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 811-08703
BNY Mellon High Yield Strategies Fund
(Exact Name of Registrant as Specified in Charter)
c/o BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New
York, New York 10286
(Address of Principal Executive Offices) (Zip Code)
Deirdre Cunnane, Esq.
240 Greenwich Street
New
York, New York 10286
(Name and Address of Agent for Service)
Registrant's Telephone Number, including Area Code: (212) 922-6400
Date of fiscal year end: 3/31
Date of reporting period: 9/30/24
FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon High Yield Strategies Fund
SEMI-ANNUAL REPORT September 30, 2024 |
|
BNY Mellon High Yield Strategies Fund Protecting
Your Privacy THE FUND IS COMMITTED TO YOUR PRIVACY. On this page, you will find the fund’s policies and practices for collecting, disclosing, and safeguarding “nonpublic personal information,” which may include financial or other customer information. These policies apply to individuals who purchase fund shares for personal, family, or household purposes, or have done so in the past. This notification replaces all previous statements of the fund’s consumer privacy policy, and may be amended at any time. We’ll keep you informed of changes as required by law. YOUR ACCOUNT IS PROVIDED IN A SECURE ENVIRONMENT. The fund maintains physical, electronic and procedural safeguards that comply with federal regulations to guard nonpublic personal information. The fund’s agents and service providers have limited access to customer information based on their role in servicing your account. THE FUND COLLECTS INFORMATION IN ORDER TO SERVICE AND ADMINISTER YOUR ACCOUNT. The fund collects a variety of nonpublic personal information, which may include: • Information we receive from you, such as your name, address, and social security number. • Information about your transactions with us, such as the purchase or sale of fund shares. • Information we receive from agents and service providers, such as proxy voting information. THE FUND DOES NOT SHARE NONPUBLIC PERSONAL INFORMATION WITH ANYONE, EXCEPT AS PERMITTED BY LAW. Thank you for this opportunity to serve you. |
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
T H E F U N D
F O R M O R E I N F O R M AT I O N
Back Cover
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DISCUSSION OF FUND PERFORMANCE (Unaudited)
How did the Fund perform last six Months?
For the six month period ended September 30, 2024, BNY Mellon High Yield Strategies Fund (the “fund”) produced a total return of 7.83% on a net-asset-value basis and a return of 15.99% on a market price basis. In comparison, the ICE BofA U.S. High Yield Constrained Index (the “Index”), the fund’s benchmark, posted a total return of 6.42%.1 Over the same period, the fund provided aggregate income dividends of $0.105 per share, which reflects an annualized distribution rate of 7.81%.2
1 Source: FactSet — The ICE BofA U.S. High Yield Constrained Index contains all securities in the ICE B of A U.S. High Yield Index but caps issuer exposure at 2%. Index constituents are capitalization weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. Issuers that exceed the limit are reduced to 2%, and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face values of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. In the event there are fewer than 50 issuers in the Index, each is equally weighted, and the face values of their respective bonds are increased or decreased on a pro-rata basis. Investors cannot invest directly in any index.
2 Total return includes reinvestment of dividends and any capital gains paid, based upon net asset value per share. Past performance is no guarantee of future results. Share price, yield and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost.
2
STATEMENT OF INVESTMENTS
September 30, 2024 (Unaudited)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% | |||||||||
Advertising - .7% | |||||||||
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | 5.13 | 8/15/2027 | 967,000 | b,c | 951,361 | ||||
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | 9.00 | 9/15/2028 | 495,000 | b,c | 526,630 | ||||
1,477,991 | |||||||||
Aerospace & Defense - 2.8% | |||||||||
AAR Escrow Issuer LLC, Gtd. Notes | 6.75 | 3/15/2029 | 994,000 | b,c | 1,034,641 | ||||
Bombardier, Inc., Sr. Unscd. Notes | 7.25 | 7/1/2031 | 283,000 | c | 299,537 | ||||
Bombardier, Inc., Sr. Unscd. Notes | 7.50 | 2/1/2029 | 815,000 | b,c | 863,053 | ||||
TransDigm, Inc., Gtd. Notes | 4.88 | 5/1/2029 | 842,000 | b | 820,587 | ||||
TransDigm, Inc., Sr. Scd. Notes | 6.38 | 3/1/2029 | 650,000 | c | 671,430 | ||||
TransDigm, Inc., Sr. Scd. Notes | 6.63 | 3/1/2032 | 264,000 | c | 275,244 | ||||
TransDigm, Inc., Sr. Scd. Notes | 6.75 | 8/15/2028 | 478,000 | b,c | 492,597 | ||||
TransDigm, Inc., Sr. Scd. Notes | 6.88 | 12/15/2030 | 870,000 | b,c | 911,861 | ||||
TransDigm, Inc., Sr. Scd. Notes | 7.13 | 12/1/2031 | 220,000 | c | 232,961 | ||||
5,601,911 | |||||||||
Airlines - 1.6% | |||||||||
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | 5.75 | 4/20/2029 | 1,972,121 | b,c | 1,970,477 | ||||
JetBlue Airways Corp./JetBlue Loyalty LP, Sr. Scd. Notes | 9.88 | 9/20/2031 | 1,284,000 | b,c | 1,353,708 | ||||
3,324,185 | |||||||||
Automobiles & Components - 1.4% | |||||||||
IHO Verwaltungs GmbH, Sr. Scd. Bonds | 6.00 | 5/15/2027 | 1,450,000 | b,c,d | 1,426,012 | ||||
Phinia, Inc., Sr. Scd. Notes | 6.75 | 4/15/2029 | 361,000 | b,c | 373,006 | ||||
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | 6.25 | 2/1/2029 | 1,200,000 | b,c | 1,044,844 | ||||
2,843,862 | |||||||||
Banks - 1.1% | |||||||||
Citigroup, Inc., Jr. Sub. Notes, Ser. X | 3.88 | 2/18/2026 | 840,000 | e | 810,580 | ||||
3
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Banks - 1.1% (continued) | |||||||||
Freedom Mortgage Corp., Sr. Unscd. Notes | 6.63 | 1/15/2027 | 1,468,000 | b,c | 1,472,565 | ||||
2,283,145 | |||||||||
Beverage Products - .4% | |||||||||
Triton Water Holdings, Inc., Sr. Unscd. Notes | 6.25 | 4/1/2029 | 830,000 | b,c | 829,913 | ||||
Building Materials - 3.4% | |||||||||
Builders FirstSource, Inc., Gtd. Notes | 4.25 | 2/1/2032 | 931,000 | b,c | 861,339 | ||||
Camelot Return Merger Sub, Inc., Sr. Scd. Notes | 8.75 | 8/1/2028 | 1,311,000 | b,c | 1,327,995 | ||||
Cornerstone Building Brands, Inc., Sr. Scd. Notes | 9.50 | 8/15/2029 | 348,000 | c | 357,769 | ||||
Eco Material Technologies, Inc., Sr. Scd. Notes | 7.88 | 1/31/2027 | 744,000 | b,c | 752,304 | ||||
Emrld Borrower LP/Emerald Co-Issuer, Inc., Sr. Scd. Notes | 6.63 | 12/15/2030 | 2,018,000 | b,c | 2,083,272 | ||||
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sr. Scd. Notes | 6.75 | 4/1/2032 | 812,000 | b,c | 842,248 | ||||
Standard Building Solutions, Inc., Sr. Unscd. Notes | 6.50 | 8/15/2032 | 222,000 | c | 230,058 | ||||
Standard Industries, Inc., Sr. Unscd. Notes | 4.75 | 1/15/2028 | 497,000 | b,c | 487,237 | ||||
6,942,222 | |||||||||
Chemicals - 4.4% | |||||||||
Iris Holdings, Inc., Sr. Unscd. Notes | 8.75 | 2/15/2026 | 1,396,000 | b,c,d | 1,308,355 | ||||
Italmatch Chemicals SpA, Sr. Scd. Notes | EUR | 10.00 | 2/6/2028 | 470,000 | c | 557,883 | |||
Mativ Holdings, Inc., Gtd. Notes | 6.88 | 10/1/2026 | 983,000 | b,c | 983,172 | ||||
Mativ Holdings, Inc., Sr. Unscd. Notes | 8.00 | 10/1/2029 | 956,000 | c | 976,960 | ||||
NOVA Chemicals Corp., Sr. Unscd. Notes | 9.00 | 2/15/2030 | 620,000 | c | 672,309 | ||||
Olympus Water US Holding Corp., Sr. Scd. Notes | 7.25 | 6/15/2031 | 400,000 | c | 416,616 | ||||
Olympus Water US Holding Corp., Sr. Scd. Notes | 9.75 | 11/15/2028 | 880,000 | b,c | 940,288 | ||||
Olympus Water US Holding Corp., Sr. Unscd. Notes | 6.25 | 10/1/2029 | 440,000 | c | 426,283 | ||||
4
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Chemicals - 4.4% (continued) | |||||||||
Rain Carbon, Inc., Sr. Scd. Notes | 12.25 | 9/1/2029 | 550,000 | c | 594,741 | ||||
SCIH Salt Holdings, Inc., Sr. Unscd. Notes | 6.63 | 5/1/2029 | 1,030,000 | b,c | 991,390 | ||||
WR Grace Holdings LLC, Sr. Unscd. Notes | 5.63 | 8/15/2029 | 1,207,000 | b,c | 1,135,049 | ||||
9,003,046 | |||||||||
Collateralized Loan Obligations Debt - 1.9% | |||||||||
Crown Point 8 Ltd. CLO, Ser. 2019-8A, Cl. ER, (3 Month TSFR +7.39%) | 12.67 | 10/20/2034 | 2,375,000 | c,f | 2,382,462 | ||||
