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 |
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BNY Mellon High Yield Strategies Fund |
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(Exact name of Registrant as specified in charter) |
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c/o BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, New York 10286 |
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(Address of principal executive offices) (Zip code) |
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Deirdre Cunnane, Esq.
240 Greenwich Street
New York, New York 10286 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
(212) 922-6400 |
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Date of fiscal year end:
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03/31 |
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Date of reporting period: |
03/31/2024
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FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon High Yield Strategies Fund
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ANNUAL REPORT March 31, 2024 |
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BNY Mellon High Yield Strategies Fund Protecting
Your Privacy Our Pledge to You 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. |
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The views expressed
in this report reflect those of the portfolio manager(s) only through the end of the period covered and
do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in
the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time
based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility
to update such views. These views may not be relied on as investment advice and, because investment decisions
for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
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Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
FOR MORE INFORMATION
Back Cover
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Save time. Save paper. View your next shareholder report online as soon as it’s
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a few minutes. |
DISCUSSION
OF FUND PERFORMANCE (Unaudited)
For the period from April 1, 2023, through March 31, 2024,
as provided by the fund’s primary portfolio managers, Chris Barris and Kevin Cronk, of Alcentra NY,
LLC, sub-adviser.
Market and Fund Performance Overview
For the 12-month period ended March 31,
2024, BNY Mellon High Yield Strategies Fund (the “fund”) produced a total return of 14.72% on a net-asset-value
basis and a return of 20.93% 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 11.06%.1 Over
the same period, the fund provided aggregate income dividends of $0.1825 per share, which reflects a
distribution rate of 7.54%.2
High yield corporate
bond prices gained ground during the reporting period as inflationary pressures eased, interest rates
plateaued, and economic growth remained positive. The fund outperformed the Index on a net-asset-value
and market price basis primarily due to favorable credit-quality positioning, strong sector allocations
and positive issue selection.
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 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.
Economic Growth Amid Easing Inflation Bolster High Yield Markets
The reporting period saw moderating inflationary pressures despite a strong macroeconomic
backdrop. Inflation, as measured by the U.S. Consumer Price Index, declined from 4.93% in April 2023
to 3.50% in March 2024, down significantly from its peak of 9.06% in July 2022. The federal funds rate,
set by the U.S. Federal Reserve (the “Fed”), rose from a range of 4.75%–5.00% at the beginning
of the reporting period to peak at a range of 5.25%–5.50% in July 2023, then remained unchanged for
the rest of the period. During the period, the U.S. economy grew at an average annualized rate of over
2%, as measured by the U.S. real gross domestic product, supported by strong consumer spending and healthy
labor statistics. Corporate profitability remained positive, while default rates remained modest.
These conditions generally proved favorable for credit markets. Expectations for
a so-called “soft landing,” in which the Fed successfully curbs inflation without inciting a steep
recession, lifted risk assets within all asset classes. Floating-rate instruments benefited from sustained,
high interest rates, delivering stronger returns than most fixed-income securities. Structured credit
also outperformed due to attractive income opportunities, low default rates and positive technicals,
with the greatest gains among lower-credit-rated issues. Alternatives generally outperformed as well.
Allocations,
Credit Positioning and Selection Enhance Relative Returns
The fund’s returns
relative to the Index benefited from an emphasis on lower-credit-quality, high yield issues rated B and
below, which offered relatively attractive income opportunities. The fund held underweight exposure to
weaker-performing bonds rated BB and above. Significant out-of-Index positions among floating-rate bank
loans and structured credit, including BB-rated collateralized loan obligations (“CLOs”), further
bolstered relative performance. In terms of industry sector exposure, relative returns benefited from
strong credit selection in the economically sensitive services sector, as well as good selection in health
care, and both selection and allocation among utilities. Conversely, conservative positioning in the
retail sector, which saw advances in high-risk issues, detracted from relative returns, as did a lack
of exposure to a distressed pharmaceutical name that rallied.
Adopting a Constructive View of Market Fundamentals
By most measures, as of March 31, 2024, the economy and associated credit markets
appear fundamentally sound. Economic growth remains surprisingly robust despite the headwinds imposed
by high interest rates, with corporate earnings exceeding expectations and credit statistics, such as
corporate leverage, interest
2
coverage and margins, remaining stable. Technicals appear strong within the high
yield market, backed by strong demand and healthy fund inflows. While issuance has risen slightly in
recent months, these increases have been comfortably absorbed by the market, and valuations remain reasonably
close to fair value.
Given these conditions, the fund continues to favor floating-rate
instruments, such as bank loans and structured credit CLOs, which offer compelling income advantages
relative to fixed high yield in the prevailing high-rate environment. Within high yield, the fund seeks
to pick up incremental yield by emphasizing credits rated B, and selective exposure across lower-rated
opportunities, reflecting our sanguine view of the macroeconomic and sector fundamentals. Among sectors,
we are finding the greatest opportunities in cyclical areas, such as industrials and automobiles, while
holding a more cautious position in areas such as cable and telecommunications, which face secular risks
that could lead to increased restructurings and defaults.
April 15, 2024
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.
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.
Collateralized Loan Obligations
(“CLOs”) and other types of Collateralized Debt Obligations (“CDOs”) are typically privately
offered and sold, and thus are not registered under the securities laws. As a result, investments in
CLOs and other types of CDOs may be characterized by the fund as illiquid securities. In addition to
the general risks associated with credit instruments, CLOs and other types of CDOs carry additional risks,
including, but not limited to: (i) the 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 CLO or CDO 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.
The fund may, but is not
required to, use derivative instruments. A small investment in derivatives could have a potentially large
impact on the fund’s performance. The use of derivatives involves risks different from, or possibly
greater than, the risks associated with investing directly in the underlying assets.
Floating-rate
loan risk. 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. Extended trade settlement periods may, in unusual market conditions
with a high volume of shareholder redemptions, present a risk to shareholders regarding the fund’s
ability to pay redemption proceeds within the allowable time periods stated in this prospectus. 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.
3
FUND
PERFORMANCE AND DISTRIBUTION INFORMATION (Unaudited)
Comparison
of change in value of a $10,000 investment in BNY Mellon High Yield Strategies Fund with a hypothetical
investment of $10,000 in the ICE BofA US High Yield Constrained Index (the “Index”).
† Source: Lipper Inc.
Past performance is not
predictive of future performance.
The above graph compares a hypothetical investment of $10,000
made in BNY Mellon High Yield Strategies Fund on 03/31/2014 to a hypothetical investment of $10,000 made
in the Index on that date. All figures for the fund are based on market price. All dividends and capital
gain distributions are reinvested.
The fund invests primarily in fixed-income
securities and its performance shown in the line graph takes into account fees and expenses. The Index
contains all securities in the ICE BofA US 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. Unlike a fund, the Index is not subject to fees
and other expenses. Investors cannot invest directly in any index. Further information relating to fund
performance, including expense reimbursements, if applicable, is contained in the Financial Highlights
in this report.
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Average Annual Total Returns as of 3/31/2024 | |
| | | 1
Year | 5 Years | 10 Years | |
BNY Mellon High Yield Strategies Fund -Market
Price | | 20.93% | 3.90% | 3.61% | |
BNY Mellon High Yield Strategies Fund -Net
Asset Value | | 14.72% | 4.53% | 4.94% | |
ICE
BofA US High Yield Constrained Index | | 11.06% | 4.01% | 4.36% | |
The performance data quoted represents past
performance, which is no guarantee of future results. Share price and investment return fluctuate and
an investor’s shares may be worth more or less than original cost upon sale of the shares. Current
performance may be lower or higher than the performance quoted. Go to www.im.bnymellon.com for the fund’s
most recent month-end returns.
The fund’s performance shown in the graph and table does
not reflect the deduction of taxes that a shareholder would pay on fund distributions or the sale of
fund shares.
4
The following information regarding the fund’s distributions is current as of
March 31, 2024, the fund’s fiscal year end. The fund’s returns during the period were sufficient
to meet fund distributions.
The fund’s distribution policy is intended to provide shareholders
with stable, but not guaranteed, cash flow, independent of the amount or timing of income earned or capital
gains realized by the fund. The fund intends to distribute all or substantially all of its net investment
income through its regular monthly distribution and to distribute realized capital gains at least annually.
In addition, in any monthly period, in order to try to maintain a level distribution amount, the fund
may pay out more or less than its net investment income during the period. As a result, distributions
sources may include net investment income, realized gains and return of capital. You should not draw
any conclusions about the fund’s investment performance from the amount of the distribution or from
the terms of the level distribution program. A return of capital is a non-taxable distribution of a portion
of a fund’s capital. A return of capital distribution does not necessarily reflect a fund’s investment
performance and should not be confused with “yield” or “income.”
The
amounts and sources of distributions reported below are for financial reporting purposes and are not
being provided for tax reporting purposes. The actual amounts and character of the distributions for
tax reporting purposes will be reported to shareholders on Form 1099-DIV, which will be sent to shareholders
shortly after calendar year-end. Because distribution source estimates are updated throughout the current
fiscal year based on the fund’s performance, those estimates may differ from both the tax information
reported to you in your fund’s 1099 statement, as well as the ultimate economic sources of distributions
over the life of your investment. The figures in the table below provide the sources of distributions
and may include amounts attributed to realized gains and/or returns of capital.
| | | | | | | |
Distributions |
| Current Month Percentage
of Distributions | Fiscal
Year Ended Per Share Amounts |
| Net
Investment Income | Realized
Gains | Return of Capital | Total Distributions | Net
Investment Income | Realized
Gains | Return
of Capital |
BNY
Mellon High Yield Strategies Fund | 100.00% | .00% | .00% | $.18 | $.18 | $.00 | $.00 |
5
SELECTED
INFORMATION
March
31, 2024 (Unaudited)
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Market Price per share
March 31, 2024 | $2.42
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Shares
Outstanding March 31, 2024 | 72,736,534
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New
York Stock Exchange Ticker Symbol | DHF | | |
MARKET PRICE ($) (NEW
YORK STOCK EXCHANGE) | | |
| Fiscal
Year Ended March 31, 2024 | |
| Quarter Ended
June 30, 2023 | Quarter
Ended September 30, 2023 | Quarter
Ended December 31, 2023 | Quarter Ended
March 31, 2024 | |
High | 2.25 | 2.28 | 2.33 | 2.42 | |
Low | 2.13 | 2.14 | 2.06 | 2.28 | |
Close | 2.22 | 2.14 | 2.29 | 2.42 | |
PERCENTAGE
GAIN (LOSS) based on change in Market Price† | | |
April 29, 1998 (commencement
of operations) through March 31, 2024 | 166.66% | |
April
1, 2014 through March 31, 2024 | 42.54 | |
April
1, 2019 through March 31, 2024 | 21.08 | |
April
1, 2023 through March 31, 2024 | 20.93 | |
July
1, 2023 through March 31, 2024 | 15.79 | |
October
1, 2023 through March 31, 2024 | 17.74 | |
January
1, 2024 through March 31, 2024 | 7.12 | |
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NET
ASSET VALUE PER SHARE | | |
April
29, 1998 (commencement of operations) | $15.00 | |
March
31, 2023 | 2.55 | |
June
30, 2023 | 2.55 | |
September
30, 2023 | 2.54 | |
December
31, 2023 | 2.69 | |
March
31, 2024 | 2.70 | |
PERCENTAGE
GAIN (LOSS) based on change in Net Asset Value† | | |
April 29, 1998 (commencement
of operations) through March 31, 2024 | 197.29% | |
April
1, 2014 through March 31, 2024 | 62.02 | |
April
1, 2019 through March 31, 2024 | 24.82 | |
April
1, 2023 through March 31, 2024 | 14.72 | |
July
1, 2023 through March 31, 2024 | 12.39 | |
October
1, 2023 through March 31, 2024 | 10.59 | |
January
1, 2024 through March 31, 2024 | 1.67 | |
† With dividends reinvested.
6
STATEMENT
OF INVESTMENTS
March 31, 2024
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Description
| Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% | | | | | |
Advertising
- 1.2% | | | | | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 5.13 | | 8/15/2027 | | 825,000 | b,c | 778,289 | |
Clear Channel Outdoor Holdings, Inc., Sr. Scd. Notes | | 9.00 | | 9/15/2028 | | 840,000 | b,c | 875,713 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd.
Notes | | 5.00 | | 8/15/2027 | | 734,000 | b,c | 706,982 | |
| 2,360,984 | |
Aerospace & Defense - 3.6% | | | | | |
AAR
Escrow Issuer LLC, Gtd. Notes | | 6.75 | | 3/15/2029 | | 994,000 | b,c | 1,002,890 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.25 | | 7/1/2031 | | 283,000 | c | 283,930 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.50 | | 2/1/2029 | | 815,000 | b,c | 840,146 | |
Bombardier, Inc., Sr. Unscd. Notes | | 7.88 | | 4/15/2027 | | 1,117,000 | b,c | 1,118,479 | |
TransDigm, Inc., Gtd. Notes | | 4.88 | | 5/1/2029 | | 382,000 | b | 355,782 | |
TransDigm, Inc., Gtd. Notes | | 5.50 | | 11/15/2027 | | 500,000 | b | 489,771 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.38 | | 3/1/2029 | | 650,000 | c | 652,836 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.63 | | 3/1/2032 | | 637,000 | c | 644,352 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.75 | | 8/15/2028 | | 478,000 | b,c | 484,906 | |
TransDigm, Inc., Sr. Scd. Notes | | 6.88 | | 12/15/2030 | | 870,000 | b,c | 887,831 | |
TransDigm, Inc., Sr. Scd. Notes | | 7.13 | | 12/1/2031 | | 220,000 | c | 226,998 | |
| 6,987,921 | |
Airlines
- 1.2% | | | | | |
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd.
Notes | | 5.75 | | 4/20/2029 | | 2,338,121 | b,c | 2,300,127 | |
Automobiles
& Components - 2.6% | | | | | |
Clarios Global LP/Clarios US Finance Co., Gtd. Notes | | 8.50 | | 5/15/2027 | | 890,000 | c | 893,015 | |
IHO Verwaltungs GmbH, Sr. Scd. Bonds | | 6.00 | | 5/15/2027 | | 1,450,000 | b,c,d | 1,449,233 | |
Phinia, Inc., Sr. Scd. Notes | | 6.75 | | 4/15/2029 | | 783,000 | c | 791,529 | |
Real Hero Merger Sub 2, Inc., Sr. Unscd. Notes | | 6.25 | | 2/1/2029 | | 1,406,000 | b,c | 1,233,632 | |
Standard Profil Automotive GmbH, Sr. Scd. Bonds | EUR | 6.25 | | 4/30/2026 | | 675,000 | c | 661,300 | |
| 5,028,709 | |
Banks - 1.4% | | | | | |
Barclays
PLC, Jr. Sub. Notes | | 8.00 | | 9/15/2029 | | 1,130,000 | b,e | 1,130,496 | |
Citigroup, Inc., Jr. Sub. Notes, Ser. X | | 3.88 | | 2/18/2026 | | 906,000 | b,e | 857,323 | |
Freedom Mortgage Corp., Sr. Unscd. Notes | | 6.63 | | 1/15/2027 | | 808,000 | c | 784,688 | |
| 2,772,507 | |
7
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Beverage
Products - .8% | | | | | |
Triton Water Holdings, Inc., Sr. Unscd. Notes | | 6.25 | | 4/1/2029 | | 1,710,000 | b,c | 1,559,127 | |
Building
Materials - 3.7% | | | | | |
Builders FirstSource, Inc., Gtd. Notes | | 4.25 | | 2/1/2032 | | 931,000 | b,c | 835,591 | |
Camelot Return Merger Sub, Inc., Sr. Scd. Notes | | 8.75 | | 8/1/2028 | | 2,021,000 | b,c | 2,077,930 | |
Eco Material Technologies, Inc., Sr. Scd. Notes | | 7.88 | | 1/31/2027 | | 1,091,000 | b,c | 1,107,943 | |
Emrld Borrower LP/Emerald Co-Issuer, Inc., Sr. Scd. Notes | | 6.63 | | 12/15/2030 | | 2,018,000 | b,c | 2,039,881 | |
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sr.
Scd. Notes | | 6.75 | | 4/1/2032 | | 785,000 | c | 788,174 | |
Standard Industries, Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2028 | | 497,000 | b,c | 474,715 | |
| 7,324,234 | |
Chemicals
- 4.2% | | | | | |
Iris Holdings, Inc., Sr. Unscd. Notes | | 8.75 | | 2/15/2026 | | 1,396,000 | b,c,d | 1,200,560 | |
Italmatch Chemicals SpA, Sr. Scd. Notes | EUR | 10.00 | | 2/6/2028 | | 950,000 | c | 1,087,216 | |
Mativ Holdings, Inc., Gtd. Notes | | 6.88 | | 10/1/2026 | | 983,000 | b,c | 979,287 | |
NOVA Chemicals Corp, Sr. Unscd. Notes | | 9.00 | | 2/15/2030 | | 620,000 | c | 640,467 | |
NOVA Chemicals Corp., Sr. Unscd. Notes | | 5.00 | | 5/1/2025 | | 982,000 | b,c | 966,624 | |
Olympus Water US Holding Corp., Sr. Scd. Notes | | 9.75 | | 11/15/2028 | | 880,000 | b,c | 938,491 | |
Rain Carbon, Inc., Sr. Scd. Notes | | 12.25 | | 9/1/2029 | | 550,000 | c | 571,212 | |
SCIH Salt Holdings, Inc., Sr. Unscd. Notes | | 6.63 | | 5/1/2029 | | 640,000 | c | 593,242 | |
WR Grace Holdings LLC, Sr. Unscd. Notes | | 5.63 | | 8/15/2029 | | 1,400,000 | b,c | 1,254,301 | |
| 8,231,400 | |
Collateralized
Loan Obligations Debt - 4.6% | | | | | |
Battalion X Ltd. CLO, Ser.
2016-10A, Cl. DR2, (3 Month TSFR +6.87%) | | 12.19 | | 1/25/2035 | | 1,000,000 | c,f | 912,427 | |
Chenango Park Ltd. CLO, Ser. 2018-1A, Cl. D, (3 Month TSFR
+6.06%) | | 11.38 | | 4/15/2030 | | 1,000,000 | c,f | 981,779 | |
Crown Point 8 Ltd. CLO, Ser. 2019-8A, Cl. ER, (3 Month TSFR
+7.39%) | | 12.71 | | 10/20/2034 | | 2,375,000 | c,f | 2,349,523 | |
Northwoods Capital 27 Ltd. CLO, Ser. 2021-27A, Cl. E, (3
Month TSFR +7.30%) | | 12.62 | | 10/17/2034 | | 1,150,000 | c,f | 1,065,892 | |
8
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Collateralized
Loan Obligations Debt - 4.6% (continued) | | | | | |
Octagon
Investment Partners 33 Ltd. CLO, Ser. 2017-1A, Cl. D, (3 Month TSFR +6.56%) | | 11.88 | | 1/20/2031 | | 1,525,000 | c,f | 1,407,819 | |
Octagon Investment Partners 46 Ltd. CLO, Ser. 2020-2A, Cl.
ER, (3 Month TSFR +6.86%) | | 12.18 | | 7/15/2036 | | 2,000,000 | c,f | 1,786,828 | |
Rockford Tower Ltd. CLO, Ser. 2022-2A, Cl. ER, (3 Month
TSFR +8.12%) | | 13.44 | | 10/20/2035 | | 500,000 | c,f | 501,703 | |
| 9,005,971 | |
Commercial & Professional Services - 6.2% | | | | | |
Adtalem
Global Education, Inc., Sr. Scd. Notes | | 5.50 | | 3/1/2028 | | 904,000 | b,c | 866,174 | |
Albion Financing 1 Sarl/Aggreko Holdings, Inc., Sr. Scd.
