,436,810 |
| ||
Net change in unrealized appreciation |
| (35,958,788) |
|
|
| 21,826,780 |
| ||
Net Increase (Decrease) in Net Assets | (5,697,093) |
|
|
| 64,525,897 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Class I |
|
| (20,321,207) |
|
|
| (20,140,303) |
| |
Investor Shares |
|
| (6,787,951) |
|
|
| (7,364,073) |
| |
Total Distributions |
|
| (27,109,158) |
|
|
| (27,504,376) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class I |
|
| 287,546,983 |
|
|
| 373,461,689 |
| |
Investor Shares |
|
| 102,042,029 |
|
|
| 140,805,499 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class I |
|
| 18,390,880 |
|
|
| 17,975,376 |
| |
Investor Shares |
|
| 6,575,074 |
|
|
| 7,169,241 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class I |
|
| (444,885,787) |
|
|
| (336,005,412) |
| |
Investor Shares |
|
| (156,899,327) |
|
|
| (166,662,619) |
| |
Increase (Decrease) in Net Assets | (187,230,148) |
|
|
| 36,743,774 |
| |||
Total Increase (Decrease) in Net Assets | (220,036,399) |
|
|
| 73,765,295 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,232,354,314 |
|
|
| 1,158,589,019 |
| |
End of Period |
|
| 1,012,317,915 |
|
|
| 1,232,354,314 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Class I |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 26,507,313 |
|
|
| 34,099,661 |
| |
Shares issued for distributions reinvested |
|
| 1,692,964 |
|
|
| 1,645,018 |
| |
Shares redeemed |
|
| (41,061,447) |
|
|
| (30,917,980) |
| |
Net Increase (Decrease) in Shares Outstanding | (12,861,170) |
|
|
| 4,826,699 |
| |||
Investor Shares |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 9,393,971 |
|
|
| 12,902,367 |
| |
Shares issued for distributions reinvested |
|
| 605,205 |
|
|
| 656,545 |
| |
Shares redeemed |
|
| (14,497,725) |
|
|
| (15,327,375) |
| |
Net Increase (Decrease) in Shares Outstanding | (4,498,549) |
|
|
| (1,768,463) |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
59
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s financial statements.
60
Class I Shares | Year Ended October 31, | ||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Per Share Data ($): | |||||||
Net asset value, beginning of period | 11.01 | 10.64 | 9.83 | 10.34 | 10.58 | ||
Investment Operations: | |||||||
Investment income—neta | .19 | .24 | .28 | .26 | .23 | ||
Net realized and unrealized | (.25) | .40 | .82 | (.49) | (.17) | ||
Total from Investment Operations | (.06) | .64 | 1.10 | (.23) | .06 | ||
Distributions: | |||||||
Dividends from | (.21) | (.27) | (.29) | (.27) | (.25) | ||
Dividends from net realized | (.04) | - | (.00)b | (.01) | (.05) | ||
Total Distributions | (.25) | (.27) | (.29) | (.28) | (.30) | ||
Net asset value, end of period | 10.70 | 11.01 | 10.64 | 9.83 | 10.34 | ||
Total Return (%) | (.51) | 6.02 | 11.40 | (2.27) | .64 | ||
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | .16 | .16 | .16 | .16c | .16 | ||
Ratio of net expenses | .15 | .15 | .15 | .15 | .15 | ||
Ratio of net investment income | 1.71 | 2.23 | 2.74 | 2.58 | 2.27 | ||
Portfolio Turnover Rated | 183.21 | 133.65 | 125.67 | 156.30 | 179.26 | ||
Net Assets, end of period ($ x 1,000) | 734,596 | 897,174 | 815,817 | 801,263 | 898,961 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c The ratio has been corrected due to immaterial correction within the October 31, 2018 shareholder report which reflected total expense ratio of .21.
d The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended October 31, 2021, 2020, 2019, 2018, and 2017 were 145.54%, 113.32%, 90.56%, 77.41%, and 103.99%, respectively.
See notes to financial statements.
60
Investor Shares | Year Ended October 31, | ||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Per Share Data ($): | |||||||
Net asset value, beginning of period | 11.00 | 10.64 | 9.83 | 10.33 | 10.57 | ||
Investment Operations: | |||||||
Investment income—neta | .16 | .22 | .26 | .23 | .20 | ||
Net realized and unrealized | (.24) | .38 | .82 | (.47) | (.16) | ||
Total from Investment Operations | (.08) | .60 | 1.08 | (.24) | .04 | ||
Distributions: | |||||||
Dividends from | (.18) | (.24) | (.27) | (.25) | (.23) | ||
Dividends from net realized | (.04) | - | (.00)b | (.01) | (.05) | ||
Total Distributions | (.22) | (.24) | (.27) | (.26) | (.28) | ||
Net asset value, end of period | 10.70 | 11.00 | 10.64 | 9.83 | 10.33 | ||
Total Return (%) | (.67) | 5.67 | 11.12 | (2.42) | .39 | ||
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | .41 | .41 | .41 | .41c | .41 | ||
Ratio of net expenses | .40 | .40 | .40 | .40 | .40 | ||
Ratio of net investment income | 1.46 | 2.01 | 2.51 | 2.33 | 2.01 | ||
Portfolio Turnover Rated | 183.21 | 133.65 | 125.67 | 156.30 | 179.26 | ||
Net Assets, end of period ($ x 1,000) | 277,722 | 335,180 | 342,772 | 397,658 | 497,586 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c The ratio has been corrected due to immaterial correction within the October 31, 2018 shareholder report which reflected total expense ratio of .46.
d The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended October 31, 2021, 2020, 2019, 2018 and 2017 were 145.54%, 113.32%, 90.56%, 77.41% and 103.99%, respectively.
See notes to financial statements.
61
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
BNY Mellon Bond Market Index Fund (the “fund”) is a separate diversified series of BNY Mellon Investment Funds IV, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering four series, including the fund. The fund’s investment objective is to seek to match the total return of the Bloomberg U.S. Aggregate Bond Index. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold to the public without a sales charge. The fund is authorized to issue 500 million shares of $.001 par value Common Stock in each of the following classes of shares: Class I and Investor. Class I shares are sold primarily to bank trust departments and other financial service providers (including The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, and its affiliates), acting on behalf of customers having a qualified trust or an investment account or relationship at such institution, and bear no Distribution Plan fees. Investor shares are sold primarily to retail investors through financial intermediaries and bear Distribution Plan fees. Differences between the two classes include the services offered to and the expenses borne by each class, as well as their minimum purchase and account balance requirements. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
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
62
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 Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: 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.
63
NOTES TO FINANCIAL STATEMENTS (continued)
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 Company’s Board of Directors (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. 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.
The following is a summary of the inputs used as of October 31, 2021 in valuing the fund’s investments:
64
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments In Securities:† | ||||||
Asset-Backed Securities | - | 1,694,963 | - | 1,694,963 | ||
Commercial Mortgage-Backed | - | 13,004,599 | - | 13,004,599 | ||
Corporate Bonds | - | 287,202,874 | - | 287,202,874 | ||
Foreign Governmental | - | 14,525,870 | - | 14,525,870 | ||
Investment Companies | 148,963,844 | - | - | 148,963,844 | ||
Municipal Securities | - | 7,551,634 | - | 7,551,634 | ||
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 9,984,724 | - | 9,984,724 | ||
U.S. Government Agencies Mortgage-Backed | - | 281,885,811 | - | 281,885,811 | ||
U.S. Government Agencies Obligations | - | 14,216,932 | - | 14,216,932 | ||
U.S. Treasury Securities | - | 383,252,213 | - | 383,252,213 | ||
Liabilities ($) | ||||||
Investments In Securities:† | ||||||
U.S. Government Agencies Mortgage-Backed | - | (3,901,714) | - | (3,901,714) |
† See Statement of Investments for additional detailed categorizations, if any.
(b) Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of October 31, 2021, if any, are disclosed in the fund’s Statement of Assets and Liabilities.
65
NOTES TO FINANCIAL STATEMENTS (continued)
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis. Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after the trade date.
Pursuant to a securities lending agreement with The Bank of New York Mellon, 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 the Adviser, 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. During the period ended October 31, 2021, The Bank of New York Mellon earned $7,662 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-
66
wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
The fund invests primarily in debt securities. Failure of an issuer of the debt securities to make timely interest or principal payments, or a decline or the perception of a decline in the credit quality of a debt security, can cause the debt security’s price to fall, potentially lowering the fund’s share price. In addition, the value of debt securities may decline due to general market conditions that are not specifically related to a particular issuer, such as real or perceived adverse economic conditions, changes in outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Such values may also decline because of factors that affect a particular industry.
(f) Dividends and distributions to shareholders: It is the policy of the fund to declare dividends daily from investment income-net. Such dividends are paid monthly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
67
NOTES TO FINANCIAL STATEMENTS (continued)
As of and during the period ended October 31, 2021, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended October 31, 2021, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2021, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $620,302, undistributed capital gains $8,149,345 and unrealized appreciation $37,573,287.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2021 and October 31, 2020 were as follows: ordinary income $22,086,760 and $27,504,376, and long-term capital gains $5,022,398 and $0, respectively.
(h) New accounting pronouncements: In March 2020, the FASB issued Accounting Standards Update 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”), and in January 2021, the FASB issued Accounting Standards Update 2021-01, Reference Rate Reform (Topic 848): Scope (“ASU 2021-01”), which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank offered rates as of the end of 2021. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of ASU 2020-04 and ASU 2021-01 on the fund’s investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform. Management is also currently actively working with other financial institutions and counterparties to modify contracts as required by applicable regulation and within the regulatory deadlines.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency
68
purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended October 31, 2021, the fund did not borrow under the Facilities.
NOTE 3—Investment Management Fee and Other Transactions with Affiliates:
(a) Pursuant to an investment management agreement with the Adviser, the Adviser provides or arranges for one or more third parties and/or affiliates to provide investment advisory, administrative, custody, fund accounting and transfer agency services to the fund. The Adviser also directs the investments of the fund in accordance with its investment objective, policies and limitations. For these services, the fund is contractually obligated to pay the Adviser a fee, calculated daily and paid monthly, at the annual rate of .15% of the value of the fund’s average daily net assets. Out of its fee the Adviser pays all of the expenses of the fund except brokerage fees, taxes, interest expenses, commitment fees on borrowings, Distribution Plan fees, fees and expenses of non-interested Directors (including counsel fees) and extraordinary expenses. In addition, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2021, fees reimbursed by the Adviser amounted to $93,300.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Investor shares may pay annually up to .25% of the value of its average daily net assets to compensate the Distributor for shareholder servicing activities primarily intended to result in the sale of Investor shares. During the period ended October 31, 2021, Investor shares were charged $796,842 pursuant to the Distribution Plan.
Under its terms, the Distribution Plan shall remain in effect from year to year, provided such continuance is approved annually by a vote of a majority of those Directors who are not “interested persons” of the Company and who have no direct or indirect financial interest in the operation of or in any agreement related to the Distribution Plan.
69
NOTES TO FINANCIAL STATEMENTS (continued)
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $129,164 and Distribution Plan fees of $59,480, which are offset against an expense reimbursement currently in effect in the amount of $7,500.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities, during the period ended October 31, 2021, amounted to $2,141,161,095 and $2,326,489,122, respectively, of which $440,215,497 in purchases and $440,410,766 in sales were from mortgage dollar transactions.
Mortgage Dollar Rolls: A mortgage dollar roll transaction involves a sale by the fund of mortgage related securities that it holds with an agreement by the fund to repurchase similar securities at an agreed upon price and date. The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold. The fund accounts for mortgage dollar rolls as purchases and sales transactions. The fund executes mortgage dollar rolls entirely in the To-Be-Announced (“TBA”) market.
TBA Securities: During the period ended October 31, 2021, the fund transacted in TBA securities that involved buying or selling mortgage-backed securities on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however, delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underling mortgage pools. TBA securities subject to a forward commitment to sell at period end are included at the end of the fund’s Statement of Investments under the caption “Statement of TBA Sale Commitments.” The proceeds and value of these commitments are reflected in the fund’s Statement of Assets and Liabilities as Receivable for TBA sale commitments (included in
70
receivable securities sold) and TBA sale commitments, at value, respectively.
At October 31, 2021, the cost of investments for federal income tax purposes was $1,124,712,392; accordingly, accumulated net unrealized appreciation on investments was $37,575,092 consisting of $45,693,884 gross unrealized appreciation and $8,118,792 gross unrealized depreciation.
71
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the fund and Board of Directors of
BNY Mellon Investment Funds IV, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of BNY Mellon Bond Market Index Fund (the “Fund”), a series of BNY Mellon Investment Funds IV, Inc., including the statements of investments and TBA sale commitments, as of October 31, 2021, and the statement of investments in affiliated issuers as of and for the year then ended, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements), and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more BNY Mellon Investment Adviser, Inc. investment companies since 1994.
New York, New York
December 22, 2021
72
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund reports the maximum amount allowable but not less than 89.83% as interest-related dividends in accordance with Sections 871(k)(1) and 881(e) of the Internal Revenue Code. Also, the fund reports the maximum amount allowable but not less than $.0444 per share as a capital gain dividend in accordance with Section 852(b)(3)(C) of the Internal Revenue Code.
73
BOARD MEMBERS INFORMATION (Unaudited)
Independent Board Members
Joseph S. DiMartino (78)
Chairman of the Board (1999)
Principal Occupation During Past 5 Years:
· Director or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (as described in the fund’s Statement of Additional Information) (1995-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (1997-Present)
No. of Portfolios for which Board Member Serves: 98
———————
Francine J. Bovich (70)
Board Member (2012)
Principal Occupation During Past 5 Years:
· The Bradley Trusts, private trust funds, Trustee (2011-Present)
Other Public Company Board Memberships During Past 5 Years:
· Annaly Capital Management, Inc., a real estate investment trust, Director (2014-Present)
No. of Portfolios for which Board Member Serves: 55
———————
Andrew J. Donohue (71)
Board Member (2019)
Principal Occupation During Past 5 Years:
· Attorney, Solo Law Practice (2019-Present)
· Shearman & Sterling LLP. a law firm, Of Counsel (2017-2019)
· Chief of Staff to the Chair of the SEC (2015-2017)
Other Public Company Board Memberships During Past 5 Years:
· Oppenheimer Funds (58 funds), Director (2017-2019)
No. of Portfolios for which Board Member Serves: 45
———————
74
Kenneth A. Himmel (75)
Board Member (1994)
Principal Occupation During Past 5 Years:
· Gulf Related, an international real estate development company, Managing Partner (2010-Present)
· Related Urban Development, a real estate development company, President and Chief Executive Officer (1996-Present)
· American Food Management, a restaurant company, Chief Executive Officer (1983-Present)
· Himmel & Company, a real estate development company, President and Chief Executive Officer (1980-Present)
No. of Portfolios for which Board Member Serves: 22
———————
Roslyn M. Watson (72)
Board Member (1994)
Principal Occupation During Past 5 Years:
· Watson Ventures, Inc., a real estate investment company, Principal (1993-Present)
Other Public Company Board Memberships During Past 5 Years:
· American Express Bank, FSB, Director (1993-2018)
No. of Portfolios for which Board Member Serves: 45
———————
Benaree Pratt Wiley (75)
Board Member (1998)
Principal Occupation During Past 5 Years:
· The Wiley Group, a firm specializing in strategy and business development, Principal (2005-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (2008-Present)
· Blue Cross-Blue Shield of Massachusetts, Director (2004-2020)
No. of Portfolios for which Board Member Serves: 63
———————
75
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Interested Board Member
Bradley Skapyak (62)
Board Member (2021)
Principal Occupation During Past 5 Years:
· Chief Operating Officer and Director of Dreyfus (2009-2019)
· Chief Executive Officer and Director of the Distributor (2016-2019)
· Chairman and Director of the Transfer Agent (2011-2019)
· Senior Vice President of the Custodian (2007-2019)
No. of Portfolios for which Board Member Serves: 22
Mr. Skapyak is deemed to be an Interested Board Member of the funds as a result of his ownership of unvested restricted stock units of BNY Mellon.