Northwoods Capital 27 Ltd. CLO, Ser. 2021-27A, Cl. E, (3 Month TSFR +7.30%) | 12.59 | 10/17/2034 | 1,150,000 | c,f | 1,080,308 | ||||
Rockford Tower Ltd. CLO, Ser. 2022-2A, Cl. ER, (3 Month TSFR +8.12%) | 13.40 | 10/20/2035 | 500,000 | c,f | 502,783 | ||||
3,965,553 | |||||||||
Commercial & Professional Services - 6.3% | |||||||||
Adtalem Global Education, Inc., Sr. Scd. Notes | 5.50 | 3/1/2028 | 904,000 | b,c | 896,243 | ||||
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd. Notes | 6.13 | 10/15/2026 | 330,000 | c | 331,355 | ||||
Albion Financing 2 Sarl, Sr. Unscd. Notes | 8.75 | 4/15/2027 | 318,000 | b,c | 326,622 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Unscd. Notes | 6.00 | 6/1/2029 | 710,000 | b,c | 635,187 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Sr. Scd. Bonds, Ser. 144 | GBP | 4.88 | 6/1/2028 | 520,000 | c | 643,533 | |||
BCP V Modular Services Finance PLC, Gtd. Notes | EUR | 6.75 | 11/30/2029 | 730,000 | c | 719,151 | |||
Herc Holdings, Inc., Gtd. Notes | 6.63 | 6/15/2029 | 606,000 | c | 628,183 | ||||
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | 11/3/2029 | 1,240,000 | c | 1,386,500 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd. Notes | 6.25 | 1/15/2028 | 1,429,000 | b,c | 1,430,463 | ||||
5
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Commercial & Professional Services - 6.3% (continued) | |||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., Gtd. Notes | 6.75 | 8/15/2032 | 1,072,000 | b,c | 1,120,038 | ||||
United Rentals North America, Inc., Gtd. Notes | 3.75 | 1/15/2032 | 998,000 | 912,011 | |||||
Verisure Midholding AB, Gtd. Notes | EUR | 5.25 | 2/15/2029 | 2,200,000 | c | 2,435,094 | |||
Wand NewCo 3, Inc., Sr. Scd. Notes | 7.63 | 1/30/2032 | 1,225,000 | b,c | 1,291,380 | ||||
12,755,760 | |||||||||
Consumer Discretionary - 7.4% | |||||||||
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | 7.88 | 4/30/2029 | 1,318,000 | b,c | 1,389,797 | ||||
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd. Notes | 4.63 | 4/1/2030 | 640,000 | b,c | 613,706 | ||||
Caesars Entertainment, Inc., Sr. Scd. Notes | 7.00 | 2/15/2030 | 790,000 | b,c | 825,851 | ||||
Carnival Corp., Gtd. Notes | 6.00 | 5/1/2029 | 1,920,000 | b,c | 1,946,543 | ||||
Churchill Downs, Inc., Gtd. Notes | 4.75 | 1/15/2028 | 440,000 | b,c | 431,732 | ||||
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | 8.00 | 2/1/2028 | 1,389,000 | b,c | 1,383,949 | ||||
Flutter Treasury Designated Activity Co., Sr. Scd. Notes | 6.38 | 4/29/2029 | 250,000 | b,c | 259,051 | ||||
Hilton Domestic Operating Co., Inc., Gtd. Notes | 4.00 | 5/1/2031 | 650,000 | b,c | 608,227 | ||||
International Game Technology PLC, Sr. Scd. Notes | 5.25 | 1/15/2029 | 1,105,000 | b,c | 1,101,550 | ||||
Liberty TripAdvisor Holdings, Inc., Sr. Unscd. Debs. | 0.50 | 6/30/2051 | 410,000 | c | 384,477 | ||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Sr. Scd. Notes | 4.88 | 5/1/2029 | 1,140,000 | b,c | 1,094,270 | ||||
Miller Homes Group Finco PLC, Sr. Scd. Bonds | GBP | 7.00 | 5/15/2029 | 610,000 | c | 795,873 | |||
NCL Corp. Ltd., Gtd. Notes | 5.88 | 3/15/2026 | 690,000 | b,c | 690,474 | ||||
NCL Corp. Ltd., Sr. Scd. Notes | 5.88 | 2/15/2027 | 556,000 | b,c | 558,342 | ||||
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | 4.25 | 7/1/2026 | 262,000 | c | 259,228 | ||||
6
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Consumer Discretionary - 7.4% (continued) | |||||||||
Station Casinos LLC, Gtd. Notes | 4.63 | 12/1/2031 | 1,038,000 | c | 963,510 | ||||
Taylor Morrison Communities, Inc., Sr. Unscd. Notes | 5.13 | 8/1/2030 | 538,000 | c | 534,957 | ||||
Verde Purchaser LLC, Sr. Scd. Notes | 10.50 | 11/30/2030 | 617,000 | c | 670,363 | ||||
Windsor Holdings III LLC, Sr. Scd. Notes | 8.50 | 6/15/2030 | 496,000 | b,c | 531,180 | ||||
15,043,080 | |||||||||
Diversified Financials - 6.4% | |||||||||
AG Issuer LLC, Sr. Scd. Notes | 6.25 | 3/1/2028 | 978,000 | b,c | 956,981 | ||||
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | 6/1/2028 | 1,570,000 | c | 1,931,674 | |||
Freedom Mortgage Holdings LLC, Sr. Unscd. Notes | 9.25 | 2/1/2029 | 312,000 | b,c | 324,566 | ||||
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | 11/1/2025 | 680,000 | c | 607,864 | |||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | 5.25 | 5/15/2027 | 764,000 | 732,719 | |||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | 6.25 | 5/15/2026 | 465,000 | 461,768 | |||||
Jane Street Group/JSG Finance, Inc., Sr. Scd. Notes | 7.13 | 4/30/2031 | 1,345,000 | b,c | 1,426,225 | ||||
Nationstar Mortgage Holdings, Inc., Gtd. Notes | 5.75 | 11/15/2031 | 840,000 | c | 823,776 | ||||
OneMain Finance Corp., Gtd. Notes | 7.50 | 5/15/2031 | 256,000 | 263,745 | |||||
OneMain Finance Corp., Gtd. Notes | 7.88 | 3/15/2030 | 790,000 | b | 826,571 | ||||
Osaic Holdings, Inc., Sr. Unscd. Notes | 10.75 | 8/1/2027 | 396,000 | c | 403,518 | ||||
PennyMac Financial Services, Inc., Gtd. Notes | 7.13 | 11/15/2030 | 646,000 | c | 669,387 | ||||
PennyMac Financial Services, Inc., Gtd. Notes | 7.88 | 12/15/2029 | 917,000 | b,c | 978,625 | ||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes | 4.00 | 10/15/2033 | 451,000 | b,c | 403,253 | ||||
United Wholesale Mortgage LLC, Sr. Unscd. Notes | 5.50 | 4/15/2029 | 958,000 | b,c | 933,941 | ||||
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Diversified Financials - 6.4% (continued) | |||||||||
VFH Parent LLC/Valor Co-Issuer, Inc., Sr. Scd. Bonds | 7.50 | 6/15/2031 | 1,155,000 | b,c | 1,212,305 | ||||
12,956,918 | |||||||||
Electronic Components - .9% | |||||||||
Sensata Technologies BV, Gtd. Notes | 5.88 | 9/1/2030 | 980,000 | b,c | 984,752 | ||||
WESCO Distribution, Inc., Gtd. Notes | 6.63 | 3/15/2032 | 747,000 | b,c | 779,010 | ||||
1,763,762 | |||||||||
Energy - 16.3% | |||||||||
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | 7.50 | 10/1/2029 | 2,008,000 | c | 2,036,031 | ||||
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd. Notes | 8.25 | 2/15/2026 | 1,505,000 | b,c | 1,523,724 | ||||
Antero Resources Corp., Gtd. Notes | 5.38 | 3/1/2030 | 835,000 | b,c | 825,544 | ||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd. Notes | 7.00 | 7/15/2029 | 1,041,000 | b,c | 1,083,077 | ||||
CITGO Petroleum Corp., Sr. Scd. Notes | 8.38 | 1/15/2029 | 780,000 | c | 812,254 | ||||
Comstock Resources, Inc., Gtd. Notes | 6.75 | 3/1/2029 | 1,671,000 | b,c | 1,632,753 | ||||
CQP Holdco LP/Bip-V Chinook Holdco LLC, Sr. Scd. Notes | 5.50 | 6/15/2031 | 1,450,000 | b,c | 1,423,104 | ||||
Encino Acquisition Partners Holdings LLC, Gtd. Notes | 8.50 | 5/1/2028 | 870,000 | b,c | 886,231 | ||||
Encino Acquisition Partners Holdings LLC, Sr. Unscd. Notes | 8.75 | 5/1/2031 | 789,000 | b,c | 830,450 | ||||
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | 6.63 | 2/15/2028 | 1,730,000 | b,e | 1,711,691 | ||||
EQM Midstream Partners LP, Sr. Unscd. Notes | 5.50 | 7/15/2028 | 461,000 | b | 467,544 | ||||
Gulfport Energy Operating Corp., Gtd. Notes | 6.75 | 9/1/2029 | 1,466,000 | b,c | 1,484,979 | ||||
Kraken Oil & Gas Partners LLC, Sr. Unscd. Notes | 7.63 | 8/15/2029 | 866,000 | b,c | 865,620 | ||||
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Energy - 16.3% (continued) | |||||||||
Matador Resources Co., Gtd. Notes | 6.50 | 4/15/2032 | 1,112,000 | b,c | 1,111,173 | ||||
Moss Creek Resources Holdings, Inc., Sr. Unscd. Notes | 8.25 | 9/1/2031 | 410,000 | c | 405,120 | ||||
Noble Finance II LLC, Gtd. Notes | 8.00 | 4/15/2030 | 1,017,000 | b,c | 1,050,107 | ||||
Northern Oil & Gas, Inc., Sr. Unscd. Notes | 8.13 | 3/1/2028 | 604,000 | b,c | 608,883 | ||||
Northriver Midstream Finance LP, Sr. Scd. Notes | 6.75 | 7/15/2032 | 1,073,000 | b,c | 1,108,336 | ||||
Rockies Express Pipeline LLC, Sr. Unscd. Notes | 4.80 | 5/15/2030 | 1,396,000 | b,c | 1,316,453 | ||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., Sr. Unscd. Notes | 7.88 | 11/1/2028 | 1,317,000 | b,c | 1,378,812 | ||||
SM Energy Co., Sr. Unscd. Notes | 6.75 | 8/1/2029 | 520,000 | c | 522,560 | ||||
SM Energy Co., Sr. Unscd. Notes | 7.00 | 8/1/2032 | 260,000 | c | 261,183 | ||||
Solaris Midstream Holdings LLC, Gtd. Notes | 7.63 | 4/1/2026 | 592,000 | c | 596,950 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes | 5.50 | 1/15/2028 | 351,000 | c | 340,091 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes | 6.00 | 12/31/2030 | 440,000 | c | 418,283 | ||||