Notes | | 6.13 | | 10/15/2026 | | 330,000 | c | 327,312 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr.
Scd. Notes | | 6.63 | | 7/15/2026 | | 407,000 | c | 407,074 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr.
Unscd. Notes | | 6.00 | | 6/1/2029 | | 710,000 | b,c | 611,707 | |
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 | 594,050 | |
APX Group, Inc., Sr. Scd. Notes | | 6.75 | | 2/15/2027 | | 1,034,000 | b,c | 1,038,930 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd.
Notes | | 8.00 | | 2/15/2031 | | 912,000 | b,c | 911,206 | |
House of HR Group BV, Sr. Scd. Bonds | EUR | 9.00 | | 11/3/2029 | | 1,240,000 | c | 1,412,669 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Scd.
Notes | | 6.25 | | 1/15/2028 | | 1,429,000 | b,c | 1,400,925 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., Sr.
Scd. Notes | | 3.38 | | 8/31/2027 | | 285,000 | c | 262,061 | |
United Rentals North America, Inc., Gtd. Notes | | 3.75 | | 1/15/2032 | | 998,000 | | 872,273 | |
Verisure Midholding
AB, Gtd. Notes | EUR | 5.25 | | 2/15/2029 | | 2,200,000 | c | 2,299,204 | |
Wand NewCo 3, Inc., Sr. Scd. Notes | | 7.63 | | 1/30/2032 | | 1,225,000 | b,c | 1,267,957 | |
| 12,271,542 | |
Consumer
Discretionary - 11.6% | | | | | |
Allwyn Entertainment Financing UK PLC, Sr. Scd. Notes | | 7.88 | | 4/30/2029 | | 1,698,000 | b,c | 1,748,762 | |
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unscd.
Notes | | 4.63 | | 4/1/2030 | | 640,000 | b,c | 585,385 | |
9
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Consumer
Discretionary - 11.6% (continued) | | | | | |
Caesars
Entertainment, Inc., Sr. Scd. Notes | | 7.00 | | 2/15/2030 | | 790,000 | b,c | 811,417 | |
Carnival Corp., Gtd. Notes | | 6.00 | | 5/1/2029 | | 2,468,000 | b,c | 2,436,742 | |
Carnival Corp., Gtd. Notes | | 7.63 | | 3/1/2026 | | 1,178,000 | b,c | 1,192,654 | |
Carnival Corp., Sr. Scd. Notes | | 7.00 | | 8/15/2029 | | 302,000 | b,c | 315,226 | |
Carnival Holdings Bermuda Ltd., Gtd. Notes | | 10.38 | | 5/1/2028 | | 339,000 | b,c | 370,013 | |
Churchill Downs, Inc., Gtd. Notes | | 4.75 | | 1/15/2028 | | 440,000 | b,c | 419,166 | |
Dealer Tire LLC/DT Issuer LLC, Sr. Unscd. Notes | | 8.00 | | 2/1/2028 | | 1,389,000 | b,c | 1,383,794 | |
Everi Holdings, Inc., Gtd. Notes | | 5.00 | | 7/15/2029 | | 1,112,000 | b,c | 1,102,448 | |
Hilton Domestic Operating Co., Inc., Gtd. Notes | | 4.00 | | 5/1/2031 | | 650,000 | b,c | 581,582 | |
International Game Technology PLC, Sr. Scd. Notes | | 5.25 | | 1/15/2029 | | 1,105,000 | b,c | 1,068,538 | |
Lions Gate Capital Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2029 | | 530,000 | c | 405,909 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Sr.
Scd. Notes | | 4.88 | | 5/1/2029 | | 740,000 | b,c | 685,811 | |
Miller Homes Group Finco PLC, Sr. Scd. Bonds | GBP | 7.00 | | 5/15/2029 | | 610,000 | c | 719,317 | |
NCL Corp. Ltd., Gtd. Notes | | 5.88 | | 3/15/2026 | | 1,560,000 | b,c | 1,540,985 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 5.88 | | 2/15/2027 | | 556,000 | b,c | 549,696 | |
NCL Corp. Ltd., Sr. Scd. Notes | | 8.13 | | 1/15/2029 | | 478,000 | c | 506,126 | |
Ontario Gaming GTA LP/OTG Co-Issuer, Inc., Sr. Scd. Notes | | 8.00 | | 8/1/2030 | | 399,000 | b,c | 411,276 | |
Royal Caribbean Cruises Ltd., Gtd. Notes | | 7.25 | | 1/15/2030 | | 546,000 | c | 567,669 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 4.25 | | 7/1/2026 | | 262,000 | c | 253,016 | |
Royal Caribbean Cruises Ltd., Sr. Unscd. Notes | | 5.50 | | 8/31/2026 | | 1,736,000 | b,c | 1,721,817 | |
Station Casinos LLC, Gtd. Notes | | 6.63 | | 3/15/2032 | | 784,000 | b,c | 792,560 | |
Taylor Morrison Communities, Inc., Sr. Unscd. Notes | | 5.13 | | 8/1/2030 | | 538,000 | c | 514,309 | |
Verde Purchaser LLC, Sr. Scd. Notes | | 10.50 | | 11/30/2030 | | 617,000 | c | 650,403 | |
Viking Cruises Ltd., Sr. Unscd. Notes | | 9.13 | | 7/15/2031 | | 761,000 | b,c | 832,828 | |
Windsor Holdings III LLC, Sr. Scd. Notes | | 8.50 | | 6/15/2030 | | 652,000 | b,c | 684,443 | |
| 22,851,892 | |
Consumer
Staples - .2% | | | | | |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., Gtd.
Notes | | 7.00 | | 12/31/2027 | | 494,000 | c | 491,143 | |
10
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Diversified
Financials - 4.5% | | | | | |
Encore Capital Group, Inc., Sr. Scd. Notes | GBP | 4.25 | | 6/1/2028 | | 1,570,000 | c | 1,686,370 | |
Freedom Mortgage Holdings LLC, Sr. Unscd. Notes | | 9.25 | | 2/1/2029 | | 624,000 | c | 639,193 | |
Garfunkelux Holdco 3 SA, Sr. Scd. Bonds | GBP | 7.75 | | 11/1/2025 | | 680,000 | c | 609,366 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd.
Notes | | 6.25 | | 5/15/2026 | | 943,000 | | 911,032 | |
Nationstar Mortgage
Holdings, Inc., Gtd. Notes | | 5.00 | | 2/1/2026 | | 1,430,000 | b,c | 1,400,591 | |
Nationstar Mortgage Holdings, Inc., Gtd. Notes | | 6.00 | | 1/15/2027 | | 710,000 | c | 700,438 | |
OneMain Finance Corp., Gtd. Notes | | 7.88 | | 3/15/2030 | | 466,000 | | 481,155 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 5.38 | | 10/15/2025 | | 557,000 | b,c | 550,898 | |
PennyMac Financial Services, Inc., Gtd. Notes | | 7.88 | | 12/15/2029 | | 917,000 | b,c | 943,084 | |
United Wholesale Mortgage LLC, Sr. Unscd. Notes | | 5.75 | | 6/15/2027 | | 958,000 | b,c | 932,295 | |
| 8,854,422 | |
Electronic Components - .9% | | | | | |
Sensata
Technologies BV, Gtd. Notes | | 5.88 | | 9/1/2030 | | 980,000 | b,c | 959,744 | |
WESCO Distribution, Inc., Gtd. Notes | | 6.63 | | 3/15/2032 | | 747,000 | c | 760,026 | |
| 1,719,770 | |
Energy
- 13.7% | | | | | |
Aethon United BR LP/Aethon United Finance Corp., Sr. Unscd.
Notes | | 8.25 | | 2/15/2026 | | 1,867,000 | b,c | 1,890,242 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd.
Notes | | 5.75 | | 3/1/2027 | | 1,340,000 | b,c | 1,324,106 | |
Antero Resources Corp., Gtd. Notes | | 5.38 | | 3/1/2030 | | 835,000 | b,c | 802,652 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unscd.
Notes | | 6.63 | | 7/15/2026 | | 1,430,000 | b,c | 1,427,148 | |
Chesapeake Energy Corp., Gtd. Notes | | 5.88 | | 2/1/2029 | | 647,000 | b,c | 642,253 | |
Comstock Resources, Inc., Gtd. Notes | | 6.75 | | 3/1/2029 | | 2,020,000 | b,c | 1,928,176 | |
CQP Holdco LP/Bip-V Chinook Holdco LLC, Sr. Scd. Notes | | 5.50 | | 6/15/2031 | | 490,000 | b,c | 463,499 | |
Encino Acquisition Partners Holdings LLC, Gtd. Notes | | 8.50 | | 5/1/2028 | | 1,337,000 | b,c | 1,352,503 | |
Energy Transfer LP, Jr. Sub. Bonds, Ser. B | | 6.63 | | 2/15/2028 | | 1,730,000 | b,e | 1,622,138 | |
EnLink Midstream LLC, Gtd. Notes | | 6.50 | | 9/1/2030 | | 876,000 | b,c | 902,027 | |
EQM Midstream Partners LP, Sr. Unscd. Notes | | 5.50 | | 7/15/2028 | | 461,000 | b | 455,019 | |
11
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Energy
- 13.7% (continued) | | | | | |
Matador Resources Co., Sr.
Unscd. Notes | | 6.50 | | 4/15/2032 | | 965,000 | c | 967,377 | |
New Fortress Energy, Inc., Sr. Scd. Notes | | 6.75 | | 9/15/2025 | | 286,000 | c | 284,312 | |
Noble Finance II LLC, Gtd. Notes | | 8.00 | | 4/15/2030 | | 640,000 | b,c | 667,098 | |
Northern Oil & Gas, Inc., Sr. Unscd. Notes | | 8.13 | | 3/1/2028 | | 604,000 | b,c | 613,500 | |
Northriver Midstream Finance LP, Sr. Scd. Notes | | 5.63 | | 2/15/2026 | | 1,050,000 | b,c | 1,043,288 | |
Rockcliff Energy II LLC, Sr. Unscd. Notes | | 5.50 | | 10/15/2029 | | 1,409,000 | b,c | 1,319,832 | |
Rockies Express Pipeline LLC, Sr. Unscd. Notes | | 4.80 | | 5/15/2030 | | 1,396,000 | b,c | 1,291,473 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., Sr.
Unscd. Notes | | 7.88 | | 11/1/2028 | | 1,317,000 | b,c | 1,363,347 | |
Solaris Midstream Holdings LLC, Gtd. Notes | | 7.63 | | 4/1/2026 | | 1,305,000 | c | 1,320,469 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 3.88 | | 11/1/2033 | | 1,301,000 | b,c | 1,106,322 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 4.13 | | 8/15/2031 | | 600,000 | b,c | 533,973 | |
Venture Global Calcasieu Pass LLC, Sr. Scd. Notes | | 6.25 | | 1/15/2030 | | 246,000 | c | 247,676 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.13 | | 6/1/2028 | | 2,447,000 | b,c | 2,497,925 | |
Venture Global LNG, Inc., Sr. Scd. Notes | | 8.38 | | 6/1/2031 | | 798,000 | b,c | 823,451 | |
| 26,889,806 | |
Environmental
Control - 1.3% | | | | | |
Covanta Holding Corp., Gtd. Notes | | 4.88 | | 12/1/2029 | | 211,000 | b,c | 189,329 | |
Covanta Holding Corp., Gtd. Notes | | 5.00 | | 9/1/2030 | | 286,000 | | 252,669 | |
Madison IAQ LLC, Sr. Scd. Notes | | 4.13 | | 6/30/2028 | | 224,000 | c | 207,376 | |
Madison IAQ LLC, Sr. Unscd. Notes | | 5.88 | | 6/30/2029 | | 1,198,000 | b,c | 1,097,242 | |
Waste Pro USA, Inc., Sr. Unscd. Notes | | 5.50 | | 2/15/2026 | | 828,000 | b,c | 816,191 | |
| 2,562,807 | |
Food
Products - 3.3% | | | | | |
Boparan Finance PLC, Sr. Scd. Bonds | GBP | 7.63 | | 11/30/2025 | | 470,000 | c | 562,985 | |
Chobani LLC/Chobani Finance Corp., Inc., Sr. Scd. Notes | | 4.63 | | 11/15/2028 | | 580,000 | c | 541,533 | |
Chobani LLC/Chobani Finance Corp., Inc., Sr. Unscd. Notes | | 7.63 | | 7/1/2029 | | 667,000 | c | 677,005 | |
Fiesta Purchaser, Inc., Sr. Scd. Notes | | 7.88 | | 3/1/2031 | | 656,000 | c | 677,956 | |
Pilgrim's Pride Corp., Gtd. Notes | | 3.50 | | 3/1/2032 | | 1,064,000 | b | 902,836 | |
Post Holdings, Inc., Gtd. Notes | | 4.63 | | 4/15/2030 | | 1,350,000 | c | 1,240,330 | |
12
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Food
Products - 3.3% (continued) | | | | | |
Post
Holdings, Inc., Gtd. Notes | | 5.50 | | 12/15/2029 | | 760,000 | c | 735,066 | |
US Foods, Inc., Gtd. Notes | | 6.88 | | 9/15/2028 | | 1,044,000 | b,c | 1,070,003 | |
| 6,407,714 | |
Health
Care - 7.0% | | | | | |
CHEPLAPHARM Arzneimittel GmbH, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 860,000 | b,c | 820,330 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.25 | | 5/15/2030 | | 1,313,000 | b,c | 1,071,779 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 5.63 | | 3/15/2027 | | 1,280,000 | b,c | 1,179,469 | |
CHS/Community Health Systems, Inc., Sr. Scd. Notes | | 6.00 | | 1/15/2029 | | 630,000 | c | 551,120 | |
Cidron Aida Finco Sarl, Sr. Scd. Bonds | GBP | 6.25 | | 4/1/2028 | | 710,000 | c | 862,522 | |
HealthEquity, Inc., Gtd. Notes | | 4.50 | | 10/1/2029 | | 667,000 | b,c | 616,233 | |
Jazz Securities DAC, Sr. Scd. Notes | | 4.38 | | 1/15/2029 | | 1,090,000 | b,c | 1,016,226 | |
LifePoint Health, Inc., Gtd. Notes | | 5.38 | | 1/15/2029 | | 840,000 | b,c | 693,076 | |
LifePoint Health, Inc., Sr. Scd. Notes | | 9.88 | | 8/15/2030 | | 1,313,000 | b,c | 1,375,094 | |
Medline Borrower LP, Sr. Scd. Notes | | 3.88 | | 4/1/2029 | | 780,000 | b,c | 710,472 | |
Medline Borrower LP, Sr. Unscd. Notes | | 5.25 | | 10/1/2029 | | 414,000 | c | 391,616 | |
Option Care Health, Inc., Gtd. Notes | | 4.38 | | 10/31/2029 | | 1,503,000 | b,c | 1,379,391 | |
Surgery Center Holdings, Inc., Sr. Unscd. Notes | | 7.25 | | 4/15/2032 | | 443,000 | c | 446,994 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.25 | | 6/1/2029 | | 1,100,000 | b | 1,023,495 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 4.63 | | 6/15/2028 | | 720,000 | | 686,298 | |
Tenet Healthcare Corp., Sr. Scd. Notes | | 6.75 | | 5/15/2031 | | 890,000 | b,c | 907,337 | |
| 13,731,452 | |
Industrial
- 2.9% | | | | | |
Artera Services LLC, Sr. Scd. Notes | | 8.50 | | 2/15/2031 | | 956,029 | b,c | 980,860 | |
Chart Industries, Inc., Sr. Scd. Notes | | 7.50 | | 1/1/2030 | | 1,171,000 | b,c | 1,217,484 | |
Dycom Industries, Inc., Gtd. Notes | | 4.50 | | 4/15/2029 | | 554,000 | b,c | 518,431 | |
GrafTech Finance, Inc., Sr. Scd. Notes | | 4.63 | | 12/15/2028 | | 638,000 | c | 410,968 | |
Husky III Holding Ltd., Sr. Unscd. Notes | | 13.00 | | 2/15/2025 | | 842,000 | b,c,d | 844,470 | |
Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC, Sr.
Scd. Notes | | 9.00 | | 2/15/2029 | | 768,000 | c | 795,163 | |
TK Elevator US Newco, Inc., Sr. Scd. Notes | | 5.25 | | 7/15/2027 | | 1,000,000 | b,c | 967,225 | |
| 5,734,601 | |
13
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Information
Technology - 4.4% | | | | | |
AthenaHealth Group, Inc., Sr. Unscd. Notes | | 6.50 | | 2/15/2030 | | 3,100,000 | b,c | 2,838,526 | |
Central Parent, Inc./CDK Global, Inc., Sr. Scd. Notes | | 7.25 | | 6/15/2029 | | 1,090,000 | b,c | 1,113,927 | |
Cloud Software Group, Inc., Scd. Bonds | | 9.00 | | 9/30/2029 | | 870,000 | b,c | 835,263 | |
Cloud Software Group, Inc., Sr. Scd. Notes | | 6.50 | | 3/31/2029 | | 988,000 | b,c | 938,394 | |
Elastic NV, Sr. Unscd. Notes | | 4.13 | | 7/15/2029 | | 1,227,000 | b,c | 1,105,379 | |
SS&C Technologies, Inc., Gtd. Notes | | 5.50 | | 9/30/2027 | | 970,000 | b,c | 949,244 | |
UKG, Inc., Sr. Scd. Notes | | 6.88 | | 2/1/2031 | | 929,000 | b,c | 947,076 | |
| 8,727,809 | |
Insurance
- 5.4% | | | | | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Scd. Notes | | 4.25 | | 2/15/2029 | | 1,230,000 | b,c | 1,111,612 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 6.00 | | 8/1/2029 | | 610,000 | b,c | 559,988 | |
Acrisure LLC/Acrisure Finance, Inc., Sr. Unscd. Notes | | 8.25 | | 2/1/2029 | | 1,091,000 | b,c | 1,096,655 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr.
Scd. Notes | | 6.75 | | 4/15/2028 | | 925,000 | b,c | 932,477 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr.
Scd. Notes | | 7.00 | | 1/15/2031 | | 800,000 | c | 808,619 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr.
Unscd. Notes | | 6.75 | | 10/15/2027 | | 650,000 | b,c | 640,928 | |
Ardonagh Finco Ltd., Sr. Scd. Notes | | 7.75 | | 2/15/2031 | | 973,000 | c | 969,600 | |
Ardonagh Group Finance Ltd., Sr. Unscd. Notes | | 8.88 | | 2/15/2032 | | 800,000 | b,c | 790,726 | |
AssuredPartners, Inc., Sr. Unscd. Notes | | 5.63 | | 1/15/2029 | | 1,190,000 | b,c | 1,097,537 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US
Refinance LLC, Sr. Scd. Notes | | 7.25 | | 2/15/2031 | | 421,000 | c | 423,026 | |
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 | 825,715 | |
Panther Escrow Issuer LLC, Sr. Scd. Notes | | 7.13 | | 6/1/2031 | | 1,270,000 | c | 1,292,238 | |
| 10,549,121 | |
Internet
Software & Services - 2.4% | | | | | |
Arches Buyer, Inc., Sr.
