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 | 811-07123 | |||||
BNY Mellon Advantage Funds, 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) | ||||||
Bennett A. MacDougall, 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: | 04/30/2021
| |||||
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 Dynamic Total Return Fund
BNY Mellon Global Dynamic Bond Income Fund
BNY Mellon Global Real Return Fund
BNY Mellon Sustainable Balanced Fund
FORM N-CSR
Item 1. | Reports to Stockholders. |
BNY Mellon Dynamic Total Return Fund
SEMIANNUAL REPORT April 30, 2021 |
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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
Consolidated Statement of Forward | |
Information About the Renewal |
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through April 30, 2021, as provided by portfolio managers Vassilis Dagioglu, James Stavena, Torrey Zaches and Dimitri Curtil of Mellon Investments Corporation, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period from November 1, 2020 to April 30, 2021, the BNY Mellon Dynamic Total Return Fund’s Class A shares produced a total return of 6.83%, Class C shares returned 6.43%, Class I shares returned 6.95% and Class Y shares returned 6.90%.1 In comparison, the FTSE Three-Month U.S. Treasury Bill Index, the MSCI World Index, and an index comprised of 60% MSCI World Index and 40% FTSE World Government Bond Index (the “Hybrid Index”) returned 0.04%, 29.10% and 15.98%, respectively.2,3,4,5
The main events during the period were the steady rise in both inflation expectations and bond yields across the developed bond markets, as well as the success of the COVID-19 vaccination program. The fund navigated these events reasonably well. However, with its long position in long-dated bonds, it was a given that higher rates would detract from performance.
The Fund’s Investment Approach
The fund seeks total return. To pursue its goal, the fund normally invests in instruments that provide investment exposure to global equity, bond, currency and commodity markets, and in fixed-income securities. The fund may invest in instruments that provide economic exposure to developed and, to a limited extent, emerging-debt and equity markets.
The fund will seek to achieve investment exposure primarily through long and short positions in futures, options, forward contracts, swap agreements or exchange-traded funds (ETFs) and normally will use economic leverage as part of its investment strategy. The fund also may invest in fixed-income securities, such as bonds, notes (including structured notes) and money market instruments, including foreign government obligations and securities of supranational entities, to provide exposure to bond markets and for liquidity and income, as well as hold cash.
The fund’s portfolio managers apply a systematic investment approach designed to identify and exploit relative misvaluations across and within global capital markets. The portfolio managers update, monitor and follow buy or sell recommendations using proprietary investment models. Among equity markets, the portfolio managers employ a bottom-up valuation approach using proprietary models to derive market-level expected returns. For bond markets, the portfolio managers use proprietary models to identify temporary mispricing among global bond markets. For currency markets, the portfolio managers evaluate currencies on a relative valuation basis and overweight exposure to currencies that are undervalued. For commodities, the portfolio managers seek to identify opportunities in commodity markets by measuring and evaluating inventory and term structure, hedging and speculative activity, as well as momentum.
Equity Rally Continues Despite Inflation Scare
The yield curve steepened significantly during the reporting period in response to economic recovery and concerns about inflation. The 10-year Treasury started the period with a yield
2
of 0.87% and ended at 1.65%, an increase of 0.78% in just six months. The return to the Bloomberg Barclays Long-dated Treasury Index was -12.37% over that period. This was just the fourth time the 10-year Treasury has suffered a drawdown of this magnitude since the recession of 2003.
Over the same period, U.S. equities were up by roughly an equivalent amount. The S&P 500 Index rose 13.12%, signaling that the economic restart was beginning to take hold, and that the “winners” during the pandemic had done reasonably well. The FAANG stocks (Facebook, Apple, Amazon, Netflix and Google) all delivered quarterly earnings growth of 20% or more.
The top five companies in the S&P 500 by market capitalization are tech companies and comprise more than 20% of the market. These companies are now delivering impressive top line growth and strong earnings as well. For example, Amazon more than doubled its annual earnings, and net sales increased 44%. Global equity markets also rose significantly during the period, up from the doldrums of the pandemic, with the MSCI World Index returning 29.39%.
Nevertheless, with the U.S. economy not yet fully recovered, the U.S. Federal Reserve (the “Fed”) announced in August 2020 a change in its approach to managing inflation. Fed officials said they would allow an average target of 2%, meaning inflation above that figure would be tolerated “for some time.” In response, the market reacted with higher inflation expectations of around 2.3%.
Equities Dominate While Bonds Detract
The fund delivered a strong positive total return during the reporting period. Equity markets recovered quite quickly in the fourth quarter of 2020, and the fund posted positive returns in response to this recovery. As the U.S. election neared in early November 2020, and vaccines were announced but not yet approved, the fund took a cautious approach, maintaining a lower exposure to growth assets, at 43%. As the recovery continued, the fund added more risk, increasing this exposure to 53%.
The strong return to equities more than offset the fund’s negative returns from bonds. In U.S. equities, fund returns were strong (+5.50%), while U.S. Treasury bonds detracted
(-3.10%). Meanwhile in the UK, the long and short exposure to equities was strongly positive (+4.40%) as was the short position in UK Gilts (+2.48%). The other top contributor was a long Canadian equities position (+1.81%), and the other top detractor was a long position in Australian government bonds (-3.44%).
Among the other strategies, most were positive contributors over the period, with the exception of the active currency strategy (-1.52%). The active commodity strategy (+0.59%), small cap (+0.27%), U.S. high yield (+0.66%) and emerging market equities (+0.30%) were up during the period.
The story, however, is the equities recovery from the bottom in April 2020 to record levels in early 2021. On their own, all the equities positions combined contributed well over 10% during the period, with the overweight position in U.S. equities the most significant positive contribution.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Over this period, we trailed the fund’s reference indexes, with the MSCI World Index gaining 29.39% and the Hybrid Index rising 15.98%. We lagged in large part due to our cautious approach to growth and equities positioning during the equities markets’ recovery. We felt this was warranted given the uncertainty surrounding the global pandemic, the new vaccines and the virus variants. We also felt that although the recovery would continue, inflation would require significant time to rise above the Fed’s 2% target and remain there.
Looking Forward: Stimulus Continues
The COVID-19 relief bill of $1.9 trillion will likely go down as very effective at reducing the negative consequences of the global pandemic and associated shutdown. Never before has direct aid in the form of checks been used as a stimulus and as aid to the most needy. Looking ahead, although President Biden and Congress continue to debate an infrastructure bill, the size is likely to be between $1 trillion to $2.3 trillion, providing a significant boost to aging infrastructure in the U.S.
We anticipate that the economic recovery will continue, and that corporate earnings will continue to rebound. The consensus forecast is for 25% earnings growth in aggregate for the S&P 500 index for calendar year 2021. The global pandemic has been a roller coaster for many, but with strong economic growth and earnings in 2021, we are very positive on future growth prospects. Outside the U.S., we believe that countries with either aggressive lockdowns and/or aggressive vaccination programs will be able to reopen throughout the summer and fall of 2021.
However, we do not forecast runaway inflation anytime soon. Regarding higher inflation, the market should take the view that “we will believe it when we see it.” We have been on this journey before, and, in fact, after the Global Financial Crisis of 2008-09, many observers anticipated higher inflation, given the significant monetary stimulus. But inflation lingered at or below the 2% target. Although we do not anticipate runaway inflation in 2021, we do expect it to be above 2%. Nevertheless, we continue to closely monitor it and the knock-on effects to the equity/bond correlation.
We believe the fund continues to play a useful role in investor portfolios, striking a balance between risky, growth exposure designed to provide positive returns and less risky positions designed to preserve capital and avoid losses during crises. We look forward to the
4
remaining months of 2021 to both add returns in times of growth and preserve capital during potential shocks.
May 17, 2021
1 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. Share price, yield and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. Past performance is no guarantee of future results. The fund’s returns reflect the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect through March 1, 2022, at which time it may be extended, terminated, or modified.
2 Source: Lipper Inc. — Reflects reinvestment of net dividends and, where applicable, capital gain distributions. The MSCI World Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of developed markets. Investors cannot invest directly in any index.
3 Source: Lipper Inc. — The FTSE Three-Month U.S. Treasury Bill Index consists of the last three-month Treasury bill month-end rates. The FTSE Three-Month U.S. Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
4 Source: Lipper Inc. — The FTSE World Government Bond Index (the “WGB Index”) measures the performance of fixed-rate, local-currency, investment-grade sovereign bonds. The WGB Index is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. The WGB Index provides a broad benchmark for the global sovereign, fixed-income market. Investors cannot invest directly in any index.
5 Source: FactSet —The Hybrid Index is an unmanaged hybrid index composed of 60% MSCI World Index and 40% WGB Index. 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.
Bonds are subject generally to interest-rate, credit, liquidity, call, sector and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus.
Investing internationally involves special risks, including changes in currency exchange rates, political, economic, and social instability, a lack of comprehensive company information, differing auditing and legal standards and less market liquidity. These risks generally are greater with emerging-market countries than with more economically and politically established foreign countries.
Emerging markets tend to be more volatile than the markets of more mature economies and generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. The securities of companies located in emerging markets are often subject to rapid and large changes in price. An investment in this fund should be considered only as a supplement to a complete investment program for those investors willing to accept the greater risks associated with investing in emerging-market countries.
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.
Commodities contain heightened risk including market, political, regulatory, and natural conditions, and may not be appropriate for all investors. Derivatives and commodity-linked derivatives involve risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.
High yield bonds involve increased credit and liquidity risk than higher rated bonds and are considered speculative in terms of the issuer’s ability to pay interest and repay principal on a timely basis.
Short sales involve selling a security the portfolio does not own in anticipation that the security’s price will decline. Short sales may involve risk and leverage, and expose the portfolio to the risk that it will be required to buy the security sold short at a time when the security has appreciated in value, thus resulting in a loss.
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.
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 Dynamic Total Return Fund from November 1, 2020 to April 30, 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 |
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Assume actual returns for the six months ended April 30, 2021 |
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| Class A | Class C | Class I | Class Y |
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Expenses paid per $1,000† | $7.33 | $11.16 | $6.05 | $6.05 |
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Ending value (after expenses) | $1,068.30 | $1,064.30 | $1,069.50 | $1,069.00 |
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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 |
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Assuming a hypothetical 5% annualized return for the six months ended April 30, 2021 |
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| Class A | Class C | Class I | Class Y |
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Expenses paid per $1,000† | $7.15 | $10.89 | $5.91 | $5.91 |
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Ending value (after expenses) | $1,017.70 | $1,013.98 | $1,018.94 | $1,018.94 |
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† | Expenses are equal to the fund’s annualized expense ratio of 1.43% for Class A, 2.18% for Class C, 1.18% for Class I and 1.18% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6
CONSOLIDATED STATEMENT OF INVESTMENTS
April 30, 2021 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% | |||||||||
Aerospace & Defense - .3% | |||||||||
Hexcel, Sr. Unscd. Notes | 4.20 | 2/15/2027 | 70,000 | 74,333 | |||||
Hexcel, Sr. Unscd. Notes | 4.95 | 8/15/2025 | 50,000 | 54,598 | |||||
Howmet Aerospace, Sr. Unscd. Notes | 5.13 | 10/1/2024 | 215,000 | 235,963 | |||||
Howmet Aerospace, Sr. Unscd. Notes | 5.90 | 2/1/2027 | 110,000 | 127,050 | |||||
Howmet Aerospace, Sr. Unscd. Notes | 5.95 | 2/1/2037 | 120,000 | 144,324 | |||||
Howmet Aerospace, Sr. Unscd. Notes | 6.75 | 1/15/2028 | 60,000 | 72,000 | |||||
Howmet Aerospace, Sr. Unscd. Notes | 6.88 | 5/1/2025 | 190,000 | 220,637 | |||||
Rolls-Royce, Gtd. Bonds | 3.63 | 10/14/2025 | 140,000 | a | 141,550 | ||||
Spirit Aerosystems, Gtd. Notes | 3.95 | 6/15/2023 | 20,000 | 19,863 | |||||
Spirit Aerosystems, Gtd. Notes | 4.60 | 6/15/2028 | 75,000 | 73,485 | |||||
Spirit Aerosystems, Sr. Scd. Notes | 3.85 | 6/15/2026 | 35,000 | 36,247 | |||||
1,200,050 | |||||||||
Airlines - .4% | |||||||||
American Airlines Pass Through Trust, Ser. 2013-1, Cl. A | 4.00 | 7/15/2025 | 72,113 | 67,072 | |||||
American Airlines Pass Through Trust, Ser. 2013-2, Cl. A | 4.95 | 1/15/2023 | 211,540 | 213,816 | |||||
American Airlines Pass Through Trust, Ser. 2014-1, Cl. A | 3.70 | 10/1/2026 | 133,445 | 132,491 | |||||
American Airlines Pass Through Trust, Ser. 2015-1, Cl. A | 3.38 | 5/1/2027 | 158,473 | 156,476 | |||||
American Airlines Pass Through Trust, Ser. 2016-2, Cl. A | 3.65 | 6/15/2028 | 36,427 | 35,170 | |||||
Delta Air Lines, Sr. Unscd. Notes | 2.90 | 10/28/2024 | 140,000 | 141,306 | |||||
Delta Air Lines, Sr. Unscd. Notes | 3.75 | 10/28/2029 | 115,000 | 114,657 | |||||
Delta Air Lines, Sr. Unscd. Notes | 3.80 | 4/19/2023 | 85,000 | 87,488 | |||||
Delta Air Lines, Sr. Unscd. Notes | 4.38 | 4/19/2028 | 95,000 | 101,009 | |||||
Hawaiian Airlines Pass Through Certificates, Ser. 2013-1A, Cl. A | 3.90 | 1/15/2026 | 44,317 | 43,561 | |||||
U.S. Airways Pass Through Trust, Ser. 2012-2, Cl. A | 4.63 | 6/3/2025 | 52,624 | 52,094 | |||||
U.S. Airways Pass Through Trust, Ser. 2013-1, Cl. A | 3.95 | 11/15/2025 | 89,409 | 89,028 | |||||
UAL Pass Through Trust, Ser. 2007-1, Cl. 071A | 6.64 | 7/2/2022 | 24,153 | 24,998 | |||||
1,259,166 | |||||||||
Automobiles & Components - .2% | |||||||||
Ford Holdings, Gtd. Debs. | 9.30 | 3/1/2030 | 20,000 | 26,710 | |||||
Ford Motor, Sr. Unscd. Bonds | 6.63 | 10/1/2028 | 25,000 | 29,394 | |||||
Ford Motor, Sr. Unscd. Debs. | 7.40 | 11/1/2046 | 20,000 | 24,917 | |||||
Ford Motor, Sr. Unscd. Notes | 4.35 | 12/8/2026 | 5,000 | 5,294 | |||||
Ford Motor, Sr. Unscd. Notes | 4.75 | 1/15/2043 | 30,000 | 30,298 |
7
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Automobiles & Components - .2% (continued) | |||||||||
Ford Motor, Sr. Unscd. Notes | 5.29 | 12/8/2046 | 50,000 | 52,765 | |||||
Ford Motor, Sr. Unscd. Notes | 7.45 | 7/16/2031 | 25,000 | 32,206 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 3.09 | 1/9/2023 | 50,000 | 51,010 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 3.10 | 5/4/2023 | 50,000 | 51,187 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 3.35 | 11/1/2022 | 15,000 | 15,372 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 3.55 | 10/7/2022 | 35,000 | 35,831 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.06 | 11/1/2024 | 30,000 | 31,623 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.13 | 8/4/2025 | 30,000 | 31,650 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.27 | 1/9/2027 | 35,000 | 36,819 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 4.54 | 8/1/2026 | 30,000 | 32,250 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 5.11 | 5/3/2029 | 50,000 | 54,703 | |||||
Ford Motor Credit, Sr. Unscd. Notes | 5.58 | 3/18/2024 | 5,000 | 5,459 | |||||
ZF North America Capital, Gtd. Notes | 4.75 | 4/29/2025 | 120,000 | a | 129,592 | ||||
677,080 | |||||||||
Banks - .1% | |||||||||
Commerzbank, Sub. Notes | 8.13 | 9/19/2023 | 140,000 | a | 160,556 | ||||
Dresdner Funding Trust I, Jr. Sub. Notes | 8.15 | 6/30/2031 | 50,000 | a | 71,331 | ||||
Intesa Sanpaolo, Sub. Notes | 5.02 | 6/26/2024 | 40,000 | a | 43,472 | ||||
UniCredit, Sub. Notes | 5.86 | 6/19/2032 | 90,000 | a | 99,883 | ||||
UniCredit, Sub. Notes | 7.30 | 4/2/2034 | 115,000 | a | 136,623 | ||||
511,865 | |||||||||
Chemicals - .1% | |||||||||
CF Industries, Gtd. Notes | 3.45 | 6/1/2023 | 30,000 | 31,415 | |||||
CF Industries, Gtd. Notes | 4.95 | 6/1/2043 | 95,000 | 110,942 | |||||
CF Industries, Gtd. Notes | 5.15 | 3/15/2034 | 35,000 | 41,059 | |||||
CF Industries, Gtd. Notes | 5.38 | 3/15/2044 | 92,000 | 112,652 | |||||
H.B. Fuller, Sr. Unscd. Notes | 4.00 | 2/15/2027 | 20,000 | 20,731 | |||||
Methanex, Sr. Unscd. Notes | 4.25 | 12/1/2024 | 25,000 | 26,406 | |||||
Methanex, Sr. Unscd. Notes | 5.25 | 12/15/2029 | 75,000 | 79,312 | |||||
Methanex, Sr. Unscd. Notes | 5.65 | 12/1/2044 | 65,000 | 66,285 | |||||
488,802 | |||||||||
Commercial & Professional Services - .1% | |||||||||
IHS Markit, Gtd. Notes | 4.00 | 3/1/2026 | 15,000 | a | 16,632 | ||||
IHS Markit, Gtd. Notes | 4.75 | 2/15/2025 | 65,000 | a | 73,070 | ||||
IHS Markit, Sr. Unscd. Notes | 4.13 | 8/1/2023 | 15,000 | 16,085 | |||||
IHS Markit, Sr. Unscd. Notes | 4.25 | 5/1/2029 | 90,000 | 102,078 | |||||
IHS Markit, Sr. Unscd. Notes | 4.75 | 8/1/2028 | 60,000 | 69,558 | |||||
North Queensland Export Terminal, Sr. Scd. Notes | 4.45 | 12/15/2022 | 55,000 | a | 51,817 | ||||
The ADT Security, Sr. Scd. Notes | 4.13 | 6/15/2023 | 20,000 | 20,973 | |||||
350,213 |
8
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Consumer Discretionary - .6% | |||||||||
Carnival, Gtd. Debs. | 6.65 | 1/15/2028 | 20,000 | 21,438 | |||||
Carnival, Sr. Scd. Notes | 11.50 | 4/1/2023 | 713,000 | a | 820,271 | ||||
Mattel, Sr. Unscd. Notes | 3.15 | 3/15/2023 | 15,000 | 15,433 | |||||
Mattel, Sr. Unscd. Notes | 5.45 | 11/1/2041 | 40,000 | 45,739 | |||||
Mattel, Sr. Unscd. Notes | 6.20 | 10/1/2040 | 30,000 | 36,525 | |||||
Royal Caribbean Cruises, Sr. Scd. Notes | 10.88 | 6/1/2023 | 160,000 | a | 183,880 | ||||
Royal Caribbean Cruises, Sr. Scd. Notes | 11.50 | 6/1/2025 | 402,000 | a | 466,195 | ||||
Royal Caribbean Cruises, Sr. Unscd. Debs. | 7.50 | 10/15/2027 | 55,000 | 65,021 | |||||
Royal Caribbean Cruises, Sr. Unscd. Notes | 3.70 | 3/15/2028 | 90,000 | 85,602 | |||||
Royal Caribbean Cruises, Sr. Unscd. Notes | 5.25 | 11/15/2022 | 120,000 | 123,434 | |||||
Silversea Cruise Finance, Sr. Scd. Notes | 7.25 | 2/1/2025 | 90,000 | a | 93,253 | ||||
Travel + Leisure, Sr. Scd. Notes | 3.90 | 3/1/2023 | 35,000 | 36,203 | |||||
Travel + Leisure, Sr. Scd. Notes | 5.65 | 4/1/2024 | 15,000 | 16,367 | |||||
Travel + Leisure, Sr. Scd. Notes | 6.60 | 10/1/2025 | 15,000 | 17,025 | |||||
2,026,386 | |||||||||
Consumer Durables & Apparel - .0% | |||||||||
Michael Kors USA, Gtd. Notes | 4.50 | 11/1/2024 | 65,000 | a | 68,941 | ||||
Under Armour, Sr. Unscd. Notes | 3.25 | 6/15/2026 | 25,000 | 25,438 | |||||
94,379 | |||||||||
Consumer Staples - .2% | |||||||||
Avon Products, Sr. Unscd. Notes | 6.50 | 3/15/2023 | 25,000 | 26,859 | |||||
Avon Products, Sr. Unscd. Notes | 8.45 | 3/15/2043 | 15,000 | 19,238 | |||||
Newell Brands, Sr. Unscd. Notes | 4.00 | 12/1/2024 | 25,000 | 26,781 | |||||
Newell Brands, Sr. Unscd. Notes | 4.35 | 4/1/2023 | 127,000 | 134,018 | |||||
Newell Brands, Sr. Unscd. Notes | 4.70 | 4/1/2026 | 244,000 | 272,365 | |||||
Newell Brands, Sr. Unscd. Notes | 5.88 | 4/1/2036 | 25,000 | 31,180 | |||||
Newell Brands, Sr. Unscd. Notes | 6.00 | 4/1/2046 | 60,000 | 76,782 | |||||
587,223 | |||||||||
Diversified Financials - .0% | |||||||||
Navient, Sr. Unscd. Notes | 5.63 | 8/1/2033 | 25,000 | 23,441 | |||||
Energy - 1.3% | |||||||||
Apache, Sr. Unscd. Notes | 4.25 | 1/15/2030 | 45,000 | 45,216 | |||||
Apache, Sr. Unscd. Notes | 4.25 | 1/15/2044 | 90,000 | 84,006 | |||||
Apache, Sr. Unscd. Notes | 4.38 | 10/15/2028 | 70,000 | 71,486 | |||||
Apache, Sr. Unscd. Notes | 4.75 | 4/15/2043 | 176,000 | 175,001 | |||||
Apache, Sr. Unscd. Notes | 5.10 | 9/1/2040 | 160,000 | 164,400 | |||||
Apache, Sr. Unscd. Notes | 5.25 | 2/1/2042 | 60,000 | 62,343 | |||||
Apache, Sr. Unscd. Notes | 5.35 | 7/1/2049 | 70,000 | 70,175 |
9
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Energy - 1.3% (continued) | |||||||||
Apache, Sr. Unscd. Notes | 6.00 | 1/15/2037 | 35,000 | 39,550 | |||||
Buckeye Partners, Sr. Unscd. Notes | 3.95 | 12/1/2026 | 65,000 | 65,081 | |||||
Buckeye Partners, Sr. Unscd. Notes | 4.13 | 12/1/2027 | 45,000 | 44,578 | |||||
Buckeye Partners, Sr. Unscd. Notes | 4.15 | 7/1/2023 | 55,000 | 57,097 | |||||
Buckeye Partners, Sr. Unscd. Notes | 4.35 | 10/15/2024 | 35,000 | 36,641 | |||||
Buckeye Partners, Sr. Unscd. Notes | 5.60 | 10/15/2044 | 30,000 | 28,931 | |||||
Buckeye Partners, Sr. Unscd. Notes | 5.85 | 11/15/2043 | 40,000 | 39,500 | |||||
Continental Resources, Gtd. Notes | 3.80 | 6/1/2024 | 135,000 | 141,581 | |||||
Continental Resources, Gtd. Notes | 4.38 | 1/15/2028 | 75,000 | 81,735 | |||||
Continental Resources, Gtd. Notes | 4.50 | 4/15/2023 | 81,000 | 85,159 | |||||
Continental Resources, Gtd. Notes | 4.90 | 6/1/2044 | 75,000 | 78,817 | |||||
DCP Midstream Operating, Gtd. Notes | 5.60 | 4/1/2044 | 50,000 | 51,500 | |||||
DCP Midstream Operating, Gtd. Notes | 6.45 | 11/3/2036 | 20,000 | 22,629 | |||||
DCP Midstream Operating, Gtd. Notes | 6.75 | 9/15/2037 | 30,000 | a | 34,800 | ||||
EnLink Midstream Partners, Sr. Unscd. Notes | 4.40 | 4/1/2024 | 15,000 | 15,415 | |||||
EnLink Midstream Partners, Sr. Unscd. Notes | 4.85 | 7/15/2026 | 5,000 | 5,056 | |||||
EnLink Midstream Partners, Sr. Unscd. Notes | 5.05 | 4/1/2045 | 30,000 | 24,750 | |||||
EnLink Midstream Partners, Sr. Unscd. Notes | 5.45 | 6/1/2047 | 50,000 | 42,195 | |||||
EnLink Midstream Partners, Sr. Unscd. Notes | 5.60 | 4/1/2044 | 15,000 | 13,002 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 4.00 | 8/1/2024 | 50,000 | 51,188 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 4.13 | 12/1/2026 | 75,000 | 75,867 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 4.75 | 7/15/2023 | 75,000 | 78,702 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 5.50 | 7/15/2028 | 120,000 | 127,614 | |||||
EQM Midstream Partners, Sr. Unscd. Notes | 6.50 | 7/15/2048 | 80,000 | 81,286 | |||||
EQT, Sr. Unscd. Notes | 3.00 | 10/1/2022 | 49,000 | 49,980 | |||||
EQT, Sr. Unscd. Notes | 3.90 | 10/1/2027 | 65,000 | 67,850 | |||||
EQT, Sr. Unscd. Notes | 7.63 | 2/1/2025 | 85,000 | 97,962 | |||||
EQT, Sr. Unscd. Notes | 8.50 | 2/1/2030 | 95,000 | 121,600 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 2.70 | 2/15/2023 | 14,000 | 14,065 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 2.70 | 8/15/2022 | 20,000 | 20,150 |
10
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Energy - 1.3% (continued) | |||||||||
Occidental Petroleum, Sr. Unscd. Notes | 2.90 | 8/15/2024 | 25,000 | 24,969 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 3.00 | 2/15/2027 | 10,000 | 9,565 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 3.20 | 8/15/2026 | 20,000 | 19,525 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 3.40 | 4/15/2026 | 5,000 | 4,951 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 3.50 | 8/15/2029 | 25,000 | 23,906 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 3.50 | 6/15/2025 | 15,000 | 15,094 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.10 | 2/15/2047 | 25,000 | 20,846 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.20 | 3/15/2048 | 20,000 | 16,879 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.30 | 8/15/2039 | 5,000 | 4,424 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.40 | 4/15/2046 | 30,000 | 26,488 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.40 | 8/15/2049 | 25,000 | 21,672 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.50 | 7/15/2044 | 15,000 | 13,438 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 4.63 | 6/15/2045 | 25,000 | 22,707 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 5.55 | 3/15/2026 | 10,000 | 10,750 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.20 | 3/15/2040 | 10,000 | 10,650 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.45 | 9/15/2036 | 20,000 | 22,750 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 6.60 | 3/15/2046 | 25,000 | 27,600 | |||||
Occidental Petroleum, Sr. Unscd. Notes | 7.50 | 5/1/2031 | 10,000 | 11,925 | |||||
Ovintiv, Gtd. Bonds | 7.20 | 11/1/2031 | 20,000 | 26,077 | |||||
Ovintiv, Gtd. Notes | 5.15 | 11/15/2041 | 20,000 | 21,114 | |||||
Ovintiv, Gtd. Notes | 6.50 | 2/1/2038 | 55,000 | 69,649 | |||||
Ovintiv, Gtd. Notes | 6.50 | 8/15/2034 | 65,000 | 83,034 | |||||
Ovintiv, Gtd. Notes | 6.63 | 8/15/2037 | 50,000 | 63,252 | |||||
Ovintiv, Gtd. Notes | 7.38 | 11/1/2031 | 45,000 | 59,519 | |||||
Ovintiv, Gtd. Notes | 8.13 | 9/15/2030 | 30,000 | 40,400 | |||||
Ovintiv Exploration, Gtd. Notes | 5.38 | 1/1/2026 | 50,000 | 56,057 | |||||
Ovintiv Exploration, Gtd. Notes | 5.63 | 7/1/2024 | 75,000 | 83,705 |
11
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Energy - 1.3% (continued) | |||||||||
Patterson-UTI Energy, Sr. Unscd. Notes | 3.95 | 2/1/2028 | 45,000 | 42,947 | |||||
Patterson-UTI Energy, Sr. Unscd. Notes | 5.15 | 11/15/2029 | 30,000 | 30,208 | |||||
Rockies Express Pipeline, Sr. Unscd. Notes | 3.60 | 5/15/2025 | 60,000 | a | 59,736 | ||||
Rockies Express Pipeline, Sr. Unscd. Notes | 4.80 | 5/15/2030 | 45,000 | a | 44,381 | ||||
Rockies Express Pipeline, Sr. Unscd. Notes | 4.95 | 7/15/2029 | 80,000 | a | 81,650 | ||||
Rockies Express Pipeline, Sr. Unscd. Notes | 6.88 | 4/15/2040 | 65,000 | a | 69,956 | ||||
Rockies Express Pipeline, Sr. Unscd. Notes | 7.50 | 7/15/2038 | 25,000 | a | 27,875 | ||||
Ruby Pipeline, Sr. Unscd. Notes | 8.00 | 4/1/2022 | 27,061 | a | 23,137 | ||||
Southeast Supply Header, Sr. Unscd. Notes | 4.25 | 6/15/2024 | 60,000 | a | 60,112 | ||||
Topaz Solar Farms, Sr. Scd. Notes | 5.75 | 9/30/2039 | 51,177 | a | 59,520 | ||||
Western Midstream Operating, Sr. Unscd. Notes | 3.95 | 6/1/2025 | 45,000 | 47,025 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.00 | 7/1/2022 | 70,000 | 71,794 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.35 | 2/1/2025 | 100,000 | 105,875 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.50 | 3/1/2028 | 50,000 | 53,375 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.65 | 7/1/2026 | 65,000 | 69,712 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 4.75 | 8/15/2028 | 50,000 | 53,875 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 5.30 | 2/1/2030 | 135,000 | 147,487 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 5.30 | 3/1/2048 | 80,000 | 82,292 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 5.45 | 4/1/2044 | 70,000 | 73,850 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 5.50 | 8/15/2048 | 20,000 | 20,500 | |||||
Western Midstream Operating, Sr. Unscd. Notes | 6.50 | 2/1/2050 | 125,000 | 141,595 | |||||
4,544,756 | |||||||||
Food Products - .2% | |||||||||
Kraft Heinz Foods, Gtd. Notes | 3.00 | 6/1/2026 | 86,000 | 90,995 | |||||
Kraft Heinz Foods, Gtd. Notes | 3.95 | 7/15/2025 | 70,000 | 77,581 | |||||
Kraft Heinz Foods, Gtd. Notes | 4.00 | 6/15/2023 | 30,000 | 32,013 | |||||
Kraft Heinz Foods, Gtd. Notes | 4.38 | 6/1/2046 | 110,000 | 118,135 |
12
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Food Products - .2% (continued) | |||||||||
Kraft Heinz Foods, Gtd. Notes | 4.63 | 1/30/2029 | 55,000 | 62,034 | |||||
Kraft Heinz Foods, Gtd. Notes | 5.00 | 7/15/2035 | 20,000 | 23,393 | |||||
Kraft Heinz Foods, Gtd. Notes | 5.00 | 6/4/2042 | 70,000 | 80,968 | |||||
Kraft Heinz Foods, Gtd. Notes | 5.20 | 7/15/2045 | 70,000 | 82,985 | |||||
Kraft Heinz Foods, Gtd. Notes | 6.50 | 2/9/2040 | 30,000 | 39,720 | |||||
Kraft Heinz Foods, Gtd. Notes | 6.88 | 1/26/2039 | 35,000 | 48,117 | |||||
Kraft Heinz Foods, Gtd. Notes | 7.13 | 8/1/2039 | 30,000 | a | 42,655 | ||||
Safeway, Sr. Unscd. Debs. | 7.25 | 2/1/2031 | 25,000 | 29,089 | |||||
727,685 | |||||||||
Health Care - .0% | |||||||||
HCA, Gtd. Bonds | 7.05 | 12/1/2027 | 5,000 | 6,045 | |||||
HCA, Gtd. Bonds | 8.36 | 4/15/2024 | 15,000 | 17,625 | |||||
HCA, Gtd. Notes | 7.50 | 11/15/2095 | 20,000 | 27,461 | |||||
Magellan Health, Sr. Unscd. Notes | 4.90 | 9/22/2024 | 25,000 | 27,328 | |||||
78,459 | |||||||||
Industrial - .1% | |||||||||
Fluor, Sr. Unscd. Notes | 3.50 | 12/15/2024 | 40,000 | 41,392 | |||||
Fluor, Sr. Unscd. Notes | 4.25 | 9/15/2028 | 45,000 | 46,454 | |||||
Hillenbrand, Gtd. Notes | 5.00 | 9/15/2026 | 75,000 | 83,344 | |||||
Trinity Industries, Gtd. Notes | 4.55 | 10/1/2024 | 25,000 | 26,469 | |||||
Xerox, Sr. Unscd. Notes | 3.80 | 5/15/2024 | 10,000 | 10,436 | |||||
Xerox, Sr. Unscd. Notes | 4.38 | 3/15/2023 | 30,000 | 31,478 | |||||
Xerox, Sr. Unscd. Notes | 4.80 | 3/1/2035 | 10,000 | 9,943 | |||||
Xerox, Sr. Unscd. Notes | 6.75 | 12/15/2039 | 15,000 | 16,650 | |||||
266,166 | |||||||||
Information Technology - .0% | |||||||||
CDK Global, Sr. Unscd. Notes | 5.00 | 10/15/2024 | 20,000 | 22,037 | |||||