TGNR Intermediate Holdings LLC, Sr. Unscd. Notes | 5.50 | 10/15/2029 | 2,105,000 | b,c | 2,001,462 | ||||
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | 3.88 | 11/1/2033 | 1,301,000 | b,c | 1,167,848 | ||||
Venture Global LNG, Inc., Jr. Sub. Notes | 9.00 | 9/30/2029 | 1,391,000 | c,e | 1,411,022 | ||||
Venture Global LNG, Inc., Sr. Scd. Notes | 7.00 | 1/15/2030 | 747,000 | c | 763,704 | ||||
Venture Global LNG, Inc., Sr. Scd. Notes | 8.13 | 6/1/2028 | 1,937,000 | b,c | 2,020,658 | ||||
Venture Global LNG, Inc., Sr. Scd. Notes | 8.38 | 6/1/2031 | 1,025,000 | b,c | 1,083,021 | ||||
33,148,668 | |||||||||
Environmental Control - 1.2% | |||||||||
Madison IAQ LLC, Sr. Scd. Notes | 4.13 | 6/30/2028 | 224,000 | c | 216,346 | ||||
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Environmental Control - 1.2% (continued) | |||||||||
Madison IAQ LLC, Sr. Unscd. Notes | 5.88 | 6/30/2029 | 1,278,000 | b,c | 1,245,421 | ||||
Reworld Holding Corp., Gtd. Notes | 5.00 | 9/1/2030 | 1,022,000 | 960,792 | |||||
2,422,559 | |||||||||
Food Products - 4.4% | |||||||||
Bellis Acquisition Co. PLC, Sr. Scd. Bonds | GBP | 8.13 | 5/14/2030 | 630,000 | c | 834,790 | |||
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | 11/30/2025 | 650,000 | c | 856,933 | |||
Chobani LLC/Chobani Finance Corp., Inc., Sr. Scd. Notes | 4.63 | 11/15/2028 | 580,000 | c | 565,414 | ||||
Fiesta Purchaser, Inc., Sr. Scd. Notes | 7.88 | 3/1/2031 | 656,000 | b,c | 696,594 | ||||
Fiesta Purchaser, Inc., Sr. Unscd. Notes | 9.63 | 9/15/2032 | 675,000 | c | 700,405 | ||||
Pilgrim's Pride Corp., Gtd. Notes | 3.50 | 3/1/2032 | 1,064,000 | b | 945,591 | ||||
Post Holdings, Inc., Gtd. Notes | 4.63 | 4/15/2030 | 1,350,000 | c | 1,292,928 | ||||
Post Holdings, Inc., Gtd. Notes | 5.50 | 12/15/2029 | 760,000 | c | 755,117 | ||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, Scd. Notes | 4.63 | 3/1/2029 | 1,186,000 | c | 1,126,385 | ||||
US Foods, Inc., Gtd. Notes | 6.88 | 9/15/2028 | 1,044,000 | b,c | 1,089,442 | ||||
8,863,599 | |||||||||
Health Care - 9.8% | |||||||||
Bausch Health Cos., Inc., Gtd. Notes | 5.25 | 2/15/2031 | 397,000 | c | 218,034 | ||||
Bausch Health Cos., Inc., Sr. Scd. Notes | 11.00 | 9/30/2028 | 1,277,000 | b,c | 1,193,995 | ||||
Charles River Laboratories International, Inc., Gtd. Notes | 4.25 | 5/1/2028 | 402,000 | b,c | 391,311 | ||||
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | 5.50 | 1/15/2028 | 560,000 | b,c | 543,646 | ||||
CHS/Community Health Systems, Inc., Scd. Notes | 6.88 | 4/15/2029 | 1,046,000 | b,c | 949,469 | ||||
CHS/Community Health Systems, Inc., Sr. Scd. Notes | 5.25 | 5/15/2030 | 829,000 | b,c | 763,613 | ||||
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Health Care - 9.8% (continued) | |||||||||
CHS/Community Health Systems, Inc., Sr. Scd. Notes | 5.63 | 3/15/2027 | 934,000 | b,c | 919,816 | ||||
CHS/Community Health Systems, Inc., Sr. Scd. Notes | 10.88 | 1/15/2032 | 952,000 | b,c | 1,050,280 | ||||
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | 4/1/2028 | 870,000 | c | 1,110,436 | |||
Global Medical Response, Inc., Sr. Scd. Notes | 10.00 | 10/31/2028 | 2,144,000 | b,c,d | 2,156,382 | ||||
HealthEquity, Inc., Gtd. Notes | 4.50 | 10/1/2029 | 667,000 | b,c | 645,448 | ||||
Jazz Securities DAC, Sr. Scd. Notes | 4.38 | 1/15/2029 | 550,000 | b,c | 532,356 | ||||
LifePoint Health, Inc., Sr. Scd. Notes | 9.88 | 8/15/2030 | 1,035,000 | b,c | 1,140,833 | ||||
LifePoint Health, Inc., Sr. Unscd. Notes | 10.00 | 6/1/2032 | 880,000 | b,c | 968,543 | ||||
Medline Borrower LP, Sr. Scd. Notes | 3.88 | 4/1/2029 | 780,000 | b,c | 739,139 | ||||
Medline Borrower LP, Sr. Unscd. Notes | 5.25 | 10/1/2029 | 414,000 | c | 406,516 | ||||
Option Care Health, Inc., Gtd. Notes | 4.38 | 10/31/2029 | 1,503,000 | b,c | 1,429,260 | ||||
Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Scd. Notes | 6.75 | 5/15/2034 | 1,194,000 | c | 1,234,620 | ||||
Radiology Partners, Inc., Sr. Scd. Notes | 7.78 | 1/31/2029 | 444,834 | c,d | 442,054 | ||||
Ray Financing LLC, Sr. Scd. Bonds | EUR | 6.50 | 7/15/2031 | 710,000 | c | 813,157 | |||
Sotera Health Holdings LLC, Sr. Scd. Notes | 7.38 | 6/1/2031 | 664,000 | b,c | 690,400 | ||||
Tenet Healthcare Corp., Sr. Scd. Notes | 4.25 | 6/1/2029 | 692,000 | b | 667,758 | ||||
Tenet Healthcare Corp., Sr. Scd. Notes | 6.75 | 5/15/2031 | 890,000 | b | 928,436 | ||||
19,935,502 | |||||||||
Industrial - 3.9% | |||||||||
Arcosa, Inc., Gtd. Notes | 6.88 | 8/15/2032 | 1,064,000 | b,c | 1,114,438 | ||||
Artera Services LLC, Sr. Scd. Notes | 8.50 | 2/15/2031 | 637,029 | b,c | 631,234 | ||||
Assemblin Caverion Group AB, Sr. Scd. Bonds | EUR | 6.25 | 7/1/2030 | 360,000 | c | 411,796 | |||
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Industrial - 3.9% (continued) | |||||||||
Chart Industries, Inc., Sr. Scd. Notes | 7.50 | 1/1/2030 | 1,152,000 | b,c | 1,215,563 | ||||
Dycom Industries, Inc., Gtd. Notes | 4.50 | 4/15/2029 | 554,000 | b,c | 535,305 | ||||
Dynamo Newco II GmbH, Sr. Scd. Bonds | EUR | 6.25 | 10/15/2031 | 431,000 | c | 483,366 | |||
GrafTech Finance, Inc., Sr. Scd. Notes | 4.63 | 12/15/2028 | 1,846,000 | b,c | 1,234,818 | ||||
Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC, Sr. Scd. Notes | 9.00 | 2/15/2029 | 602,000 | b,c | 628,946 | ||||
Mangrove Luxco III Sarl, Sr. Scd. Bonds, (3 Month EURIBOR +5.00%) | EUR | 8.67 | 7/15/2029 | 490,000 | c,f | 547,538 | |||
Terex Corp., Gtd. Notes | 6.25 | 10/15/2032 | 218,000 | 218,000 | |||||
TK Elevator US Newco, Inc., Sr. Scd. Notes | 5.25 | 7/15/2027 | 1,000,000 | b,c | 989,997 | ||||
8,011,001 | |||||||||
Information Technology - 4.0% | |||||||||
AthenaHealth Group, Inc., Sr. Unscd. Notes | 6.50 | 2/15/2030 | 3,069,000 | b,c | 2,950,477 | ||||
Cloud Software Group, Inc., Scd. Bonds | 9.00 | 9/30/2029 | 623,000 | b,c | 634,507 | ||||
Cloud Software Group, Inc., Sr. Scd. Notes | 6.50 | 3/31/2029 | 748,000 | b,c | 744,867 | ||||
Cloud Software Group, Inc., Sr. Scd. Notes | 8.25 | 6/30/2032 | 320,000 | c | 334,753 | ||||
Elastic NV, Sr. Unscd. Notes | 4.13 | 7/15/2029 | 1,438,000 | b,c | 1,344,928 | ||||
SS&C Technologies, Inc., Gtd. Notes | 5.50 | 9/30/2027 | 530,000 | b,c | 530,179 | ||||
SS&C Technologies, Inc., Gtd. Notes | 6.50 | 6/1/2032 | 480,000 | c | 496,630 | ||||
UKG, Inc., Sr. Scd. Notes | 6.88 | 2/1/2031 | 1,127,000 | b,c | 1,165,347 | ||||
8,201,688 | |||||||||
Insurance - 5.8% | |||||||||
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | 4.25 | 2/15/2029 | 247,000 | c | 233,551 | ||||
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | 7.50 | 11/6/2030 | 983,000 | c | 1,012,461 | ||||
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | 6.00 | 8/1/2029 | 610,000 | b,c | 588,877 | ||||
12
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Insurance - 5.8% (continued) | |||||||||
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | 8.25 | 2/1/2029 | 1,091,000 | b,c | 1,126,643 | ||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | 6.75 | 4/15/2028 | 666,000 | b,c | 677,281 | ||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Scd. Notes | 7.00 | 1/15/2031 | 270,000 | b,c | 277,661 | ||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unscd. Notes | 7.38 | 10/1/2032 | 703,000 | c | 713,617 | ||||
Ardonagh Finco Ltd., Sr. Scd. Notes | 7.75 | 2/15/2031 | 2,134,000 | b,c | 2,207,789 | ||||
Ardonagh Group Finance Ltd., Sr. Unscd. Notes | 8.88 | 2/15/2032 | 800,000 | b,c | 827,476 | ||||
AssuredPartners, Inc., Sr. Unscd. Notes | 5.63 | 1/15/2029 | 1,190,000 | b,c | 1,146,654 | ||||
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Scd. Notes | 7.25 | 2/15/2031 | 651,000 | c | 676,090 | ||||
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Sr. Unscd. Notes | 8.13 | 2/15/2032 | 818,000 | b,c | 841,588 | ||||
HUB International Ltd., Sr. Scd. Notes | 7.25 | 6/15/2030 | 518,000 | c | 540,121 | ||||
Panther Escrow Issuer LLC, Sr. Scd. Notes | 7.13 | 6/1/2031 | 800,000 | c | 839,755 | ||||
11,709,564 | |||||||||
Internet Software & Services - 1.9% | |||||||||
Arches Buyer, Inc., Sr. Scd. Notes | 4.25 | 6/1/2028 | 718,000 | c | 661,351 | ||||
Arches Buyer, Inc., Sr. Unscd. Notes | 6.13 | 12/1/2028 | 1,337,000 | b,c | 1,145,953 | ||||