Scd. Notes | | 4.25 | | 6/1/2028 | | 480,000 | c | 422,973 | |
Arches Buyer, Inc., Sr. Unscd. Notes | | 6.13 | | 12/1/2028 | | 1,050,000 | b,c | 880,770 | |
14
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Internet
Software & Services - 2.4% (continued) | | | | | |
Cogent
Communications Group, Inc., Gtd. Notes | | 7.00 | | 6/15/2027 | | 820,000 | b,c | 817,092 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., Gtd. Notes | | 5.25 | | 12/1/2027 | | 1,210,000 | b,c | 1,184,318 | |
Newfold Digital Holdings Group, Inc., Sr. Unscd. Notes | | 6.00 | | 2/15/2029 | | 700,000 | c | 549,197 | |
Uber Technologies, Inc., Gtd. Notes | | 4.50 | | 8/15/2029 | | 990,000 | b,c | 941,186 | |
| 4,795,536 | |
Materials
- 5.1% | | | | | |
Clydesdale Acquisition Holdings, Inc., Gtd. Notes | | 8.75 | | 4/15/2030 | | 1,923,000 | b,c | 1,891,432 | |
Kleopatra Finco Sarl, Sr. Scd. Bonds | EUR | 4.25 | | 3/1/2026 | | 1,117,000 | c | 1,028,050 | |
LABL, Inc., Sr. Scd. Notes | | 6.75 | | 7/15/2026 | | 970,000 | b,c | 959,102 | |
LABL, Inc., Sr. Scd. Notes | | 9.50 | | 11/1/2028 | | 305,000 | b,c | 308,906 | |
LABL, Inc., Sr. Unscd. Notes | | 10.50 | | 7/15/2027 | | 1,314,000 | b,c | 1,304,304 | |
Mauser Packaging Solutions Holding Co., Sr. Scd. Notes | | 7.88 | | 8/15/2026 | | 1,456,000 | b,c | 1,484,393 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group
Issuer LLC, Sr. Scd. Notes | | 4.00 | | 10/15/2027 | | 1,130,000 | b,c | 1,055,415 | |
Sealed Air Corp., Gtd. Notes | | 5.00 | | 4/15/2029 | | 620,000 | b,c | 595,765 | |
Trivium Packaging Finance BV, Gtd. Notes | | 8.50 | | 8/15/2027 | | 400,000 | c | 395,486 | |
Trivium Packaging Finance BV, Sr. Scd. Notes | | 5.50 | | 8/15/2026 | | 938,000 | b,c | 925,677 | |
| 9,948,530 | |
Media - 6.7% | | | | | |
Altice
Financing SA, Sr. Scd. Bonds | | 5.75 | | 8/15/2029 | | 525,000 | b,c | 421,166 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.50 | | 5/1/2032 | | 1,116,000 | b | 897,542 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 4.75 | | 2/1/2032 | | 1,290,000 | b,c | 1,054,044 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2028 | | 1,570,000 | b,c | 1,462,549 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 5.13 | | 5/1/2027 | | 5,000 | b,c | 4,767 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unscd. Notes | | 7.38 | | 3/1/2031 | | 690,000 | b,c | 677,103 | |
CSC Holdings LLC, Gtd. Notes | | 5.50 | | 4/15/2027 | | 625,000 | b,c | 559,809 | |
CSC Holdings LLC, Gtd. Notes | | 11.25 | | 5/15/2028 | | 1,021,000 | b,c | 1,012,631 | |
CSC Holdings LLC, Sr. Unscd. Notes | | 5.00 | | 11/15/2031 | | 548,000 | c | 277,621 | |
DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., Sr.
Scd. Notes | | 5.88 | | 8/15/2027 | | 570,000 | c | 539,597 | |
DISH Network Corp., Sr. Scd. Notes | | 11.75 | | 11/15/2027 | | 994,000 | b,c | 1,015,780 | |
15
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Media
- 6.7% (continued) | | | | | |
Gray Television, Inc., Gtd.
Notes | | 5.88 | | 7/15/2026 | | 290,000 | c | 282,608 | |
Gray Television, Inc., Gtd. Notes | | 7.00 | | 5/15/2027 | | 580,000 | c | 539,894 | |
Nexstar Media, Inc., Gtd. Notes | | 4.75 | | 11/1/2028 | | 920,000 | b,c | 839,159 | |
Scripps Escrow, Inc., Gtd. Notes | | 5.88 | | 7/15/2027 | | 630,000 | b,c | 527,678 | |
Sirius XM Radio, Inc., Gtd. Notes | | 5.00 | | 8/1/2027 | | 950,000 | c | 914,605 | |
TEGNA, Inc., Gtd. Notes | | 4.75 | | 3/15/2026 | | 530,000 | b,c | 519,984 | |
Virgin Media Finance PLC, Gtd. Notes | | 5.00 | | 7/15/2030 | | 630,000 | b,c | 533,473 | |
Virgin Media Secured Finance PLC, Sr. Scd. Notes | | 5.50 | | 5/15/2029 | | 667,000 | c | 617,193 | |
Ziggo Bond Co. BV, Gtd. Notes | | 5.13 | | 2/28/2030 | | 559,000 | b,c | 479,086 | |
| 13,176,289 | |
Metals
& Mining - 3.0% | | | | | |
Arsenal AIC Parent LLC, Sr. Scd. Notes | | 8.00 | | 10/1/2030 | | 1,140,000 | b,c | 1,198,294 | |
Cleveland-Cliffs, Inc., Gtd. Notes | | 6.75 | | 4/15/2030 | | 771,000 | b,c | 774,206 | |
Compass Minerals International, Inc., Gtd. Notes | | 6.75 | | 12/1/2027 | | 575,000 | c | 556,425 | |
FMG Resources August 2006 Pty Ltd., Sr. Unscd. Notes | | 6.13 | | 4/15/2032 | | 690,000 | b,c | 682,993 | |
Novelis Corp., Gtd. Notes | | 3.25 | | 11/15/2026 | | 1,220,000 | c | 1,138,034 | |
Samarco Mineracao SA, Sr. Unscd. Notes | | 9.50 | | 6/30/2031 | | 463,460 | c,d | 418,573 | |
Taseko Mines Ltd., Sr. Scd. Notes | | 7.00 | | 2/15/2026 | | 1,077,000 | b,c | 1,082,515 | |
| 5,851,040 | |
Real
Estate - 5.4% | | | | | |
Iron Mountain, Inc., Gtd. Notes | | 4.88 | | 9/15/2029 | | 1,240,000 | c | 1,164,335 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance
Corp., Gtd. Notes | | 4.25 | | 2/1/2027 | | 730,000 | c | 683,491 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance
Corp., Gtd. Notes | | 5.25 | | 10/1/2025 | | 1,644,000 | b,c | 1,615,963 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK
Finance Co-Issuer, Sr. Scd. Notes | | 4.88 | | 5/15/2029 | | 1,310,000 | c | 1,219,219 | |
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | | 6.50 | | 4/1/2032 | | 943,000 | c | 946,772 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 6.25 | | 10/15/2025 | | 892,000 | c | 885,392 | |
Rithm Capital Corp., Sr. Unscd. Notes | | 8.00 | | 4/1/2029 | | 1,263,000 | b,c | 1,226,983 | |
RLJ Lodging Trust LP, Sr. Scd. Notes | | 4.00 | | 9/15/2029 | | 1,530,000 | b,c | 1,349,811 | |
Service Properties Trust, Sr. Unscd. Notes | | 4.50 | | 3/15/2025 | | 960,000 | b | 938,659 | |
16
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Real
Estate - 5.4% (continued) | | | | | |
Starwood
Property Trust, Inc., Sr. Unscd. Notes | | 4.38 | | 1/15/2027 | | 430,000 | c | 404,841 | |
Starwood Property Trust, Inc., Sr. Unscd. Notes | | 7.25 | | 4/1/2029 | | 221,000 | c | 223,035 | |
| 10,658,501 | |
Retailing - 7.2% | | | | | |
Beacon
Roofing Supply, Inc., Gtd. Notes | | 4.13 | | 5/15/2029 | | 641,000 | c | 582,047 | |
Beacon Roofing Supply, Inc., Sr. Scd. Notes | | 4.50 | | 11/15/2026 | | 690,000 | c | 670,978 | |
Carvana Co., Sr. Scd. Notes | | 12.00 | | 12/1/2028 | | 1,194,667 | c,d | 1,169,209 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co.,
Inc., Gtd. Notes | | 6.75 | | 1/15/2030 | | 770,000 | b,c | 692,024 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co.,
Inc., Sr. Scd. Notes | | 4.63 | | 1/15/2029 | | 940,000 | b,c | 862,874 | |
Foundation Building Materials, Inc., Gtd. Notes | | 6.00 | | 3/1/2029 | | 1,335,000 | b,c | 1,229,038 | |
Nordstrom, Inc., Sr. Unscd. Notes | | 4.25 | | 8/1/2031 | | 470,000 | | 413,105 | |
Nordstrom, Inc., Sr. Unscd. Notes | | 4.38 | | 4/1/2030 | | 320,000 | | 289,993 | |
PetSmart, Inc./PetSmart Finance Corp., Gtd. Notes | | 7.75 | | 2/15/2029 | | 1,610,000 | b,c | 1,568,675 | |
PetSmart, Inc./PetSmart Finance Corp., Sr. Scd. Notes | | 4.75 | | 2/15/2028 | | 720,000 | b,c | 674,792 | |
QVC, Inc., Sr. Scd. Notes | | 4.45 | | 2/15/2025 | | 840,000 | b | 814,811 | |
SRS Distribution, Inc., Gtd. Notes | | 6.00 | | 12/1/2029 | | 382,000 | b,c | 390,628 | |
Staples, Inc., Sr. Scd. Notes | | 7.50 | | 4/15/2026 | | 1,440,000 | c | 1,406,789 | |
Staples, Inc., Sr. Unscd. Notes | | 10.75 | | 4/15/2027 | | 936,000 | c | 890,566 | |
White Cap Buyer LLC, Sr. Unscd. Notes | | 6.88 | | 10/15/2028 | | 1,531,000 | b,c | 1,503,454 | |
White Cap Parent LLC, Sr. Unscd. Notes | | 8.25 | | 3/15/2026 | | 310,000 | c,d | 309,968 | |
Yum! Brands, Inc., Sr. Unscd. Notes | | 4.75 | | 1/15/2030 | | 820,000 | b,c | 778,298 | |
| 14,247,249 | |
Semiconductors
& Semiconductor Equipment - .7% | | | | | |
Entegris, Inc., Gtd.
Notes | | 5.95 | | 6/15/2030 | | 1,360,000 | b,c | 1,345,206 | |
Technology
Hardware & Equipment - 1.0% | | | | | |
McAfee Corp., Sr.
Unscd. Notes | | 7.38 | | 2/15/2030 | | 631,000 | b,c | 579,347 | |
Western Digital Corp., Gtd. Notes | | 4.75 | | 2/15/2026 | | 1,354,000 | b | 1,323,703 | |
| 1,903,050 | |
Telecommunication
Services - 4.3% | | | | | |
Altice France SA, Sr. Scd. Notes | | 5.50 | | 1/15/2028 | | 1,145,000 | b,c | 814,288 | |
Altice France SA, Sr. Scd. Notes | | 8.13 | | 2/1/2027 | | 1,305,000 | b,c | 1,021,212 | |
17
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Bonds
and Notes - 124.8% (continued) | | | | | |
Telecommunication
Services - 4.3% (continued) | | | | | |
C&W
Senior Finance Ltd., Sr. Unscd. Notes | | 6.88 | | 9/15/2027 | | 883,000 | b,c | 834,758 | |
Consolidated Communications, Inc., Sr. Scd. Notes | | 6.50 | | 10/1/2028 | | 620,000 | c | 543,133 | |
Frontier Communications Holdings LLC, Scd. Notes | | 6.75 | | 5/1/2029 | | 920,000 | b,c | 820,902 | |
Frontier Communications Holdings LLC, Sr. Scd. Notes | | 8.75 | | 5/15/2030 | | 1,070,000 | b,c | 1,095,795 | |
Iliad Holding SASU, Sr. Scd. Notes | | 6.50 | | 10/15/2026 | | 1,099,000 | b,c | 1,089,519 | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.13 | | 4/15/2030 | | 438,175 | b,c | 273,859 | |
Lumen Technologies, Inc., Sr. Scd. Notes | | 4.13 | | 4/15/2029 | | 438,175 | b,c | 278,241 | |
Telecom Italia Capital SA, Gtd. Notes | | 7.72 | | 6/4/2038 | | 500,000 | | 501,172 | |
Telesat Canada/Telesat LLC, Sr. Scd. Notes | | 5.63 | | 12/6/2026 | | 997,000 | b,c | 499,377 | |
Zayo Group Holdings, Inc., Sr. Scd. Notes | | 4.00 | | 3/1/2027 | | 829,000 | b,c | 683,119 | |
| 8,455,375 | |
Utilities
- 4.3% | | | | | |
Calpine Corp., Sr. Scd. Notes | | 4.50 | | 2/15/2028 | | 435,000 | c | 412,925 | |
Calpine Corp., Sr. Unscd. Notes | | 4.63 | | 2/1/2029 | | 1,695,000 | b,c | 1,570,496 | |
Calpine Corp., Sr. Unscd. Notes | | 5.00 | | 2/1/2031 | | 755,000 | b,c | 693,337 | |
NextEra Energy Operating Partners LP, Gtd. Notes | | 3.88 | | 10/15/2026 | | 827,000 | b,c | 771,884 | |
NextEra Energy Operating Partners LP, Sr. Unscd. Notes | | 7.25 | | 1/15/2029 | | 727,000 | c | 744,690 | |
NRG Energy, Inc., Gtd. Notes | | 3.88 | | 2/15/2032 | | 650,000 | b,c | 557,558 | |
NRG Energy, Inc., Gtd. Notes | | 5.25 | | 6/15/2029 | | 610,000 | b,c | 583,687 | |
NRG Energy, Inc., Jr. Sub. Bonds | | 10.25 | | 3/15/2028 | | 1,090,000 | b,c,e | 1,170,276 | |
PG&E Corp., Sr. Scd. Notes | | 5.00 | | 7/1/2028 | | 707,000 | b | 681,645 | |
Vistra Operations Co. LLC, Gtd. Notes | | 4.38 | | 5/1/2029 | | 403,000 | c | 373,752 | |
Vistra Operations Co. LLC, Gtd. Notes | | 7.75 | | 10/15/2031 | | 930,000 | b,c | 974,649 | |
| 8,534,899 | |
Total Bonds
and Notes (cost $240,395,046) | | 245,278,734 | |
18
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Floating
Rate Loan Interests - 12.7% | | | | | |
Automobiles & Components - .5% | | | | | |
First
Brands Group LLC, 2021 First Lien Term Loan, (3 Month TSFR +5.26%) | | 10.57 | | 3/30/2027 | | 268,615 | f | 269,354 | |
First Brands Group LLC, 2022 Incremental Term Loan, (3 Month
TSFR +5.26%) | | 10.57 | | 3/30/2027 | | 792,464 | f | 793,950 | |
| 1,063,304 | |
Beverage Products - .2% | | | | | |
Triton
Water Holdings, Inc., 2024 Incremental Term Loan, (3 Month TSFR +4.00%) | | 9.30 | | 3/31/2028 | | 354,113 | f | 350,683 | |
Commercial & Professional Services - 1.5% | | | | | |
American
Auto Auction, First Lien Tranche Term Loan B, (3 Month TSFR +5.15%) | | 10.46 | | 12/30/2027 | | 498,725 | f | 496,700 | |
Indy US Holdco LLC, 2023 Incremental Dollar Term Loan, (1
Month TSFR +6.25%) | | 11.58 | | 3/6/2028 | | 1,192,914 | f | 1,189,186 | |
Neptune BidCo US, Inc., Dollar Term Loan B, (3 Month TSFR
+5.10%) | | 10.42 | | 4/11/2029 | | 1,400,954 | f | 1,294,922 | |
| 2,980,808 | |
Consumer Discretionary - 1.9% | | | | | |
Bally's
Corp., Facility Term Loan B, (3 Month TSFR +3.51%) | | 8.83 | | 10/2/2028 | | 1,392,341 | f | 1,310,827 | |
ECL Entertainment LLC, Facility Term Loan B, (1 Month TSFR
+4.75%) | | 10.08 | | 9/2/2030 | | 562,506 | f | 566,092 | |
J&J Ventures Gaming LLC, 2023 Delayed Draw Term Loan,
(1 Month TSFR +4.36%) | | 9.69 | | 4/26/2028 | | 1,170,000 | f,g | 1,161,225 | |
Recess Holdings, Inc., Initial Term Loan, (3 Month TSFR
+4.50%) | | 9.84 | | 2/20/2030 | | 630,619 | f | 633,576 | |
| 3,671,720 | |
Consumer Staples - .3% | | | | | |
Hunter
Douglas, Inc., Tranche Term Loan B-1, (3 Month TSFR +3.50%) | | 8.82 | | 2/26/2029 | | 665,246 | f | 658,749 | |
Diversified Financials - 1.1% | | | | | |
Blackhawk
Network Holdings, Inc., Term Loan B, (1 Month TSFR +5.00%) | | 10.33 | | 3/12/2029 | | 640,000 | f | 641,837 | |
Nexus Buyer LLC, Initial Term Loan, (1 Month TSFR +3.85%) | | 9.18 | | 11/9/2026 | | 666,519 | f | 665,686 | |
19
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Floating
Rate Loan Interests - 12.7% (continued) | | | | | |
Diversified
Financials - 1.1% (continued) | | | | | |
Russell
Investments US, 2025 New Term Loan, (1 Month TSFR +3.60%) | | 8.93 | | 5/30/2025 | | 700,000 | f | 673,138 | |
The Edelman Financial Engines Center LLC, Term Loan B, (1
Month TSFR +6.86%) | | 12.19 | | 7/20/2026 | | 270,000 | f | 271,773 | |
| 2,252,434 | |
Energy - .6% | | | | | |
WaterBridge
Midstream Operating, Initial Term Loan, (3 Month TSFR +6.01%) | | 11.34 | | 6/21/2026 | | 1,147,743 | f | 1,150,434 | |
Financials - .3% | | | | | |
Jump
Financial LLC, Term Loan, (3 Month TSFR +4.76%) | | 10.07 | | 8/6/2028 | | 608,440 | f | 601,595 | |
Food Products - .5% | | | | | |
Max
US Bidco, Inc., Initial Term Loan, (3 Month TSFR +5.00%) | | 10.31 | | 10/2/2030 | | 1,120,000 | f | 1,029,801 | |
Health Care - .3% | | | | | |
Radiology
Partners, Inc., Term Loan C, (3 Month TSFR +3.76%) | | 9.09 | | 1/31/2029 | | 569,207 | d,f | 551,317 | |
Industrial - .6% | | | | | |
Revere
Power LLC, Term Loan B, (3 Month TSFR +4.40%) | | 9.71 | | 3/30/2026 | | 775,925 | f | 690,848 | |
Revere Power LLC, Term Loan C, (3 Month TSFR +4.25%) | | 9.71 | | 3/30/2026 | | 67,952 | f | 60,502 | |
Swissport Stratosphere USA LLC, Term Loan, (1 Month TSFR
+4.25%) | | 4.25 | | 3/27/2031 | | 502,857 | f | 503,486 | |
| 1,254,836 | |
Information Technology - .8% | | | | | |
Quest
Software, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.40%) | | 9.71 | | 2/1/2029 | | 1,089,083 | f | 832,609 | |
RealPage, Inc., Second Lien Initial Term Loan, (1 Month
TSFR +6.61%) | | 11.94 | | 4/23/2029 | | 410,000 | f | 407,694 | |
UKG, Inc., 2021 Second Lien Incremental Term Loan, (3 Month
TSFR +5.35%) | | 10.68 | | 5/3/2027 | | 347,241 | f | 350,931 | |
| 1,591,234 | |
20
| | | | | | | | | |
|
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount
($) | a | Value ($) | |
Floating
Rate Loan Interests - 12.7% (continued) | | | | | |
Insurance
- .9% | | | | | |
Asurion LLC, Second Lien Term Loan B-3, (1 Month TSFR +5.36%) | | 10.69 | | 2/3/2028 | | 770,000 | f | 698,294 | |
Asurion LLC, Term Loan B-4, (1 Month TSFR +5.36%) | | 10.69 | | 1/20/2029 | | 1,097,772 | f | 987,396 | |
| 1,685,690 | |
Internet Software & Services - 1.7% | | | | | |
MH
Sub I LLC, 2023 May New Term Loan, (1 Month TSFR +4.25%) | | 9.58 | | 5/3/2028 | | 1,081,825 | f | 1,076,659 | |
MH Sub I LLC, Second Lien Term Loan, (1 Month TSFR +6.25%) | | 11.58 | | 2/23/2029 | | 570,000 | f | 551,016 | |
Pug LLC, Term Loan B-2, (1 Month TSFR +4.75%) | | 9.70 | | 2/16/2027 | | 817,908 | f | 820,121 | |
Weddingwire, Inc., Term Loan, (1 Month TSFR +4.50%) | | 9.82 | | 1/31/2028 | | 790,000 | f | 790,000 | |
| 3,237,796 | |
Retailing - .3% | | | | | |
SRS
Distribution, Inc., 2021 Refinancing Term Loan, (1 Month TSFR +3.50%) | | 8.94 | | 6/5/2028 | | 540,000 | f | 544,344 | |
Telecommunication Services - .5% | | | | | |
CCI
Buyer, Inc., First Lien Initial Term Loan, (3 Month TSFR +4.00%) | | 9.30 | | 12/17/2027 | | 891,325 | f | 887,265 | |
Utilities - .7% | | | | | |
Eastern
Power LLC, Term Loan, (1 Month TSFR +3.86%) | | 9.19 | | 10/2/2025 | | 1,429,715 | f | 1,426,813 | |
Total Floating Rate Loan Interests (cost
$24,604,991) | | 24,938,823 | |
| | | | | Shares | | | |
Exchange-Traded
Funds - .2% | | | | | |
Registered
Investment Companies - .2% | | | | | |
ProShares
Ultra VIX Short-Term Futures ETF (cost $455,776) | | | | | | 62,890 | h | 397,465 | |
21
STATEMENT
OF INVESTMENTS (continued)
| | | | | | | | | |
|
Description | 1-Day Yield
(%) | | | | Shares | | Value
($) | |
Investment
Companies - 1.2% | | | | | |
Registered
Investment Companies - 1.2% | | | | | |
Dreyfus Institutional Preferred Government
Plus Money Market Fund, Institutional Shares (cost $2,355,916) | | 5.42 | | | | 2,355,916 | i | 2,355,916 | |
Total
Investments (cost $267,811,729) | | 138.9% | 272,970,938 | |
Liabilities, Less Cash and Receivables | | (38.9%) | (76,473,957) | |
Net Assets | | 100.0% | 196,496,981 | |
ETF—Exchange-Traded
Fund
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 March
31, 2024, these securities were valued at $229,377,817 or 116.73% of net assets.