Insurance - .0% | |||||||||
Liberty Mutual Group, Gtd. Bonds | 7.80 | 3/15/2037 | 35,000 | a | 45,428 | ||||
Materials - .0% | |||||||||
Crown Cork & Seal, Gtd. Debs. | 7.38 | 12/15/2026 | 10,000 | 12,186 | |||||
Pactiv, Sr. Unscd. Notes | 7.95 | 12/15/2025 | 20,000 | 22,300 | |||||
Sealed Air, Gtd. Notes | 6.88 | 7/15/2033 | 45,000 | a | 56,278 | ||||
90,764 | |||||||||
Media - .0% | |||||||||
Belo, Gtd. Debs. | 7.75 | 6/1/2027 | 15,000 | 17,760 | |||||
Liberty Interactive, Sr. Unscd. Debs. | 8.25 | 2/1/2030 | 10,000 | 11,558 | |||||
Liberty Interactive, Sr. Unscd. Debs. | 8.50 | 7/15/2029 | 15,000 | 17,228 | |||||
46,546 | |||||||||
Metals & Mining - .2% | |||||||||
Allegheny Ludlum, Gtd. Bonds | 6.95 | 12/15/2025 | 5,000 | 5,443 | |||||
Allegheny Technologies, Sr. Unscd. Notes | 7.88 | 8/15/2023 | 25,000 | 27,284 |
13
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Metals & Mining - ..2% (continued) | |||||||||
ArcelorMittal, Sr. Unscd. Notes | 3.60 | 7/16/2024 | 60,000 | 63,946 | |||||
ArcelorMittal, Sr. Unscd. Notes | 4.25 | 7/16/2029 | 46,000 | 50,047 | |||||
ArcelorMittal, Sr. Unscd. Notes | 4.55 | 3/11/2026 | 60,000 | 66,660 | |||||
ArcelorMittal, Sr. Unscd. Notes | 7.00 | 3/1/2041 | 85,000 | 118,182 | |||||
ArcelorMittal, Sr. Unscd. Notes | 7.25 | 10/15/2039 | 107,000 | 151,085 | |||||
Freeport-McMoRan, Gtd. Notes | 3.88 | 3/15/2023 | 20,000 | 20,927 | |||||
Freeport-McMoRan, Gtd. Notes | 4.55 | 11/14/2024 | 15,000 | 16,406 | |||||
Freeport-McMoRan, Gtd. Notes | 5.40 | 11/14/2034 | 25,000 | 30,133 | |||||
Freeport-McMoRan, Gtd. Notes | 5.45 | 3/15/2043 | 80,000 | 97,800 | |||||
647,913 | |||||||||
Real Estate - .3% | |||||||||
Diversified Healthcare Trust, Sr. Unscd. Notes | 4.75 | 5/1/2024 | 20,000 | 20,700 | |||||
Diversified Healthcare Trust, Sr. Unscd. Notes | 4.75 | 2/15/2028 | 55,000 | 55,120 | |||||
EPR Properties, Gtd. Notes | 4.50 | 6/1/2027 | 55,000 | 56,689 | |||||
EPR Properties, Gtd. Notes | 4.50 | 4/1/2025 | 55,000 | 57,920 | |||||
EPR Properties, Gtd. Notes | 4.75 | 12/15/2026 | 55,000 | 57,853 | |||||
EPR Properties, Gtd. Notes | 4.95 | 4/15/2028 | 60,000 | 62,788 | |||||
EPR Properties, Gtd. Notes | 5.25 | 7/15/2023 | 40,000 | 41,738 | |||||
EPR Properties, Sr. Unscd. Notes | 3.75 | 8/15/2029 | 75,000 | 73,012 | |||||
Mack-Cali Realty, Sr. Unscd. Notes | 3.15 | 5/15/2023 | 5,000 | 5,100 | |||||
Service Properties Trust, Sr. Unscd. Notes | 3.95 | 1/15/2028 | 60,000 | 55,613 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.35 | 10/1/2024 | 125,000 | 124,531 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.38 | 2/15/2030 | 60,000 | 55,946 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.50 | 3/15/2025 | 55,000 | 54,188 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.50 | 6/15/2023 | 75,000 | 76,651 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.65 | 3/15/2024 | 55,000 | 55,516 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.75 | 10/1/2026 | 65,000 | 63,504 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.95 | 2/15/2027 | 60,000 | 59,030 | |||||
Service Properties Trust, Sr. Unscd. Notes | 4.95 | 10/1/2029 | 65,000 | 62,928 | |||||
Service Properties Trust, Sr. Unscd. Notes | 5.00 | 8/15/2022 | 70,000 | 71,082 | |||||
Service Properties Trust, Sr. Unscd. Notes | 5.25 | 2/15/2026 | 55,000 | 55,241 | |||||
1,165,150 |
14
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Retailing - .3% | |||||||||
Bed Bath & Beyond, Sr. Unscd. Notes | 3.75 | 8/1/2024 | 20,000 | 20,563 | |||||
Bed Bath & Beyond, Sr. Unscd. Notes | 4.92 | 8/1/2034 | 17,000 | 15,895 | |||||
Bed Bath & Beyond, Sr. Unscd. Notes | 5.17 | 8/1/2044 | 85,000 | 78,412 | |||||
Brinker International, Gtd. Notes | 5.00 | 10/1/2024 | 10,000 | a | 10,484 | ||||
Brinker International, Sr. Unscd. Notes | 3.88 | 5/15/2023 | 20,000 | 20,488 | |||||
L Brands, Sr. Unscd. Notes | 7.60 | 7/15/2037 | 14,000 | 16,800 | |||||
Macy's Retail Holdings, Gtd. Notes | 2.88 | 2/15/2023 | 25,000 | 25,065 | |||||
Macy's Retail Holdings, Gtd. Notes | 3.63 | 6/1/2024 | 10,000 | 10,126 | |||||
Macy's Retail Holdings, Gtd. Notes | 4.30 | 2/15/2043 | 40,000 | 31,480 | |||||
Macy's Retail Holdings, Gtd. Notes | 4.50 | 12/15/2034 | 75,000 | 67,591 | |||||
Macy's Retail Holdings, Gtd. Notes | 5.13 | 1/15/2042 | 35,000 | 30,188 | |||||
Macy's Retail Holdings, Gtd. Notes | 6.38 | 3/15/2037 | 30,000 | 29,625 | |||||
Marks & Spencer, Sr. Unscd. Notes | 7.13 | 12/1/2037 | 45,000 | a | 52,463 | ||||
QVC, Sr. Scd. Notes | 4.38 | 3/15/2023 | 105,000 | 111,143 | |||||
QVC, Sr. Scd. Notes | 4.45 | 2/15/2025 | 90,000 | 95,834 | |||||
QVC, Sr. Scd. Notes | 4.75 | 2/15/2027 | 85,000 | 89,856 | |||||
QVC, Sr. Scd. Notes | 4.85 | 4/1/2024 | 85,000 | 92,310 | |||||
QVC, Sr. Scd. Notes | 5.45 | 8/15/2034 | 50,000 | 51,527 | |||||
QVC, Sr. Scd. Notes | 5.95 | 3/15/2043 | 40,000 | 39,900 | |||||
Yum! Brands, Sr. Unscd. Bonds | 6.88 | 11/15/2037 | 25,000 | 30,482 | |||||
Yum! Brands, Sr. Unscd. Notes | 3.88 | 11/1/2023 | 30,000 | 31,572 | |||||
Yum! Brands, Sr. Unscd. Notes | 5.35 | 11/1/2043 | 30,000 | 31,200 | |||||
983,004 | |||||||||
Technology Hardware & Equipment - .2% | |||||||||
Dell, Sr. Unscd. Debs. | 7.10 | 4/15/2028 | 10,000 | 12,650 | |||||
Dell, Sr. Unscd. Notes | 5.40 | 9/10/2040 | 10,000 | 11,468 | |||||
Dell, Sr. Unscd. Notes | 6.50 | 4/15/2038 | 15,000 | 18,863 | |||||
EMC, Sr. Unscd. Notes | 3.38 | 6/1/2023 | 15,000 | 15,569 | |||||
Seagate HDD Cayman, Gtd. Bonds | 4.75 | 1/1/2025 | 91,000 | 99,157 | |||||
Seagate HDD Cayman, Gtd. Bonds | 4.75 | 6/1/2023 | 46,000 | 49,470 | |||||
Seagate HDD Cayman, Gtd. Bonds | 4.88 | 3/1/2024 | 94,000 | 101,637 | |||||
Seagate HDD Cayman, Gtd. Bonds | 4.88 | 6/1/2027 | 95,000 | 105,870 | |||||
Seagate HDD Cayman, Gtd. Bonds | 5.75 | 12/1/2034 | 104,000 | 119,200 | |||||
Seagate HDD Cayman, Gtd. Notes | 4.09 | 6/1/2029 | 96,000 | a | 98,546 | ||||
Seagate HDD Cayman, Gtd. Notes | 4.13 | 1/15/2031 | 94,000 | a | 95,316 | ||||
727,746 | |||||||||
Telecommunication Services - .3% | |||||||||
Embarq, Sr. Unscd. Notes | 8.00 | 6/1/2036 | 20,000 | 23,319 | |||||
Lumen Technologies, Sr. Unscd. Bonds, Ser. P | 7.60 | 9/15/2039 | 10,000 | 11,493 | |||||
Lumen Technologies, Sr. Unscd. Debs., Ser. G | 6.88 | 1/15/2028 | 5,000 | 5,644 |
15
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 5.2% (continued) | |||||||||
Telecommunication Services - .3% (continued) | |||||||||
Lumen Technologies, Sr. Unscd. Notes, Ser. U | 7.65 | 3/15/2042 | 20,000 | 22,863 | |||||
Nokia, Sr. Unscd. Notes | 6.63 | 5/15/2039 | 50,000 | 64,264 | |||||
Sprint Capital, Gtd. Notes | 6.88 | 11/15/2028 | 40,000 | 50,451 | |||||
Sprint Capital, Gtd. Notes | 8.75 | 3/15/2032 | 125,000 | 185,497 | |||||
Telecom Italia Capital, Gtd. Notes | 6.00 | 9/30/2034 | 55,000 | 61,993 | |||||
Telecom Italia Capital, Gtd. Notes | 6.38 | 11/15/2033 | 50,000 | 58,919 | |||||
Telecom Italia Capital, Gtd. Notes | 7.20 | 7/18/2036 | 55,000 | 68,314 | |||||
Telecom Italia Capital, Gtd. Notes | 7.72 | 6/4/2038 | 110,000 | 144,375 | |||||
U.S. Cellular, Sr. Unscd. Notes | 6.70 | 12/15/2033 | 25,000 | 31,323 | |||||
Vodafone Group, Jr. Sub. Notes | 7.00 | 4/4/2079 | 225,000 | 274,473 | |||||
1,002,928 | |||||||||
Transportation - .0% | |||||||||
XPO CNW, Sr. Unscd. Debs. | 6.70 | 5/1/2034 | 5,000 | 5,983 | |||||
Utilities - .3% | |||||||||
FirstEnergy, Sr. Unscd. Notes | 2.05 | 3/1/2025 | 25,000 | 25,215 | |||||
FirstEnergy, Sr. Unscd. Notes | 2.65 | 3/1/2030 | 50,000 | 48,951 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. A | 1.60 | 1/15/2026 | 25,000 | 24,340 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. A | 3.35 | 7/15/2022 | 40,000 | 40,814 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. B | 2.25 | 9/1/2030 | 35,000 | 33,029 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. B | 4.40 | 7/15/2027 | 120,000 | 131,537 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. B | 4.75 | 3/15/2023 | 70,000 | 74,268 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. C | 3.40 | 3/1/2050 | 65,000 | 60,284 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. C | 5.35 | 7/15/2047 | 85,000 | 98,743 | |||||
FirstEnergy, Sr. Unscd. Notes, Ser. C | 7.38 | 11/15/2031 | 120,000 | 162,556 | |||||
FirstEnergy Transmission, Sr. Unscd. Notes | 4.35 | 1/15/2025 | 50,000 | a | 54,554 | ||||
FirstEnergy Transmission, Sr. Unscd. Notes | 4.55 | 4/1/2049 | 40,000 | a | 44,672 | ||||
FirstEnergy Transmission, Sr. Unscd. Notes | 5.45 | 7/15/2044 | 30,000 | a | 36,400 | ||||
Midland Cogeneration Venture, Sr. Scd. Notes | 6.00 | 3/15/2025 | 57,324 | a | 59,379 | ||||
TransAlta, Sr. Unscd. Bonds | 6.50 | 3/15/2040 | 25,000 | 28,688 | |||||
TransAlta, Sr. Unscd. Notes | 4.50 | 11/15/2022 | 30,000 | 31,265 | |||||
954,695 | |||||||||
Total Bonds and Notes | 18,527,865 |
16
Description /Number of Contracts | Exercise | Expiration Date | Notional Amount ($) | Value ($) | |||||
Options Purchased - .2% | |||||||||
Call Options - .2% | |||||||||
Standard & Poor's 500 E-mini, Contracts 89 | 4,380 | 9/17/2021 | 19,491,000 | 313,725 | |||||
Standard & Poor's 500 E-mini, Contracts 88 | 4,130 | 6/18/2021 | 18,172,000 | 542,080 | |||||
Total Options Purchased | 855,805 | ||||||||
Annualized | Maturity Date | Principal Amount ($) | |||||||
Short-Term Investments - 82.8% | |||||||||
U.S. Government Securities | |||||||||
U.S. Treasury Bills | 0.03 | 6/24/2021 | 27,347,000 | b | 27,346,803 | ||||
U.S. Treasury Bills | 0.02 | 7/1/2021 | 86,596,100 | b | 86,595,036 | ||||
U.S. Treasury Bills | 0.02 | 9/9/2021 | 6,646,000 | b | 6,645,643 | ||||
U.S. Treasury Bills | 0.04 | 5/20/2021 | 79,888,400 | b | 79,888,211 | ||||
U.S. Treasury Bills | 0.01 | 6/17/2021 | 97,673,500 | b,c | 97,672,584 | ||||
Total Short-Term Investments | 298,148,277 | ||||||||
1-Day | Shares | ||||||||
Investment Companies - 11.5% | |||||||||
Registered Investment Companies - 11.5% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.05 | 41,368,959 | d | 41,368,959 | |||||
Total Investments (cost $356,484,503) | 99.7% | 358,900,906 | |||||||
Cash and Receivables (Net) | 0.3% | 1,022,301 | |||||||
Net Assets | 100.0% | 359,923,207 |
a Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, these securities were valued at $3,614,408 or 1.0% of net assets.
b Security is a discount security. Income is recognized through the accretion of discount.
c These securities are wholly-owned by the Subsidiary referenced in Note 1.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
17
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Government | 82.8 |
Investment Companies | 11.5 |
Consumer, Cyclical | 1.6 |
Energy | 1.3 |
Financial | .5 |
Industrial | .4 |
Consumer, Non-cyclical | .3 |
Basic Materials | .3 |
Communications | .3 |
Utilities | .3 |
Options Purchased | .2 |
Technology | .2 |
99.7 |
† Based on net assets.
See notes to consolidated financial statements.
18
CONSOLIDATED STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases ($)† | Sales ($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 33,701,726 | 206,788,195 | (199,120,962) | 41,368,959 | 11.5 | 16,033 |
† Includes reinvested dividends/distributions.
See notes to consolidated financial statements.
19
CONSOLIDATED STATEMENT OF FUTURES
April 30, 2021 (Unaudited)
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | ||||||
Amsterdam Exchange Index | 30 | 5/21/2021 | 5,116,250a | 5,079,097 | (37,153) | |
ASX SPI 200 | 90 | 6/17/2021 | 11,814,392a | 12,136,479 | 322,087 | |
Australian 10 Year Bond | 717 | 6/15/2021 | 76,585,559a | 76,990,938 | 405,379 | |
Brent Crude | 16 | 8/31/2021 | 1,039,919b | 1,044,800 | 4,881 | |
CAC 40 10 Euro | 83 | 5/21/2021 | 6,164,098a | 6,202,744 | 38,646 | |
Canadian 10 Year Bond | 719 | 6/21/2021 | 81,597,829a | 81,519,619 | (78,210) | |
Cocoa | 75 | 9/15/2021 | 1,855,530b | 1,808,250 | (47,280) | |
Corn No.2 Yellow | 78 | 9/14/2021 | 2,167,055b | 2,309,775 | 142,720 | |
Cotton No.2 | 29 | 7/8/2021 | 1,232,732b | 1,277,160 | 44,428 | |
Crude Oil | 21 | 8/20/2021 | 1,243,800b | 1,315,650 | 71,850 | |
Crude Soybean Oil | 27 | 8/13/2021 | 848,508b | 931,014 | 82,506 | |
DAX | 41 | 6/18/2021 | 18,785,000a | 18,691,621 | (93,379) | |
E-mini Russell 2000 | 81 | 6/18/2021 | 9,514,006 | 9,159,075 | (354,931) | |
FTSE 100 | 479 | 6/18/2021 | 44,659,793a | 45,893,155 | 1,233,362 | |
Gasoline | 13 | 8/31/2021 | 1,093,998b | 1,099,098 | 5,100 | |
Gold 100 oz | 1 | 6/28/2021 | 176,950b | 176,770 | (180) | |
Japanese 10 Year Bond | 62 | 6/14/2021 | 85,735,689a | 85,854,882 | 119,193 | |
Live Cattle | 3 | 8/31/2021 | 148,449b | 142,350 | (6,099) | |
LME Primary Aluminum | 5 | 9/15/2021 | 287,203b | 300,375 | 13,172 | |
LME Refined Pig Lead | 1 | 9/15/2021 | 49,804b | 54,038 | 4,234 | |
LME Zinc | 1 | 9/15/2021 | 69,610b | 73,363 | 3,753 | |
Low Sulphur Gas oil | 4 | 9/10/2021 | 215,958b | 215,200 | (758) | |
Mini MSCI Emerging Markets Index | 114 | 6/18/2021 | 7,602,370 | 7,618,620 | 16,250 | |
Platinum | 9 | 7/28/2021 | 540,114b | 542,340 | 2,226 | |
Soybean | 37 | 8/13/2021 | 2,576,271b | 2,721,813 | 145,542 | |
Soybean Meal | 16 | 8/13/2021 | 662,764b | 671,520 | 8,756 | |
Standard & Poor's 500 E-mini | 383 | 6/18/2021 | 76,905,727 | 79,939,760 | 3,034,033 | |
Topix | 289 | 6/10/2021 | 51,230,598a | 50,282,139 | (948,459) | |
U.S. Treasury 10 Year Notes | 1,860 | 6/21/2021 | 245,439,090 | 245,578,125 | 139,035 | |
U.S. Treasury 5 Year Notes | 2 | 6/30/2021 | 249,967 | 247,875 | (2,092) | |
U.S. Treasury Long Bond | 4 | 6/21/2021 | 639,282 | 629,000 | (10,282) | |
Futures Short | ||||||
Chicago SRW Wheat | 42 | 9/14/2021 | 1,413,477b | 1,537,725 | (124,248) | |
Coffee "C" | 9 | 9/20/2021 | 487,825b | 483,975 | 3,850 |
20
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation (Depreciation) ($) | |
Futures Short (continued) | ||||||
Euro-Bond | 391 | 6/8/2021 | 80,676,771a | 79,913,558 | 763,213 | |
FTSE/MIB Index | 1 | 6/18/2021 | 145,201a | 143,735 | 1,466 | |
Hang Seng | 102 | 5/28/2021 | 18,864,157a | 18,731,679 | 132,478 | |
Hard Red Winter Wheat | 43 | 9/14/2021 | 1,375,663b | 1,520,588 | (144,925) | |
IBEX 35 Index | 161 | 5/21/2021 | 16,676,831a | 17,047,995 | (371,164) | |
Lean Hog | 2 | 8/13/2021 | 82,089b | 84,400 | (2,311) | |
Long Gilt | 450 | 6/28/2021 | 79,727,467a | 79,343,394 | 384,073 | |
Natural Gas | 12 | 8/27/2021 | 343,152b | 356,640 | (13,488) | |
NY Harbor ULSD | 2 | 8/31/2021 | 161,063b | 162,154 | (1,091) | |
NYMEX Palladium | 3 | 6/28/2021 | 861,160b | 886,110 | (24,950) | |
S&P/Toronto Stock Exchange 60 Index | 39 | 6/17/2021 | 7,273,807a | 7,205,077 | 68,730 | |
Sugar No.11 | 12 | 9/30/2021 | 224,166b | 226,598 | (2,432) | |
Swiss Market Index | 148 | 6/18/2021 | 18,012,329a | 17,839,409 | 172,920 | |
U.S. Treasury Ultra Long Bond | 2 | 6/21/2021 | 375,981 | 371,813 | 4,168 | |
Ultra 10 Year U.S. Treasury Notes | 1 | 6/21/2021 | 148,912 | 145,547 | 3,365 | |
Gross Unrealized Appreciation | 7,371,416 | |||||
Gross Unrealized Depreciation | (2,263,432) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
b These securities are wholly-owned by the Subsidiary referenced in Note 1.
See notes to consolidated financial statements.
21
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2021 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Citigroup | |||||
Euro | 4,647,000 | United States Dollar | 5,577,113 | 6/16/2021 | 15,192 |
United States Dollar | 49,952,385 | Euro | 41,702,264 | 6/16/2021 | (233,059) |
Australian Dollar | 3,751,842 | United States Dollar | 2,894,229 | 6/16/2021 | (3,365) |
United States Dollar | 10,282,614 | Australian Dollar | 13,320,000 | 6/16/2021 | 19,305 |
Norwegian Krone | 133,330,000 | United States Dollar | 15,913,498 | 6/16/2021 | 105,158 |
United States Dollar | 7,719,783 | Norwegian Krone | 65,048,485 | 6/16/2021 | (95,332) |
Swiss Franc | 2,653,350 | United States Dollar | 2,861,433 | 6/16/2021 | 47,629 |
United States Dollar | 4,863,534 | Swiss Franc | 4,472,000 | 6/16/2021 | (39,448) |
British Pound | 18,855,881 | United States Dollar | 26,141,448 | 6/16/2021 | (97,227) |
United States Dollar | 44,325,333 | British Pound | 31,998,000 | 6/16/2021 | 128,885 |
New Zealand Dollar | 21,368,000 | United States Dollar | 15,325,663 | 6/16/2021 | (37,244) |
United States Dollar | 13,218,857 | New Zealand Dollar | 18,470,462 | 6/16/2021 | 3,574 |
Swedish Krona | 84,856,868 | United States Dollar | 10,076,808 | 6/16/2021 | (48,603) |
United States Dollar | 2,983,676 | Swedish Krona | 25,661,000 | 6/16/2021 | (48,887) |
Canadian Dollar | 10,210,000 | United States Dollar | 8,175,666 | 6/16/2021 | 131,725 |
United States Dollar | 10,028,997 | Canadian Dollar | 12,616,894 | 6/16/2021 | (236,769) |
Japanese Yen | 3,308,901,845 | United States Dollar | 30,575,770 | 6/16/2021 | (287,747) |
United States Dollar | 15,427,838 | Japanese Yen | 1,690,275,000 | 6/16/2021 | (44,089) |
Goldman Sachs | |||||
Australian Dollar | 2,452,442 | United States Dollar | 1,890,780 | 6/16/2021 | (1,128) |
United States Dollar | 4,673,458 | Australian Dollar | 6,025,000 | 6/16/2021 | 31,083 |
Canadian Dollar | 5,551,000 | United States Dollar | 4,431,366 | 6/16/2021 | 85,219 |
United States Dollar | 4,349,463 | Canadian Dollar | 5,506,725 | 6/16/2021 | (131,097) |
22
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs(continued) | |||||
Japanese Yen | 607,445,325 | United States Dollar | 5,586,261 | 6/16/2021 | (26,012) |
United States Dollar | 9,062,529 | Japanese Yen | 995,068,000 | 6/16/2021 | (45,823) |
Euro | 1,983,000 | United States Dollar | 2,335,845 | 6/16/2021 | 50,542 |
United States Dollar | 12,238,676 | Euro | 10,268,837 | 6/16/2021 | (119,074) |
New Zealand Dollar | 22,911,000 | United States Dollar | 16,342,366 | 6/16/2021 | 50,042 |
United States Dollar | 1,909,977 | New Zealand Dollar | 2,675,259 | 6/16/2021 | (4,123) |
Swiss Franc | 10,707,859 | United States Dollar | 11,460,868 | 6/16/2021 | 278,944 |
United States Dollar | 1,681,853 | Swiss Franc | 1,571,000 | 6/16/2021 | (40,550) |
British Pound | 9,440,889 | United States Dollar | 13,077,090 | 6/16/2021 | (37,095) |
United States Dollar | 2,193,403 | British Pound | 1,587,000 | 6/16/2021 | 1,398 |
Norwegian Krone | 7,063,000 | United States Dollar | 833,791 | 6/16/2021 | 14,779 |
United States Dollar | 5,222,739 | Norwegian Krone | 44,364,812 | 6/16/2021 | (107,379) |
Swedish Krona | 32,215,349 | United States Dollar | 3,811,801 | 6/16/2021 | (4,659) |
United States Dollar | 1,697,343 | Swedish Krona | 14,309,000 | 6/16/2021 | 6,336 |
Morgan Stanley | |||||
United States Dollar | 9,284,374 | Euro | 7,810,264 | 6/16/2021 | (114,674) |
Australian Dollar | 1,825,842 | United States Dollar | 1,401,699 | 6/16/2021 | 5,146 |
Swiss Franc | 127,350 | United States Dollar | 136,501 | 6/16/2021 | 3,122 |
United States Dollar | 4,558,614 | Norwegian Krone | 38,856,485 | 6/16/2021 | (109,718) |
United States Dollar | 4,620,902 | Canadian Dollar | 5,850,894 | 6/16/2021 | (139,692) |
Swedish Krona | 2,558,868 | United States Dollar | 298,920 | 6/16/2021 | 3,482 |
British Pound | 7,802,881 | United States Dollar | 10,781,865 | 6/16/2021 | (4,328) |
Japanese Yen | 390,549,845 | United States Dollar | 3,592,684 | 6/16/2021 | (17,787) |
23
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Morgan Stanley(continued) | |||||
United States Dollar | 2,029,318 | New Zealand Dollar | 2,842,462 | 6/16/2021 | (4,412) |
Gross Unrealized Appreciation | 981,561 | ||||
Gross Unrealized Depreciation | (2,079,321) |
See notes to consolidated financial statements.
24
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Consolidated Statement of Investments |
|
|
| |||
Unaffiliated issuers | 315,115,544 |
| 317,531,947 |
| ||
Affiliated issuers |
| 41,368,959 |
| 41,368,959 |
| |
Cash |
|
|
|
| 365,891 |
|
Cash denominated in foreign currency |
|
| 485,606 |
| 484,980 |
|
Cash collateral held by broker—Note 4 |
| 2,201,266 |
| |||
Receivable for investment securities sold |
| 1,047,529 |
| |||
Unrealized appreciation on forward foreign |
| 981,561 |
| |||
Receivable for shares of Common Stock subscribed |
| 594,502 |
| |||
Dividends and interest receivable |
| 225,147 |
| |||
Prepaid expenses |
|
|
|
| 61,469 |
|
|
|
|
|
| 364,863,251 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c) |
| 322,979 |
| |||
Unrealized depreciation on forward foreign |
| 2,079,321 |
| |||
Payable for investment securities purchased |
| 1,041,988 |
| |||
Payable for futures variation margin—Note 4 |
| 882,511 |
| |||
Payable for shares of Common Stock redeemed |
| 505,447 |
| |||
Directors’ fees and expenses payable |
| 12,986 |
| |||
Other accrued expenses |
|
|
|
| 94,812 |
|
|
|
|
|
| 4,940,044 |
|
Net Assets ($) |
|
| 359,923,207 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 329,542,064 |
|
Total distributable earnings (loss) |
|
|
|
| 30,381,143 |
|
Net Assets ($) |
|
| 359,923,207 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 35,790,492 | 19,530,585 | 156,699,394 | 147,902,736 |
|
Shares Outstanding | 2,119,043 | 1,255,289 | 9,011,560 | 8,521,514 |
|
Net Asset Value Per Share ($) | 16.89 | 15.56 | 17.39 | 17.36 |
|
|
|
|
|
|
|
See notes to consolidated financial statements. |
|
|
|
|
|
25
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 901,132 |
| ||
Dividends from affiliated issuers |
|
| 16,033 |
| ||
Total Income |
|
| 917,165 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,226,081 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 167,733 |
| ||
Distribution fees—Note 3(b) |
|
| 80,230 |
| ||
Subsidiary management fee—Note 3(a) |
|
| 72,645 |
| ||
Professional fees |
|
| 70,687 |
| ||
Registration fees |
|
| 37,422 |
| ||
Prospectus and shareholders’ reports |
|
| 28,954 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 17,190 |
| ||
Custodian fees—Note 3(c) |
|
| 8,345 |
| ||
Chief Compliance Officer fees—Note 3(c) |
|
| 7,766 |
| ||
Loan commitment fees—Note 2 |
|
| 7,027 |
| ||
Miscellaneous |
|
| 21,017 |
| ||
Total Expenses |
|
| 2,745,097 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (199,488) |
| ||
Net Expenses |
|
| 2,545,609 |
| ||
Investment (Loss)—Net |
|
| (1,628,444) |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 3,892,949 |
| ||||
Net realized gain (loss) on options transactions | 279,096 |
| ||||
Net realized gain (loss) on futures | 17,963,301 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (4,642,301) |
| ||||
Net Realized Gain (Loss) |
|
| 17,493,045 |
| ||
Net change in unrealized appreciation (depreciation) on investments | (1,123,440) |
| ||||
Net change in unrealized appreciation (depreciation) on | (807,464) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | 17,504,486 |
| ||||
Net change in unrealized appreciation (depreciation) on | (2,193,145) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| 13,380,437 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 30,873,482 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 29,245,038 |
| |||
|
|
|
|
|
|
|
See notes to consolidated financial statements. |
26
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income (loss)—net |
|
| (1,628,444) |
|
|
| 822,653 |
| |
Net realized gain (loss) on investments |
| 17,493,045 |
|
|
| 9,601,200 |
| ||
Net change in unrealized appreciation |
| 13,380,437 |
|
|
| (9,354,219) |
| ||
Net Increase (Decrease) in Net Assets | 29,245,038 |
|
|
| 1,069,634 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Class A |
|
| - |
|
|
| (1,173,298) |
| |
Class C |
|
| - |
|
|
| (764,108) |
| |
Class I |
|
| - |
|
|
| (10,458,201) |
| |
Class Y |
|
| - |
|
|
| (18,608,979) |
| |
Total Distributions |
|
| - |
|
|
| (31,004,586) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 2,719,239 |
|
|
| 8,707,854 |
| |
Class C |
|
| 51,789 |
|
|
| 784,893 |
| |
Class I |
|
| 18,273,421 |
|
|
| 49,194,073 |
| |
Class Y |
|
| 2,242,624 |
|
|
| 29,963,103 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| - |
|
|
| 1,034,501 |
| |
Class C |
|
| - |
|
|
| 639,905 |
| |
Class I |
|
| - |
|
|
| 9,177,640 |
| |
Class Y |
|
| - |
|
|
| 7,468,482 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (4,337,492) |
|
|
| (11,802,115) |
| |
Class C |
|
| (4,422,934) |
|
|
| (9,725,038) |
| |
Class I |
|
| (42,475,853) |
|
|
| (204,998,518) |
| |
Class Y |
|
| (107,569,174) |
|
|
| (343,915,965) |
| |
Increase (Decrease) in Net Assets | (135,518,380) |
|
|
| (463,471,185) |
| |||
Total Increase (Decrease) in Net Assets | (106,273,342) |
|
|
| (493,406,137) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 466,196,549 |
|
|
| 959,602,686 |
| |
End of Period |
|
| 359,923,207 |
|
|
| 466,196,549 |
|
27
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 164,605 |
|
|
| 556,989 |
| |
Shares issued for distributions reinvested |
|
| - |
|
|
| 64,295 |
| |
Shares redeemed |
|
| (262,345) |
|
|
| (747,234) |
| |
Net Increase (Decrease) in Shares Outstanding | (97,740) |
|
|
| (125,950) |
| |||
Class Ca,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,375 |
|
|
| 53,501 |
| |
Shares issued for distributions reinvested |
|
| - |
|
|
| 42,746 |
| |
Shares redeemed |
|
| (290,137) |
|
|
| (664,437) |
| |
Net Increase (Decrease) in Shares Outstanding | (286,762) |
|
|
| (568,190) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 1,074,563 |
|
|
| 3,033,576 |
| |
Shares issued for distributions reinvested |
|
| - |
|
|
| 555,884 |
| |
Shares redeemed |
|
| (2,486,181) |
|
|
| (12,606,500) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,411,618) |
|
|
| (9,017,040) |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 132,456 |
|
|
| 1,853,635 |
| |
Shares issued for distributions reinvested |
|
| - |
|
|
| 453,460 |
| |
Shares redeemed |
|
| (6,346,888) |
|
|
| (21,421,708) |
| |
Net Increase (Decrease) in Shares Outstanding | (6,214,432) |
|
|
| (19,114,613) |
| |||
|
|
|
|
|
|
|
|
|
|
a | During the period ended April 30, 2021, 105,408 Class Y shares representing $1,796,727 were exchanged for 105,216 Class I share and 396 Class Y shares representing $6,706 were exchanged for 406 Class A share. During the period ended October 31, 2020, 948,419 Class Y shares representing $15,260,502 were exchanged for 946,758 Class I share, 993 Class A shares representing $15,789 were exchanged for 966 Class I share and 820 Class C shares representing $11,301 were exchanged for 741 Class I share. | ||||||||
b | During the period ended April 30, 2021, 31 Class C shares representing $482 were automatically converted to 29 Class A shares and during the period ended October 31, 2020 .42 Class C shares representing $6 were automatically converted to .39 Class A shares. | ||||||||
See notes to consolidated financial statements. |
28
CONSOLIDATED FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s consolidated financial statements.
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, | 15.82 | 16.26 | 15.08 | 16.63 | 15.73 | 15.63 |
Investment Operations: | ||||||
Investment income (loss)—neta | (.08) | (.02) | .15 | .08 | (.09) | (.17) |
Net realized and unrealized | 1.15 | .08 | 1.16 | (.81) | 1.02 | .27 |
Total from | 1.07 | .06 | 1.31 | (.73) | .93 | .10 |
Distributions: | ||||||
Dividends from | - | (.17) | (.13) | – | – | – |
Dividends from | - | (.33) | – | (.82) | (.03) | – |
Total Distributions | - | (.50) | (.13) | (.82) | (.03) | – |
Net asset value, end of period | 16.89 | 15.82 | 16.26 | 15.08 | 16.63 | 15.73 |
Total Return (%)b | 6.83c | .28 | 8.82 | (4.63) | 5.92 | .70 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.58d | 1.58 | 1.55 | 1.59 | 1.55 | 1.51 |
Ratio of net expenses | 1.43d | 1.44 | 1.44 | 1.44 | 1.47 | 1.50 |
Ratio of net investment income (loss) to average net assets | (1.00)d | (.14) | .96 | .48 | (.56) | (1.13) |
Portfolio Turnover Rate | 30.83c | 176.12 | 26.17 | 17.55 | 69.80 | 10.66 |
Net Assets, | 35,790 | 35,061 | 38,100 | 47,280 | 73,458 | 205,832 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to consolidated financial statements.
29
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, | 14.62 | 15.06 | 13.96 | 15.56 | 14.83 | 14.85 |
Investment Operations: | ||||||
Investment income (loss)—neta | (.13) | (.13) | .03 | (.04) | (.19) | (.27) |
Net realized and unrealized | 1.07 | .06 | 1.09 | (.74) | .95 | .25 |
Total from | .94 | (.07) | 1.12 | (.78) | .76 | (.02) |
Distributions: | ||||||
Dividends from | - | (.04) | (.02) | – | – | – |
Dividends from | - | (.33) | – | (.82) | (.03) | – |
Total Distributions | - | (.37) | (.02) | (.82) | (.03) | – |
Net asset value, end of period | 15.56 | 14.62 | 15.06 | 13.96 | 15.56 | 14.83 |
Total Return (%)b | 6.43c | (.50) | 8.01 | (5.30) | 5.14 | (.07) |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.34d | 2.33 | 2.29 | 2.31 | 2.32 | 2.26 |
Ratio of net expenses | 2.18d | 2.19 | 2.19 | 2.19 | 2.23 | 2.25 |
Ratio of net investment income (loss) to average net assets | (1.73)d | (.87) | .22 | (.27) | (1.26) | (1.82) |
Portfolio Turnover Rate | 30.83c | 176.12 | 26.17 | 17.55 | 69.80 | 10.66 |
Net Assets, | 19,531 | 22,548 | 31,771 | 46,681 | 80,834 | 131,341 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to consolidated financial statements.
30
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, | 16.26 | 16.71 | 15.51 | 17.04 | 16.08 | 15.93 |
Investment Operations: | ||||||
Investment income (loss)—neta | (.06) | .02 | .19 | .12 | (.03) | (.13) |
Net realized and unrealized | 1.19 | .08 | 1.20 | (.83) | 1.02 | .28 |
Total from | 1.13 | .10 | 1.39 | (.71) | .99 | .15 |
Distributions: | ||||||
Dividends from | - | (.22) | (.19) | – | – | – |
Dividends from | - | (.33) | – | (.82) | (.03) | – |
Total Distributions | - | (.55) | (.19) | (.82) | (.03) | – |
Net asset value, end of period | 17.39 | 16.26 | 16.71 | 15.51 | 17.04 | 16.08 |
Total Return (%) | 6.95b | .53 | 9.04 | (4.33) | 6.17 | 1.01 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.32c | 1.31 | 1.29 | 1.31 | 1.30 | 1.25 |
Ratio of net expenses | 1.18c | 1.19 | 1.19 | 1.19 | 1.21 | 1.24 |
Ratio of net investment income (loss) to average net assets | (.74)c | .13 | 1.20 | .73 | (.17) | (.86) |
Portfolio Turnover Rate | 30.83b | 176.12 | 26.17 | 17.55 | 69.80 | 10.66 |
Net Assets, | 156,699 | 169,485 | 324,848 | 472,940 | 653,752 | 446,643 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to consolidated financial statements.
31
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class Y Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, | 16.23 | 16.69 | 15.53 | 17.04 | 16.07 | 15.91 |
Investment Operations: | ||||||
Investment income (loss)—neta | (.06) | .03 | .20 | .13 | (.02) | (.11) |
Net realized and unrealized | 1.19 | .07 | 1.19 | (.82) | 1.02 | .27 |
Total from | 1.13 | .10 | 1.39 | (.69) | 1.00 | .16 |
Distributions: | ||||||
Dividends from | - | (.23) | (.23) | – | – | – |
Dividends from | - | (.33) | – | (.82) | (.03) | – |
Total Distributions | - | (.56) | (.23) | (.82) | (.03) | – |
Net asset value, end of period | 17.36 | 16.23 | 16.69 | 15.53 | 17.04 | 16.07 |
Total Return (%) | 6.90b | .54 | 9.13 | (4.27) | 6.23 | 1.01 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.23c | 1.22 | 1.22 | 1.21 | 1.21 | 1.18 |
Ratio of net expenses | 1.18c | 1.17 | 1.15 | 1.14 | 1.15 | 1.16 |
Ratio of net investment income (loss) to average net assets | (.72)c | .18 | 1.25 | .78 | (.14) | (.68) |
Portfolio Turnover Rate | 30.83b | 176.12 | 26.17 | 17.55 | 69.80 | 10.66 |
Net Assets, | 147,903 | 239,102 | 564,884 | 733,373 | 787,909 | 655,662 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to consolidated financial statements.
