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) |
| ||||
|
|
| ||||
|
Bennett A. MacDougall, Esq. 240 Greenwich Street New York, New York 10286 |
| ||||
|
(Name and address of agent for service) |
| ||||
| ||||||
Registrant's telephone number, including area code: |
(212) 922-6400 | |||||
|
| |||||
Date of fiscal year end:
|
03/31 |
| ||||
Date of reporting period: |
09/30/19
|
| ||||
FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon High Yield Strategies Fund
SEMIANNUAL REPORT September 30, 2019 |
|
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
THE FUND
BNY Mellon Investment Adviser, Inc. |
|
in Affiliated Issuers |
|
Currency Exchange Contracts |
|
FOR MORE INFORMATION
Back Cover
|
The Fund |
A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.
Dear Shareholder:
We are pleased to present this semiannual report for BNY Mellon High Yield Strategies Fund (formerly, Dreyfus High Yield Strategies Fund), covering the six-month period from April 1, 2019 through September 30, 2019. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
U.S. equity markets seesawed somewhat during the reporting period. Stocks started off by gaining ground, as investors continued to respond positively to a shift in stance by the U.S. Federal Reserve (the “Fed”) that occurred early in 2019 when it indicated it would make future interest-rate moves “data dependent.” This suggested further rate hikes were unlikely and rate reductions were on the table. Stock prices pulled back in May, as trade tensions between the U.S. and China escalated, but markets resumed their upward trajectory in June and July, when a trade deal appeared more likely, and the pace of U.S. economic growth remained steady. Nevertheless, concerns continued to emerge over slowing global growth, resulting in bouts of market volatility in August. But stocks rebounded in September, supported in part by central bank policy.
In the fixed-income market, indices generally rose during the reporting period, as mixed economic data and the Fed’s new data-dependent stance regarding future policy moves suggested the economy could be slowing. Markets had been expecting a loosening of monetary policy, and at the end of July, the Fed cut the federal funds rate by 25 basis points, a move it repeated in mid-September. Concerns about the pace of global economic growth also fueled demand for fixed-income instruments during much of the reporting period, resulting in strong bond market returns.
We remain positive on the near-term economic outlook for the U.S. but will monitor relevant data for any signs of a change. As always, we encourage you to discuss the risks and opportunities in today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Renee LaRoche-Morris
President
BNY Mellon Investment Adviser, Inc.
October 15, 2019
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from April 1, 2019 through September 30, 2019, as provided by Chris Barris, Kevin Cronk, and Leland Hart, portfolio managers
Market and Fund Performance Overview
For the six-month period ended September 30, 2019, BNY Mellon High Yield Strategies Fund (formerly, Dreyfus High Yield Strategies Fund) produced a total return of 5.28% on a net-asset-value basis and a return of 4.00% on a market basis. Over the same time period, the fund provided aggregate income dividends of $0.131 per share.1 In comparison, the ICE BofA Merrill Lynch U.S. High Yield Master II Constrained Index (the “Index”), the fund’s benchmark, achieved a total return of 3.82% for the same period.2
High yield corporate bonds produced positive returns over the reporting period amid moderating economic growth and satisfactory corporate earnings. The fund outperformed the Index partly due to an overweight to B rated credits and successful issue selection and asset allocation decisions.
The Fund’s Investment Approach
The fund primarily seeks high current income. The fund also seeks capital growth as a secondary objective, to the extent consistent with its objective of seeking high current income. The fund invests primarily in fixed-income securities of below-investment-grade credit quality. Issuers of below-investment-grade securities may include companies in early stages of development and companies with a highly leveraged financial structure. To compensate investors for taking on greater risk, such companies typically must offer higher yields than those offered by more established or conservatively financed companies. The fund may invest up to 10% of its total assets in floating-rate loans.
Interest-Rate Activity Influences Bond Performance
Prices of fixed-income instruments generally rose during the six months, with high yield securities periodically outperforming the broader market. Corporate earnings were generally in line with expectations. Despite continued signs of slowing growth, performance of cyclical sector debt, such as automobile, energy and chemical companies, has improved since the market volatility at the end of 2018. Later in the period, issuance increased as companies sought to extend the maturity profiles of their debt.
During its May meeting, the Federal Reserve (the “Fed”) reiterated its patient stance regarding future interest-rate hikes and its willingness to take action to bolster economic growth rates. This announcement worked to support the rally in fixed-income instrument valuations that began at the start of the year. At the end of July, the Fed cut the federal funds rate by 25 basis points. In mid-September, it cut rates again by an additional 25 basis points. Throughout much of the period, rates generally fell and the Treasury yield curve flattened. Economically supportive policies from the Fed, as well as other global central banks, coupled with high demand for fixed-income instruments throughout much of the six months, led to strong bond market returns.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Issue Selection and Asset Allocation Bolster Results
Over the reporting period, the fund’s results benefited from an overweight to B rated debt, which outperformed during the six months. Sector allocation and security selection decisions also provided a tailwind. Underweight exposure to the volatile energy sector was a driver of positive results, as were overweight exposures to the gaming and financials sectors. Security selection within broadcasting also helped performance. Other top-performing credits for the period were energy company Brand Industrial Services, insurer York Risk Services Holdings and cable provider Altice France.
Conversely, short duration positioning relative to the benchmark created a slight drag on performance during the period. In terms of sector positioning, the portfolio was underweight to home builders and cable providers, which also had a negative impact. Among the top detracting issues were health care provider MultiPlan, manufacturing company Exela Intermediate and network infrastructure company CommScope.
Constructively Positioned for Slowing Growth
We believe fundamentals continue to be supported by demand and low defaults. We are comfortable with our overweight in B rated debt and continue to think this area of the market offers the most attractive relative value. We expect to remain underweight to commodities and cyclicals in light of signs of continually slowing growth. It is our opinion that these areas of the market remain most susceptible to waning growth rates. We remain optimistic regarding areas of the market linked to consumer spending, such as gaming, and more defensive areas of the market like packaging, and are attracted to the strengthening underlying fundamentals of the financials sector. In this slower-growth environment, we believe that a disciplined, research-intensive approach to security selection may become even more important for investment success going forward.
October 15, 2019
1 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.
2Source: FactSet — The ICE BofA Merrill Lynch U.S. High Yield Master II Constrained Index contains all securities in the ICE BofA Merrill Lynch 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.
Please note: the position in any security highlighted with italicized typeface was sold during the reporting period.
Bonds are subject generally to interest-rate, credit, liquidity and market risks, to varying degrees. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines. High yield bonds are subject to increased credit risk and are considered speculative in terms of the issuer’s perceived ability to continue making interest payments on a timely basis and to repay principal upon maturity. The use of leverage may magnify the fund’s gains or losses. For derivatives with a leveraging component, adverse changes in the value or level of the underlying asset can result in a loss that is much greater than the original investment in the derivative.