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street, New York, New York 10286. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from the Adviser free of charge by calling this toll free number: 1-800-373-9387.
James M. Fitzgibbons, Emeritus Board Member
Stephen J. Lockwood, Emeritus Board Member
76
OFFICERS OF THE FUND (Unaudited)
DAVID DIPETRILLO, President since January 2021.
Vice President and Director of the Adviser since February 2021; Head of North America Product, BNY Mellon Investment Management since January 2018; Director of Product Strategy, BNY Mellon Investment Management from January 2016 to December 2017. He is an officer of 57 investment companies (comprised of 107 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 43 years old and has been an employee of BNY Mellon since 2005.
JAMES WINDELS, Treasurer since November 2001.
Vice President of the Adviser since September 2020; Director - BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 63 years old and has been an employee of the Adviser since April 1985.
PETER M. SULLIVAN, Chief Legal Officer since July 2021 and Vice President and Assistant Secretary since March 2019.
Chief Legal Officer of the Adviser since July 2021, Associate General Counsel of BNY Mellon since July 2021; Senior Managing Counsel of BNY Mellon from December 2020 to July 2021; Managing Counsel of BNY Mellon from March 2009 to December 2020, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of BNY Mellon since April 2004.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Senior Managing Counsel of BNY Mellon since December 2019; Managing Counsel of BNY Mellon from April 2014 to December 2019; Secretary of the Adviser, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 55 years old and has been an employee of the Adviser since December 1996.
DEIRDRE CUNNANE, Vice President and Assistant Secretary since March 2019.
Counsel of BNY Mellon since August 2018; Senior Regulatory Specialist at BNY Mellon Investment Management Services from February 2016 to August 2018. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 31 years old and has been an employee of the Adviser since August 2018.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Vice President since February 2020 of BNY Mellon ETF Investment Adviser; LLC, Senior Managing Counsel of BNY Mellon since September 2021; Managing Counsel from December 2017 to September 2021; Senior Counsel of BNY Mellon from March 2013 to December 2017. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 46 years old and has been an employee of the Adviser since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 56 years old and has been an employee of the Adviser since October 1990.
AMANDA QUINN, Vice President and Assistant Secretary since March 2020.
Counsel of BNY Mellon since June 2019; Regulatory Administration Manager at BNY Mellon Investment Management Services from September 2018 to May 2019; Senior Regulatory Specialist at BNY Mellon Investment Management Services from April 2015 to August 2018. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of the Adviser since June 2019.
77
OFFICERS OF THE FUND (Unaudited) (continued)
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Chief Compliance Officer since August 2021 and Vice President since February 2020 of BNY Mellon ETF Investment Adviser, LLC; Chief Compliance Officer since August 2021 and Vice President and Assistant Secretary since February 2020 of BNY Mellon ETF Trust; Managing Counsel from December 2019 to August 2021 of BNY Mellon; Counsel from May 2016 to December 2019 of BNY Mellon; Assistant Secretary of the Adviser from April 2018 to August 2021. She is an officer of 57 investment companies (comprised of 128 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of BNY Mellon since May 2016.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager-BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of the Adviser since April 1991.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust since 2004, Chief Compliance Officer of the Adviser from 2004 until June 2021. He is an officer of 57 investment companies (comprised of 120 portfolios) managed by the Adviser. He is 64 years old.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust. She is an officer of 50 investment companies (comprised of 121 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 53 years old and has been an employee of the Distributor since 1997.
78
This page intentionally left blank.
79
This page intentionally left blank.
80
This page intentionally left blank.
81
BNY Mellon Bond Market Index Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Ticker Symbols: | Class I: DBIRX Investor: DBMIX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.im.bnymellon.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2021 BNY Mellon Securities Corporation |
BNY Mellon Institutional S&P 500 Stock Index Fund
ANNUAL REPORT October 31, 2021 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.im.bnymellon.com and sign up for eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through October 31, 2021, as provided by David France, CFA, Todd Frysinger, CFA, Vlasta Sheremeta, CFA, Michael Stoll, and Marlene Walker Smith, Portfolio Managers
Market and Fund Performance Overview
For the 12-month period ended October 31, 2021, the BNY Mellon Institutional S&P 500 Stock Index Fund produced a total return of 42.64%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned 42.90% for the same period.2,3
Large-cap equities rose during the reporting period, supported by government stimulus programs, accommodative central bank policies, strong corporate earnings and improving investor sentiment as vaccines for the COVID-19 pandemic rolled out. The difference in returns between the fund and the Index resulted primarily from transaction costs and operating expenses that are not reflected in Index results.
The Fund’s Investment Approach
The fund seeks to match the total return of the Index. To pursue its goal, the fund normally invests at least 95% of its total assets in common stocks included in the Index. To replicate Index performance, the fund’s portfolio managers use a passive management approach and generally purchase all the securities comprising the Index (though, at times, the fund may invest in a representative sample of the Index). Because the fund has expenses, performance will tend to be slightly lower than that of the Index. The fund attempts to have a correlation between its performance and that of the Index of at least 0.95, before expenses. A correlation of 1.00 would mean that the fund and the Index were perfectly correlated.
The Index is an unmanaged index of 500 common stocks, chosen to reflect the industries of the U.S. economy, and is often considered a proxy for the stock market in general.
Stocks Gain on Economic Growth and Government Stimulus
Investor sentiment turned optimistic in November 2020 with the resolution in the U.S. presidential election and progress toward a COVID-19 vaccine. Vaccine approvals and passage of the latest in a series of pandemic-related U.S. fiscal stimulus packages in December helped to support the stock market rally into the new year. A strong risk-on rally ensued, particularly in areas of the market that had been hard hit by the pandemic, such as travel and leisure names.
In 2021, equity strength rotated out of technology and growth stocks benefiting from the pandemic into COVID-19-sensitive sectors of the market, which had previously lagged, as well as cyclical and value-oriented areas of the market on the theory that these sectors were offering more attractive valuations and would benefit most from economic reopening. The Index continued to gain ground despite increasing inflationary pressures, weakening consumer confidence, disappointing employment numbers, and the spread of the Delta variant of the virus. Stocks dipped in September as U.S. economic growth showed evidence of slowing, and the U.S. Federal Reserve (the “Fed”) raised its inflation estimates while stating its intention to begin tapering its quantitative easing program in November. However, equities rebounded in October as a majority of companies reported better-than-expected earnings. By the end of the period, the Index had once more reached new record territory.
Energy and Financials Lead the Market
Oil and gas prices soared during the period in response to increasing demand from economic reopenings and pandemic-related supply bottlenecks. Most energy stocks benefited, with the
2
sector leading the Index higher. Within financials, the next-best performing sector, banking profitability was supported by the steepening yield curve, rising interest rates, high levels of capital market trading and volatility, and increasing numbers of mergers and acquisitions. Information technology, the largest sector in the Index, also outperformed as a wide range of technology-based products and services were increasingly integrated into corporate and daily life.
The weakest-performing sectors in the Index included utilities and consumer staples. Utilities were hurt by rising energy costs, which many were unable to pass along to consumers due to regulatory constraints. Climate change-related extreme weather events in some areas, such as Texas, further undermined utility company profitability. Consumer staples companies faced increasing costs as supply-chain disruptions and rising inflationary pressures drove prices for agricultural products and industrial materials higher.
Replicating the Performance of the Index
In seeking to match the performance of the Index, we do not actively manage investments in response to macroeconomic trends. We note, however, that equity markets are likely to face a number of headwinds in the coming months, making the exceptionally strong returns of the current reporting period less likely to be repeated in the near future. Increasing inflationary pressures, driven by strong demand and supply-chain disruptions, have increased the possibility that the Fed may soon taper its asset-buying program and eventually begin to raise interest rates, removing some support for equity markets and signaling a phase of slower economic growth. At the same time, we see no indications of an end to the current growth cycle as global economies continue to reopen in the wake of the pandemic, potentially setting the stage for further market appreciation. As always, we continue to monitor factors that affect the fund’s investments.
November 15, 2021
1 DUE TO RECENT MARKET VOLATILITY, CURRENT PERFORMANCE MAY BE DIFFERENT THAN THE FIGURES SHOWN. Investors should note that the fund’s short-term performance is highly unusual, in part due to unusually favorable market conditions, and is unlikely to be repeated or consistently achieved in the future. Total return includes reinvestment of dividends and any capital gains paid. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement. Had these expenses not been absorbed, returns would have been lower. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost.
2 Source: Lipper Inc. — The S&P 500® Index is widely regarded as the best single gauge of large-cap U.S. equities. The Index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Investors cannot invest directly in any index.
“Standard & Poor’s®,” “S&P®,” “Standard & Poor’s® 500,” and “S&P 500®” are registered trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use on behalf of the fund. The fund is not sponsored, managed, advised, sold or promoted by Standard & Poor’s and its affiliates, and Standard & Poor’s and its affiliates make no representation regarding the advisability of investing in the fund.
Equities are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
The fund uses an indexing strategy. It does not attempt to manage market volatility, use defensive strategies or reduce the effects of any long-term periods of poor stock performance.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
The fund may, but is not required, to use derivative instruments. A small investment in derivatives could have a potentially large impact on the fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.
3
FUND PERFORMANCE (Unaudited)
Comparison of change in value of a $10,000 investment in BNY Mellon Institutional S&P 500 Stock Index Fund Class I shares with a hypothetical investment of $10,000 in the S&P 500® Index (the “Index”).
† Source: Lipper Inc.
Past performance is not predictive of future performance.
The above graph compares a hypothetical $10,000 investment made in the Class I shares of BNY Mellon Institutional S&P 500 Stock Index Fund on 10/31/11 to a hypothetical investment of $10,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index is widely regarded as the best single gauge of large-cap U.S. equities. The Index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
Average Annual Total Returns as of 10/31/2021 | |||
| 1 Year | 5 Years | 10 Years |
BNY Mellon Institutional | 42.64% | 18.71% | 16.00% |
S&P 500® Index | 42.90% | 18.92% | 16.20% |
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to www.im.bnymellon.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Institutional S&P 500 Stock Index Fund from May 1, 2021 to October 31, 2021. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment |
| ||
Assume actual returns for the six months ended October 31, 2021 |
| ||
|
|
|
|
|
|
|
|