d Payment-in-kind security and interest may be paid in additional
par.
e Security
is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
f Variable
rate security—interest rate resets periodically and rate shown is the interest rate in effect at period
end. Security description also includes the reference rate and spread if published and available.
g Investment,
or portion of investment, represents an unfunded floating note loan interest outstanding.
h Non-income
producing security.
i Investment
in affiliated issuer. The investment objective of this investment company is publicly available and can
be found within the investment company’s prospectus.
| |
Portfolio Summary (Unaudited) † | Value
(%) |
Consumer,
Cyclical | 25.6 |
Consumer, Non-cyclical | 20.0 |
Financial | 19.0 |
Industrial | 18.1 |
Communications | 16.7 |
Energy | 14.3 |
Basic
Materials | 7.2 |
Technology | 6.9 |
Utilities | 5.1 |
Collateralized Loan Obligations | 4.6 |
Investment Companies | 1.4 |
| 138.9 |
† Based on net assets.
See
notes to financial statements.
22
| | | | | | |
Affiliated
Issuers | | | |
Description | Value ($) 3/31/2023 | Purchases
($)† | Sales ($) | Value ($) 3/31/2024 | Dividends/ Distributions
($) | |
Registered Investment Companies - 1.2% | | |
Dreyfus Institutional Preferred Government Plus Money Market
Fund, Institutional Shares - 1.2% | 7,896,345 | 134,433,580 | (139,974,009) | 2,355,916 | 325,508 | |
† Includes reinvested dividends/distributions.
See notes to financial statements.
| | | | | |
Forward Foreign Currency Exchange Contracts | |
Counterparty/ Purchased Currency | Purchased
Currency Amounts | Currency Sold | Sold
Currency Amounts | Settlement Date | Unrealized
Appreciation ($) |
Barclays Capital, Inc. |
United States Dollar | 10,915,041 | Euro | 9,965,000 | 4/29/2024 | 150,940 |
United States Dollar | 5,489,188 | British Pound | 4,275,000 | 4/29/2024 | 92,581 |
Gross Unrealized Appreciation | | | 243,521 |
See notes to financial statements.
23
STATEMENT
OF ASSETS AND LIABILITIES
March 31, 2024
| | | | | | |
| | | | | | |
| | | Cost | | Value | |
Assets ($): | | | | |
Investments in securities—See Statement of Investments | | | |
Unaffiliated issuers | 265,455,813 | | 270,615,022
| |
Affiliated issuers | | 2,355,916 | | 2,355,916
| |
Cash | | | | | 871,671 | |
Cash
denominated in foreign currency | | | 3,709,571 | | 3,677,925 | |
Receivable
for investment securities sold | | 5,655,552 | |
Dividends and interest receivable | | 4,363,444 | |
Unrealized
appreciation on forward foreign currency exchange contracts—Note 4 | | 243,521 | |
Prepaid
expenses | | | | | 67,759 | |
| | | | |
287,850,810 | |
Liabilities ($): | | | | |
Due to BNY Mellon Investment Adviser, Inc.
and affiliates—Note 3(b) | | 181,377 | |
Loan payable—Note 2 | | 79,000,000 | |
Payable
for investment securities purchased | | 10,399,997
| |
Distributions payable | | 1,273,041 | |
Interest
payable—Note 2 | | 429,551 | |
Trustees’ fees and expenses payable | | 2,221 | |
Other
accrued expenses | | | | | 67,642 | |
| | | | |
91,353,829 | |
Net Assets ($) | | |
196,496,981 | |
Composition of Net Assets ($): | | | | |
Paid-in capital | | | | | 277,577,745 | |
Total distributable earnings
(loss) | | | | | (81,080,764) | |
Net
Assets ($) | | |
196,496,981 | |
| | | | |
Shares
Outstanding | | |
(unlimited number of $.001
par value shares of Beneficial Interest authorized) |
72,736,534 | |
Net Asset Value Per Share ($) | | 2.70 | |
| | | | |
See notes to financial statements. | | | | |
24
STATEMENT
OF OPERATIONS
Year
Ended March 31, 2024
| | | | | | |
| | | | | | |
| | | | | | |
Investment
Income ($): | | | | |
Income: | | | | |
Interest (net of $9,017 foreign taxes withheld
at source) | | | 22,862,965 | |
Dividends: | |
Unaffiliated issuers | | | 23,230 | |
Affiliated issuers | | | 325,508 | |
Total
Income | | |
23,211,703 | |
Expenses: | | | | |
Management fee—Note 3(a) | | | 2,003,759 | |
Interest
expense—Note 2 | | | 4,990,048 | |
Professional
fees | | | 195,761 | |
Registration
fees | | | 70,827 | |
Shareholders’
reports | | | 59,422 | |
Trustees’
fees and expenses—Note 3(c) | | | 47,230 | |
Shareholder
servicing costs | | | 15,524 | |
Custodian
fees—Note 3(b) | | | 13,509 | |
Chief
Compliance Officer fees—Note 3(b) | | | 11,284 | |
Miscellaneous | | | 45,791 | |
Total
Expenses | | |
7,453,155 | |
Net Investment Income | | |
15,758,548 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4
($): | | |
Net realized gain (loss) on investments and
foreign currency transactions |
(7,377,450) | |
Net realized gain (loss) on
forward foreign currency exchange contracts |
11,788 | |
Net Realized Gain (Loss) | | | (7,365,662) | |
Net
change in unrealized appreciation (depreciation) on investments
and foreign currency transactions |
15,539,002 | |
Net
change in unrealized appreciation (depreciation) on
forward foreign currency exchange contracts | 382,184 | |
Net Change in Unrealized Appreciation (Depreciation) | | | 15,921,186 | |
Net
Realized and Unrealized Gain (Loss) on Investments | | | 8,555,524 | |
Net
Increase in Net Assets Resulting from Operations | | 24,314,072
| |
| | | | | | |
See notes to financial statements. | | | | | |
25
STATEMENT
OF CASH FLOWS
Year
Ended March 31, 2024
| | | | | | |
| | | | | |
| | | | | | |
Cash Flows from Operating Activities ($): | | | | | |
Purchases of portfolio securities | |
(293,768,374) | | | |
Proceeds from sales of portfolio securities | 288,994,478 | | | |
Net purchase (sales) of short-term securities | 5,277,930 | | | |
Dividends and interest income received | | 22,978,891 | | | |
Interest expense paid | | (4,944,293) | | | |
Expenses paid to BNY Mellon Investment
Adviser, Inc. and affiliates | | (2,029,696) | | | |
Operating expenses paid | | (428,748) | | | |
Net realized gain (loss) from forward foreign
currency | | | | | |
| exchange
contracts transactions | | 11,788 | | | |
Net Cash Provided (or Used) in Operating Activities | | | | 16,091,976 | |
Cash
Flows from Financing Activities ($): | | | | | |
Dividends paid to shareholders | | (13,092,576) | | | |
Net Cash Provided (or Used) in Financing Activities | | (13,092,576) | |
Effect of Foreign Exchange Rate Changes on Cash | |
(32,957) | |
Net Increase
(Decrease) in Cash | | 2,966,443 | |
Cash and cash denominated in foreign currency at beginning
of period | | 1,583,153 | |
Cash
and Cash Denominated in Foreign Currency at End of Period | | 4,549,596 | |
Reconciliation of Net Increase (Decrease) in Net Assets | | | |
| Resulting from Operations to Net Cash Provided | | | |
| by Operating Activities ($): | | | |
Net
Increase in Net Assets Resulting From Operations | | 24,314,072 | |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets | | | |
| Resulting from Operations to Net Cash | | | |
| Provided (or Used) in Operating Activities ($): | | | |
Decrease in investments in securities at cost | | 4,097,269 | |
Increase
in dividends and interest receivable | | (232,812) | |
Increase in receivable for investment securities
sold | | (540,494) | |
Decrease in prepaid expenses | | 301
| |
Decrease in Due to BNY Mellon Investment
Adviser, Inc. and affiliates | | (1,144) | |
Increase in payable for investment securities purchased | | 4,324,709 | |
Increase
in interest payable | | 45,755 | |
Increase in Trustees' fees and expenses payable | | 2,221 | |
Increase
in other accrued expenses | | 3,285 | |
Net change in unrealized (appreciation) depreciation on investments | | (15,921,186) | |
Net Cash Provided (or
Used) in Operating Activities | |
16,091,976 | |
See notes to financial statements. | | | | | |
26
STATEMENT
OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | | Year Ended March 31, |
| | | | 2024 | | 2023 | |
Operations ($): | | | | | | | | |
Net investment income | | | 15,758,548 | | | | 14,212,930 | |
Net
realized gain (loss) on investments | | (7,365,662) | | | | (33,135,528) | |
Net
change in unrealized appreciation
(depreciation) on investments | | 15,921,186
| | | | (1,860,312) | |
Net Increase
(Decrease) in Net Assets Resulting from Operations | 24,314,072 | | | | (20,782,910) | |
Distributions
($): | |
Distributions to shareholders | | |
(13,274,417) | | | |
(15,383,777) | |
Total Increase (Decrease) in Net Assets |
11,039,655 | | | |
(36,166,687) | |
Net
Assets ($): | |
Beginning of Period | | | 185,457,326 | | | | 221,624,013 | |
End
of Period | | | 196,496,981 | | | | 185,457,326 | |
| | | | | | | | | |
See notes to financial statements. | | | | | | | | |
27
FINANCIAL
HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Market price total return is calculated assuming an initial investment made at the market price at the
beginning of the period, reinvestment of all dividends and distributions at market price during the period,
and sale at the market price on the last day of the period. These figures have been derived from the
fund’s financial statements and market price data for the fund’s shares.
| | | | | | |
| | | | | |
| Year
Ended March 31, |
| | 2024 | 2023 | 2022 | 2021 | 2020 |
Per Share Data ($): | | | | | | |
Net
asset value, beginning of period | | 2.55 | 3.05 | 3.30 | 2.59 | 3.32 |
Investment
Operations: | | | | | | |
Net
investment incomea | | .22 | .20 | .24 | .24 | .25 |
Net
realized and unrealized gain (loss) on investments | | .11 | (.49) | (.24) | .73 | (.72) |
Total
from Investment Operations | | .33 | (.29) | (.00)b | .97 | (.47) |
Distributions: | | | | | | |
Dividends from net
investment income | | (.18) | (.21) | (.26) | (.26) | (.26) |
Net asset value, end of period | | 2.70 | 2.55 | 3.05 | 3.30 | 2.59 |
Market value, end of
period | | 2.42 | 2.17 | 2.78 | 3.09 | 2.27 |
Market Price Total Return (%) | | 20.93 | (14.49) | (2.72) | 49.32 | (19.39) |
Ratios/Supplemental
Data (%): | | | | | |
Ratio of total expenses to average
net assets | | 3.96 | 2.90 | 1.71 | 1.85 | 2.77 |
Ratio of interest expense and loan fees to
average net assets | | 2.65 | 1.60 | .42 | .58 | 1.48 |
Ratio of net investment income to
average net assets | | 8.37 | 7.48 | 7.27 | 7.87 | 7.49 |
Portfolio Turnover Rate | | 111.68 | 119.01 | 78.09 | 85.59 | 70.93 |
Net Assets, end of period ($ x 1,000) | | 196,497 | 185,457 | 221,624 | 239,727 | 188,270 |
Average
borrowings outstanding ($ x 1,000) | | 79,000 | 79,847 | 96,000 | 92,800 | 110,784 |
Weighted average number of
fund | | | | | |
shares outstanding ($ x 1,000) | | 72,737 | 72,737 | 72,724 | 72,708 | 72,708 |
Average
amount of debt per share ($) | | 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.
28
NOTES
TO FINANCIAL STATEMENTS
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 Mellon”). 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
29
NOTES
TO FINANCIAL STATEMENTS (continued)
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.
30
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.
31
NOTES
TO FINANCIAL STATEMENTS (continued)
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 March
31, 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 | - | 9,005,971 | | - | 9,005,971 | |
Corporate
Bonds | - | 236,272,763 | | - | 236,272,763 | |
Exchange-Traded
Funds | 397,465 | - | | - | 397,465 | |
Floating
Rate Loan Interests | - | 24,938,823 | | - | 24,938,823 | |
Investment
Companies | 2,355,916 | - | | - | 2,355,916 | |
Other
Financial Instruments: | | |
Forward Foreign Currency Exchange Contracts†† | - | 243,521 | | - | 243,521 | |
† 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.
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.
32
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 March 31, 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 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
33
NOTES
TO FINANCIAL STATEMENTS (continued)
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 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 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
34
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.
Additional Information section within this report provides
more details about the fund’s principal risk factors.
(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.
35
NOTES
TO FINANCIAL STATEMENTS (continued)
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 March 26, 2024, the Board declared a cash dividend of $.0175 per share from
undistributed net investment income, payable on April 24, 2024 to shareholders of record as of the close
of business on April 10, 2024. The ex-dividend date was April 9, 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 March 31, 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 March 31, 2024, the fund did not incur any interest
or penalties.
Each tax year in the four-year period ended March 31, 2024
remains subject to examination by the Internal Revenue Service and state taxing authorities.
At
March 31, 2024, the components of accumulated earnings on a tax basis were as follows: undistributed
ordinary income $2,937,199, accumulated capital losses $86,649,591 and unrealized appreciation $3,904,669.
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
accumulated capital loss carryover is 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 years ended March 31, 2024 and
March 31, 2023 were as follows: ordinary income $13,274,417 and $15,383,777, respectively.
36
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 $153,965,496
at March 31, 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 March 31, 2024, total fees pursuant to the BNPP Agreement
amounted to $4,990,048 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 March 31, 2024 was $79,000,000 with a related weighted average annualized
interest rate of 6.32%.
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.
(b) The fund has an arrangement
with The Bank of New York Mellon (the “Custodian”), a subsidiary of BNY Mellon 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
37
NOTES
TO FINANCIAL STATEMENTS (continued)
ended
March 31, 2024, the fund was charged $13,509 pursuant to the custody
agreement.
During the period ended March 31, 2024, the fund was charged
$11,284 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 $174,984, Custodian fees of $4,500 and Chief Compliance
Officer fees of $1,893.
(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 March 31, 2024, amounted to $293,168,174 and
$288,358,743, 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.
The fund may enter into certain credit
agreements all or a portion of which may be unfunded. The fund is obligated to fund these commitments
at the borrower’s discretion. The commitments are disclosed in the accompanying Statement of Investments.
At March 31, 2024, the fund had sufficient cash and/or securities to cover these commitments.
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
38
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 March 31, 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 March 31, 2024 are set forth in
the Statement of Investments.
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.
39
NOTES
TO FINANCIAL STATEMENTS (continued)
Fair value of derivative instruments as of March 31, 2024 is shown below:
| | | | | | | |
| | Derivative
Assets ($) | | | | Derivative
Liabilities ($) | |
Foreign
exchange risk | 243,521 | 1 | Foreign exchange risk |
- | |
Gross fair value of
derivative contracts |
243,521 | | | |
- | |
| | | | | | |
| Statement
of Assets and Liabilities location: | |
1 | Unrealized appreciation
(depreciation) on forward foreign currency exchange contracts. |
The
effect of derivative instruments in the Statement of Operations during the period ended March 31, 2024
is shown below:
| | | | | |
Amount
of realized gain (loss) on derivatives recognized in income ($) | |
Underlying
risk | Forward
Contracts | 1 | Total | |
Foreign
exchange | 11,788
| |
11,788 | |
Total | 11,788
| |
11,788 | |
| | | | |
Net
change in unrealized appreciation (depreciation)
on derivatives recognized in income ($) | |
Underlying
risk | Forward
Contracts | 2 | Total | |
Foreign
exchange | 382,184
| |
382,184 | |
Total | 382,184
| |
382,184 | |
| | | | | |
| Statement
of Operations location: | |
1 | Net realized gain (loss)
on forward foreign currency exchange contracts. |
2 | Net
change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities”
require disclosure on the offsetting of financial assets and liabilities. These disclosures are required
for certain investments, including derivative financial instruments subject to Master Agreements which
are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose
both gross and net information with respect to such investments. For financial reporting purposes, the
fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements
in the Statement of Assets and Liabilities.