4
STATEMENT OF INVESTMENTS
September 30, 2019 (Unaudited)
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% |
|||||||||
Aerospace & Defense - 2.9% |
|||||||||
Bombardier, Sr. Unscd. Notes |
6.13 |
1/15/2023 |
425,000 |
b,c |
433,925 |
||||
Bombardier, Sr. Unscd. Notes |
7.50 |
3/15/2025 |
2,830,000 |
b,c |
2,837,075 |
||||
Bombardier, Sr. Unscd. Notes |
7.88 |
4/15/2027 |
500,000 |
b,c |
499,175 |
||||
TransDigm, Gtd. Notes |
6.50 |
5/15/2025 |
705,000 |
734,081 |
|||||
TransDigm, Sr. Scd. Notes |
6.25 |
3/15/2026 |
1,015,000 |
b,c |
1,092,394 |
||||
TransDigm UK Holdings, Gtd. Notes |
6.88 |
5/15/2026 |
1,440,000 |
c |
1,551,600 |
||||
7,148,250 |
|||||||||
Automobiles & Components - 2.0% |
|||||||||
American Axle & Manufacturing, Gtd. Notes |
6.25 |
4/1/2025 |
750,000 |
c |
728,438 |
||||
Panther BF Aggregator 2, Gtd. Notes |
8.50 |
5/15/2027 |
3,180,000 |
b,c |
3,227,700 |
||||
Panther BF Aggregator 2, Sr. Scd. Notes |
6.25 |
5/15/2026 |
835,000 |
b,c |
880,925 |
||||
4,837,063 |
|||||||||
Building Materials - 1.5% |
|||||||||
Cornerstone Building Brands, Gtd. Notes |
8.00 |
4/15/2026 |
1,845,000 |
b,c |
1,821,937 |
||||
Griffon, Gtd. Notes |
5.25 |
3/1/2022 |
925,000 |
c |
936,563 |
||||
Masonite International, Gtd. Notes |
5.38 |
2/1/2028 |
738,000 |
b |
772,133 |
||||
3,530,633 |
|||||||||
Chemicals - 2.6% |
|||||||||
Consolidated Energy Finance, Gtd. Notes |
6.50 |
5/15/2026 |
915,000 |
b,c |
892,125 |
||||
Consolidated Energy Finance, Sr. Unscd. Notes |
6.88 |
6/15/2025 |
835,000 |
b,c |
841,263 |
||||
CVR Partners, Scd. Notes |
9.25 |
6/15/2023 |
2,320,000 |
b,c |
2,427,300 |
||||
Kraton Polymers, Gtd. Notes |
7.00 |
4/15/2025 |
1,305,000 |
b,c |
1,366,987 |
||||
Venator Finance, Gtd. Notes |
5.75 |
7/15/2025 |
870,000 |
b,c |
737,325 |
||||
6,265,000 |
|||||||||
Collateralized Loan Obligations Debt - 5.1% |
|||||||||
Battalion CLO VII, Ser. 2014-7A, Cl. DRR, 3 Month LIBOR +6.31% |
8.61 |
7/17/2028 |
750,000 |
b,d |
749,797 |
||||
Chenango Park CLO, Ser. 2018-1A, Cl. D, 3 Month LIBOR +5.80% |
8.10 |
4/15/2030 |
1,000,000 |
b,d |
919,307 |
||||
CIFC Funding, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.00% |
7.30 |
4/18/2031 |
2,000,000 |
b,d |
1,766,963 |
||||
Marble Point CLO XII, Ser. 2018-1A, Cl. E, 3 Month LIBOR +6.00% |
8.32 |
7/16/2031 |
750,000 |
b,d |
656,201 |
||||
OCP CLO, Ser. 2014-6A, Cl. DR, 3 Month LIBOR +6.52% |
8.82 |
10/17/2030 |
1,000,000 |
b,d |
917,272 |
5
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Collateralized Loan Obligations Debt - 5.1% (continued) |
|||||||||
Octagon Investment Partners 33, Ser. 2017-1A, Cl. D, 3 Month LIBOR +6.30% |
8.58 |
1/20/2031 |
1,525,000 |
b,d |
1,459,890 |
||||
Octagon Investment Partners 39, Ser. 2018-3A, Cl. E, 3 Month LIBOR +5.75% |
8.03 |
10/20/2030 |
2,000,000 |
b,d |
1,847,648 |
||||
Ozlm Vi, Ser. 2014-6A, Cl. DS, 3 Month LIBOR +6.05% |
8.35 |
4/17/2031 |
2,000,000 |
b,d |
1,788,704 |
||||
Rockford Tower CLO, Ser. 2018-1A, Cl. E, 3 Month LIBOR +5.85% |
7.99 |
5/20/2031 |
750,000 |
b,d |
704,692 |
||||
Sounds Point CLO IV-R, Ser. 2013-3RA, Cl. E, 3 Month LIBOR +6.25% |
8.55 |
4/18/2031 |
750,000 |
b,d |
668,018 |
||||
Vibrant CLO III, Ser. 2015-3A, Cl. DRR, 3 Month LIBOR +6.35% |
8.63 |
10/20/2031 |
1,000,000 |
b,d |
914,450 |
||||
12,392,942 |
|||||||||
Commercial & Professional Services - 3.7% |
|||||||||
Ahern Rentals, Scd. Notes |
7.38 |
5/15/2023 |
1,370,000 |
b,c |
1,173,062 |
||||
Harsco, Gtd. Notes |
5.75 |
7/31/2027 |
795,000 |
b,c |
829,821 |
||||
MPH Acquisition Holdings, Gtd. Notes |
7.13 |
6/1/2024 |
1,695,000 |
b,c |
1,569,994 |
||||
Prime Security Services Borrower, Scd. Notes |
9.25 |
5/15/2023 |
1,214,000 |
b,c |
1,278,554 |
||||
Prime Security Services Borrower, Sr. Scd. Notes |
5.25 |
4/15/2024 |
535,000 |
b,c |
550,542 |
||||
Prime Security Services Borrower, Sr. Scd. Notes |
5.75 |
4/15/2026 |
715,000 |
b,c |
746,317 |
||||
Verscend Escrow, Sr. Unscd. Notes |
9.75 |
8/15/2026 |
1,360,000 |
b |
1,453,323 |
||||
Weight Watchers International, Gtd. Notes |
8.63 |
12/1/2025 |
1,220,000 |
b,c |
1,271,850 |
||||
8,873,463 |
|||||||||
Consumer Discretionary - 10.8% |
|||||||||
AMC Entertainment Holdings, Gtd. Bonds |
GBP |
6.38 |
11/15/2024 |
580,000 |
701,693 |
||||
AMC Entertainment Holdings, Gtd. Notes |
6.13 |
5/15/2027 |
1,555,000 |
c |
1,415,050 |
||||
Cirsa Finance International, Sr. Scd. Notes |
7.88 |
12/20/2023 |
1,808,000 |
b,c |
1,924,616 |
||||
Core & Main, Sr. Unscd. Notes |
6.13 |
8/15/2025 |
891,000 |
b,c |
893,228 |
||||
Core & Main Holdings, Sr. Unscd. Notes |
8.63 |
9/15/2024 |
1,235,000 |
b |
1,248,894 |
||||
Eldorado Resorts, Gtd. Notes |
6.00 |
4/1/2025 |
520,000 |
c |
549,900 |
||||
Eldorado Resorts, Gtd. Notes |
7.00 |
8/1/2023 |
725,000 |
c |
759,438 |
||||
International Game Technology, Sr. Scd. Notes |
6.25 |
1/15/2027 |
1,000,000 |
b,c |
1,115,000 |
||||
International Game Technology, Sr. Scd. Notes |
6.50 |
2/15/2025 |
505,000 |
b,c |
563,110 |
6
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Consumer Discretionary - 10.8% (continued) |
|||||||||
Jack Ohio Finance, Scd. Notes |
10.25 |
11/15/2022 |
1,170,000 |
b |
1,241,662 |
||||
MGM Resorts International, Gtd. Notes |
7.75 |
3/15/2022 |
740,000 |
c |
829,732 |
||||
Scientific Games International, Gtd. Notes |
8.25 |
3/15/2026 |
2,690,000 |
b,c |
2,871,575 |
||||
Scientific Games International, Gtd. Notes |
10.00 |
12/1/2022 |
2,681,000 |
c |
2,798,294 |
||||
Stars Group Holdings, Gtd. Notes |
7.00 |
7/15/2026 |
1,715,000 |
b,c |
1,830,762 |
||||
Taylor Morrison Communities, Gtd. Notes |
5.88 |
6/15/2027 |
545,000 |
b,c |
600,863 |
||||
Tempur Sealy International, Gtd. Notes |
5.50 |
6/15/2026 |
1,925,000 |
c |
2,014,031 |
||||
Univar USA, Gtd. Notes |
6.75 |
7/15/2023 |
1,200,000 |
b,c |
1,225,500 |
||||
William Lyon Homes, Gtd. Notes |
5.88 |
1/31/2025 |
2,270,000 |
c |
2,304,050 |
||||
Williams Scotsman International, Sr. Scd. Notes |
6.88 |
8/15/2023 |
1,415,000 |
b,c |
1,485,750 |
||||
26,373,148 |
|||||||||
Consumer Staples - .7% |
|||||||||
Prestige Brands, Gtd. Notes |
6.38 |
3/1/2024 |
1,730,000 |
b,c |
1,807,850 |
||||
Diversified Financials - 8.1% |
|||||||||
Ally Financial, Gtd. Notes |
7.50 |
9/15/2020 |
860,000 |
c |
901,022 |
||||
Ally Financial, Gtd. Notes |
8.00 |
11/1/2031 |
1,515,000 |
c |
2,102,062 |
||||
Bracken MidCo1, Sr. Unscd. Bonds |
GBP |
8.88 |
10/15/2023 |