Cogent Communications Group LLC, Gtd. Notes | 7.00 | 6/15/2027 | 581,000 | b,c | 591,716 | ||||
Match Group Holdings II LLC, Sr. Unscd. Notes | 4.13 | 8/1/2030 | 1,050,000 | b,c | 984,434 | ||||
Newfold Digital Holdings Group, Inc., Sr. Scd. Notes | 11.75 | 10/15/2028 | 390,000 | c | 384,848 | ||||
3,768,302 | |||||||||
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Materials - 4.4% | |||||||||
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | 8.75 | 4/15/2030 | 930,000 | b,c | 945,297 | ||||
Clydesdale Acquisition Holdings, Inc., Sr. Scd. Notes | 6.88 | 1/15/2030 | 804,000 | c | 822,076 | ||||
LABL, Inc., Sr. Scd. Notes | 6.75 | 7/15/2026 | 284,000 | b,c | 283,944 | ||||
LABL, Inc., Sr. Unscd. Notes | 10.50 | 7/15/2027 | 1,314,000 | b,c | 1,317,565 | ||||
Mauser Packaging Solutions Holding Co., Scd. Notes | 9.25 | 4/15/2027 | 383,000 | c | 393,076 | ||||
Mauser Packaging Solutions Holding Co., Sr. Scd. Bonds | 7.88 | 4/15/2027 | 1,456,000 | b,c | 1,506,126 | ||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, Sr. Scd. Notes | 4.00 | 10/15/2027 | 1,130,000 | b,c | 1,087,594 | ||||
Sealed Air Corp., Gtd. Notes | 5.00 | 4/15/2029 | 620,000 | b,c | 611,248 | ||||
Trivium Packaging Finance BV, Gtd. Notes | 8.50 | 8/15/2027 | 400,000 | c | 401,355 | ||||
Trivium Packaging Finance BV, Sr. Scd. Notes | 5.50 | 8/15/2026 | 1,638,000 | b,c | 1,633,060 | ||||
9,001,341 | |||||||||
Media - 7.1% | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 4.25 | 1/15/2034 | 793,000 | b,c | 651,168 | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 4.50 | 5/1/2032 | 1,370,000 | b | 1,185,637 | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 5.00 | 2/1/2028 | 880,000 | b,c | 856,682 | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | 5.38 | 6/1/2029 | 799,000 | b,c | 770,622 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes | 5.38 | 5/1/2047 | 568,000 | 477,196 | |||||
CSC Holdings LLC, Gtd. Notes | 4.13 | 12/1/2030 | 677,000 | c | 493,922 | ||||
CSC Holdings LLC, Gtd. Notes | 5.50 | 4/15/2027 | 935,000 | b,c | 823,115 | ||||
CSC Holdings LLC, Gtd. Notes | 11.25 | 5/15/2028 | 1,035,000 | b,c | 999,952 | ||||
DISH Network Corp., Sr. Scd. Notes | 11.75 | 11/15/2027 | 1,528,000 | b,c | 1,604,928 | ||||
14
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Media - 7.1% (continued) | |||||||||
DISH Network Corp., Sr. Unscd. Notes | 0.00 | 12/15/2025 | 643,000 | g | 560,253 | ||||
Gray Television, Inc., Sr. Scd. Notes | 10.50 | 7/15/2029 | 510,000 | c | 533,178 | ||||
Paramount Global, Jr. Sub. Notes | 6.38 | 3/30/2062 | 319,000 | 295,319 | |||||
Paramount Global, Sr. Unscd. Notes | 4.95 | 1/15/2031 | 2,308,000 | b | 2,177,586 | ||||
Scripps Escrow II, Inc., Sr. Unscd. Notes | 5.38 | 1/15/2031 | 474,000 | 273,548 | |||||
Scripps Escrow, Inc., Gtd. Notes | 5.88 | 7/15/2027 | 511,000 | c | 445,107 | ||||
Sunrise Finco I BV, Sr. Scd. Notes | 4.88 | 7/15/2031 | 770,000 | b,c | 729,213 | ||||
Virgin Media Finance PLC, Gtd. Notes | EUR | 3.75 | 7/15/2030 | 440,000 | c | 441,483 | |||
Virgin Media Secured Finance PLC, Sr. Scd. Notes | 5.50 | 5/15/2029 | 667,000 | c | 640,249 | ||||
Ziggo Bond Co. BV, Gtd. Notes | 5.13 | 2/28/2030 | 559,000 | b,c | 515,906 | ||||
14,475,064 | |||||||||
Metals & Mining - 3.2% | |||||||||
Arsenal AIC Parent LLC, Sr. Scd. Notes | 8.00 | 10/1/2030 | 1,140,000 | b,c | 1,224,740 | ||||
Cleveland-Cliffs, Inc., Gtd. Notes | 6.75 | 4/15/2030 | 601,000 | b,c | 611,878 | ||||
Compass Minerals International, Inc., Gtd. Notes | 6.75 | 12/1/2027 | 1,146,000 | c | 1,141,601 | ||||
First Quantum Minerals Ltd., Scd. Notes | 9.38 | 3/1/2029 | 880,000 | b,c | 933,851 | ||||
FMG Resources August 2006 Pty Ltd., Sr. Unscd. Notes | 6.13 | 4/15/2032 | 690,000 | b,c | 706,497 | ||||
Samarco Mineracao SA, Sr. Unscd. Notes | 9.00 | 6/30/2031 | 601,165 | d | 563,620 | ||||
Samarco Mineracao SA, Sr. Unscd. Notes | 9.00 | 6/30/2031 | 484,550 | c,d | 454,288 | ||||
Taseko Mines Ltd., Sr. Scd. Notes | 8.25 | 5/1/2030 | 891,000 | b,c | 936,197 | ||||
6,572,672 | |||||||||
Real Estate - 4.9% | |||||||||
Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp., Scd. Notes | 7.00 | 4/15/2030 | 877,809 | c | 816,281 | ||||
Iron Mountain, Inc., Gtd. Notes | 4.88 | 9/15/2029 | 1,240,000 | c | 1,215,421 | ||||
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Real Estate - 4.9% (continued) | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Gtd. Notes | 4.25 | 2/1/2027 | 2,114,000 | b,c | 2,067,529 | ||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Scd. Notes | 4.88 | 5/15/2029 | 742,000 | c | 720,631 | ||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | 6.50 | 4/1/2032 | 943,000 | b,c | 975,237 | ||||
Rithm Capital Corp., Sr. Unscd. Notes | 8.00 | 4/1/2029 | 1,751,000 | b,c | 1,773,399 | ||||
RLJ Lodging Trust LP, Sr. Scd. Notes | 4.00 | 9/15/2029 | 779,000 | b,c | 717,746 | ||||
Starwood Property Trust, Inc., Sr. Unscd. Notes | 7.25 | 4/1/2029 | 663,000 | c | 696,025 | ||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, Sr. Scd. Notes | 10.50 | 2/15/2028 | 846,000 | c | 903,707 | ||||
9,885,976 | |||||||||
Retailing - 4.3% | |||||||||
Beacon Roofing Supply, Inc., Gtd. Notes | 4.13 | 5/15/2029 | 641,000 | c | 604,510 | ||||
Carvana Co., Sr. Scd. Notes | 12.00 | 12/1/2028 | 483,005 | c,d | 507,685 | ||||
Carvana Co., Sr. Scd. Notes | 13.00 | 6/1/2030 | 809,400 | b,c,d | 880,798 | ||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Gtd. Notes | 6.75 | 1/15/2030 | 535,000 | b,c | 498,787 | ||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Scd. Notes | 4.63 | 1/15/2029 | 461,000 | b,c | 440,522 | ||||
Foundation Building Materials, Inc., Gtd. Notes | 6.00 | 3/1/2029 | 1,805,000 | b,c | 1,591,218 | ||||
PetSmart, Inc./PetSmart Finance Corp., Sr. Scd. Notes | 4.75 | 2/15/2028 | 990,000 | b,c | 950,052 | ||||
Specialty Building Products Holdings LLC/SBP Finance Corp., Sr. Scd. Notes | 6.38 | 9/30/2026 | 557,000 | c | 555,401 | ||||
Walgreens Boots Alliance, Inc., Sr. Unscd. Notes | 8.13 | 8/15/2029 | 529,000 | 528,522 | |||||
16
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Retailing - 4.3% (continued) | |||||||||
White Cap Buyer LLC, Sr. Unscd. Notes | 6.88 | 10/15/2028 | 1,271,000 | b,c | 1,283,967 | ||||
White Cap Parent LLC, Sr. Unscd. Notes | 8.25 | 3/15/2026 | 805,000 | c,d | 806,257 | ||||
8,647,719 | |||||||||
Semiconductors & Semiconductor Equipment - .7% | |||||||||
Entegris, Inc., Gtd. Notes | 5.95 | 6/15/2030 | 1,360,000 | b,c | 1,386,460 | ||||
Telecommunication Services - 5.8% | |||||||||
Altice Financing SA, Sr. Scd. Bonds | 5.75 | 8/15/2029 | 525,000 | b,c | 422,396 | ||||
Altice France SA, Sr. Scd. Notes | 5.50 | 1/15/2028 | 1,145,000 | b,c | 833,602 | ||||
C&W Senior Finance Ltd., Sr. Unscd. Notes | 6.88 | 9/15/2027 | 883,000 | b,c | 880,694 | ||||
Consolidated Communications, Inc., Sr. Scd. Notes | 6.50 | 10/1/2028 | 989,000 | c | 936,293 | ||||
Frontier Communications Holdings LLC, Scd. Notes | 5.88 | 11/1/2029 | 160,000 | 158,982 | |||||
Frontier Communications Holdings LLC, Scd. Notes | 6.00 | 1/15/2030 | 159,000 | c | 158,871 | ||||
Frontier Communications Holdings LLC, Scd. Notes | 6.75 | 5/1/2029 | 920,000 | b,c | 927,147 | ||||
Frontier Communications Holdings LLC, Sr. Scd. Notes | 8.63 | 3/15/2031 | 322,000 | c | 347,420 | ||||
Frontier Communications Holdings LLC, Sr. Scd. Notes | 8.75 | 5/15/2030 | 1,070,000 | b,c | 1,141,170 | ||||
Iliad Holding SASU, Sr. Scd. Bonds | 8.50 | 4/15/2031 | 940,000 | b,c | 1,011,887 | ||||
Iliad Holding SASU, Sr. Scd. Notes | 6.50 | 10/15/2026 | 531,000 | c | 537,197 | ||||
Level 3 Financing, Inc., Sr. Scd. Notes | 10.50 | 4/15/2029 | 1,375,000 | b,c | 1,505,692 | ||||
Level 3 Financing, Inc., Sr. Scd. Notes | 10.75 | 12/15/2030 | 319,000 | c | 351,684 | ||||
Lumen Technologies, Inc., Sr. Scd. Notes | 4.13 | 4/15/2029 | 648,175 | c | 547,708 | ||||
Optics Bidco SpA, Sr. Scd. Notes | 7.72 | 6/4/2038 | 805,000 | c | 891,707 | ||||
Windstream Escrow LLC/Windstream Escrow Finance Corp., Sr. Scd. Notes | 8.25 | 10/1/2031 | 816,000 | c | 830,637 | ||||
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 120.7% (continued) | |||||||||
Telecommunication Services - 5.8% (continued) | |||||||||
Zayo Group Holdings, Inc., Sr. Unscd. Notes | 6.13 | 3/1/2028 | 319,000 | c | 265,051 | ||||