Expenses paid per $1,000† | $1.06 |
| |
Ending value (after expenses) | $1,107.90 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| ||
Assuming a hypothetical 5% annualized return for the six months ended October 31, 2021 |
| ||
|
|
|
|
|
|
|
|
Expenses paid per $1,000† | $1.02 |
| |
Ending value (after expenses) | $1,024.20 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of .20%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
5
STATEMENT OF INVESTMENTS
October 31, 2021
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% | |||||||
Automobiles & Components - 2.8% | |||||||
Aptiv | 22,470 | a | 3,884,838 | ||||
BorgWarner | 20,121 | 906,853 | |||||
Ford Motor | 326,218 | 5,571,803 | |||||
General Motors | 119,467 | a | 6,502,589 | ||||
Tesla | 67,233 | a | 74,897,562 | ||||
91,763,645 | |||||||
Banks - 4.4% | |||||||
Bank of America | 615,540 | 29,410,501 | |||||
Citigroup | 168,489 | 11,652,699 | |||||
Citizens Financial Group | 34,866 | 1,651,951 | |||||
Comerica | 11,806 | 1,004,573 | |||||
Fifth Third Bancorp | 59,161 | 2,575,278 | |||||
First Republic Bank | 14,930 | 3,229,807 | |||||
Huntington Bancshares | 119,266 | 1,877,247 | |||||
JPMorgan Chase & Co. | 248,381 | 42,197,448 | |||||
KeyCorp | 81,444 | 1,895,202 | |||||
M&T Bank | 11,090 | 1,631,561 | |||||
People's United Financial | 36,583 | 627,033 | |||||
Regions Financial | 80,314 | 1,901,836 | |||||
SVB Financial Group | 4,693 | a | 3,366,758 | ||||
The PNC Financial Services Group | 35,222 | 7,432,899 | |||||
Truist Financial | 111,458 | 7,074,239 | |||||
U.S. Bancorp | 112,371 | 6,783,837 | |||||
Wells Fargo & Co. | 341,327 | 17,462,289 | |||||
Zions Bancorp | 14,103 | 888,348 | |||||
142,663,506 | |||||||
Capital Goods - 5.3% | |||||||
3M | 48,101 | 8,594,687 | |||||
A.O. Smith | 11,606 | 848,050 | |||||
Allegion | 7,228 | 927,352 | |||||
AMETEK | 19,024 | 2,518,778 | |||||
Carrier Global | 68,983 | 3,602,982 | |||||
Caterpillar | 45,462 | 9,274,703 | |||||
Cummins | 12,225 | 2,932,044 | |||||
Deere & Co. | 23,619 | 8,085,020 | |||||
Dover | 11,826 | 1,999,540 | |||||
Eaton | 33,211 | 5,471,844 | |||||
Emerson Electric | 49,650 | 4,816,546 | |||||
Fastenal | 47,324 | 2,701,254 | |||||
Fortive | 28,148 | 2,131,085 | |||||
Fortune Brands Home & Security | 11,933 | 1,210,006 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Capital Goods - 5.3% (continued) | |||||||
Generac Holdings | 5,182 | a | 2,583,538 | ||||
General Dynamics | 19,018 | 3,855,900 | |||||
General Electric | 91,068 | 9,550,301 | |||||
Honeywell International | 57,684 | 12,610,876 | |||||
Howmet Aerospace | 34,350 | 1,019,852 | |||||
Huntington Ingalls Industries | 3,466 | 702,662 | |||||
IDEX | 6,336 | 1,410,204 | |||||
Illinois Tool Works | 23,826 | 5,429,231 | |||||
Ingersoll Rand | 31,567 | 1,697,042 | |||||
Johnson Controls International | 59,621 | 4,374,393 | |||||
L3Harris Technologies | 16,704 | 3,850,940 | |||||
Lockheed Martin | 20,422 | 6,786,639 | |||||
Masco | 21,094 | 1,382,712 | |||||
Northrop Grumman | 12,570 | 4,490,255 | |||||
Otis Worldwide | 33,289 | 2,673,440 | |||||
PACCAR | 28,982 | 2,597,367 | |||||
Parker-Hannifin | 10,706 | 3,175,293 | |||||
Pentair | 14,101 | 1,043,051 | |||||
Quanta Services | 11,382 | 1,380,409 | |||||
Raytheon Technologies | 125,342 | 11,137,890 | |||||
Rockwell Automation | 9,783 | 3,124,690 | |||||
Roper Technologies | 8,705 | 4,246,908 | |||||
Snap-on | 4,765 | 968,391 | |||||
Stanley Black & Decker | 13,611 | 2,446,305 | |||||
Textron | 18,316 | 1,352,637 | |||||
The Boeing Company | 45,967 | a | 9,516,548 | ||||
Trane Technologies | 19,766 | 3,576,262 | |||||
TransDigm Group | 4,355 | a | 2,716,736 | ||||
United Rentals | 6,097 | a | 2,311,434 | ||||
W.W. Grainger | 3,628 | 1,680,163 | |||||
Westinghouse Air Brake Technologies | 14,553 | 1,320,394 | |||||
Xylem | 14,794 | 1,931,948 | |||||
172,058,302 | |||||||
Commercial & Professional Services - .9% | |||||||
Cintas | 7,280 | 3,152,968 | |||||
Copart | 17,155 | a | 2,664,000 | ||||
Equifax | 10,035 | 2,784,010 | |||||
IHS Markit | 32,958 | 4,308,270 | |||||
Jacobs Engineering Group | 10,650 | 1,495,473 | |||||
Leidos Holdings | 11,634 | 1,163,167 | |||||
Nielsen Holdings | 31,067 | 629,107 | |||||
Republic Services | 17,652 | 2,375,959 | |||||
Robert Half International | 9,771 | 1,104,807 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Commercial & Professional Services - .9% (continued) | |||||||
Rollins | 19,475 | 686,104 | |||||
Verisk Analytics | 13,531 | 2,845,163 | |||||
Waste Management | 32,155 | 5,152,196 | |||||
28,361,224 | |||||||
Consumer Durables & Apparel - 1.1% | |||||||
D.R. Horton | 27,013 | 2,411,451 | |||||
Garmin | 12,549 | 1,802,036 | |||||
Hanesbrands | 26,911 | 458,563 | |||||
Hasbro | 10,389 | 994,851 | |||||
Leggett & Platt | 11,101 | 520,082 | |||||
Lennar, Cl. A | 23,181 | 2,316,477 | |||||
Mohawk Industries | 4,691 | a | 831,292 | ||||
Newell Brands | 32,237 | 737,905 | |||||
NIKE, Cl. B | 105,937 | 17,722,201 | |||||
NVR | 280 | a | 1,370,544 | ||||
PulteGroup | 22,125 | 1,063,770 | |||||
PVH | 5,700 | a | 623,181 | ||||
Ralph Lauren | 4,275 | 543,652 | |||||
Tapestry | 24,404 | 951,268 | |||||
Under Armour, Cl. A | 15,798 | a | 346,924 | ||||
Under Armour, Cl. C | 19,429 | a | 366,820 | ||||
VF | 27,166 | 1,979,858 | |||||
Whirlpool | 5,115 | 1,078,395 | |||||
36,119,270 | |||||||
Consumer Services - 1.9% | |||||||
Booking Holdings | 3,405 | a | 8,242,756 | ||||
Caesars Entertainment | 17,132 | a | 1,875,269 | ||||
Carnival | 66,808 | a | 1,480,465 | ||||
Chipotle Mexican Grill | 2,342 | a | 4,166,488 | ||||
Darden Restaurants | 10,681 | 1,539,559 | |||||
Domino's Pizza | 3,066 | 1,499,182 | |||||
Expedia Group | 12,145 | a | 1,996,759 | ||||
Hilton Worldwide Holdings | 23,478 | a | 3,379,658 | ||||
Las Vegas Sands | 27,082 | a | 1,051,052 | ||||
Marriott International, Cl. A | 22,046 | a | 3,527,801 | ||||
McDonald's | 61,989 | 15,221,399 | |||||
MGM Resorts International | 33,933 | 1,600,280 | |||||
Norwegian Cruise Line Holdings | 32,073 | a | 824,918 | ||||
Penn National Gaming | 12,825 | a | 918,270 | ||||
Royal Caribbean Cruises | 17,394 | a | 1,468,575 | ||||
Starbucks | 97,833 | 10,377,146 | |||||
Wynn Resorts | 9,405 | a | 844,569 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Consumer Services - 1.9% (continued) | |||||||
Yum! Brands | 25,117 | 3,138,118 | |||||
63,152,264 | |||||||
Diversified Financials - 5.0% | |||||||
American Express | 53,489 | 9,295,318 | |||||
Ameriprise Financial | 9,664 | 2,919,784 | |||||
Berkshire Hathaway, Cl. B | 154,096 | a | 44,227,093 | ||||
BlackRock | 11,861 | 11,190,379 | |||||
Capital One Financial | 37,412 | 5,650,334 | |||||
Cboe Global Markets | 8,598 | 1,134,420 | |||||
CME Group | 29,748 | 6,560,921 | |||||
Discover Financial Services | 24,898 | 2,821,441 | |||||
Franklin Resources | 21,681 | 682,735 | |||||
Intercontinental Exchange | 46,618 | 6,454,728 | |||||
Invesco | 28,406 | 721,796 | |||||
MarketAxess Holdings | 3,099 | 1,266,468 | |||||
Moody's | 13,413 | 5,420,864 | |||||
Morgan Stanley | 121,342 | 12,471,531 | |||||
MSCI | 6,820 | 4,534,482 | |||||
Nasdaq | 9,812 | 2,059,244 | |||||
Northern Trust | 17,297 | 2,128,223 | |||||
Raymond James Financial | 14,884 | 1,467,414 | |||||
S&P Global | 20,132 | 9,545,789 | |||||
State Street | 29,000 | 2,857,950 | |||||
Synchrony Financial | 46,031 | 2,138,140 | |||||
T. Rowe Price Group | 18,859 | 4,090,140 | |||||
The Bank of New York Mellon | 66,025 | 3,908,680 | |||||
The Charles Schwab | 124,457 | 10,209,208 | |||||
The Goldman Sachs Group | 28,022 | 11,582,894 | |||||
165,339,976 | |||||||
Energy - 2.8% | |||||||
APA | 30,228 | 792,276 | |||||
Baker Hughes | 68,112 | 1,708,249 | |||||
Chevron | 160,580 | 18,384,804 | |||||
ConocoPhillips | 111,311 | 8,291,556 | |||||
Coterra Energy | 60,527 | 1,290,436 | |||||
Devon Energy | 49,774 | 1,994,942 | |||||
Diamondback Energy | 14,161 | 1,517,918 | |||||
EOG Resources | 48,229 | 4,459,253 | |||||
Exxon Mobil | 351,851 | 22,683,834 | |||||
Halliburton | 75,692 | 1,891,543 | |||||
Hess | 23,591 | 1,947,909 | |||||
Kinder Morgan | 164,268 | 2,751,489 | |||||
Marathon Oil | 64,536 | 1,053,228 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Energy - 2.8% (continued) | |||||||
Marathon Petroleum | 52,589 | 3,467,193 | |||||
Occidental Petroleum | 69,001 | 2,313,604 | |||||
ONEOK | 36,664 | 2,332,564 | |||||
Phillips 66 | 37,223 | 2,783,536 | |||||
Pioneer Natural Resources | 18,862 | 3,526,817 | |||||
Schlumberger | 117,037 | 3,775,614 | |||||
The Williams Companies | 102,343 | 2,874,815 | |||||
Valero Energy | 34,038 | 2,632,159 | |||||
92,473,739 | |||||||
Food & Staples Retailing - 1.3% | |||||||
Costco Wholesale | 36,732 | 18,055,247 | |||||
Sysco | 43,203 | 3,322,311 | |||||
The Kroger Company | 56,589 | 2,264,692 | |||||
Walgreens Boots Alliance | 59,959 | 2,819,272 | |||||
Walmart | 118,474 | 17,702,385 | |||||
44,163,907 | |||||||
Food, Beverage & Tobacco - 2.8% | |||||||
Altria Group | 153,490 | 6,770,444 | |||||
Archer-Daniels-Midland | 46,681 | 2,998,787 | |||||
Brown-Forman, Cl. B | 15,126 | 1,026,904 | |||||
Campbell Soup | 16,481 | 658,416 | |||||
Conagra Brands | 41,422 | 1,333,788 | |||||
Constellation Brands, Cl. A | 14,271 | 3,094,096 | |||||
General Mills | 51,050 | 3,154,890 | |||||
Hormel Foods | 23,152 | 979,793 | |||||
Kellogg | 21,170 | 1,297,721 | |||||
Lamb Weston Holdings | 12,883 | 727,245 | |||||
McCormick & Co. | 20,948 | 1,680,658 | |||||
Molson Coors Beverage, Cl. B | 16,929 | 746,400 | |||||
Mondelez International, Cl. A | 117,277 | 7,123,405 | |||||
Monster Beverage | 31,402 | a | 2,669,170 | ||||
PepsiCo | 114,812 | 18,553,619 | |||||
Philip Morris International | 129,452 | 12,238,392 | |||||
The Coca-Cola Company | 322,469 | 18,177,578 | |||||
The Hershey Company | 12,197 | 2,138,744 | |||||
The J.M. Smucker Company | 8,965 | 1,101,440 | |||||
The Kraft Heinz Company | 54,768 | 1,965,624 | |||||
Tyson Foods, Cl. A | 24,198 | 1,935,114 | |||||
90,372,228 | |||||||
Health Care Equipment & Services - 6.3% | |||||||
Abbott Laboratories | 147,662 | 19,032,155 | |||||
ABIOMED | 3,705 | a | 1,230,208 | ||||
Align Technology | 6,036 | a | 3,768,697 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Health Care Equipment & Services - 6.3% (continued) | |||||||
AmerisourceBergen | 12,347 | 1,506,581 | |||||
Anthem | 20,308 | 8,836,620 | |||||
Baxter International | 41,543 | 3,280,235 | |||||
Becton Dickinson & Co. | 24,104 | 5,775,077 | |||||
Boston Scientific | 119,393 | a | 5,149,420 | ||||
Cardinal Health | 24,392 | 1,166,182 | |||||
Centene | 48,360 | a | 3,445,166 | ||||
Cerner | 24,578 | 1,825,900 | |||||
Cigna | 28,272 | 6,039,182 | |||||
CVS Health | 109,264 | 9,755,090 | |||||
Danaher | 52,749 | 16,445,556 | |||||
DaVita | 5,567 | a | 574,737 | ||||
Dentsply Sirona | 18,871 | 1,079,610 | |||||
DexCom | 8,043 | a | 5,012,478 | ||||
Edwards Lifesciences | 51,840 | a | 6,211,469 | ||||
HCA Healthcare | 20,505 | 5,135,682 | |||||
Henry Schein | 12,339 | a | 942,083 | ||||
Hologic | 21,200 | a | 1,554,172 | ||||
Humana | 10,739 | 4,973,875 | |||||
IDEXX Laboratories | 7,059 | a | 4,702,282 | ||||
Intuitive Surgical | 29,697 | a | 10,724,478 | ||||
Laboratory Corp. of America Holdings | 8,253 | a | 2,368,776 | ||||
McKesson | 12,861 | 2,673,545 | |||||
Medtronic | 111,767 | 13,396,393 | |||||
Quest Diagnostics | 10,161 | 1,491,432 | |||||
ResMed | 12,075 | 3,174,638 | |||||
Steris | 7,772 | 1,816,627 | |||||
Stryker | 27,364 | 7,280,739 | |||||
Teleflex | 3,960 | 1,413,482 | |||||
The Cooper Companies | 4,229 | 1,763,155 | |||||
UnitedHealth Group | 78,470 | 36,133,081 | |||||
Universal Health Services, Cl. B | 6,311 | 783,195 | |||||
West Pharmaceutical Services | 6,155 | 2,645,911 | |||||
Zimmer Biomet Holdings | 17,414 | 2,492,292 | |||||
205,600,201 | |||||||
Household & Personal Products - 1.5% | |||||||
Church & Dwight | 20,861 | 1,822,417 | |||||
Colgate-Palmolive | 70,071 | 5,338,709 | |||||
Kimberly-Clark | 27,896 | 3,612,253 | |||||
The Clorox Company | 10,421 | 1,698,727 | |||||
The Estee Lauder Companies, Cl. A | 19,220 | 6,233,623 | |||||
The Procter & Gamble Company | 201,774 | 28,851,664 | |||||
47,557,393 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Insurance - 1.9% | |||||||
Aflac | 51,308 | 2,753,700 | |||||
American International Group | 71,219 | 4,208,331 | |||||
Aon, Cl. A | 18,791 | 6,011,617 | |||||
Arthur J. Gallagher & Co. | 17,043 | 2,857,600 | |||||
Assurant | 5,208 | 840,102 | |||||
Brown & Brown | 17,873 | 1,127,965 | |||||
Chubb | 36,474 | 7,126,290 | |||||
Cincinnati Financial | 12,356 | 1,500,513 | |||||
Everest Re Group | 3,222 | 842,553 | |||||
Globe Life | 8,290 | 737,976 | |||||
Lincoln National | 14,513 | 1,047,113 | |||||
Loews | 16,907 | 947,975 | |||||
Marsh & McLennan | 42,159 | 7,032,121 | |||||
MetLife | 60,551 | 3,802,603 | |||||
Principal Financial Group | 21,760 | 1,459,878 | |||||
Prudential Financial | 32,545 | 3,581,577 | |||||
The Allstate | 24,718 | 3,056,875 | |||||
The Hartford Financial Services Group | 29,671 | 2,163,906 | |||||
The Progressive | 48,713 | 4,621,889 | |||||
The Travelers Companies | 21,055 | 3,387,328 | |||||
W.R. Berkley | 12,324 | 980,990 | |||||
Willis Towers Watson | 10,646 | 2,579,313 | |||||
62,668,215 | |||||||
Materials - 2.5% | |||||||
Air Products & Chemicals | 18,323 | 5,493,418 | |||||
Albemarle | 9,844 | 2,465,627 | |||||
Amcor | 128,898 | 1,555,799 | |||||