40
At March 31, 2024, derivative assets and liabilities (by type) on a gross basis
are as follows:
| | | | | |
Derivative Financial Instruments: | | Assets ($) | | Liabilities
($) | |
Forward
contracts | |
243,521 | |
- | |
Total
gross amount of derivative | | | | | |
assets and liabilities in the | | | | | |
Statement of Assets and Liabilities | | 243,521 | | - | |
Derivatives not subject to | | | | | |
Master Agreements | | - | | - | |
Total
gross amount of assets | | | | | |
and liabilities subject to | | | | | |
Master Agreements | | 243,521 | | - | |
The following table presents derivative assets net of amounts available for offsetting
under Master Agreements and net of related collateral received or pledged, if any, as of March 31, 2024:
| | | | | | |
Counterparty | Gross
Amount of Assets ($) | 1 | Financial
Instruments and Derivatives Available
for Offset ($) | Collateral
Received ($) | | Net
Amount of Assets ($) |
Barclays
Capital, Inc. | 243,521 | | - |
- | |
243,521 |
| | | | | | |
| | | | | | |
1
Absent a default event or early termination, OTC derivative assets and liabilities are presented at
gross amounts and are not offset in
the Statement of Assets and Liabilities. |
The following
table summarizes the monthy average market value of derivatives outstanding during the
period ended March 31, 2024:
| | |
| | Average Market Value ($) |
Forward
Contracts: | | |
Forward
Contracts Purchased in USD | | 863,336 |
Forward
Contracts Sold in USD | | 20,018,607 |
At March 31, 2024,
the
cost of investments for federal income tax purposes was $269,030,279; accordingly, accumulated net unrealized
appreciation on investments was $3,940,659, consisting of $7,763,409 gross unrealized appreciation and
$3,822,750 gross unrealized depreciation.
41
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of BNY Mellon High Yield Strategies Fund
and Board of Trustees of BNY Mellon High Yield Strategies Fund:
Opinion
on the Financial Statements
We have audited the accompanying statement of assets and liabilities of BNY Mellon
High Yield Strategies Fund (the Fund), including the statement of investments, as of March 31, 2024,
the
related statements of operations and cash flows for the year then ended, the statements of changes in
net assets for each of the years in the two-year period then ended, and the related notes (collectively,
the financial statements), and the financial highlights for each of the years in the five-year period
then ended. In our opinion, the financial statements and financial highlights present fairly, in all
material respects, the financial position of the Fund as of March 31, 2024, the results of its
operations and its cash flows for the year then ended, the changes in its net assets for each of the
years in the two-year period then ended, and the financial highlights for each of the years in the five-year
period then ended, in conformity with U.S. generally accepted accounting principles.
Basis
for Opinion
These financial statements and financial highlights are the responsibility of
the Fund’s management. Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect
to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations
of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with
the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are free of material misstatement,
whether due to error or fraud. Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included examining, on a test basis,
evidence regarding the amounts and disclosures in the financial statements and financial highlights.
Such procedures also included confirmation of securities owned as of March 31, 2024,
by correspondence with custodians and brokers; when replies were not received from brokers, we preformed
other auditing procedures. Our audits also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of the financial statements
and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more BNY Mellon Investment Adviser, Inc.
investment companies since 1994.
New York, New York
May 22, 2024
42
ADDITIONAL
INFORMATION (Unaudited)
Dividend Reinvestment Plan
To participate automatically in the Dividend
Reinvestment Plan (the “Plan”) of the fund, fund shares must be registered in either your name, or,
if your fund shares are held in nominee or “street” name through your broker-dealer, your broker-dealer
must be a participant in the Plan. You may terminate your participation in the Plan, as set forth below.
All shareholders participating (the “Participants”) in the Plan will be bound by the following provisions:
Computershare Inc. (the “Agent”) will act as Agent for each Participant, and
will open an account for each Participant under the Plan in the same name as their present shares are
registered, and put into effect for them the dividends reinvestment option of the plan as of the first
record date for a dividend or capital gains distribution.
Whenever the fund declares
income dividend or capital gains distribution payable in shares of the fund or cash at the option of
the shareholders, each Participant that does not opt for cash distributions shall take such distribution
entirely in shares. If on the payment date for a dividend or capital gains distribution, the net asset
value is equal to or less than the market price per share plus estimated brokerage commissions, the Agent
shall automatically receive such shares, including fractions, for each Participant’s account except
in the circumstances described in the following paragraph. Except in such circumstances, the number of
additional shares to be credited to each Participant’s account shall be determined by dividing the
dollar amount of the income dividend or capital gains distribution payable on their shares by the greater
of the net asset value per share determined as of the date of purchase or 95% of the then current market
price per share of the fund’s shares on the payment date.
Should the net asset
value per share of the fund shares exceed the market price per share plus estimated brokerage commissions
on the payment date for a share or cash income dividend or capital gains distribution, the Agent or a
broker-dealer selected by the Agent shall endeavor, for a purchase period of 30 days to apply the amount
of such dividend or capital gains distribution on each Participant’s shares (less their pro rata share
of brokerage commissions incurred with respect to the Agent’s open-market purchases in connection with
the reinvestment of such dividend or distribution) to purchase shares of the fund on the open market
for each Participant’s account. In no event may such purchase be made more than 30 days after the payment
date for such dividend or distribution except where temporary curtailment or suspension of purchase is
necessary to comply with applicable provisions of federal securities laws. If, at the close
43
ADDITIONAL
INFORMATION (Unaudited) (continued)
of business on any day during the purchase period the net asset value per share
equals or is less than the market price per share plus estimated brokerage commissions, the Agent will
not make any further open-market purchases in connection with the reinvestment of such dividend or distribution.
If the Agent is unable to invest the full dividend or distribution amount through open-market purchases
during the purchase period, the Agent shall request that, with respect to the uninvested portion of such
dividend or distribution amount, the fund issue new shares at the close of business on the earlier of
the last day of the purchase period or the first day during the purchase period on which the net asset
value per share equals or is less than the market price per share, plus estimated brokerage commissions.
These newly issued shares will be valued at the then-current market price per share of the fund’s shares
at the time such shares are to be issued.
For purposes of making the dividend reinvestment
purchase comparison under the Plan, (a) the market price of the fund’s shares on a particular date
shall be the last sales price on the NYSE on that date, or, if there is no sale on such NYSE on that
date, then the mean between the closing bid and asked quotations for such shares on such NYSE on such
date and (b) the net asset value per share of the fund’s shares on a particular date shall be the net
asset value per share most recently calculated by or on behalf of the fund.
Open-market
purchases provided for above may be made on any securities exchange where the fund’s shares are traded,
in the over-the counter market or in negotiated transactions and may be on such terms as to price, delivery
and otherwise as the Agent shall determine. Each Participant’s uninvested funds held by the Agent will
not bear interest, and it is understood that, in any event, the Agent shall have no liability in connection
with any inability to purchase shares within 30 days after the initial date of such purchase as herein
provided, or with the timing of any purchase effected. The Agent shall have no responsibility as to the
value of the fund’s shares acquired for each Participant’s account. For the purpose of cash investments,
the Agent may commingle each Participant’s fund with those of other shareholders of the fund for whom
the Agent similarly acts as Agent, and the average price (including brokerage commissions) of all shares
purchased by the Agent as Agent shall be the price per share allocable to each Participant in connection
therewith.
The Agent may hold each Participant’s shares acquired pursuant to the Plan together
with the shares of other shareholders of the fund acquired pursuant to the Plan in noncertificated form
in the Agent’s name or that of the Agent’s nominee. The Agent will forward to each Participant any
proxy solicitation material; and will vote any shares so held for each Participant first in accordance
with the instructions set forth on proxies returned by
44
the Participant to the fund, and then with respect to any proxies not returned
by the Participant to the fund in the same portion as the Agent votes proxies returned by the Participants
to the fund. Upon a Participant’s written request, the Agent will deliver to the Participant, without
charge, a certificate or certificates for the full shares.
The Agent will confirm
to each Participant each acquisition made for their account as soon as practicable but not later than
60 days after the date thereof. Although each Participant may from time to time have an undivided fractional
interest (computed to four decimal places) in a share of the fund, no certificates for a fractional share
will be issued. However, dividends and distributions on fractional shares will be credited to each Participant’s
account. In the event of termination of a Participant’s account under the Plan, the Agent will adjust
for any such undivided fractional interest in cash at the market value of the fund’s shares at the
time of termination.
Any share dividends or split shares distributed by the fund
on shares held by the Agent for Participants will be credited to their accounts. In the event that the
fund makes available to its shareholders rights to purchase additional shares of other securities, the
shares held for each Participant under the Plan will be added to other shares held by the Participant
in calculating the number of rights to be issued to each Participant.
The
Agent’s service fee for handling capital gains distributions or income dividends will be paid by the
fund. Each Participant will be charged their pro rata share of brokerage commissions on all open market
purchases.
Each Participant may terminate their account under the Plan by notifying the Agent
in writing. Such termination will be effective immediately if the Participant’s notice is received
by the Agent not less than ten days prior to any dividend or distribution record date, otherwise such
termination will be effective shortly after the investment of such dividend distributions with respect
to any subsequent dividend or distribution. The Plan may be terminated by the Agent or the fund upon
notice in writing mailed to each Participant at least 90 days prior to any record date for the payment
of any dividend or distribution by the fund. Upon any termination, the Agent will cause a certificate
or certificates to be issued for the full shares held for each Participant under the Plan and cash adjustment
for any fraction to be delivered to them without charge. If a Participant elects by notice to the Agent
in writing in advance of such termination to have the Agent sell part or all of their shares and remit
the proceeds to them, the Agent is authorized to deduct a $5.00 fee plus brokerage commission for this
transaction from the proceeds.
These terms and conditions may be amended or supplemented
by the Agent or the fund at any time or times but, except when necessary or
45
ADDITIONAL
INFORMATION (Unaudited) (continued)
appropriate to comply with applicable law or the rules or policies of the SEC
or any other regulatory authority, only by mailing to each Participant appropriate written notice at
least 30 days prior to the effective date thereof. The amendment or supplement shall be deemed to be
accepted by each Participant unless, prior to the effective date thereof, the Agent receives written
notice of the termination of their account under the Plan. Any such amendment may include an appointment
by the Agent in its place and stead of a successor Agent under these terms and conditions, with full
power and authority to perform all or any of the acts to be performed by the Agent under these terms
and conditions. Upon any such appointment of any Agent for the purpose of receiving dividends and distributions,
the fund will be authorized to pay to such successor Agent, for each Participant’s account, all dividends
and distributions payable on shares of the fund held in their name or under the Plan for retention or
application by such successor Agent as provided in these terms and conditions.
The
Agent shall at all times act in good faith and agree to use its best efforts within reasonable limits
to insure the accuracy of all services performed under this Agreement and to comply with applicable law,
but assumes no responsibility and shall not be liable for loss or damage due to errors unless such error
is caused by the Agent’s negligence, bad faith, or willful misconduct or that of its employees. These
terms and conditions shall be governed by the laws of the State of New York.
Investment Objective and
Principal Investment Strategies
Investment Objective. The fund’s primary
investment objective is to seek high current income. The fund will also seek capital growth as a secondary
objective, to the extent consistent with its objective of seeking high current income. The fund’s
investment objectives are fundamental and may not be changed without the affirmative vote of the holders
of a majority (as defined in the Act) of the fund’s outstanding voting securities. There is no assurance
the fund will achieve its investment objectives.
Principal Investment Strategies.
Under normal market conditions, the fund will invest at least 65% of its total assets in income securities
of U.S. issuers rated below investment grade quality (lower than Baa by Moody’s Investors Service,
Inc. (“Moody’s”) or lower than BBB by S&P Global Ratings (“S&P”) or comparably rated
by another nationally recognized securities rating organization (each, a “Rating Agency”)) or in
unrated income securities that the Sub-Adviser determines to be of comparable quality. Lower Grade income
securities are commonly known as “junk bonds.” The fund may also invest up to 10% of its total assets
in securities that are the subject of bankruptcy proceedings or otherwise in default as to the repayment
of principal and/or payment of interest at the time of acquisition by the fund or are rated in the lower
rating categories (Ca or
46
lower by Moody’s and CC or lower by S&P) or which, if unrated, are in the
judgment of the Sub-Adviser of equivalent quality (“Distressed Securities”). The fund is also permitted
to invest up to 10% of the fund’s total assets in floating rate loans.
The
fund will invest primarily in bonds, debentures, notes and other debt instruments. The fund’s portfolio
securities may have fixed or variable rates of interest and may include asset-backed securities, such
as CLOs, and government securities. Although not a principal investment strategy, the fund’s portfolio
securities also may include zero coupon securities, payment in kind securities or other deferred payment
securities, convertible debt obligations and convertible preferred stock, participation interests in
commercial loans, mortgage-related securities, municipal obligations, stripped securities, commercial
paper and other short-term debt obligations. The issuers of the fund’s portfolio securities may include
domestic and foreign corporations, partnerships, trusts or similar entities, and governmental entities
or their political subdivisions, agencies or instrumentalities. The fund may invest in companies in,
or governments of, developing countries. The fund may invest up to 25% of its total assets in securities
of issuers domiciled outside the United States or that are denominated in various foreign currencies
and multinational currency units.
The fund may engage in various portfolio
strategies to seek to enhance income and hedge its portfolio against investment and interest rate risks,
including the use of leverage and, to a limited effect, the use of derivative financial instruments.
Although the fund is not limited in the types of derivatives it can use, the fund is required to limit
its derivatives exposure so that the total notional value of derivatives does not exceed 10% of the fund's
net assets. The fund currently expects that its use of derivatives will consist principally of foreign
currency forward contracts.
The fund’s portfolio will be invested without regard to
maturity. In connection with its investments in corporate debt securities, or restructuring of investments
owned by the fund, the fund may receive warrants or other non-income producing equity securities. The
fund may retain such securities, including equity shares received upon conversion of convertible securities,
until the Sub-Adviser determines it is appropriate in light of current market conditions to effect a
disposition of such securities. The fund also may 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
47
ADDITIONAL
INFORMATION (Unaudited) (continued)
expects to sell the common stock promptly when suitable junk bonds are subsequently
acquired.
The fund is permitted to invest in asset-backed securities, including up to 5%
of its total assets in CLOs. CLOs and other structured credit investments are generally backed by an
asset or a pool of assets (typically senior secured loans, certain subordinated loans and other credit-related
assets in the case of a CLOs) which serve as collateral. The cash flows from CLOs and structured credit
investments are split into two or more portions, called tranches, varying in risk and yield. The fund
and other investors in CLOs and structured finance securities ultimately bear the credit risk of the
underlying collateral. If there are defaults or the relevant collateral otherwise underperforms, scheduled
payments to senior tranches of such securities take precedence over those of mezzanine tranches, and
scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches.
The fund may invest in any tranche, including the equity tranche. The riskiest portion is the “equity”
tranche, which is subordinate to the other tranches in the event of defaults. Senior tranches typically
have higher ratings and lower yields than its underlying securities, 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.
At times, the fund
expects to utilize financial leverage through borrowings, including the issuance of debt securities,
or the issuance of preferred shares or through other transactions, such as reverse repurchase agreements,
which have the effect of financial leverage. The fund currently utilizes financial leverage through its
$125,000,000 Committed fiacility pursuant to the BNPP Agreement. The fund generally will not utilize
leverage if it anticipates that the fund’s leveraged capital structure would result in a lower return
to shareholders than that obtainable over time with an unleveraged capital structure. Use of financial
leverage creates an opportunity for increased income and capital growth for the shareholders but, at
the same time, creates special risks, and there can be no assurance that a leveraging strategy will be
successful during any period in which it is employed.
In selecting investments
for the fund’s portfolio, the Sub-Adviser will seek to identify issuers and industries that the Sub-Adviser
believes are likely to experience stable or improving financial conditions. The Sub-Adviser believes
that this strategy should enhance the fund’s ability to earn high current income while also providing
opportunities for capital growth. The Sub-Adviser’s analysis may include consideration of general industry
trends, the issuer’s managerial strength, changing financial condition, borrowing requirements or debt
maturity schedules, and its responsiveness to changes in business conditions and interest rates. The
Sub-Adviser may
48
also consider relative values based on anticipated cash flow, interest or dividend
coverage, asset coverage and earnings prospects. Of course there can be no assurances that this strategy
will be successful. The fund will seek its secondary objective of capital growth by investing in securities
that the Sub-Adviser expects may appreciate in value as a result of favorable developments affecting
the business or prospects of the issuer, which may improve the issuer’s financial condition and credit
rating, or as a result of declines in long-term interest rates.
In certain market conditions,
the Sub-Adviser may determine that securities rated investment grade (i.e., at least Baa by Moody’s
or BBB by S&P or comparably rated by another Rating Agency) offer significant opportunities for high
income and capital growth. In such conditions, the fund may invest less than 65% of its total assets
in lower grade income securities of U.S. issuers. In addition, the fund may implement various temporary
“defensive” strategies at times when the Sub-Adviser determines that conditions in the markets make
pursuing the fund’s basic investment strategy inconsistent with the best interests of its shareholders.
These strategies may include investing all or a portion of the fund’s assets in higher-quality debt
securities.
Principal
Risk Factors
An investment in the fund involves special risk considerations,
which are described below. The fund is a diversified, closed-end management investment company designed
primarily as a long-term investment and not as a vehicle for short-term trading purposes. An investment
in the fund may be speculative and it involves a high degree of risk. The fund should not constitute
a complete investment program. Due to the uncertainty in all investments, there can be no assurance that
the fund will achieve its investment objectives. Different risks may be more significant at different
times depending on market conditions. Your shares at any point in time may be worth less than your original
investment.
High
Yield Securities Risk. Below investment grade instruments are commonly referred to as “junk” or “high
yield” instruments and are regarded as predominantly speculative 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
49
ADDITIONAL
INFORMATION (Unaudited) (continued)
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.
Default, or the market’s perception that an issuer is likely
to default, could reduce the value and liquidity of below investment grade instruments held by the fund,
thereby reducing the value of an investment in the fund’s shares. In addition, default, or the market’s
perception that an issuer is likely to default, may cause the fund to incur expenses, including legal
expenses, in seeking recovery of principal or interest on its portfolio holdings, including litigation
to enforce the fund’s rights. In any reorganization or liquidation proceeding relating to a portfolio
company, the fund may lose its entire investment or may be required to accept cash or securities with
a value less than its original investment. Among the risks inherent in investments in a troubled entity
is the fact that it frequently may be difficult to obtain information as to the true financial condition
of such issuer. The Sub-Adviser’s judgment about the credit quality of an issuer and the relative value
of its securities may prove to be wrong. In addition, not only may the fund lose its entire investment
on one or more instruments, fund shareholders may also lose their entire investments in the fund. Investments
in below investment grade instruments may present special tax issues for the fund to the extent that
the issuers of these securities default on their obligations pertaining thereto, and the U.S. federal
income tax consequences to the fund as a holder of such securities may not be clear.
Because
of the greater number of investment considerations involved in investing in below investment grade instruments,
the ability of the fund to meet its investment objectives depends more on the Sub-Adviser’s judgment
and analytical abilities than would be the case if the portfolio invested primarily in securities in
the higher rating categories. While the Sub-Adviser will attempt to reduce the risks of investing in
below investment grade instruments through active portfolio management, diversification, credit analysis
and attention to current developments and trends in the economy and the financial markets, there can
be no assurance
50
that a broadly diversified portfolio of such instruments would substantially lessen
the risks of defaults brought about by an economic downturn or recession.