11,748,138 | |||||||||
Utilities - 4.3% | |||||||||
Calpine Corp., Sr. Unscd. Notes | 4.63 | 2/1/2029 | 845,000 | b,c | 816,838 | ||||
Calpine Corp., Sr. Unscd. Notes | 5.00 | 2/1/2031 | 747,000 | b,c | 723,913 | ||||
NextEra Energy Operating Partners LP, Gtd. Notes | 3.88 | 10/15/2026 | 827,000 | b,c | 806,261 | ||||
NextEra Energy Operating Partners LP, Sr. Unscd. Notes | 7.25 | 1/15/2029 | 1,077,000 | b,c | 1,136,428 | ||||
NRG Energy, Inc., Gtd. Notes | 3.88 | 2/15/2032 | 650,000 | b,c | 592,713 | ||||
NRG Energy, Inc., Jr. Sub. Bonds | 10.25 | 3/15/2028 | 1,090,000 | b,c,e | 1,230,407 | ||||
PG&E Corp., Sr. Scd. Notes | 5.00 | 7/1/2028 | 1,102,000 | b | 1,093,257 | ||||
Vistra Corp., Jr. Sub. Bonds | 7.00 | 12/15/2026 | 447,000 | c,e | 456,679 | ||||
Vistra Operations Co. LLC, Gtd. Notes | 4.38 | 5/1/2029 | 76,000 | c | 73,619 | ||||
Vistra Operations Co. LLC, Gtd. Notes | 6.88 | 4/15/2032 | 474,000 | c | 499,003 | ||||
Vistra Operations Co. LLC, Gtd. Notes | 7.75 | 10/15/2031 | 1,171,000 | b,c | 1,261,598 | ||||
8,690,716 | |||||||||
Total Bonds
and Notes | 245,260,317 | ||||||||
Floating Rate Loan Interests - 15.4% | |||||||||
Advertising - .7% | |||||||||
Dotdash Meredith, Inc., Term Loan B, (1 Month SOFR +4.10%) | 9.30 | 12/1/2028 | 549,233 | f | 550,263 | ||||
Neptune BidCo US, Inc., Term Loan B, (3 Month SOFR +5.10%) | 10.40 | 4/11/2029 | 865,234 | f | 814,558 | ||||
1,364,821 | |||||||||
Automobiles & Components - .9% | |||||||||
First Brands Group LLC, 2021 First Lien Term Loan, (3 Month SOFR +5.26%) | 10.51 | 3/30/2027 | 267,231 | f | 264,851 | ||||
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month SOFR +5.26%) | 10.51 | 3/30/2027 | 788,749 | f | 781,847 | ||||
18
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Floating Rate Loan Interests - 15.4% (continued) | |||||||||
Automobiles & Components - .9% (continued) | |||||||||
IXS Holdings, Inc., Initial Term Loan, (3 Month SOFR +4.35%) | 8.95 | 3/5/2027 | 695,132 | f | 678,842 | ||||
1,725,540 | |||||||||
Chemicals - .3% | |||||||||
Hexion Holdings Corp., First Lien Initial Term Loan, (3 Month SOFR +4.65%) | 9.77 | 3/15/2029 | 688,240 | f | 684,124 | ||||
Commercial & Professional Services - 1.7% | |||||||||
Albion Financing 3 Sarl, 2024 New Amended USD Term Loan, (3 Month SOFR +4.51%) | 9.83 | 8/2/2029 | 792,015 | f | 797,955 | ||||
American Auto Auction Group LLC, Tranche Term Loan B, (3 Month SOFR +5.15%) | 9.75 | 12/30/2027 | 546,549 | f | 549,626 | ||||
Envalior Finance GmbH, USD Facility Term Loan B-1, (3 Month SOFR +5.50%) | 10.75 | 4/3/2030 | 521,034 | f | 497,978 | ||||
Modulaire Group Holdings Ltd., Term Loan B, (3 Month EURIBOR +4.18%) | EUR | 7.52 | 12/22/2028 | 1,000,000 | f | 1,096,024 | |||
Vaco Holdings LLC, Initial Term Loan, (1 Month SOFR +5.10%) | 9.95 | 1/22/2029 | 538,615 | f | 530,033 | ||||
3,471,616 | |||||||||
Consumer Discretionary - .5% | |||||||||
Bally's Corp., Facility Term Loan B, (3 Month SOFR +3.51%) | 8.79 | 10/2/2028 | 817,195 | f | 780,168 | ||||
Fitness International LLC, Term Loan B, (3 Month SOFR +5.25%) | 10.51 | 2/12/2029 | 311,435 | f | 311,175 | ||||
1,091,343 | |||||||||
Diversified Financials - 1.0% | |||||||||
Blackhawk Network Holdings, Inc., Term Loan B, (1 Month SOFR +5.00%) | 9.85 | 3/12/2029 | 927,675 | f | 932,893 | ||||
Nexus Buyer LLC, Refinancing Term Loan, (1 Month SOFR +4.00%) | 8.85 | 7/31/2031 | 1,092,779 | f | 1,085,179 | ||||
2,018,072 | |||||||||
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Floating Rate Loan Interests - 15.4% (continued) | |||||||||
Energy - .8% | |||||||||
WaterBridge Midstream Operating LLC, Term Loan B, (3 Month SOFR +4.75%) | 9.39 | 6/27/2029 | 817,742 | f | 791,750 | ||||
WaterBridge NDB Operating LLC, Initial Term Loan, (3 Month SOFR +4.50%) | 9.60 | 5/10/2029 | 812,768 | f | 812,390 | ||||
1,604,140 | |||||||||
Financials - .5% | |||||||||
Jump Financial LLC, Term Loan, (3 Month SOFR +4.76%) | 9.37 | 8/7/2028 | 1,055,997 | f | 1,048,077 | ||||
Food Products - .5% | |||||||||
Max US Bidco, Inc., Initial Term Loan, (1 Month SOFR +5.00%) | 9.85 | 10/2/2030 | 1,114,400 | f | 1,059,003 | ||||
Health Care - 1.8% | |||||||||
Alvogen Pharma US, Inc., 2022 New Extended June Term Loan, (1 Month SOFR +7.60%) | 12.45 | 6/30/2025 | 244,853 | f | 221,592 | ||||
Auris Luxembourg III SA, Facility Term Loan B-4, (6 Month SOFR +4.68%) | 9.56 | 2/8/2029 | 528,675 | f | 529,502 | ||||
Bella Holding Co. LLC, First Lien Initial Term Loan, (1 Month SOFR +3.85%) | 8.70 | 5/10/2028 | 619,404 | f | 620,178 | ||||
Radiology Partners, Inc., Term Loan C, (3 Month SOFR +3.76%) | 8.88 | 1/31/2029 | 986,679 | d,f | 969,417 | ||||
Team Health Holdings, Inc., Extended Term Loan, (3 Month SOFR +5.25%) | 10.50 | 3/2/2027 | 568,365 | f | 545,187 | ||||
US Anesthesia Partners, Inc., Initial Term Loan, (1 Month SOFR +4.36%) | 9.57 | 10/2/2028 | 698,200 | f | 685,155 | ||||
3,571,031 | |||||||||
Industrial - .4% | |||||||||
Swissport Stratosphere USA LLC, USD Facility Term Loan B, (3 Month SOFR +4.25%) | 9.57 | 3/31/2031 | 807,975 | f | 811,764 | ||||
20
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Floating Rate Loan Interests - 15.4% (continued) | |||||||||
Information Technology - 1.1% | |||||||||
Ascend Learning LLC, Second Lien Initial Term Loan, (1 Month TSFR +5.75%) | 11.10 | 12/10/2029 | 699,996 | f | 679,433 | ||||
HS Purchaser LLC, First Lien 7th Amendment Refinancing Term Loan, (1 Month SOFR +4.10%) | 8.95 | 11/30/2026 | 458,799 | f | 438,727 | ||||
Polaris Newco LLC, First Lien Euro Term Loan, (3 Month EURIBOR +4.00%) | EUR | 7.35 | 6/5/2028 | 997,429 | f | 1,058,321 | |||
2,176,481 | |||||||||
Insurance - .7% | |||||||||
Amynta Agency Borrower, Inc., 2024 Refinancing Term Loan, (3 Month SOFR +3.75%) | 9.00 | 2/28/2028 | 678,300 | f | 679,202 | ||||
OneDigital Borrower LLC, Second Lien Initial Term Loan, (1 Month SOFR +5.25%) | 10.10 | 7/2/2032 | 664,000 | f | 659,020 | ||||
1,338,222 | |||||||||
Internet Software & Services - 1.1% | |||||||||
MH Sub I LLC, 2023 May New Term Loan, (1 Month SOFR +4.25%) | 9.10 | 5/3/2028 | 1,076,375 | f | 1,070,837 | ||||
MH Sub I LLC, Second Lien Term Loan, (3 Month SOFR +6.25%) | 11.50 | 2/23/2029 | 570,000 | f | 560,840 | ||||
StubHub Holdco Sub LLC, Extended USD Term Loan B, (1 Month SOFR +4.75%) | 9.60 | 3/15/2030 | 670,246 | f | 670,802 | ||||
2,302,479 | |||||||||
Materials - .5% | |||||||||
LABL, Inc., Initial Euro Term Loan, (1 Month EURIBOR +5.00%) | EUR | 8.38 | 10/30/2028 | 994,885 | f | 1,047,238 | |||
Media - .5% | |||||||||
Vmed O2 UK Holdco 4 Ltd., Facility Term Loan Z, (1 Month EURIBOR +3.43%) | EUR | 6.86 | 10/15/2031 | 1,000,000 | f | 1,109,883 | |||
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Floating Rate Loan Interests - 15.4% (continued) | |||||||||
Real Estate - .3% | |||||||||
CoreLogic, Inc., First Lien Initial Term Loan, (1 Month SOFR +3.61%) | 8.46 | 6/2/2028 | 706,359 | f | 701,125 | ||||
Retailing - .1% | |||||||||
Staples, Inc., Closing Date Term Loan, (3 Month SOFR +5.75%) | 10.69 | 9/10/2029 | 235,000 | f | 214,101 | ||||
Semiconductors & Semiconductor Equipment - .2% | |||||||||
Icon Parent, Inc., Second Lien Term Loan, (1 Month TSFR +5.00%) | 5.00 | 9/13/2032 | 305,000 | f | 307,002 | ||||
Technology Hardware & Equipment - .6% | |||||||||
Indy US Holdco LLC, Ninth Amended Dollar Term Loan, (1 Month SOFR +4.75%) | 9.60 | 3/6/2028 | 1,189,909 | f | 1,187,928 | ||||
Telecommunication Services - .7% | |||||||||
Lumen Technologies, Inc., Term Loan B-2, (1 Month SOFR +2.46%) | 7.32 | 4/15/2030 | 693,247 | f | 602,695 | ||||
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (1 Month SOFR +3.00%) | 7.96 | 3/9/2027 | 870,000 | f | 797,229 | ||||
1,399,924 | |||||||||
Transportation - .1% | |||||||||
PODS LLC, Term Loan, (3 Month SOFR +3.26%) | 8.51 | 3/31/2028 | 147,819 | f | 140,133 | ||||
Utilities - .4% | |||||||||
Nautilus Power LLC, Term Loan B, (3 Month SOFR +5.51%) | 10.85 | 11/16/2026 | 818,168 | f | 818,986 | ||||
Total Floating Rate Loan Interests | 31,193,033 | ||||||||
Shares | |||||||||
Exchange-Traded Funds - .4% | |||||||||
Registered Investment Companies - .4% | |||||||||
iShares
iBoxx Investment Grade Corporate Bond ETF | 7,570 | 855,259 | |||||||
22
Description | 1-Day | Shares | Value ($) | ||||||