Avery Dennison | 7,136 | 1,553,650 | |||||
Ball | 27,581 | 2,523,110 | |||||
Celanese | 9,480 | 1,531,115 | |||||
CF Industries Holdings | 18,576 | 1,055,117 | |||||
Corteva | 60,751 | 2,621,406 | |||||
Dow | 62,613 | 3,504,450 | |||||
DuPont de Nemours | 44,153 | 3,073,049 | |||||
Eastman Chemical | 11,055 | 1,150,052 | |||||
Ecolab | 20,705 | 4,601,065 | |||||
FMC | 10,683 | 972,260 | |||||
Freeport-McMoRan | 121,267 | 4,574,191 | |||||
International Flavors & Fragrances | 20,539 | 3,028,476 | |||||
International Paper | 32,862 | 1,632,256 | |||||
Linde | 42,925 | 13,701,660 | |||||
LyondellBasell Industries, Cl. A | 21,752 | 2,019,021 | |||||
Martin Marietta Materials | 5,246 | 2,060,839 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Materials - 2.5% (continued) | |||||||
Newmont | 66,627 | 3,597,858 | |||||
Nucor | 24,755 | 2,763,896 | |||||
Packaging Corp. of America | 7,738 | 1,062,969 | |||||
PPG Industries | 19,668 | 3,158,091 | |||||
Sealed Air | 12,996 | 770,923 | |||||
The Mosaic Company | 29,402 | 1,222,241 | |||||
The Sherwin-Williams Company | 19,834 | 6,279,643 | |||||
Vulcan Materials | 11,121 | 2,114,325 | |||||
WestRock | 22,695 | 1,091,630 | |||||
81,178,137 | |||||||
Media & Entertainment - 9.5% | |||||||
Activision Blizzard | 64,337 | 5,030,510 | |||||
Alphabet, Cl. A | 25,018 | a | 74,076,297 | ||||
Alphabet, Cl. C | 23,420 | a | 69,449,902 | ||||
Charter Communications, Cl. A | 10,552 | a | 7,121,439 | ||||
Comcast, Cl. A | 381,090 | 19,599,459 | |||||
Discovery, Cl. A | 14,582 | a | 341,802 | ||||
Discovery, Cl. C | 25,450 | a | 574,152 | ||||
DISH Network, Cl. A | 21,170 | a | 869,452 | ||||
Electronic Arts | 23,632 | 3,314,388 | |||||
Fox, Cl. A | 26,555 | 1,055,296 | |||||
Fox, Cl. B | 11,773 | 435,130 | |||||
Live Nation Entertainment | 10,961 | a | 1,108,705 | ||||
Match Group | 22,013 | a | 3,319,120 | ||||
Meta Platforms | 198,143 | a | 64,113,131 | ||||
Netflix | 36,855 | a | 25,441,375 | ||||
News Corporation, Cl. A | 33,678 | 771,226 | |||||
News Corporation, Cl. B | 10,719 | 241,821 | |||||
Omnicom Group | 18,219 | 1,240,350 | |||||
Take-Two Interactive Software | 9,459 | a | 1,712,079 | ||||
The Interpublic Group of Companies | 34,203 | 1,250,804 | |||||
The Walt Disney Company | 151,061 | a | 25,539,883 | ||||
66,433 | a | 3,556,823 | |||||
ViacomCBS, Cl. B | 50,816 | 1,840,556 | |||||
312,003,700 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 6.6% | |||||||
AbbVie | 146,744 | 16,827,134 | |||||
Agilent Technologies | 25,106 | 3,953,944 | |||||
Amgen | 47,202 | 9,769,398 | |||||
Biogen | 12,389 | a | 3,303,899 | ||||
Bio-Rad Laboratories, Cl. A | 1,786 | a | 1,419,298 | ||||
Bio-Techne | 2,943 | 1,541,102 | |||||
Bristol-Myers Squibb | 185,491 | 10,832,674 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 6.6% (continued) | |||||||
Catalent | 14,072 | a | 1,939,966 | ||||
Charles River Laboratories International | 4,125 | a | 1,850,805 | ||||
Eli Lilly & Co. | 66,131 | 16,847,534 | |||||
Gilead Sciences | 104,710 | 6,793,585 | |||||
Illumina | 12,094 | a | 5,019,736 | ||||
Incyte | 16,335 | a | 1,094,118 | ||||
IQVIA Holdings | 16,075 | a | 4,202,326 | ||||
Johnson & Johnson | 218,988 | 35,668,765 | |||||
Merck & Co. | 210,361 | 18,522,286 | |||||
Mettler-Toledo International | 1,946 | a | 2,881,792 | ||||
Moderna | 28,887 | a | 9,972,081 | ||||
Organon & Co. | 22,143 | 813,755 | |||||
PerkinElmer | 9,206 | 1,628,449 | |||||
Pfizer | 465,255 | 20,350,254 | |||||
Regeneron Pharmaceuticals | 8,673 | a | 5,550,200 | ||||
Thermo Fisher Scientific | 32,661 | 20,676,699 | |||||
Vertex Pharmaceuticals | 21,408 | a | 3,958,981 | ||||
Viatris | 98,247 | 1,311,597 | |||||
Waters | 5,186 | a | 1,906,114 | ||||
Zoetis | 39,660 | 8,574,492 | |||||
217,210,984 | |||||||
Real Estate - 2.6% | |||||||
Alexandria Real Estate Equities | 11,431 | b | 2,333,524 | ||||
American Tower | 38,027 | b | 10,722,473 | ||||
AvalonBay Communities | 11,505 | b | 2,723,003 | ||||
Boston Properties | 11,842 | b | 1,345,725 | ||||
CBRE Group, Cl. A | 28,236 | a | 2,938,803 | ||||
Crown Castle International | 35,831 | b | 6,460,329 | ||||
Digital Realty Trust | 23,607 | b | 3,725,421 | ||||
Duke Realty | 31,354 | b | 1,763,349 | ||||
Equinix | 7,473 | b | 6,255,424 | ||||
Equity Residential | 28,910 | b | 2,497,824 | ||||
Essex Property Trust | 5,332 | b | 1,812,507 | ||||
Extra Space Storage | 11,114 | b | 2,193,570 | ||||
Federal Realty Investment Trust | 5,851 | b | 704,168 | ||||
Healthpeak Properties | 45,711 | b | 1,623,198 | ||||
Host Hotels & Resorts | 62,135 | a,b | 1,045,732 | ||||
Iron Mountain | 25,221 | b | 1,151,086 | ||||
Kimco Realty | 50,831 | b | 1,148,781 | ||||
Mid-America Apartment Communities | 9,411 | b | 1,921,820 | ||||
Prologis | 61,371 | b | 8,896,340 | ||||
Public Storage | 12,653 | b | 4,203,074 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Real Estate - 2.6% (continued) | |||||||
Realty Income | 43,582 | b | 3,113,062 | ||||
Regency Centers | 13,365 | b | 941,030 | ||||
SBA Communications | 9,150 | b | 3,159,770 | ||||
Simon Property Group | 27,507 | b | 4,031,976 | ||||
UDR | 24,112 | b | 1,338,939 | ||||
Ventas | 30,776 | b | 1,642,515 | ||||
Vornado Realty Trust | 13,489 | b | 575,036 | ||||
Welltower | 34,925 | b | 2,807,970 | ||||
Weyerhaeuser | 62,923 | b | 2,247,610 | ||||
85,324,059 | |||||||
Retailing - 6.9% | |||||||
Advance Auto Parts | 5,416 | 1,221,416 | |||||
Amazon.com | 36,165 | a | 121,963,931 | ||||
AutoZone | 1,783 | a | 3,182,370 | ||||
Bath & Body Works | 20,586 | 1,422,287 | |||||
Best Buy | 18,947 | 2,316,081 | |||||
CarMax | 13,710 | a | 1,877,173 | ||||
Dollar General | 19,663 | 4,355,748 | |||||
Dollar Tree | 19,537 | a | 2,105,307 | ||||
eBay | 53,515 | 4,105,671 | |||||
Etsy | 10,461 | a | 2,622,468 | ||||
Genuine Parts | 12,247 | 1,605,704 | |||||
LKQ | 22,468 | 1,237,537 | |||||
Lowe's | 58,702 | 13,725,702 | |||||
O'Reilly Automotive | 5,733 | a | 3,567,761 | ||||
Pool | 3,387 | 1,744,847 | |||||
Ross Stores | 29,879 | 3,382,303 | |||||
Target | 41,374 | 10,741,518 | |||||
The Gap | 18,536 | 420,582 | |||||
The Home Depot | 88,404 | 32,863,303 | |||||
The TJX Companies | 100,650 | 6,591,568 | |||||
Tractor Supply | 9,566 | 2,077,448 | |||||
Ulta Beauty | 4,627 | a | 1,699,775 | ||||
224,830,500 | |||||||
Semiconductors & Semiconductor Equipment - 5.6% | |||||||
Advanced Micro Devices | 100,870 | a | 12,127,600 | ||||
Analog Devices | 44,617 | 7,740,603 | |||||
Applied Materials | 75,974 | 10,381,847 | |||||
Broadcom | 33,927 | 18,037,968 | |||||
Enphase Energy | 11,235 | a | 2,602,363 | ||||
Intel | 335,569 | 16,442,881 | |||||
KLA | 12,758 | 4,755,672 | |||||
Lam Research | 11,827 | 6,665,342 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Semiconductors & Semiconductor Equipment - 5.6% (continued) | |||||||
Microchip Technology | 45,212 | 3,349,757 | |||||
Micron Technology | 92,978 | 6,424,780 | |||||
Monolithic Power Systems | 3,523 | 1,851,196 | |||||
NVIDIA | 207,262 | 52,990,676 | |||||
NXP Semiconductors | 22,045 | 4,427,959 | |||||
Qorvo | 9,346 | a | 1,572,278 | ||||
Qualcomm | 93,685 | 12,463,852 | |||||
Skyworks Solutions | 13,905 | 2,323,943 | |||||
Teradyne | 13,660 | 1,888,358 | |||||
Texas Instruments | 76,724 | 14,384,216 | |||||
Xilinx | 20,298 | 3,653,640 | |||||
184,084,931 | |||||||
Software & Services - 14.4% | |||||||
Accenture, Cl. A | 52,823 | 18,952,364 | |||||
Adobe | 39,597 | a | 25,752,305 | ||||
Akamai Technologies | 13,338 | a | 1,406,625 | ||||
Ansys | 7,213 | a | 2,737,911 | ||||
Autodesk | 18,221 | a | 5,787,172 | ||||
Automatic Data Processing | 35,168 | 7,894,864 | |||||
Broadridge Financial Solutions | 9,599 | 1,712,558 | |||||
Cadence Design Systems | 23,297 | a | 4,032,944 | ||||
Ceridian HCM Holding | 10,313 | a | 1,291,703 | ||||
Citrix Systems | 10,108 | 957,531 | |||||
Cognizant Technology Solutions, Cl. A | 43,559 | 3,401,522 | |||||
DXC Technology | 21,840 | a | 711,329 | ||||
Fidelity National Information Services | 51,402 | 5,692,257 | |||||
Fiserv | 50,071 | a | 4,931,493 | ||||
FLEETCOR Technologies | 6,977 | a | 1,726,180 | ||||
Fortinet | 11,421 | a | 3,841,339 | ||||
Gartner | 6,955 | a | 2,308,434 | ||||
Global Payments | 24,795 | 3,545,437 | |||||
International Business Machines | 74,722 | 9,347,722 | |||||
Intuit | 22,696 | 14,207,469 | |||||
Jack Henry & Associates | 6,034 | 1,004,540 | |||||
Mastercard, Cl. A | 72,410 | 24,295,003 | |||||
Microsoft | 624,616 | 207,135,158 | |||||
NortonLifeLock | 49,856 | 1,268,835 | |||||
Oracle | 137,030 | 13,146,658 | |||||
Paychex | 26,586 | 3,277,522 | |||||
Paycom Software | 4,037 | a | 2,211,670 | ||||
PayPal Holdings | 97,667 | a | 22,716,368 | ||||
PTC | 8,239 | a | 1,049,237 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Software & Services - 14.4% (continued) | |||||||
salesforce.com | 80,263 | a | 24,054,018 | ||||
ServiceNow | 16,507 | a | 11,517,924 | ||||
Synopsys | 12,673 | a | 4,222,390 | ||||
The Western Union Company | 35,953 | 655,064 | |||||
Tyler Technologies | 3,376 | a | 1,833,911 | ||||
Verisign | 8,407 | a | 1,871,987 | ||||
Visa, Cl. A | 140,273 | 29,705,613 | |||||
470,205,057 | |||||||
Technology Hardware & Equipment - 7.7% | |||||||
Amphenol, Cl. A | 49,400 | 3,792,438 | |||||
Apple | 1,305,190 | 195,517,462 | |||||
Arista Networks | 4,647 | a | 1,903,829 | ||||
CDW | 11,567 | 2,158,981 | |||||
Cisco Systems | 350,251 | 19,603,548 | |||||
Corning | 64,689 | 2,300,988 | |||||
F5 Networks | 4,938 | a | 1,042,659 | ||||
Hewlett Packard Enterprise | 112,191 | 1,643,598 | |||||
HP | 99,059 | 3,004,459 | |||||
IPG Photonics | 2,827 | a | 449,521 | ||||
Juniper Networks | 28,294 | 835,239 | |||||
Keysight Technologies | 15,588 | a | 2,806,152 | ||||
Motorola Solutions | 14,015 | 3,483,989 | |||||
NetApp | 18,143 | 1,620,170 | |||||
Seagate Technology Holdings | 18,074 | 1,609,851 | |||||
TE Connectivity | 27,306 | 3,986,676 | |||||
Teledyne Technologies | 3,849 | a | 1,729,048 | ||||
Trimble | 20,609 | a | 1,800,608 | ||||
Western Digital | 25,663 | a | 1,341,918 | ||||
Zebra Technologies, Cl. A | 4,424 | a | 2,362,195 | ||||
252,993,329 | |||||||
Telecommunication Services - 1.2% | |||||||
AT&T | 593,246 | 14,985,394 | |||||
Lumen Technologies | 80,795 | 958,229 | |||||
T-Mobile US | 48,915 | a | 5,626,692 | ||||
Verizon Communications | 344,057 | 18,231,580 | |||||
39,801,895 | |||||||
Transportation - 1.8% | |||||||
Alaska Air Group | 10,580 | a | 558,624 | ||||
American Airlines Group | 51,239 | a | 983,789 | ||||
C.H. Robinson Worldwide | 10,816 | 1,049,044 | |||||
CSX | 188,265 | 6,809,545 | |||||
Delta Air Lines | 52,591 | a | 2,057,886 | ||||
Expeditors International of Washington | 14,422 | 1,777,656 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Transportation - 1.8% (continued) | |||||||
FedEx | 20,538 | 4,837,315 | |||||
J.B. Hunt Transport Services | 6,817 | 1,344,244 | |||||
Kansas City Southern | 7,477 | 2,319,739 | |||||
Norfolk Southern | 20,532 | 6,016,903 | |||||
Old Dominion Freight Line | 7,910 | 2,700,079 | |||||
Southwest Airlines | 48,861 | a | 2,310,148 | ||||
Union Pacific | 54,211 | 13,086,535 | |||||
United Airlines Holdings | 25,942 | a | 1,196,964 | ||||
United Parcel Service, Cl. B | 60,061 | 12,821,222 | |||||
59,869,693 | |||||||
Utilities - 2.4% | |||||||
Alliant Energy | 21,511 | 1,216,877 | |||||
Ameren | 21,220 | 1,788,634 | |||||
American Electric Power | 41,887 | 3,548,248 | |||||
American Water Works | 15,152 | 2,639,175 | |||||
Atmos Energy | 11,093 | 1,021,887 | |||||
CenterPoint Energy | 48,052 | 1,251,274 | |||||
CMS Energy | 24,847 | 1,499,516 | |||||
Consolidated Edison | 28,917 | 2,180,342 | |||||
Dominion Energy | 67,187 | 5,101,509 | |||||
DTE Energy | 16,263 | 1,843,411 | |||||
Duke Energy | 63,763 | 6,504,464 | |||||
Edison International | 31,503 | 1,982,484 | |||||
Entergy | 16,474 | 1,697,151 | |||||
Evergy | 18,738 | 1,194,548 | |||||
Eversource Energy | 28,668 | 2,433,913 | |||||
Exelon | 81,927 | 4,357,697 | |||||
FirstEnergy | 46,809 | 1,803,551 | |||||
NextEra Energy | 162,925 | 13,902,390 | |||||
NiSource | 32,836 | 810,064 | |||||
NRG Energy | 21,065 | 840,283 | |||||
Pinnacle West Capital | 9,658 | 622,844 | |||||
PPL | 64,418 | 1,855,238 | |||||
Public Service Enterprise Group | 42,173 | 2,690,637 | |||||
Sempra Energy | 26,621 | 3,397,638 | |||||
The AES | 54,394 | 1,366,921 | |||||
The Southern Company | 87,712 | 5,466,212 | |||||
WEC Energy Group | 25,974 | 2,339,218 | |||||
Xcel Energy | 45,041 | 2,909,198 | |||||
78,265,324 | |||||||
Total Common Stocks (cost $795,634,371) | 3,248,061,479 |
18
Description | 1-Day | Shares | Value ($) | ||||
Investment Companies - .7% | |||||||
Registered Investment Companies - .7% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.06 | 23,987,934 | c | 23,987,934 | |||
Total Investments (cost $819,622,305) | 99.9% | 3,272,049,413 | |||||
Cash and Receivables (Net) | .1% | 2,073,827 | |||||
Net Assets | 100.0% | 3,274,123,240 |
a Non-income producing security.
b Investment in real estate investment trust within the United States.
c Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited) † | Value (%) |
Information Technology | 27.7 |
Health Care | 12.9 |
Consumer Discretionary | 12.7 |
Financials | 11.3 |
Communication Services | 10.7 |
Industrials | 8.0 |
Consumer Staples | 5.6 |
Energy | 2.8 |
Real Estate | 2.6 |
Materials | 2.5 |
Utilities | 2.4 |
Investment Companies | .7 |
99.9 |
† Based on net assets.