995,000 |
b |
1,159,506 |
|||
Cabot Financial Luxembourg, Sr. Scd. Notes |
GBP |
7.50 |
10/1/2023 |
745,000 |
b |
952,717 |
|||
FS Energy & Power Fund, Sr. Scd. Notes |
7.50 |
8/15/2023 |
2,340,000 |
b,c |
2,369,250 |
||||
Garfunkelux Holdco 2, Scd. Bonds |
GBP |
11.00 |
11/1/2023 |
610,000 |
b |
732,571 |
|||
Garfunkelux Holdco 3, Sr. Scd. Notes |
GBP |
8.50 |
11/1/2022 |
955,000 |
1,109,345 |
||||
Global Aircraft Leasing, Sr. Unscd. Notes |
6.50 |
9/15/2024 |
1,785,000 |
b |
1,811,775 |
||||
Icahn Enterprises, Gtd. Notes |
6.25 |
5/15/2026 |
1,220,000 |
b,c |
1,281,000 |
||||
Icahn Enterprises, Gtd. Notes |
6.75 |
2/1/2024 |
1,075,000 |
c |
1,122,031 |
||||
Nationstar Mortgage Holdings, Gtd. Notes |
8.13 |
7/15/2023 |
2,395,000 |
b,c |
2,502,775 |
||||
Navient, Sr. Unscd. Notes |
5.88 |
10/25/2024 |
915,000 |
c |
926,438 |
||||
Navient, Sr. Unscd. Notes |
7.25 |
1/25/2022 |
1,025,000 |
c |
1,108,281 |
||||
Quicken Loans, Gtd. Notes |
5.75 |
5/1/2025 |
1,550,000 |
b,c |
1,606,187 |
||||
19,684,960 |
|||||||||
Electronic Components - 1.7% |
|||||||||
Energizer Holdings, Gtd. Notes |
6.38 |
7/15/2026 |
1,246,000 |
b,c |
1,337,755 |
||||
Energizer Holdings, Gtd. Notes |
7.75 |
1/15/2027 |
1,649,000 |
b,c |
1,841,438 |
||||
TTM Technologies, Gtd. Notes |
5.63 |
10/1/2025 |
920,000 |
b,c |
922,300 |
||||
4,101,493 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Energy - 14.5% |
|||||||||
Antero Midstream Partners, Gtd. Notes |
5.75 |
3/1/2027 |
790,000 |
b |
661,609 |
||||
Antero Midstream Partners, Gtd. Notes |
5.75 |
1/15/2028 |
500,000 |
b |
417,500 |
||||
Antero Resources, Gtd. Notes |
5.63 |
6/1/2023 |
1,145,000 |
c |
996,150 |
||||
Blue Racer Midstream, Sr. Unscd. Notes |
6.63 |
7/15/2026 |
1,620,000 |
b,c |
1,607,850 |
||||
Brazos Valley Longhorn, Gtd. Notes |
6.88 |
2/1/2025 |
500,000 |
c |
433,750 |
||||
Carrizo Oil & Gas, Gtd. Notes |
6.25 |
4/15/2023 |
740,000 |
c |
704,850 |
||||
Centennial Resource Production, Gtd. Notes |
6.88 |
4/1/2027 |
1,430,000 |
b,c |
1,433,575 |
||||
Cheniere Corpus Christi Holdings, Sr. Scd. Notes |
7.00 |
6/30/2024 |
1,630,000 |
c |
1,876,537 |
||||
Cheniere Energy Partners, Sr. Unscd. Notes |
4.50 |
10/1/2029 |
930,000 |
b |
954,994 |
||||
Chesapeake Energy, Gtd. Notes |
8.00 |
6/15/2027 |
915,000 |
619,913 |
|||||
Chesapeake Energy, Gtd. Notes |
8.00 |
1/15/2025 |
975,000 |
709,313 |
|||||
CVR Refining, Gtd. Notes |
6.50 |
11/1/2022 |
2,050,000 |
c |
2,078,187 |
||||
DCP Midstream Operating, Gtd. Notes |
5.38 |
7/15/2025 |
1,670,000 |
c |
1,782,725 |
||||
Enviva Partners, Gtd. Notes |
8.50 |
11/1/2021 |
2,970,000 |
c |
3,047,962 |
||||
Genesis Energy, Gtd. Notes |
6.50 |
10/1/2025 |
2,745,000 |
c |
2,686,669 |
||||
Gulfport Energy, Gtd. Notes |
6.00 |
10/15/2024 |
1,545,000 |
c |
1,125,301 |
||||
Matador Resources, Gtd. Notes |
5.88 |
9/15/2026 |
1,275,000 |
c |
1,283,797 |
||||
Nabors Industries, Gtd. Notes |
5.50 |
1/15/2023 |
390,000 |
c |
322,725 |
||||
Oasis Petroleum, Gtd. Notes |
6.25 |
5/1/2026 |
245,000 |
b |
199,675 |
||||
PDC Energy, Gtd. Notes |
6.13 |
9/15/2024 |
905,000 |
c |
905,000 |
||||
Precision Drilling, Gtd. Notes |
7.13 |
1/15/2026 |
700,000 |
b,c |
651,000 |
||||
Precision Drilling, Gtd. Notes |
7.75 |
12/15/2023 |
1,120,000 |
c |
1,093,624 |
||||
Semgroup, Gtd. Notes |
7.25 |
3/15/2026 |
1,100,000 |
c |
1,196,250 |
||||
Shelf Drilling Holdings, Gtd. Notes |
8.25 |
2/15/2025 |
1,655,000 |
b,c |
1,415,025 |
||||
SM Energy, Sr. Unscd. Notes |
5.63 |
6/1/2025 |
925,000 |
c |
797,628 |
||||
Southwestern Energy, Gtd. Notes |
7.50 |
4/1/2026 |
975,000 |
c |
853,125 |
||||
SRC Energy, Sr. Unscd. Notes |
6.25 |
12/1/2025 |
825,000 |
c |
820,859 |
||||
Transocean Poseidon, Sr. Scd. Notes |
6.88 |
2/1/2027 |
602,000 |
b,c |
623,070 |
||||
Transocean Sentry, Sr. Scd. Notes |
5.38 |
5/15/2023 |
615,000 |
b,c |
616,538 |
||||
USA Compression Partners, Gtd. Notes |
6.88 |
4/1/2026 |
1,738,000 |
c |
1,811,865 |
||||
Whiting Petroleum, Gtd. Notes |
6.63 |
1/15/2026 |
1,280,000 |
c |
870,400 |
||||
WPX Energy, Sr. Unscd. Notes |
5.25 |
9/15/2024 |
700,000 |
c |
720,797 |
||||
35,318,263 |
|||||||||
Environmental Control - 2.5% |
|||||||||
Covanta Holding, Sr. Unscd. Notes |
5.88 |
7/1/2025 |
2,270,000 |
c |
2,374,987 |
||||
GFL Environmental, Sr. Unscd. Notes |
7.00 |
6/1/2026 |
2,660,000 |
b,c |
2,806,300 |
8
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Environmental Control - 2.5% (continued) |
|||||||||
Waste Pro USA, Sr. Unscd. Notes |
5.50 |
2/15/2026 |
920,000 |
b |
953,083 |
||||
6,134,370 |
|||||||||
Food Products - 3.0% |
|||||||||
Albertsons, Gtd. Notes |
6.63 |
6/15/2024 |
2,095,000 |
c |
2,204,987 |
||||
Albertsons, Gtd. Notes |
7.50 |
3/15/2026 |
495,000 |
b,c |
553,163 |
||||
New Albertsons, Sr. Unscd. Bonds |
8.00 |
5/1/2031 |
2,390,000 |
2,425,850 |
|||||
Post Holdings, Gtd. Notes |
8.00 |
7/15/2025 |
1,975,000 |
b,c |
2,123,125 |
||||
7,307,125 |
|||||||||
Forest Products & Other - 1.1% |
|||||||||
Mercer International, Sr. Unscd. Notes |
7.38 |
1/15/2025 |
2,660,000 |
c |
2,777,306 |
||||
Health Care - 13.8% |
|||||||||
Avantor, Sr. Unscd. Notes |
9.00 |
10/1/2025 |
3,035,000 |
b,c |
3,418,169 |
||||
Bausch Health, Gtd. Notes |
6.13 |
4/15/2025 |
1,340,000 |
b,c |
1,393,600 |
||||
Bausch Health, Gtd. Notes |
7.25 |
5/30/2029 |
650,000 |
b |
711,620 |
||||
Bausch Health, Gtd. Notes |
9.00 |
12/15/2025 |
2,420,000 |
b,c |
2,725,525 |
||||
Bausch Health Americas, Gtd. Notes |
9.25 |
4/1/2026 |
1,850,000 |
b,c |
2,106,669 |
||||
Eagle Holding II, Sr. Unscd. Notes |
7.63 |
5/15/2022 |
2,925,000 |
b,c |
2,954,250 |
||||
Eagle Holding II, Unscd. Notes |
7.75 |
5/15/2022 |
1,050,000 |
b,c |
1,060,500 |
||||
HCA, Gtd. Notes |
7.50 |
2/15/2022 |
3,150,000 |
c |
3,499,020 |
||||
Nidda BondCo, Sr. Unscd. Bonds |
EUR |
7.25 |
9/30/2025 |
1,515,000 |
b |
1,758,277 |
|||
NVA Holdings, Gtd. Notes |
6.88 |
4/1/2026 |
1,090,000 |
b,c |
1,162,212 |
||||
Ortho-Clinical Diagnostics, Sr. Unscd. Notes |
6.63 |
5/15/2022 |
2,600,000 |
b,c |
2,552,420 |
||||
Polaris Intermediate, Sr. Unscd. Notes |
8.50 |
12/1/2022 |
3,765,000 |
b,c |
3,219,075 |
||||
Tenet Healthcare, Scd. Notes |
6.25 |
2/1/2027 |
105,000 |
b,c |
109,321 |
||||
Tenet Healthcare, Sr. Unscd. Notes |
6.75 |
6/15/2023 |
2,060,000 |
c |
2,171,096 |
||||
Tenet Healthcare, Sr. Unscd. Notes |
8.13 |
4/1/2022 |
1,930,000 |
c |
2,096,462 |
||||