Investment Companies - 2.5% | |||||||||
Registered Investment Companies - 2.5% | |||||||||
Dreyfus Institutional Preferred Government
Plus Money Market Fund, Institutional Shares | 4.95 | 5,011,439 | h | 5,011,439 | |||||
Total Investments (cost $271,192,309) | 139.0% | 282,320,048 | |||||||
Liabilities, Less Cash and Receivables | (39.0%) | (79,184,857) | |||||||
Net Assets | 100.0% | 203,135,191 | |||||||
ETF—Exchange-Traded Fund
EURIBOR—Euro Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
TSFR—Term Secured Overnight Financing Rate Reference Rates
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security, or portion thereof, has been pledged as collateral for the fund’s Revolving Credit and Security Agreement.
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 September 30, 2024, these securities were valued at $227,218,604 or 111.86% of net assets.
d Payment-in-kind security and interest may be paid in additional par.
e Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
g Security issued with a zero coupon. Income is recognized through the accretion of discount.
h Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
See notes to financial statements.
23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Affiliated Issuers | ||||||
Description | Value
($) | Purchases ($)† | Sales ($) | Value
($) | Dividends/ | |
Registered Investment Companies - 2.5% | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares - 2.5% | 2,355,916 | 65,311,193 | (62,655,670) | 5,011,439 | 122,664 | |
† Includes reinvested dividends/distributions.
See notes to financial statements.
Forward Foreign Currency Exchange Contracts | |||||
Counterparty/ Purchased | Purchased
Currency | Currency | Sold
| Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. | |||||
United States Dollar | 1,004,158 | Euro | 900,000 | 10/23/2024 | 1,314 |
British Pound | 140,000 | United States Dollar | 187,908 | 10/23/2024 | (737) |
Goldman Sachs & Co. LLC | |||||
United States Dollar | 7,078,113 | British Pound | 5,330,000 | 10/23/2024 | (47,753) |
United States Dollar | 10,223,875 | Euro | 9,140,000 | 10/23/2024 | 39,435 |
Gross Unrealized Appreciation | 40,749 | ||||
Gross Unrealized Depreciation | (48,490) | ||||
See notes to financial statements.
24
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2024 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 266,180,870 |
| 277,308,609 |
| ||
Affiliated issuers |
| 5,011,439 |
| 5,011,439 |
| |
Cash denominated in foreign currency |
|
| 629,006 |
| 627,241 |
|
Receivable for investment securities sold |
| 5,821,966 |
| |||
Interest receivable |
| 4,332,700 |
| |||
Unrealized
appreciation on forward foreign |
| 40,749 |
| |||
Prepaid expenses |
|
|
|
| 48,493 |
|
|
|
|
|
| 293,191,197 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 176,660 |
| |||
Cash overdraft due to Custodian |
|
|
|
| 983,335 |
|
Loan payable—Note 2 |
| 74,000,000 |
| |||
Payable for investment securities purchased |
| 14,366,384 |
| |||
Interest payable—Note 2 |
| 379,465 |
| |||
Unrealized
depreciation on forward foreign |
| 48,490 |
| |||
Trustees’ fees and expenses payable |
| 11,843 |
| |||
Other accrued expenses |
|
|
|
| 89,829 |
|
|
|
|
|
| 90,056,006 |
|
Net Assets ($) |
|
| 203,135,191 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 277,577,745 |
|
Total distributable earnings (loss) |
|
|
|
| (74,442,554) |
|
Net Assets ($) |
|
| 203,135,191 |
| ||
Shares Outstanding |
|
| ||
(unlimited
number of $.001 par value | 72,736,534 |
| ||
Net Asset Value Per Share ($) |
| 2.79 |
| |
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
25
STATEMENT OF OPERATIONS
Six Months Ended September 30, 2024 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest (net of $5,731 foreign taxes withheld at source) | 11,086,115 |
| ||||
Dividends: |
| |||||
Unaffiliated issuers |
|
| 16,750 |
| ||
Affiliated issuers |
|
| 122,664 |
| ||
Total Income |
|
| 11,225,529 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,024,522 |
| ||
Interest expense—Note 2 |
|
| 2,412,885 |
| ||
Professional fees |
|
| 106,853 |
| ||
Registration fees |
|
| 35,414 |
| ||
Trustees’ fees and expenses—Note 3(c) |
|
| 31,548 |
| ||
Shareholders’ reports |
|
| 27,387 |
| ||
Shareholder servicing costs |
|
| 9,676 |
| ||
Chief Compliance Officer fees—Note 3(b) |
|
| 7,243 |
| ||
Custodian fees—Note 3(b) |
|
| 6,261 |
| ||
Miscellaneous |
|
| 22,778 |
| ||
Total Expenses |
|
| 3,684,567 |
| ||
Net Investment Income |
|
| 7,540,962 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss)
on investments | 1,391,463 |
| ||||
Net
realized gain (loss) on forward foreign | (408,124) |
| ||||
Net Realized Gain (Loss) |
|
| 983,339 |
| ||
Net
change in unrealized appreciation (depreciation) on | 6,002,507 |
| ||||
Net
change in unrealized appreciation (depreciation) on | (251,262) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) | 5,751,245 |
| ||||
Net Realized and Unrealized Gain (Loss) on Investments | 6,734,584 |
| ||||
Net Increase in Net Assets Resulting from Operations | 14,275,546 |
| ||||
|
|
|
|
|
|
|
See notes to financial statements. | ||||||
26
STATEMENT OF CASH FLOWS
Six Months Ended September 30, 2024 (Unaudited)
|
|
|
|
|
| |
|
|
|
|
|
|
|
Cash Flows from Operating Activities ($): |
|
|
|
|
| |
Purchases of portfolio securities |
| (150,010,631) |
|
|
| |
Proceeds from sales of portfolio securities | 154,214,510 |
|
|
| ||
Net purchase (sales) of short-term securities | (2,393,023) |
|
|
| ||
Dividends and interest income received |
| 11,260,369 |
|
|
| |
Interest expense paid |
| (2,462,971) |
|
|
| |
Expenses paid to BNY Mellon Investment
|
| (1,042,743) |
|
|
| |
Operating expenses paid |
| (182,581) |
|
|
| |
Net realized gain (loss) from forward foreign
currency |
| (408,124) |
|
|
| |
Net Cash Provided (or Used) in Operating Activities |
| 8,974,806 |
| |||
Cash Flows from Financing Activities ($): |
|
|
|
|
| |
Dividends paid to shareholders |
| (8,910,377) |
|
|
| |
Decrease in loan outstanding |
| (5,000,000) |
|
|
| |
Increase in Cash Overdraft due to Custodian |
| 983,335 |
|
|
| |
Net Cash Provided (or Used) in Financing Activities |
| (12,927,042) |
| |||
Effect of Foreign Exchange Rate Changes on Cash |
| 29,881 |
| |||
Net Increase (Decrease) in Cash |
| (3,922,355) |
| |||
Cash and cash denominated in foreign currency at beginning of period |
| 4,549,596 |
| |||
Cash and Cash Denominated in Foreign Currency at End of Period |
| 627,241 |
| |||
Reconciliation of Net Increase (Decrease) in
Net Assets |
|
|
| |||
Net Increase in Net Assets Resulting From Operations |
| 14,275,546 |
|
|
| |
Adjustments
to Reconcile Net Increase (Decrease) |
|
|
| |||
Increase in investments in securities at cost |
| (3,380,580) |
|
|
| |
Decrease in dividends and interest receivable |
| 34,840 |
|
|
| |
Increase in receivable for investment securities sold |
| (166,414) |
|
|
| |
Decrease in prepaid expenses |
| 19,266 |
|
|
| |
Decrease in Due to BNY Mellon Investment
|
| (4,717) |
|
|
| |
Increase in payable for investment |
| 3,966,387 |
|
|
| |
Decrease in interest payable |
| (50,086) |
|
|
| |
Increase in Trustees' fees and expenses payable |
| 9,622 |
|
|
| |
Increase in other accrued expenses |
| 22,187 |
|
|
| |
Net change in unrealized (appreciation)
depreciation |
| (5,751,245) |
|
|
| |
Net Cash Provided (or Used) in Operating Activities |
| 8,974,806 |
| |||
See notes to financial statements. | ||||||
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six
Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Net investment income |
|
| 7,540,962 |
|
|
| 15,758,548 |
| |
Net realized gain (loss) on investments |
| 983,339 |
|
|
| (7,365,662) |
| ||
Net
change in unrealized appreciation |
| 5,751,245 |
|
|
| 15,921,186 |
| ||
Net Increase
(Decrease) in Net Assets | 14,275,546 |
|
|
| 24,314,072 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders | (7,637,336) |
|
|
| (13,274,417) |
| |||
Total Increase (Decrease) in Net Assets | 6,638,210 |
|
|
| 11,039,655 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 196,496,981 |
|
|
| 185,457,326 |
| |
End of Period |
|
| 203,135,191 |
|
|
| 196,496,981 |
| |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. | |||||||||
28
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period.