32
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon Dynamic Total Return Fund (the “fund”) is a separate non-diversified series of BNY Mellon Advantage Funds, 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 nine series, including the fund. The fund’s investment objective is to seek total return. 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. Mellon Investments Corporation (the “Sub-Adviser”), a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, serves as the fund’s sub-investment adviser.
The fund may gain investment exposure to global commodity markets through investments in DTR Commodity Fund Ltd., (the “Subsidiary”), a wholly-owned and controlled subsidiary of the fund organized under the laws of the Cayman Islands. The Subsidiary has the ability to invest in commodities and securities consistent with the investment objective of the fund. The Adviser serves as investment adviser for the Subsidiary, the Sub-Adviser serves as the Subsidiary’s sub-investment advisor and Citibank N.A. serves as the Subsidiary’s custodian. The financial statements have been consolidated and include the accounts of the fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the fund and the Subsidiary, comprising the entire issued share capital of the Subsidiary, with the intent that the fund will remain the sole shareholder and retain all rights. Under the Amended and Restated Memorandum and Articles of Association, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The following summarizes the structure and relationship of the Subsidiary at April 30, 2021:
33
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Subsidiary Activity | |||
Consolidated fund Net Assets ($) | 359,923,207 | ||
Subsidiary Percentage of fund Net Assets | 3.06% | ||
Subsidiary Financial Statement Information ($) | |||
Total assets | 11,051,190 | ||
Total liabilities | 22,630 | ||
Net assets | 11,028,560 | ||
Total income | 3,539 | ||
Total expenses | 91,215 | ||
Investment income—net | (87,676) | ||
Net realized gain (loss) | 2,546,609 | ||
Net change in unrealized appreciation (depreciation) | 197,386 | ||
Net increase (decrease) in net assets resulting from operations | 2,656,319 |
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 four classes of shares: Class A (200 million shares authorized), Class C (100 million shares authorized), Class I (150 million shares authorized) and Class Y (150 million shares authorized). 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 and Class Y shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, 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.
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
34
ASC Topic 946 Financial Services-Investment Companies. The fund’s consolidated 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:
35
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by a Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
36
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2021 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments In Securities:† | ||||||
Corporate Bonds | - | 18,527,865 | - | 18,527,865 | ||
Investment Companies | 41,368,959 | - | - | 41,368,959 | ||
U.S. Treasury Securities | - | 298,148,277 | - | 298,148,277 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 981,561 | - | 981,561 | ||
Futures†† | 7,371,416 | - | - | 7,371,416 | ||
Options Purchased | 855,805 | - | - | 855,805 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | (2,079,321) | - | (2,079,321) | ||
Futures†† | (2,263,432) | - | - | (2,263,432) |
† See Consolidated 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 Consolidated Statement of Assets and Liabilities.
37
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
(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.
(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.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political, economic developments and public health conditions. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S. 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
38
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. 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’s investments in commodity-linked financial derivatives instruments may subject the fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and 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.
The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the fund is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the fund in the current period nor carried forward to offset taxable income in future periods.
As of and during the period ended April 30, 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
39
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
expense in the Consolidated Statement of Operations. During the period ended April 30, 2021, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2020 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2020 was as follows: ordinary income $24,417,490 and long-term capital gains $6,587,096. The tax character of current year distributions will be determined at the end of the current fiscal year.
(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”), a subsidiary of BNY Mellon and an affiliate of the Adviser, 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
40
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 April 30, 2021, the fund did not borrow under the Facilities.
NOTE 3— Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) The Adviser has entered into separate management agreements with the fund and the Subsidiary pursuant to which the Adviser receives a management fee computed at the annual rate of 1.10% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly. In addition, the Adviser has contractually agreed for as long as the fund invests in the Subsidiary, to waive the management fee it receives from the fund in an amount equal to the management fee paid to the Adviser by the Subsidiary. The reduction in expenses, pursuant to the undertaking, amounted to $72,645 during the period ended April 30, 2021.
In addition, the Adviser had contractually agreed, from November 1, 2020 through March 31, 2021, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the direct expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceeded 1.19% of the value of the fund’s average daily net assets. The Adviser has contractually agreed, from April 1, 2021 through March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the direct expenses of none of the classes (excluding expense describe above) exceed 1.15% of the value of the fund’s average daily net assets. On or after March 1, 2022, the Adviser may terminate this expense limitation at any time. The reduction in expenses, pursuant to the undertaking, amounted to $126,843 during the period ended April 30, 2021.
Pursuant to separate sub-investment advisory agreements between the Adviser and the Sub-Adviser with respect to the fund and the Subsidiary, the Adviser pays the Sub-Adviser an annual fee of .65% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly.
During the period ended April 30, 2021, the Distributor retained $484 from commissions earned on sales of the fund’s Class A shares and $456 from CDSC fees on redemptions of the fund’s Class C shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an
41
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2021, Class C shares were charged $80,230 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2021, Class A and Class C shares were charged $43,911 and $26,744, respectively, pursuant to the Shareholder Services Plan.
The fund has an arrangement with the transfer agent whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Consolidated Statement of Operations.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an 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 Consolidated Statement of Operations.
The fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2021, the fund was charged $6,174 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Consolidated Statement of Operations.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2021, the fund was charged $8,345 pursuant to the custody agreement.
42
During the period ended April 30, 2021, the fund was charged $7,766 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Consolidated Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Consolidated Statement of Assets and Liabilities consist of: management fees of $328,811, Subsidiary management fees of $10,002, Distribution Plan fees of $12,257, Shareholder Services Plan fees of $11,408, custodian fees of $6,700, Chief Compliance Officer fees of $5,242 and transfer agency fees of $2,027, which are offset against an expense reimbursement currently in effect in the amount of $53,468.
(d) 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, futures, options transactions and forward contracts, during the period ended April 30, 2021, amounted to $12,571,100 and $40,832,484, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 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, interest rate risk and commodity 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
43
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
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 Consolidated Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Consolidated 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 April 30, 2021 are set forth in the Consolidated Statement of Futures.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of equities and interest or as a substitute for an investment. The fund is subject to market risk and interest risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
44
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Consolidated Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction. At April 30, 2021, there were no options written outstanding.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Consolidated Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2021 are set forth in the Consolidated Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Consolidated Statement of Assets and Liabilities and the Consolidated Statement of Operations, respectively.
45
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Fair value of derivative instruments as of April 30, 2021 is shown below:
|
| Derivative |
|
|
| Derivative |
|
Interest rate risk | 2,674,231 | 1,2 | Interest rate risk | (90,584) | 1 | ||
Equity risk | 5,019,972 | 1 | Equity risk | (1,805,086) | 1 | ||
Foreign exchange risk | 981,561 | 3 | Foreign exchange risk | (2,079,321) | 3 | ||
Commodity risk | 533,018 | 1 | Commodity risk | (367,762) | 1 | ||
Gross fair value of | 9,208,782 |
|
|
| (4,342,753) |
| |
|
|
|
|
|
|
| |
| Consolidated Statement of Assets and Liabilities location: |
| |||||
1 | Includes cumulative appreciation (depreciation) on futures as reported in the | ||||||
2 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
3 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Consolidated Statement of Operations during the period ended April 30, 2021 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) |
| ||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| |
Interest rate | (14,567,916) |
| (281,645) |
| - |
| (14,849,561) |
| |
Equity | 29,990,574 |
| 560,741 |
| - |
| 30,551,315 |
| |
Foreign | - |
| - |
| (4,642,301) |
| (4,642,301) |
| |
Commodity | 2,540,643 |
| - |
| - |
| 2,540,643 |
| |
Total | 17,963,301 |
| 279,096 |
| (4,642,301) |
| 13,600,096 |
| |
|
|
|
|
|
|
|
|
| |
Net change in unrealized appreciation (depreciation) |
| ||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| |
Interest rate | 2,758,337 |
| (807,464) |
| - |
| 1,950,873 |
| |
Equity | 14,548,522 |
| - |
| - |
| 14,548,522 |
| |
Foreign | - |
| - |
| (2,193,145) |
| (2,193,145) |
| |
Commodity | 197,627 |
| - |
| - |
| 197,627 |
| |
Total | 17,504,486 |
| (807,464) |
| (2,193,145) |
| 14,503,877 |
| |
|
|
|
|
|
|
|
|
|
|
| Consolidated Statement of Operations location: |
| |||||||
1 | Net realized gain (loss) on futures. | ||||||||
2 | Net realized gain (loss) on options transactions. | ||||||||
3 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||
4 | Net change in unrealized appreciation (depreciation) on futures. | ||||||||
5 | Net change in unrealized appreciation (depreciation) on options transactions. | ||||||||
6 | Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and
46
liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Consolidated Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Consolidated Statement of Assets and Liabilities.
At April 30, 2021, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures |
| 7,371,416 |
| (2,263,432) |
|
Options |
| 855,805 |
| - |
|
Forward contracts |
| 981,561 |
| (2,079,321) |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Consolidated Statement of |
| 9,208,782 |
| (4,342,753) |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
| (8,227,221) |
| 2,263,432 |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
| 981,561 |
| (2,079,321) |
|
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2021:†
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Citigroup | 451,468 |
| (451,468) | - |
| - |
Goldman Sachs | 518,343 |
| (516,940) | (1,403) |
| - |
Morgan Stanley | 11,750 |
| (11,750) | - |
| - |
Total | 981,561 |
| (980,158) | (1,403) |
| - |
|
|
|
|
|
|
|
47
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Citigroup | (1,171,770) |
| 451,468 | 720,302 |
| - |
Goldman Sachs | (516,940) |
| 516,940 | - |
| - |
Morgan Stanley | (390,611) |
| 11,750 | 260,000 |
| (118,861) |
Total | (2,079,321) |
| 980,158 | 980,302 |
| (118,861) |
|
|
|
|
|
|
|
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts | ||||||
2 In some instances, the actual collateral received and/or pledged may be more than the amount shown due to |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2021:
|
| Average Market Value ($) |
Equity futures |
| 344,022,841 |
Interest rate futures |
| 1,033,185,253 |
Interest rate options contracts |
| 2,864,971 |
Forward contracts |
| 693,358,503 |
Commodity futures |
| 21,578,954 |
At April 30, 2021, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $6,426,627, consisting of $10,835,338 gross unrealized appreciation and $4,408,711 gross unrealized depreciation.
At April 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Consolidated Statement of Investments).
48
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 8-9, 2021, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Mellon Investments Corporation (the “Subadviser”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser and the Subadviser. The fund may gain investment exposure to global commodity markets through investments in a wholly-owned and controlled subsidiary of the fund (the “Subsidiary”) that principally invests directly in commodity-related instruments, including futures and options contracts, swap agreements and other derivatives that provide exposure to the commodity markets. The Subsidiary has the same investment objective, investment adviser and sub-investment adviser as the fund, although the Subsidiary’s agreements with the Adviser and the Subadviser are not subject to approval by the Board. In considering the renewal of the Agreements, the Board considered several factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex, including the fund. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
49
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper, which included information comparing (1) the performance of the fund’s Class I shares with the performance of a group of institutional alternative global macro funds selected by Broadridge as comparable to the fund (the “Performance Group”) and with a broader group of funds consisting of all retail and institutional alternative global macro funds (the “Performance Universe”), all for various periods ended December 31, 2020, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of all institutional alternative global macro funds, excluding outliers (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Performance Comparisons. Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds and the end date selected. They also considered that performance generally should be considered over longer periods of time, although it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect disproportionately long-term performance. The Board discussed with representatives of the Adviser and the Subadviser the results of the comparisons and considered that the fund’s total return performance was at the Performance Group median for the ten-year period and below the Performance Group medians for all other periods, and above the Performance Universe median for the ten-year period, approximately equal to the Performance Universe median for the two-year period and below the Performance Universe medians for all other periods. The Board considered that the fund’s total return performance ranked in the third quartile of the Performance Group for most periods and ranked in the third quartile of the Performance Universe for all periods when performance was below the Performance Universe medians. The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index, and it was noted that the fund’s returns were above the returns of the index in four of the ten calendar years shown.
Management Fee and Expense Ratio Comparisons. The Board reviewed and considered the contractual management fee rate payable by the fund to the Adviser in light of the nature, extent and quality of the management and sub-advisory services provided by the Adviser and the Subadviser, respectively. In addition, the Board reviewed and considered the actual management fee rate paid by the fund over the fund’s last fiscal year which included reductions for a fee waiver arrangement in place that reduced the investment advisory fee paid to the Adviser.
50
The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was higher than the Expense Group median contractual management fee, the fund’s actual management fee was higher than the Expense Group median and the Expense Universe median actual management fee and the fund’s total expenses were higher than the Expense Group median and the Expense Universe median total expenses.
Representatives of the Adviser stated that the Adviser has contractually agreed, until March 31, 2021, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed 1.19% of the fund’s average daily net assets. Additionally, the Adviser has contractually agreed, from April 1, 2021 until March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding certain expenses described above) exceed 1.15% of the fund’s average daily net assets. The Adviser has contractually agreed, for so long as the fund invests in the Subsidiary, to waive the management fee it receives from the fund in the amount equal to the management fee paid to the Adviser by the Subsidiary.
Representatives of the Adviser reviewed with the Board the management or investment advisory fees paid to the Adviser or the Subadviser or its affiliates for advising the one separate account or other type of client portfolio that is considered to have similar investment strategies and policies as the fund (the “Similar Client”), and explained the nature of the Similar Client. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Client to evaluate the appropriateness of the fund’s management fee. Representatives of the Adviser noted that there were no other funds advised or administered by the Adviser that are in the same Lipper category as the fund.
The Board considered the fee to the Subadviser in relation to the fee paid to the Adviser by the fund and the respective services provided by the Subadviser and the Adviser. The Board also took into consideration that the Subadviser’s fee is paid by the Adviser (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also considered the expense limitation arrangement and its effect on the profitability of the Adviser and its affiliates. The Board also had been provided with information prepared
51
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by the Adviser and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since the Adviser, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser and the Subadviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s overall performance.
· The Board concluded that the fees paid to the Adviser and the Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared
52
with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates and the Subadviser, of the Adviser and the Subadviser and the services provided to the fund by the Adviser and the Subadviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
53
BNY Mellon Dynamic Total Return Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Mellon Investments Corporation
One Boston Place
Boston, MA 02108-4408
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: AVGAX Class C: AVGCX Class I: AVGRX Class Y: AVGYX |
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 Global Dynamic Bond Income Fund
SEMIANNUAL REPORT April 30, 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
Information About the Renewal |
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through April 30, 2021, as provided by portfolio managers Paul Brain, Parmeshwar Chadha, and Howard Cunningham of Newton Investment Management Limited, Sub-Investment Adviser.
Market and Fund Performance Overview
For the six-month period ended April 30, 2021, the BNY Mellon Global Dynamic Bond Income Fund’s Class A shares produced a total return of 1.79%, Class C shares returned 1.41%, Class I shares returned 1.96% and Class Y shares returned 2.10%.1 In comparison, the fund’s benchmark, the FTSE One-Month U.S. Treasury Bill Index (the “Index”), produced a total return of 0.03% for the same period.2
Global bond markets gained ground during the reporting period amid central bank policies that supported investor confidence, rising rates, the implementation of a COVID-19 vaccine rollout and impending economic reopening. The fund outperformed the Index, largely due to positions in corporate bonds.
The Fund’s Investment Approach
The fund seeks total return (consisting of income and capital appreciation). To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in bonds and other instruments that provide investment exposure to global bond markets. The fund normally invests opportunistically in bonds and derivatives and other instruments that provide investment exposure to global bond and currency markets, in seeking to produce absolute or real returns across economic cycles. The fund’s investments will be focused globally among the developed- and emerging-capital markets of the world. The fund ordinarily invests in at least three countries, and, at times, may invest a substantial portion of its assets in a single country.
The fund’s portfolio managers employ a dynamic, unconstrained approach in allocating the fund’s assets globally, principally among government bonds, emerging-market sovereign debt, investment-grade and high yield corporate instruments, and currencies. The fund’s portfolio managers combine a top-down approach, emphasizing economic trends and current investment themes on a global basis, with bottom-up security selection based on fundamental research to allocate the fund’s investments among and within asset classes. In choosing investments, the portfolio managers consider: key trends in global economic variables, such as gross domestic product, inflation and interest rates; investment themes, such as changing demographics, the impact of new technologies and the globalization of industries and brands; relative valuations of equity securities, bonds and cash; long-term trends in currency movements; and company fundamentals.
Economic Improvement and Rising Rates Drive Bond Markets
The economic outlook brightened considerably over the period, making it a more challenging market for bonds, safe-havens in particular. The roll-out of multiple successful COVID-19 vaccinations, coupled with ongoing fiscal and monetary stimulus, was responsible for better growth prospects, particularly in developed markets. G7 government bonds had one of their worst periods in over 30 years in the early months of 2021. U.S. 10-year Treasury yields almost doubled over the six-months, moving from 0.82% to 1.62% as the market pivoted to anticipating eventual tapering of central bank bond buying. Other developed-market government bond yields also rose, but less dramatically. Credit spreads generally narrowed in response to the brighter outlook, meaning that while government bonds typically delivered losses, investment-grade returns were general flat, while high yield and emerging-market bonds showed positive returns. The U.S. dollar weakened over the period, particularly against commodity currencies such as the Norwegian krone, the Australian and Canadian dollar, and most emerging-markets currencies.
Corporate Debt Benefits Performance
Corporate bonds made the largest contribution to returns as credit spreads narrowed. High yield bonds were the strongest contributors, witnessing greater spread narrowing and offering higher income with less duration. Bank perpetual bonds performed well, as did transportation-related bonds such as American Airlines and Bombardier. Investment grade bond contribution was more modest, with rising underlying government bond yields acting as a headwind, but our holdings were generally short-dated, so less affected. Volkswagen perpetual bonds made an above-average return.
2
On the other hand, government bond holdings made a negative contribution, particular our long-dated treasuries. These losses were partly offset by gains on short futures positions in government bonds and a put option on U.S. treasuries. Emerging-market bond holdings tended to be a little longer and struggled along with developed- government bond yields in the middle of the period. Peruvian government bonds underperformed on rising political risk. Longer-dated U.S. corporate bond holdings such as Ball Corp and Best Buy also disappointed, as did Chinese corporates Meituan and Greenland.
Anticipating Global Growth
Global growth is expected to continue to pick up, and fiscal stimulus is in full swing. Meanwhile, central banks remain accommodative. The next few quarters should continue to be supportive for credit and emerging-markets risk, provided government bond yields remain stable or rise only slowly. Inflation is likely to continue to pick up in the months ahead, favoring some commodity currencies. With abundant dollar liquidity and U.S. balance of payments likely to stay negative as economic growth sucks in imports, we expect the U.S. dollar to remain weak.
Given this outlook, we continue to favor shorter-dated and lower-rated credit risk over longer-dated government bond duration. To this end, we have a larger weighting in high yield than investment grade credit. Having sold long bonds but owning call options on U.S. Treasuries, we are less exposed should bond yields resume their upward trajectory. We remain underweight the U.S. dollar, mainly against a basket of emerging-market currencies, such as the Mexican peso, Peruvian sol and Indonesian rupiah.
May 17, 2021
1 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. Class I and Class Y shares are not subject to any initial or deferred sales charge. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect through March 1, 2022, at which time it may be extended, modified or terminated. Had these expenses not been absorbed, returns would have been lower. Past performance is no guarantee of future results.
2 Source: Lipper Inc. — The FTSE One-Month U.S. Treasury Bill Index consists of the last, one-month, Treasury bill month-end rates. The FTSE One-Month U.S. Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
Please note: the position in any security highlighted with italicized typeface was sold during the reporting period.
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.
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.
High yield bonds are subject to increased credit risk and are considered speculative in terms of the issuer’s perceived ability to continue making interest payments on a timely basis and to repay principal upon maturity.
Foreign bonds are subject to special risks, including exposure to currency fluctuations, changing political and economic conditions, and potentially less liquidity.
Investments in foreign currencies are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. A decline in the value of foreign currencies relative to the U.S. dollar will reduce the value of securities held by the fund and denominated in those currencies. The use of leverage may magnify the fund’s gains or losses. For derivatives with a leveraging component, adverse changes in the value or level of the underlying asset can result in a loss that is much greater than the original investment in the derivative.
The fund may at times invest a substantial portion of its assets in a single country.
The fund may, but is not required to, use derivative instruments, such as options, futures, options on futures, forward contracts, swap agreements and other credit derivatives. 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
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 Global Dynamic Bond Income Fund from November 1, 2020 to April 30, 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 |
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Assume actual returns for the six months ended April 30, 2021 |
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| Class A | Class C | Class I | Class Y |
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Expenses paid per $1,000† | $5.25 | $8.99 | $3.96 | $3.01 |
| |
Ending value (after expenses) | $1,017.90 | $1,014.10 | $1,019.60 | $1,021.00 |
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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 |
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Assuming a hypothetical 5% annualized return for the six months ended April 30, 2021 |
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| Class A | Class C | Class I | Class Y |
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Expenses paid per $1,000† | $5.26 | $9.00 | $3.96 | $3.01 |
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Ending value (after expenses) | $1,019.59 | $1,015.87 | $1,020.88 | $1,021.82 |
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† | Expenses are equal to the fund’s annualized expense ratio of 1.05% for Class A, 1.80% for Class C, .79% for Class I and .60% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
4
STATEMENT OF INVESTMENTS
April 30, 2021 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% | |||||||||
Australia - 1.2% | |||||||||
Australia, Bonds, Ser. 133 | AUD | 5.50 | 4/21/2023 | 780,000 | 664,832 | ||||
Australia, Sr. Unscd. Bonds, Ser. 150 | AUD | 3.00 | 3/21/2047 | 1,270,000 | 1,052,229 | ||||
1,717,061 | |||||||||
Austria - .4% | |||||||||
CA Immobilien Anlagen, Sr. Unscd. Notes | EUR | 0.88 | 2/5/2027 | 400,000 | 483,758 | ||||
Azerbaijan - 1.1% | |||||||||
Azerbaijan, Sr. Unscd. Bonds | 5.13 | 9/1/2029 | 693,000 | 773,374 | |||||
Azerbaijan, Sr. Unscd. Notes | 4.75 | 3/18/2024 | 734,000 | 799,601 | |||||
1,572,975 | |||||||||
Bahrain - .2% | |||||||||
Bahrain, Sr. Unscd. Notes | 4.25 | 1/25/2028 | 311,000 | 312,260 | |||||
Bolivia - .3% | |||||||||
Bolivia, Sr. Unscd. Notes | 4.50 | 3/20/2028 | 500,000 | 450,250 | |||||
British Virgin - .4% | |||||||||
Greenland Global Investment, Gtd. Notes | 6.13 | 4/22/2023 | 640,000 | 572,000 | |||||
Canada - 2.5% | |||||||||
Canada, Bonds | CAD | 4.00 | 12/1/2031 | 1,306,968 | b | 1,543,897 | |||
Canada Housing Trust No. 1, Govt. Gtd. Bonds | CAD | 2.35 | 9/15/2023 | 2,040,000 | c | 1,733,681 | |||
First Quantum Minerals, Gtd. Notes | 6.88 | 3/1/2026 | 270,000 | c | 284,141 | ||||
3,561,719 | |||||||||
Cayman Islands - 2.6% | |||||||||
Agile Group Holdings, Sr. Scd. Notes | 6.70 | 3/7/2022 | 465,000 | 476,393 | |||||
Country Garden Holdings, Sr. Scd. Notes | 7.13 | 1/27/2022 | 460,000 | 476,675 | |||||
CSN Inova Ventures, Gtd. Notes | 6.75 | 1/28/2028 | 329,000 | 357,809 | |||||
Meituan, Sr. Unscd. Notes | 3.05 | 10/28/2030 | 446,000 | d | 434,081 | ||||
Sable International Finance, Sr. Scd. Notes | 5.75 | 9/7/2027 | 476,000 | c | 500,692 | ||||
Shimao Group Holdings, Sr. Scd. Bonds | 4.75 | 7/3/2022 | 465,000 | 472,109 | |||||
Wynn Macau, Sr. Unscd. Notes | 5.50 | 1/15/2026 | 870,000 | 915,675 | |||||
3,633,434 | |||||||||
Chile - .2% | |||||||||
VTR Comunicaciones, Sr. Scd. Notes | 4.38 | 4/15/2029 | 333,000 | c | 335,664 | ||||
Colombia - 2.5% | |||||||||
Colombia, Bonds | COP | 6.00 | 4/28/2028 | 4,845,100,000 | 1,267,018 | ||||
Colombia, Bonds | COP | 7.00 | 6/30/2032 | 4,848,000,000 | 1,278,684 |
5
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
Colombia - 2.5% (continued) | |||||||||
Colombia, Sr. Unscd. Notes | 4.50 | 3/15/2029 | 880,000 | 961,233 | |||||
3,506,935 | |||||||||
Czech Republic - 1.3% | |||||||||
Czech Republic, Bonds, Ser. 120 | CZK | 1.25 | 2/14/2025 | 39,050,000 | 1,817,628 | ||||
Denmark - .1% | |||||||||
Orsted, Sub. Notes | GBP | 2.50 | 2/18/2033 | 132,000 | 184,373 | ||||
Dominican Republic - .7% | |||||||||
Dominican Republic, Sr. Unscd. Bonds | 7.45 | 4/30/2044 | 420,000 | 508,200 | |||||
Dominican Republic, Sr. Unscd. Notes | 4.88 | 9/23/2032 | 500,000 | 524,500 | |||||
1,032,700 | |||||||||
Ecuador - .5% | |||||||||
Ecuador, Sr. Unscd. Notes | 0.00 | 7/31/2030 | 64,221 | c,e | 35,322 | ||||
Ecuador, Sr. Unscd. Notes | 0.50 | 7/31/2030 | 187,110 | c | 157,172 | ||||
Ecuador, Sr. Unscd. Notes | 0.50 | 7/31/2040 | 224,730 | c | 134,840 | ||||
Ecuador, Sr. Unscd. Notes | 0.50 | 7/31/2035 | 490,347 | c | 335,893 | ||||
663,227 | |||||||||
France - 5.5% | |||||||||
Altice France, Sr. Scd. Bonds | EUR | 4.13 | 1/15/2029 | 363,000 | d | 443,393 | |||
Altice France, Sr. Scd. Notes | EUR | 3.38 | 1/15/2028 | 143,000 | 169,773 | ||||
Banijay Entertainment, Sr. Scd. Bonds | EUR | 3.50 | 3/1/2025 | 694,000 | 843,656 | ||||
BNP Paribas, Jr. Sub. Notes | 7.38 | 8/19/2025 | 550,000 | f | 642,183 | ||||
Covivio, Sr. Unscd. Notes | EUR | 1.63 | 6/23/2030 | 500,000 | 645,504 | ||||
Electricite de France, Jr. Sub. Notes | GBP | 6.00 | 1/29/2026 | 100,000 | f | 155,075 | |||
France, Bonds | EUR | 0.10 | 3/1/2025 | 1,972,631 | b | 2,536,108 | |||
Loxam, Sr. Scd. Notes | EUR | 2.88 | 4/15/2026 | 580,000 | 686,347 | ||||
Societe Generale, Jr. Sub. Bonds | 7.88 | 12/18/2023 | 600,000 | f | 673,050 | ||||
Total, Jr. Sub. Notes, Ser. NC7 | EUR | 1.63 | 1/25/2028 | 700,000 | f | 847,609 | |||
7,642,698 | |||||||||
Germany - 1.5% | |||||||||
HELLA GmbH & Co., Sr. Unscd. Notes | EUR | 1.00 | 5/17/2024 | 248,000 | 306,323 | ||||
Infineon Technologies, Jr. Sub. Bonds | EUR | 3.63 | 4/1/2028 | 200,000 | f | 263,519 | |||
Infineon Technologies, Jr. Sub. Notes | EUR | 2.88 | 4/1/2025 | 300,000 | f | 378,516 | |||
KION Group, Sr. Unscd. Notes | EUR | 1.63 | 9/24/2025 | 300,000 | 377,627 | ||||
Peach Property Finance, Sr. Unscd. Notes | EUR | 4.38 | 11/15/2025 | 396,000 | 499,793 | ||||