West Street Merger Sub, Sr. Unscd. Notes |
6.38 |
9/1/2025 |
2,795,000 |
b,c |
2,585,375 |
||||
33,523,591 |
|||||||||
Industrials - 2.3% |
|||||||||
Brand Industrial Services, Sr. Unscd. Notes |
8.50 |
7/15/2025 |
2,340,000 |
b,c |
2,234,700 |
||||
Stevens Holding, Gtd. Notes |
6.13 |
10/1/2026 |
415,000 |
b,c |
443,531 |
||||
Titan Acquisition, Sr. Unscd. Notes |
7.75 |
4/15/2026 |
1,320,000 |
b,c |
1,240,800 |
||||
Welbilt, Gtd. Notes |
9.50 |
2/15/2024 |
1,600,000 |
c |
1,718,000 |
||||
5,637,031 |
|||||||||
Information Technology - 7.8% |
|||||||||
Ascend Learning, Sr. Unscd. Notes |
6.88 |
8/1/2025 |
565,000 |
b,c |
589,719 |
||||
Ascend Learning, Sr. Unscd. Notes |
6.88 |
8/1/2025 |
1,970,000 |
b,c |
2,046,337 |
||||
CDK Global, Sr. Unscd. Notes |
5.25 |
5/15/2029 |
660,000 |
b,c |
683,925 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Information Technology - 7.8% (continued) |
|||||||||
Change Healthcare Holdings, Sr. Unscd. Notes |
5.75 |
3/1/2025 |
2,055,000 |
b,c |
2,093,531 |
||||
Genesys Telecommunications Laboratories, Gtd. Notes |
10.00 |
11/30/2024 |
3,590,000 |
b,c |
3,889,980 |
||||
RP Crown Parent, Gtd. Notes |
7.38 |
10/15/2024 |
1,705,000 |
b,c |
1,777,462 |
||||
Solera Finance, Sr. Unscd. Notes |
10.50 |
3/1/2024 |
1,940,000 |
b,c |
2,060,513 |
||||
Sophia, Sr. Unscd. Notes |
9.00 |
9/30/2023 |
2,435,000 |
b,c |
2,505,006 |
||||
The Dun & Bradstreet, Sr. Scd. Notes |
6.88 |
8/15/2026 |
1,400,000 |
b,c |
1,528,625 |
||||
The Dun & Bradstreet, Sr. Unscd. Notes |
10.25 |
2/15/2027 |
1,545,000 |
b,c |
1,714,950 |
||||
18,890,048 |
|||||||||
Insurance - 3.6% |
|||||||||
AmWINS Group, Gtd. Notes |
7.75 |
7/1/2026 |
1,780,000 |
b,c |
1,922,400 |
||||
Assuredpartners, Sr. Unscd. Notes |
7.00 |
8/15/2025 |
1,765,000 |
b,c |
1,773,825 |
||||
GTCR AP Finance, Sr. Unscd. Notes |
8.00 |
5/15/2027 |
285,000 |
b,c |
293,550 |
||||
Hub International, Sr. Unscd. Notes |
7.00 |
5/1/2026 |
1,920,000 |
b,c |
1,980,000 |
||||
USI, Sr. Unscd. Notes |
6.88 |
5/1/2025 |
1,915,000 |
b,c |
1,948,474 |
||||
York Risk Services Holding, Gtd. Notes |
8.50 |
10/1/2022 |
870,000 |
b |
888,488 |
||||
8,806,737 |
|||||||||
Materials - 9.0% |
|||||||||
ARD Finance, Sr. Scd. Notes |
7.13 |
9/15/2023 |
1,070,000 |
c |
1,107,450 |
||||
ARD Securities Finance, Sr. Scd. Notes |
8.75 |
1/31/2023 |
2,791,697 |
b,c |
2,903,365 |
||||
Ardagh Packaging Finance, Gtd. Notes |
5.25 |
8/15/2027 |
1,960,000 |
b |
1,989,400 |
||||
Flex Acquisition, Sr. Unscd. Notes |
6.88 |
1/15/2025 |
180,000 |
b |
165,078 |
||||
Flex Acquisition, Sr. Unscd. Notes |
7.88 |
7/15/2026 |
1,690,000 |
b,c |
1,554,800 |
||||
Grinding Media, Sr. Scd. Notes |
7.38 |
12/15/2023 |
560,000 |
b,c |
537,600 |
||||
LABL Escrow Issuer, Sr. Scd. Notes |
6.75 |
7/15/2026 |
655,000 |
b,c |
682,428 |
||||
LABL Escrow Issuer, Sr. Unscd. Notes |
10.50 |
7/15/2027 |
1,000,000 |
b,c |
1,012,500 |
||||
Mauser Packaging Solutions Holding, Sr. Unscd. Notes |
7.25 |
4/15/2025 |
4,200,000 |
b,c |
3,986,010 |
||||
Peabody Energy, Sr. Scd. Notes |
6.38 |
3/31/2025 |
2,190,000 |
b,c |
2,169,480 |
||||
Reynolds Group Issuer, Gtd. Notes |
7.00 |
7/15/2024 |
2,970,000 |
b,c |
3,083,231 |
||||
Trivium Packaging Finance, Gtd. Notes |
8.50 |
8/15/2027 |
1,500,000 |
b |
1,625,625 |
||||
Trivium Packaging Finance, Sr. Scd. Notes |
5.50 |
8/15/2026 |
1,040,000 |
b |
1,095,848 |
||||
21,912,815 |
|||||||||
Media - 11.6% |
|||||||||
Altice Financing, Sr. Scd. Bonds |
7.50 |
5/15/2026 |
730,000 |
b,c |
777,443 |
||||
Altice Finco, Scd. Notes |
8.13 |
1/15/2024 |
1,440,000 |
b,c |
1,494,000 |
10
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Media - 11.6% (continued) |
|||||||||
Altice Luxembourg, Gtd. Notes |
7.75 |
5/15/2022 |
1,091,000 |
b,c |
1,116,911 |
||||
Altice Luxembourg, Sr. Scd. Notes |
10.50 |
5/15/2027 |
1,305,000 |
b,c |
1,473,997 |
||||
CSC Holdings, Sr. Unscd. Notes |
5.75 |
1/15/2030 |
2,870,000 |
b,c |
3,003,082 |
||||
CSC Holdings, Sr. Unscd. Notes |
7.50 |
4/1/2028 |
1,700,000 |
b,c |
1,922,955 |
||||
Diamond Sports Group, Gtd. Notes |
6.63 |
8/15/2027 |
1,720,000 |
b |
1,786,306 |
||||
Diamond Sports Group, Sr. Scd. Notes |
5.38 |
8/15/2026 |
2,310,000 |
b |
2,402,400 |
||||
DISH DBS, Gtd. Notes |
5.88 |
11/15/2024 |
1,700,000 |
c |
1,691,500 |
||||
DISH DBS, Gtd. Notes |
5.88 |
7/15/2022 |
550,000 |
c |
574,063 |
||||
Entercom Media, Gtd. Notes |
7.25 |
11/1/2024 |
1,795,000 |
b,c |
1,866,800 |
||||
Midcontinent Communications, Gtd. Notes |
5.38 |
8/15/2027 |
760,000 |
b |
801,800 |
||||
Nexstar Escrow, Sr. Scd. Notes |
5.63 |
7/15/2027 |
1,050,000 |
b,c |
1,102,500 |
||||
Radiate Holdco, Sr. Unscd. Notes |
6.63 |
2/15/2025 |
1,085,000 |
b,c |
1,098,129 |
||||
Radiate Holdco, Sr. Unscd. Notes |
6.88 |
2/15/2023 |
1,016,000 |
b |
1,050,290 |
||||
Scripps Escrow, Sr. Unscd. Notes |
5.88 |
7/15/2027 |
1,585,000 |
b |
1,612,737 |
||||
TEGNA, Gtd. Notes |
5.00 |
9/15/2029 |
870,000 |
b |
880,875 |
||||
The EW Scripps Company, Gtd. Notes |
5.13 |
5/15/2025 |
250,000 |
b |
251,250 |
||||
Townsquare Media, Gtd. Notes |
6.50 |
4/1/2023 |
1,935,000 |
b,c |
1,937,419 |
||||
Univision Communications, Sr. Scd. Notes |
5.13 |
2/15/2025 |
1,370,000 |
b,c |
1,339,175 |
||||
28,183,632 |
|||||||||
Metals & Mining - 4.4% |
|||||||||
Commercial Metals, Sr. Unscd. Notes |
5.75 |
4/15/2026 |
900,000 |
c |
929,250 |
||||
Constellium, Gtd. Notes |
6.63 |
3/1/2025 |
1,930,000 |
b,c |
2,016,850 |
||||
First Quantum Minerals, Gtd. Notes |
7.25 |
4/1/2023 |
2,700,000 |
b,c |
2,673,000 |
||||
First Quantum Minerals, Gtd. Notes |
7.50 |
4/1/2025 |
560,000 |
b |
554,400 |
||||
Freeport-McMoRan, Gtd. Notes |
5.45 |
3/15/2043 |
585,000 |
c |
529,647 |
||||
Hudbay Minerals, Gtd. Notes |
7.63 |
1/15/2025 |
2,265,000 |
b,c |
2,307,469 |
||||
Novelis, Gtd. Notes |
5.88 |
9/30/2026 |
665,000 |
b,c |
699,081 |
||||
Novelis, Gtd. Notes |
6.25 |
8/15/2024 |
840,000 |
b,c |
879,900 |
||||
10,589,597 |
|||||||||
Real Estate - 1.7% |
|||||||||
Brookfield Property REIT, Sr. Scd. Notes |
5.75 |
5/15/2026 |
250,000 |
b |
262,188 |
||||
Corecivic, Gtd. Notes |
5.00 |
10/15/2022 |
700,000 |
c |
700,875 |
||||
Greystar Real Estate Partners, Sr. Scd. Notes |
5.75 |
12/1/2025 |
835,000 |
b,c |
861,094 |
||||
Haya Finance 2017, Sr. Scd. Bonds |
EUR |
5.25 |
11/15/2022 |
525,000 |
511,282 |
||||
Ladder Capital Finance Holdings, Gtd. Notes |
5.25 |
10/1/2025 |
1,040,000 |
b,c |
1,066,000 |