Six Months Ended | ||||||
September 30, 2024 | Year Ended March 31, | |||||
(Unaudited) | 2024 | 2023 | 2022 | 2021 | 2020 | |
Per Share Data ($): | ||||||
Net
asset value, | 2.70 | 2.55 | 3.05 | 3.30 | 2.59 | 3.32 |
Investment Operations: | ||||||
Net investment incomea | .10 | .22 | .20 | .24 | .24 | .25 |
Net
realized and unrealized | .10 | .11 | (.49) | (.24) | .73 | (.72) |
Total from Investment Operations | .20 | .33 | (.29) | (.00)b | .97 | (.47) |
Distributions: | ||||||
Dividends from | (.11) | (.18) | (.21) | (.26) | (.26) | (.26) |
Net asset value, end of period | 2.79 | 2.70 | 2.55 | 3.05 | 3.30 | 2.59 |
Market value, end of period | 2.69 | 2.42 | 2.17 | 2.78 | 3.09 | 2.27 |
Market Price Total Return (%) | 15.99c | 20.93 | (14.49) | (2.72) | 49.32 | (19.39) |
Ratios/Supplemental Data (%): | ||||||
Ratio
of total expenses to | 3.73d | 3.96 | 2.90 | 1.71 | 1.85 | 2.77 |
Ratio of interest expense and | 2.44d | 2.65 | 1.60 | .42 | .58 | 1.48 |
Ratio of net investment income | 7.63d | 8.37 | 7.48 | 7.27 | 7.87 | 7.49 |
Portfolio Turnover Rate | 54.30c | 111.68 | 119.01 | 78.09 | 85.59 | 70.93 |
Net Assets, | 203,135 | 196,497 | 185,457 | 221,624 | 239,727 | 188,270 |
Average
borrowings | 75,257 | 79,000 | 79,847 | 96,000 | 92,800 | 110,784 |
Weighted average | ||||||
number of fund shares | 72,737 | 72,737 | 72,737 | 72,724 | 72,708 | 72,708 |
Average
amount | 1.03 | 1.09 | 1.10 | 1.32 | 1.28 | 1.52 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Not annualized.
d Annualized.
See notes to financial statements.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon High Yield Strategies Fund (the “fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, closed-end management investment company. The fund’s primary investment objective is to seek high current income. Under normal market conditions, the fund invests at least 65% of its total assets in income securities of U.S. issuers rated below investment grade quality or unrated income securities that Alcentra NY, LLC, the fund’s sub-adviser (“Alcentra” or the “Sub-Adviser”), determines to be of comparable quality. The fund’s investment adviser is BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Corporation (“BNY”). The fund’s shares of beneficial interest trades on the New York Stock Exchange (the “NYSE”) under the ticker symbol DHF.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fund 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
30
such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The fund’s Board of Trustees (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Investments in debt securities and floating rate loan interests, excluding short-term investments (other than U.S. Treasury Bills) and forward foreign currency exchange contracts (“forward contracts”), are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Investments in equity securities and exchanged-traded funds 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 the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
Fair valuing of securities may be determined with the assistance of a Service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, 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.
32
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 September 30, 2024 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Collateralized Loan Obligations | - | 3,965,553 | - | 3,965,553 | ||
Corporate Bonds and Notes | - | 241,294,764 | - | 241,294,764 | ||
Exchange-Traded Funds | 855,259 | - | - | 855,259 | ||
Floating Rate Loan Interests | - | 31,193,033 | - | 31,193,033 | ||
Investment Companies | 5,011,439 | - | - | 5,011,439 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 40,749 | - | 40,749 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | (48,490) | - | (48,490) | ||
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchange-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.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 September 30, 2024, 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) Market Risk: The value of the securities in which the fund invests may be affected by political, regulatory, economic and social developments, and developments that impact specific economic sectors, industries or segments of the market. The value of a security may also decline due to general market conditions that are not specifically related to a particular company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, changes to inflation, adverse changes to credit markets or adverse investor sentiment generally.
High Yield Risk: The fund invests primarily in high yield debt securities. Below investment grade instruments are commonly referred to as “junk” or “high yield” instruments and are regarded as predominantly speculative
34
with respect to the issuer’s capacity to pay interest and repay principal. Below investment grade instruments, though generally higher yielding, are characterized by higher risk. These instruments are especially sensitive to adverse changes in general economic conditions, to changes in the financial condition of their issuers and to price fluctuation in response to changes in interest rates. During periods of economic downturn or rising interest rates, issuers of below investment grade instruments may experience financial stress that could adversely affect their ability to make payments of principal and interest and increase the possibility of default. The secondary market for below investment grade instruments may not be as liquid as the secondary market for more highly rated instruments, a factor which may have an adverse effect on the fund’s ability to dispose of a particular security. There are fewer dealers in the market for high yield instruments than for investment grade instruments. The prices quoted by different dealers may vary significantly, and the spread between the bid and asked price is generally much larger for high yield securities than for higher quality instruments. Under adverse market or economic conditions, the secondary market for below investment grade instruments could contract, independent of any specific adverse changes in the condition of a particular issuer, and these instruments may become illiquid. In addition, adverse publicity and investor perceptions, whether or not based on fundamental analysis, may also decrease the values and liquidity of below investment grade instruments, especially in a market characterized by a low volume of trading.
Collateralized Loan Obligation Risk: The fund invests in collateralized loan obligations (“CLO”). Holders of CLOs and other types of structured products bear risks of the underlying investments, index or reference obligation and are subject to counterparty risk. Although it is difficult to predict whether the prices of indices and securities underlying structured products will rise or fall, these prices (and, therefore, the prices of structured products) will be influenced by the same types of political and economic events that affect issuers of securities and capital markets generally. Collateralized debt obligations (“CDO”), such as CLOs, may be thinly traded or have a limited trading market. CLOs are typically privately offered and sold, and thus are not registered under the securities laws. As a result, investments in CLOs and CDOs may be characterized by the fund as illiquid securities, especially investments in mezzanine and subordinated/equity tranches of CLOs; however, an active dealer market may exist for certain investments and more senior CLO tranches, which would allow such securities to be considered liquid in some circumstances. In addition to the general risks associated with credit instruments, CLOs and CDOs carry additional risks, including, but not limited to: (i) the
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the class of CLO held by the fund is subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Floating Rate Loans Risk: The fund is permitted to invest up to 20% (effective August 15, 2024) of the fund’s total assets in floating rate loans. Unlike publicly-traded common stocks which trade on national exchanges, there is no central market or exchange for loans to trade. Loans trade in an over-the-counter market, and confirmation and settlement, which are effected through standardized procedures and documentation, may take significantly longer than seven days to complete. The secondary market for floating rate loans also may be subject to irregular trading activity and wide bid/ask spreads. The lack of an active trading market for certain floating rate loans may impair the ability of the fund to realize full value in the event of the need to sell a floating rate loan and may make it difficult to value such loans. There may be less readily available, reliable information about certain floating rate loans than is the case for many other types of securities, and the fund’s portfolio managers may be required to rely primarily on their own evaluation of a borrower’s credit quality rather than on any available independent sources. The value of collateral, if any, securing a floating rate loan can decline, and may be insufficient to meet the issuer’s obligations in the event of non-payment of scheduled interest or principal or may be difficult to readily liquidate. In the event of the bankruptcy of a borrower, the fund could experience delays or limitations imposed by bankruptcy or other insolvency laws with respect to its ability to realize the benefits of the collateral securing a loan. The floating rate loans in which the fund invests typically will be below investment grade quality and, like other below investment grade securities, are inherently speculative. As a result, the risks associated with such floating rate loans are similar to the risks of below investment grade securities, although senior loans are typically senior and secured in contrast to other below investment grade securities, which are often subordinated and unsecured. Floating rate loans may not be considered to be “securities” for purposes of the anti-fraud protections of the federal securities laws, including those with respect to the use of material non-public information, so that purchasers, such as the fund, may not have the benefit of these protections.