See notes to financial statements.
19
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Investment Companies | Value | Purchases ($)† | Sales ($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government | 15,766,445 | 490,608,214 | (482,386,725) | 23,987,934 | .7 | 11,609 |
Investment of Cash Collateral for Securities Loaned; | ||||||
Dreyfus Institutional Preferred Government | - | 10,964,766 | (10,964,766) | - | - | 66,076†† |
Total | 15,766,445 | 501,572,980 | (493,351,491) | 23,987,934 | .7 | 77,685 |
† Includes reinvested dividends/distributions.
†† Represents securities lending income earned from reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.
See notes to financial statements.
20
STATEMENT OF FUTURES
October 31, 2021
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation ($) | |
Futures Long | ||||||
Standard & Poor's 500 E-mini | 117 | 12/17/2021 | 25,879,131 | 26,892,450 | 1,013,319 | |
Gross Unrealized Appreciation | 1,013,319 |
See notes to financial statements.
21
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2021
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 795,634,371 |
| 3,248,061,479 |
| ||
Affiliated issuers |
| 23,987,934 |
| 23,987,934 |
| |
Cash |
|
|
|
| 527,409 |
|
Dividends receivable |
| 2,179,009 |
| |||
Cash collateral held by broker—Note 4 |
| 1,413,000 |
| |||
Receivable for shares of Common Stock subscribed |
| 728,553 |
| |||
Receivable for futures variation margin—Note 4 |
| 56,730 |
| |||
|
|
|
|
| 3,276,954,114 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc.—Note 3(b) |
| 517,690 |
| |||
Payable for shares of Common Stock redeemed |
| 1,410,593 |
| |||
Payable for investment securities purchased |
| 873,577 |
| |||
Directors’ fees and expenses payable |
| 29,014 |
| |||
|
|
|
|
| 2,830,874 |
|
Net Assets ($) |
|
| 3,274,123,240 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 476,547,894 |
|
Total distributable earnings (loss) |
|
|
|
| 2,797,575,346 |
|
Net Assets ($) |
|
| 3,274,123,240 |
|
Shares Outstanding |
|
| ||
(150 million shares of $.001 par value Common Stock authorized) | 39,379,514 |
| ||
Net Asset Value Per Share ($) |
| 83.14 |
| |
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
22
STATEMENT OF OPERATIONS
Year Ended October 31, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $3,987 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 45,756,374 |
| ||
Affiliated issuers |
|
| 11,609 |
| ||
Income from securities lending—Note 1(c) |
|
| 66,076 |
| ||
Total Income |
|
| 45,834,059 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 6,213,022 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 261,500 |
| ||
Loan commitment fees—Note 2 |
|
| 55,003 |
| ||
Interest expense—Note 2 |
|
| 7,163 |
| ||
Total Expenses |
|
| 6,536,688 |
| ||
Less—Directors’ fees reimbursed by |
|
| (261,500) |
| ||
Net Expenses |
|
| 6,275,188 |
| ||
Investment Income—Net |
|
| 39,558,871 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 384,299,695 |
| ||||
Net realized gain (loss) on futures | 6,089,513 |
| ||||
Net Realized Gain (Loss) |
|
| 390,389,208 |
| ||
Net change in unrealized appreciation (depreciation) on investments | 650,299,804 |
| ||||
Net change in unrealized appreciation (depreciation) on futures | 2,093,107 |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| 652,392,911 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 1,042,782,119 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 1,082,340,990 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
23
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2021 |
| 2020 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 39,558,871 |
|
|
| 46,672,018 |
| |
Net realized gain (loss) on investments |
| 390,389,208 |
|
|
| 97,426,193 |
| ||
Net change in unrealized appreciation |
| 652,392,911 |
|
|
| 128,164,303 |
| ||
Net Increase (Decrease) in Net Assets | 1,082,340,990 |
|
|
| 272,262,514 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders |
|
| (135,846,648) |
|
|
| (139,346,661) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 225,957,699 |
|
|
| 469,923,133 |
| |
Distributions reinvested |
|
| 93,178,557 |
|
|
| 94,927,716 |
| |
Cost of shares redeemed |
|
| (757,604,416) |
|
|
| (657,688,952) |
| |
Increase (Decrease) in Net Assets | (438,468,160) |
|
|
| (92,838,103) |
| |||
Total Increase (Decrease) in Net Assets | 508,026,182 |
|
|
| 40,077,750 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,766,097,058 |
|
|
| 2,726,019,308 |
| |
End of Period |
|
| 3,274,123,240 |
|
|
| 2,766,097,058 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 3,059,939 |
|
|
| 8,660,342 |
| |
Shares issued for distributions reinvested |
|
| 1,381,720 |
|
|
| 1,595,078 |
| |
Shares redeemed |
|
| (10,423,850) |
|
|
| (11,463,860) |
| |
Net Increase (Decrease) in Shares Outstanding | (5,982,191) |
|
|
| (1,208,440) |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
24
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||
Per Share Data ($): | ||||||||
Net asset value, | 60.98 | 58.54 | 54.53 | 52.24 | 43.56 | |||
Investment Operations: | ||||||||
Investment income—neta | .94 | 1.00 | 1.02 | .94 | .89 | |||
Net realized and unrealized | 24.32 | 4.45 | 6.06 | 2.74 | 9.12 | |||
Total from | 25.26 | 5.45 | 7.08 | 3.68 | 10.01 | |||
Distributions: | ||||||||
Dividends from | (.97) | (1.03) | (.97) | (.92) | (.86) | |||
Dividends from net realized | (2.13) | (1.98) | (2.10) | (.47) | (.47) | |||
Total Distributions | (3.10) | (3.01) | (3.07) | (1.39) | (1.33) | |||
Net asset value, end of period | 83.14 | 60.98 | 58.54 | 54.53 | 52.24 | |||
Total Return (%) | 42.64 | 9.51 | 14.16 | 7.11 | 23.42 | |||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses to | .21 | .21 | .21 | .21 | .21 | |||
Ratio of net expenses to | .20 | .20 | .20 | .20 | .20 | |||
Ratio of net investment income | ||||||||
to average net assets | 1.27 | 1.70 | 1.86 | 1.70 | 1.85 | |||
Portfolio Turnover Rate | 3.27 | 2.56 | 4.53 | 3.20 | 6.00 | |||
Net Assets, | 3,274,123 | 2,766,097 | 2,726,019 | 2,545,990 | 2,615,096 |
a Based on average shares outstanding.
See notes to financial statements.
25
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
BNY Mellon Institutional S&P 500 Stock Index Fund (the “fund”) is a separate diversified series of BNY Mellon Investment Funds IV, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering four series, including the fund. The fund’s investment objective is to seek to match the total return of the S&P 500® Index. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares.
Class I shares are sold primarily to bank trust departments and other financial service providers (including The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, and its affiliates), acting on behalf of customers having a qualified trust or an investment account or relationship at such institution, and bear no Distribution or Shareholder Service Plan fees. Class I shares are offered without a front-end sales charge or a contingent deferred sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
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 Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
26
(a) Portfolio valuation: 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 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.
27
NOTES TO FINANCIAL STATEMENTS (continued)
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. These securities are generally categorized within Level 2 of the fair value hierarchy.
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 Company’s Board of Directors (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.
Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2021 in valuing the fund’s investments:
28
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments In Securities:† | ||||||
Equity Securities - Common Stocks | 3,248,061,479 | - | - | 3,248,061,479 | ||
Investment Companies | 23,987,934 | - | - | 23,987,934 | ||
Other Financial Instruments: | ||||||
Futures†† | 1,013,319 | - | - | 1,013,319 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
(b) Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of October 31, 2021, if any, are disclosed in the fund’s Statement of Assets and Liabilities.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, 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 the Adviser, 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
29
NOTES TO FINANCIAL STATEMENTS (continued)
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. During the period ended October 31, 2021, The Bank of New York Mellon earned $9,009 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net are normally declared and paid quarterly. Dividends from net realized capital gains, if any, are normally declared and paid
30
annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2021, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended October 31, 2021, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2021, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $17,658,947, undistributed capital gains $338,883,754 and unrealized appreciation $2,441,032,645.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2021 and October 31, 2020 were as follows: ordinary income $53,143,275 and $49,990,283, and long-term capital gains $82,703,373 and $89,356,378, respectively.
During the period ended October 31, 2021, as a result of permanent book to tax differences, primarily due to the tax treatment for treating a portion of the proceeds from redemptions as a distribution for tax purposes, the fund decreased total distributable earnings (loss) by $43,312,415 and increased paid-in capital by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit
31
NOTES TO FINANCIAL STATEMENTS (continued)
facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2021 was approximately $585,753 with a related weighted average annualized interest rate of 1.22%.
NOTE 3—Investment Management Fee and Other Transactions with Affiliates:
(a) Pursuant to an investment management agreement with the Adviser, the Adviser provides or arranges for one or more third parties and/or affiliates to provide investment advisory, administrative, custody, fund accounting and transfer agency services to the fund. The Adviser also directs the investments of the fund in accordance with its investment objective, policies and limitations. For these services, the fund is contractually obligated to pay the Adviser a fee, calculated daily and paid monthly, at an annual rate of .20% of the value of the fund’s average daily net assets. Out of its fee, the Adviser pays all of the expenses of the fund except brokerage fees, taxes, interest expense, commitment fees on borrowings, fees and expenses of non-interested Directors (including counsel fees) and extraordinary expenses. In addition, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2021, fees reimbursed by the Adviser amounted to $261,500.
(b) The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc.” in the Statement of Assets and Liabilities consist of: management fees of
32
$539,390, which are offset against an expense reimbursement currently in effect in the amount of $21,700.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended October 31, 2021, amounted to $99,774,700 and $632,969,395, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2021 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 2021 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2021:
|
| Average Market Value ($) |
Equity futures |
| 24,227,158 |
At October 31, 2021, the cost of investments for federal income tax purposes was $831,016,768; accordingly, accumulated net unrealized appreciation on investments was $2,441,032,645, consisting of
33
NOTES TO FINANCIAL STATEMENTS (continued)
$2,472,107,237 gross unrealized appreciation and $31,074,592 gross unrealized depreciation.
NOTE 5—Pending Legal Matters:
The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”).
The FitzSimons Litigation: On November 1, 2010, a case now styled, Mark S. Kirchner, as Litigation Trustee for the Tribune Litigation Trust v. FitzSimons, et al., S.D.N.Y. No. 12-cv-2652 (RJS) was filed (“the FitzSimons Litigation”). Among other things, the complaint sought recovery of alleged “fraudulent conveyances” from more than 5,000 Tribune shareholders (“Shareholder Defendants”), including the fund, that participated in the Tribune LBO. On May 23, 2014, the defendants filed a motion to dismiss, which the Court granted on January 9, 2017. The plaintiff then sought leave to file an interlocutory appeal. On February 23, 2017, the Court entered an order stating that it would permit the plaintiff to file an interlocutory appeal after the Court decided other pending motions.
Effective November 1, 2018, Judge Denise Cote was assigned to the case when Judge Richard Sullivan was elevated to the Second Circuit.
On November 30, 2018, the Court issued an Opinion and Order resolving the remaining motions by dismissing most, but not all, of the claims asserted against the individual defendants.
In January 2019, various state law claims asserted against certain individual defendants were dismissed.
Between February and early April 2019, plaintiffs and certain defendants attempted to resolve the dispute through mediation, but ultimately decided to await the Second Circuit’s review of its May 29, 2016 decision before attempting to negotiate a settlement.
On April 4, 2019, plaintiff filed a motion to amend the FitzSimons complaint to add a claim for constructive fraudulent transfer from defendants subject to clawback under the Bankruptcy Code. On April 10, 2019, the affected defendants opposed the motion.
On April 23, 2019, Judge Cote denied plaintiff’s motion to amend the complaint to add a new constructive fraudulent transfer claim because such amendment would be futile and would result in substantial prejudice to the shareholder defendants given that the only claim against the shareholder defendants in FitzSimons has been dismissed for over two years, subject to
34
appeal. Judge Cote considered the amendment futile on the ground that constructive fraudulent transfer claims are barred by the safe harbor provision of Section 546(e), which defines “financial institution” to include, in certain circumstances, the customers of traditional financial institutions, including Tribune.
On July 12, 2019, the Trustee filed a notice of appeal to the Second Circuit from the April 23, 2019, decision denying leave to amend the complaint to add constructive fraudulent transfer claims. On July 15, 2019, the Trustee filed a corrected notice of appeal to remedy technical errors with the notice filed on July 12, 2019. Briefing on these matters began in January 2020, and was completed and fully submitted to the Second Circuit by June 2020. Oral argument occurred in August 2020. In December 2020, Second Circuit Judge and panel member Ralph Winter, Jr., passed away. A decision is still expected in 2021, though it is unknown whether a third panel member will be sought to decide the pending appeal, whether additional briefing or oral argument will be requested or required by a third panel member, if any, or whether any such request will impact the timing to a final decision.
In April 2021, the United States Supreme Court denied Plaintiffs’ petition for a writ of certiorari to review legal issues raised in cases filed by Tribune creditors beginning in June 2011, arising under state and/or federal law, and alleging that payments made to shareholders in the LBO were “fraudulent conveyances,” which payments should have been returned to the shareholders for their shares (collectively, “the state law cases”). The state law cases had been consolidated for pre-trial proceedings in the United States District Court for the Southern District of New York, under the caption In re Tribune Company Fraudulent Conveyance Litigation (S.D.N.Y. Nos. 11-md-2296 and 12-mc-2296 (RJS). The Tribune defendants advised the Second Circuit of the denial of cert in the state law cases, and urged the Second Circuit to affirm denial of the Trustee’s motion for leave to amend in light of the Supreme Court’s decision.
In August 2021, the Second Circuit affirmed the trial court's dismissal of the Trustee's intentional fraudulent conveyance claims against the shareholder defendants, and also affirmed denial of the Trustee's request for leave to amend the complaint to add federal constructive conveyance claims against the shareholder defendants. In September 2021, the Trustee sought to have its appeal re-heard by some or all of the Second Circuit's judges, which the Second Circuit denied. The Trustee is expected to petition the United States Supreme Court for a writ of certiorari in early 2022.
35
NOTES TO FINANCIAL STATEMENTS (continued)
At this stage in the proceedings, management does not believe that a loss is probable and, in any event, is unable to reasonably estimate the possible loss that may result.
36
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the fund and Board of Directors of
BNY Mellon Investment Funds IV, Inc. :
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of BNY Mellon Institutional S&P 500 Stock Index Fund (the “Fund”), a series of BNY Mellon Investment Funds IV, Inc., including the statements of investments and futures, as of October 31, 2021, and the statement of investments in affiliated issuers as of and for the year then ended, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements), and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more BNY Mellon Investment Adviser, Inc. investment companies since 1994.
New York, New York
December 22, 2021
37
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund reports the maximum amount allowable, but not less than $47,261,662 as ordinary income dividends paid during the year ended October 31, 2021 as qualified dividend income in accordance with Section 854(b)(1)(B) of the Internal Revenue Code. Also, the fund reports the maximum amount allowable but not less than 85.96% of ordinary income dividends paid during the year ended October 31, 2021 as eligible for the corporate dividends received deduction provided under Section 243 of the Internal Revenue Code in accordance with Section 854(b)(1)(A) of the Internal Revenue Code. Shareholders will receive notification in early 2022 of the percentage applicable to the preparation of their 2021 income tax returns. Also the fund reports the maximum amount allowable but not less than $1.8744 per share as a capital gain dividend in accordance with Section 852(b)(3)(C) of the Internal Revenue Code. Also, the fund reports the maximum amount allowable but not less than $.2602 as a short-term capital gain dividend paid on December 24, 2020 in accordance with Sections 871(k)(2) and 881(e) of the Internal Revenue Code.