Distressed Securities
Risk.
The fund may invest in credit instruments of distressed or defaulted issuers. Such instruments may be
rated in the lower rating categories (Caa1 or lower by Moody’s, or CCC+ or lower by S&P or Comparably
rated by another Rating Agency) or, if unrated, are considered by the Sub-Adviser to be of comparable
quality. For these securities, the risks associated with below investment grade instruments are more
pronounced. Instruments rated in the lower rating categories are subject to higher credit risk with extremely
poor prospects of ever attaining any real investment standing, to have a current identifiable vulnerability
to default, to be unlikely to have the capacity to pay interest and repay principal when due in the event
of adverse business, financial or economic conditions and/or to be in default or not current in the payment
of interest or principal. Ratings may not accurately reflect the actual credit risk associated with a
corporate security.
Investing in distressed or defaulted securities is speculative and involves substantial
risks. The fund may make such investments when, among other circumstances, the Sub-Adviser believes it
is reasonably likely that the issuer of the distressed or defaulted securities will make an exchange
offer or will be the subject of a plan of reorganization pursuant to which the fund will receive new
securities in return for the distressed or defaulted securities. There can be no assurance, however,
that such an exchange offer will be made or that such a plan of reorganization will be adopted. In addition,
a significant period of time may pass between the time at which the fund makes its investment in distressed
or defaulted securities and the time that any such exchange offer or plan of reorganization is completed,
if at all. During this period, it is unlikely that the fund would receive any interest payments on the
distressed or defaulted securities, the fund would be subject to significant uncertainty whether the
exchange offer or plan of reorganization will be completed and the fund may be required to bear certain
extraordinary expenses to protect and recover its investment. The fund also will be subject to significant
uncertainty as to when, in what manner and for what value the obligations evidenced by the distressed
or defaulted securities will eventually be satisfied (e.g., through a liquidation
of the issuer’s assets, an exchange offer or plan of reorganization involving the distressed or defaulted
securities or a payment of some amount in satisfaction of the obligation). Even if an exchange offer
is made or plan of reorganization is adopted with respect to distressed or defaulted securities held
by the fund, there can be no assurance that the securities or other assets received by the fund in connection
with the exchange offer or plan of reorganization will not have a lower value or income potential than
may have been anticipated when the investment was made, or no value.
51
ADDITIONAL
INFORMATION (Unaudited) (continued)
Fixed-Income
Market Risk. The market value of a fixed-income security may decline due to general market
conditions that are not specifically related to a particular company, such as real or perceived adverse
economic conditions, changes in the outlook for corporate earnings, changes in interest or currency rates
or adverse investor sentiment generally. The fixed-income securities market can be susceptible to increases
in volatility and decreases in liquidity. Liquidity can decline unpredictably in response to overall
economic conditions or credit tightening. Increases in volatility and decreases in liquidity may be caused
by a rise in interest rates (or the expectation of a rise in interest rates). Federal Reserve policy
in response to market conditions, including with respect to interest rates, may adversely affect the
value, volatility and liquidity of dividend and interest paying securities. Policy and legislative changes
world-wide are affecting many aspects of financial regulation. The impact of these changes on the markets
and the practical implications for market participants may not be fully known for some time.
Interest
Rate Risk. Prices of bonds and other fixed-income securities tend to move inversely with
changes in interest rates. Typically, a rise in rates will adversely affect fixed-income securities and,
accordingly, will cause the value of the fund’s investments in these securities to decline. A wide
variety of market factors can cause interest rates to rise, including central bank monetary policy, rising
inflation and changes in general economic conditions. It is difficult to predict the pace at which central
banks or monetary authorities may increase (or decrease) interest rates or the timing, frequency, or
magnitude of such changes. During periods of very low interest rates, which occur from time to time due
to market forces or actions of governments and/or their central banks, including the Board of Governors
of the Federal Reserve System in the U.S., the fund may be subject to a greater risk of principal decline
from rising interest rates. When interest rates fall, the values of already-issued fixed rate instruments
generally rise. However, when interest rates fall, the fund’s investments in new securities may be
at lower yields and may reduce the fund income. Changing interest rates may have unpredictable effects
on markets, may result in heightened market volatility and may detract from fund performance. The magnitude
of these fluctuations in the market price of fixed-income securities is generally greater for securities
with longer effective maturities and durations because such instruments do not mature, reset interest
rates or become callable for longer periods of time. The change in the value of a fixed-income security
or portfolio can be approximated by multiplying its duration by a change in interest rates. For example,
the market price of a fixed-income security with a duration of three years would be expected to decline
3% if interest rates rose 1%. Conversely, the market price of the same security would be expected to
increase 3% if interest rates fell 1%. Unlike investment grade bonds,
52
however, the prices of high yield bonds may fluctuate unpredictably and not necessarily
inversely with changes in interest rates. Changing interest rates, may have unpredictable effects on
markets, may result in heightened market volatility and may detract from fund performance.
Credit Risk.
Credit risk is the risk that one or more fixed-income instruments in the fund’s portfolio will decline
in price, or the issuer or obligor thereof will fail to pay interest or repay principal when due, because
the issuer or obligor experiences a decline or there is a perception of a decline in its financial status.
Below investment grade instruments involve greater credit risk than investment grade instruments.
Liquidity
Risk.
When there is little or no active trading market for specific types of securities, it can become more
difficult to sell the securities in a timely manner at or near their perceived value. In such a market,
the value of such securities and the fund’s net asset value per share may fall dramatically, even during
periods of declining interest rates. Other market developments can adversely affect fixed-income securities
markets. Regulations and business practices, for example, have led some financial intermediaries to curtail
their capacity to engage in trading (i.e., “market making”) activities for certain
fixed-income securities, which could have the potential to decrease liquidity and increase volatility
in the fixed-income securities markets. Investments that are illiquid or that trade in lower volumes
may be more difficult to value. Increases in volatility and decreases in liquidity may be caused by a
rise in interest rates (or the expectation of a rise in interest rates). The market for below investment
grade securities may be less liquid and therefore these securities may be harder to value or sell at
an acceptable price, especially during times of market volatility or decline. Investments in foreign
securities tend to have greater exposure to liquidity risk than domestic securities. No active trading
market may exist for some of the floating rate loans in which the fund invests and certain loans may
be subject to restrictions on resale. Because some floating rate loans that the fund invests in may have
a more limited secondary market, liquidity risk is more pronounced for the fund than for mutual funds
that invest primarily in other types of fixed-income instruments or equity securities.
CLO Risk.
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. The fund may have the right to receive
payments only from the issuers of the structured product, and generally does not have direct rights against
the issuer or the entity that sold the assets to be securitized. While certain structured products enable
the investor to acquire interests in a pool of securities without the brokerage and other expenses associated
with directly holding the same securities, investors in structured products generally pay their share
of the
53
ADDITIONAL
INFORMATION (Unaudited) (continued)
investment’s administrative and other expenses. 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. If
the issuer of a structured product uses shorter term financing to purchase longer term securities, the
issuer may be forced to sell its securities at below market prices if it experiences difficulty in obtaining
such financing, which may adversely affect the value of the structured products owned by the fund.
Collateralized debt obligations, 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 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 carry additional risks, including, but not limited to: (i) the 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 Loan Risk. 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
54
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.
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. In addition, turbulence in financial markets and reduced liquidity
in equity, credit and/or fixed-income markets may negatively affect many issuers, which could adversely
affect the fund. Global economies and financial markets are becoming increasingly interconnected, and
conditions and events in one country, region or financial market may adversely impact issuers in a different
country, region or financial market. These risks may be magnified if certain events or developments adversely
interrupt the global supply chain; in these and other circumstances, such risks might affect companies
world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken
world-wide in response by governments, including closing borders, restricting international and domestic
travel, and the imposition of prolonged quarantines of large populations, and by businesses, including
changes to operations and reducing staff. The effects of COVID-19 contributed to increased volatility
in global markets and affected certain countries, companies, industries and market sectors more dramatically
than others. The COVID-19 pandemic has had, and any other outbreak of an infectious disease or other
serious public health concern could have, a significant negative impact on economic and market conditions
and could trigger a prolonged period of global economic slowdown. To the extent the fund may overweight
its investments in certain countries, companies, industries or market sectors, such positions will increase
the fund’s exposure to risk of loss from adverse developments affecting those countries, companies,
industries or sectors.
Management Risk. The fund is subject to management risk because the Sub-Adviser
actively manages the fund. The Sub-Adviser and the fund’s portfolio managers will apply investment
techniques and risk analyses in
55
ADDITIONAL
INFORMATION (Unaudited) (continued)
making investment decisions for the fund, but there can be no guarantee that these
will produce the desired results.
Leverage Risk. The use of leverage by the fund creates
an opportunity for increased net income and capital growth for the fund’s shares, but, at the same
time, creates special risks. There can be no assurance that a leveraging strategy will be successful
during any period in which it is employed. Leverage creates risks for holders of the fund’s shares
including the likelihood of greater volatility of net asset value and market price of the fund’s shares
and the risk that fluctuations in interest rates on borrowings may affect the return to the holders of
the fund’s shares. To the extent the income or capital growth derived from securities purchased with
funds received from leverage exceeds the cost of leverage, the fund’s return will be greater than if
leverage had not been used. Conversely, if the income or capital growth from the securities purchased
with such funds is not sufficient to cover the cost of leverage, the return to the fund will be less
than if leverage had not been used, and therefore the amount available for distribution to shareholders
as dividends and other distributions will be reduced. In the latter case, the Sub-Adviser in its best
judgment may nevertheless determine to maintain the fund’s leveraged position if it deems such action
to be appropriate under the circumstances. During periods in which the fund is utilizing financial leverage,
the investment management and administration fee, which is payable to the Adviser as a percentage of
the fund’s Managed Assets, will be higher than if the fund did not utilize a leveraged capital structure.
Under the BNPP Agreement, the fund is subject to certain covenants, including those relating to asset
coverage and portfolio composition requirements. It is not anticipated that these covenants will impede
the Sub-Adviser in managing the fund’s portfolio in accordance with the fund’s investment objectives
and policies.
Use of Derivatives Risk. The fund is subject to additional risks
with respect to the use of derivatives. Derivatives can be volatile and involve various types and degrees
of risk, depending upon the characteristics of the particular derivative and the portfolio as a whole.
Derivatives permit the fund to increase or decrease the level of risk, or change the character of the
risk, to which its portfolio is exposed in much the same way as the fund can increase or decrease the
level of risk, or change the character of the risk, of its portfolio by making investments in specific
securities. However, derivatives may entail investment exposures that are greater than their cost would
suggest, meaning that a small investment in derivatives could have a large potential impact on the fund’s
performance. If the fund invests in derivatives at inopportune times or judges market conditions incorrectly,
such investments may lower the fund’s return or result in a loss. The fund also could experience losses
if its derivatives were poorly correlated with the underlying instruments or the fund’s other investments,
or if the fund were unable to liquidate its position because of an illiquid secondary
56
market. The market for many derivatives is, or suddenly can become, illiquid.
Changes in liquidity may result in significant, rapid and unpredictable changes in the prices for derivatives.
If a derivative transaction is particularly large or if the relevant market is illiquid, it may not be
possible to initiate a transaction or liquidate a position at an advantageous time or price. Additionally,
some derivatives the fund may use may involve economic leverage, which may increase the volatility of
these instruments as they may increase or decrease in value more quickly than the underlying security,
index, currency, futures contract, or other economic variable.
Derivatives may be
purchased on established exchanges or through privately negotiated transactions referred to as OTC derivatives.
Exchange-traded derivatives generally are guaranteed by the clearing agency that is the issuer or counterparty
to such derivatives. As a result, unless the clearing agency defaults, there is relatively little counterparty
credit risk associated with derivatives purchased on an exchange. In contrast, no clearing agency guarantees
OTC derivatives. Therefore, many of the regulatory protections afforded participants on organized exchanges
for futures contracts and exchange-traded options, such as the performance guarantee of an exchange clearing
house, are not available in connection with OTC derivative transactions. As a result, each party to an
OTC derivative bears the risk that the counterparty will default. Accordingly, the Sub-Adviser will consider
the creditworthiness of counterparties to OTC derivatives in the same manner as it would review the credit
quality of a security to be purchased by the fund. OTC derivatives are less liquid than exchange-traded
derivatives since the other party to the transaction may be the only investor with sufficient understanding
of the derivative to be interested in bidding for it.
Forward Foreign Currency
Exchange Contracts. The fund may enter into forward foreign currency exchange contracts in order
to protect against possible losses on foreign investments resulting from adverse changes in the relationship
between the U.S. dollar and foreign currencies. A forward foreign currency exchange contract involves
an obligation to purchase or sell a specific currency at a future date, which may be any fixed number
of days (usually less than one year) from the date of the contract agreed upon by the parties, at a price
and for an amount set at the time of the contract. These contracts are traded in the interbank market
conducted directly between currency traders (usually large commercial banks) and their customers. A forward
contract generally has a deposit requirement, and no commissions are charged at any stage for trades.
Generally, secondary markets do not exist for forward contracts, with the result that closing transactions
can be made for forward contracts only by negotiating directly with the counterparty to the contract.
As with other over-the-counter derivatives transactions, forward contracts are subject to the credit
57
ADDITIONAL
INFORMATION (Unaudited) (continued)
risk of the counterparty. Although foreign exchange dealers do not charge a fee
for conversion, they do realize a profit based on the difference (the spread) between the price at which
they are buying and selling various currencies. However, forward foreign currency exchange contracts
may limit potential gains which could result from a positive change in such currency relationships.
The federal income tax treatment of payments in respect of certain derivatives
contracts is unclear. Fund shareholders may receive distributions that are attributable to derivatives
contracts that are treated as ordinary income for federal income tax purposes.
Rule
18f-4 under the Act, effective in August 2022, regulates the use of derivatives by the fund. Pursuant
to the rule, the fund is deemed to be a “limited” user of derivatives and is required to limit its
derivatives exposure so that the total notional value of derivatives does not exceed 10% of fund’s
net assets. The fund also is subject to certain reporting requirements.
Foreign
Investment Risk. To the extent the fund invests in foreign securities, the fund’s performance
will be influenced by political, social and economic factors affecting investments in foreign issuers.
Special risks associated with investments in foreign issuers include exposure to currency fluctuations,
less liquidity, less developed or less efficient trading markets, lack of comprehensive company information,
political and economic instability and differing auditing and legal standards. Investments denominated
in foreign currencies are subject to the risk that such currencies will decline in value relative to
the U.S. dollar and affect the value of these investments held by the fund.
Foreign
Currency Risk. Investments in foreign currencies are subject to the risk that those currencies
will decline in value relative to the U.S. dollar or, in the case of hedged positions, that the U.S.
dollar will decline relative to the currency being hedged. Foreign currencies, particularly the currencies
of emerging market countries, are also subject to risks caused by inflation, interest rates, budget deficits
and low savings rates, political factors and government intervention and controls.
Equity
Securities Risk. To the extent the fund invests directly in common stock of junk
bond issuers or acquires equity securities or warrants incidental to its investments in credit
instruments, it will be subject to the risks associated with those types of investments.
Common Stock Risk. Stocks generally fluctuate more in value than bonds and
may decline significantly over short time periods. There is the chance that stock prices overall will
decline because stock markets tend to move in cycles, with periods of rising prices and falling prices.
The market value of a stock may decline due to general market conditions that are not
58
related to the particular company, such as real or perceived adverse economic
conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates,
or adverse investor sentiment generally. A security’s market value also may decline because of factors
that affect a particular industry, such as labor shortages or increased production costs and competitive
conditions within an industry, or factors that affect a particular company, such as management performance,
financial leverage, and reduced demand for the company’s products or services.
Preferred
Stock Risk. There are special risks associated with investing in preferred stocks, including:
· Deferral
and Omission. Preferred stocks may include provisions that permit the issuer, at its discretion,
to defer or omit distributions for a stated period without any adverse consequences to the issuer. If
the fund owns a preferred stock that is deferring its distributions, the fund may be required to report
income for tax purposes although it has not yet received such income.
· Subordination. Preferred stocks generally are subordinated
to loans and other debt instruments in a company’s capital structure in terms of having priority to
corporate income and liquidation payments, and therefore will be subject to greater credit risk than
loans and other debt instruments.
· Limited
Voting Rights. Generally, preferred stockholders (such as the fund) have no voting rights with
respect to the issuing company unless, among other things, preferred dividends have been in arrears for
a specified number of periods, at which time the preferred stockholders may elect a number of directors
to the issuer’s board. Generally, once all the arrearages have been paid, the preferred stockholders
no longer have voting rights. In the case of trust preferred securities, holders generally have no voting
rights, except if (i) the issuer fails to pay dividends for a specified period of time or (ii) a declaration
of default occurs and is continuing.
· Special
Redemption Rights. In certain varying circumstances, an issuer of preferred stock may redeem the
securities prior to a specified date. For instance, for certain types of preferred stocks, a redemption
may be triggered by certain changes in U.S. federal income tax or securities laws. As with call provisions,
a special redemption by the issuer may negatively impact the return of the security held by the fund.
59
ADDITIONAL
INFORMATION (Unaudited) (continued)
Convertible Securities Risk. Convertible securities may be converted
at either a stated price or stated rate into underlying shares of common stock or another security. Convertible
securities generally are subordinated to other similar but non-convertible securities of the same issuer.
Although to a lesser extent than with fixed rate debt securities, the market value of convertible securities
tends to decline as interest rates increase. In addition, because of the conversion feature, the market
value of convertible securities tends to vary with fluctuations in the market value of the underlying
common stock or other security. Although convertible securities provide for a stable stream of income,
they are subject to the risk that their issuers may default on their obligations. Convertible securities
also offer the potential for capital appreciation through the conversion feature, although there can
be no assurance of capital appreciation because securities prices fluctuate. Convertible securities generally
offer lower interest or dividend yields than non-convertible securities of similar quality because of
the potential for capital appreciation. Synthetic convertible securities are subject to additional risks,
including risks associated with derivatives.
Warrants and Rights
Risk.
If the price of the underlying stock does not rise above the exercise price before the warrant expires,
the warrant generally expires without any value and the fund loses any amount it paid for the warrant.
Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants
may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily
move with the price of the underlying stock. An investment in warrants would not entitle the fund to
receive dividends or exercise voting rights.
U.S. Government Debt
Securities Risk. U.S. government debt securities generally do not involve the credit risks associated
with investments in other types of debt securities, although, as a result, the yields available from
U.S. government debt securities are generally lower than the yields available from other securities.
However, in 2011 S&P downgraded its rating of U.S. government debt, suggesting an increased credit
risk. Further downgrades could have an adverse impact on the price and volatility of U.S. government
debt instruments. Like other debt securities, the values of U.S. government securities change as interest
rates fluctuate. Fluctuations in the value of portfolio securities will not affect interest income on
existing portfolio securities but will be reflected in the fund’s net asset value. Since the magnitude
of these fluctuations will generally be greater at times when the fund’s average maturity is longer,
under certain market conditions the fund may, for temporary defensive purposes, accept lower current
income from short-term investments rather than investing in higher yielding long-term securities.
60
Risk of Market Price Discount from Net Asset Value. Shares of closed-end
funds, such as the fund, frequently trade at a discount from their net asset value. This characteristic
is a risk separate and distinct from the risk that net asset value could decrease as a result of investment
activities. The fund cannot predict whether its shares will trade at, above or below net asset value.