||||
The GEO Group, Gtd. Notes |
6.00 |
4/15/2026 |
930,000 |
c |
755,160 |
||||
4,156,599 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description |
Coupon |
Maturity |
Principal |
a |
Value ($) |
||||
Bonds and Notes - 133.4% (continued) |
|||||||||
Retailing - 2.4% |
|||||||||
Beacon Roofing Supply, Gtd. Notes |
6.38 |
10/1/2023 |
805,000 |
c |
833,175 |
||||
eG Global Finance, Sr. Scd. Notes |
6.75 |
2/7/2025 |
1,600,000 |
b,c |
1,568,000 |
||||
Party City Holdings, Gtd. Notes |
6.63 |
8/1/2026 |
2,505,000 |
b,c |
2,486,212 |
||||
Staples, Sr. Scd. Notes |
7.50 |
4/15/2026 |
1,030,000 |
b,c |
1,063,784 |
||||
5,951,171 |
|||||||||
Technology Hardware & Equipment - 3.0% |
|||||||||
Dell International, Gtd. Notes |
7.13 |
6/15/2024 |
1,895,000 |
b,c |
2,002,541 |
||||
Everi Payments, Gtd. Notes |
7.50 |
12/15/2025 |
2,695,000 |
b,c |
2,846,594 |
||||
Exela Intermediate, Sr. Scd. Notes |
10.00 |
7/15/2023 |
1,345,000 |
b,c |
756,563 |
||||
Tempo Acquisition, Sr. Unscd. Notes |
6.75 |
6/1/2025 |
1,690,000 |
b,c |
1,749,150 |
||||
7,354,848 |
|||||||||
Telecommunication Services - 12.3% |
|||||||||
Altice France, Sr. Scd. Notes |
7.38 |
5/1/2026 |
935,000 |
b,c |
1,006,023 |
||||
Altice France, Sr. Scd. Notes |
8.13 |
2/1/2027 |
3,675,000 |
b,c |
4,065,469 |
||||
CenturyLink, Sr. Unscd. Notes, Ser. Y |
7.50 |
4/1/2024 |
2,915,000 |
c |
3,267,278 |
||||
Cincinnati Bell, Gtd. Notes |
8.00 |
10/15/2025 |
1,005,000 |
b,c |
889,928 |
||||
CommScope, Gtd. Notes |
8.25 |
3/1/2027 |
2,550,000 |
b,c |
2,491,828 |
||||
Connect Finco, Sr. Scd. Notes |
6.75 |
10/1/2026 |
1,605,000 |
b |
1,637,100 |
||||
Crystal Almond, Sr. Scd. Bonds |
EUR |
10.00 |
11/1/2021 |
917,000 |
1,034,391 |
||||
DKT Finance, Sr. Scd. Notes |
9.38 |
6/17/2023 |
1,775,000 |
b,c |
1,914,337 |
||||
Embarq, Sr. Unscd. Notes |
8.00 |
6/1/2036 |
1,950,000 |
c |
1,937,208 |
||||
Intelsat Connect Finance, Gtd. Notes |
9.50 |
2/15/2023 |
1,335,000 |
b |
1,241,136 |
||||
Intelsat Jackson Holdings, Gtd. Notes |
8.50 |
10/15/2024 |
1,190,000 |
b,c |
1,201,531 |
||||
Intelsat Jackson Holdings, Gtd. Notes |
9.75 |
7/15/2025 |
855,000 |
b,c |
897,323 |
||||
Sprint, Gtd. Notes |
7.63 |
2/15/2025 |
5,000 |
c |
5,513 |
||||
Sprint Capital, Gtd. Notes |
8.75 |
3/15/2032 |
540,000 |
c |
667,413 |
||||
Sprint Communications, Sr. Unscd. Notes |
11.50 |
11/15/2021 |
5,325,000 |
c |
6,210,281 |
||||
West, Gtd. Notes |
8.50 |
10/15/2025 |
1,705,000 |
b,c |
1,378,919 |
||||
29,845,678 |
|||||||||
Utilities - 1.3% |
|||||||||
AmeriGas Partners, Sr. Unscd. Notes |
5.88 |
8/20/2026 |
275,000 |
302,926 |
|||||
Calpine, Sr. Unscd. Notes |
5.75 |
1/15/2025 |
380,000 |
c |
390,925 |
||||
NRG Energy, Gtd. Notes |
6.63 |
1/15/2027 |
950,000 |
c |
1,032,745 |
||||
NRG Energy, Gtd. Notes |
7.25 |
5/15/2026 |
1,400,000 |
c |
1,538,600 |
||||
3,265,196 |
|||||||||
Total Bonds and Notes |
324,668,809 |
||||||||
Floating Rate Loan Interests - 8.0% |
|||||||||
Chemicals - .4% |
|||||||||
Polar US Borrower, Initial Term Loan, 3 Month LIBOR +4.75% |
6.96 |
10/16/2025 |
1,061,975 |
d |
1,034,098 |
12
Description |
Coupon |
Maturity Date |
Principal Amount ($) |
a |
Value ($) |
||||
Floating Rate Loan Interests - 8.0% (continued) |
|||||||||
Commercial & Professional Services - .7% |
|||||||||
Pi Lux Finco, Second Lien Facility 1 Term Loan, 1 Month LIBOR +7.25% |
9.29 |
1/1/2026 |
935,000 |
d |
911,625 |
||||
Weight Watchers International, Initial Term Loan, 3 Month LIBOR +4.75% |
6.86 |
11/29/2024 |
812,338 |
d |
815,132 |
||||
1,726,757 |
|||||||||
Diversified Financials - .3% |
|||||||||
Capital Automotive, Second Lien Initial B Term Loan, 1 Month LIBOR +6.00% |
8.04 |
3/24/2025 |
813,790 |
d |
819,898 |
||||
Energy - .4% |
|||||||||
Granite Acquisition, Second Lien Term B Loan, 3 Month LIBOR +7.25% |
9.35 |
12/19/2022 |
1,055,501 |
d |
1,057,744 |
||||
Health Care - .3% |
|||||||||
Air Methods, Initial Term Loan, 3 Month LIBOR +3.50% |
5.60 |
4/21/2024 |
994,911 |
d |
812,842 |
||||
Industrials - .7% |
|||||||||
Titan Acquisition, Initial Term Loan, 1 Month LIBOR +3.00% |
5.11 |
3/28/2025 |
922,658 |
d |
888,165 |
||||
Travelport Finance, First Lien Initial Term Loan, 3 Month LIBOR +5.00% |
7.10 |
5/30/2026 |
800,000 |
d |
726,572 |
||||
1,614,737 |
|||||||||
Information Technology - .8% |
|||||||||
Digicert Holdings, First Lien Term Loan, 1 Month LIBOR +4.00% |
6.11 |
10/31/2024 |
1,441,787 |
d |
1,441,484 |
||||
Ultimate Software Group, First Lien Initial Term Loan, 1 Month LIBOR +3.75% |
5.79 |
5/3/2026 |
460,000 |
d |
463,271 |
||||
1,904,755 |
|||||||||
Insurance - 2.2% |
|||||||||
Asurion, Second Lien Replacement B-2 Term Loan, 1 Month LIBOR +6.50% |
8.54 |
8/4/2025 |
3,980,000 |
d |
4,049,152 |
||||
Mayfield Agency Borrower, First Lien Term B Loan, 1 Month LIBOR +4.50% |
6.54 |
2/28/2025 |
1,268,940 |
d |
1,236,163 |
||||
5,285,315 |
|||||||||
Materials - .9% |
|||||||||
Ball Metalpack Finco, First Lien Initial Term Loan, 3 Month LIBOR +4.50% |
6.62 |
7/31/2025 |
113,847 |
d |
107,443 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description |
Coupon |
Maturity Date |
Principal Amount ($) |
a |
Value ($) |
||||
Floating Rate Loan Interests - 8.0% (continued) |
|||||||||
Materials - .9% (continued) |
|||||||||
Berlin Packaging, First Lien Initial Term Loan, 1 Month LIBOR +3.00% |
5.09 |
11/7/2025 |
1,979,950 |
d |
1,948,647 |
||||
2,056,090 |
|||||||||
Media - .5% |
|||||||||
NEP Group, Second Lien Initial Term Loan, 1 Month LIBOR +7.00% |
9.04 |
10/19/2026 |
1,160,000 |
d |
1,138,737 |
||||
Retailing - .4% |
|||||||||
Bass Pro Group, Initial Term Loan, 1 Month LIBOR +5.00% |
7.04 |
9/25/2024 |
1,045,684 |
d |
1,009,085 |
||||
Technology Hardware & Equipment - .4% |
|||||||||
Mcafee, Second Lien Initial Term Loan, 1 Month LIBOR +8.50% |
10.54 |
9/28/2025 |
859,091 |
d |
870,547 |
||||
Total Floating Rate Loan Interests |
19,330,605 |
||||||||
1-Day |
Shares |
||||||||
Investment Companies - 2.2% |
|||||||||
Registered Investment Companies - 2.2% |
|||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund |
1.89 |
5,408,080 |
0 |
5,408,080 |
|||||
Total Investments (cost $344,928,789) |
143.6% |
349,407,494 |
|||||||
Liabilities, Less Cash and Receivables |
(43.6%) |
(106,110,019) |
|||||||
Net Assets |
100.0% |
243,297,475 |
LIBOR—London Interbank Offered Rate
REIT—Real Estate Investment Trust
EUR—Euro
GBP—British Pound