38
BOARD MEMBERS INFORMATION (Unaudited)
Independent Board Members
Joseph S. DiMartino (78)
Chairman of the Board (1999)
Principal Occupation During Past 5 Years:
· Director or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (as described in the fund’s Statement of Additional Information) (1995-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (1997-Present)
No. of Portfolios for which Board Member Serves: 98
———————
Francine J. Bovich (70)
Board Member (2012)
Principal Occupation During Past 5 Years:
· The Bradley Trusts, private trust funds, Trustee (2011-Present)
Other Public Company Board Memberships During Past 5 Years:
· Annaly Capital Management, Inc., a real estate investment trust, Director (2014-Present)
No. of Portfolios for which Board Member Serves: 55
———————
Andrew J. Donohue (71)
Board Member (2019)
Principal Occupation During Past 5 Years:
· Attorney, Solo Law Practice (2019-Present)
· Shearman & Sterling LLP. a law firm, Of Counsel (2017-2019)
· Chief of Staff to the Chair of the SEC (2015-2017)
Other Public Company Board Memberships During Past 5 Years:
· Oppenheimer Funds (58 funds), Director (2017-2019)
No. of Portfolios for which Board Member Serves: 45
———————
39
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Kenneth A. Himmel (75)
Board Member (1994)
Principal Occupation During Past 5 Years:
· Gulf Related, an international real estate development company, Managing Partner (2010-Present)
· Related Urban Development, a real estate development company, President and Chief Executive Officer (1996-Present)
· American Food Management, a restaurant company, Chief Executive Officer (1983-Present)
· Himmel & Company, a real estate development company, President and Chief Executive Officer (1980-Present)
No. of Portfolios for which Board Member Serves: 22
———————
Roslyn M. Watson (72)
Board Member (1994)
Principal Occupation During Past 5 Years:
· Watson Ventures, Inc., a real estate investment company, Principal (1993-Present)
Other Public Company Board Memberships During Past 5 Years:
· American Express Bank, FSB, Director (1993-2018)
No. of Portfolios for which Board Member Serves: 45
———————
Benaree Pratt Wiley (75)
Board Member (1998)
Principal Occupation During Past 5 Years:
· The Wiley Group, a firm specializing in strategy and business development, Principal (2005-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (2008-Present)
· Blue Cross-Blue Shield of Massachusetts, Director (2004-2020)
No. of Portfolios for which Board Member Serves: 63
———————
40
Interested Board Member
Bradley Skapyak (62)
Board Member (2021)
Principal Occupation During Past 5 Years:
· Chief Operating Officer and Director of Dreyfus (2009-2019)
· Chief Executive Officer and Director of the Distributor (2016-2019)
· Chairman and Director of the Transfer Agent (2011-2019)
· Senior Vice President of the Custodian (2007-2019)
No. of Portfolios for which Board Member Serves: 22
Mr. Skapyak is deemed to be an Interested Board Member of the funds as a result of his ownership of unvested restricted stock units of BNY Mellon.
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street, New York, New York 10286. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from the Adviser free of charge by calling this toll free number: 1-800-373-9387.
James M. Fitzgibbons, Emeritus Board Member
Stephen J. Lockwood, Emeritus Board Member
41
OFFICERS OF THE FUND (Unaudited)
DAVID DIPETRILLO, President since January 2021.
Vice President and Director of the Adviser since February 2021; Head of North America Product, BNY Mellon Investment Management since January 2018; Director of Product Strategy, BNY Mellon Investment Management from January 2016 to December 2017. He is an officer of 57 investment companies (comprised of 107 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 43 years old and has been an employee of BNY Mellon since 2005.
JAMES WINDELS, Treasurer since November 2001.
Vice President of the Adviser since September 2020; Director - BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 63 years old and has been an employee of the Adviser since April 1985.
PETER M. SULLIVAN, Chief Legal Officer since July 2021 and Vice President and Assistant Secretary since March 2019.
Chief Legal Officer of the Adviser since July 2021, Associate General Counsel of BNY Mellon since July 2021; Senior Managing Counsel of BNY Mellon from December 2020 to July 2021; Managing Counsel of BNY Mellon from March 2009 to December 2020, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of BNY Mellon since April 2004.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Senior Managing Counsel of BNY Mellon since December 2019; Managing Counsel of BNY Mellon from April 2014 to December 2019; Secretary of the Adviser, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 55 years old and has been an employee of the Adviser since December 1996.
DEIRDRE CUNNANE, Vice President and Assistant Secretary since March 2019.
Counsel of BNY Mellon since August 2018; Senior Regulatory Specialist at BNY Mellon Investment Management Services from February 2016 to August 2018. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 31 years old and has been an employee of the Adviser since August 2018.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Vice President since February 2020 of BNY Mellon ETF Investment Adviser; LLC, Senior Managing Counsel of BNY Mellon since September 2021; Managing Counsel from December 2017 to September 2021; Senior Counsel of BNY Mellon from March 2013 to December 2017. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 46 years old and has been an employee of the Adviser since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 56 years old and has been an employee of the Adviser since October 1990.
AMANDA QUINN, Vice President and Assistant Secretary since March 2020.
Counsel of BNY Mellon since June 2019; Regulatory Administration Manager at BNY Mellon Investment Management Services from September 2018 to May 2019; Senior Regulatory Specialist at BNY Mellon Investment Management Services from April 2015 to August 2018. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of the Adviser since June 2019.
42
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Chief Compliance Officer since August 2021 and Vice President since February 2020 of BNY Mellon ETF Investment Adviser, LLC; Chief Compliance Officer since August 2021 and Vice President and Assistant Secretary since February 2020 of BNY Mellon ETF Trust; Managing Counsel from December 2019 to August 2021 of BNY Mellon; Counsel from May 2016 to December 2019 of BNY Mellon; Assistant Secretary of the Adviser from April 2018 to August 2021. She is an officer of 57 investment companies (comprised of 128 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of BNY Mellon since May 2016.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager-BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of the Adviser since April 1991.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust since 2004, Chief Compliance Officer of the Adviser from 2004 until June 2021. He is an officer of 57 investment companies (comprised of 120 portfolios) managed by the Adviser. He is 64 years old.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust. She is an officer of 50 investment companies (comprised of 121 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 53 years old and has been an employee of the Distributor since 1997.
43
This page intentionally left blank.
44
This page intentionally left blank.
45
BNY Mellon Institutional S&P 500 Stock Index Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Ticker Symbol: | DSPIX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.im.bnymellon.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2021 BNY Mellon Securities Corporation |
BNY Mellon Tax Managed Growth Fund
ANNUAL REPORT October 31, 2021 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.im.bnymellon.com and sign up for eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through October 31, 2021, as provided by portfolio manager Fayez Sarofim of Fayez Sarofim & Co., Sub-Investment Adviser
Market and Fund Performance Overview
For the 12-month period ended October 31, 2021, BNY Mellon Tax Managed Growth Fund’s Class A shares produced a total return of 40.40%, Class C shares returned 39.37% and Class I shares returned 40.76%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned 42.90% for the same period.2
U.S. equities rose during the reporting period in response to strong corporate earnings results and fiscal and monetary policy responses to address the COVID-19 pandemic. The fund lagged its benchmark due primarily to unfavorable security selection.
The Fund’s Investment Approach
The fund seeks long-term capital appreciation consistent with minimizing realized capital gains. To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in common stocks and employs a tax-managed strategy, which is an approach to managing a fund that seeks to minimize capital gains-tax liabilities.
In choosing stocks, the fund’s portfolio managers first identify economic sectors that they believe will expand over the next three to five years or longer. Using fundamental analysis, the fund’s portfolio managers then seek companies within these sectors that have dominant positions in their industries, and that have demonstrated sustained patterns of profitability, strong balance sheets, an expanding global presence and the potential to achieve predictable, above-average earnings growth. The fund’s portfolio managers also are alert to companies that they consider undervalued in terms of current earnings, assets or growth prospects.
The fund may invest in U.S. dollar-denominated American depositary receipts (ADRs).
The fund attempts to enhance after-tax returns by minimizing its annual taxable distributions to shareholders. To do so, the fund employs a “buy-and hold” investment strategy, which generally has resulted in an annual portfolio turnover rate of below 15%.
Markets Continue to Recover
The U.S. economy continued on the path of economic recovery during the 12-month period ended October 31, 2021, as reflected by the strong market performance. In November of 2020, Joe Biden was elected the 46th President of the U.S. President Biden passed the $1.9 trillion American Rescue Plan and quickly began working on separate bills related to domestic infrastructure and social spending plans, while ramping up vaccination efforts. These developments added to positive sentiment as investors focused on a path to normalization and recovery.
Shifting focus to the pandemic, a trio of vaccines were approved. The discovery of the Delta variant of the virus caused concern, but vaccination efforts were successful in
2
bringing down infection rates. Businesses began to reopen, and the pent-up demand from consumers to buy, travel and experience the world outside of their homes drove strong corporate earnings results. The return of the American consumer, combined with shortages caused by shutdowns in countries within the supply chain, created the perfect conditions for rising inflation. Strong corporate earnings were reported in the period as the consumer drove sales and earnings beats, while the companies noted pressure from rising input costs and supply-chain disruptions.
Through these challenges to the fragile recovery, the Federal Reserve (the “Fed”) maintained its accommodative monetary policies, reiterated its belief that inflation is transitory, and signaled that asset purchase tapering will begin at the end of 2021 due to continued strength in the economy. As the period concluded, political gridlock in Washington remained as President Biden’s infrastructure and social spending bills are debated in Congress. While the positive trajectory led the S&P 500® Index to new record highs, concerns remain over the Delta variant of the virus, supply-chain issues and persistent inflation.
Stock Selection Hampered Performance
The fund underperformed the benchmark, driven by a negative stock selection effect in the period. The fund’s holdings in the insurance subsectors resulted in a negative stock selection effect for the financials sector, detracting from the overall performance in the period. Within the consumer discretionary sector, the fund’s stock selection underperformed and contributed negatively to results for the period. The negative impact from an underweight allocation and stock selection within the best-performing energy sector represented a drag on results for the period. The top detractors from relative performance included Clarivate, Netflix, ServiceNow, Otis Worldwide and Gartner.
A positive stock-selection effect within the information technology sector contributed to performance for the period, driven by the fund’s holdings in the software and semiconductor subsectors. Within the health care sector, the positive impact from stock selection added value to the fund as holdings in the health care providers & services and pharmaceutical subsectors outpaced sector peers. The fund benefited from its strategic underweight allocation to the utilities sector in the period. Within the communication services sector, the positive stock-selection effect contributed to performance. The top contributors to relative performance included Microsoft, Alphabet, ASML Holding, Apple and Estee Lauder Companies.
A Continued Focus on Quality Companies
As we progress on the path of recovery and growth, the fund’s investment approach remains focused on the long term, with an emphasis on companies with resilient cash flows, solid balance sheets and geographically diverse revenue streams. Those characteristics offer protection against uncertainty associated with additional waves of COVID-19 infections, while positioning us to benefit from a sustained period of economic recovery and growth.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
We continue to monitor important issues, including monetary and fiscal policy, inflation and regulatory developments. While the economy is strengthening due to the reopening, there is still friction due to supply-chain issues and shortages in certain areas. Those issues are holding back certain areas of the economy despite the reopening. The fund’s simultaneous focus on quality businesses operating in attractive, growing industries and led by adept management teams position the fund to benefit from a period of sustained economic growth.
November 15, 2021
1 DUE TO RECENT MARKET VOLATILITY, CURRENT PERFORMANCE MAY BE DIFFERENT THAN THE FIGURES SHOWN. Investors should note that the fund’s short-term performance is highly unusual, in part due to unusually favorable market conditions, and is unlikely to be repeated or consistently achieved in the future. Investors should note that the fund’s short-term performance is highly unusual, in part due to unusually favorable market conditions, and is unlikely to be repeated or consistently achieved in the future Total return includes reinvestment of dividends and any capital gains paid and does not take into consideration the maximum initial sales charge in the case of Class A shares or the applicable contingent deferred sales charge imposed on redemptions in the case of Class C shares. Had these charges been reflected, returns would have been lower. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost.
2 Source: Lipper Inc. — The S&P 500® Index is widely regarded as the best single gauge of large-cap U.S. equities. The Index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Investors cannot invest directly in any index.
Equities are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
Investing in foreign denominated and/or domiciled securities involves special risks, including changes in currency exchange rates, political, economic, and social instability, limited company information, differing auditing and legal standards, and less market liquidity. These risks generally are greater with emerging market countries.
References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be and should not be interpreted as recommendations.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
4
FUND PERFORMANCE (Unaudited)
Comparison of change in value of a $10,000 investment in Class A shares, Class C shares and Class I shares of BNY Mellon Tax Managed Growth Fund with a hypothetical investment of $10,000 in the S&P 500® Index (the “Index”).
† Source: Lipper Inc.
Past performance is not predictive of future performance.
The above graph compares a hypothetical investment of $10,000 made in each of the Class A shares, Class C shares and Class I shares of BNY Mellon Tax Managed Growth Fund on 10/31/11 to a hypothetical investment of $10,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. The Index is widely regarded as the best single gauge of large-cap U.S. equities. The Index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
5
FUND PERFORMANCE (Unaudited) (continued)
Average Annual Total Returns as of 10/31/2021 | |||
1 Year | 5 Years | 10 Years | |
Class A shares | |||
with maximum sales charge (5.75%) | 32.34% | 18.39% | 12.86% |
without sales charge | 40.40% | 19.80% | 13.53% |
Class C shares | |||
with applicable redemption charge † | 38.37% | 18.90% | 12.68% |
without redemption | 39.37% | 18.90% | 12.68% |
Class I shares | 40.76% | 20.11% | 13.81% |
S&P 500® Index | 42.90% | 18.92% | 16.20% |
† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to www.im.bnymellon.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund’s performance shown in the table takes into account all other applicable fees and expenses on all classes.