Cybersecurity Risk. The fund and its service providers are susceptible to operational
and information security risks due to cybersecurity incidents. In general, cybersecurity incidents can
result from deliberate attacks or unintentional events. Cybersecurity attacks include, but are not limited
to, gaining unauthorized access to digital systems (e.g., through “hacking”
or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting
data or causing operational disruption. Cyber attacks also may be carried out in a manner that does not
require gaining unauthorized access, such as causing denial-of-service attacks on websites (i.e., efforts
to make services unavailable to intended users). Cybersecurity incidents affecting the Adviser or Sub-Adviser
or other service providers, as well as financial intermediaries, have the ability to cause disruptions
and impact business operations, potentially resulting in financial losses, including by interference
with the fund’s ability to calculate its net asset value; impediments to trading for the fund’s portfolio;
the inability of shareholders to transact business with the fund; violations of applicable privacy, data
security or other laws; regulatory fines and penalties; reputational damage; reimbursement or other compensation
or remediation costs; legal fees; or additional compliance costs. Similar adverse consequences could
result from cybersecurity incidents affecting issuers of securities in which the fund invests, counterparties
with which the fund engages in transactions, governmental and other regulatory authorities, exchange
and other financial market operators, banks, brokers, dealers, insurance companies and other financial
institutions and other parties. While information risk management systems and business continuity plans
have been developed which are designed to reduce the risks associated with cybersecurity, there are inherent
limitations in any cybersecurity risk management systems or business continuity plans, including the
possibility that certain risks have not been identified.
Given the risks described
above, an investment in the fund may not be appropriate for all investors. You should carefully consider
your ability to assume these risks before making an investment in the fund.
Recent Changes & Supplemental
Information
During the fiscal year ended March 31, 2024, there were (i)
no material changes to the fund’s investment objectives and policies that have not been approved by
shareholders, (ii) no changes in the fund’s trust
61
ADDITIONAL
INFORMATION (Unaudited) (continued)
instrument or by-laws that would delay or prevent a change of control of the fund
that have not been approved by shareholders, (iii) no material changes to the principal risk factors
associated with investment in the fund, and (iv) no changes in the persons who are primarily responsible
for the day-to-day management of the fund’s portfolio.
62
IMPORTANT
TAX INFORMATION (Unaudited)
For federal tax purposes the fund reports
the maximum amount allowable but not less than 67.45% as interest-related dividends in accordance with
Section 871(k)(1) and 881(e) of the Internal Revenue Code.
63
INFORMATION ABOUT THE RENEWAL OF THE FUND’S INVESTMENT MANAGEMENT,
ADMINISTRATION AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Trustees (the “Board”)
held on February 27-28, 2024, the Board considered the renewal of the fund’s Investment Management and
Administration Agreement, pursuant to which the Adviser provides the fund with investment advisory and
administrative services, and the Sub-Investment Advisory Agreement (together with the Investment Management
and Administration Agreement, the “Agreements”), pursuant to which Alcentra NY, LLC (the “Sub-Adviser”)
provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested
persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted
in their review by independent legal counsel and met with counsel in executive session separate from
representatives of the Adviser and the Sub-Adviser. In considering the renewal of the Agreements, the
Board considered several factors that it believed to be relevant, including those discussed below. The
Board did not identify any one factor as dispositive, and each Board member may have attributed different
weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided
to the Fund. The Board considered information provided to it at the meeting and in previous
presentations from representatives of the Adviser regarding the nature, extent, and quality of the services
provided to funds in the BNY Mellon fund complex, including the fund. The Adviser noted that the fund
is a closed-end fund without daily inflows and outflows of capital and provided the fund’s asset size.
The Board also considered research support available to, and portfolio management
capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight
of day-to-day fund operations, including fund accounting and administration and assistance in meeting
legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative,
accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the
Sub-Adviser.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense
Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc.
(“Broadridge”), an independent provider of investment company data based on classifications provided
by Thomson Reuters Lipper (“Lipper”), which included information comparing (1) the fund’s performance
with the performance of a group of leveraged closed-end high yield funds selected by Broadridge as comparable
to the fund (the “Performance Group”) and with a broader group of funds consisting of all leveraged
closed-end high yield funds (the “Performance Universe”), all for various periods ended December
31, 2023, and (2) the fund’s actual and contractual management fees and total expenses with those of
the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of
funds consisting of all leveraged closed-end high yield funds, excluding outliers (the “Expense Universe”),
the information for which was derived in part from fund financial statements available to Broadridge
as of the date of its analysis. The Adviser previously had furnished the Board with a description of
the methodology Broadridge used to
64
select the Performance Group and Performance Universe and the Expense Group and
Expense Universe.
Performance Comparisons. Representatives of the Adviser stated
that the usefulness of performance comparisons may be affected by a number of factors, including different
investment limitations and policies and the extent and manner in which leverage is employed that may
be applicable to the fund and comparison funds and the end date selected. The Board also considered
the fund’s performance in light of overall financial market conditions. The Board discussed with representatives
of the Adviser and the Sub-Adviser the results of the comparisons and considered that the fund’s total
return performance, on a net asset value basis, was above the Performance Group median for the one-year
period and above or equal to the Performance Universe median for the one-, four- and five-year periods,
and was below the Performance Group and Performance Universe medians for all other periods. The Board
also considered that the fund’s total return performance, on a market price basis, was below the Performance
Group and Performance Universe medians for all periods. The Board also considered that the fund’s
yield performance, on a net asset value basis, was above the Performance Group median for eight of the
ten one-year periods ended December 31st and above the Performance Universe median
for eight of the ten one-year periods ended December 31st. The Board considered
the relative proximity of the fund’s performance to the Performance Group and/or Performance Universe
medians in certain periods when performance was below median. The Adviser also provided a comparison
of the fund’s calendar year total returns, on a net asset value basis, to the returns of the fund’s
benchmark index.
Management Fee and Expense Ratio Comparisons. The Board reviewed
and considered the contractual management fee rate payable by the fund to the Adviser in light of the
nature, extent and quality of the management services and the sub-advisory services provided by the Adviser
and the Sub-Adviser, respectively. In addition, the Board reviewed and considered the actual management
fee rate paid by the fund over the fund’s last fiscal year. The Board also reviewed the range of actual
and contractual management fees and total expenses as a percentage of average net assets of the Expense
Group and Expense Universe funds and discussed the results of the comparisons.
The
Board considered that, based on common assets alone, the fund’s contractual management fee was the
same as the Expense Group median contractual management fee, the fund’s actual management fee was the
same as the Expense Group median and the same as the Expense Universe median actual management fee, and
the fund’s total expenses were higher than the Expense Group median and higher than the Expense Universe
median total expenses. The Board also considered that, based on common assets and leveraged assets together,
the fund’s actual management fee was the same as the Expense Group median and lower than the Expense
Universe median actual management fee, and the fund’s total expenses were higher than the Expense Group
median and higher than the Expense Universe median total expenses.
65
INFORMATION ABOUT THE RENEWAL OF THE FUND’S INVESTMENT MANAGEMENT,
ADMINISTRATION AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
Representatives of the Adviser noted that there were no other funds advised by
the Adviser that are in the same Lipper category as the fund or separate accounts and/or other types
of client portfolios advised by the Adviser or the Sub-Adviser that are considered to have similar investment
strategies and policies as the fund.
The Board considered the fee payable to
the Sub-Adviser in relation to the fee payable to the Adviser by the fund and the respective services
provided by the Sub-Adviser and the Adviser. The Board also took into consideration that the Sub-Adviser’s
fee is paid by the Adviser, out of its fee from the fund, and not the fund.
Analysis of Profitability
and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received
by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and
the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the
BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded
that the profitability results were not excessive, given the services rendered and service levels provided
by the Adviser and its affiliates. The Board also had been provided with information prepared by an
independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining
the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also
had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis
(1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the
mix of services provided by the Adviser and the Sub-Adviser, including the nature, extent and quality
of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances
for the fund and the extent to which economies of scale would be realized if the fund grows and whether
fee levels reflect these economies of scale for the benefit of fund shareholders. Since the Adviser,
and not the fund, pays the Sub-Adviser pursuant to the Sub-Investment Advisory Agreement, the Board did
not consider the Sub-Adviser’s profitability to be materially relevant to its deliberations. Representatives
of the Adviser stated that, because the fund is a closed-end fund without daily inflows and outflows
of capital, there were not significant economies of scale at this time to be realized by the Adviser
in managing the fund’s assets. Representatives of the Adviser also stated that, as a result of shared
and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could
depend substantially on the level of assets in the complex as a whole, so that increases and decreases
in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to,
or even in the opposite direction from, changes in the fund’s asset level. The Board also considered
potential benefits to the Adviser and the Sub-Adviser from acting as investment adviser and sub-investment
adviser, respectively, and took into consideration that there were no soft dollar arrangements in effect
for trading the fund’s investments.
At the conclusion of these discussions,
the Board agreed that it had been furnished with sufficient information to make an informed business
decision with respect to the
66
renewal of the Agreements. Based on the discussions and considerations as described
above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of
the services provided by the Adviser and the Sub-Adviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s performance,
particularly given the fund’s most recent and long-term performance.
· The Board concluded that the fees paid to the Adviser and
the Sub-Adviser continued to be appropriate under the circumstances and in light of the factors and the
totality of the services provided as discussed above.
· The Board determined that the economies of scale which may
accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately
considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Investment
Management and Administration Agreement and that, to the extent in the future it were determined that
material economies of scale had not been shared with the fund, the Board would seek to have those economies
of scale shared with the fund.
In evaluating the Agreements, the Board
considered these conclusions and determinations and also relied on its previous knowledge, gained through
meetings and other interactions with the Adviser and its affiliates and the Sub-Adviser, of the Adviser
and the Sub-Adviser and the services provided to the fund by the Adviser and the Sub-Adviser. The Board
also relied on information received on a routine and regular basis throughout the year relating to the
operations of the fund and the investment management and other services provided under the Agreements,
including information on the investment performance of the fund in comparison to similar funds and benchmark
performance indices; general market outlook as applicable to the fund; and compliance reports. In addition,
the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number
of years of reviews of the Agreements for the fund, or substantially similar agreements for other BNY
Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and
representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in
some years than in others, and the Board’s conclusions may be based, in part, on its consideration
of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the
Board oversees, in prior years. The Board determined to renew the Agreements.
67
BOARD
MEMBERS INFORMATION (Unaudited)
Independent
Board Members
Joseph
S. DiMartino (80)
Chairman of the Board (1998)
Current term expires in 2026
Principal
Occupation During Past 5 Years:
· Director
or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (1995-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business
services, products and solutions, Director (1997-May 2023)
No. of Portfolios for
which Board Member Serves: 85
———————
Francine
J. Bovich (72)
Board Member (2011)
Current term expires in 2024
Principal
Occupation During Past 5 Years:
· The
Bradley Trusts, private trust funds, Trustee (2011-Present)
Other
Public Company Board Memberships During Past 5 Years:
· Annaly Capital Management, Inc., a real estate investment
trust, Director (2014-Present)
No. of Portfolios for which Board Member
Serves: 69
———————
Andrew J.
Donohue (73)
Board Member (2019)
Current term expires in 2026
Principal
Occupation During Past 5 Years:
· Attorney,
Solo Law Practice (2019-Present)
· Shearman
& Sterling LLP, a law firm, Of Counsel (2017-2019)
· Chief of Staff to the Chair of the SEC (2015-2017)
Other Public Company Board Memberships During Past 5 Years:
· Oppenheimer Funds (58 funds), Director
(2017-2019)
No. of Portfolios for which Board Member Serves: 40
———————
68
Bradley
Skapyak (65)
Board Member (2021)
Current term expires in 2024
Principal
Occupation During Past 5 Years:
· Chief
Operating Officer and Director of The Dreyfus Corporation (2009-2019)
· Chief Executive Officer and Director of The MBSC Securities
Corporation (2016-2019)
· Chairman
and Director of The Dreyfus Transfer Agent, Inc. (2011-2019)
· Senior Vice President of The Bank of New York Mellon (2007-2019)
No.
of Portfolios for which Board Member Serves: 18
———————
Roslyn
M. Watson (74)
Board Member (1998)
Current term expires in 2025
Principal
Occupation During Past 5 Years:
· Watson
Ventures, Inc., a real estate investment company, Principal (1993-Present)
Other Public Company Board Memberships During Past 5 Years:
· American Express Bank, FSB, Director
(1993-2018)
No. of Portfolios for which Board Member Serves: 40
———————
Benaree
Pratt Wiley (77)
Board Member (1998)
Current term expires in 2025
Principal
Occupation During Past 5 Years:
· The
Wiley Group, a firm specializing in strategy and business development, Principal
(2005-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ,
Inc., a public company providing professional business services, products and solutions, Director
(2008-Present)
· Blue
Cross-Blue Shield of Massachusetts, Director (2004-December 2020)
No. of Portfolios for
which Board Member Serves: 56
———————
The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser,
Inc., 240 Greenwich Street, New York, New York 10286.
69
OFFICERS
OF THE FUND (Unaudited)
DAVID DIPETRILLO, President since January 2021.
Vice
President and Director of the Adviser since February 2021; Head of North America Distribution, BNY Mellon
Investment Management since February 2023; and Head of North America Product, BNY Mellon Investment Management
from January 2018 to February 2023. He is an officer of 52 investment companies (comprised of 98 portfolios)
managed by the Adviser or an affiliate of the Adviser. He is 46 years old and has been an employee of
BNY Mellon since 2005.
JAMES WINDELS, Treasurer since November 2001.
Director
of the Adviser since February 2023; Vice President of the Adviser since September 2020; and Director–BNY
Mellon Fund Administration. He is an officer of 53 investment companies (comprised of 116 portfolios)
managed by the Adviser or an affiliate of the Adviser. He is 65 years old and has been an employee of
the Adviser since April 1985.
PETER M. SULLIVAN, Chief Legal Officer since July 2021 and Vice President and
Assistant Secretary since March 2019.
Chief Legal Officer of
the Adviser and Associate General Counsel of BNY Mellon since July 2021; Senior Managing Counsel of BNY
Mellon from December 2020 to July 2021; and Managing Counsel of BNY Mellon from March 2009 to December
2020. He is an officer of 53 investment companies (comprised of 116 portfolios) managed by the Adviser
or an affiliate of the Adviser. He is 56 years old and has been an employee of BNY Mellon since April
2004.
SARAH
S. KELLEHER, Secretary since April 2024 and Vice President since April 2014.
Vice
President of BNY Mellon ETF Investment Adviser; LLC since February 2020; Senior Managing Counsel of BNY
Mellon since September 2021; and Managing Counsel of BNY Mellon from December 2017 to September 2021.
She is an officer of 53 investment companies (comprised of 116 portfolios) managed by the Adviser or
an affiliate of the Adviser. She is 48 years old and has been an employee of BNY Mellon since March 2013.
DEIRDRE
CUNNANE, Vice President and Assistant Secretary since March 2019.
Managing
Counsel of BNY Mellon since December 2021; and Counsel of BNY Mellon from August 2018 to December 2021.
She is an officer of 53 investment companies (comprised of 116 portfolios) managed by the Adviser or
an affiliate of the Adviser. She is 33 years old and has been an employee of BNY Mellon since August
2013.
LISA
M. KING, Vice President and Assistant Secretary since March 2024.
Vice
President and Assistant Secretary. Counsel of BNY Mellon since June 2023; and Regulatory Administration
Group Manager at BNY Mellon Asset Servicing from February 2016 to June 2023. She is an officer of 53
investment companies (comprised of 116 portfolios) managed by the Adviser or an affiliate of the Adviser.
She is 56 years old and has been an employee of BNY Mellon since February 2016.
JEFF PRUSNOFSKY, Vice President
and Assistant Secretary since August 2005.
Senior Managing Counsel
of BNY Mellon. He is an officer of 53 investment companies (comprised of 116 portfolios) managed by the
Adviser or an affiliate of the Adviser. He is 58 years old and has been an employee of the Adviser since
October 1990.
AMANDA
QUINN, Vice President and Assistant Secretary since March 2020.
Managing
Counsel of BNY Mellon since March 2024; Counsel of BNY Mellon from June 2019 to February 2024; and Regulatory
Administration Manager at BNY Mellon Investment Management Services from September 2018 to May 2019.
She is an officer of 53 investment companies (comprised of 116 portfolios) managed by the Adviser or
an affiliate of the Adviser. She is 39 years old and has been an employee of BNY Mellon since June 2012.
JOANNE
SKERRETT, Vice President and Assistant Secretary since March 2023.
Managing
Counsel of BNY Mellon since June 2022; and Senior Counsel with the Mutual Fund Directors Forum, a leading
funds industry organization, from 2016 to June 2022. She is an officer of 53 investment companies (comprised
of 116 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 52 years old and has
been an employee of the Adviser since June 2022.
70
NATALYA
ZELENSKY, Vice President and Assistant Secretary since March 2017.
Chief
Compliance Officer since August 2021 and Vice President since February 2020 of BNY Mellon ETF Investment
Adviser, LLC; Chief Compliance Officer since August 2021 and Vice President and Assistant Secretary since
February 2020 of BNY Mellon ETF Trust; Managing Counsel of BNY Mellon from December 2019 to August 2021;
Counsel of BNY Mellon from May 2016 to December 2019; and Assistant Secretary of the Adviser from April
2018 to August 2021. She is an officer of 53 investment companies (comprised of 116 portfolios) managed
by the Adviser or an affiliate of the Adviser. She is 38 years old and has been an employee of BNY Mellon
since May 2016.
DANIEL
GOLDSTEIN, Vice President since March 2022.
Head of Product Development
of North America Distribution, BNY Mellon Investment Management since January 2018; Executive Vice President
of North America Product, BNY Mellon Investment Management since April 2023; and Senior Vice President,
Development & Oversight of North America Product, BNY Mellon Investment Management from 2010 to March
2023. He is an officer of 52 investment companies (comprised of 98 portfolios) managed by the Adviser
or an affiliate of the Adviser. He is 54 years old and has been an employee of BNY Mellon Securities
Corporation since 1991.
JOSEPH MARTELLA, Vice President since March 2022.
Vice
President of the Adviser since December 2022; Head of Product Management of North America Distribution,
BNY Mellon Investment Management since January 2018; Executive Vice President of North America Product,
BNY Mellon Investment Management since April 2023; and Senior Vice President of North America Product,
BNY Mellon Investment Management from 2010 to March 2023. He is an officer of 52 investment companies
(comprised of 98 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 47 years old
and has been an employee of BNY Mellon Securities Corporation since 1999.
GAVIN C. REILLY, Assistant
Treasurer since December 2005.
Tax Manager–BNY Mellon Fund Administration.
He is an officer of 53 investment companies (comprised of 116 portfolios) managed by the Adviser or an
affiliate of the Adviser. He is 55 years old and has been an employee of the Adviser since April 1991.
ROBERT
SALVIOLO, Assistant Treasurer since May 2007.
Senior Accounting Manager–BNY
Mellon Fund Administration. He is an officer of 53 investment companies (comprised of 116 portfolios)
managed by the Adviser or an affiliate of the Adviser. He is 57 years old and has been an employee of
the Adviser since June 1989.
ROBERT SVAGNA, Assistant Treasurer since August 2005.
Senior
Accounting Manager–BNY Mellon Fund Administration. He is an officer of 53 investment companies (comprised
of 116 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 57 years old and has
been an employee of the Adviser since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer
since October 2004.