TK Elevator Midco GmbH, Sr. Scd. Bonds | EUR | 4.38 | 7/15/2027 | 163,000 | 206,257 | ||||
2,032,035 | |||||||||
Guernsey - .6% | |||||||||
Summit Properties, Sr. Unscd. Bonds | EUR | 2.00 | 1/31/2025 | 700,000 | 836,669 |
6
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
India - 1.0% | |||||||||
GMR Hyderabad International Airport, Sr. Scd. Notes | 4.25 | 10/27/2027 | 776,000 | 727,239 | |||||
Housing Development Finance, Sr. Unscd. Notes | INR | 8.22 | 3/28/2022 | 30,000,000 | 413,324 | ||||
National Highways Authority of India, Sr. Unscd. Bonds | INR | 7.30 | 5/18/2022 | 20,000,000 | 272,704 | ||||
1,413,267 | |||||||||
Indonesia - 2.0% | |||||||||
Indonesia, Bonds, Ser. FR81 | IDR | 6.50 | 6/15/2025 | 23,277,000,000 | 1,669,144 | ||||
Indonesia, Sr. Unscd. Notes | 5.88 | 1/15/2024 | 1,050,000 | 1,191,293 | |||||
2,860,437 | |||||||||
Ireland - 1.3% | |||||||||
Bank of Ireland Group, Jr. Sub. Notes | EUR | 7.50 | 11/19/2025 | 280,000 | f | 399,311 | |||
LCPR Senior Secured Financing DAC, Sr. Scd. Notes | 5.13 | 7/15/2029 | 200,000 | c | 205,438 | ||||
Silverback Finance, Sr. Scd. Bonds | EUR | 3.13 | 2/25/2037 | 419,514 | 510,608 | ||||
Virgin Media Vendor Financing Notes III, Gtd. Bonds | GBP | 4.88 | 7/15/2028 | 530,000 | 753,000 | ||||
1,868,357 | |||||||||
Italy - 3.1% | |||||||||
Intesa Sanpaolo, Gtd. Notes | 7.70 | 9/17/2025 | 325,000 | c,f | 370,500 | ||||
Italy Buoni Poliennali del Tesoro, Sr. Unscd. Bonds | EUR | 5.00 | 8/1/2034 | 930,000 | c | 1,640,519 | |||
Nexi, Sr. Unscd. Bonds | EUR | 1.63 | 4/30/2026 | 504,000 | 605,601 | ||||
Telecom Italia, Sr. Unscd. Notes | 5.30 | 5/30/2024 | 400,000 | c | 437,380 | ||||
UniCredit, Jr. Sub. Bonds | 8.00 | 6/3/2024 | 560,000 | f | 627,480 | ||||
UniCredit, Jr. Sub. Notes | EUR | 3.88 | 6/3/2027 | 600,000 | f | 672,461 | |||
4,353,941 | |||||||||
Japan - 1.2% | |||||||||
Japan, Bonds, Ser. 23 | JPY | 0.10 | 3/10/2028 | 174,484,800 | b | 1,620,159 | |||
Jersey - .4% | |||||||||
CPUK Finance, Scd. Bonds | GBP | 4.25 | 8/28/2022 | 218,750 | d | 305,114 | |||
CPUK Finance, Scd. Notes | GBP | 4.88 | 8/28/2025 | 197,000 | 276,440 | ||||
581,554 | |||||||||
Luxembourg - 5.2% | |||||||||
4Finance, Gtd. Notes | 10.75 | 5/1/2022 | 200,000 | 177,758 | |||||
Adler Group, Sr. Unscd. Notes | EUR | 2.25 | 4/27/2027 | 100,000 | 119,611 | ||||
Adler Group, Sr. Unscd. Notes | EUR | 3.25 | 8/5/2025 | 300,000 | 376,707 | ||||
Altice Financing, Sr. Scd. Bonds | EUR | 3.00 | 1/15/2028 | 340,000 | 395,061 | ||||
AnaCap Financial Europe, Sr. Scd. Notes, 3 Month EURIBOR +5.00% @ Floor | EUR | 5.00 | 8/1/2024 | 400,000 | g | 454,624 | |||
B&M European Value Retail, Sr. Scd. Notes | GBP | 3.63 | 7/15/2025 | 125,000 | 178,436 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
Luxembourg - 5.2% (continued) | |||||||||
CBRE Global Investors Open-Ended Fund SCA SICAV-SIF Pan European Core Fund, Sr. Unscd. Notes | EUR | 0.50 | 1/27/2028 | 294,000 | 350,158 | ||||
Cirsa Finance International, Sr. Scd. Bonds | EUR | 4.75 | 5/22/2025 | 332,000 | 389,662 | ||||
DH Europe Finance II, Gtd. Bonds | EUR | 0.45 | 3/18/2028 | 293,000 | 354,161 | ||||
DH Europe Finance II, Gtd. Notes | 2.20 | 11/15/2024 | 111,000 | 116,108 | |||||
Holcim Finance Luxembourg, Gtd. Bonds | EUR | 0.50 | 4/23/2031 | 582,000 | 676,474 | ||||
Kleopatra Finco, Sr. Scd. Bonds | EUR | 4.25 | 3/1/2026 | 410,000 | 485,838 | ||||
Matterhorn Telecom, Sr. Scd. Notes | EUR | 3.13 | 9/15/2026 | 339,000 | 407,715 | ||||
Millicom International Cellular, Sr. Unscd. Notes | 6.63 | 10/15/2026 | 198,000 | 211,415 | |||||
Prologis International Funding II, Gtd. Notes | EUR | 1.63 | 6/17/2032 | 126,000 | 164,502 | ||||
Richemont International Holding, Gtd. Notes | EUR | 0.75 | 5/26/2028 | 508,000 | 634,213 | ||||
SELP Finance, Gtd. Bonds | EUR | 1.25 | 10/25/2023 | 535,000 | 662,223 | ||||
SIG Combibloc PurchaseCo, Gtd. Notes | EUR | 1.88 | 6/18/2023 | 333,000 | 415,170 | ||||
Summer BC Holdco B, Sr. Scd. Bonds | EUR | 5.75 | 10/31/2026 | 536,000 | 671,238 | ||||
7,241,074 | |||||||||
Malaysia - 1.5% | |||||||||
Malaysia, Bonds, Ser. 419 | MYR | 3.83 | 7/5/2034 | 8,550,000 | 2,082,406 | ||||
Mexico - 2.9% | |||||||||
Cemex, Sr. Scd. Notes | 3.88 | 7/11/2031 | 1,000,000 | 988,515 | |||||
Mexican Bonos, Bonds, Ser. M | MXN | 7.75 | 5/29/2031 | 22,100,000 | 1,158,839 | ||||
Mexican Bonos, Sr. Unscd. Bonds, Ser. M20 | MXN | 8.50 | 5/31/2029 | 21,724,100 | 1,196,049 | ||||
Sigma Alimentos, Gtd. Bonds | EUR | 2.63 | 2/7/2024 | 536,000 | 679,687 | ||||
4,023,090 | |||||||||
Mongolia - .7% | |||||||||
Mongolia, Sr. Unscd. Bonds | 5.13 | 4/7/2026 | 930,000 | 999,683 | |||||
Netherlands - 4.2% | |||||||||
H&M Finance, Gtd. Notes | EUR | 0.25 | 8/25/2029 | 192,000 | 226,018 | ||||
IHS Netherlands Holdco, Gtd. Notes | 7.13 | 3/18/2025 | 675,000 | 707,906 | |||||
ING Groep, Jr. Sub. Bonds | 6.75 | 4/16/2024 | 850,000 | f | 937,125 | ||||
Linde Finance, Gtd. Notes | EUR | 0.25 | 5/19/2027 | 600,000 | 729,467 | ||||
Petrobras Global Finance, Gtd. Notes | 6.90 | 3/19/2049 | 276,000 | 311,149 | |||||
Telefonica Europe, Gtd. Notes | EUR | 4.38 | 3/14/2025 | 400,000 | f | 523,014 | |||
United Group, Sr. Scd. Notes | EUR | 4.88 | 7/1/2024 | 137,000 | 167,410 | ||||
United Group, Sr. Scd. Notes, 3 Month EURIBOR +4.13% @ Floor | EUR | 4.13 | 5/15/2025 | 190,000 | g | 228,536 |
8
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
Netherlands - 4.2% (continued) | |||||||||
Volkswagen International Finance, Gtd. Notes | EUR | 3.88 | 6/17/2029 | 600,000 | f | 797,543 | |||
Vonovia Finance, Gtd. Notes, Ser. DIP | EUR | 1.50 | 3/31/2025 | 400,000 | 511,382 | ||||
Ziggo, Sr. Scd. Notes | 5.50 | 1/15/2027 | 710,000 | c | 739,760 | ||||
5,879,310 | |||||||||
New Zealand - 1.0% | |||||||||
New Zealand, Bonds, Ser. 930 | NZD | 3.00 | 9/20/2030 | 1,380,000 | b | 1,408,901 | |||
Norway - 3.0% | |||||||||
Norway, Bonds, Ser. 479 | NOK | 1.75 | 2/17/2027 | 33,375,000 | c | 4,152,830 | |||
Oman - .2% | |||||||||
Oman, Sr. Unscd. Notes | 4.88 | 2/1/2025 | 244,000 | 256,505 | |||||
Panama - .5% | |||||||||
Carnival, Sr. Scd. Notes | 11.50 | 4/1/2023 | 640,000 | c | 736,288 | ||||
Paraguay - 1.2% | |||||||||
Paraguay, Sr. Unscd. Bonds | 5.00 | 4/15/2026 | 1,430,000 | 1,612,325 | |||||
Peru - 1.8% | |||||||||
Peru, Sr. Unscd. Notes | PEN | 6.95 | 8/12/2031 | 8,520,000 | 2,522,948 | ||||
Qatar - .8% | |||||||||
Qatar, Sr. Unscd. Notes | 3.40 | 4/16/2025 | 1,042,000 | 1,135,715 | |||||
Singapore - .5% | |||||||||
Mulhacen, Sr. Scd. Bonds | EUR | 6.50 | 8/1/2023 | 408,049 | 403,806 | ||||
Singapore Airlines, Sr. Unscd. Notes | 3.00 | 7/20/2026 | 328,000 | 333,634 | |||||
737,440 | |||||||||
Spain - 2.9% | |||||||||
Banco Bilbao Vizcaya Argentaria, Jr. Sub. Bonds | EUR | 5.88 | 5/24/2022 | 600,000 | f | 753,525 | |||
Banco Santander, Jr. Sub. Bonds | EUR | 5.25 | 9/29/2023 | 400,000 | f | 511,192 | |||
Cellnex Telecom, Sr. Unscd. Notes | EUR | 1.88 | 6/26/2029 | 600,000 | 733,912 | ||||
Spain, Bonds | EUR | 5.15 | 10/31/2028 | 1,240,000 | c | 2,046,768 | |||
4,045,397 | |||||||||
Supranational - 5.3% | |||||||||
Ardagh Metal Packaging Finance USA, Sr. Unscd. Notes | EUR | 3.00 | 9/1/2029 | 277,000 | 334,027 | ||||
Ardagh Metal Packaging Finance USA, Sr. Unscd. Notes | 4.00 | 9/1/2029 | 495,000 | c | 493,460 | ||||
Asian Development Bank, Sr. Unscd. Notes | CNH | 2.72 | 1/16/2023 | 11,000,000 | 1,705,670 | ||||
Clarios Global, Sr. Scd. Bonds | EUR | 4.38 | 5/15/2026 | 330,000 | 410,628 | ||||
Delta Air Lines, Sr. Scd. Notes | 4.75 | 10/20/2028 | 90,000 | c | 98,903 | ||||
European Bank for Reconstruction & Development, Sr. Unscd. Notes | IDR | 6.45 | 12/13/2022 | 17,800,000,000 | 1,260,910 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
Supranational - 5.3% (continued) | |||||||||
International Bank for Reconstruction & Development, Sr. Unscd. Notes | GBP | 4.88 | 12/7/2028 | 870,000 | 1,547,867 | ||||
International Finance, Sr. Unscd. Notes | INR | 6.30 | 11/25/2024 | 115,990,000 | 1,624,385 | ||||
7,475,850 | |||||||||
Sweden - 1.4% | |||||||||
Akelius Residential Property, Sub. Notes | EUR | 2.25 | 5/17/2081 | 640,000 | 772,025 | ||||
Heimstaden Bostad, Jr. Sub. Bonds | EUR | 2.63 | 5/1/2027 | 450,000 | f | 539,879 | |||
Samhallsbyggnadsbolaget i Norden AB, Jr. Sub. Notes | EUR | 2.63 | 12/14/2025 | 355,000 | f | 429,710 | |||
Verisure Holding, Sr. Scd. Bonds | EUR | 3.25 | 2/15/2027 | 198,000 | 239,315 | ||||
1,980,929 | |||||||||
Switzerland - .9% | |||||||||
Credit Suisse Group, Jr. Sub. Notes | 7.25 | 9/12/2025 | 570,000 | f | 631,272 | ||||
UBS Group, Jr. Sub. Bonds | 5.00 | 1/31/2023 | 630,000 | f | 641,025 | ||||
1,272,297 | |||||||||
United Kingdom - 13.3% | |||||||||
Anglian Water Services Financing, Sr. Scd. Notes | GBP | 1.63 | 8/10/2025 | 435,000 | 622,177 | ||||
Bellis Acquisition, Sr. Scd. Bonds | GBP | 3.25 | 2/16/2026 | 119,000 | 165,146 | ||||
Coventry Building Society, Sr. Unscd. Notes | GBP | 1.00 | 9/21/2025 | 640,000 | 881,623 | ||||
eG Global Finance, Sr. Scd. Notes | EUR | 4.38 | 2/7/2025 | 341,000 | 398,386 | ||||
Heathrow Finance, Sr. Scd. Notes | GBP | 6.25 | 3/3/2025 | 266,000 | 407,310 | ||||
Iceland Bondco, Sr. Scd. Bonds | GBP | 4.38 | 5/15/2028 | 250,000 | 332,751 | ||||
Iceland Bondco, Sr. Scd. Notes | GBP | 4.63 | 3/15/2025 | 350,000 | 477,841 | ||||
INEOS Quattro Finance 2, Sr. Scd. Bonds | EUR | 2.50 | 1/15/2026 | 136,000 | 164,296 | ||||
Informa, Gtd. Notes | EUR | 1.50 | 7/5/2023 | 465,000 | 576,849 | ||||
International Finance Facility for Immunisation, Sr. Unscd. Notes | 1.00 | 4/21/2026 | 1,306,000 | 1,304,694 | |||||
Investec, Jr. Sub. Notes | GBP | 6.75 | 12/5/2024 | 400,000 | f | 570,374 | |||
Iron Mountain UK, Gtd. Notes | GBP | 3.88 | 11/15/2025 | 289,000 | 405,609 | ||||
Jerrold Finco, Sr. Scd. Bonds | GBP | 4.88 | 1/15/2026 | 165,000 | 234,386 | ||||
Jerrold Finco, Sr. Scd. Bonds | GBP | 5.25 | 1/15/2027 | 375,000 | 533,085 | ||||
Lloyds Banking Group, Jr. Sub. Bonds | EUR | 4.95 | 6/27/2025 | 550,000 | f | 727,892 | |||
Lloyds Banking Group, Jr. Sub. Notes | GBP | 5.13 | 12/27/2024 | 560,000 | f | 818,198 | |||
Mitchells & Butlers Finance, Scd. Bonds, Ser. B2 | GBP | 6.01 | 12/15/2028 | 329,305 | 501,243 | ||||
National Express Group, Gtd. Notes | GBP | 2.38 | 11/20/2028 | 644,000 | 917,964 | ||||
National Express Group, Sub. Notes | GBP | 4.25 | 11/26/2025 | 160,000 | f | 231,180 |
10
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
United Kingdom - 13.3% (continued) | |||||||||
Nationwide Building Society, Jr. Sub. Bonds | GBP | 5.88 | 6/20/2025 | 450,000 | f | 684,577 | |||
Natwest Group, Jr. Sub. Notes | 6.00 | 12/29/2025 | 613,000 | f | 679,633 | ||||
Pinewood Finance, Sr. Scd. Bonds | GBP | 3.25 | 9/30/2025 | 287,000 | 404,041 | ||||
Synlab Bondco, Sr. Scd. Notes, 3 Month EURIBOR +4.75% @ Floor | EUR | 4.75 | 7/1/2025 | 330,000 | g | 401,255 | |||
TESCO, Sr. Unscd. Notes | GBP | 3.32 | 11/5/2025 | 100,000 | b | 285,208 | |||
Tesco Property Finance 3, Sr. Scd. Bonds | GBP | 5.74 | 4/13/2040 | 142,382 | 260,360 | ||||
Travis Perkins, Sr. Unscd. Notes | GBP | 3.75 | 2/17/2026 | 163,000 | 238,328 | ||||
Tritax Big Box REIT, Sr. Unscd. Notes | GBP | 1.50 | 11/27/2033 | 389,000 | 511,857 | ||||
UNITE USAF II, Mortgage Backed Notes | GBP | 3.37 | 6/30/2023 | 500,000 | 722,409 | ||||
United Kingdom, Bonds, Ser. 3MO | GBP | 0.13 | 3/22/2026 | 1,068,132 | b | 1,708,555 | |||
Virgin Money UK, Sr. Unscd. Notes | GBP | 3.13 | 6/22/2025 | 580,000 | 836,737 | ||||
Vmed O2 UK Financing I, Sr. Scd. Bonds | GBP | 4.00 | 1/31/2029 | 273,000 | 378,309 | ||||
Vodafone Group, Jr. Sub. Bonds | GBP | 4.88 | 10/3/2078 | 194,000 | 291,695 | ||||
Vodafone Group, Jr. Sub. Notes | 7.00 | 4/4/2079 | 400,000 | 487,952 | |||||
Wagamama Finance, Sr. Scd. Notes | GBP | 4.13 | 7/1/2022 | 294,000 | 406,319 | ||||
18,568,239 | |||||||||
United States - 14.4% | |||||||||
American Airlines, Sr. Scd. Notes | 11.75 | 7/15/2025 | 671,000 | c | 841,266 | ||||
Apple, Sr. Unscd. Notes | 1.13 | 5/11/2025 | 684,000 | 692,569 | |||||
AT&T, Sr. Unscd. Notes | EUR | 1.60 | 5/19/2028 | 347,000 | 447,753 | ||||
Ball, Gtd. Notes | 2.88 | 8/15/2030 | 360,000 | 348,142 | |||||
Best Buy, Sr. Unscd. Notes | 4.45 | 10/1/2028 | 398,000 | 457,254 | |||||
Brixmor Operating Partnership, Sr. Unscd. Notes | 4.05 | 7/1/2030 | 608,000 | 668,271 | |||||
CCO Holdings, Sr. Unscd. Notes | 4.75 | 3/1/2030 | 281,000 | c | 293,645 | ||||
CCO Holdings, Sr. Unscd. Notes | 5.50 | 5/1/2026 | 718,000 | c | 741,874 | ||||
Citigroup, Sub. Notes | 5.50 | 9/13/2025 | 700,000 | 820,617 | |||||
Dell International, Gtd. Notes | 7.13 | 6/15/2024 | 602,000 | c | 619,142 | ||||
Diamond Sports Group, Sr. Scd. Notes | 5.38 | 8/15/2026 | 620,000 | c | 453,375 | ||||
Digital Euro Finco, Gtd. Notes | EUR | 1.13 | 4/9/2028 | 567,000 | 706,663 | ||||
Fidelity National Information Services, Sr. Unscd. Notes | EUR | 0.63 | 12/3/2025 | 201,000 | 247,238 | ||||
Ford Motor Credit, Sr. Unscd. Notes | GBP | 2.75 | 6/14/2024 | 232,000 | 323,806 | ||||
Ford Motor Credit, Sr. Unscd. Notes | 3.37 | 11/17/2023 | 400,000 | 412,500 | |||||
General Electric, Sr. Unscd. Notes | GBP | 6.44 | 11/15/2022 | 7,699 | 11,159 | ||||
IQVIA, Gtd. Notes | EUR | 2.88 | 6/15/2028 | 622,000 | 774,988 | ||||
Iron Mountain, Gtd. Notes | 4.50 | 2/15/2031 | 388,000 | c | 387,472 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 93.5% (continued) | |||||||||
United States - 14.4% (continued) | |||||||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.08 | 4/22/2026 | 1,000,000 | 1,034,457 | |||||
Laureate Education, Gtd. Notes | 8.25 | 5/1/2025 | 265,000 | c | 276,730 | ||||
Lumen Technologies, Sr. Unscd. Notes, Ser. T | 5.80 | 3/15/2022 | 800,000 | 826,200 | |||||
Mauser Packaging Solutions Holding, Sr. Scd. Notes | 5.50 | 4/15/2024 | 500,000 | c | 502,803 | ||||
Mileage Plus Holdings, Sr. Scd. Notes | 6.50 | 6/20/2027 | 90,000 | c | 98,888 | ||||
Netflix, Sr. Unscd. Notes | EUR | 3.63 | 6/15/2030 | 325,000 | d | 468,209 | |||
NextEra Energy Capital Holdings, Gtd. Notes | 3.25 | 4/1/2026 | 101,000 | 110,026 | |||||
Pacific Life Global Funding II, Scd. Notes | 1.38 | 4/14/2026 | 970,000 | 970,037 | |||||
PG&E, Sr. Scd. Notes | 5.00 | 7/1/2028 | 660,000 | 692,175 | |||||
Radiate Holdco, Sr. Scd. Notes | 4.50 | 9/15/2026 | 375,000 | c | 382,401 | ||||
Sprint, Gtd. Notes | 7.25 | 9/15/2021 | 240,000 | 245,388 | |||||
Sprint, Gtd. Notes | 7.88 | 9/15/2023 | 260,000 | 296,725 | |||||
Sprint Capital, Gtd. Notes | 8.75 | 3/15/2032 | 228,000 | 338,346 | |||||
Sprint Communications, Gtd. Notes | 11.50 | 11/15/2021 | 235,000 | 248,107 | |||||
Tesla, Gtd. Notes | 5.30 | 8/15/2025 | 936,000 | c | 971,100 | ||||
T-Mobile USA, Gtd. Notes | 3.38 | 4/15/2029 | 471,000 | 479,363 | |||||
T-Mobile USA, Gtd. Notes | 6.00 | 3/1/2023 | 693,000 | 699,722 | |||||
U.S. Treasury Inflation Indexed Bonds, US CPI Urban Consumers Not Seasonally Adjusted | 1.00 | 2/15/2046 | 344,106 | b | 429,611 | ||||
United Airlines, Sr. Scd. Notes | 4.38 | 4/15/2026 | 47,000 | c,d | 48,832 | ||||
Verizon Communications, Sr. Unscd. Notes, 3 Month SOFR +.79% | 0.80 | 3/20/2026 | 491,000 | g | 499,412 | ||||
Viatris, Gtd. Notes | 2.30 | 6/22/2027 | 150,000 | c | 152,177 | ||||
Windstream Escrow, Sr. Scd. Notes | 7.75 | 8/15/2028 | 402,000 | c,d | 419,604 | ||||
Zayo Group Holdings, Sr. Scd. Notes | 4.00 | 3/1/2027 | 660,000 | c | 656,278 | ||||
20,094,325 | |||||||||
Uzbekistan - 1.0% | |||||||||
Uzbekistan, Sr. Unscd. Notes | 4.75 | 2/20/2024 | 1,300,000 | 1,391,130 | |||||
Vietnam - .2% | |||||||||
Vietnam, Sr. Unscd. Bonds | 4.80 | 11/19/2024 | 213,000 | 238,294 | |||||
Total Bonds and Notes | 130,908,077 | ||||||||
Description /Number of Contracts | Exercise | Expiration Date | Notional Amount ($) | Value ($) | |||||
Options Purchased - .1% | |||||||||
Call Options - .1% | |||||||||
US Treasury Bond, Contracts 118 | 159.00 | 6/25/2021 | 11,800,000 | 92,630 |
12
Description | Principal Amount ($) | a | Value ($) | ||||||
Exchange-Traded Funds - 3.2% | |||||||||
United States - 3.2% | |||||||||
iShares JP Morgan USD Emerging Markets Bond Fund ETF | 28,188 | d | 3,132,814 | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 53,026 | 1,404,659 | |||||||
Total Exchange-Traded Funds | 4,537,473 | ||||||||
1-Day | Shares | Value ($) | |||||||
Investment Companies - 1.4% | |||||||||
Registered Investment Companies - 1.4% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.05 | 1,894,606 | h | 1,894,606 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | 1-Day | Shares | Value ($) | ||||||
Investment of Cash Collateral for Securities Loaned - 1.5% | |||||||||
Registered Investment Companies - 1.5% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 0.01 | 2,027,695 | h | 2,027,695 | |||||
Total Investments (cost $135,191,464) | 99.7% | 139,460,481 | |||||||
Cash and Receivables (Net) | 0.3% | 488,631 | |||||||
Net Assets | 100.0% | 139,949,112 |
ETF—Exchange-Traded Fund
EURIBOR—Euro Interbank Offered Rate
REIT—Real Estate Investment Trust
SOFR—Secured Overnight Financing Rate
AUD—Australian Dollar
CAD—Canadian Dollar
COP—Colombian Peso
CZK—Czech Koruna
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
INR—Indian Rupee
JPY—Japanese Yen
MXN—Mexican Peso
MYR—Malaysian Ringgit
NOK—Norwegian Krone
NZD—New Zealand Dollar
PEN—Peruvian Nuevo Sol
a Amount stated in U.S. Dollars unless otherwise noted above.
b Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, these securities were valued at $21,284,838 or 15.21% of net assets.
d Security, or portion thereof, on loan. At April 30, 2021, the value of the fund’s securities on loan was $5,098,326 and the value of the collateral was $5,541,829, consisting of cash collateral of $2,027,695 and U.S. Government & Agency securities valued at $3,514,134.
e Security issued with a zero coupon. Income is recognized through the accretion of discount.
f Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
g Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
h Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
14
Portfolio Summary (Unaudited) † | Value (%) |
Foreign Governmental | 32.3 |
Banks | 9.9 |
Real Estate | 8.1 |
Telecommunication Services | 6.4 |
Investment Companies | 6.1 |
Supranational Bank | 5.3 |
Media | 3.5 |
Consumer Discretionary | 2.9 |
Diversified Financials | 2.5 |
Automobiles & Components | 2.3 |
Industrial | 2.3 |
Retailing | 2.0 |
Materials | 1.8 |
Food Products | 1.4 |
Commercial & Professional Services | 1.3 |
Health Care | 1.3 |
Utilities | 1.3 |
Building Materials | 1.2 |
Airlines | 1.0 |
Technology Hardware & Equipment | .9 |
Internet Software & Services | .9 |
Energy | .8 |
Transportation | .8 |
Insurance | .7 |
Chemicals | .6 |
Advertising | .5 |
Semiconductors & Semiconductor Equipment | .5 |
Metals & Mining | .5 |
U.S. Treasury Securities | .3 |
Information Technology | .2 |
Options Purchased | .1 |
99.7 |
† Based on net assets.
See notes to financial statements.
15
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases($)† | Sales ($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 1,443,494 | 68,877,485 | (68,426,373) | 1,894,606 | 1.4 | 1,757 |
Investment of Cash Collateral for Securities Loaned:†† | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 2,229,178 | 673,271 | (2,902,449) | - | - | - |
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | - | 34,051,938 | (32,024,243) | 2,027,695 | 1.5 | 12,512††† |
Total | 3,672,672 | 103,602,694 | (103,353,065) | 3,922,301 | 2.9 | 14,269 |
† Includes reinvested dividends/distributions.
†† Effective November 9, 2020, cash collateral for securities lending was transferred from Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares to Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares.
††† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities to financial statements.
See notes to financial statements.
16
STATEMENT OF FUTURES
April 30, 2021 (Unaudited)
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation ($) | |
Futures Short | ||||||
Euro-Bond | 46 | 6/8/2021 | 9,479,845a | 9,401,595 | 78,250 | |
Long Gilt | 27 | 6/28/2021 | 4,800,634a | 4,760,604 | 40,030 | |
Gross Unrealized Appreciation | 118,280 |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
17
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2021 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
CIBC World Markets Corp. | |||||
United States Dollar | 1,511,550 | Euro | 1,262,363 | 5/11/2021 | (6,448) |
United States Dollar | 5,268,239 | Norwegian Krone | 44,579,883 | 5/11/2021 | (87,460) |
United States Dollar | 195,549 | Malaysian Ringgit | 804,000 | 5/11/2021 | (625) |
Australian Dollar | 633,731 | United States Dollar | 490,894 | 5/11/2021 | (2,677) |
Citigroup | |||||
Swedish Krona | 20,984,813 | United States Dollar | 2,525,144 | 5/11/2021 | (46,081) |
HSBC | |||||
Norwegian Krone | 3,694,220 | United States Dollar | 436,886 | 5/11/2021 | 6,927 |
United States Dollar | 1,414,872 | Japanese Yen | 153,116,000 | 5/11/2021 | 13,756 |
United States Dollar | 87,324 | Mexican Peso | 1,809,516 | 5/11/2021 | (1,896) |
United States Dollar | 1,738,316 | Canadian Dollar | 2,202,946 | 5/11/2021 | (53,950) |
United States Dollar | 1,902,174 | Czech Koruna | 40,421,772 | 5/11/2021 | 23,037 |
United States Dollar | 356,771 | Euro | 294,797 | 5/11/2021 | 2,276 |
British Pound | 867,808 | United States Dollar | 1,191,478 | 5/11/2021 | 7,036 |
J.P. Morgan Securities | |||||
British Pound | 1,659,639 | United States Dollar | 2,293,165 | 5/11/2021 | (1,068) |
Hungarian Forint | 496,642,000 | United States Dollar | 1,622,387 | 5/11/2021 | 36,048 |
RBS Securities | |||||
British Pound | 220,031 | United States Dollar | 302,286 | 5/11/2021 | 1,595 |
Mexican Peso | 1,809,516 | United States Dollar | 89,830 | 5/11/2021 | (610) |
New Zealand Dollar | 573,701 | United States Dollar | 403,425 | 5/11/2021 | 7,100 |
Euro | 2,950,451 | United States Dollar | 3,548,532 | 5/11/2021 | (599) |
United States Dollar | 721,320 | Euro | 597,195 | 5/11/2021 | 3,190 |
State Street Bank and Trust Company | |||||
Japanese Yen | 177,412,000 | United States Dollar | 1,616,595 | 5/11/2021 | 6,846 |
18
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
State Street Bank and Trust Company(continued) | |||||
United States Dollar | 1,921,151 | Japanese Yen | 201,975,421 | 5/11/2021 | 72,938 |
Czech Koruna | 54,339,000 | United States Dollar | 2,481,562 | 5/11/2021 | 44,563 |
United States Dollar | 2,476,746 | Czech Koruna | 53,049,000 | 5/11/2021 | 10,591 |
Indian Rupee | 8,367,000 | United States Dollar | 113,627 | 5/11/2021 | (887) |
United States Dollar | 2,453,312 | Swedish Krona | 20,979,000 | 5/11/2021 | (25,065) |
Norwegian Krone | 4,778,318 | United States Dollar | 561,458 | 5/11/2021 | 12,595 |
United States Dollar | 1,617,394 | Hungarian Forint | 496,642,000 | 5/11/2021 | (41,041) |
Canadian Dollar | 1,875,000 | United States Dollar | 1,496,938 | 5/11/2021 | 28,519 |
United States Dollar | 1,941,729 | New Zealand Dollar | 2,686,629 | 5/11/2021 | 19,253 |
United States Dollar | 26,209,750 | British Pound | 18,948,352 | 5/11/2021 | 40,529 |
Euro | 3,722,087 | United States Dollar | 4,443,515 | 5/11/2021 | 32,313 |
United States Dollar | 47,420,412 | Euro | 39,049,572 | 5/11/2021 | 463,109 |
Singapore Dollar | 2,463,000 | United States Dollar | 1,838,026 | 5/11/2021 | 12,731 |
United States Dollar | 1,827,429 | Singapore Dollar | 2,463,000 | 5/11/2021 | (23,328) |
Malaysian Ringgit | 4,519,534 | United States Dollar | 1,098,604 | 5/11/2021 | 4,149 |
United States Dollar | 905,920 | Malaysian Ringgit | 3,715,534 | 5/11/2021 | (660) |
Brazilian Real | 13,587,000 | United States Dollar | 2,361,515 | 5/11/2021 | 137,240 |
United States Dollar | 2,450,356 | Brazilian Real | 13,587,000 | 5/11/2021 | (48,399) |
Australian Dollar | 2,783,863 | United States Dollar | 2,169,668 | 5/11/2021 | (25,022) |
United States Dollar | 4,623,897 | Australian Dollar | 5,963,831 | 5/11/2021 | 29,451 |
UBS Securities | |||||
Euro | 106,742 | United States Dollar | 128,266 | 5/11/2021 | 91 |
United States Dollar | 2,040,834 | Euro | 1,703,372 | 5/11/2021 | (7,479) |
United States Dollar | 835,903 | Canadian Dollar | 1,061,583 | 5/11/2021 | (27,777) |
19
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
UBS Securities(continued) | |||||
British Pound | 515,768 | United States Dollar | 716,115 | 5/11/2021 | (3,798) |
United States Dollar | 725,869 | British Pound | 519,169 | 5/11/2021 | 8,855 |
British Pound | 201,926 | United States Dollar | 280,832 | 5/4/2021 | (1,960) |
Gross Unrealized Appreciation | 1,024,738 | ||||
Gross Unrealized Depreciation | (406,830) |
See notes to financial statements.
20
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 131,269,163 |
| 135,538,180 |
| ||
Affiliated issuers |
| 3,922,301 |
| 3,922,301 |
| |
Cash denominated in foreign currency |
|
| 554,685 |
| 551,701 |
|
Dividends, interest and securities lending income receivable |
| 1,497,618 |
| |||
Unrealized appreciation on forward foreign |
| 1,024,738 |
| |||
Receivable for investment securities sold |
| 979,295 |
| |||
Cash collateral held by broker—Note 4 |
| 298,611 |
| |||
Receivable for shares of Common Stock subscribed |
| 41,347 |
| |||
Tax reclaim receivable—Note 1(b) |
| 13,848 |
| |||
Prepaid expenses |
|
|
|
| 43,780 |
|
|
|
|
|
| 143,911,419 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c) |
| 46,999 |
| |||
Cash overdraft due to Custodian |
|
|
|
| 15,605 |
|
Liability for securities on loan—Note 1(c) |
| 2,027,695 |
| |||
Payable for investment securities purchased |
| 1,204,182 |
| |||
Unrealized depreciation on forward foreign |
| 406,830 |
| |||
Payable for shares of Common Stock redeemed |
| 172,136 |
| |||
Payable for futures variation margin—Note 4 |
| 8,128 |
| |||
Directors’ fees and expenses payable |
| 2,128 |
| |||
Interest payable—Note 2 |
| 943 |
| |||
Other accrued expenses |
|
|
|
| 77,661 |
|
|
|
|
|
| 3,962,307 |
|
Net Assets ($) |
|
| 139,949,112 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 138,648,922 |
|
Total distributable earnings (loss) |
|
|
|
| 1,300,190 |
|
Net Assets ($) |
|
| 139,949,112 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 4,597,763 | 215,391 | 41,327,884 | 93,808,074 |
|
Shares Outstanding | 373,692 | 17,761 | 3,344,425 | 7,584,231 |
|
Net Asset Value Per Share ($) | 12.30 | 12.13 | 12.36 | 12.37 |
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
21
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest (net of $2,358 foreign taxes withheld at source) |
|
| 2,195,692 |
| ||
Dividends: |
| |||||
Unaffiliated issuers |
|
| 235,473 |
| ||
Affiliated issuers |
|
| 1,757 |
| ||
Income from securities lending—Note 1(c) |
|
| 12,512 |
| ||
Total Income |
|
| 2,445,434 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 295,432 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 167,625 |
| ||
Professional fees |
|
| 59,119 |
| ||
Registration fees |
|
| 35,763 |
| ||
Custodian fees—Note 3(c) |
|
| 16,670 |
| ||
Chief Compliance Officer fees—Note 3(c) |
|
| 7,766 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 5,390 |
| ||
Prospectus and shareholders’ reports |
|
| 5,092 |
| ||
Loan commitment fees—Note 2 |
|
| 1,700 |
| ||
Interest expense—Note 2 |
|
| 943 |
| ||
Distribution fees—Note 3(b) |
|
| 882 |
| ||
Miscellaneous |
|
| 21,241 |
| ||
Total Expenses |
|
| 617,623 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (119,865) |
| ||
Net Expenses |
|
| 497,758 |
| ||
Investment Income—Net |
|
| 1,947,676 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 1,128,046 |
| ||||
Net realized gain (loss) on options transactions | (4,204) |
| ||||
Net realized gain (loss) on futures | 302,339 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (2,974,653) |
| ||||
Net Realized Gain (Loss) |
|
| (1,548,472) |
| ||
Net change in unrealized appreciation (depreciation) on investments | 2,331,038 |
| ||||
Net change in unrealized appreciation (depreciation) on | (3,914) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | 165,217 |
| ||||
Net change in unrealized appreciation (depreciation) on | (495,137) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| 1,997,204 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 448,732 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 2,396,408 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
22
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 1,947,676 |
|
|
| 3,322,993 |
| |
Net realized gain (loss) on investments |
| (1,548,472) |
|
|
| (582,401) |
| ||
Net change in unrealized appreciation |
| 1,997,204 |
|
|
| 1,317,029 |
| ||
Net Increase (Decrease) in Net Assets | 2,396,408 |
|
|
| 4,057,621 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Class A |
|
| (110,168) |
|
|
| (126,644) |
| |
Class C |
|
| (4,560) |
|
|
| (8,859) |
| |
Class I |
|
| (654,567) |
|
|
| (442,714) |
| |
Class Y |
|
| (2,480,618) |
|
|
| (4,421,224) |
| |
Total Distributions |
|
| (3,249,913) |
|
|
| (4,999,441) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 277,673 |
|
|
| 5,044,040 |
| |
Class C |
|
| - |
|
|
| 23,514 |
| |
Class I |
|
| 43,032,457 |
|
|
| 26,963,740 |
| |
Class Y |
|
| 11,545,088 |
|
|
| 43,512,518 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 109,564 |
|
|
| 123,083 |
| |
Class C |
|
| 2,939 |
|
|
| 6,198 |
| |
Class I |
|
| 594,347 |
|
|
| 331,724 |
| |
Class Y |
|
| 1,095,473 |
|
|
| 2,237,696 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (1,486,062) |
|
|
| (1,426,327) |
| |
Class C |
|
| (60,790) |
|
|
| (66,458) |
| |
Class I |
|
| (29,344,894) |
|
|
| (9,409,928) |
| |
Class Y |
|
| (22,797,223) |
|
|
| (47,252,513) |
| |
Increase (Decrease) in Net Assets | 2,968,572 |
|
|
| 20,087,287 |
| |||
Total Increase (Decrease) in Net Assets | 2,115,067 |
|
|
| 19,145,467 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 137,834,045 |
|
|
| 118,688,578 |
| |
End of Period |
|
| 139,949,112 |
|
|
| 137,834,045 |
|
23
STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class A |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 22,367 |
|
|
| 415,772 |
| |
Shares issued for distributions reinvested |
|
| 8,846 |
|
|
| 10,122 |
| |
Shares redeemed |
|
| (119,136) |
|
|
| (116,448) |
| |
Net Increase (Decrease) in Shares Outstanding | (87,923) |
|
|
| 309,446 |
| |||
Class C |
|
|
|
|
|
|
|
| |
Shares sold |
|
| - |
|
|
| 1,935 |
| |
Shares issued for distributions reinvested |
|
| 240 |
|
|
| 513 |
| |
Shares redeemed |
|
| (4,911) |
|
|
| (5,465) |
| |
Net Increase (Decrease) in Shares Outstanding | (4,671) |
|
|
| (3,017) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,451,278 |
|
|
| 2,182,436 |
| |
Shares issued for distributions reinvested |
|
| 47,805 |
|
|
| 27,078 |
| |
Shares redeemed |
|
| (2,370,196) |
|
|
| (778,131) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,128,887 |
|
|
| 1,431,383 |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 925,942 |
|
|
| 3,594,178 |
| |
Shares issued for distributions reinvested |
|
| 88,119 |
|
|
| 182,611 |
| |
Shares redeemed |
|
| (1,834,959) |
|
|
| (3,881,369) |
| |
Net Increase (Decrease) in Shares Outstanding | (820,898) |
|
|
| (104,580) |
| |||
|
|
|
|
|
|
|
|
|
|
a | During the period ended April 30, 2021, 41,444 Class Y shares representing $512,310 were exchanged for 41,451 Class I shares and during the period ended October 31, 2020, 26,412 Class Y shares representing $326,931 were exchanged for 26,418 Class I shares. | ||||||||
See notes to financial statements. |
24
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s financial statements.
SixMonths Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 12.35 | 12.48 | 12.04 | 12.23 | 12.30 | 12.13 |
Investment Operations: | ||||||
Investment income—neta | .14 | .25 | .29 | .32 | .19 | .13 |
Net realized and unrealized | .08 | .09 | .70 | (.31) | .10 | .25 |
Total from Investment Operations | .22 | .34 | .99 | .01 | .29 | .38 |
Distributions: | ||||||
Dividends from | (.27) | (.47) | (.55) | (.20) | (.36) | (.19) |
Dividends from net realized | - | - | - | - | (.00)b | (.02) |
Total Distributions | (.27) | (.47) | (.55) | (.20) | (.36) | (.21) |
Net asset value, end of period | 12.30 | 12.35 | 12.48 | 12.04 | 12.23 | 12.30 |
Total Return (%)c | 1.79d | 2.77 | 8.54 | .08 | 2.45 | 3.20 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 5.96e | 4.86 | 1.07 | 1.39 | 1.37 | 1.64 |
Ratio of net expenses | 1.05e | 1.00 | .75 | .75 | .89 | .95 |
Ratio of net investment income | 2.25e | 2.03 | 2.42 | 2.60 | 1.65 | 1.10 |
Portfolio Turnover Rate | 46.82d | 94.27 | 83.73 | 114.73 | 145.88 | 141.08 |
Net Assets, end of period ($ x 1,000) | 4,598 | 5,703 | 1,900 | 858 | 682 | 1,818 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||||
April 30, 2021 | Year Ended October 31, | ||||||
Class C Shares | (Uuaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |
Per Share Data ($): | |||||||
Net asset value, beginning of period | 12.18 | 12.30 | 11.86 | 12.06 | 12.18 | 12.05 | |
Investment Operations: | |||||||
Investment income—neta | .09 | .19 | .25 | .24 | .11 | .04 | |
Net realized and unrealized | .08 | .06 | .64 | (.33) | .08 | .25 | |
Total from Investment Operations | .17 | .25 | .89 | (.09) | .19 | .29 | |
Distributions: | |||||||
Dividends from | (.22) | (.37) | (.45) | (.11) | (.31) | (.14) | |
Dividends from net realized | - | - | - | - | (.00)b | (.02) | |
Total Distributions | (.22) | (.37) | (.45) | (.11) | (.31) | (.16) | |
Net asset value, end of period | 12.13 | 12.18 | 12.30 | 11.86 | 12.06 | 12.18 | |
Total Return (%)c | 1.41d | 2.06 | 7.70 | (.64) | 1.59 | 2.47 | |
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | 1.82e | 1.81 | 1.85 | 2.07 | 2.09 | 2.39 | |
Ratio of net expenses | 1.80e | 1.70 | 1.50 | 1.50 | 1.64 | 1.70 | |
Ratio of net investment income | 1.51e | 1.59 | 2.11 | 2.00 | .90 | .35 | |
Portfolio Turnover Rate | 46.82d | 94.27 | 83.73 | 114.73 | 145.88 | 141.08 | |
Net Assets, end of period ($ x 1,000) | 215 | 273 | 313 | 428 | 702 | 671 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
26
Six Months Ended | |||||||
April 30, 2021 | Year Ended October 31, | ||||||
Class I Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |
Per Share Data ($): | |||||||
Net asset value, beginning of period | 12.41 | 12.53 | 12.09 | 12.27 | 12.33 | 12.14 | |
Investment Operations: | |||||||
Investment income—neta | .15 | .24 | .32 | .37 | .23 | .15 | |
Net realized and unrealized | .09 | .13 | .71 | (.33) | .08 | .27 | |
Total from Investment Operations | .24 | .37 | 1.03 | .04 | .31 | .42 | |
Distributions: | |||||||
Dividends from | (.29) | (.49) | (.59) | (.22) | (.37) | (.21) | |
Dividends from net realized | - | - | - | - | (.00)b | (.02) | |
Total Distributions | (.29) | (.49) | (.59) | (.22) | (.37) | (.23) | |
Net asset value, end of period | 12.36 | 12.41 | 12.53 | 12.09 | 12.27 | 12.33 | |
Total Return (%) | 1.96c | 3.06 | 8.79 | .38 | 2.57 | 3.52 | |
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | .79d | .70 | .78 | 1.10 | 1.14 | 1.39 | |
Ratio of net expenses | .79d | .64 | .50 | .50 | .65 | .70 | |
Ratio of net investment income | 2.52d | 2.01 | 2.63 | 3.03 | 1.91 | 1.35 | |
Portfolio Turnover Rate | 46.82c | 94.27 | 83.73 | 114.73 | 145.88 | 141.08 | |
Net Assets, end of period ($ x 1,000) | 41,328 | 27,500 | 9,827 | 2,555 | 3,815 | 1,244 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Not annualized.
d Annualized.
See notes to financial statements.