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Tax Managed Growth Fund from May 1, 2021 to October 31, 2021. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment |
| ||||
Assume actual returns for the six months ended October 31, 2021 |
| ||||
|
|
|
|
|
|
|
| Class A | Class C | Class I |
|
Expenses paid per $1,000† | $6.40 | $10.38 | $5.07 |
| |
Ending value (after expenses) | $1,116.10 | $1,112.00 | $1,117.80 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| ||||
Assuming a hypothetical 5% annualized return for the six months ended October 31, 2021 |
| ||||
|
|
|
|
|
|
|
| Class A | Class C | Class I |
|
Expenses paid per $1,000† | $6.11 | $9.91 | $4.84 |
| |
Ending value (after expenses) | $1,019.16 | $1,015.38 | $1,020.42 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of 1.20% for Class A, 1.95% for Class C and .95% for Class I, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
7
STATEMENT OF INVESTMENTS
October 31, 2021
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% | |||||||
Banks - 2.4% | |||||||
JPMorgan Chase & Co. | 22,515 | 3,825,073 | |||||
Capital Goods - 1.0% | |||||||
Otis Worldwide | 6,315 | 507,158 | |||||
Raytheon Technologies | 12,130 | 1,077,872 | |||||
1,585,030 | |||||||
Commercial & Professional Services - 1.8% | |||||||
Clarivate | 19,200 | a | 450,240 | ||||
IHS Markit | 8,000 | 1,045,760 | |||||
Verisk Analytics | 6,690 | 1,406,706 | |||||
2,902,706 | |||||||
Consumer Durables & Apparel - 1.5% | |||||||
NIKE, Cl. B | 14,545 | 2,433,233 | |||||
Consumer Services - 3.3% | |||||||
Marriott International, Cl. A | 13,200 | a | 2,112,264 | ||||
McDonald's | 12,865 | 3,159,001 | |||||
5,271,265 | |||||||
Diversified Financials - 6.3% | |||||||
BlackRock | 5,560 | 5,245,638 | |||||
Intercontinental Exchange | 21,765 | 3,013,582 | |||||
S&P Global | 4,000 | 1,896,640 | |||||
10,155,860 | |||||||
Energy - 1.2% | |||||||
Chevron | 17,315 | 1,982,394 | |||||
Food, Beverage & Tobacco - 7.7% | |||||||
Altria Group | 26,515 | 1,169,577 | |||||
Nestle, ADR | 23,485 | 3,095,793 | |||||
PepsiCo | 15,770 | 2,548,432 | |||||
Philip Morris International | 29,380 | 2,777,585 | |||||
The Coca-Cola Company | 48,205 | 2,717,316 | |||||
12,308,703 | |||||||
Health Care Equipment & Services - 7.2% | |||||||
Abbott Laboratories | 29,980 | 3,864,122 | |||||
Intuitive Surgical | 5,550 | a | 2,004,271 | ||||
Masimo | 4,400 | a | 1,247,576 | ||||
UnitedHealth Group | 9,525 | 4,385,977 | |||||
11,501,946 | |||||||
Household & Personal Products - 4.5% | |||||||
The Estee Lauder Companies, Cl. A | 22,325 | 7,240,667 | |||||
Insurance - 1.5% | |||||||
The Progressive | 25,550 | 2,424,184 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.2% (continued) | |||||||
Materials - 3.1% | |||||||
Air Products & Chemicals | 11,685 | 3,503,280 | |||||
The Sherwin-Williams Company | 4,850 | 1,535,559 | |||||
5,038,839 | |||||||
Media & Entertainment - 14.0% | |||||||
Alphabet, Cl. C | 3,403 | a | 10,091,290 | ||||
Comcast, Cl. A | 51,595 | 2,653,531 | |||||
Meta Platforms | 24,040 | a | 7,778,623 | ||||
Netflix | 1,400 | a | 966,434 | ||||
The Walt Disney Company | 5,472 | a | 925,151 | ||||
22,415,029 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 3.1% | |||||||
Novo Nordisk, ADR | 35,980 | 3,962,477 | |||||
Zoetis | 4,500 | 972,900 | |||||
4,935,377 | |||||||
Retailing - 4.6% | |||||||
Amazon.com | 2,200 | a | 7,419,346 | ||||
Semiconductors & Semiconductor Equipment - 8.1% | |||||||
ASML Holding | 8,045 | 6,539,620 | |||||
Texas Instruments | 34,330 | 6,436,188 | |||||
12,975,808 | |||||||
Software & Services - 17.9% | |||||||
Adobe | 3,700 | a | 2,406,332 | ||||
Automatic Data Processing | 4,815 | 1,080,919 | |||||
Gartner | 2,150 | a | 713,607 | ||||
Intuit | 4,550 | 2,848,255 | |||||
Mastercard, Cl. A | 4,050 | 1,358,856 | |||||
Microsoft | 43,905 | 14,559,776 | |||||
ServiceNow | 950 | a | 662,872 | ||||
Visa, Cl. A | 23,500 | b | 4,976,595 | ||||
28,607,212 | |||||||
Technology Hardware & Equipment - 7.3% | |||||||
Apple | 77,740 | 11,645,452 | |||||
Transportation - 2.7% | |||||||
Canadian Pacific Railway | 41,675 | b | 3,225,645 | ||||
Union Pacific | 4,275 | 1,031,985 | |||||
4,257,630 | |||||||
Total Common Stocks (cost $47,730,266) | 158,925,754 |
9
STATEMENT OF INVESTMENTS (continued)
Description | 1-Day | Shares | Value ($) | ||||
Investment Companies - .7% | |||||||
Registered Investment Companies - .7% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.06 | 1,160,287 | c | 1,160,287 | |||
Investment of Cash Collateral for Securities Loaned - 2.1% | |||||||
Registered Investment Companies - 2.1% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 0.02 | 3,259,382 | c | 3,259,382 | |||
Total Investments (cost $52,149,935) | 102.0% | 163,345,423 | |||||
Liabilities, Less Cash and Receivables | (2.0%) | (3,179,365) | |||||
Net Assets | 100.0% | 160,166,058 |
ADR—American Depository Receipt
a Non-income producing security.
b Security, or portion thereof, on loan. At October 31, 2021, the value of the fund’s securities on loan was $8,120,198 and the value of the collateral was $8,239,021, consisting of cash collateral of $3,259,382 and U.S. Government & Agency securities valued at $4,979,639. In addition, the value of collateral may include pending sales that are also on loan.
c Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited) † | Value (%) |
Information Technology | 33.2 |
Communication Services | 14.0 |
Consumer Staples | 12.2 |
Health Care | 10.3 |
Financials | 10.2 |
Consumer Discretionary | 9.4 |
Industrials | 5.5 |
Materials | 3.2 |
Investment Companies | 2.8 |
Energy | 1.2 |
102.0 |
† Based on net assets.
See notes to financial statements.
10
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Investment Companies | Value | Purchases($)† | Sales ($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 1,325,484 | 9,669,882 | (9,835,079) | 1,160,287 | .7 | 720 |
Investment of Cash Collateral | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | - | 10,837,679 | (7,578,297) | 3,259,382 | 2.1 | 8,100†† |
Total | 1,325,484 | 20,507,561 | (17,413,376) | 4,419,669 | 2.8 | 8,820 |
† Includes reinvested dividends/distributions.
†† Represents securities lending income earned from reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.
See notes to financial statements.
11
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2021
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 47,730,266 |
| 158,925,754 |
| ||
Affiliated issuers |
| 4,419,669 |
| 4,419,669 |
| |
Cash |
|
|
|
| 22,515 |
|
Receivable for shares of Common Stock subscribed |
| 78,000 |
| |||
Dividends and securities lending income receivable |
| 75,915 |
| |||
Tax reclaim receivable—Note 1(b) |
| 60,623 |
| |||
|
|
|
|
| 163,582,476 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c) |
| 153,687 |
| |||
Liability for securities on loan—Note 1(c) |
| 3,259,382 |
| |||
Directors’ fees and expenses payable |
| 2,588 |
| |||
Payable for shares of Common Stock redeemed |
| 761 |
| |||
|
|
|
|
| 3,416,418 |
|
Net Assets ($) |
|
| 160,166,058 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 42,792,640 |
|
Total distributable earnings (loss) |
|
|
|
| 117,373,418 |
|
Net Assets ($) |
|
| 160,166,058 |
|
Net Asset Value Per Share | Class A | Class C | Class I |
|
Net Assets ($) | 128,511,538 | 5,963,428 | 25,691,092 |
|
Shares Outstanding | 2,888,533 | 145,838 | 575,393 |
|
Net Asset Value Per Share ($) | 44.49 | 40.89 | 44.65 |
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
12
STATEMENT OF OPERATIONS
Year Ended October 31, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $35,190 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 1,866,266 |
| ||
Affiliated issuers |
|
| 720 |
| ||
Income from securities lending—Note 1(c) |
|
| 8,100 |
| ||
Total Income |
|
| 1,875,086 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,348,945 |
| ||
Distribution/Service Plan fees—Note 3(b) |
|
| 358,570 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 11,406 |
| ||
Loan commitment fees—Note 2 |
|
| 2,517 |
| ||
Total Expenses |
|
| 1,721,438 |
| ||
Less—Directors’ fees reimbursed by |
|
| (11,406) |
| ||
Net Expenses |
|
| 1,710,032 |
| ||
Investment Income—Net |
|
| 165,054 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 6,218,285 |
| ||||
Net change in unrealized appreciation (depreciation) on investments | 40,214,923 |
| ||||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 46,433,208 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 46,598,262 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
13
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2021 |
| 2020 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 165,054 |
|
|
| 581,491 |
| |
Net realized gain (loss) on investments |
| 6,218,285 |
|
|
| 7,946,275 |
| ||
Net change in unrealized appreciation |
| 40,214,923 |
|
|
| 8,435,927 |
| ||
Net Increase (Decrease) in Net Assets | 46,598,262 |
|
|
| 16,963,693 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Class A |
|
| (6,235,634) |
|
|
| (4,229,608) |
| |
Class C |
|
| (797,636) |
|
|
| (574,454) |
| |
Class I |
|
| (1,172,400) |
|
|
| (746,136) |
| |
Total Distributions |
|
| (8,205,670) |
|
|
| (5,550,198) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 11,674,318 |
|
|
| 5,264,132 |
| |
Class C |
|
| 770,673 |
|
|
| 788,962 |
| |
Class I |
|
| 5,183,820 |
|
|
| 2,944,284 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 5,277,331 |
|
|
| 3,617,590 |
| |
Class C |
|
| 797,096 |
|
|
| 494,486 |
| |
Class I |
|
| 1,104,596 |
|
|
| 675,433 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (9,594,249) |
|
|
| (10,048,762) |
| |
Class C |
|
| (8,611,137) |
|
|
| (3,469,768) |
| |
Class I |
|
| (2,355,255) |
|
|
| (2,931,130) |
| |
Increase (Decrease) in Net Assets | 4,247,193 |
|
|
| (2,664,773) |
| |||
Total Increase (Decrease) in Net Assets | 42,639,785 |
|
|
| 8,748,722 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 117,526,273 |
|
|
| 108,777,551 |
| |
End of Period |
|
| 160,166,058 |
|
|
| 117,526,273 |
|
14
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2021 |
| 2020 |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 310,318 |
|
|
| 164,951 |
| |
Shares issued for distributions reinvested |
|
| 149,137 |
|
|
| 119,268 |
| |
Shares redeemed |
|
| (248,539) |
|
|
| (326,888) |
| |
Net Increase (Decrease) in Shares Outstanding | 210,916 |
|
|
| (42,669) |
| |||
Class Ca,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 20,930 |
|
|
| 27,662 |
| |
Shares issued for distributions reinvested |
|
| 24,436 |
|
|
| 17,510 |
| |
Shares redeemed |
|
| (251,332) |
|
|
| (115,592) |
| |
Net Increase (Decrease) in Shares Outstanding | (205,966) |
|
|
| (70,420) |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 132,614 |
|
|
| 92,638 |
| |
Shares issued for distributions reinvested |
|
| 31,039 |
|
|
| 22,203 |
| |
Shares redeemed |
|
| (60,634) |
|
|
| (98,508) |
| |
Net Increase (Decrease) in Shares Outstanding | 103,019 |
|
|
| 16,333 |
| |||
|
|
|
|
|
|
|
|
|
|
a | During the period ended October 31, 2021, 7,212 Class C shares representing $253,319 were automatically converted to 6,649 Class A shares and during the period ended October 31, 2020, 1,545 Class C shares representing $45,212 were automatically converted to 1,439 Class A shares. | ||||||||
b | During the period ended October 31, 2020, 679 Class C shares representing $19,330 were exchanged for 631 Class I shares. | ||||||||
See notes to financial statements. |
15
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s financial statements.
Class A Shares | Year Ended October 31, | ||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Per Share Data ($): | |||||||
Net asset value, beginning of period | 33.79 | 30.45 | 29.35 | 29.44 | 24.06 | ||
Investment Operations: | |||||||
Investment income—neta | .05 | .18 | .26 | .24 | .24 | ||
Net realized and unrealized | 12.99 | 4.72 | 3.85 | 1.25 | 5.39 | ||
Total from Investment Operations | 13.04 | 4.90 | 4.11 | 1.49 | 5.63 | ||
Distributions: | |||||||
Dividends from | (.06) | (.22) | (.30) | (.23) | (.24) | ||
Dividends from net realized | (2.28) | (1.34) | (2.71) | (1.35) | (.01) | ||
Total Distributions | (2.34) | (1.56) | (3.01) | (1.58) | (.25) | ||
Net asset value, end of period | 44.49 | 33.79 | 30.45 | 29.35 | 29.44 | ||
Total Return (%)b | 40.40 | 16.73 | 15.88 | 5.19 | 23.55 | ||
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | 1.21 | 1.21 | 1.21 | 1.26 | 1.36 | ||
Ratio of net expenses | 1.20 | 1.20 | 1.20 | 1.25 | 1.35 | ||
Ratio of net investment income | .12 | .56 | .92 | .82 | .91 | ||
Portfolio Turnover Rate | 4.27 | 9.68 | 2.69 | 5.63 | 1.14 | ||
Net Assets, end of period ($ x 1,000) | 128,512 | 90,470 | 82,846 | 77,180 | 70,073 |
a Based on average shares outstanding.
b Exclusive of sales charge.
See notes to financial statements.
16
Class C Shares | Year Ended October 31, | ||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Per Share Data ($): | |||||||
Net asset value, beginning of period | 31.39 | 28.42 | 27.59 | 27.77 | 22.71 | ||
Investment Operations: | |||||||
Investment income (loss)—neta | (.19) | (.05) | .05 | .02 | .05 | ||
Net realized and unrealized | 11.97 | 4.39 | 3.58 | 1.18 | 5.07 | ||
Total from Investment Operations | 11.78 | 4.34 | 3.63 | 1.20 | 5.12 | ||
Distributions: | |||||||
Dividends from | - | (.03) | (.09) | (.03) | (.05) | ||
Dividends from net realized | (2.28) | (1.34) | (2.71) | (1.35) | (.01) | ||
Total Distributions | (2.28) | (1.37) | (2.80) | (1.38) | (.06) | ||
Net asset value, end of period | 40.89 | 31.39 | 28.42 | 27.59 | 27.77 | ||
Total Return (%)b | 39.37 | 15.83 | 15.01 | 4.41 | 22.58 | ||
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | 1.96 | 1.96 | 1.96 | 2.01 | 2.11 | ||
Ratio of net expenses | 1.95 | 1.95 | 1.95 | 2.00 | 2.10 | ||
Ratio of net investment income | (.55) | (.17) | .18 | .06 | .19 | ||
Portfolio Turnover Rate | 4.27 | 9.68 | 2.69 | 5.63 | 1.14 | ||
Net Assets, end of period ($ x 1,000) | 5,963 | 11,043 | 12,001 | 13,123 | 23,993 |
a Based on average shares outstanding.
b Exclusive of sales charge.
See notes to financial statements.
17
FINANCIAL HIGHLIGHTS (continued)
Class I Shares | Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 33.90 | 30.55 | 29.43 | 29.50 | 24.12 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .14 | .26 | .33 | .33 | .30 | |||||
Net realized and unrealized | 13.04 | 4.73 | 3.87 | 1.26 | 5.39 | |||||
Total from Investment Operations | 13.18 | 4.99 | 4.20 | 1.59 | 5.69 | |||||
Distributions: | ||||||||||
Dividends from | (.15) | (.30) | (.37) | (.31) | (.30) | |||||
Dividends from net realized | (2.28) | (1.34) | (2.71) | (1.35) | (.01) | |||||
Total Distributions | (2.43) | (1.64) | (3.08) | (1.66) | (.31) | |||||
Net asset value, end of period | 44.65 | 33.90 | 30.55 | 29.43 | 29.50 | |||||
Total Return (%) | 40.76 | 17.00 | 16.21 | 5.51 | 23.80 | |||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | .96 | .96 | .96 | 1.01 | 1.11 | |||||
Ratio of net expenses | .95 | .95 | .95 | 1.00 | 1.10 | |||||
Ratio of net investment income | .36 | .81 | 1.18 | 1.11 | 1.14 | |||||
Portfolio Turnover Rate | 4.27 | 9.68 | 2.69 | 5.63 | 1.14 | |||||
Net Assets, end of period ($ x 1,000) | 25,691 | 16,013 | 13,931 | 15,026 | 83,050 |
a Based on average shares outstanding.