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019, these securities were valued at $232,051,943 or 95.38% of net assets.
c Security, or portion thereof, has been pledged as collateral for the fund’s Revolving Credit and Security Agreement.
d Variable rate security—rate shown is the interest rate in effect at period end.
e Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
14
Portfolio Summary (Unaudited) † |
Value (%) |
Communications |
24.3 |
Consumer, Non-cyclical |
22.2 |
Industrial |
20.2 |
Financial |
15.9 |
Energy |
15.9 |
Consumer, Cyclical |
15.7 |
Technology |
11.9 |
Basic Materials |
8.5 |
Collateralized Loan Obligations |
5.1 |
Investment Companies |
2.2 |
Utilities |
1.4 |
Diversified |
.3 |
143.6 |
† Based on net assets.
See notes to financial statements.
15
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies |
Value |
Purchases ($) |
Sales ($) |
Value |
Net |
Dividends/ |
Registered Investment Companies; |
||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund |
9,945,854 |
56,539,609 |
61,077,383 |
5,408,080 |
2.2 |
64,076 |
See notes to financial statements.
16
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS September 30, 2019 (Unaudited)
Counterparty/ Purchased |
Purchased Currency |
Currency |
Sold |
Settlement Date |
Unrealized Appreciation ($) |
Goldman Sachs |
|||||
United States Dollar |
3,601,976 |
Euro |
3,270,000 |
10/31/19 |
28,978 |
United States Dollar |
7,254,710 |
British Pound |
5,850,000 |
10/31/19 |
52,190 |
Gross Unrealized Appreciation |
81,168 |
See notes to financial statements.
17
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
|
Cost |
|
Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers |
339,520,709 |
|
343,999,414 |
| ||
Affiliated issuers |
|
5,408,080 |
|
5,408,080 |
| |
Cash |
|
|
|
|
84,202 |
|
Cash denominated in foreign currency |
|
|
1,161,225 |
|
1,159,857 |
|
Interest receivable |
|
6,552,025 |
| |||
Receivable for investment securities sold |
|
917,638 |
| |||
Unrealized appreciation on forward foreign |
|
81,168 |
| |||
Prepaid expenses |
|
|
|
|
35,036 |
|
|
|
|
|
|
358,237,420 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
|
226,238 |
| |||
Loan payable—Note 2 |
|
112,000,000 |
| |||
Payable for investment securities purchased |
|
2,396,000 |
| |||
Interest and loan fees payable—Note 2 |
|
195,256 |
| |||
Unrealized depreciation on foreign currency transactions |
|
10,169 |
| |||
Trustees fees and expenses payable |
|
97 |
| |||
Other accrued expenses |
|
|
|
|
112,185 |
|
|
|
|
|
|
114,939,945 |
|
Net Assets ($) |
|
|
243,297,475 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
|
277,482,487 |
|
Total distributable earnings (loss) |
|
|
|
|
(34,185,012) |
|
Net Assets ($) |
|
|
243,297,475 |
|
Shares Outstanding |
|
| ||
(unlimited number of $.001 par value shares of Beneficial Interest authorized) |
72,707,688 |
| ||
Net Asset Value Per Share ($) |
|
3.35 |
| |
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
18
STATEMENT OF OPERATIONS
Six Months Ended September 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
|
12,614,262 |
| ||
Dividends from affiliated issuers |
|
|
64,076 |
| ||
Total Income |
|
|
12,678,338 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
|
1,327,780 |
| ||
Interest expense and loan fees—Note 2 |
|
|
1,966,360 |
| ||
Professional fees |
|
|
108,229 |
| ||
Registration fees |
|
|
50,149 |
| ||
Prospectus and shareholders’ reports |
|
|
36,504 |
| ||
Trustees’ fees and expenses—Note 3(c) |
|
|
22,917 |
| ||
Custodian fees—Note 3(b) |
|
|
7,705 |
| ||
Shareholder servicing costs |
|
|
5,616 |
| ||
Miscellaneous |
|
|
36,558 |
| ||
Total Expenses |
|
|
3,561,818 |
| ||
Investment Income—Net |
|
|
9,116,520 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions |
(867,282) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts |
713,683 |
| ||||
Net Realized Gain (Loss) |
|
|
(153,599) |
| ||
Net change in unrealized appreciation (depreciation) on investments |
2,709,735 |
| ||||
Net change in unrealized appreciation (depreciation) on |
(36,775) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
|
2,672,960 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
|
2,519,361 |
| ||
Net Increase in Net Assets Resulting from Operations |
|
11,635,881 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
19
STATEMENT OF CASH FLOWS
Six Months Ended September 30, 2019 (Unaudited)
|
|
|
|
|
| |
|
|
|
|
|
|
|
Cash Flows from Operating Activities ($): |
|
|
|
|
| |
Purchases of portfolio securities |
|
(91,668,952) |
|
|
| |
Proceeds from sales of portfolio securities |
87,823,664 |
|
|
| ||
Net purchase (sales) of short-term securities |
4,537,774 |
|
|
| ||
Interest received |
|
12,983,493 |
|
|
| |
Interest and loan fees paid |
|
(1,830,504) |
|
|
| |
Paid to BNY Mellon Investment Adviser, Inc. |
|
(1,334,064) |
|
|
| |
Operating expenses paid |
|
(261,635) |
|
|
| |
Net realized gain (loss) from forward foreign currency |
|
|
|
|
| |
|
exchange contracts transactions |
|
713,683 |
|
|
|
Net Cash Provided by Operating Activities |
|
|
|
10,963,459 |
| |
Cash Flows from Financing Activities ($): |
|
|
|
|
| |
Dividends paid to Shareholders |
|
(11,233,338) |
|
|
| |
Net Cash Provided in Financing Activities |
|
(11,233,338) |
| |||
Effect of foreign exchange rate changes on cash |
|
561 |
| |||
Net Increase (Decrease) in cash |
|
(269,318) |
| |||
Cash and cash denominated in foreign currency at beginning of period |
|
1,513,377 |
| |||
Cash and cash denominated in foreign currency at end of period |
|
1,244,059 |
| |||
Reconciliation of Net Increase (Decrease) in Net Assets |
|
|
| |||
|
Resulting from Operations to Net Cash Provided |
|
|
| ||
|
by Operating Activities ($): |
|
|
| ||
Net Increase in Net Assets Resulting From Operations |
|
11,635,881 |
| |||
Adjustments to reconcile net increase in net assets |
|
|
| |||
|
resulting from operations to net cash |
|
|
| ||
|
provided by operating activities ($): |
|
|
| ||
Decrease in investments in securities at cost |
|
5,574,250 |
| |||
Decrease in dividends and interest receivable |
|
311,977 |
| |||
Decrease in receivable for investment securities sold |
|
340,049 |
| |||
Decrease in prepaid expenses |
|
51,004 |
| |||
Decrease in Due to BNY Mellon Investment Adviser, Inc. and affiliates |
|
(6,284) |
| |||
Decrease in payable for investment securities purchased |
|
(4,867,125) |
| |||