27
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||||
April 30, 2021 | Year Ended October 31, | ||||||
Class Y Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |
Per Share Data ($): | |||||||
Net asset value, beginning of period | 12.42 | 12.53 | 12.09 | 12.27 | 12.33 | 12.14 | |
Investment Operations: | |||||||
Investment income—neta | .17 | .33 | .37 | .33 | .23 | .16 | |
Net realized and unrealized | .08 | .05 | .66 | (.29) | .08 | .27 | |
Total from Investment Operations | .25 | .38 | 1.03 | .04 | .31 | .43 | |
Distributions: | |||||||
Dividends from | (.30) | (.49) | (.59) | (.22) | (.37) | (.22) | |
Dividends from net realized | - | - | - | - | (.00)b | (.02) | |
Total Distributions | (.30) | (.49) | (.59) | (.22) | (.37) | (.24) | |
Net asset value, end of period | 12.37 | 12.42 | 12.53 | 12.09 | 12.27 | 12.33 | |
Total Return (%) | 2.10c | 3.07 | 8.81 | .30 | 2.67 | 3.54 | |
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | .60d | .62 | .68 | .96 | .98 | 1.23 | |
Ratio of net expenses | .60d | .58 | .50 | .50 | .64 | .70 | |
Ratio of net investment income | 2.71d | 2.65 | 3.00 | 2.70 | 1.90 | 1.35 | |
Portfolio Turnover Rate | 46.82c | 94.27 | 83.73 | 114.73 | 145.88 | 141.08 | |
Net Assets, end of period ($ x 1,000) | 93,808 | 104,358 | 106,649 | 64,151 | 40,741 | 34,952 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Not annualized.
d Annualized.
See notes to financial statements.
28
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon Global Dynamic Bond Income Fund (the “fund”) is a separate non-diversified series of BNY Mellon Advantage Funds, 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 nine series, including the fund. The fund’s investment objective is to seek total return (consisting of income and capital appreciation). 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. Newton Investment Management Limited (the “Sub-Adviser”), a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, serves as the 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 500 million shares of $.001 par value Common Stock. The fund currently has authorized four classes of shares: Class A (100 million shares authorized), Class C (100 million shares authorized), Class I (150 million shares authorized) and Class Y (150 million shares authorized). 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 and Class Y shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, 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.
As of April 30, 2021, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 7,267 Class C shares of the fund.
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.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
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).
30
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services (each, a “Service”) approved by the 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.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2021 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments In Securities:† | ||||||
Corporate Bonds | - | 85,286,977 | - | 85,286,977 | ||
Exchange-Traded Funds | 4,537,473 | - | - | 4,537,473 | ||
Foreign Governmental | - | 45,191,489 | - | 45,191,489 | ||
Investment Companies | 3,922,301 | - | - | 3,922,301 | ||
U.S. Treasury Securities | - | 429,611 | - | 429,611 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 1,024,738 | - | 1,024,738 | ||
Futures†† | 118,280 | - | - | 118,280 | ||
Options Purchased | 92,630 | - | - | 92,630 |
32
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | (406,830) | - | (406,830) |
† 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 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 and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of April 30, 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. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and recognized
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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, a subsidiary of BNY Mellon and an affiliate of Adviser, 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 April 30, 2021, The Bank of New York Mellon earned $1,680 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.
Certain affiliated investment companies may also invest in the fund. At April 30, 2021, BNY Mellon Yield Enhancement Strategy Fund, an affiliate of the fund, held 2,380,172 Class Y shares representing approximately 21.0% of the fund’s net assets.
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political, economic developments and public health conditions. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S. 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
34
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 worldwide. 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. 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 April 30, 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 April 30, 2021, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2020 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The fund has an unused capital loss carryover of $1,078,516 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2020. The fund has $426,306 of short-term capital losses and $652,210 of long-term capital losses which can be carried forward for an unlimited period
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2020 was as follows: ordinary income $4,999,441. The tax character of current year distributions will be determined at the end of the current fiscal year.
(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”), a subsidiary of BNY Mellon and an affiliate of the Adviser, 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
36
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 April 30, 2021 was approximately $154,696 with a related weighted average annualized interest rate of 1.23%.
NOTE 3—Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .40% of the value of the fund’s average daily net assets and is payable monthly. The Adviser had contractually agreed, from November 1, 2020 through March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .80% of the value of the fund’s average daily net assets. On or after March 1, 2022, the Adviser may terminate this expense limitation agreement at any time. The reduction in expenses, pursuant to the undertaking, amounted to $119,865 during the period ended April 30, 2021.
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 .19% of the value of the fund’s average daily net assets.
During the period ended April 30, 2021, the Distributor retained $30 from commissions earned on sales of the fund’s Class A shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2021, Class C shares were charged $882 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2021, Class A and Class C shares were charged $6,110 and $294, respectively, pursuant to the Shareholder Services Plan.
The fund has an arrangement with the transfer agent whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Statement of Operations.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an 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 fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2021, the fund was charged $1,950 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2021, the fund was charged $16,670 pursuant to the custody agreement.
During the period ended April 30, 2021, the fund was charged $7,766 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.
The components of “Due from BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $48,876, Distribution Plan fees of $133, Shareholder Services Plan fees of $1,021, custodian fees of $10,000, Chief Compliance Officer fees of $5,242 and transfer agency fees of $633, which are offset against an expense reimbursement currently in effect in the amount of $18,906.
38
(d) 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, futures, options transactions and forward contracts, during the period ended April 30, 2021, amounted to $66,619,775 and $68,532,875, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2021 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2021 are set forth in the Statement of Futures.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of interest rates, or as a
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
substitute for an investment. The fund is subject to market risk and interest rate risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction. At April 30, 2021, there were no options written outstanding.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign
40
currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2021 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2021 is shown below:
|
| Derivative |
|
|
| Derivative |
|
Interest rate risk | 210,910 | 1,2 | Interest rate risk | - |
| ||
Foreign exchange risk | 1,024,738 | 3 | Foreign exchange risk | (406,830) | 3 | ||
Gross fair value of | 1,235,648 |
|
|
| (406,830) |
| |
|
|
|
|
|
|
| |
| Statement of Assets and Liabilities location: |
| |||||
1 | Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the | ||||||
2 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
3 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2021 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) |
| ||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| |
Interest rate | 302,339 |
| (4,204) |
| - |
| 298,135 |
| |
Foreign | - |
| - |
| (2,974,653) |
| (2,974,653) |
| |
Total | 302,339 |
| (4,204) |
| (2,974,653) |
| (2,676,518) |
| |
|
|
|
|
|
|
|
|
| |
Net change in unrealized appreciation (depreciation) |
| ||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| |
Interest rate | 165,217 |
| (3,914) |
| - |
| 161,303 |
| |
Foreign | - |
| - |
| (495,137) |
| (495,137) |
| |
Total | 165,217 |
| (3,914) |
| (495,137) |
| (333,834) |
| |
|
|
|
|
|
|
|
|
|
|
| Statement of Operations location: |
| |||||||
1 | Net realized gain (loss) on futures. | ||||||||
2 | Net realized gain (loss) on options transactions. | ||||||||
3 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||
4 | Net change in unrealized appreciation (depreciation) on futures. | ||||||||
5 | Net change in unrealized appreciation (depreciation) on options transactions. | ||||||||
6 | Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
42
At April 30, 2021, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures |
| 118,280 |
| - |
|
Options |
| 92,630 |
| - |
|
Forward contracts |
| 1,024,738 |
| (406,830) |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Statement of Assets and Liabilities |
| 1,235,648 |
| (406,830) |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
| (210,910) |
| - |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
| 1,024,738 |
| (406,830) |
|
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2021:
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
HSBC | 53,032 |
| (53,032) | - |
| - |
J.P. Morgan Securities | 36,048 |
| (1,068) | - |
| 34,980 |
RBS Securities | 11,885 |
| (1,209) | - |
| 10,676 |
State Street Bank | 914,827 |
| (164,402) | (310,000) |
| 440,425 |
UBS Securities | 8,946 |
| (8,946) | - |
| - |
Total | 1,024,738 |
| (228,657) | (310,000) |
| 486,081 |
|
|
|
|
|
|
|
43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
CIBC World Markets | (97,210) |
| - | - |
| (97,210) |
Citigroup | (46,081) |
| - | - |
| (46,081) |
HSBC | (55,846) |
| 53,032 | - |
| (2,814) |
J.P. Morgan Securities | (1,068) |
| 1,068 | - |
| - |
RBS Securities | (1,209) |
| 1,209 | - |
| - |
State Street Bank | (164,402) |
| 164,402 | - |
| - |
UBS Securities | (41,014) |
| 8,946 | - |
| (32,068) |
Total | (406,830) |
| 228,657 | - |
| (178,173) |
|
|
|
|
|
|
|
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts | ||||||
2 In some instances, the actual collateral received and/or pledged may be more than the amount shown due to |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2021:
|
| Average Market Value ($) |
Interest rate futures |
| 11,772,670 |
Interest rate options contracts |
| 27,367 |
Forward contracts |
| 119,168,804 |
At April 30, 2021, accumulated net unrealized depreciation on investments inclusive of derivative contracts was $5,005,205, consisting of $7,428,914 gross unrealized appreciation and $2,423,709 gross unrealized depreciation.
At April 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
44
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 8-9, 2021, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser and the Subadviser. In considering the renewal of the Agreements, the Board considered several factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex, including the fund. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including that there are no soft dollar arrangements in place for the fund) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper, which included information comparing (1) the performance of the fund’s Class I shares with the performance of a group of institutional alternative credit focus funds selected by Broadridge as
45
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
comparable to the fund (the “Performance Group”) and with a broader group of funds consisting of all retail and institutional alternative credit focus funds (the “Performance Universe”), all for various periods ended December 31, 2020, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of all institutional alternative credit focus funds, excluding outliers (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Performance Comparisons. Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds and the end date selected. The Board discussed with representatives of the Adviser and the Subadviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group and the Performance Universe medians for all periods except the five-year period when it was below the Performance Group median. The Board also considered that the fund’s yield performance was above the Performance Group median for four of the nine one-year periods and above the Performance Universe medians for six of the nine one-year periods ended December 31st. The Board considered the relative proximity of the fund’s yield performance to the Performance Group and/or Performance Universe medians in certain periods when performance was below median. The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index, and it was noted that the fund’s returns were above the returns of the index in seven of the nine calendar years shown.
Management Fee and Expense Ratio Comparisons. The Board reviewed and considered the contractual management fee rate payable by the fund to the Adviser in light of the nature, extent and quality of the management and sub-advisory services provided by the Adviser and the Subadviser, respectively. In addition, the Board reviewed and considered the actual management fee rate paid by the fund over the fund’s last fiscal year which included reductions for a fee waiver arrangement in place that reduced the investment advisory fee paid to the Adviser.
The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was lower than the Expense Group median contractual management fee (lowest in the Expense Group), the fund’s actual management fee was lower than the Expense Group median and the Expense Universe median actual management fee (lowest in the Expense Group and the Expense Universe) and the fund’s total expenses were lower than the Expense Group median and the Expense Universe median total expenses (lowest in the Expense Group).
46
Representatives of the Adviser stated that the Adviser has contractually agreed, until March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .80% of the fund’s average daily net assets.
Representatives of the Adviser reviewed with the Board the management or investment advisory fees paid by the one fund advised or administered by the Adviser that is in the same Lipper category as the fund (the “Similar Fund”), and explained the nature of the Similar Fund. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Fund to evaluate the appropriateness of the fund’s management fee. Representatives of the Adviser noted that there were no separate accounts and/or other types of client portfolios advised by the Adviser or the Subadviser that are considered to have similar investment strategies and policies as the fund.
The Board considered the fee to the Subadviser in relation to the fee paid to the Adviser by the fund and the respective services provided by the Subadviser and the Adviser. The Board also took into consideration that the Subadviser’s fee is paid by the Adviser (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also considered the expense limitation arrangement and its effect on the profitability of the Adviser and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by the Adviser and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since the Adviser, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund
47
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser and the Subadviser are adequate and appropriate.
· The Board was satisfied with the fund’s performance.
· The Board concluded that the fees paid to the Adviser and the Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates and the Subadviser, of the Adviser and the Subadviser and the services provided to the fund by the Adviser and the Subadviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the
48
Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
49
BNY Mellon Global Dynamic Bond Income Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Newton Investment Management Limited
160 Queen Victoria Street
London, EC4V, 4LA, UK
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: DGDAX Class C: DGDCX Class I: DGDIX Class Y: DGDYX |
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 Global Real Return Fund
SEMIANNUAL REPORT April 30, 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
Consolidated Statement of Forward | |
Information About the Renewal of |
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through April 30, 2021, as provided by portfolio managers Suzanne Hutchins, Aron Pataki and Andrew Warwick of Newton Investment Management Limited, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2021, the BNY Mellon Global Real Return Fund’s Class A shares produced a total return of 11.09%, Class C shares returned 10.71%, Class I shares returned 11.20% and Class Y shares returned 11.33%.1 In comparison, the FTSE One-Month U.S. Treasury Bill Index, and the fund’s performance baseline benchmark, the USD One-Month LIBOR, produced total returns of 0.03% and 0.07%, respectively, for the same period.2,3
Global markets gained ground during the reporting period amid central bank policies that supported investor confidence, rising rates, the implementation of a COVID-19 vaccine rollout and impending economic reopening. The fund outperformed its performance baseline benchmark, largely due to its positioning within the return-seeking core.
The Fund’s Investment Approach
The fund seeks total return (consisting of capital appreciation and income). To pursue its goal, the fund uses an actively managed, multi-asset strategy to produce absolute or real returns with less volatility than major equity markets over a complete market cycle, typically a period of five years. Rather than trying to track a benchmark index, the fund seeks to provide returns that are largely independent of market moves.
The fund allocates its investments among global equities, bonds and cash, and, generally to a lesser extent, other asset classes, including real estate, commodities, currencies, and alternative or non-traditional asset classes and strategies, primarily those accessed through derivative instruments.
The fund’s portfolio managers combine a top-down approach, emphasizing economic trends and current investment themes on a global basis, with bottom-up security selection, based on fundamental research, to allocate the fund’s investments among and within asset classes. In choosing investments, the portfolio managers consider key trends in global economic variables, such as gross domestic product, inflation and interest rates; investment themes, such as changing demographics, the impact of new technologies and the globalization of industries and brands; relative valuations of equity securities, bonds and cash; long-term trends in currency movements; and company fundamentals.
Stimulus and Optimism Support Equity Rally
Global stock markets made further headway, bolstered by improving economic data and evidence that vaccination programs were successfully paving the way towards full economic reopening. With reflation underway, helped by generous levels of monetary and fiscal accommodation, investors began to anticipate a dialing back of the exceptional levels of stimulus witnessed over the past 12 months. This resulted in a significant move in U.S. Treasury yields in the first quarter of 2021, which saw the largest rise in absolute terms since the fourth quarter of 2016. The upward trend began at the very start of the year as the outcome of the Georgia Senate runoffs resulted in the Democrats gaining control of both houses of Congress under the new Biden administration. The rise in bond yields was closely correlated with the marked outperformance of financials and energy stocks, as well as other, more economically sensitive areas of the market. In contrast, those sectors, such as technology that had benefited from a combination of the stay-at-home economy and deeply negative real yields, relinquished some of their earlier gains. A noteworthy
2
development over the first quarter of 2021 was a strengthening of the U.S. dollar as the U.S. vaccination program gathered pace and markets moved to price in potential interest-rate rises from the Federal Reserve, thanks to abundant, fresh fiscal stimulus.
Return-Seeking Core Boosts Fund Performance
The return-seeking core was responsible for the gains with the portfolio benefiting considerably from the robust performance of global equities. Perhaps unsurprisingly, given the sharp market rotation, it was the more economically sensitive stocks that featured among the top performers: Volkswagen, Goldman Sachs Group and hardware and equipment manufacturer ASML Holding led the gainers. Elsewhere within the core, synthetic exposure, including to small and mid-capitalization indices, was accretive to returns as these areas of the market played catch-up, having lagged in the earlier stages of the pandemic. Alternatives also benefited returns, notably our property holding, Brixmor Property Group, which saw a bounce-back in activity as the economy reopened. Finally, corporate bonds helped returns, buoyed by the more risk-on tone in markets.
Among our equity holdings, longer-duration, growth names New Oriental Education & Technology Group, ADR and Alibaba Group Holding ADR were affected by a rotation into more cyclical areas of the market as well as concerns about greater regulatory scrutiny related to continuing tensions between the U.S. and China. However, the main detractor was the stabilizing layer of the portfolio, in particular the direct equity protection through a combination of short futures and put options, which weighed on performance in the context of equity-market strength. Given the sharp rise in real yields in the latter half of the period under review, the portfolio’s exposure to 10-year U.S. Treasury futures, albeit declining in importance over the quarter, also detracted. Gold traced a less glittering path, giving back some of its stellar performance witnessed in the aftermath of the pandemic. While industrial commodities have surged ahead, anticipating a full-blown recovery, gold has been left behind, although we continue to maintain a position as a hedge against monetary debasement, as well as serving as an insurance policy against tail-risk events.
Positioned for a Changing Environment
Despite the continuing drag on commerce and trade from current pandemic-related restrictions, macroeconomic conditions remain consistent with a reflation of global markets. After a strong end to 2020, the start of 2021 has been testament to the different forces at play in markets, with high growth and stimulus counterbalanced by higher yields and a rise in inflation expectations. However, in contrast to the period after the global financial crisis, developed markets have healthy banking systems, while household balance sheets are generally strong and are poised for a robust rebound in consumption once COVID-19 is brought under control. While rising bond yields may temporarily unsettle markets, we would interpret their upward trend as an indication that we are moving to an environment of expanding nominal income and improving corporate profits. With this in mind, we remain vigilant to capture opportunities afforded to us by temporary market turbulence. Moreover, we have the flexibility to structure the portfolio to avoid those areas that are likely to struggle as the regime change toward a more inflationary backdrop gathers pace. As always, we remain cognizant of potential tail risks that investors need to consider, including policy tightening, over-optimistic market sentiment readings, and geopolitical tensions.
The portfolio reflects our constructive positioning. Indeed, the size of the return-seeking core was increased over the period under review, notably by adding to our global equity exposure. We continue to have a broadly diversified return-seeking core, increasingly enriched by other sources
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
of return such as alternatives, which provide returns less correlated to traditional assets. The most substantial change to the stabilizing layer has been the sale of both our physical government bonds and long bond futures on U.S. Treasuries, reflecting the changing backdrop where expectations of a synchronized economic recovery, coupled with rising inflation expectations, have amounted to something of a regime change, causing real yields to rise. Similarly, the position in gold was reduced as the precious metal may struggle in a more pro-cyclical environment. We continue to have significant protection in the form of out-of-the money put options, which should cushion the portfolio in the event of a tail-risk scenario, as we are cognizant that risks to our base case do exist, and we are mindful of the strategy’s capital preservation role in client portfolios.
May 17, 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, 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. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect through March 1, 2022, at which time it may be extended, modified or terminated. Had these expenses not been absorbed, returns would have been lower. Past performance is no guarantee of future results.
2 Source: FactSet — The London Interbank Offered Rate (LIBOR) is the average interest rate at which leading banks borrow funds of a sizable amount from other banks in the London market. LIBOR is the most widely used “benchmark” or reference rate for short-term interest rates. Investors cannot invest directly in any index.
3 Source: Lipper, Inc. — The FTSE One-Month U.S. Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The FTSE One-Month U.S. Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. The fund is not managed to a benchmark index. 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.
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.
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’s performance will be influenced by political, social and economic factors affecting investments in foreign companies. Special risks associated with such companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability and differing auditing and legal standards.
Because the fund seeks to provide exposure to alternative or non-traditional (i.e., satellite) asset categories or investment strategies, the fund’s performance will be linked to the performance of these highly volatile asset categories and strategies. Accordingly, investors should consider purchasing shares of the fund only as part of an overall diversified portfolio and should be willing to assume the risks of potentially significant fluctuations in the value of fund shares.
The fund may, but is not required to, use derivative instruments, such as options, futures, options on futures, forward contracts, swap agreements and other credit derivatives. 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.
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.
Small and midsized company stocks tend to be more volatile and less liquid than larger company stocks as these companies are less established and have more volatile earnings histories.
Short sales involve selling a security the portfolio does not own in anticipation that the security’s price will decline. Short sales may involve risk and leverage, and expose the portfolio to the risk that it will be required to buy the security sold short at a time when the security has appreciated in value, thus resulting in a loss.
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 Global Real Return Fund from November 1, 2020 to April 30, 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 |
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Assume actual returns for the six months ended April 30, 2021 |
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| Class A | Class C | Class I | Class Y |
|
Expenses paid per $1,000† | $5.81 | $9.87 | $4.71 | $4.19 |
| |
Ending value (after expenses) | $1,110.90 | $1,107.10 | $1,112.00 | $1,113.30 |
|
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 |
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Assuming a hypothetical 5% annualized return for the six months ended April 30, 2021 |
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| Class A | Class C | Class I | Class Y |
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Expenses paid per $1,000† | $5.56 | $9.44 | $4.51 | $4.01 |
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Ending value (after expenses) | $1,019.29 | $1,015.42 | $1,020.33 | $1,020.83 |
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† | Expenses are equal to the fund’s annualized expense ratio of 1.11% for Class A, 1.89% for Class C, .90% for Class I and .80% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
5
CONSOLIDATED STATEMENT OF INVESTMENTS
April 30, 2021 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 16.4% | |||||||||
Colombia - .6% | |||||||||
Colombia, Bonds | COP | 7.50 | 8/26/2026 | 68,967,900,000 | 19,927,685 | ||||
France - .5% | |||||||||
Altice France, Sr. Scd. Bonds | EUR | 4.13 | 1/15/2029 | 4,944,000 | b | 6,038,938 | |||
Altice France, Sr. Scd. Notes | 7.38 | 5/1/2026 | 10,108,000 | c | 10,492,609 | ||||
Banijay Entertainment, Sr. Scd. Notes | 5.38 | 3/1/2025 | 500,000 | c | 517,813 | ||||
17,049,360 | |||||||||
Germany - .5% | |||||||||
Infineon Technologies, Jr. Sub. Bonds | EUR | 3.63 | 4/1/2028 | 6,500,000 | d | 8,564,352 | |||
Infineon Technologies, Jr. Sub. Notes | EUR | 2.88 | 4/1/2025 | 5,300,000 | d | 6,687,112 | |||
TK Elevator Midco GmbH, Sr. Scd. Bonds | EUR | 4.38 | 7/15/2027 | 2,718,000 | 3,439,303 | ||||
18,690,767 | |||||||||
India - .1% | |||||||||
National Highways Authority of India, Sr. Unscd. Bonds | INR | 7.30 | 5/18/2022 | 160,000,000 | 2,181,634 | ||||
Indonesia - .9% | |||||||||
Indonesia, Bonds, Ser. FR72 | IDR | 8.25 | 5/15/2036 | 388,362,000,000 | 29,609,343 | ||||
Italy - .8% | |||||||||
Intesa Sanpaolo, Gtd. Notes | 7.70 | 9/17/2025 | 9,506,000 | c,d | 10,836,840 | ||||
UniCredit, Jr. Sub. Bonds | 8.00 | 6/3/2024 | 5,625,000 | d | 6,302,813 | ||||
UniCredit, Jr. Sub. Notes | EUR | 3.88 | 6/3/2027 | 8,882,000 | d | 9,954,668 | |||
27,094,321 | |||||||||
Jersey - .2% | |||||||||
CPUK Finance, Scd. Bonds | GBP | 4.25 | 8/28/2022 | 3,847,396 | b | 5,366,368 | |||
Luxembourg - .2% | |||||||||
Summer BC Holdco B, Sr. Scd. Bonds | EUR | 5.75 | 10/31/2026 | 6,583,000 | 8,243,960 | ||||
Mexico - 2.1% | |||||||||
Mexican, Bonds, Ser. M30 | MXN | 10.00 | 11/20/2036 | 207,422,000 | 12,732,229 | ||||
Mexican Bonos, Bonds, Ser. M | MXN | 7.75 | 5/29/2031 | 788,494,800 | 41,345,652 | ||||
Sigma Alimentos, Gtd. Notes | 4.13 | 5/2/2026 | 13,823,000 | 15,011,571 | |||||
69,089,452 | |||||||||
Netherlands - 3.3% | |||||||||
BNP Paribas Issuance, Bank Gtd., Ser. 000F | 0.00 | 11/18/2021 | 87,561,000 | e | 89,642,495 | ||||
ING Groep, Jr. Sub. Bonds | 4.88 | 5/16/2029 | 3,946,000 | d | 4,052,293 | ||||
Telefonica Europe, Gtd. Bonds, Ser. NC5 | EUR | 3.00 | 12/4/2023 | 9,700,000 | d | 12,020,193 | |||
Ziggo, Sr. Scd. Bonds | EUR | 2.88 | 1/15/2030 | 3,571,000 | 4,338,700 | ||||
110,053,681 |
6
Description | Coupon | Maturity Date | Principal Amount ($) | a | Value ($) | ||||
Bonds and Notes - 16.4% (continued) | |||||||||
New Zealand - .2% | |||||||||
New Zealand, Bonds, Ser. 0940 | NZD | 2.54 | 9/20/2040 | 5,751,000 | 5,671,310 | ||||
Spain - 1.0% | |||||||||
Banco Bilbao Vizcaya Argentaria, Jr. Sub. Bonds | EUR | 5.88 | 9/24/2023 | 6,000,000 | d | 7,747,083 | |||
Banco Bilbao Vizcaya Argentaria, Jr. Sub. Notes | EUR | 6.00 | 3/29/2024 | 7,200,000 | d | 9,476,072 | |||
Banco Santander, Jr. Sub. Bonds | EUR | 4.75 | 3/19/2025 | 7,800,000 | d | 9,736,382 | |||
Banco Santander, Jr. Sub. Bonds | EUR | 5.25 | 9/29/2023 | 5,200,000 | d | 6,645,501 | |||
33,605,038 | |||||||||
United Kingdom - 4.6% | |||||||||
Barclays Bank, Structured Notes | 0.00 | 8/13/2021 | 61,343,300 | e | 66,221,135 | ||||
Barclays Bank, Structured Notes | 0.00 | 8/16/2021 | 60,990,700 | e | 67,735,845 | ||||
Lloyds Banking Group, Jr. Sub. Bonds | EUR | 4.95 | 6/27/2025 | 8,562,000 | b,d | 11,331,286 | |||
TESCO, Sr. Unscd. Notes | GBP | 6.13 | 2/24/2022 | 74,000 | 106,915 | ||||
Vmed O2 UK Financing I, Sr. Scd. Bonds | GBP | 4.00 | 1/31/2029 | 7,588,000 | 10,515,037 | ||||
155,910,218 | |||||||||
United States - 1.4% | |||||||||
Ball, Gtd. Notes | 2.88 | 8/15/2030 | 6,402,000 | 6,191,118 | |||||
CCO Holdings, Sr. Unscd. Notes | 5.50 | 5/1/2026 | 6,249,000 | c | 6,456,779 | ||||
Laureate Education, Gtd. Notes | 8.25 | 5/1/2025 | 8,049,000 | c | 8,405,289 | ||||
Sprint, Gtd. Notes | 7.13 | 6/15/2024 | 3,786,000 | 4,377,070 | |||||
Sprint Capital, Gtd. Notes | 8.75 | 3/15/2032 | 4,597,000 | 6,821,833 | |||||
T-Mobile USA, Gtd. Notes | 6.00 | 4/15/2024 | 6,524,000 | 6,574,920 | |||||
T-Mobile USA, Gtd. Notes | 6.00 | 3/1/2023 | 8,151,000 | 8,230,065 | |||||
United Airlines, Sr. Scd. Notes | 4.38 | 4/15/2026 | 1,224,000 | b,c | 1,271,699 | ||||
48,328,773 | |||||||||
Total Bonds and Notes | 550,821,910 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 57.2% | |||||||||
Australia - .8% | |||||||||
Newcrest Mining | 443,397 | 8,999,317 | |||||||
The Star Entertainment Group | 5,497,313 | f | 16,873,263 | ||||||
25,872,580 | |||||||||
Canada - .3% | |||||||||
Barrick Gold | 280,011 | b | 5,950,234 | ||||||
Wheaton Precious Metals | 87,831 | 3,643,577 | |||||||
9,593,811 | |||||||||
China - 4.0% | |||||||||
Alibaba Group Holding | 781,869 | f | 22,586,291 | ||||||
Flat Glass Group, Cl. H | 2,100,000 | b | 6,449,104 |
7
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 57.2% (continued) | |||||||||
China - 4.0% (continued) | |||||||||
LONGi Green Energy Technology, CI. A | 860,592 | f | 13,110,375 | ||||||
Meituan, Cl. B | 294,655 | c,f | 11,218,962 | ||||||
NARI Technology, Cl. A | 1,443,367 | f | 7,118,381 | ||||||
New Oriental Education & Technology Group, ADR | 1,331,130 | f | 20,313,044 | ||||||
Ping An Insurance Group Company of China, Cl. H | 1,365,500 | 14,919,402 | |||||||
Tencent Holdings | 265,695 | 21,248,442 | |||||||
Tencent Music Entertainment Group, ADR | 956,512 | f | 16,662,439 | ||||||
133,626,440 | |||||||||
Denmark - 1.3% | |||||||||
Novozymes, Cl. B | 257,399 | 18,309,875 | |||||||
Orsted | 172,588 | c | 25,094,900 | ||||||
43,404,775 | |||||||||
France - 3.1% | |||||||||
Air Liquide | 88,255 | 14,864,831 | |||||||
Bureau Veritas | 576,139 | 17,231,958 | |||||||
Legrand | 173,964 | 16,937,042 | |||||||
L'Oreal | 60,742 | 24,946,155 | |||||||
LVMH | 40,849 | 30,745,039 | |||||||
104,725,025 | |||||||||
Germany - 2.5% | |||||||||
Bayer | 472,175 | 30,544,429 | |||||||
Continental | 208,683 | 28,266,031 | |||||||
RWE | 639,754 | 24,241,052 | |||||||
83,051,512 | |||||||||
Guernsey - .2% | |||||||||
Amedeo Air Four Plus | 2,671,187 | 885,230 | |||||||
Cordiant Digital Infrastructure | 671,702 | f | 25,511 | ||||||
Cordiant Digital Infrastructure | 5,373,619 | c,f | 7,530,770 | ||||||
8,441,511 | |||||||||
Hong Kong - 2.2% | |||||||||
AIA Group | 3,768,200 | 47,902,750 | |||||||
Link REIT | 2,685,500 | 25,375,751 | |||||||
73,278,501 | |||||||||
India - .7% | |||||||||
Housing Development Finance | 714,515 | f | 23,316,956 | ||||||
Ireland - 3.2% | |||||||||
Accenture, Cl. A | 94,767 | 27,479,587 | |||||||
Kerry Group, Cl. A | 105,233 | 13,637,401 | |||||||
Medtronic | 261,700 | 34,261,764 |
8
Description | Shares | Value ($) | |||||||
Common Stocks - 57.2% (continued) | |||||||||
Ireland - 3.2% (continued) | |||||||||
Ryanair Holdings, ADR | 274,407 | f | 32,064,458 | ||||||
107,443,210 | |||||||||
Japan - .7% | |||||||||
Suzuki Motor | 382,200 | 14,519,066 | |||||||
Toyota Industries | 97,700 | 7,825,575 | |||||||
22,344,641 | |||||||||
Netherlands - 1.0% | |||||||||
ASML Holding | 54,215 | 35,296,996 | |||||||
South Korea - .7% | |||||||||
Samsung SDI | 42,081 | 24,553,702 | |||||||
Switzerland - 3.9% | |||||||||
Alcon | 324,718 | 24,375,289 | |||||||
Lonza Group | 29,933 | f | 19,047,335 | ||||||
Novartis | 198,906 | 16,990,245 | |||||||
TE Connectivity | 293,013 | 39,401,458 | |||||||
Zurich Insurance Group | 72,041 | 29,564,621 | |||||||
129,378,948 | |||||||||
Taiwan - .3% | |||||||||
Taiwan Semiconductor Manufacturing, ADR | 83,494 | 9,747,090 | |||||||
United Kingdom - 12.7% | |||||||||
Anglo American | 449,144 | 19,072,087 | |||||||
Associated British Foods | 446,277 | 14,219,838 | |||||||
AstraZeneca | 436,333 | 46,484,972 | |||||||
BAE Systems | 1,734,877 | 12,140,655 | |||||||
Barratt Developments | 1,697,649 | 18,093,518 | |||||||
Diageo | 847,214 | 38,032,188 | |||||||
Ferguson | 140,386 | 17,701,641 | |||||||
Informa | 1,819,576 | f | 14,122,185 | ||||||
Linde | 196,130 | 56,061,799 | |||||||
Octopus Renewables Infrastructure Trust | 15,367,934 | b | 23,695,638 | ||||||
Persimmon | 461,139 | 19,938,831 | |||||||
Prudential | 1,955,388 | 41,419,521 | |||||||
RELX | 1,029,716 | 26,808,957 | |||||||
SDCL Energy Efficiency Income Trust | 16,045,089 | 25,262,249 | |||||||
Taylor Wimpey | 3,911,376 | 9,697,520 | |||||||
Travis Perkins | 772,425 | f | 16,410,918 | ||||||
Unilever | 440,376 | 25,721,169 | |||||||
Wickes Group | 865,511 | f | 2,987,687 | ||||||
427,871,373 | |||||||||
United States - 19.6% | |||||||||
Abbott Laboratories | 190,781 | 22,908,983 |
9
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 57.2% (continued) | |||||||||
United States - 19.6% (continued) | |||||||||
Alphabet, Cl. A | 14,285 | f | 33,619,748 | ||||||
Amazon.com | 9,352 | f | 32,427,312 | ||||||
Brixmor Property Group | 1,096,822 | g | 24,503,004 | ||||||
Citigroup | 404,990 | 28,851,488 | |||||||
CME Group | 204,453 | 41,297,461 | |||||||
ConocoPhillips | 781,063 | 39,943,562 | |||||||
Dominion Energy | 215,308 | 17,203,109 | |||||||
Ecolab | 136,005 | 30,481,441 | |||||||
Eversource Energy | 156,873 | 13,525,590 | |||||||
Fidelity National Information Services | 161,380 | 24,675,002 | |||||||
JPMorgan Chase & Co. | 210,261 | 32,340,244 | |||||||
Lockheed Martin | 35,779 | 13,616,056 | |||||||
Mastercard, Cl. A | 70,799 | 27,049,466 | |||||||
Microsoft | 137,294 | 34,622,801 | |||||||
Newmont | 57,850 | 3,610,419 | |||||||
NIKE, Cl. B | 151,315 | 20,067,395 | |||||||
Norfolk Southern | 92,106 | 25,719,679 | |||||||
Otis Worldwide | 463,094 | 36,061,130 | |||||||
salesforce.com | 60,204 | f | 13,866,185 | ||||||
Texas Instruments | 218,135 | 39,375,549 | |||||||
The Goldman Sachs Group | 79,818 | 27,812,582 | |||||||
The Home Depot | 101,715 | 32,922,094 | |||||||
The Sherwin-Williams Company | 82,137 | 22,494,860 | |||||||
Thermo Fisher Scientific | 43,283 | 20,352,965 | |||||||
659,348,125 | |||||||||
Total Common Stocks | 1,921,295,196 | ||||||||
Description /Number of Contracts | Exercise | Expiration Date | Principal Amount ($) | a | |||||
Options Purchased - 1.4% | |||||||||
Call Options - .2% | |||||||||
Nasdaq 100 Stock Index, Contracts 65 | 12,750 | 5/21/2021 | 72,675,000 | 7,531,875 | |||||
Put Options - 1.2% | |||||||||
S&P 500 Index, Contracts 1,780 | 3,500 | 12/17/2021 | 623,000,000 | 15,966,600 | |||||
S&P 500 Index, Contracts 1,985 | 3,300 | 9/17/2021 | 654,060,000 | 7,233,340 | |||||
Euro Stoxx 50 Price EUR, Contracts 10,836 | EUR | 3,800 | 9/17/2021 | 411,768,000 | 16,453,835 | ||||
39,653,775 | |||||||||
Total Options Purchased | 47,185,650 |
10
Description | Coupon | Principal Amount ($) | a | Value ($) | |||||
Preferred Stocks - 1.3% | |||||||||
Germany - 1.3% | |||||||||
Volkswagen | 2.30 | 164,618 | f | 42,987,799 | |||||
Shares | |||||||||
Exchange-Traded Funds - 5.4% | |||||||||
United States - 5.4% | |||||||||
Graniteshares Gold Trust | 1,621,522 | f,h | 28,506,357 | ||||||
iShares Gold Trust | 2,311,739 | f,h | 38,952,802 | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 870,000 | 23,046,300 | |||||||
SPDR Gold MiniShares Trust | 3,095,368 | f,h | 54,478,477 | ||||||
SPDR Gold Shares | 30,570 | f,h | 5,064,226 | ||||||
U.S. Copper Index Fund | 370,235 | f,h | 10,155,546 | ||||||
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 635,000 | 19,754,850 | |||||||
Total Exchange-Traded Funds | 179,958,558 | ||||||||
1-Day | |||||||||
Investment Companies - 15.2% | |||||||||
Closed-end Investment Companies - 5.3% | |||||||||
BBGI Global Infrastructure | 5,358,752 | 13,276,080 | |||||||
Greencoat UK Wind | 17,551,603 | 32,625,187 | |||||||
JLEN Environmental Assets Group | 4,341,058 | 6,594,140 | |||||||
Riverstone Credit Opportunities Income | 3,871,998 | 3,368,638 | |||||||
The Aquila European Renewables Income Fund | 19,049,880 | i | 24,161,039 | ||||||
The BioPharma Credit Fund | 19,756,560 | b | 19,203,837 | ||||||
The Gresham House Energy Storage Fund | 8,378,876 | 13,480,618 | |||||||
The Hipgnosis Songs Fund | 11,198,529 | 18,930,487 | |||||||
The Renewables Infrastructure Group | 18,605,023 | 32,318,694 | |||||||
US Solar Fund | 12,016,238 | i | 12,281,210 | ||||||
176,239,930 | |||||||||
Registered Investment Companies - 9.9% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.05 | 333,195,865 | j | 333,195,865 | |||||
Total Investment Companies | 509,435,795 |
11
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | 1-Day | Shares | Value ($) | ||||||
Investment of Cash Collateral for Securities Loaned - .6% | |||||||||
Registered Investment Companies - .6% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 0.01 | 20,330,428 | j | 20,330,428 | |||||
Total Investments (cost $2,762,811,694) | 97.5% | 3,272,015,336 | |||||||
Cash and Receivables (Net) | 2.5% | 83,709,506 | |||||||
Net Assets | 100.0% | 3,355,724,842 |
ADR—American Depository Receipt
ETF—Exchange-Traded Fund
REIT—Real Estate Investment Trust
COP—Colombian Peso
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
INR—Indian Rupee
MXN—Mexican Peso
NZD—New Zealand Dollar
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security, or portion thereof, on loan. At April 30, 2021, the value of the fund’s securities on loan was $24,645,704 and the value of the collateral was $26,091,249, consisting of cash collateral of $20,330,428 and U.S. Government & Agency securities valued at $5,760,821.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, these securities were valued at $81,825,661 or 2.44% of net assets.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Security issued with a zero coupon. Income is recognized through the accretion of discount.
f Non-income producing security.
g Investment in real estate investment trust within the United States.
h These securities are wholly-owned by the Subsidiary referenced in Note 1.
i Investment in non-controlled affiliates (cost $34,369,195).
j Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
12
Portfolio Summary (Unaudited) † | Value (%) |
Investment Companies | 21.2 |
Banks | 11.2 |
Health Care | 6.4 |
Diversified Financials | 5.2 |
Chemicals | 4.2 |
Insurance | 3.5 |
Internet Software & Services | 3.5 |
Foreign Governmental | 3.3 |
Consumer Discretionary | 3.1 |
Semiconductors & Semiconductor Equipment | 3.0 |
Information Technology | 2.8 |
Automobiles & Components | 2.8 |
Telecommunication Services | 2.7 |
Utilities | 2.4 |
Commercial & Professional Services | 2.2 |
Electronic Components | 1.9 |
Energy | 1.6 |
Consumer Durables & Apparel | 1.5 |
Consumer Staples | 1.5 |
Real Estate | 1.5 |
Industrial | 1.4 |
Options Purchased | 1.4 |
Food Products | 1.3 |
Metals & Mining | 1.2 |
Beverage Products | 1.1 |
Retailing | 1.1 |
Airlines | 1.0 |
Technology Hardware & Equipment | .8 |
Aerospace & Defense | .8 |
Transportation | .8 |
Media | .7 |
Advertising | .2 |
Materials | .2 |
97.5 |
† Based on net assets.