The Additional Information section within the annual report dated March 31, 2024, provides more details about the fund’s principal risk factors.
36
(f) Dividends and distributions to Shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from net investment income are normally declared and paid monthly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Shareholders will have their distributions reinvested in additional shares of the fund, unless such shareholders elect to receive cash, at the lower of the market price or net asset value per share (but not less than 95% of the market price). If market price is equal to or exceeds net asset value, shares will be issued at net asset value. If net asset value exceeds market price, Computershare Inc., the transfer agent, will buy fund shares in the open market and reinvest those shares accordingly.
On September 24, 2024, the Board declared a cash dividend of $.0175 per share from undistributed net investment income, payable on October 23, 2024 to shareholders of record as of the close of business on October 8, 2024. The ex-dividend date was October 8, 2024.
(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 September 30, 2024, 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 September 30, 2024, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended March 31, 2024 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.
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The fund has an unused capital loss carryover of $86,649,591 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to March 31, 2024. The fund has $28,430,314 of short-term capital losses and $58,219,277 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 March 31, 2024 was as follows: ordinary income $13,274,417. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Borrowings:
The fund has a $125,000,0000 Committed Facility Agreement with BNP Paribas Prime Brokerage International, Limited (the “BNPP Agreement”), which is an evergreen facility with a lock-up term of 179 days. Under the terms of the BNPP Agreement, the fund may make “Borrowings” on a collateralized basis with certain fund assets used as collateral, which amounted to $148,528,741 at September 30, 2024. The interest to be paid by the fund on such Borrowings is determined with reference to the principal amount of each such Borrowings outstanding from time to time. Any commitment fees with respect to the BNPP Agreement have been waived and there is no fee in connection with any renewal thereof.
During the period ended September 30, 2024, total fees pursuant to the BNPP Agreement amounted to $2,412,885 of interest expense. These fees are included in Interest expense in the Statement of Operations.
The average amount of Borrowings outstanding under the BNPP Agreement during the period ended September 30, 2024 was $75,256,830 with a related weighted average annualized interest rate of 6.39%.
NOTE 3—Management Fee, Sub-Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management and administration agreement with the Adviser, the management and administration fee is computed at the annual rate of .75% of the value of the fund’s average weekly total assets minus the sum of accrued liabilities (other than the aggregate indebtedness constituting financial leverage) (the “Managed Assets”) and is payable monthly.
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 .36% of the value of the fund’s average daily Managed Assets.
38
(b) The fund has an arrangement with The Bank of New York Mellon (the “Custodian”), a subsidiary of BNY and an affiliate of the Adviser, whereby the fund will receive interest income or be charged overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statement of Operations.
The fund compensates the Custodian, 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 September 30, 2024, the fund was charged $6,261 pursuant to the custody agreement.
During the period ended September 30, 2024, the fund was charged $7,243 for services performed by the fund’s Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: Management fee of $170,199, Custodian fees of $3,900 and Chief Compliance Officer fees of $2,561.
(c) Each board member of the fund also serves as a board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and meeting attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities and forward contracts, during the period ended September 30, 2024, amounted to $145,535,861 and $147,244,939, respectively.
Floating Rate Loan Interests: Floating rate instruments are loans and other securities with interest rates that adjust or “float” periodically. Floating rate loans are made by banks and other financial institutions to their corporate clients. The rates of interest on the loans adjust periodically by reference to a base lending rate, plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically 30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its over-the-counter (“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. Rule 18f-4 under the Act, regulates the use of derivatives transactions for certain funds registered under the Act. The fund is deemed a “limited” derivatives user under the rule and is required to limit its derivatives exposure so that the total notional value of applicable derivatives does not exceed 10% of fund’s net assets, and is subject to certain reporting requirements.
Each type of derivative instrument that was held by the fund during the period ended September 30, 2024 is discussed below.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward Contracts open at September 30, 2024 are set forth in the Statement of Investments.
40
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 September 30, 2024 is shown below: | |||||||
|
|
|
|
|
|
| |
|
| Derivative
|
|
| Derivative |
| |
Foreign exchange | 40,749 | 1 | Foreign exchange | (48,490) | 1 | ||
Gross fair value | 40,749 |
|
|
| (48,490) |
| |
|
|
|
|
|
|
| |
| Statement of Assets and Liabilities location: |
| |||||
1 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. | ||||||
The effect of derivative instruments in the Statement of Operations during the period ended September 30, 2024 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) |
| ||||
Underlying
| Forward
| 1 | Total |
| |
Foreign
| (408,124) |
| (408,124) |
| |
Total | (408,124) |
| (408,124) |
| |
|
|
|
|
| |
Net
change in unrealized appreciation (depreciation) |
| ||||
Underlying
| Forward
| 2 | Total |
| |
Foreign
| (251,262) |
| (251,262) |
| |
Total | (251,262) |
| (251,262) |
| |
|
|
|
|
|
|
| Statement of Operations location: |
| |||
1 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||
2 | 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
41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
At September 30, 2024, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Forward contracts |
| 40,749 |
| (48,490) |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Statement of Assets and Liabilities |
| 40,749 |
| (48,490) |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
| - |
| - |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
| 40,749 |
| (48,490) |
|
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 September 30, 2024:
Counterparty | Gross
| 1 | Financial
| Collateral
|
| Net
|
Barclays Capital, Inc. | 1,314 |
| (737) | - |
| 577 |
Goldman
| 39,435 |
| (39,435) | - |
| - |
Total | 40,749 |
| (40,172) | - |
| 577 |
|
|
|
|
|
|
|
42
Counterparty | Gross | 1 | Financial
| Collateral
|
Net | |
Barclays Capital, Inc. | (737) |
| 737 | - |
| - |
Goldman
| (47,753) |
| 39,435 | - |
| (8,318) |
Total | (48,490) |
| 40,172 | - |
| (8,318) |
|
|
|
|
|
|
|
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Statement of Assets and Liabilities. | ||||||
The following table summarizes the monthly average market value of derivatives outstanding during the period ended September 30, 2024:
|
| Average Market Value ($) |
Forward Contracts: |
|
|
Forward Contracts Purchased in USD |
| 26,739 |
Forward Contracts Sold in USD |
| 15,474,185 |
At September 30, 2024, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $11,119,998, consisting of $12,277,629 gross unrealized appreciation and $1,157,631 gross unrealized depreciation.
At September 30, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
43
ADDITIONAL INFORMATION (Unaudited)
Portfolio Holdings
The fund will disclose its complete schedule of portfolio holdings, as reported on a month-end basis, at www.bny.com/investments, under Investments. The information will be posted with a one-month lag and will remain accessible until the fund files a report on Form N-PORT or Form N-CSR for the period that includes the date as of which the information was current.
44
PROXY RESULTS (Unaudited)
The fund’s shareholders voted on the following proposal presented at the annual shareholders’ meeting held on August 15, 2024.
Shares | ||||
For | Against/Withheld | |||
To elect two Class I Trustees: † | ||||
Francine J. Bovich | 50,240,975 | 4,302,626 | ||
Bradley J. Skapyak | 50,284,083 | 4,259,518 | ||
† The term of each Class I Trustee expires in 2027.
45
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48
OFFICERS
AND TRUSTEES
BNY Mellon High Yield Strategies Fund
240 Greenwich Street
New York, NY 10286
Officers (continued) | |||
Independent Board Members: | Assistant Treasurers (continued) | ||
Joseph S. DiMartino, Chairman | Robert Salviolo | ||
Francine J. Bovich | Robert Svagna | ||
Andrew J. Donohue | Chief Compliance Officer | ||
Bradley Skapyak | Joseph W. Connolly | ||
Roslyn M. Watson | Portfolio Managers | ||
Benaree Pratt Wiley | Chris Barris | ||
Kevin Cronk | |||
Officers | |||
President | |||
David DiPetrillo | Adviser | ||
Chief Legal Officer | BNY Mellon Investment Adviser, Inc. | ||
Peter M. Sullivan | Sub-Adviser | ||
Vice President and Secretary | Alcentra NY, LLC | ||
Sarah S. Kelleher | Custodian | ||
Vice Presidents and Assistant Secretaries | The Bank of New York Mellon | ||
Deirdre Cunnane | Counsel | ||
Lisa M. King | K&L Gates LLP | ||
Jeff Prusnofsky | Transfer Agent, Registar and | ||
Amanda Quinn | Dividend Disbursing Agent | ||
Treasurer | Computershare Inc. | ||
James Windels | Stock Exchange Listing | ||
Vice Presidents | NYSE Symbol: DHF | ||
Daniel Goldstein | Initial SEC Effective Date | ||
Joseph Martella | 4/23/98 | ||
Assistant Treasurers | |||
Roberto G. Mazzeo | |||
Gavin C. Reilly | |||
The fund’s net asset value per share appears in the following publications: Barron’s, Closed-End Bond Funds section under the heading “Bond Funds” every Monday; The Wall Street Journal, Mutual Funds section under the heading “Closed-End Bond Funds” every Monday. | |||
Notice is hereby given in accordance with Section 23(c) of the Act that the fund may purchase shares of its beneficial interest in the open market when it can do so at prices below the then current net asset value per share. | |||
49
BNY Mellon High Yield Strategies Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Sub-Adviser
Alcentra NY, LLC
9 West 57th Street,
Suite 4920
New York, NY 10019
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer
Agent &
Registrar
Computershare Inc.
480 Washington Boulevard
Jersey City, NJ 07310
Dividend Disbursing Agent
Computershare Inc.
P.O. Box 30170
College Station, TX 77842
Ticker Symbol: | DHF |
For more information about the fund, visit https://bny.com/closed-end-funds. Here you will find the fund’s most recently available quarterly fact sheets and other information about the fund. The information posted on the fund’s website is subject to change without notice.
The fund files its complete schedule of portfolio holdings with the 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.bny.com/investments and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
|
|
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.
Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Not applicable.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Not applicable.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers for Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities By Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 15.
Item 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. 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 High Yield Strategies Fund
By: /s/ David J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: November 18, 2024
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 J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: November 18, 2024
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: November 19, 2024
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)