Increase in interest and loan fees payable |
|
135,856 |
| |||
Decrease in Directors fees and expense payable |
|
(120) |
| |||
Decrease in commissions payable and other accrued expenses |
|
(44,841) |
| |||
Net change in unrealized appreciation on investments |
|
(2,672,960) |
| |||
Net amortization of premiums on investments |
|
505,772 |
| |||
Net Cash Provided by Operating Activities |
|
10,963,459 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
20
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
|
9,116,520 |
|
|
|
19,042,168 |
| |
Net realized gain (loss) on investments |
|
(153,599) |
|
|
|
(2,413,594) |
| ||
Net change in unrealized appreciation |
|
2,672,960 |
|
|
|
(3,829,065) |
| ||
Net Increase (Decrease) in Net Assets |
11,635,881 |
|
|
|
12,799,509 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders |
|
|
(9,524,707) |
|
|
|
(20,503,568) |
| |
Total Increase (Decrease) in Net Assets |
2,111,174 |
|
|
|
(7,704,059) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
|
241,186,301 |
|
|
|
248,890,360 |
| |
End of Period |
|
|
243,297,475 |
|
|
|
241,186,301 |
| |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
21
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements and market price data for the fund’s shares.
Six Months Ended |
||||||
September 30, 2019 |
Year Ended March 31, | |||||
(Unaudited) |
2019 |
2018 |
2017 |
2016 |
2015 | |
Per Share Data ($): |
||||||
Net asset value, |
3.32 |
3.42 |
3.56 |
3.26 |
3.84 |
4.11 |
Investment Operations: |
||||||
Investment income—neta |
.13 |
.26 |
.27 |
.29 |
.30 |
.32 |
Net realized and unrealized |
.03 |
(.08) |
(.12) |
.33 |
(.53) |
(.23) |
Total from Investment Operations |
.16 |
.18 |
.15 |
.62 |
(.23) |
.09 |
Distributions: |
||||||
Dividends from |
(.13) |
(.28) |
(.29) |
(.32) |
(.35) |
(.36) |
Net asset value, end of period |
3.35 |
3.32 |
3.42 |
3.56 |
3.26 |
3.84 |
Market value, end of period |
3.06 |
3.07 |
3.19 |
3.39 |
3.13 |
3.65 |
Total Return (%)b |
4.00c |
5.56 |
2.53 |
19.23 |
(4.44) |
(4.51) |
Ratios/Supplemental Data (%): |
||||||
Ratio of total expenses to |
2.94d |
2.84 |
2.35 |
2.12 |
1.91 |
1.81 |
Ratio of net expenses to |
2.94d |
2.84 |
2.35 |
2.12 |
1.91 |
1.74 |
Ratio of interest expense |
1.62d |
1.57 |
1.07 |
.83 |
.64 |
.52 |
Ratio of net investment income |
7.53d |
7.87 |
7.57 |
8.30 |
8.63 |
8.04 |
Portfolio Turnover Rate |
25.21c |
61.37 |
47.03 |
53.96 |
54.23 |
48.20 |
Net Assets, |
243,297 |
241,186 |
248,890 |
258,719 |
236,944 |
279,308 |
Average borrowings |
112,000 |
114,389 |
116,241 |
114,882 |
116,593 |
120,000 |
Weighted average number of fund |
||||||
shares outstanding ($ x 1,000) |
72,708 |
72,708 |
72,708 |
72,708 |
72,642 |
72,621 |
Average amount |
1.54 |
1.57 |
1.60 |
1.58 |
1.61 |
1.65 |
a Based on average shares outstanding.
b Calculated based on market value.
c Not annualized.
d Annualized.
See notes to financial statements.
22
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 non-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 BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serving as the fund’s investment manager and administrator, determines to be of comparable quality. The fund’s Common Stock trades on the New York Stock Exchange (the “NYSE”) under the ticker symbol DHF.
Effective June 3, 2019, the fund changed its name from Dreyfus High Yield Strategies Fund to BNY Mellon High Yield Strategies Fund. In addition, The Dreyfus Corporation, the fund’s investment adviser, changed its name to “BNY Mellon Investment Adviser, Inc.”
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.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly.
23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities 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 fund’s Board of Trustees (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
Each Service and independent valuation firm is engaged under the general oversight of the Board.
24
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 restricted securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Forward 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, 2019 in valuing the fund’s investments:
Level 1– Unadjusted Quoted Prices |
Level 2–Other Significant Observable |
Level 3–Significant Unobservable Inputs |
Total | |
Assets ($) |
||||
Investments in Securities: † |
||||
Collateralized Loan Obligations |
– |
12,392,942 |
– |
12,392,942 |
Corporate Bonds |
– |
312,275,867 |
– |
312,275,867 |
Floating Rate Loan Interests |
– |
19,330,605 |
– |
19,330,605 |
Investment Companies |
5,408,080 |
– |
– |
5,408,080 |
Other Financial Instruments: |
||||
Forward Foreign Currency Exchange Contracts†† |
– |
81,168 |
– |
81,168 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign
25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.
(e) Risk: The fund invests primarily in debt securities. Failure of an issuer of the debt securities to make timely interest or principal payments, or a decline or the perception of a decline in the credit quality of a debt security, can cause the debt security’s price to fall, potentially lowering the fund’s share price. High yield (“junk”) bonds involve greater credit risk, including the risk of default, than investment grade bonds, and are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. In addition, the value of debt securities may decline due to general market conditions that are not specifically related to a particular issuer, such as real or perceived adverse economic conditions, changes in outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Such values may also decline because of factors that affect a particular industry.
The fund may invest in collateralized loan obligations (“CLOs”). A CLO is a trust typically collateralized substantially by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The cash
26
flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which is subordinate to the other tranches in the event of defaults from the loans in the trust. Senior tranches typically have higher ratings and lower yields than the CLO's underlying securities and subordinated tranches, and may be rated investment grade. The ratings reflect both the credit quality of underlying collateral as well as how much protection a given tranche is afforded by tranches that are subordinate to it. The fund will not invest in CLO equity tranches.