See notes to consolidated financial statements.
13
CONSOLIDATED STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases($)† | Sales($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 166,110,617 | 1,180,064,334 | (1,012,979,086) | 333,195,865 | 9.9 | 62,907 |
Investment of Cash Collateral for Securities Loaned: †† | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 11,929,337 | 1,189,696 | (13,119,033) | - | - | - |
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | - | 79,599,591 | (59,269,163) | 20,330,428 | .6 | 59,905††† |
Total | 178,039,954 | 1,260,853,621 | (1,085,367,282) | 353,526,293 | 10.5 | 122,812 |
† Includes reinvested dividends/distributions.
†† Effective November 9, 2020, cash collateral for securities lending was transferred from Dreyfus Institutional Preferred GovernmentPlus Money Market Fund, Institutional Shares to Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares.
††† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities to consolidated financial statements.
See notes to consolidated financial statements.
14
In addition, an affiliated company is a company in which the fund has ownership of at least 5% of the voting securities at April 30, 2021. Investments in affiliated companies during the period ended April 30, 2021 were as follows:
Investment | Value | Purchases($)† | Sales($) | Net Realized |
The Aquila European Renewables Income Fund | 23,622,429 | - | (714,130) | 39,338 |
US Solar Fund | 11,866,035 | - | - | - |
Total | 35,488,864 | - | (714,130) | 39,338 |
Investment | Change in Net Unrealized Appreciation | Value | Net | Dividends/ |
The Aquila European Renewables Income Fund | 1,213,002 | 24,161,039 | .7 | 294,802 |
US Solar Fund | 415,175 | 12,281,210 | .4 | 120,162 |
Total | 1,628,177 | 36,442,249 | .11 | 414,964 |
† Includes reinvested dividends/distributions.
See notes to consolidated financial statements.
15
CONSOLIDATED STATEMENT OF FUTURES
April 30, 2021 (Unaudited)
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation ($) | |
Futures Long | ||||||
FTSE 250 Index | 535 | 6/18/2021 | 31,626,417a | 33,206,664 | 1,580,247 | |
Gross Unrealized Appreciation | 1,580,247 |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to consolidated financial statements.
16
CONSOLIDATED STATEMENT OF OPTIONS WRITTEN
April 30, 2021 (Unaudited)
Description/ Contracts | Exercise Price | Expiration Date | Notional Amount | a | Value ($) | |
Call Options: | ||||||
Nasdaq 100 Stock Index, | 13,500 | 5/21/2021 | 174,150,000 | (6,611,250) | ||
Put Options: | ||||||
S&P 500 Index, | 3,200 | 12/17/2021 | 569,600,000 | (10,057,000) | ||
Euro Stoxx 50 Price EUR, | 3,500 | 9/17/2021 | 379,260,000 | EUR | (8,715,452) | |
Total Options Written (premiums received $39,878,253) | (25,383,702) |
a Notional amount stated in U.S. Dollars unless otherwise indicated.
EUR—Euro
See notes to consolidated financial statements.
17
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2021 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital | |||||
Swiss Franc | 11,789,066 | United States Dollar | 12,745,712 | 5/11/2021 | 166,666 |
Euro | 2,399,742 | United States Dollar | 2,878,667 | 7/13/2021 | 10,891 |
United States Dollar | 2,858,971 | Euro | 2,401,346 | 7/13/2021 | (32,518) |
CIBC World Markets Corp. | |||||
United States Dollar | 4,353,811 | Hong Kong Dollar | 33,831,509 | 5/11/2021 | (1,721) |
Citigroup | |||||
Hungarian Forint | 7,466,498,943 | United States Dollar | 25,283,716 | 5/11/2021 | (350,857) |
United States Dollar | 36,705,648 | Danish Krone | 229,281,205 | 6/17/2021 | (393,694) |
Euro | 178,581 | United States Dollar | 216,589 | 7/13/2021 | (1,557) |
J.P. Morgan Securities | |||||
Euro | 5,349,209 | United States Dollar | 6,453,921 | 7/13/2021 | (12,876) |
Swiss Franc | 3,354,877 | United States Dollar | 3,732,616 | 5/11/2021 | (58,072) |
United States Dollar | 9,491,389 | Indian Rupee | 702,676,000 | 6/17/2021 | 76,588 |
RBS Securities | |||||
United States Dollar | 100,281,195 | Hong Kong Dollar | 777,314,639 | 5/11/2021 | 208,245 |
Euro | 5,201,774 | United States Dollar | 6,240,314 | 7/13/2021 | 23,204 |
United States Dollar | 366,707 | Euro | 305,940 | 7/13/2021 | (1,679) |
British Pound | 2,711,354 | United States Dollar | 3,759,737 | 7/13/2021 | (14,441) |
State Street Bank and Trust Company | |||||
United States Dollar | 27,467,060 | Indonesian Rupiah | 400,881,745,000 | 6/17/2021 | (160,332) |
Euro | 8,747,216 | United States Dollar | 10,485,097 | 7/13/2021 | 47,529 |
United States Dollar | 465,532,142 | Euro | 391,098,879 | 7/13/2021 | (5,394,646) |
United States Dollar | 444,812,640 | British Pound | 323,257,521 | 7/13/2021 | (1,715,174) |
Swiss Franc | 387,867 | United States Dollar | 416,329 | 5/11/2021 | 8,495 |
United States Dollar | 99,478,838 | Swiss Franc | 88,335,239 | 5/11/2021 | 2,726,642 |
18
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation) ($) |
State Street Bank and Trust Company(continued) | |||||
Indian Rupee | 2,513,985,746 | United States Dollar | 33,457,000 | 6/17/2021 | 226,625 |
UBS Securities | |||||
Hong Kong Dollar | 28,572,521 | United States Dollar | 3,685,439 | 5/11/2021 | (6,959) |
United States Dollar | 4,905,163 | Hong Kong Dollar | 38,108,153 | 5/11/2021 | (952) |
British Pound | 666,075 | United States Dollar | 925,831 | 7/13/2021 | (5,756) |
Swiss Franc | 2,458,143 | United States Dollar | 2,694,033 | 5/4/2021 | (2,137) |
Swiss Franc | 936,533 | United States Dollar | 1,024,765 | 5/11/2021 | 1,005 |
United States Dollar | 2,694,499 | Swiss Franc | 2,458,143 | 5/11/2021 | 2,134 |
Euro | 5,810,684 | United States Dollar | 6,968,706 | 7/13/2021 | 28,007 |
Gross Unrealized Appreciation | 3,526,031 | ||||
Gross Unrealized Depreciation | (8,153,371) |
See notes to consolidated financial statements.
19
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Consolidated Statement of Investments |
|
|
| |||
Unaffiliated issuers | 2,374,916,206 |
| 2,882,046,794 |
| ||
Affiliated issuers |
| 387,895,488 |
| 389,968,542 |
| |
Cash |
|
|
|
| 3,599,339 |
|
Cash collateral held by broker—Note 4 |
| 102,765,270 |
| |||
Receivable for shares of Common Stock subscribed |
| 14,656,668 |
| |||
Receivable for investment securities sold |
| 13,855,063 |
| |||
Dividends, interest and securities lending income receivable |
| 10,867,074 |
| |||
Unrealized appreciation on forward foreign |
| 3,526,031 |
| |||
Tax reclaim receivable—Note 1(b) |
| 2,717,658 |
| |||
Receivable for futures variation margin—Note 4 |
| 170,677 |
| |||
Prepaid expenses |
|
|
|
| 163,378 |
|
|
|
|
|
| 3,424,336,494 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c) |
| 2,258,344 |
| |||
Cash overdraft due to Custodian |
|
| 480 |
| 475 |
|
Outstanding options written, at value |
| 25,383,702 |
| |||
Liability for securities on loan—Note 1(c) |
| 20,330,428 |
| |||
Unrealized depreciation on forward foreign |
| 8,153,371 |
| |||
Payable for investment securities purchased |
| 6,495,594 |
| |||
Payable for shares of Common Stock redeemed |
| 5,470,170 |
| |||
Foreign capital gains tax payable—Note 1(b) |
| 132,484 |
| |||
Directors’ fees and expenses payable |
| 35,041 |
| |||
Other accrued expenses |
|
|
|
| 352,043 |
|
|
|
|
|
| 68,611,652 |
|
Net Assets ($) |
|
| 3,355,724,842 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 2,927,984,720 |
|
Total distributable earnings (loss) |
|
|
|
| 427,740,122 |
|
Net Assets ($) |
|
| 3,355,724,842 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 61,474,523 | 33,312,853 | 2,310,760,850 | 950,176,616 |
|
Shares Outstanding | 3,598,032 | 2,008,192 | 134,848,365 | 55,359,300 |
|
Net Asset Value Per Share ($) | 17.09 | 16.59 | 17.14 | 17.16 |
|
|
|
|
|
|
|
See notes to consolidated financial statements. |
|
|
|
|
|
20
CONSOLIDATED STATEMENT OF OPERATION
Six Months Ended April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Dividends (net of $863,685 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 21,816,276 |
| ||
Affiliated issuers |
|
| 477,871 |
| ||
Interest (net of $195,136 foreign taxes withheld at source) |
|
| 9,274,309 |
| ||
Income from securities lending—Note 1(c) |
|
| 59,905 |
| ||
Total Income |
|
| 31,628,361 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 11,808,533 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 1,183,088 |
| ||
Subsidiary management fee—Note 3(a) |
|
| 992,177 |
| ||
Custodian fees—Note 3(c) |
|
| 182,889 |
| ||
Professional fees |
|
| 170,524 |
| ||
Distribution fees—Note 3(b) |
|
| 114,484 |
| ||
Prospectus and shareholders’ reports |
|
| 110,783 |
| ||
Registration fees |
|
| 110,451 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 106,941 |
| ||
Loan commitment fees—Note 2 |
|
| 45,183 |
| ||
Chief Compliance Officer fees—Note 3(c) |
|
| 7,766 |
| ||
Miscellaneous |
|
| 66,337 |
| ||
Total Expenses |
|
| 14,899,156 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (992,177) |
| ||
Net Expenses |
|
| 13,906,979 |
| ||
Investment Income—Net |
|
| 17,721,382 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions: |
|
| ||||
Unaffiliated issuers |
|
|
| 147,783,658 |
| |
Affiliated issuers |
|
|
| 39,338 |
| |
Net realized gain (loss) on options transactions | (21,552,085) |
| ||||
Net realized gain (loss) on futures | (17,690,258) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (23,748,566) |
| ||||
Net Realized Gain (Loss) |
|
| 84,832,087 |
| ||
Net change in unrealized appreciation (depreciation) on investments |
|
| ||||
Unaffiliated issuers |
|
|
| 258,427,653 |
| |
Affiliated issuers |
|
|
| 1,628,177 |
| |
Net change in unrealized appreciation (depreciation) on | (11,204,886) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | (9,442,871) |
| ||||
Net change in unrealized appreciation (depreciation) on | (10,486,661) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| 228,921,412 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 313,753,499 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 331,474,881 |
| |||
|
|
|
|
|
|
|
See notes to consolidated financial statements. |
21
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 17,721,382 |
|
|
| 40,253,690 |
| |
Net realized gain (loss) on investments |
| 84,832,087 |
|
|
| (39,837,106) |
| ||
Net change in unrealized appreciation |
| 228,921,412 |
|
|
| 87,421,054 |
| ||
Net Increase (Decrease) in Net Assets | 331,474,881 |
|
|
| 87,837,638 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Class A |
|
| (561,895) |
|
|
| (827,874) |
| |
Class C |
|
| (154,628) |
|
|
| (399,635) |
| |
Class I |
|
| (30,566,690) |
|
|
| (38,698,098) |
| |
Class Y |
|
| (13,223,639) |
|
|
| (30,081,580) |
| |
Total Distributions |
|
| (44,506,852) |
|
|
| (70,007,187) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 22,005,032 |
|
|
| 21,789,512 |
| |
Class C |
|
| 5,619,290 |
|
|
| 6,542,042 |
| |
Class I |
|
| 664,949,344 |
|
|
| 1,111,948,733 |
| |
Class Y |
|
| 132,345,697 |
|
|
| 185,422,581 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 539,652 |
|
|
| 744,385 |
| |
Class C |
|
| 126,789 |
|
|
| 331,035 |
| |
Class I |
|
| 28,393,092 |
|
|
| 36,636,497 |
| |
Class Y |
|
| 6,310,075 |
|
|
| 17,674,049 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (6,480,736) |
|
|
| (17,544,407) |
| |
Class C |
|
| (3,144,499) |
|
|
| (7,001,574) |
| |
Class I |
|
| (516,914,634) |
|
|
| (775,625,491) |
| |
Class Y |
|
| (150,448,403) |
|
|
| (597,200,783) |
| |
Increase (Decrease) in Net Assets | 183,300,699 |
|
|
| (16,283,421) |
| |||
Total Increase (Decrease) in Net Assets | 470,268,728 |
|
|
| 1,547,030 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,885,456,114 |
|
|
| 2,883,909,084 |
| |
End of Period |
|
| 3,355,724,842 |
|
|
| 2,885,456,114 |
|
22
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 1,323,572 |
|
|
| 1,414,797 |
| |
Shares issued for distributions reinvested |
|
| 32,667 |
|
|
| 48,716 |
| |
Shares redeemed |
|
| (389,113) |
|
|
| (1,163,981) |
| |
Net Increase (Decrease) in Shares Outstanding | 967,126 |
|
|
| 299,532 |
| |||
Class Ca |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 347,175 |
|
|
| 440,063 |
| |
Shares issued for distributions reinvested |
|
| 7,885 |
|
|
| 22,232 |
| |
Shares redeemed |
|
| (194,210) |
|
|
| (483,379) |
| |
Net Increase (Decrease) in Shares Outstanding | 160,850 |
|
|
| (21,084) |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 39,847,006 |
|
|
| 72,867,315 |
| |
Shares issued for distributions reinvested |
|
| 1,715,595 |
|
|
| 2,392,978 |
| |
Shares redeemed |
|
| (30,894,571) |
|
|
| (52,277,731) |
| |
Net Increase (Decrease) in Shares Outstanding | 10,668,030 |
|
|
| 22,982,562 |
| |||
Class Yb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 7,932,733 |
|
|
| 12,111,223 |
| |
Shares issued for distributions reinvested |
|
| 380,583 |
|
|
| 1,153,659 |
| |
Shares redeemed |
|
| (9,061,298) |
|
|
| (38,676,481) |
| |
Net Increase (Decrease) in Shares Outstanding | (747,982) |
|
|
| (25,411,599) |
| |||
|
|
|
|
|
|
|
|
|
|
a | During the period ended April 30, 2021, 84 Class C shares representing $1,357 were automatically converted to 82 Class A shares. | ||||||||
b | During the period ended April 30, 2021, 647 Class Y shares representing $10,623 were exchanged for 650 Class A shares and 445,916 Class Y shares representing $7,461,838 were exchanged for 446,651 Class I shares. During the period ended October 31, 2020, 67,249 Class A shares representing $1,027,572 were exchanged for 66,899 Class Y shares and 846,764 Class Y shares representing $12,738,422 were exchanged for 847,747 Class I shares. | ||||||||
See notes to consolidated financial statements. |
23
CONSOLIDATED FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s consolidated financial statements.
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.56 | 15.37 | 14.32 | 14.39 | 14.72 | 14.61 |
Investment Operations: | ||||||
Investment income—neta | .08 | .17 | .23 | .22 | .15 | .17 |
Net realized and unrealized | 1.65 | .35 | 1.29 | (.23) | (.09) | .51 |
Total from Investment Operations | 1.73 | .52 | 1.52 | (.01) | .06 | .68 |
Distributions: | ||||||
Dividends from | (.20) | (.33) | (.47) | (.06) | (.39) | (.57) |
Net asset value, end of period | 17.09 | 15.56 | 15.37 | 14.32 | 14.39 | 14.72 |
Total Return (%)b | 11.09c | 3.42 | 10.97 | (.05) | .47 | 4.87 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.17d | 1.21 | 1.12 | 1.13 | 1.17 | 1.16 |
Ratio of net expenses to | 1.11d | 1.12 | 1.11 | 1.13 | 1.15 | 1.15 |
Ratio of net investment income | .94d | 1.11 | 1.59 | 1.55 | 1.09 | 1.15 |
Portfolio Turnover Rate | 41.49c | 91.18 | 99.45 | 85.64 | 79.00 | 57.17 |
Net Assets, end of period ($ x 1,000) | 61,475 | 40,929 | 35,843 | 26,380 | 41,008 | 157,624 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to consolidated financial statements.
24
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.06 | 14.89 | 13.87 | 13.99 | 14.34 | 14.26 |
Investment Operations: | ||||||
Investment income—neta | .01 | .05 | .12 | .11 | .08 | .06 |
Net realized and unrealized | 1.60 | .33 | 1.26 | (.23) | (.12) | .50 |
Total from Investment Operations | 1.61 | .38 | 1.38 | (.12) | (.04) | .56 |
Distributions: | ||||||
Dividends from | (.08) | (.21) | (.36) | - | (.31) | (.48) |
Net asset value, end of period | 16.59 | 15.06 | 14.89 | 13.87 | 13.99 | 14.34 |
Total Return (%)b | 10.71c | 2.57 | 10.17 | (.86) | (.23) | 4.12 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.95d | 1.99 | 1.91 | 1.90 | 1.92 | 1.90 |
Ratio of net expenses | 1.89d | 1.90 | 1.90 | 1.89 | 1.90 | 1.90 |
Ratio of net investment income | .12d | .34 | .84 | .82 | .58 | .44 |
Portfolio Turnover Rate | 41.49c | 91.18 | 99.45 | 85.64 | 79.00 | 57.17 |
Net Assets, end of period ($ x 1,000) | 33,313 | 27,814 | 27,817 | 27,739 | 34,240 | 35,861 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to consolidated financial statements.
25
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.62 | 15.42 | 14.36 | 14.47 | 14.78 | 14.68 |
Investment Operations: | ||||||
Investment income—neta | .09 | .20 | .27 | .26 | .23 | .20 |
Net realized and unrealized | 1.66 | .36 | 1.30 | (.24) | (.13) | .52 |
Total from Investment Operations | 1.75 | .56 | 1.57 | .02 | .10 | .72 |
Distributions: | ||||||
Dividends from | (.23) | (.36) | (.51) | (.13) | (.41) | (.62) |
Net asset value, end of period | 17.14 | 15.62 | 15.42 | 14.36 | 14.47 | 14.78 |
Total Return (%) | 11.20b | 3.65 | 11.28 | .11 | .82 | 5.16 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .96c | 1.00 | .92 | .90 | .90 | .88 |
Ratio of net expenses | .90c | .90 | .90 | .90 | .90 | .88 |
Ratio of net investment income | 1.11c | 1.34 | 1.82 | 1.81 | 1.61 | 1.36 |
Portfolio Turnover Rate | 41.49b | 91.18 | 99.45 | 85.64 | 79.00 | 57.17 |
Net Assets, end of period ($ x 1,000) | 2,310,761 | 1,939,181 | 1,560,814 | 688,369 | 701,598 | 509,712 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to consolidated financial statements.
26
Six Months Ended | ||||||
April 30, 2021 | Year Ended October 31, | |||||
Class Y Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.64 | 15.45 | 14.39 | 14.49 | 14.79 | 14.69 |
Investment Operations: | ||||||
Investment income—neta | .10 | .22 | .29 | .28 | .24 | .22 |
Net realized and unrealized | 1.66 | .34 | 1.29 | (.25) | (.12) | .51 |
Total from Investment Operations | 1.76 | .56 | 1.58 | .03 | .12 | .73 |
Distributions: | ||||||
Dividends from | (.24) | (.37) | (.52) | (.13) | (.42) | (.63) |
Net asset value, end of period | 17.16 | 15.64 | 15.45 | 14.39 | 14.49 | 14.79 |
Total Return (%) | 11.33b | 3.66 | 11.36 | .24 | .92 | 5.18 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .86c | .89 | .81 | .80 | .82 | .81 |
Ratio of net expenses | .80c | .81 | .80 | .80 | .82 | .81 |
Ratio of net investment income | 1.21c | 1.44 | 1.92 | 1.92 | 1.67 | 1.53 |
Portfolio Turnover Rate | 41.49b | 91.18 | 99.45 | 85.64 | 79.00 | 57.17 |
Net Assets, end of period ($ x 1,000) | 950,177 | 877,533 | 1,259,436 | 803,690 | 789,983 | 707,727 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to consolidated financial statements.
27
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon Global Real Return Fund (the “fund”) is a separate diversified series of BNY Mellon Advantage Funds, 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 nine series, including the fund. The fund’s investment objective is to seek total return (consisting of capital appreciation and income). 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. Newton Investment Management Limited (the “Sub-Adviser”), a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, serves as the fund’s sub-investment adviser.
The fund may gain investment exposure to global commodity markets through investments in GRR Commodity Fund Ltd., (the “Subsidiary”), a wholly-owned and controlled subsidiary of the fund organized under the laws of the Cayman Islands. The Subsidiary has the ability to invest in commodities and securities consistent with the investment objective of the fund. The Adviser serves as investment adviser for the Subsidiary, the Sub-Adviser serves as the Subsidiary’s sub-investment advisor and Citibank N.A. serves as the Subsidiary’s custodian. The financial statements have been consolidated and include the accounts of the fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the fund and the Subsidiary, comprising the entire issued share capital of the Subsidiary, with the intent that the fund will remain the sole shareholder and retain all rights. Under the Amended and Restated Memorandum and Articles of Association, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The following summarizes the structure and relationship of the Subsidiary at April 30, 2021:
28
Subsidiary Activity | |||
Consolidated fund Net Assets ($) | 3,355,724,842 | ||
Subsidiary Percentage of fund Net Assets | 4.19% | ||
Subsidiary Financial Statement Information ($) | |||
Total assets | 140,758,247 | ||
Total liabilities | 103,941 | ||
Net assets | 140,654,306 | ||
Total income | - | ||
Total expenses | 1,009,239 | ||
Investment (loss)—net | (1,009,239) | ||
Net realized gain (loss) | 8,181,194 | ||
Net change in unrealized appreciation (depreciation) | (35,825,411) | ||
Net increase (decrease) in net assets resulting from operations | (28,653,456) |
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 500 million shares of $.001 par value Common Stock. The fund currently has authorized five classes of shares: Class A (45 million shares authorized), Class C (45 million shares authorized), Class I (205 million shares authorized) and Class Y (205 million shares authorized). 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 and Class Y shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs 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.
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
29
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
ASC Topic 946 Financial Services-Investment Companies. The fund’s consolidated 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:
Investments in debt securities excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency
30
exchange contracts (“forward contracts”), 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 the Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by a Service approved by the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
Fair valuing of securities may be determined with the assistance of a 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
31
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2021 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments In Securities:† | ||||||
Corporate Bonds | - | 439,354,057 | - | 439,354,057 | ||
Equity Securities - Common Stocks | 907,946,773 | 1,013,348,423 | †† | - | 1,921,295,196 | |
Equity Securities - Preferred Stocks | - | 42,987,799 | †† | - | 42,987,799 | |
Exchange-Traded Funds | 179,958,558 | - | - | 179,958,558 | ||
Foreign Governmental | - | 111,467,853 | - | 111,467,853 |
32
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($)(continued) | ||||||
Investments In Securities:†(continued) | ||||||
Investment Companies | 356,894,931 | 172,871,292 | †† | - | 529,766,223 | |
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts††† | - | 3,526,031 | - | 3,526,031 | ||
Futures††† | 1,580,247 | - | - | 1,580,247 | ||
Options Purchased | 47,185,650 | - | - | 47,185,650 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts††† | - | (8,153,371) | - | (8,153,371) | ||
Options Written | (25,383,702) | - | - | (25,383,702) |
† See Consolidated Statement of Investments for additional detailed categorizations, if any.
†† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
††† 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 Consolidated Statement of Assets and Liabilities.
(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
33
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
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 Consolidated Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of April 30, 2021, if any, are disclosed in the fund’s Consolidated 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, a subsidiary of BNY Mellon and an affiliate of the Adviser, 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 April 30, 2021, The Bank of New York Mellon earned $8,056 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: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political, economic
34
developments and public health conditions. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S. 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. 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 and 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.
The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the fund is required to increase its taxable income by its share of the Subsidiary’s income. Net investment
35
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
losses of the Subsidiary cannot be deducted by the fund in the current period nor carried forward to offset taxable income in future periods.
As of and during the period ended April 30, 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 Consolidated Statement of Operations. During the period ended April 30, 2021, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2020 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $127,895,136 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2020. If not applied, the fund has $80,138,908 of short-term capital losses and $47,756,228 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2020 was as follows: ordinary income $70,007,187. The tax character of current year distributions will be determined at the end of the current fiscal year.
(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.
36
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”), a subsidiary of BNY Mellon and an affiliate of the Adviser, 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 April 30, 2021, the fund did not borrow under the Facilities.
NOTE 3—Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) The Adviser has entered into separate management agreements with the fund and the Subsidiary pursuant to which the Adviser receives a management fee computed at the annual rate of .75% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly. In addition, the Adviser has contractually agreed for as long as the fund invests in the Subsidiary, to waive the management fee it receives from the fund in an amount equal to the management fee paid to the Adviser by the Subsidiary. The reduction in expenses, pursuant to the undertaking, amounted to $992,177 during the period ended April 30, 2021.
The Adviser has also contractually agreed, from November 1, 2020 through March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .90% of the value of the fund’s average daily net assets. On or after March 1, 2022, the Adviser may terminate this expense limitation at any time. During the period ended April 30, 2021, there were no reduction in expense pursuant to the undertaking.
37
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Pursuant to a sub-investment advisory agreement between the Adviser and Sub-Adviser, the Adviser pays Sub-Adviser a monthly fee at an annual rate of .36% of the value of the fund’s average daily net assets.
During the period ended April 30, 2021, the Distributor retained $7,470 from commissions earned on sales of the fund’s Class A shares and $594 from CDSC fees on redemptions of the fund’s Class A shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2021, Class C shares were charged $114,484 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2021, Class A and Class C shares were charged $64,457 and $38,162, respectively, pursuant to the Shareholder Services Plan.
The fund has an arrangement with the transfer agent whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Consolidated Statement of Operations.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an 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 Consolidated Statement of Operations.
The fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are
38
related to fund subscriptions and redemptions. During the period ended April 30, 2021, the fund was charged $8,291 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Consolidated Statement of Operations.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2021, the fund was charged $182,889 pursuant to the custody agreement.
During the period ended April 30, 2021, the fund was charged $7,766 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Consolidated Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Consolidated Statement of Assets and Liabilities consist of: management fees of $2,048,243, Subsidiary management fee of $85,920, Distribution Plan fees of $20,099, Shareholder Services Plan fees of $19,237, custodian fees of $162,783, Chief Compliance Officer fees of $5,242 and transfer agency fees of $2,740, which are offset against an expense reimbursement currently in effect in the amount of $85,920.
(d) 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, futures, options transactions and forward contracts, during the period ended April 30, 2021, amounted to $1,262,867,291 and $1,508,044,035, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
39
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Each type of derivative instrument that was held by the fund during the period ended April 30, 2021 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity risk and interest 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 Consolidated Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Consolidated 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 April 30, 2021 are set forth in the Consolidated Statement of Futures.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of equities and interest risk or as a substitute for an investment. The fund is subject to market risk and interest risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
40
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Consolidated Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction. Options written open at April 30, 2021 are set forth in Consolidated Statement of Options Written.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Consolidated Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master
41
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2021 are set forth in the Consolidated Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Consolidated Statement of Assets and Liabilities and the Consolidated Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2021 is shown below:
|
| Derivative |
|
|
| Derivative |
|
Equity risk | 48,765,897 | 1,2 | Equity risk | (25,383,702) | 3 | ||
Foreign exchange risk | 3,526,031 | 4 | Foreign exchange risk | (8,153,371) | 4 | ||
Gross fair value of | 52,291,928 |
|
|
| (33,537,073) |
| |
|
|
|
|
|
|
| |
| Consolidated Statement of Assets and Liabilities location: |
| |||||
1 | Includes cumulative appreciation (depreciation) on futures as reported in the | ||||||
2 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
3 | Outstanding options written, at value. | ||||||
4 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Consolidated Statement of Operations during the period ended April 30, 2021 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) |
| |||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
|
Interest rate | (19,536,196) |
| (419,370) |
| - |
| (19,955,566) |
|
Equity | 1,845,938 |
| (21,132,715) |
| - |
| (19,286,777) |
|
Foreign | - |
| - |
| (23,748,566) |
| (23,748,566) |
|
Total | (17,690,258) |
| (21,552,085) |
| (23,748,566) |
| (62,990,909) |
|
|
|
|
|
|
|
|
|
|
42
Net change in unrealized appreciation (depreciation) |
| ||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| |
Interest rate | 5,254,181 |
| 175,380 |
| - |
| 5,429,561 |
| |
Equity | (14,697,052) |
| (11,380,266) |
| - |
| (26,077,318) |
| |
Foreign | - |
| - |
| (10,486,661) |
| (10,486,661) |
| |
Total | (9,442,871) |
| (11,204,886) |
| (10,486,661) |
| (31,134,418) |
| |
|
|
|
|
|
|
|
|
|
|
| Consolidated Statement of Operations location: |
| |||||||
1 | Net realized gain (loss) on futures. | ||||||||
2 | Net realized gain (loss) on options transactions. | ||||||||
3 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||
4 | Net change in unrealized appreciation (depreciation) on futures. | ||||||||
5 | Net change in unrealized appreciation (depreciation) on options transactions. | ||||||||
6 | Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Consolidated Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Consolidated Statement of Assets and Liabilities.
At April 30, 2021, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures |
| 1,580,247 |
| - |
|
Options |
| 47,185,650 |
| (25,383,702) |
|
Forward contracts |
| 3,526,031 |
| (8,153,371) |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Consolidated Statement of |
| 52,291,928 |
| (33,537,073) |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
| (48,765,897) |
| 25,383,702 |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
| 3,526,031 |
| (8,153,371) |
|
43
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2021:
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Barclays Capital | 177,557 |
| (32,518) | - |
| 145,039 |
J.P. Morgan Securities | 76,588 |
| (70,948) | (5,640) |
| - |
RBS Securities | 231,449 |
| (16,120) | (215,329) |
| - |
State Street Bank | 3,009,291 |
| (3,009,291) | - |
| - |
UBS Securities | 31,146 |
| (15,804) | - |
| 15,342 |
Total | 3,526,031 |
| (3,144,681) | (220,969) |
| 160,381 |
|
|
|
|
|
|
|
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Barclays Capital | (32,518) |
| 32,518 | - |
| - |
CIBC World Markets | (1,721) |
| - | 1,721 |
| - |
Citigroup | (746,108) |
| - | 746,108 |
| - |
J.P. Morgan Securities | (70,948) |
| 70,948 | - |
| - |
RBS Securities | (16,120) |
| 16,120 | - |
| - |
State Street Bank | (7,270,152) |
| 3,009,291 | 4,260,861 |
| - |
UBS Securities | (15,804) |
| 15,804 | - |
| - |
Total | (8,153,371) |
| 3,144,681 | 5,008,690 |
| - |
|
|
|
|
|
|
|
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts | ||||||
2 In some instances, the actual collateral received and/or pledged may be more than the amount shown due to |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2021:
|
| Average Market Value ($) |
Equity futures |
| 182,748,373 |
Equity options contracts |
| 64,286,561 |
Interest rate futures |
| 427,651,820 |
Interest rate options contracts |
| 180,036 |
Forward contracts |
| 1,393,436,594 |
At April 30, 2021, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $520,651,100, consisting of
44
$582,082,014 gross unrealized appreciation and $61,430,914 gross unrealized depreciation.
At April 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Consolidated Statement of Investments).
45
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 8-9, 2021, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser and the Subadviser. The fund also may gain investment exposure to global commodity markets through investments in a wholly-owned and controlled subsidiary of the fund (the “Subsidiary”) that principally invests directly in commodity-related instruments, including futures and options contracts, swap agreements and pooled investment vehicles that invest in commodities. The Subsidiary has the same investment objective, investment adviser and sub-investmentadviser as the fund, although the Subsidiary’s agreements with the Adviser and the Subadviser are not subject to approval by the Board. In considering the renewal of the Agreements, the Board considered several factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex, including the fund. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including that there are no soft dollar arrangements in place for the fund) and the standards applied in seeking best execution.
46
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper, which included information comparing (1) the performance of the fund’s Class I shares with the performance of a group of institutional absolute return funds selected by Broadridge as comparable to the fund (the “Performance Group”) and with a broader group of funds consisting of all retail and institutional absolute return funds (the “Performance Universe”), all for various periods ended December 31, 2020, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of all institutional absolute return funds, excluding outliers (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Performance Comparisons. Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds and the end date selected. The Board discussed with representatives of the Adviser and the Subadviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group and the Performance Universe medians for all periods (ranking in the first quartile of the Performance Group and the Performance Universe for all periods). The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index, and it was noted that the fund’s returns were above the returns of the index in seven of the ten calendar years shown.
Management Fee and Expense Ratio Comparisons. The Board reviewed and considered the contractual management fee rate payable by the fund to the Adviser in light of the nature, extent and quality of the management and sub-advisory services provided by the Adviser and Subadviser, respectively. In addition, the Board reviewed and considered the actual management fee rate paid by the fund over the fund’s last fiscal year.