See notes to financial statements.
18
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
BNY Mellon Tax Managed Growth Fund (the “fund”) is a separate diversified series of BNY Mellon Investment Funds IV, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering four series, including the fund. The fund’s investment objective is to seek long-term capital appreciation consistent with minimizing realized capital gains. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Fayez Sarofim & Co. (the “Sub-Adviser”), serves as the fund’s sub-investment adviser.
BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares. The fund is authorized to issue 600 million shares of $.001 par value Common Stock. The fund currently has authorized three classes of shares: Class A (300 million shares authorized), Class C (100 million shares authorized) and Class I (200 million shares authorized). Class A and Class C shares are sold primarily to retail investors through financial intermediaries and bear Distribution fees and/or Service Plan fees. Class A shares generally are subject to a sales charge imposed at the time of purchase. Class A shares bought without an initial sales charge as part of an investment of $1 million or more may be charged a contingent deferred sales charge (“CDSC”) of 1.00% if redeemed within one year. Class C shares are subject to a CDSC imposed on Class C shares redeemed within one year of purchase. Class C shares automatically convert to Class A shares eight years after the date of purchase, without the imposition of a sales charge. Class I shares are sold primarily to bank trust departments and other financial service providers (including The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, and its affiliates), acting on behalf of customers having a qualified trust or an investment account or relationship at such institution, and bear no Distribution or Service Plan fees. Class I shares are offered without a front-end sales charge or CDSC. Other differences between the classes include the services offered to and the expenses borne by each class, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
19
NOTES TO FINANCIAL STATEMENTS (continued)
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
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 Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: 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.
20
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 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. These securities are generally categorized within Level 2 of the fair value hierarchy.
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 ADRs 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 Company’s Board of Directors (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
21
NOTES TO FINANCIAL STATEMENTS (continued)
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.
The following is a summary of the inputs used as of October 31, 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:† | ||||||
Equity Securities - Common Stocks | 158,925,754 | - | - | 158,925,754 | ||
Investment Companies | 4,419,669 | - | - | 4,419,669 |
† See Statement of Investments for additional detailed categorizations, if any.
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund
22
and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of October 31, 2021, if any, are disclosed in the fund’s Statement of Assets and Liabilities.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, 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 the Adviser, 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. During the period ended October 31, 2021, The Bank of New York Mellon earned $1,089 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain
23
NOTES TO FINANCIAL STATEMENTS (continued)
events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net are normally declared and paid quarterly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2021, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended October 31, 2021, the fund did not incur any interest or penalties.
24
Each tax year in the four-year period ended October 31, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2021, the components of accumulated earnings on a tax basis were as follows: undistributed capital gains $6,177,930 and unrealized appreciation $111,195,488.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2021 and October 31, 2020 were as follows: ordinary income $255,421 and $750,190, and long-term capital gains $7,950,249 and $4,800,008, respectively.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended October 31, 2021, the fund did not borrow under the Facilities.
NOTE 3—Investment Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to an investment management agreement with the Adviser, the Adviser provides or arranges for one or more third parties and/or affiliates to provide investment management, administrative, custody, fund accounting and transfer agency services to the fund. The Adviser also directs the investments of the fund in accordance with its investment objective, policies and limitations. For these services, the fund is contractually obligated to pay the Adviser a fee, calculated daily and paid monthly, at the annual rate of .95% of the value of the fund’s average daily net assets. Out of its fee, the Adviser pays all of the expenses of the fund except brokerage fees, taxes, interest expenses, commitment fees on
25
NOTES TO FINANCIAL STATEMENTS (continued)
borrowings, Distribution Plan fees and Service Plan fees, fees and expenses of the non-interested Directors (including counsel fees) and extraordinary expenses. In addition, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2021, fees reimbursed by the Adviser amount to $11,406.
Pursuant to a sub-investment advisory agreement between the Adviser and the Sub-Adviser, the Adviser pays the Sub-Adviser a monthly fee at an annual rate of .2175% of the value of the fund’s average daily net assets.
During the period ended October 31, 2021, the Distributor retained $5,307 from commissions earned on sales of the fund’s Class A shares and $20 from CDSC fees on redemptions of the fund’s Class C shares.
(b) Under the Distribution Plans adopted pursuant to Rule 12b-1 (the “Distribution Plans”) under the Act, Class A shares pay annually up to .25% of the value of its average daily net assets to compensate the Distributor and its affiliates for shareholder servicing activities and expenses primarily intended to result in the sale of Class A shares. The Distributor may compensate Service Agents in respect of distribution-related services with regard to the fund and/or shareholder services to the Service Agents' clients that hold Class A shares. Class C shares pay the Distributor for distributing its shares at an aggregate annual rate of .75% of the value of the average daily net assets of Class C shares. The Distributor may pay one or more Service Agents for distribution-related services, and determines the amounts, if any, to be paid to Service Agents and the basis on which such payments are made. Class C shares are also subject to a service plan adopted pursuant to Rule 12b-1 (the “Service Plan”), under which Class C shares pay the Distributor for providing certain services to the holders of their shares, a fee at an annual rate of .25% of the value of the average daily net assets of Class C shares. Services include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund, and providing services related to the maintenance of shareholder accounts. The Distributor may make payments to certain Service Agents in respect of these services. During the period ended October 31, 2021, Class A and Class C shares were charged $283,084 and $56,615, respectively, pursuant to their Distribution Plans. During the period ended October 31, 2021, Class C shares were charged $18,871 pursuant to the Service Plan.
Under its terms, the Distribution Plans and Service Plan shall remain in effect from year to year, provided such continuance is approved annually by a vote of a majority of those Directors who are not “interested persons” of the Company and who have no direct or indirect financial interest in the
26
operation of or in any agreement related to the Distribution Plans or Service Plan.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $125,017, Distribution Plans fees of $30,122 and Service Plan fees of $1,209, which are offset against an expense reimbursement currently in effect in the amount of $2,661.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, during the period ended October 31, 2021, amounted to $5,954,699 and $9,603,930, respectively.
At October 31, 2021, the cost of investments for federal income tax purposes was $52,149,935; accordingly, accumulated net unrealized appreciation on investments was $111,195,488, consisting of $111,267,981 gross unrealized appreciation and $72,493 gross unrealized depreciation.
27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the fund and Board of Directors of
BNY Mellon Investment Funds IV, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of BNY Mellon Tax Managed Growth Fund (the “Fund”), a series of BNY Mellon Investment Funds IV, Inc., including the statement of investments, as of October 31, 2021, and the statement of investments in affiliated issuers as of and for the year then ended, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements), and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more BNY Mellon Investment Adviser, Inc. investment companies since 1994.
New York, New York
December 22, 2021
28
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund reports the maximum amount allowable, but not less than $255,421 as ordinary income dividends paid during the year ended October 31, 2021 as qualified dividend income in accordance with Section 854(b)(1)(B) of the Internal Revenue Code. Also, the fund reports the maximum amount allowable but not less than 100% of ordinary income dividends paid during the year ended October 31, 2021 as eligible for the corporate dividends received deduction provided under Section 243 of the Internal Revenue Code in accordance with Section 854(b)(1)(A) of the Internal Revenue Code. Shareholders will receive notification in early 2021 of the percentage applicable to the preparation of their 2021 income tax returns. Also, the fund reports the maximum amount allowable but not less than $2.2797 per share as a capital gain dividend in accordance with Section 852(b)(3)(C) of the Internal Revenue Code. Also, the fund reports the maximum amount allowable but not less than $.0018 as a short-term capital gain dividend paid on December 7, 2020 in accordance with Sections 871(k)(2) and 881(e) of the Internal Revenue Code.
29
BOARD MEMBERS INFORMATION (Unaudited)
Independent Board Members
Joseph S. DiMartino (78)
Chairman of the Board (1999)
Principal Occupation During Past 5 Years:
· Director or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (as described in the fund’s Statement of Additional Information) (1995-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (1997-Present)
No. of Portfolios for which Board Member Serves: 98
———————
Francine J. Bovich (70)
Board Member (2012)
Principal Occupation During Past 5 Years:
· The Bradley Trusts, private trust funds, Trustee (2011-Present)
Other Public Company Board Memberships During Past 5 Years:
· Annaly Capital Management, Inc., a real estate investment trust, Director (2014-Present)
No. of Portfolios for which Board Member Serves: 55
———————
Andrew J. Donohue (71)
Board Member (2019)
Principal Occupation During Past 5 Years:
· Attorney, Solo Law Practice (2019-Present)
· Shearman & Sterling LLP. a law firm, Of Counsel (2017-2019)
· Chief of Staff to the Chair of the SEC (2015-2017)
Other Public Company Board Memberships During Past 5 Years:
· Oppenheimer Funds (58 funds), Director (2017-2019)
No. of Portfolios for which Board Member Serves: 45
———————
30
Kenneth A. Himmel (75)
Board Member (1994)
Principal Occupation During Past 5 Years:
· Gulf Related, an international real estate development company, Managing Partner (2010-Present)
· Related Urban Development, a real estate development company, President and Chief Executive Officer (1996-Present)
· American Food Management, a restaurant company, Chief Executive Officer (1983-Present)
· Himmel & Company, a real estate development company, President and Chief Executive Officer (1980-Present)
No. of Portfolios for which Board Member Serves: 22
—————��—
Roslyn M. Watson (72)
Board Member (1994)
Principal Occupation During Past 5 Years:
· Watson Ventures, Inc., a real estate investment company, Principal (1993-Present)
Other Public Company Board Memberships During Past 5 Years:
· American Express Bank, FSB, Director (1993-2018)
No. of Portfolios for which Board Member Serves: 45
———————
Benaree Pratt Wiley (75)
Board Member (1998)
Principal Occupation During Past 5 Years:
· The Wiley Group, a firm specializing in strategy and business development, Principal (2005-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (2008-Present)
· Blue Cross-Blue Shield of Massachusetts, Director (2004-2020)
No. of Portfolios for which Board Member Serves: 63
———————
31
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Interested Board Member
Bradley Skapyak (62)
Board Member (2021)
Principal Occupation During Past 5 Years:
· Chief Operating Officer and Director of Dreyfus (2009-2019)
· Chief Executive Officer and Director of the Distributor (2016-2019)
· Chairman and Director of the Transfer Agent (2011-2019)
· Senior Vice President of the Custodian (2007-2019)
No. of Portfolios for which Board Member Serves: 22
Mr. Skapyak is deemed to be an Interested Board Member of the funds as a result of his ownership of unvested restricted stock units of BNY Mellon.
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street, New York, New York 10286. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from the Adviser free of charge by calling this toll free number: 1-800-373-9387.
James M. Fitzgibbons, Emeritus Board Member
Stephen J. Lockwood, Emeritus Board Member
32
OFFICERS OF THE FUND (Unaudited)
DAVID DIPETRILLO, President since January 2021.
Vice President and Director of the Adviser since February 2021; Head of North America Product, BNY Mellon Investment Management since January 2018; Director of Product Strategy, BNY Mellon Investment Management from January 2016 to December 2017. He is an officer of 57 investment companies (comprised of 107 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 43 years old and has been an employee of BNY Mellon since 2005.
JAMES WINDELS, Treasurer since November 2001.
Vice President of the Adviser since September 2020; Director - BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 63 years old and has been an employee of the Adviser since April 1985.
PETER M. SULLIVAN, Chief Legal Officer since July 2021 and Vice President and Assistant Secretary since March 2019.
Chief Legal Officer of the Adviser since July 2021, Associate General Counsel of BNY Mellon since July 2021; Senior Managing Counsel of BNY Mellon from December 2020 to July 2021; Managing Counsel of BNY Mellon from March 2009 to December 2020, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of BNY Mellon since April 2004.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Senior Managing Counsel of BNY Mellon since December 2019; Managing Counsel of BNY Mellon from April 2014 to December 2019; Secretary of the Adviser, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 55 years old and has been an employee of the Adviser since December 1996.
DEIRDRE CUNNANE, Vice President and Assistant Secretary since March 2019.
Counsel of BNY Mellon since August 2018; Senior Regulatory Specialist at BNY Mellon Investment Management Services from February 2016 to August 2018. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 31 years old and has been an employee of the Adviser since August 2018.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Vice President since February 2020 of BNY Mellon ETF Investment Adviser; LLC, Senior Managing Counsel of BNY Mellon since September 2021; Managing Counsel from December 2017 to September 2021; Senior Counsel of BNY Mellon from March 2013 to December 2017. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 46 years old and has been an employee of the Adviser since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 56 years old and has been an employee of the Adviser since October 1990.
AMANDA QUINN, Vice President and Assistant Secretary since March 2020.
Counsel of BNY Mellon since June 2019; Regulatory Administration Manager at BNY Mellon Investment Management Services from September 2018 to May 2019; Senior Regulatory Specialist at BNY Mellon Investment Management Services from April 2015 to August 2018. She is an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of the Adviser since June 2019.
33
OFFICERS OF THE FUND (Unaudited) (continued)
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Chief Compliance Officer since August 2021 and Vice President since February 2020 of BNY Mellon ETF Investment Adviser, LLC; Chief Compliance Officer since August 2021 and Vice President and Assistant Secretary since February 2020 of BNY Mellon ETF Trust; Managing Counsel from December 2019 to August 2021 of BNY Mellon; Counsel from May 2016 to December 2019 of BNY Mellon; Assistant Secretary of the Adviser from April 2018 to August 2021. She is an officer of 57 investment companies (comprised of 128 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of BNY Mellon since May 2016.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager-BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of the Adviser since April 1991.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 58 investment companies (comprised of 129 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust since 2004, Chief Compliance Officer of the Adviser from 2004 until June 2021. He is an officer of 57 investment companies (comprised of 120 portfolios) managed by the Adviser. He is 64 years old.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust. She is an officer of 50 investment companies (comprised of 121 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 53 years old and has been an employee of the Distributor since 1997.
34
This page intentionally left blank.
35
This page intentionally left blank.
36
This page intentionally left blank.
37
BNY Mellon Tax Managed Growth Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Fayez Sarofim & Co.
Two Houston Center
Suite 2907
909 Fannin Street
Houston, TX 77010
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Ticker Symbols: | Class A: DTMGX Class C: DPTAX Class I: DPTRX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.im.bnymellon.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2021 BNY Mellon Securities Corporation |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that Joseph S. DiMartino, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. DiMartino is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $108,380 in 2020 and $108,380 in 2021.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $15,630 in 2020 and $15,630 in 2021. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2020 and $0 in 2021.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $0 in 2020 and $0 in 2021. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iii) determination of Passive Foreign Investment. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2020 and $0 in 2021.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $0 in 2020 and $0 in 2021.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2020 and $0 in 2021.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note. None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $3,624,805 in 2020 and $3,624,805 in 2021.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures applicable to Item 10.
Item 11. | Controls and Procedures. |
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) Code of ethics referred to in Item 2.
(a)(3) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
BNY Mellon Investment Funds IV, Inc.
By: /s/ David DiPetrillo
David DiPetrillo
President (Principal Executive Officer)
Date: December 17, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ David DiPetrillo
David DiPetrillo
President (Principal Executive Officer)
Date: December 17, 2021
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: December 17, 2021
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)