The risks of an investment in a CLO depend largely on the type of the collateral and the tranche of the CLO in which the fund invests. CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default, market anticipation of defaults, as well as aversion to CLO securities as an asset class. Normally, CLOs are privately offered and sold, and thus, are not registered under the securities laws and may not have an active secondary trading market. As a result, investments in CLOs may be characterized by the fund as illiquid securities. In addition to the normal risks associated with credit-related securities discussed elsewhere in this prospectus (e.g., interest rate risk and default risk), investments in CLOs may be more volatile, less liquid and more difficult to price than other types of investments.
The fund is permitted to invest up to 5% of its assets directly in the common stock of junk bond issuers. This percentage will be in addition to any other common stock holdings acquired as part of warrants or “units”, so that the fund’s total common stock holdings could exceed 5% at a particular time. However, the fund currently intends to invest directly in common stocks (including those offered in an initial public offering) to gain sector exposure and when suitable junk bonds are not available for sale. The fund expects to sell the common stock promptly when suitable junk bonds are subsequently acquired.
The fund is permitted to invest up to 10% 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
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net are normally declared and paid 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 25, 2019, the Board declared a cash dividend of $0.0215 per share from undistributed investment income-net, payable on October 24,
28
2019 to shareholders of record as of the close of business on October 09, 2019. The ex-dividend date was October 08, 2019.
(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, 2019, 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, 2019, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended March 31, 2019 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $35,327,891 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to March 31, 2019. The fund has $8,596,616 of short-term capital losses and $26,731,275 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, 2019 was as follows: ordinary income $20,503,568. The tax character of current year distributions will be determined at the end of the current fiscal year.
(h) New Accounting Pronouncements: Effective June 1, 2019, the fund adopted Accounting Standards Update 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization On Purchased Callable Debt Securities (“ASU 2017-08”). The update shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date.
Also effective June 1, 2019, the fund adopted Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that modifies certain disclosure requirements for fair value measurements. The
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
adoption of ASU 2017-08 and ASU 2018-13 had no impact on the operations of the fund for the period ended September 30, 2019.
NOTE 2—Borrowings:
The fund has a $125,000,000 Revolving Credit and Security Agreement (the “Agreement”), which was renewed until November 18, 2020, subject to certain amendments. Under the terms of the Agreement, the fund may borrow “Advances” (including Eurodollar Rate Advances), on a collateralized basis with certain fund assets used as collateral, which amounted to $136,470,885 as of September 30, 2019. The interest to be paid by the fund on such Advances is determined with reference to the principal amount of each Advance (and/or Eurodollar Rate Advance) outstanding from time to time. The fund also pays additional fees pursuant to the Agreement. During the period ended September 30, 2019, total fees pursuant to the Agreement amounted to $1,966,360. These fees are included in Interest expense and loan fees in the Statement of Operations.
The average amount of borrowings outstanding under the Agreement during the period ended September 30, 2019 was $112,000,000 with a related weighted average annualized interest rate of 3.51% and is inclusive of all expenses related to the Agreement.
NOTE 3—Management 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.
(b) The fund compensates The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets and transaction activity. During the period ended September 30, 2019, the fund was charged $7,705 pursuant to the custody agreement.
The fund has an arrangement with the custodian whereby the fund will receive interest income or overdraft fees when cash balances are maintained. These fees, if any, are included in interest income in the Statement of Operations.
30
During the period ended September 30, 2019, the fund was charged $3,668 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees $218,376, custodian fees $5,835 and Chief Compliance Officer fees $2,027.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities and forward contracts, during the period ended September 30, 2019, amounted to $86,801,827 and $87,271,877, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its 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.
Each type of derivative instrument that was held by the fund during the period ended September 30, 2019 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
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward Contracts open at September 30, 2019 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At September 30, 2019, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
|
Assets ($) |
|
Liabilities ($) |
|
Forward contracts |
|
81,168 |
|
- |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Statement of Assets and Liabilities |
|
81,168 |
|
- |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
|
- |
|
- |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
|
81,168 |
|
- |
|
32
The following table presents derivative assets net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of September 30, 2019:
|
|
|
Financial |
|
|
|
|
|
|
Instruments |
|
|
|
|
|
|
and Derivatives |
|
|
|
|
Gross Amount of |
|
Available |
Collateral |
|
Net Amount of |
Counterparty |
Assets ($) |
1 |
for Offset ($) |
Received ($) |
|
Assets ($) |
Goldman Sachs |
81,168 |
|
- |
- |
|
81,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Statement of Assets and Liabilities. |
The following summarizes the average market value of derivatives outstanding during the period ended September 30, 2019:
|
|
Average Market Value ($) |
Forward contracts |
|
14,117,145 |
|
|
|
At September 30, 2019, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $4,559,873, consisting of $12,691,708 gross unrealized appreciation and $8,131,835 gross unrealized depreciation.
At September 30, 2019, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
33
ADDITIONAL INFORMATION (Unaudited)
Portfolio Holdings
The fund will disclose its complete schedule of portfolio holdings, as reported on a month-end basis, at www.bnymellonfundsim.com/us, under Products and Performance. 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.
34
PROXY RESULTS (Unaudited)
Holders of Beneficial Interest voted on the following proposal presented at the annual shareholders’ meeting held on August 6, 2019.
Shares | ||||
For |
Authority Withheld | |||
To elect two Class II Trustees: † |
||||
Roslyn M. Watson |
59,203,174 |
6,515,846 | ||
Benaree Pratt Wiley |
59,083,724 |
6,635,296 |
† The terms of these Class II Trustees expire in 2022.
35
NOTES
36
OFFICERS AND TRUSTEES
BNY Mellon High Yield Strategies Fund
240 Greenwich Street
New York, NY 10286
Officers (continued) |
|||
Joseph S. DiMartino, Chairman |
Assistant Treasurers (continued) |
||
Francine J. Bovich |
Robert Svagna |
||
Andrew J. Donohue |
Robert Salviolo |
||
Kenneth A. Himmel |
|||
Stephen J. Lockwood |
Chief Compliance Officer |
||
Roslyn M. Watson |
Joseph W. Connolly |
||
Benaree Pratt Wiley |
|||
Portfolio Managers |
|||
Officers |
Chris Barris |
||
President |
Kevin Cronk |
||
Renee-Laroche-Morris |
Leland Hart |
||
Chief Legal Officer |
|||
Bennett A. MacDougall |
Adviser |
||
Vice President and Secretary |
BNY Mellon Investment Adviser, Inc. |
||
James Bitetto |
|||
Vice Presidents and Assistant Secretaries |
|||
Sonalee Cross |
Custodian |
||
Deirdre Cunnane |
The Bank of New York Mellon |
||
Sarah S. Kelleher |
Counsel |
||
Jeff Prusnofsky |
K&L Gates LLP |
||
Peter M. Sullivan |
Transfer Agent, |
||
Natalya Zelensky |
Dividend Disbursing Agent |
||
Computershare Inc. |
|||
Vice President |
Stock Exchange Listing |
||
David DiPetrillo |
NYSE Symbol: DHF |
||
Treasurer |
Initial SEC Effective Date |
||
James Windels |
4/23/98 |
||
Assistant Treasurers |
|||
Gavin C. Reilly |
|||
Robert S. Robol |
|||
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 common stock in the open market when it can do so at prices below the then current net asset value per share. |
37
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
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 |
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.bnymellonim.com/us 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.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
The fund did not participate in a securities lending program during this period.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
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/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: November 25, 2019
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/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: November 25, 2019
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: November 25, 2019
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)
[EX-99.CERT]—Exhibit (a)(2)
SECTION 302 CERTIFICATION
I, Renee LaRoche-Morris, certify that:
1. I have reviewed this report on Form N-CSR of BNY Mellon High Yield Strategies Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
By: /s/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: November 25, 2019
SECTION 302 CERTIFICATION
I, James Windels, certify that:
1. I have reviewed this report on Form N-CSR of BNY Mellon High Yield Strategies Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: November 25, 2019
[EX-99.906CERT]
Exhibit (b)
SECTION 906 CERTIFICATIONS
In connection with this report on Form N-CSR for the Registrant as furnished to the Securities and Exchange Commission on the date hereof (the "Report"), the undersigned hereby certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and
(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
By: /s/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: November 25, 2019
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: November 25, 2019
This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.