The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was slightly higher than the Expense Group median contractual management fee, the fund’s actual management fee was slightly higher than the Expense Group median and higher than the Expense Universe median actual management fee and the fund’s total expenses were higher than the Expense Group median and lower than the Expense Universe median total expenses.
Representatives of the Adviser stated that the Adviser has contractually agreed, until March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees,
47
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .90% of the fund’s average daily net assets. The Adviser has contractually agreed, for so long as the fund invests in the Subsidiary, to waive the management fee it receives from the fund in the amount equal to the management fee paid to the Adviser by the Subsidiary.
Representatives of the Adviser reviewed with the Board the management or investment advisory fees paid to the Adviser or the Subadviser or its affiliates for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee. Representatives of the Adviser noted that there were no other funds advised or administered by the Adviser that are in the same Lipper category as the fund.
The Board considered the fee to the Subadviser in relation to the fee paid to the Adviser by the fund and the respective services provided by the Subadviser and the Adviser. The Board also took into consideration that the Subadviser’s fee is paid by the Adviser (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also considered the expense limitation arrangement and its effect on the profitability of the Adviser and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by the Adviser and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since the Adviser, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had
48
been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser and the Subadviser are adequate and appropriate.
· The Board was satisfied with the fund’s performance.
· The Board concluded that the fees paid to the Adviser and the Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates and the Subadviser, of the Adviser and the Subadviser and the services provided to the fund by the Adviser and the Subadviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may
49
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
50
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53
BNY Mellon Global Real Return Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Newton Investment Management Limited
160 Queen Victoria Street
London, EC4V, 4LA, UK
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: DRRAX Class C: DRRCX Class I: DRRIX Class Y: DRRYX |
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 Sustainable Balanced Fund
SEMIANNUAL REPORT April 30, 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
Information About the Renewal of |
FOR MORE INFORMATION
Back Cover
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2020 through April 30, 2021, as provided by equity portfolio managers Yuko Takano and Rob Stewart of Newton Investment Management Limited, Sub-Investment Adviser, and fixed-income portfolio managers Nancy G. Rogers, CFA, and Paul Benson, CFA, of Mellon Investments Corporation.
Market and Fund Performance Overview
For the six-month period ended April 30, 2021, the BNY Mellon Sustainable Balanced Fund’s Class K shares produced a total return of 15.31% and Service shares returned 15.17%.1 In comparison the fund’s benchmark, the MSCI All Country World Index (NDR), the fund’s Customized Blended Index, a blend of 60% MSCI All Country World Index (NDR)/40% Bloomberg Barclays MSCI US Aggregate ESG Select Index and Bloomberg Barclays MSCI US Aggregate ESG Select Index, produced total returns of 28.29%, 15.53% and -1.79%, respectively, for the same period.2,3
Equities gained ground during the reporting period amid central bank policies that supported investor confidence, the implementation of a COVID-19 vaccine rollout and impending economic reopening. Bonds faced headwinds due to rising rates and building inflationary pressures. The fund underperformed its benchmark, the Customized Blended Index. In equities, the underperformance was primarily due to a lack of exposure to the energy sectors, as well as stock selections within the consumer discretionary and health care sectors. In fixed income, the difference in returns between the fund and the Bloomberg Barclays MSCI US Aggregate ESG Select Index was primarily the result of operating expenses that are not reflected in that Index’s results.
The Fund’s Investment Approach
The fund seeks long-term capital appreciation. To pursue its goal, the fund uses a global, multi-asset strategy. The fund normally invests 80% of its net assets, plus any borrowings for investment purposes, in the equity securities of issuers that demonstrate attractive attributes and sustainable business practices and have no material, unresolvable, environmental, social or governance (ESG) issues, and in debt securities included in the Bloomberg Barclays MSCI U.S. Aggregate ESG-Weighted Select Sector Neutral Index. Under normal market conditions, generally 60% of the fund’s net assets will be allocated to equity and equity-related investments and 40% of the fund’s net assets will be allocated to debt and debt-related securities.
The fund’s assets allocated to equity and equity-related investments are actively managed by Newton Investment Management Limited (“Newton”). Newton invests its allocated portion of the fund’s assets in companies it considers to be engaged in “sustainable business practices.” When determining whether a company engages in “sustainable business practices,” Newton considers whether the company (i) engages in business practices that are, in Newton’s view, sustainable in an economic sense (i.e., the company’s strategy, operations and finances are stable and durable) and (ii) takes appropriate measures to manage any material consequences or impact of its policies and operations in relation to ESG matters (e.g., the company’s environmental footprint, labor standards, board structure, etc.), as determined through Newton’s ESG quality review. Newton also may invest in companies where it believes it can promote sustainable business practices through ongoing company engagement and active proxy voting, such as by encouraging the company’s management to improve the company’s environmental footprint or voting the shares it holds of a company to improve the company’s governance structure.
2
The fund’s assets allocated to debt and debt-related investments are managed by Mellon Investments Corporation (“Mellon”), using an indexed approach. For the portion of the fund’s assets allocated to debt and debt-related investments, Mellon seeks to track the investment results, before fees and expenses, of the Bloomberg Barclays MSCI U.S. Aggregate ESG-Weighted Select Sector Neutral Index. Mellon selects investments for its allocated portion of the fund’s assets by a “sampling” process, which is a statistical process used to select debt securities so that this portion of the fund’s assets has investment characteristics that closely approximate those of the Index (e.g., duration, liquidity, quality, sector, industry, yield and market beta). Specifically, Mellon selects those securities that it determines best correspond to the Index’s aggregate risk metrics of duration, yield/spread, sector and quality, while seeking to mitigate such risks by investing in a diversified number of securities and issuers.
The fund changed its investment objective and strategy on April 1, 2019. Prior to April 1, 2019, the fund’s investment objective was to provide current income, while maintaining the potential for long-term capital appreciation. To pursue these goals, until April 1, 2019, the fund used an actively managed, global multi-asset strategy that focused on income generation. In addition, until April 1, 2019, Newton was the sole sub-adviser for the fund. Newton allocated the fund’s investments among equity and equity-related securities, debt and debt-related securities, and, generally to a lesser extent, real estate, commodities and infrastructure in developed and emerging markets.
Stimulus, Economic Reopening and Rising Rates Influence Markets
Global equities continued to advance over the six-month review period. Risk appetite was bolstered by a series of well-received geopolitical developments, not least the relatively benign outcome of the U.S. presidential election in early November, which saw Joe Biden voted in as president. Meanwhile, following much last-minute wrangling, a Brexit deal was finally agreed between the UK and the European Union on Christmas Eve, neutralizing another major risk for financial markets. Globally, monetary policy remained highly accommodative in light of the near-term economic headwinds arising from renewed COVID-19 restrictions and was thus firmly supportive of risk assets. With COVID-19 vaccines being rolled out and reflation underway, investors began to anticipate a dialing back of the exceptional levels of monetary stimulus witnessed over the last 12 months, and this contributed to a sharp rise in government-bond yields during the first quarter of 2021. The nature of fiscal stimulus also continued to evolve as President Biden formally announced his long-awaited U.S.$2 trillion infrastructure program. Global equity markets continued to push higher into the end of the review period as President Biden’s plans for a capital gains tax increase on the wealthiest Americans failed to dampen sentiment against a backdrop of broadly improving economic conditions and upbeat corporate earnings.
Fixed-income markets posted a modestly negative performance during the reporting period, largely due to yield curve steepening. Yields at the longer end of the curve rose dramatically due to the strengthening economic recovery, worries about inflation and concerns about when the Federal Reserve (the “Fed”) would begin tapering its bond purchases.
Equity Returns Driven by a Lack of Energy Exposure and Security Selections
A void in energy detracted as optimism around a rapid global economic recovery boosted the commodity price backdrop. Some disappointing stock selection in consumer discretionary and health care also weighed on relative returns. Alibaba Group Holding fell as the listing of Ant Group was suspended amid growing regulatory scrutiny of the company’s ecosystem. The
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
overhang of an ongoing antitrust investigation into the company’s practices continued to hamper investor sentiment for the remainder of the review period. Despite these headwinds, we find it difficult to envisage a scenario in which Alibaba Group Holding will not continue to be the leading e-commerce and cloud platform in China. With the defensive attributes of the utilities sector proving less alluring against a backdrop of stimulus tailwinds and improving coronavirus trends, a number of holdings in the sector weighed on relative returns as bond yields surged. These included CMS Energy, Orsted and Eversource Energy. Elsewhere, a void in Tesla also detracted.
Conversely, stock selection was particularly strong in information technology and financials. Within the former, Applied Materials performed well into the end of 2020 as quarterly revenue and earnings surpassed consensus expectations, supported by robust demand for the company’s semiconductor systems and services. Given the positive implications for sales, the stock received a further boost on news of Taiwan Semiconductor Manufacturing’s plans to increase capex to $25-$28 billion in 2021. Shares continued to perform well, aided by another strong set of results. Given the overriding strength in demand for semiconductor equipment, guidance also topped estimates with earnings momentum anticipated to continue. With its fortunes linked to an economic recovery, reopening optimism aided the banking sector. A backdrop of rising yields, perceived to be supportive of profitability, boosted Goldman Sachs Group, which also benefited from news that pandemic-induced divided restrictions were set to be relaxed by the Fed at the end of June. Results at the most recent juncture were strong, particularly from a revenue perspective.
Within fixed income, bonds generally posted weak results during the period, led by Treasuries, which make up approximately two-thirds of the Bloomberg Barclays MSCI US Aggregate ESG Select Index. Treasuries posted a loss 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. On the other hand, other spread sectors of the market performed relatively well. Corporate bonds outperformed Treasuries, led by the industrial sector. The commercial mortgage-backed market also posted strong excess returns. The residential mortgage-backed market outperformed Treasuries as well, helped in part by purchases from the Fed.
Maintaining a Long-Term Focus
Despite rising coronavirus infections in some regions around the globe, we remain positive on the prospects of an economic recovery led by a U.S.-driven, major stimulus package and an increasing pace of vaccinations. A key question remains the extent to which such a recovery has been built into valuations already and, as we move toward the end of the year, we anticipate that the market will need to see the beginnings of earnings progression in those more cyclically-exposed names that have performed well of late. After an initial rebound, we would question whether certain spaces will escape this crisis without impairment and/or permanent structural change. Our themes are crucial to us, in this situation, in providing a long-term guide to the most likely areas of strength.
While short-term market gyrations remain a consideration, our primary focus continues to be on those companies in which we have a strong long-term conviction. In this context, our thematic framework is able to serve as a valuable guide to our stock picking. Although we retain a particular focus on companies that have an exposure to attractive structural growth trends and possess strong, robust business models, these longer-term secular growth situations continue to be represented in the portfolio alongside businesses with more leverage to an eventual recovery.
4
In fixed income, as an index fund, we attempt to match closely the returns of the Bloomberg Barclays MSCI US Aggregate ESG Select Index by approximating its composition and credit quality.
May 17, 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 and does not take into consideration any maximum initial sales charge. 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. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect through March 1, 2022, at which time it may be extended, modified or terminated. Had these expenses not been absorbed, returns would have been lower. Had these expenses not been absorbed, returns would have been lower.
2 Source: Lipper Inc. — The MSCI ACWI Index captures large- and mid-cap representation across Developed Market (DM) countries and Emerging-Market (EM) countries. It reflects reinvestment of net dividends and, where applicable, capital gain distributions. Investors cannot invest directly in index.
3 Source: FactSet — The Bloomberg Barclays MSCI US Aggregate ESG Select Index is a fixed-rate, investment grade bond benchmark that follows the rules of the Bloomberg Barclays US Aggregate Index and applies additional sector and ESG criteria for security eligibility. In addition treasury, securitized, and class 2 government-related (agency, local authority, sovereign, supranational) and corporate (industrial, utility, and financial) sectors are weighted to match the individual sector exposures of the Bloomberg Barclays US Aggregate Index. 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.
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.
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.
The fund’s performance will be influenced by political, social and economic factors affecting investments in foreign companies. Special risks associated with such companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability, and differing auditing and legal standards.
Emerging markets tend to be more volatile than the markets of more mature economies and generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. The securities of companies located in emerging markets are often subject to rapid and large changes in price.
Currencies are can decline in value relative to a local currency, or, in the case of hedged positions, the local currency will decline relative to the currency being hedged. These risks may increase fund volatility.
Environmental, social and governance (ESG) managers may take into consideration factors beyond traditional financial information to select securities, which could result in relative investment performance deviating from other strategies or broad market benchmarks, depending on whether such sectors or investments are in or out of favor in the market. Further, ESG strategies may rely on certain values-based criteria to eliminate exposures found in similar strategies or broad market benchmarks, which could also result in relative investment performance deviating.
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.
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 Sustainable Balanced Fund from November 1, 2020 to April 30, 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 April 30, 2021 |
| |||
|
|
|
|
|
|
| Class K | Service Shares |
|
Expenses paid per $1,000† | $.80 | $2.13 |
| |
Ending value (after expenses) | $1,153.10 | $1,151.70 |
|
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 April 30, 2021 |
| |||
|
|
|
|
|
|
| Class K | Service Shares |
|
Expenses paid per $1,000† | $.75 | $2.01 |
| |
Ending value (after expenses) | $1,024.05 | $1,022.81 |
| |
† | Expenses are equal to the fund’s annualized expense ratio of .15% for Class K and .40% for Service Shares, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
April 30, 2021 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% | |||||||||
Australia - .1% | |||||||||
Westpac Banking, Sr. Unscd. Notes | 2.00 | 1/13/2023 | 15,000 | 15,448 | |||||
Canada - .8% | |||||||||
Bank of Montreal, Sub. Notes | 4.34 | 10/5/2028 | 15,000 | 16,220 | |||||
Canadian Imperial Bank of Commerce, Sr. Unscd. Notes | 3.10 | 4/2/2024 | 10,000 | 10,687 | |||||
Province of Alberta, Sr. Unscd. Notes | 2.20 | 7/26/2022 | 20,000 | 20,489 | |||||
Province of Ontario, Sr. Unscd. Bonds | 2.50 | 4/27/2026 | 25,000 | 26,756 | |||||
Province of Ontario, Sr. Unscd. Notes | 1.60 | 2/25/2031 | 10,000 | 9,708 | |||||
Province of Quebec, Unscd. Bonds | 0.60 | 7/23/2025 | 20,000 | 19,817 | |||||
Rogers Communications, Gtd. Notes | 2.90 | 11/15/2026 | 15,000 | 16,043 | |||||
The Toronto-Dominion Bank, Sr. Unscd. Notes | 3.25 | 3/11/2024 | 5,000 | 5,382 | |||||
125,102 | |||||||||
Colombia - .1% | |||||||||
Colombia, Sr. Unscd. Bonds | 8.13 | 5/21/2024 | 10,000 | 11,938 | |||||
Germany - .4% | |||||||||
KfW, Govt. Gtd. Bonds | 0.00 | 4/18/2036 | 15,000 | a | 10,890 | ||||
KfW, Govt. Gtd. Bonds | 0.38 | 7/18/2025 | 10,000 | 9,860 | |||||
KfW, Govt. Gtd. Notes | 2.63 | 2/28/2024 | 25,000 | 26,588 | |||||
Landwirtschaftliche Rentenbank, Govt. Gtd. Notes | 2.00 | 1/13/2025 | 15,000 | 15,773 | |||||
63,111 | |||||||||
Ireland - .1% | |||||||||
Shire Acquisitions Investments Ireland, Gtd. Notes | 2.88 | 9/23/2023 | 10,000 | 10,502 | |||||
Japan - .2% | |||||||||
Mitsubishi UFJ Financial Group, Sr. Unscd. Notes | 3.78 | 3/2/2025 | 25,000 | 27,420 | |||||
Panama - .1% | |||||||||
Panama, Sr. Unscd. Bonds | 9.38 | 4/1/2029 | 10,000 | 14,733 | |||||
Peru - .1% | |||||||||
Peru, Sr. Unscd. Bonds | 2.78 | 1/23/2031 | 15,000 | 15,049 | |||||
Poland - .1% | |||||||||
Poland, Sr. Unscd. Notes | 3.25 | 4/6/2026 | 15,000 | 16,595 | |||||
Supranational - .5% | |||||||||
Asian Development Bank, Sr. Unscd. Notes | 1.50 | 10/18/2024 | 15,000 | 15,500 | |||||
European Bank for Reconstruction & Development, Sr. Unscd. Notes | 2.75 | 3/7/2023 | 10,000 | 10,463 | |||||
European Investment Bank, Sr. Unscd. Notes | 0.88 | 5/17/2030 | 10,000 | 9,373 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
Supranational - .5% (continued) | |||||||||
European Investment Bank, Sr. Unscd. Notes | 1.88 | 2/10/2025 | 10,000 | 10,492 | |||||
Inter-American Development Bank, Sr. Unscd. Notes | 2.50 | 1/18/2023 | 15,000 | 15,590 | |||||
International Bank for Reconstruction & Development, Sr. Unscd. Bonds | 2.13 | 7/1/2022 | 20,000 | 20,458 | |||||
81,876 | |||||||||
United Kingdom - .4% | |||||||||
AstraZeneca, Sr. Unscd. Notes | 6.45 | 9/15/2037 | 10,000 | 14,403 | |||||
GlaxoSmithKline Capital, Gtd. Notes | 2.85 | 5/8/2022 | 20,000 | 20,545 | |||||
Vodafone Group, Sr. Unscd. Notes | 4.38 | 5/30/2028 | 15,000 | 17,276 | |||||
Vodafone Group, Sr. Unscd. Notes | 5.25 | 5/30/2048 | 10,000 | 12,652 | |||||
64,876 | |||||||||
United States - 34.1% | |||||||||
3M, Sr. Unscd. Bonds | 2.88 | 10/15/2027 | 15,000 | 16,205 | |||||
AbbVie, Sr. Unscd. Notes | 2.90 | 11/6/2022 | 5,000 | 5,187 | |||||
AbbVie, Sr. Unscd. Notes | 3.20 | 11/21/2029 | 5,000 | 5,349 | |||||
AbbVie, Sr. Unscd. Notes | 4.88 | 11/14/2048 | 5,000 | 6,182 | |||||
Amazon.com, Sr. Unscd. Notes | 4.05 | 8/22/2047 | 10,000 | 11,843 | |||||
Amazon.com, Sr. Unscd. Notes | 4.80 | 12/5/2034 | 10,000 | 12,698 | |||||
American Express, Sr. Unscd. Notes | 3.40 | 2/22/2024 | 25,000 | 27,012 | |||||
American Tower, Sr. Unscd. Notes | 3.50 | 1/31/2023 | 25,000 | 26,356 | |||||
American Water Capital, Sr. Unscd. Notes | 2.80 | 5/1/2030 | 15,000 | 15,673 | |||||
American Water Capital, Sr. Unscd. Notes | 4.15 | 6/1/2049 | 10,000 | 11,719 | |||||
American Water Capital, Sr. Unscd. Notes | 4.20 | 9/1/2048 | 15,000 | 17,585 | |||||
Amgen, Sr. Unscd. Notes | 4.56 | 6/15/2048 | 10,000 | 11,976 | |||||
Apple, Sr. Unscd. Notes | 3.25 | 2/23/2026 | 15,000 | 16,501 | |||||
Becton Dickinson & Co., Sr. Unscd. Notes | 2.82 | 5/20/2030 | 10,000 | 10,351 | |||||
Boston Properties, Sr. Unscd. Notes | 4.50 | 12/1/2028 | 15,000 | 17,265 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 3.88 | 8/15/2025 | 10,000 | 11,172 | |||||
Bristol-Myers Squibb, Sr. Unscd. Notes | 4.13 | 6/15/2039 | 10,000 | 11,713 | |||||
Caterpillar Financial Services, Sr. Unscd. Notes | 0.95 | 5/13/2022 | 15,000 | 15,114 | |||||
Centerpoint Energy Houston Electric, Mortgage Bonds | 3.55 | 8/1/2042 | 10,000 | 10,877 | |||||
Cigna, Gtd. Notes | 4.13 | 11/15/2025 | 15,000 | 16,872 | |||||
Cigna, Gtd. Notes | 4.38 | 10/15/2028 | 15,000 | 17,190 | |||||
Cisco Systems, Sr. Unscd. Notes | 5.50 | 1/15/2040 | 5,000 | 6,909 |
8
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
United States - 34.1% (continued) | |||||||||
Citigroup, Sr. Unscd. Notes | 3.20 | 10/21/2026 | 20,000 | 21,708 | |||||
Citigroup, Sr. Unscd. Notes | 3.98 | 3/20/2030 | 10,000 | 11,161 | |||||
Citigroup, Sr. Unscd. Notes | 4.41 | 3/31/2031 | 15,000 | 17,177 | |||||
Citigroup, Sub. Notes | 4.75 | 5/18/2046 | 10,000 | 12,153 | |||||
Commonwealth Edison, First Mortgage Bonds | 3.00 | 3/1/2050 | 10,000 | 9,807 | |||||
Conagra Brands, Sr. Unscd. Notes | 5.30 | 11/1/2038 | 5,000 | 6,219 | |||||
Credit Suisse USA, Gtd. Notes | 7.13 | 7/15/2032 | 25,000 | 35,353 | |||||
Crown Castle International, Sr. Unscd. Bonds | 3.80 | 2/15/2028 | 10,000 | 10,990 | |||||
CSX, Sr. Unscd. Notes | 3.35 | 11/1/2025 | 5,000 | 5,473 | |||||
CVS Health, Sr. Unscd. Notes | 5.05 | 3/25/2048 | 20,000 | 24,633 | |||||
Deere & Co., Sr. Unscd. Notes | 3.90 | 6/9/2042 | 10,000 | 11,724 | |||||
Dell International, Sr. Scd. Notes | 4.90 | 10/1/2026 | 15,000 | b | 17,244 | ||||
DuPont de Nemours, Sr. Unscd. Notes | 4.49 | 11/15/2025 | 10,000 | 11,367 | |||||
eBay, Sr. Unscd. Notes | 2.75 | 1/30/2023 | 10,000 | 10,395 | |||||
Eli Lilly & Co., Sr. Unscd. Notes | 2.25 | 5/15/2050 | 10,000 | 8,514 | |||||
Federal Home Loan Bank, Bonds | 2.50 | 2/13/2024 | 25,000 | 26,580 | |||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Ser. K077, Cl. A2 | 3.85 | 5/25/2028 | 30,000 | c | 34,693 | ||||
Federal National Mortgage Association, Notes | 0.50 | 6/17/2025 | 10,000 | c | 9,940 | ||||
Federal National Mortgage Association, Notes | 6.63 | 11/15/2030 | 20,000 | c | 28,604 | ||||
FedEx, Gtd. Notes | 5.25 | 5/15/2050 | 15,000 | 19,459 | |||||
Fiserv, Sr. Unscd. Notes | 4.40 | 7/1/2049 | 10,000 | 11,687 | |||||
General Mills, Sr. Unscd. Notes | 4.20 | 4/17/2028 | 5,000 | 5,701 | |||||
Gilead Sciences, Sr. Unscd. Notes | 3.25 | 9/1/2022 | 10,000 | 10,337 | |||||
Gilead Sciences, Sr. Unscd. Notes | 3.50 | 2/1/2025 | 5,000 | 5,443 | |||||
HCA, Sr. Scd. Notes | 5.25 | 6/15/2049 | 10,000 | 12,322 | |||||
Hewlett Packard Enterprise, Sr. Unscd. Notes | 4.45 | 10/2/2023 | 10,000 | 10,857 | |||||
HP, Sr. Unscd. Notes | 3.40 | 6/17/2030 | 10,000 | 10,686 | |||||
Humana, Sr. Unscd. Notes | 3.85 | 10/1/2024 | 10,000 | 10,922 | |||||
Intel, Sr. Unscd. Notes | 3.10 | 2/15/2060 | 10,000 | 9,615 | |||||
Intel, Sr. Unscd. Notes | 3.15 | 5/11/2027 | 10,000 | 10,968 | |||||
Intercontinental Exchange, Gtd. Notes | 3.75 | 12/1/2025 | 15,000 | 16,656 | |||||
International Business Machines, Sr. Unscd. Debs. | 5.88 | 11/29/2032 | 10,000 | 13,624 | |||||
International Business Machines, Sr. Unscd. Notes | 4.00 | 6/20/2042 | 5,000 | 5,720 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
United States - 34.1% (continued) | |||||||||
International Paper, Sr. Unscd. Notes | 4.40 | 8/15/2047 | 10,000 | 11,788 | |||||
ITC Holdings, Sr. Unscd. Notes | 3.35 | 11/15/2027 | 15,000 | 16,353 | |||||
Johnson & Johnson, Sr. Unscd. Notes | 2.63 | 1/15/2025 | 15,000 | 16,017 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.53 | 11/19/2041 | 10,000 | 9,148 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.96 | 11/15/2048 | 10,000 | 11,141 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 4.45 | 12/5/2029 | 20,000 | 23,089 | |||||
JPMorgan Chase & Co., Sub. Notes | 3.88 | 9/10/2024 | 10,000 | 10,945 | |||||
Lowe's, Sr. Unscd. Notes | 4.50 | 4/15/2030 | 10,000 | 11,665 | |||||
Lowe's, Sr. Unscd. Notes | 4.65 | 4/15/2042 | 10,000 | 12,042 | |||||
Marsh & McLennan, Sr. Unscd. Notes | 4.75 | 3/15/2039 | 15,000 | 18,844 | |||||
Mastercard, Sr. Unscd. Notes | 2.00 | 3/3/2025 | 10,000 | 10,461 | |||||
McDonald's, Sr. Unscd. Notes | 3.70 | 2/15/2042 | 10,000 | 10,794 | |||||
Merck & Co., Sr. Unscd. Notes | 3.90 | 3/7/2039 | 5,000 | 5,735 | |||||
Microsoft, Sr. Unscd. Notes | 2.88 | 2/6/2024 | 25,000 | 26,623 | |||||
Microsoft, Sr. Unscd. Notes | 4.25 | 2/6/2047 | 10,000 | 12,382 | |||||
Morgan Stanley, Sr. Unscd. Notes | 4.38 | 1/22/2047 | 10,000 | 12,077 | |||||
Morgan Stanley, Sr. Unscd. Notes | 4.43 | 1/23/2030 | 20,000 | 23,077 | |||||
Morgan Stanley, Sub. Notes | 4.10 | 5/22/2023 | 15,000 | 16,054 | |||||
Northern Trust, Sr. Unscd. Notes | 3.15 | 5/3/2029 | 20,000 | 21,658 | |||||
Novartis Capital, Gtd. Notes | 2.00 | 2/14/2027 | 10,000 | 10,340 | |||||
Oncor Electric Delivery, Sr. Scd. Notes | 3.10 | 9/15/2049 | 10,000 | 10,071 | |||||
Oncor Electric Delivery, Sr. Scd. Notes | 3.70 | 11/15/2028 | 15,000 | 16,876 | |||||
Oracle, Sr. Unscd. Notes | 1.65 | 3/25/2026 | 10,000 | 10,106 | |||||
Oracle, Sr. Unscd. Notes | 2.95 | 4/1/2030 | 10,000 | 10,360 | |||||
Oracle, Sr. Unscd. Notes | 4.00 | 11/15/2047 | 10,000 | 10,476 | |||||
Parker-Hannifin, Sr. Unscd. Notes | 3.25 | 6/14/2029 | 15,000 | 16,173 | |||||
PepsiCo, Sr. Unscd. Notes | 2.75 | 4/30/2025 | 15,000 | 16,136 | |||||
Potomac Electric Power, First Mortgage Bonds | 6.50 | 11/15/2037 | 15,000 | 21,523 | |||||
Prologis, Sr. Unscd. Notes | 2.25 | 4/15/2030 | 10,000 | 10,024 | |||||
Prudential Financial, Sr. Unscd. Notes | 4.35 | 2/25/2050 | 5,000 | 5,948 | |||||
State Street, Sr. Unscd. Notes | 2.65 | 5/15/2023 | 25,000 | 25,609 | |||||
Target, Sr. Unscd. Notes | 2.50 | 4/15/2026 | 15,000 | 16,114 | |||||
Texas Instruments, Sr. Unscd. Notes | 3.88 | 3/15/2039 | 10,000 | 11,624 | |||||
The Coca-Cola Company, Sr. Unscd. Notes | 3.45 | 3/25/2030 | 10,000 | 11,078 | |||||
The Goldman Sachs Group, Sr. Unscd. Notes | 3.85 | 1/26/2027 | 20,000 | 22,150 |
10
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
United States - 34.1% (continued) | |||||||||
The Home Depot, Sr. Unscd. Notes | 3.50 | 9/15/2056 | 10,000 | 10,784 | |||||
The Home Depot, Sr. Unscd. Notes | 3.90 | 12/6/2028 | 10,000 | 11,489 | |||||
The Mosaic Company, Sr. Unscd. Notes | 4.25 | 11/15/2023 | 10,000 | 10,805 | |||||
The PNC Financial Services Group, Sr. Unscd. Notes | 3.45 | 4/23/2029 | 10,000 | 11,043 | |||||
The Walt Disney Company, Gtd. Notes | 2.00 | 9/1/2029 | 15,000 | 14,923 | |||||
The Walt Disney Company, Gtd. Notes | 3.80 | 5/13/2060 | 10,000 | 11,021 | |||||
Truist Financial, Sr. Unscd. Notes | 3.75 | 12/6/2023 | 10,000 | 10,823 | |||||
TWDC Enterprises 18, Gtd. Notes | 4.13 | 6/1/2044 | 10,000 | 11,613 | |||||
Tyson Foods, Sr. Unscd. Notes | 4.55 | 6/2/2047 | 10,000 | 11,890 | |||||
U.S. Treasury Bonds | 1.13 | 8/15/2040 | 12,000 | 10,006 | |||||
U.S. Treasury Bonds | 1.13 | 5/15/2040 | 10,000 | 8,368 | |||||
U.S. Treasury Bonds | 1.25 | 5/15/2050 | 12,000 | 9,314 | |||||
U.S. Treasury Bonds | 1.38 | 11/15/2040 | 25,000 | 21,789 | |||||
U.S. Treasury Bonds | 1.38 | 8/15/2050 | 15,000 | 12,029 | |||||
U.S. Treasury Bonds | 1.63 | 11/15/2050 | 15,000 | 12,834 | |||||
U.S. Treasury Bonds | 1.88 | 2/15/2041 | 5,000 | 4,758 | |||||
U.S. Treasury Bonds | 1.88 | 2/15/2051 | 13,000 | 11,828 | |||||
U.S. Treasury Bonds | 2.00 | 2/15/2050 | 22,000 | 20,640 | |||||
U.S. Treasury Bonds | 2.25 | 8/15/2049 | 9,000 | 8,922 | |||||
U.S. Treasury Bonds | 2.38 | 11/15/2049 | 10,000 | 10,189 | |||||
U.S. Treasury Bonds | 2.50 | 2/15/2045 | 10,000 | 10,441 | |||||
U.S. Treasury Bonds | 2.75 | 11/15/2042 | 5,000 | 5,474 | |||||
U.S. Treasury Bonds | 2.75 | 8/15/2047 | 40,000 | 43,709 | |||||
U.S. Treasury Bonds | 2.88 | 5/15/2049 | 13,000 | 14,605 | |||||
U.S. Treasury Bonds | 3.00 | 2/15/2048 | 30,000 | 34,369 | |||||
U.S. Treasury Bonds | 3.00 | 2/15/2049 | 17,000 | 19,543 | |||||
U.S. Treasury Bonds | 3.00 | 8/15/2048 | 3,000 | 3,441 | |||||
U.S. Treasury Bonds | 3.13 | 2/15/2042 | 35,000 | 40,713 | |||||
U.S. Treasury Bonds | 3.13 | 11/15/2041 | 18,000 | 20,903 | |||||
U.S. Treasury Bonds | 3.13 | 5/15/2048 | 32,000 | 37,508 | |||||
U.S. Treasury Bonds | 3.63 | 2/15/2044 | 10,000 | 12,542 | |||||
U.S. Treasury Bonds | 3.88 | 8/15/2040 | 11,000 | 14,123 | |||||
U.S. Treasury Bonds | 4.38 | 11/15/2039 | 7,000 | 9,506 | |||||
U.S. Treasury Bonds | 4.38 | 5/15/2040 | 28,000 | 38,171 | |||||
U.S. Treasury Bonds | 4.50 | 2/15/2036 | 5,000 | 6,695 | |||||
U.S. Treasury Notes | 0.13 | 7/15/2023 | 10,000 | 9,984 | |||||
U.S. Treasury Notes | 0.13 | 9/15/2023 | 15,000 | 14,966 | |||||
U.S. Treasury Notes | 0.13 | 5/15/2023 | 20,000 | 19,981 | |||||
U.S. Treasury Notes | 0.13 | 5/31/2022 | 50,000 | 50,031 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
United States - 34.1% (continued) | |||||||||
U.S. Treasury Notes | 0.13 | 10/15/2023 | 25,000 | 24,936 | |||||
U.S. Treasury Notes | 0.13 | 1/15/2024 | 10,000 | 9,959 | |||||
U.S. Treasury Notes | 0.13 | 12/15/2023 | 10,000 | 9,964 | |||||
U.S. Treasury Notes | 0.25 | 4/15/2023 | 20,000 | 20,036 | |||||
U.S. Treasury Notes | 0.25 | 7/31/2025 | 10,000 | 9,824 | |||||
U.S. Treasury Notes | 0.38 | 11/30/2025 | 10,000 | 9,829 | |||||
U.S. Treasury Notes | 0.38 | 12/31/2025 | 12,000 | 11,779 | |||||
U.S. Treasury Notes | 0.50 | 2/28/2026 | 25,000 | 24,627 | |||||
U.S. Treasury Notes | 0.50 | 3/15/2023 | 25,000 | 25,164 | |||||
U.S. Treasury Notes | 0.50 | 4/30/2027 | 15,000 | 14,476 | |||||
U.S. Treasury Notes | 0.63 | 12/31/2027 | 15,000 | 14,400 | |||||
U.S. Treasury Notes | 0.63 | 5/15/2030 | 17,000 | 15,643 | |||||
U.S. Treasury Notes | 0.63 | 3/31/2027 | 20,000 | 19,482 | |||||
U.S. Treasury Notes | 0.63 | 8/15/2030 | 25,000 | 22,914 | |||||
U.S. Treasury Notes | 0.75 | 4/30/2026 | 15,000 | 14,929 | |||||
U.S. Treasury Notes | 0.75 | 3/31/2026 | 15,000 | 14,943 | |||||
U.S. Treasury Notes | 0.88 | 11/15/2030 | 30,000 | 28,059 | |||||
U.S. Treasury Notes | 1.13 | 2/15/2031 | 15,000 | 14,326 | |||||
U.S. Treasury Notes | 1.38 | 1/31/2025 | 25,000 | 25,784 | |||||
U.S. Treasury Notes | 1.38 | 2/15/2023 | 15,000 | 15,330 | |||||
U.S. Treasury Notes | 1.38 | 8/31/2026 | 10,000 | 10,231 | |||||
U.S. Treasury Notes | 1.38 | 10/15/2022 | 25,000 | 25,459 | |||||
U.S. Treasury Notes | 1.50 | 11/30/2024 | 20,000 | 20,718 | |||||
U.S. Treasury Notes | 1.50 | 3/31/2023 | 25,000 | 25,641 | |||||
U.S. Treasury Notes | 1.50 | 8/15/2026 | 15,000 | 15,445 | |||||
U.S. Treasury Notes | 1.50 | 1/15/2023 | 15,000 | 15,348 | |||||
U.S. Treasury Notes | 1.50 | 2/15/2030 | 15,000 | 14,957 | |||||
U.S. Treasury Notes | 1.63 | 8/15/2029 | 25,000 | 25,307 | |||||
U.S. Treasury Notes | 1.63 | 11/30/2026 | 25,000 | 25,860 | |||||
U.S. Treasury Notes | 1.63 | 12/15/2022 | 15,000 | 15,364 | |||||
U.S. Treasury Notes | 1.63 | 5/15/2026 | 25,000 | 25,943 | |||||
U.S. Treasury Notes | 1.63 | 2/15/2026 | 10,000 | 10,386 | |||||
U.S. Treasury Notes | 1.63 | 11/15/2022 | 15,000 | 15,347 | |||||
U.S. Treasury Notes | 1.75 | 6/15/2022 | 35,000 | 35,659 | |||||
U.S. Treasury Notes | 1.75 | 7/15/2022 | 40,000 | 40,803 | |||||
U.S. Treasury Notes | 1.75 | 12/31/2024 | 15,000 | 15,676 | |||||
U.S. Treasury Notes | 1.75 | 12/31/2026 | 20,000 | 20,820 | |||||
U.S. Treasury Notes | 1.75 | 6/30/2022 | 20,000 | 20,389 | |||||
U.S. Treasury Notes | 1.75 | 5/31/2022 | 40,000 | 40,727 | |||||
U.S. Treasury Notes | 1.88 | 8/31/2024 | 55,000 | 57,646 | |||||
U.S. Treasury Notes | 1.88 | 7/31/2022 | 15,000 | 15,336 | |||||
U.S. Treasury Notes | 1.88 | 6/30/2026 | 5,000 | 5,250 | |||||
U.S. Treasury Notes | 2.00 | 4/30/2024 | 100,000 | 104,963 |
12
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
United States - 34.1% (continued) | |||||||||
U.S. Treasury Notes | 2.00 | 5/31/2024 | 65,000 | 68,277 | |||||
U.S. Treasury Notes | 2.00 | 6/30/2024 | 65,000 | 68,322 | |||||
U.S. Treasury Notes | 2.00 | 8/15/2025 | 25,000 | 26,416 | |||||
U.S. Treasury Notes | 2.00 | 2/15/2025 | 30,000 | 31,651 | |||||
U.S. Treasury Notes | 2.13 | 11/30/2024 | 30,000 | 31,750 | |||||
U.S. Treasury Notes | 2.13 | 5/31/2026 | 10,000 | 10,626 | |||||
U.S. Treasury Notes | 2.13 | 9/30/2024 | 18,000 | 19,028 | |||||
U.S. Treasury Notes | 2.13 | 7/31/2024 | 50,000 | 52,797 | |||||
U.S. Treasury Notes | 2.25 | 3/31/2026 | 25,000 | 26,714 | |||||
U.S. Treasury Notes | 2.25 | 10/31/2024 | 30,000 | 31,859 | |||||
U.S. Treasury Notes | 2.25 | 11/15/2025 | 10,000 | 10,679 | |||||
U.S. Treasury Notes | 2.25 | 11/15/2024 | 45,000 | 47,805 | |||||
U.S. Treasury Notes | 2.25 | 12/31/2024 | 25,000 | 26,588 | |||||
U.S. Treasury Notes | 2.38 | 5/15/2027 | 25,000 | 26,874 | |||||
U.S. Treasury Notes | 2.38 | 8/15/2024 | 25,000 | 26,613 | |||||
U.S. Treasury Notes | 2.38 | 5/15/2029 | 28,000 | 29,984 | |||||
U.S. Treasury Notes | 2.63 | 2/15/2029 | 15,000 | 16,345 | |||||
U.S. Treasury Notes | 2.75 | 2/28/2025 | 20,000 | 21,671 | |||||
U.S. Treasury Notes | 2.75 | 2/15/2028 | 5,000 | 5,487 | |||||
U.S. Treasury Notes | 2.88 | 5/15/2028 | 40,000 | 44,248 | |||||
U.S. Treasury Notes | 2.88 | 8/15/2028 | 25,000 | 27,675 | |||||
U.S. Treasury Notes | 3.13 | 11/15/2028 | 35,000 | 39,398 | |||||
Union Pacific, Sr. Unscd. Notes | 4.10 | 9/15/2067 | 5,000 | 5,526 | |||||
United Parcel Service, Sr. Unscd. Notes | 3.05 | 11/15/2027 | 15,000 | 16,503 | |||||
Verizon Communications, Sr. Unscd. Notes | 2.99 | 10/30/2056 | 5,000 | b | 4,479 | ||||
Verizon Communications, Sr. Unscd. Notes | 4.33 | 9/21/2028 | 10,000 | 11,536 | |||||
Verizon Communications, Sr. Unscd. Notes | 5.01 | 8/21/2054 | 10,000 | 12,874 | |||||
Viacomcbs, Sr. Unscd. Debs. | 5.85 | 9/1/2043 | 10,000 | 12,821 | |||||
Visa, Sr. Unscd. Notes | 3.15 | 12/14/2025 | 15,000 | 16,418 | |||||
WW Grainger, Sr. Unscd. Notes | 1.85 | 2/15/2025 | 10,000 | 10,389 | |||||
Zoetis, Sr. Unscd. Notes | 3.90 | 8/20/2028 | 15,000 | 16,867 | |||||
Federal Home Loan Mortgage Corp.: | |||||||||
2.00%, 1/1/2051-3/1/2051 | 49,418 | c | 49,988 | ||||||
2.50%, 5/1/2035-8/1/2050 | 68,905 | c | 71,683 | ||||||
3.00%, 7/1/2046-6/1/2050 | 43,129 | c | 45,300 | ||||||
3.50%, 11/1/2047-7/1/2049 | 25,909 | c | 27,657 | ||||||
4.00%, 5/1/2049 | 10,415 | c | 11,180 | ||||||
5.00%, 10/1/2049 | 13,424 | c | 14,909 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) | Value ($) | |||||
Bonds and Notes - 37.1% (continued) | |||||||||
United States - 34.1% (continued) | |||||||||
Federal National Mortgage Association: | |||||||||
1.50% | 50,000 | c,d | 49,664 | ||||||
1.50% | 50,000 | c,d | 49,814 | ||||||
2.00%, 9/1/2040-5/1/2051 | 71,854 | c | 72,715 | ||||||
2.00% | 175,000 | c,d | 177,900 | ||||||
2.50% | 50,000 | c,d | 51,875 | ||||||
2.50%, 11/1/2031-11/1/2050 | 95,361 | c | 99,269 | ||||||
3.00%, 6/1/2034-6/1/2050 | 131,677 | c | 138,715 | ||||||
3.00% | 50,000 | c,d | 52,532 | ||||||
3.50% | 50,000 | c,d | 53,355 | ||||||
3.50%, 9/1/2037-11/1/2049 | 127,246 | c | 136,088 | ||||||
4.00% | 25,000 | c,d | 26,861 | ||||||
4.00%, 1/1/2048-8/1/2049 | 66,180 | c | 71,371 | ||||||
4.50%, 8/1/2047 | 10,756 | c | 11,765 | ||||||
4.50% | 50,000 | c,d | 54,501 | ||||||
5.50%, 9/1/2049 | 16,191 | c | 18,108 | ||||||
Government National Mortgage Association II: | |||||||||
2.00% | 50,000 | d | 51,023 | ||||||
2.50% | 75,000 | d | 77,965 | ||||||
3.00%, 11/20/2045-8/20/2050 | 88,722 | 93,582 | |||||||
3.50% | 25,000 | d | 26,521 | ||||||
3.50%, 11/20/2046-6/20/2049 | 63,736 | 68,000 | |||||||
4.00%, 4/20/2049-10/20/2049 | 39,087 | 41,925 | |||||||
4.50%, 2/20/2049-6/20/2049 | 17,225 | 18,706 | |||||||
5.00%, 6/20/2049 | 10,263 | 11,258 | |||||||
5,337,884 | |||||||||
Uruguay - .1% | |||||||||
Uruguay, Sr. Unscd. Bonds | 4.98 | 4/20/2055 | 10,000 | 12,445 | |||||
Total Bonds and Notes | 5,796,979 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 61.2% | |||||||||
Australia - 1.1% | |||||||||
Australia & New Zealand Banking Group | 1,266 | 28,060 | |||||||
CSL | 197 | 41,069 | |||||||
Dexus | 5,720 | 44,849 | |||||||
Insurance Australia Group | 4,796 | 18,083 | |||||||
National Australia Bank | 1,145 | 23,544 | |||||||
Westpac Banking | 983 | 19,005 | |||||||
174,610 | |||||||||
Canada - .9% | |||||||||
Intact Financial | 587 | 78,025 |
14
Description | Shares | Value ($) | |||||||
Common Stocks - 61.2% (continued) | |||||||||
Canada - .9% (continued) | |||||||||
The Toronto-Dominion Bank | 876 | 60,222 | |||||||
138,247 | |||||||||
China - 2.9% | |||||||||
3SBio | 46,000 | b,e | 43,586 | ||||||
Alibaba Group Holding | 4,576 | e | 132,189 | ||||||
Meituan, Cl. B | 2,215 | b,e | 84,336 | ||||||
Ping An Insurance Group Company of China, Cl. H | 5,000 | 54,630 | |||||||
Tencent Holdings | 1,689 | 135,074 | |||||||
449,815 | |||||||||
Denmark - 1.2% | |||||||||
Chr. Hansen Holding | 735 | e | 67,536 | ||||||
Novo Nordisk, Cl. B | 217 | 16,039 | |||||||
Novozymes, Cl. B | 743 | 52,853 | |||||||
Orsted | 331 | b | 48,129 | ||||||
184,557 | |||||||||
France - 2.7% | |||||||||
BNP Paribas | 749 | 48,093 | |||||||
Bureau Veritas | 797 | 23,838 | |||||||
Danone | 560 | 39,466 | |||||||
Kering | 50 | 40,053 | |||||||
Legrand | 676 | 65,815 | |||||||
L'Oreal | 181 | 74,335 | |||||||
LVMH | 50 | 37,633 | |||||||
Sanofi | 472 | 49,494 | |||||||
Valeo | 1,125 | 36,425 | |||||||
415,152 | |||||||||
Germany - 2.6% | |||||||||
Allianz | 128 | 33,301 | |||||||
Brenntag | 1,032 | 92,666 | |||||||
Continental | 341 | 46,188 | |||||||
Deutsche Wohnen | 404 | 21,884 | |||||||
Fresenius Medical Care & Co. | 261 | 20,774 | |||||||
HELLA GmbH & Co. | 768 | e | 46,043 | ||||||
Infineon Technologies | 2,466 | 99,585 | |||||||
SAP | 338 | 47,544 | |||||||
407,985 | |||||||||
Hong Kong - 1.1% | |||||||||
AIA Group | 9,000 | 114,411 | |||||||
Link REIT | 6,500 | 61,420 | |||||||
175,831 | |||||||||
Ireland - 1.6% | |||||||||
Accenture, Cl. A | 440 | 127,587 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 61.2% (continued) | |||||||||
Ireland - 1.6% (continued) | |||||||||
Kerry Group, Cl. A | 322 | 41,729 | |||||||
Medtronic | 611 | 79,992 | |||||||
249,308 | |||||||||
Japan - 4.2% | |||||||||
Ebara | 2,100 | 89,552 | |||||||
Fast Retailing | 100 | 82,151 | |||||||
Honda Motor | 1,300 | 38,465 | |||||||
KDDI | 1,100 | 33,288 | |||||||
M3 | 1,000 | 69,163 | |||||||
Mitsubishi UFJ Financial Group | 3,800 | 20,307 | |||||||
Nippon Telegraph & Telephone | 600 | 15,108 | |||||||
Recruit Holdings | 700 | 31,663 | |||||||
Seven & i Holdings | 800 | 34,443 | |||||||
Sony Group | 500 | 50,042 | |||||||
Sugi Holdings | 600 | 46,081 | |||||||
Sumitomo Mitsui Financial Group | 500 | 17,408 | |||||||
Suntory Beverage & Food | 1,100 | 37,151 | |||||||
Takeda Pharmaceutical | 1,200 | 40,135 | |||||||
Toyota Motor | 600 | 44,993 | |||||||
649,950 | |||||||||
Mexico - .5% | |||||||||
Fomento Economico Mexicano | 10,733 | 83,307 | |||||||
Netherlands - .7% | |||||||||
ASML Holding | 136 | 88,544 | |||||||
Wolters Kluwer | 203 | 18,375 | |||||||
106,919 | |||||||||
Norway - .4% | |||||||||
DNB | 958 | 20,583 | |||||||
Mowi | 1,805 | 44,626 | |||||||
65,209 | |||||||||
South Africa - .2% | |||||||||
Naspers, Cl. N | 113 | 25,818 | |||||||
South Korea - .5% | |||||||||
Samsung SDI | 138 | 80,521 | |||||||
Spain - .5% | |||||||||
Banco Santander | 12,851 | 49,649 | |||||||
Iberdrola | 1,741 | 23,555 | |||||||
73,204 | |||||||||
Switzerland - 1.4% | |||||||||
Lonza Group | 124 | e | 78,905 | ||||||
Nestle | 675 | 80,472 | |||||||
Roche Holding | 156 | 50,826 |
16
Description | Shares | Value ($) | |||||||
Common Stocks - 61.2% (continued) | |||||||||
Switzerland - 1.4% (continued) | |||||||||
Zurich Insurance Group | 42 | 17,236 | |||||||
227,439 | |||||||||
Taiwan - 1.1% | |||||||||
Taiwan Semiconductor Manufacturing | 8,000 | 173,358 | |||||||
Thailand - .2% | |||||||||
Kasikornbank | 9,200 | 38,969 | |||||||
United Kingdom - 4.5% | |||||||||
Ascential | 4,154 | 20,034 | |||||||
AstraZeneca | 328 | 34,944 | |||||||
Aviva | 6,003 | 33,174 | |||||||
Barclays | 19,867 | 48,130 | |||||||
Barratt Developments | 4,110 | 43,804 | |||||||
Bunzl | 1,376 | 44,213 | |||||||
Ferguson | 464 | 58,507 | |||||||
GlaxoSmithKline | 1,595 | 29,503 | |||||||
HSBC Holdings | 3,323 | 20,782 | |||||||
Informa | 3,164 | e | 24,557 | ||||||
Legal & General Group | 7,820 | 29,430 | |||||||
Linde | 411 | 117,480 | |||||||
Prudential | 1,771 | 37,514 | |||||||
RELX | 1,789 | 46,426 | |||||||
Taylor Wimpey | 14,745 | 36,557 | |||||||
Travis Perkins | 1,689 | e | 35,884 | ||||||
Unilever | 577 | 33,832 | |||||||
Wickes Group | 1,893 | e | 6,535 | ||||||
701,306 | |||||||||
United States - 32.9% | |||||||||
Abbott Laboratories | 589 | 70,727 | |||||||
Adobe | 154 | e | 78,284 | ||||||
Albemarle | 580 | 97,539 | |||||||
Alphabet, Cl. C | 118 | e | 284,394 | ||||||
Amazon.com | 78 | e | 270,459 | ||||||
American Express | 332 | 50,912 | |||||||
American Tower | 108 | f | 27,515 | ||||||
Amgen | 238 | 57,034 | |||||||
Apple | 3,215 | 422,644 | |||||||
Applied Materials | 929 | 123,288 | |||||||
AT&T | 2,289 | 71,897 | |||||||
Automatic Data Processing | 245 | 45,813 | |||||||
Becton Dickinson & Co. | 106 | 26,374 | |||||||
Biogen | 106 | e | 28,337 | ||||||
BlackRock | 73 | 59,809 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 61.2% (continued) | |||||||||
United States - 32.9% (continued) | |||||||||
Booking Holdings | 21 | e | 51,788 | ||||||
Bristol-Myers Squibb | 921 | 57,489 | |||||||
Brixmor Property Group | 1,940 | f | 43,340 | ||||||
Cigna | 206 | 51,296 | |||||||
Citigroup | 1,102 | 78,506 | |||||||
CME Group | 102 | 20,603 | |||||||
CMS Energy | 1,618 | 104,183 | |||||||
Colgate-Palmolive | 604 | 48,743 | |||||||
Costco Wholesale | 239 | 88,930 | |||||||
Dollar General | 102 | 21,904 | |||||||
Ecolab | 464 | 103,992 | |||||||
Eli Lilly & Co. | 295 | 53,917 | |||||||
Emerson Electric | 1,040 | 94,110 | |||||||
Eversource Energy | 1,043 | 89,927 | |||||||
Fidelity National Information Services | 569 | 87,000 | |||||||
Gilead Sciences | 454 | 28,815 | |||||||
Intel | 1,169 | 67,253 | |||||||
International Flavors & Fragrances | 338 | 48,053 | |||||||
Intuit | 263 | 108,398 | |||||||
Kansas City Southern | 239 | 69,838 | |||||||
Laureate Education, Cl. A | 2,110 | e | 29,012 | ||||||
Lowe's | 326 | 63,977 | |||||||
Mastercard, Cl. A | 314 | 119,967 | |||||||
Merck & Co. | 1,198 | 89,251 | |||||||
Microsoft | 1,382 | 348,513 | |||||||
Morgan Stanley | 607 | 50,108 | |||||||
NIKE, Cl. B | 464 | 61,536 | |||||||
Norfolk Southern | 271 | 75,674 | |||||||
Otis Worldwide | 790 | 61,517 | |||||||
PayPal Holdings | 335 | e | 87,867 | ||||||
PepsiCo | 469 | 67,611 | |||||||
Prologis | 445 | f | 51,856 | ||||||
S&P Global | 54 | 21,081 | |||||||
salesforce.com | 316 | e | 72,781 | ||||||
Starbucks | 504 | 57,703 | |||||||
Texas Instruments | 368 | 66,428 | |||||||
The Estee Lauder Companies, Cl. A | 163 | 51,149 | |||||||
The Goldman Sachs Group | 259 | 90,249 | |||||||
The Home Depot | 293 | 94,835 | |||||||
The PNC Financial Services Group | 257 | 48,046 | |||||||
The Procter & Gamble Company | 494 | 65,909 | |||||||
The TJX Companies | 656 | 46,576 |
18
Description | Shares | Value ($) | |||||||
Common Stocks - 61.2% (continued) | |||||||||
United States - 32.9% (continued) | |||||||||
The Walt Disney Company | 430 | e | 79,989 | ||||||
Thermo Fisher Scientific | 145 | 68,183 | |||||||
Union Pacific | 270 | 59,964 | |||||||
United Parcel Service, Cl. B | 316 | 64,420 | |||||||
Verizon Communications | 452 | 26,121 | |||||||
Visa, Cl. A | 386 | 90,154 | |||||||
5,143,588 | |||||||||
Total Common Stocks | 9,565,093 | ||||||||
1-Day | |||||||||
Investment Companies - 5.5% | |||||||||
Registered Investment Companies - 5.5% | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.05 | 861,272 | g | 861,272 | |||||
Total Investments (cost $13,347,452) | 103.8% | 16,223,344 | |||||||
Liabilities, Less Cash and Receivables | (3.8%) | (586,911) | |||||||
Net Assets | 100.0% | 15,636,433 |
REIT—Real Estate Investment Trust
a Security issued with a zero coupon. Income is recognized through the accretion of discount.
b Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, these securities were valued at $197,774 or 1.26% of net assets.
c The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
d Purchased on a forward commitment basis.
e Non-income producing security.
f Investment in real estate investment trust within the United States.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
U.S. Treasury Securities | 13.9 |
U.S. Government Agencies Mortgage-Backed | 10.7 |
Health Care | 8.2 |
Information Technology | 7.8 |
Banks | 6.2 |
Internet Software & Services | 6.1 |
Investment Companies | 5.5 |
Technology Hardware & Equipment | 4.0 |
Chemicals | 3.8 |
Diversified Financials | 3.8 |
Semiconductors & Semiconductor Equipment | 3.1 |
Retailing | 2.8 |
Utilities | 2.5 |
Insurance | 2.5 |
Consumer Discretionary | 2.2 |
Transportation | 2.0 |
Real Estate | 2.0 |
Telecommunication Services | 2.0 |
Consumer Staples | 1.8 |
Food Products | 1.7 |
Beverage Products | 1.4 |
Automobiles & Components | 1.4 |
Industrial | 1.3 |
Commercial & Professional Services | 1.3 |
Media | 1.1 |
Electronic Components | 1.0 |
Foreign Governmental | .9 |
Consumer Durables & Apparel | .9 |
Food & Staples Retailing | .6 |
Supranational Bank | .5 |
U.S. Government Agencies | .4 |
U.S. Government Agencies Collateralized Municipal-Backed Securities | .2 |
Advertising | .1 |
Forest Products & Paper | .1 |
103.8 |
† Based on net assets.
See notes to financial statements.
20
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases($)† | Sales($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 495,326 | 2,323,433 | (1,957,487) | 861,272 | 5.5 | 284 |
† Includes reinvested dividends/distributions.
See notes to financial statements.
21
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2021 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation ($) |
State Street Bank and Trust Company | |||||
United States Dollar | 498 | British Pound | 359 | 5/4/2021 | 3 |
Gross Unrealized Appreciation | 3 |
See notes to financial statements.
22
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 12,486,180 |
| 15,362,072 |
| ||
Affiliated issuers |
| 861,272 |
| 861,272 |
| |
Cash |
|
|
|
| 22,262 |
|
Cash denominated in foreign currency |
|
| 2,411 |
| 2,421 |
|
Receivable for investment securities sold |
| 210,064 |
| |||
Dividends and interest receivable |
| 49,311 |
| |||
Tax reclaim receivable—Note 1(b) |
| 17,602 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,395 |
| |||
Unrealized appreciation on forward foreign |
| 3 |
| |||
Due from BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 7,764 |
| |||
Prepaid expenses |
|
|
|
| 331 |
|
|
|
|
|
| 16,534,497 |
|
Liabilities ($): |
|
|
|
| ||
Payable for investment securities purchased |
| 848,970 |
| |||
Directors’ fees and expenses payable |
| 387 |
| |||
Other accrued expenses |
|
|
|
| 48,707 |
|
|
|
|
|
| 898,064 |
|
Net Assets ($) |
|
| 15,636,433 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 13,152,603 |
|
Total distributable earnings (loss) |
|
|
|
| 2,483,830 |
|
Net Assets ($) |
|
| 15,636,433 |
|
Net Asset Value Per Share | Class K | Service Shares |
|
Net Assets ($) | 14,420,161 | 1,216,272 |
|
Shares Outstanding | 946,804 | 80,000 |
|
Net Asset Value Per Share ($) | 15.23 | 15.20 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
23
STATEMENT OF OPERATION
Six Months Ended April 30, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Dividends (net of $3,490 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 77,347 |
| ||
Affiliated issuers |
|
| 284 |
| ||
Interest |
|
| 38,729 |
| ||
Total Income |
|
| 116,360 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 8,205 |
| ||
Professional fees |
|
| 61,033 |
| ||
Chief Compliance Officer fees—Note 3(b) |
|
| 7,766 |
| ||
Custodian fees—Note 3(b) |
|
| 6,802 |
| ||
Pricing fees |
|
| 6,048 |
| ||
Prospectus and shareholders’ reports |
|
| 4,619 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 1,491 |
| ||
Directors’ fees and expenses—Note 3(c) |
|
| 510 |
| ||
Loan commitment fees—Note 2 |
|
| 219 |
| ||
Registration fees |
|
| 181 |
| ||
Miscellaneous |
|
| 7,012 |
| ||
Total Expenses |
|
| 103,886 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (91,008) |
| ||
Net Expenses |
|
| 12,878 |
| ||
Investment Income—Net |
|
| 103,482 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 376,477 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 181 |
| ||||
Net Realized Gain (Loss) |
|
| 376,658 |
| ||
Net change in unrealized appreciation (depreciation) on investments | 1,611,269 |
| ||||
Net change in unrealized appreciation (depreciation) on | 3 |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| 1,611,272 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 1,987,930 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 2,091,412 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
24
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 103,482 |
|
|
| 220,457 |
| |
Net realized gain (loss) on investments |
| 376,658 |
|
|
| 242,206 |
| ||
Net change in unrealized appreciation |
| 1,611,272 |
|
|
| 647,062 |
| ||
Net Increase (Decrease) in Net Assets | 2,091,412 |
|
|
| 1,109,725 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Class K |
|
| (251,294) |
|
|
| (200,188) |
| |
Service Shares |
|
| (18,752) |
|
|
| (14,896) |
| |
Total Distributions |
|
| (270,046) |
|
|
| (215,084) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class K |
|
| 130,666 |
|
|
| 38,092 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class K |
|
| 1,191 |
|
|
| 31 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class K |
|
| (3,813) |
|
|
| (1,229) |
| |
Increase (Decrease) in Net Assets | 128,044 |
|
|
| 36,894 |
| |||
Total Increase (Decrease) in Net Assets | 1,949,410 |
|
|
| 931,535 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 13,687,023 |
|
|
| 12,755,488 |
| |
End of Period |
|
| 15,636,433 |
|
|
| 13,687,023 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Class K |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 8,804 |
|
|
| 2,881 |
| |
Shares issued for distributions reinvested |
|
| 82 |
|
|
| 3 |
| |
Shares redeemed |
|
| (254) |
|
|
| (96) |
| |
Net Increase (Decrease) in Shares Outstanding | 8,632 |
|
|
| 2,788 |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
25
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.
Six Months Ended | ||||||||
April 30, 2021 | Year Ended October 31, | |||||||
Class K Shares | (Unaudited) | 2020 | 2019a | 2018b | ||||
Per Share Data ($): | ||||||||
Net asset value, beginning of period | 13.45 | 12.56 | 11.57 | 12.50 | ||||
Investment Operations: | ||||||||
Investment income—netc | .10 | .22 | .26 | .37 | ||||
Net realized and unrealized | 1.95 | .88 | .97 | (1.05) | ||||
Total from Investment Operations | 2.05 | 1.10 | 1.23 | (.68) | ||||
Distributions: | ||||||||
Dividends from | (.27) | (.21) | (.24) | (.25) | ||||
Net asset value, end of period | 15.23 | 13.45 | 12.56 | 11.57 | ||||
Total Return (%) | 15.31d | 8.88 | 11.03 | (5.64)d | ||||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses | 1.37e | 1.42 | 2.11 | 2.19e | ||||
Ratio of net expenses | .15e | .15 | .40 | .71e | ||||
Ratio of net investment income | 1.41e | 1.70 | 2.16 | 3.10e | ||||
Portfolio Turnover Rate | 48.36d,f | 87.52f | 220.33 | 81.07d | ||||
Net Assets, end of period ($ x 1,000) | 14,420 | 12,614 | 11,753 | 5,412 |
a Effective April 1, 2019, Class Y shares were redesignated as Class K Shares.
b From November 30, 2017 (commencement of operations) to October 31, 2018.
c Based on average shares outstanding.
d Not annualized.
e Annualized.
f The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended April 30, 2021 and October 31, 2020 were 35.25% and 52.86%, respectively.
See notes to financial statements.
26
Six Months Ended | ||||||||||
April 30, 2021 | Year Ended October 31, | |||||||||
Service Shares | (Unaudited) | 2020 | 2019a | 2018b | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 13.41 | 12.53 | 11.56 | 12.50 | ||||||
Investment Operations: | ||||||||||
Investment income—netc | .08 | .19 | .23 | .32 | ||||||
Net realized and unrealized | 1.94 | .88 | .97 | (1.03) | ||||||
Total from Investment Operations | 2.02 | 1.07 | 1.20 | (.71) | ||||||
Distributions: | ||||||||||
Dividends from | (.23) | (.19) | (.23) | (.23) | ||||||
Net asset value, end of period | 15.20 | 13.41 | 12.53 | 11.56 | ||||||
Total Return (%) | 15.17d | 8.50 | 10.73 | (5.79)d | ||||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | 1.62e | 1.67 | 2.34 | 2.56e | ||||||
Ratio of net expenses | .40e | .40 | .62 | .96e | ||||||
Ratio of net investment income | 1.16e | 1.45 | 1.95 | 2.78e | ||||||
Portfolio Turnover Rate | 48.36d,f | 87.52f | 220.33 | 81.07d | ||||||
Net Assets, end of period ($ x 1,000) | 1,216 | 1,073 | 1,003 | 925 |
a Effective April 1, 2019, Class A shares were redesignated as Service Shares.
b From November 30, 2017 (commencement of operations) to October 31, 2018.
c Based on average shares outstanding.
d Not annualized.
e Annualized.
f The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended April 30, 2021 and October 31, 2020 were 35.25% and 52.86%, respectively.
See notes to financial statements.
27
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon Sustainable Balanced Fund (the “fund”) is a separate diversified series of BNY Mellon Advantage Funds, 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 nine series, including the fund. The fund’s investment objective is to seek long-term capital appreciation. 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. Each of Newton Investment Management Limited (“Newton”) and Mellon Investments Corporation (“Mellon”), each a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, serve as the fund’s sub-investment advisers (the “Sub-Advisers”).
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 400 million shares of $.001 par value Common Stock. The fund currently has authorized two classes of shares: Class K and Service. Class K shares (300 million shares authorized) and Service shares (100 million shares authorized). Class K shares are generally only offered to state-sponsored retirement plans. Service Class shares are generally offered only to holders of Class K who terminate their relationship with state-sponsored retirement plans. Each class of shares has identical rights and privileges, except with respect to the Shareholder Services Plan and the expenses borne by each class, the allocation of certain transfer agency costs, 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.
As of April 30, 2021, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 935,314 of Class K shares and all of the outstanding Service Shares of the fund.
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
28
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.
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.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in debt securities excluding short-term investments (other than U.S. Treasury Bills), are valued each business day by one or more independent pricing services (each, a “Service”) approved by the 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 the Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by a Service approved by the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
Fair valuing of securities may be determined with the assistance of a 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.
30
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2021 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments In Securities:† | ||||||
Corporate Bonds | - | 1,697,534 | - | 1,697,534 | ||
Equity Securities - Common Stocks | 5,690,201 | 3,874,892 | †† | - | 9,565,093 | |
Foreign Governmental | - | 147,530 | - | 147,530 | ||
Investment Companies | 861,272 | - | - | 861,272 | ||
U.S. Government Agencies | - | 65,124 | - | 65,124 |
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($)(continued) | ||||||
Investments In Securities:†(continued) | ||||||
U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 34,693 | - | 34,693 | ||
U.S. Government Agencies Mortgage-Backed | - | 1,674,230 | - | 1,674,230 | ||
U.S. Treasury Securities | - | 2,177,868 | - | 2,177,868 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts††† | - | 3 | - | 3 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
††† 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 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
32
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 April 30, 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.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political, economic developments and public health conditions. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S. 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 worldwide. 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. 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.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(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 on a monthly basis. 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 April 30, 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 April 30, 2021, the fund did not incur any interest or penalties.
Each tax year in the three years period ended October 31, 2020 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $788,499 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2020. The fund has $119,126 of short-term capital losses and $669,373 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2020 was as follows: ordinary income $215,084. The tax character of current year distributions will be determined at the end of the current fiscal year.
(h) New accounting pronouncements: In March 2020, the FASB issued Accounting Standards Update 2020-04, Reference Rate Reform (Topic
34
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”), a subsidiary of BNY Mellon and an affiliate of the Adviser, 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 April 30, 2021, the fund did not borrow under the Facilities.
NOTE 3—Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .11% of the value of the fund’s average daily net assets and is payable monthly. The Adviser has contractually agreed, from November 1, 2020 through March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund, so
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
that the direct expenses of neither class (excluding Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .15% of the value of the fund’s average daily net assets. On or after March 1, 2022, the Adviser may terminate this expense limitation at any time. The reduction in expenses, pursuant to the undertaking, amounted to $91,008 during the period ended April 30, 2021.
Pursuant to a sub-investment advisory agreements between the Adviser and the respective Sub-Advisers, Newton and Mellon each serve as the fund’s sub-investment adviser responsible for the day-to-day management of a portion of the fund’s portfolio. The Adviser pays each of Newton and Mellon a monthly fee at an annual percentage of the value of the fund’s average daily net assets. The Adviser has obtained an exemptive order from the SEC (the “Order”), upon which the fund may rely, to use a manager of managers approach that permits the Adviser, subject to certain conditions and approval by the Board, to enter into and materially amend sub-investment advisory agreements with one or more sub-investment advisers who are either unaffiliated with the Adviser or are wholly-owned subsidiaries (as defined under the Act) of the Adviser’s ultimate parent company, BNY Mellon, without obtaining shareholder approval. The Order also allows the fund to disclose the sub-investment advisory fee paid by the Adviser to any unaffiliated sub-investment adviser in the aggregate with other unaffiliated sub-investment advisers in documents filed with the SEC and provided to shareholders. In addition, pursuant to the Order, it is not necessary to disclose the sub-investment advisory fee payable by the Adviser separately to a sub-investment adviser that is a wholly-owned subsidiary of BNY Mellon in documents filed with the SEC and provided to shareholders; such fees are to be aggregated with fees payable to the Adviser. The Adviser has ultimate responsibility (subject to oversight by the Board) to supervise any sub-investment adviser and recommend the hiring, termination, and replacement of any sub-investment adviser to the Board.
(b) Under the Shareholder Services Plan, Service shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund, and services related to the maintenance of shareholder accounts. Pursuant to the Plan, the Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service
36
Agents. During the period ended April 30, 2021, the fund was charged $1,458 pursuant to the Shareholder Services Plan.
The fund has an arrangement with the transfer agent whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Statement of Operations.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an 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 fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2021, the fund was charged $31 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2021, the fund was charged $6,802 pursuant to the custody agreement.
During the period ended April 30, 2021, the fund was charged $7,766 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.
The components of “Due from BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $1,407, Shareholder Services Plan fees of $249, custodian fees of $3,200, Chief Compliance Officer fees of $5,242 and transfer agency fees of $11, which are offset against an expense reimbursement currently in effect in the amount of $17,873.
(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.
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities and forward contracts, during the period ended April 30, 2021, amounted to $7,070,938 and $7,168,394, respectively, of which $1,916,433 in purchases and $1,916,938 in sales were from mortgage dollar roll 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.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2021 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the
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forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2021 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2021:
|
| Average Market Value ($) |
Forward contracts |
| 435 |
At April 30, 2021, accumulated net unrealized appreciation on investments inclusive of derivatives contracts was $2,875,895, consisting of $3,001,751 gross unrealized appreciation and $125,856 gross unrealized depreciation.
At April 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
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INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 8-9, 2021, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”), the Sub-Investment Advisory Agreement pursuant to which Newton Investment Management Limited (“Newton”) provides asset allocation for the fund and manages the portion of the fund’s assets allocated to equity and equity-related investments (the “Newton Agreement”) and the Sub-Investment Advisory Agreement pursuant to which Mellon Investments Corporation (together with Newton, the “Subadvisers” and each a “Subadviser”) provides day-to-day management of the fund’s assets allocated to debt and debt-related investments (the “Mellon Agreement” and, together with the Newton Agreement and the Agreement, the “Agreements”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser and the Subadvisers. In considering the renewal of the Agreements, the Board considered several factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex, including the fund. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the Subadvisers. The Board also considered portfolio management’s brokerage policies and practices (including that there are no soft dollar arrangements in place for the fund) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc.
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(“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper, which included information comparing (1) the performance of the fund’s Class K shares with the performance of a group of institutional flexible portfolio funds selected by Broadridge as comparable to the fund (the “Performance Group”) and with a broader group of funds consisting of all retail and institutional flexible portfolio funds (the “Performance Universe”), all for various periods ended December 31, 2020, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of all institutional flexible portfolio funds, excluding outliers (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Performance Comparisons. Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds and the end date selected. The Board discussed with representatives of the Adviser and the Subadvisers the results of the comparisons and considered that the fund’s total return performance was above the Performance Group and Performance Universe medians for all of periods shown (ranked first in the Performance Group in the one- and two-year periods). The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
Management Fee and Expense Ratio Comparisons. The Board reviewed and considered the contractual management fee rate payable by the fund to the Adviser in light of the nature, extent and quality of the management and sub-advisory services provided by the Adviser and each of the Subadvisers, respectively. In addition, the Board reviewed and considered the actual management fee rate paid by the fund over the fund’s last fiscal year which included reductions for a fee waiver arrangement in place that reduced the investment advisory fee paid to the Adviser.
The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was the lowest in the Expense Group, the fund’s actual management fee (which was zero) was the lowest in the Expense Group and Expense Universe and the fund’s total expenses were lower than the Expense Group median and the Expense Universe median total expenses (lowest in the Expense Group).
Representatives of the Adviser stated that the Adviser has contractually agreed, until March 1, 2022, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on
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INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
borrowings and extraordinary expenses) exceed .15% of the fund’s average daily net assets.
Representatives of the Adviser noted that there were no other funds advised or administered by the Adviser that are in the same Lipper category as the fund or separate accounts and/or other types of client portfolios advised by the Adviser or the Subadvisers that are considered to have similar investment strategies and policies as the fund.
The Board considered the fee to each Subadviser in relation to the fee paid to the Adviser by the fund and the respective services provided by the Subadviser and the Adviser. The Board also took into consideration that each Subadviser’s fee is paid by the Adviser (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also considered the expense limitation arrangement and its effect on the profitability of the Adviser and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by the Adviser and the Subadvisers, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since the Adviser, and not the fund, pays each Subadviser pursuant to the Newton Agreement or the Mellon Agreement, as applicable, the Board did not consider the profitability of the Subadvisers to be relevant to its deliberations. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser and the Subadvisers from acting as
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investment adviser and sub-investment advisers, respectively, and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser and each Subadviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s performance.
· The Board concluded that the fees paid to the Adviser and each Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates and the Subadvisers, of the Adviser and each Subadviser and the services provided to the fund by the Adviser and the Subadvisers. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
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BNY Mellon Sustainable Balanced Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Advisers
Newton Investment Management Limited
160 Queen Victoria Street
London, EC4V, 4LA, UK
Mellon Investment Corporation
BNY Mellon Center
One Boston Place
Boston, MA 02108
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 K: DRAKX Service: DRASX |
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. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
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) Not applicable.
(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 Advantage Funds, Inc.
By: /s/ David DiPetrillo
David DiPetrillo
President (Principal Executive Officer)
Date: June 22, 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: June 22, 2021
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: June 22, 2021
EXHIBIT INDEX
(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)