Chief Compliance Officer of the BNY Mellon
Family of Funds and BNY Mellon Funds Trust since 2004; and Chief Compliance Officer of the Adviser from
2004 until June 2021. He is the Chief Compliance Officer of 52 investment companies (comprised of 103
portfolios) managed by the Adviser. He is 66 years old.
71
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72
OFFICERS
AND TRUSTEES
BNY Mellon High Yield Strategies Fund
240 Greenwich Street
New York, NY 10286
| | | |
Trustees | | 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 | |
Joanne Skerrett | | Computershare
Inc. | |
Natalya Zelensky | | Stock Exchange Listing | |
Treasurer | | NYSE Symbol: DHF | |
James Windels | | Initial SEC Effective Date | |
Vice Presidents | | 4/23/98 | |
Daniel Goldstein | | | |
Joseph Martella | | | |
Assistant
Treasurers | | | |
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. |
73
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
For more information about
the fund, visit https://im.bnymellon.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.im.bnymellon.com
and
on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
| |
0430AR0324
| |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics
that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller,
or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the
period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that
Bradley J. Skapyak, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities
and Exchange Commission (the "SEC"). Mr. Skapyak is "independent" as defined by the SEC for purposes of audit committee
financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for
each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal
accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided
by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $108,080
in 2023 and $110,300
in 2024.
(b) Audit-Related Fees. The aggregate fees
billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the
audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $5,600
in 2023 and $5,800
in 2024. These services consisted of security counts required by Rule
17f-2 under the Investment Company Act of 1940, as amended.
The aggregate fees billed in the Reporting Periods
for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser
whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling,
controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"),
that were reasonably related to the performance of the annual audit of the Service Affiliates, which required pre-approval by the Audit
Committee were $0 in 2023
and $0 in 2024.
(c) Tax Fees. The aggregate fees billed in
the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services")
were $0 in 2023
and $0 in 2024.
These services consisted of U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory, or administrative
developments. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required
pre-approval by the Audit Committee were $0 in 2023
and $0 in 2024.
(d) All Other Fees. The aggregate fees billed
in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through
(c) of this Item, were $0 in 2023
and $0 in 2023.
The aggregate fees billed in the Reporting Periods
for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item,
which required pre-approval by the Audit Committee, were $0 in 2023
and $0 in 2024.
(e)(1) Audit Committee
Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy")
for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates
without specific case-by-case
consideration. The pre-approved services in
the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all
other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence.
Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note. None of the services described
in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation
S-X.
(f) None
of the hours expended on the Auditor's engagement to audit the Registrant's financial statements for the most recent fiscal year were
attributed to work performed by persons other than the Auditor's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees
billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $3,945,912
in 2023 and $4,074,591
in 2024.
Auditor Independence. The Registrant's Audit
Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved
(not requiring pre-approval), is compatible with maintaining the Auditor's independence.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants.
During the reporting period, the Registrant had a separately designated
standing Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The Registrant's audit
committee consisted of the following members: Joseph S. DiMartino, Francine J. Bovich, Andrew J. Donohue, Bradley J. Skapyak, Roslyn M.
Watson and Benaree Pratt Wiley.
Item 6. Investments.
(a) Not applicable.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
SUMMARY OF THE REGISTRANT'S PROXY VOTING
POLICY AND PROCEDURES
Due to the nature of the investments held in
connection with the Registrant's investment strategy, the Registrant does not anticipate regular proxy voting activity. If presented with
a proxy voting opportunity, Alcentra will seek to make voting decisions that are consistent with its proxy voting policy and procedures.
The Registrant does not currently participate in a securities lending program.
The Registrant's Board of Trustees has adopted
the following procedures with respect to proxy voting by the Registrant.
Delegation of Proxy Voting Responsibility
and Adoption of Proxy Voting Procedures
The Board has delegated the authority to vote
proxies of companies held in the Registrant's portfolio to the Registrant's sub-investment adviser, Alcentra NY, LLC ("Alcentra"),
as described below.
In addition, the Board has adopted Alcentra's
proxy voting procedures pursuant to which proxies of companies held in the Registrant's portfolio will be voted.
Proxy Voting Operations
The Registrant has engaged Institutional Shareholder
Services Inc. ("ISS") as its proxy voting agent to administer the ministerial, non-discretionary elements of proxy voting and
reporting.
Voting Shares of Certain Registered Investment
Companies
Under certain circumstances, when the Registrant
owns shares of another registered investment company (an "Acquired Fund"), the Registrant may be required by the Investment
Company Act of 1940, as amended (the "1940 Act") or the rules thereunder, or exemptive relief from the 1940 Act and/or the rules
thereunder, to vote such Acquired Fund shares in a certain manner, such as voting the Acquired Fund shares in the same proportion as the
vote of all other shareholders of such Acquired Fund.
Securities on Loan
The Registrant may participate in a securities
lending program to generate income for its portfolio. Generally, the voting rights pass with the securities on loan and any securities
on loan as of a record date cannot be voted by the Registrant. In certain circumstances, BNYM Investment Adviser may seek to recall a
security on loan before a record date in order to cast a vote (for example, if Alcentra determines, based on the information available
at the time, that there is a material proxy event that could affect the value of the loaned security and recalling the security for voting
purposes would be in the best interest of the Registrant). However, BNYM Investment Adviser anticipates that, in most cases, the potential
income the Registrant may derive from a loaned security would outweigh the benefit the Registrant could receive from voting the security.
In addition, the ability to timely recall securities on loan is not entirely within the control of BNYM Investment Adviser or Alcentra.
Under certain circumstances, the recall of securities in time for such securities to be voted may
not be possible due to applicable proxy voting record dates occurring before the proxy statements are released or
other administrative considerations.
Policies and Procedures; Oversight
The Registrant's Chief Compliance Officer is
responsible for confirming that Alcentra has adopted and implemented written policies and procedures that are reasonably designed to ensure
that the Registrant's proxies are voted in the best interests of the Registrant. In addition, the adequacy of such policies and procedures
are reviewed at least annually, and proxy voting for the Registrant is monitored to ensure compliance with Alcentra's procedures, as applicable,
such as by sampling votes cast for the Registrant, including routine proposals as well as those that require more analysis, to determine
whether they complied with Alcentra's Proxy Voting Procedures.
Review of Proxy Voting
BNYM Investment Adviser reports annually to
the Board on the Registrant's proxy voting, including information regarding: (1) proxy voting proposals that were voted; (2) proxy voting
proposals that were voted against the management company's recommended vote, but in accordance with the applicable proxy voting guidelines;
and (3) proxy voting proposals that were not voted, including the reasons the proxy voting proposals were not voted.
Availability of Proxy Voting Records
Pursuant to Rule 30b1-4 under the 1940 Act,
the Registrant is required to file its complete proxy voting record with the SEC on Form N-PX not later than August 31st of
each year for the most recent twelve-month period ended June 30th. In addition, this information is available, by August 31st
of each year, at www.im.bnymellon.com. The Registrant has delegated the responsibility
for gathering this information, filing
Form N-PX and posting voting information to
the website to BNYM Investment Adviser, with the assistance of ISS.
SUMMARY OF ALCENTRA'S PROXY VOTING POLICY
AND PROCEDURES
| A. | Introduction/General Principles |
In accordance with the Firm's fiduciary duty to vote proxies and
consents and otherwise make determinations in the best interests of the Firm's Clients, including but not limited to Rule 206(4)-6 under
the Advisers Act, the overriding principle of the Firm's proxy and/or other voting (and similar actions and determinations) is to maximize
the financial interests of its Clients. For avoidance of doubt, these Proxy Voting and Other Voting or Consent/ Action Policies and Procedures
applies to any proxy and any other shareholder or beneficial owner vote, consent, action or similar determination, including a vote, consent
or action with respect to a private company that does not involve a public proxy and certain consents or other actions relating to debt
or other instruments, such as waivers of covenant breaches or amendments to governing documents (all of which are referred to herein as
"Voting, Consent and/or Action Matters").
It is the policy of the Firm in Voting, Consent and/or Action Matters
to consider and vote or otherwise act with respect to each proposal with the objective of maximizing investment returns for Clients on
a Client-by-Client basis. These guidelines address a broad range of issues, including, for example, board size and composition, executive
compensation, anti-takeover proposals, capital structure proposals and social responsibility issues and are meant to be general voting,
consent and action parameters on issues that arise most frequently. The Firm may, however, vote, consent and/or act in a manner that is
contrary to the following general guidelines if it believes that it would be in Clients' best interest to do so, and the Firm makes such
determination on a Client-by-Client basis.
The Chief Compliance Officer has the responsibility to administer
these Proxy Voting and Other Voting or Consent/Action Policies and Procedures and to monitor Voting, Consent and/or Action Matters for
any conflicts of interest, regardless of whether they are actual or perceived. For example, the Firm or its Supervised Persons may take
positions outside of the Clients through one or more proprietary accounts or funds or personal accounts and, therefore, situations may
arise where there would be a conflict between maximizing investment returns for one or more Clients and the Firm's or a Supervised Person's
interests. In addition, Clients may invest in different layers of the capital structure of a portfolio company, issuer or borrower (for
example, a certain Client (i) may own debt of a portfolio company, issuer or borrower while another Client may own equity in the same
portfolio company, issuer or borrower, (ii) may own debt of a portfolio company, issuer or borrower while another Client may own a different
tranche or other class or issue of debt of the same portfolio company, issuer or borrower, and/or (iii) may own equity of a portfolio
company, issuer or borrower while another Client may own a different equity security of the same portfolio company, issuer or borrower).
Furthermore, a Client may participate in debt originated to finance the acquisition by other Clients of an equity or other interest in
an issuer or borrower. To the extent a work out, reorganization or other major corporate event occurs with respect to any such portfolio
company, issuer or borrower, conflicts may exist between or among the Clients invested in such portfolio company, issuer or borrower.
All Voting, Consent and/or Action Matters will require a mandatory
conflicts of interest review by the Chief Compliance Officer in accordance with these Proxy Voting and Other Voting or Consent/Action
Policies and Procedures, which will include consideration of whether (i) the Firm, (ii) any investment professional or other person within
the Firm recommending how to vote, (iii) only one Client or multiple Clients of the Firm, and/or (iv) the Firm's affiliates and their
clients has an interest in the Voting, Consent and/or Action Matters that may present a conflict of interest. As noted above, in all such
cases, maximizing investment returns for Clients on a Client-by-Client basis is paramount. As such, the Firm may cast different votes
or consents or otherwise act in a different manner on behalf of different Clients with respect to the same portfolio company, issuer or
borrower.
The Portfolio Manager responsible for any Voting, Consent and/or
Action Matter will be responsible for notifying the Chief Compliance Officer in advance of any vote, consent and/or action in a timely
manner and must receive advance approval from the Chief Compliance Officer before voting, consenting and/or acting with respect to any
such Voting, Consent and/or Action Matter. If at any time any investment professional becomes aware of any potential or actual conflict
of interest or perceived conflict of interest regarding any particular Voting, Consent and/or Action Matter, he or she should contact
the Chief Compliance Officer. If any investment professional is pressured or lobbied either from within or outside of the Firm with respect
to any particular Voting, Consent and/or Action Matters, he or she should contact the Chief Compliance Officer.
If the Chief Compliance Officer determines that an actual or perceived
conflict of interest may exist, he shall notify the Chief Operating Officer who will review and evaluate the Voting, Consent and/or Action
Matters proposal and the circumstances surrounding the conflict to determine the vote, consent or action, which will be in the best interest
of the Clients, in each case on a Client-by-Client basis. In addition, where the Chief Operating Officer deems appropriate, the Firm may
utilize (i) separate deal teams, separate outside counsel and other information barriers, internal screens and ethical walls to protect
the interests of each Client and (ii) unaffiliated third parties (including without limitation advisory committees and/or independent
directors) to help resolve conflicts and/or approve of the Voting, Consent and/or Action Matter. Subject to the organizational and offerings
documents of any given Client, the Chief Operating Officer shall have the power to retain independent fiduciaries, consultants, or professionals
to assist with Voting, Consent and/or Action Matters and/or to delegate voting, consent or action powers to such fiduciaries, consultants
or professionals.
If the Chief Compliance Officer determines that an actual or perceived
conflict of interest may exist between maximizing investment returns for one or more Clients and the Firm's or a Supervised Person's interests,
the Firm or its Supervised Persons will vote, consent or act with respect to securities or other instruments held in a proprietary account
or fund or in a personal account in the best interests of the Clients on a Client-by-Client basis or otherwise abstain from voting, consenting
or acting in a manner that is contrary to the best interests of the Clients on a Client-by-Client basis with respect to such securities
or other instruments.
In addition, the Firm will maintain all Voting, Consent and/or Action
Matters records as described further below. The Firm's Proxy Voting and Other Voting or Consent/Action Policies and Procedures will be
reviewed and, as necessary, updated periodically by the Chief Compliance Officer to address new or revised voting, consent or action issues.
Please note that although the Voting, Consent and/or Action Matters
process (particularly with respect to proxy voting) is well established in the U.S., Voting, Consent and/or Action Matters with respect
to foreign companies may involve a number of logistical problems that have a detrimental effect on the Firm's ability to vote, consent
or act. The logistical problems include language barriers, untimely or inadequate notice of shareholder meetings, restrictions on a foreigner's
ability to exercise votes, and requirements to vote, consent or act in person. Such Voting, Consent and/or Action Matters are handled
on a best-efforts basis given the above logistical problems.
The Firm will make copies of these Proxy Voting and Other Voting
or Consent/Action Policies and Procedures available upon request to Clients and, when the Client is a Fund, to the investors in that Fund.
Supervised Persons who receive a Voting, Consent and/or Action Matters
proposal will consult with the Portfolio Manager responsible for the investment in the security or other instrument to which the Voting,
Consent and/or Action Matters proposal relates or as otherwise directed by the Chief Compliance Officer. The Portfolio Manager is responsible
for making sure the Voting, Consent and/or Action Matters is acted upon in a timely manner (including without limitation an affirmative
decision to abstain from voting, consenting or acting). The Portfolio Manager is not required to vote, consent or act with respect to
a Voting, Consent and/or Action Matter if the cost of voting, consenting or acting due to special translation, delivery or other facts
and circumstances would outweigh the benefit of voting, consenting or acting for one
or more Clients. The Portfolio Manager is also not required to vote,
consent or act with respect to a Voting, Consent and/or Action Matter if the Portfolio Manager believes the proposal is not adverse to
the best interest of any Clients, or, if adverse, the outcome of the Voting, Consent and/or Action Matter is not in doubt.
Any questions with regard to voting, consenting or acting (or abstaining
from voting, consenting or acting) with respect to Voting, Consent and/or Action Matters should be referred to the Chief Compliance Officer.
The following represents a guideline for each of the principal policy
issues:
Routine proposals include such issues as the approval of auditors,
and election of directors. Generally, these proposals will be voted consistent with the recommendation of management. As a matter of policy,
it is the Firm's intention to hold corporate officers accountable for actions, either on the basis of specific actions taken as an individual,
or as part of a committee, that conflict with the goal of maximizing shareholder value.
Non-routine proposals include issues that could have a long-term
impact on the way a corporation or other entity handles certain matters. Examples of these proposals include (a) restructuring efforts,
(b) changes to the number of directors, (c) name changes, (d) mergers & acquisitions (or
equivalent actions,) and (e) changes in the issuance of common or preferred stock, stock options plans, etc. Again, these proposals will
be analyzed with a goal of maximizing shareholder value and the interests of the Firm's Clients on a Client-by-Client basis.
| 3. | Corporate Governance Proposal |
This category includes poison pills, golden parachutes, cumulative
voting, classified boards, limitations of officer and director liabilities, etc. Generally speaking, these are issues proposed by an entrenched
management looking to maximize their own best interests at the expense of shareholders at large. As such, these proposals will usually
generate negative responses from the Firm.
These proposals range from divestment from geographical or industrial
representation to environmental or other matters, either internal or external. The Firm will consider voting, consenting or acting for
issues that have redeeming social merit that neither compromises the company's competitive position within an industry, nor adversely
impacts the goal of maximizing shareholder value and the interests of the Firm's Clients on a Client-by-Client basis.
These proposals, excluding those referenced above, usually deal
with subjects such as compensation, employee hiring, and corporate governance issues. These cannot be generalized other than to say that
they reflect personal points of view, and typically fall into the category of micro-management, an area that the Firm tends to avoid.
These proposals will be viewed in the light of voting, consenting or acting in a manner that the Firm believes maximizes shareholder/investor
value and the interests of the Firm's Clients on a Client-by-Client basis.
| 6. | Conflicts and Split Voting |
If a Portfolio Manager (or his or her designee) determines that
a material conflict may exist between a Client's interests and the Firm's interest or between two or more Clients' interests, the Portfolio
Manager (or
his or her designee) shall inform the Chief Compliance Officer of
such material conflict. The Chief Compliance Officer shall determine the appropriate course of action in consultation with the Chief Operating
Officer, as described above. In addition, where the Chief Operating Officer deems appropriate, separate deal teams, separate outside counsel
and other information barriers, internal screens and ethical walls, as well as unaffiliated third parties (including without limitation
advisory committees and/or independent directors) may be used to help resolve conflicts and make decisions to protect the interests of
each Client. The Firm or its Supervised Persons will vote, consent or act with respect to securities or other instruments held in a proprietary
account or fund or in a personal account in the best interests of the Clients on a Client- by-Client basis or otherwise abstain from voting,
consenting or acting in a manner that is contrary to the best interests of the Clients on a Client-by-Client basis with respect to such
securities or other instruments. In all such cases, maximizing investment returns for Clients on a Client-by- Client basis is paramount.
Situations may arise in which more than one Client invests in different
parts of the capital structure of the same company. In those situations, two or more Clients may be invested in strategies having different
investment objectives, investment styles, economic positions or portfolio managers. As a result, the Firm may cast different votes or
consents or take other different actions on behalf of different Clients. In each case, the Firm will determine the vote, consent or action
that the Firm believes is in the best interests of each Client, without regard to the interests of any other Client.
| C. | Conflict Management Procedures With Respect to Investments in Certain Real Estate Development Projects |
As noted herein, in accordance with the Firm's fiduciary duty pursuant
to the Advisers Act and otherwise under law to invest, act, and otherwise make determinations in accordance with what the Firm believes
to be in the best interests of each of the Firm's Clients, the Firm has adopted and implements procedures to ensure that it serves the
interests of each Client, on a Client-by- Client basis, at all times (i.e., the Firm will at
all times act in a manner that it believes to be in the best interests of each Client without regard to the interests of any other Client,
or any other affiliate of the Firm).
Also as noted in herein, situations may arise in which more than
one Client (or other affiliate of the Firm) may invest in different parts or different layers of the capital structure of a portfolio
company, issuer, borrower or other entity. For example, a Client (i) may own debt of a portfolio company, issuer, borrower or other entity
while another Client may own equity in the same portfolio company, issuer, borrower or other entity, (ii) may own debt of a portfolio
company, issuer, borrower or other entity while another Client may own a different tranche or other class or issue of debt of the same
portfolio company, issuer, borrower or other entity, and/or (iii) may own equity of a portfolio company, issuer, borrower or other entity
while another Client may own a different equity security of the same portfolio company, issuer, borrower or other entity. As a result,
whether at the time of making such investment, or at the time that any vote, consent or other action is required with respect to such
investment (such as, for example, at the time of a work-out, reorganization or other major corporate event with respect to any such portfolio
company, issuer, borrower or other entity), conflicts may exist between or among the Clients (or other Firm affiliates) investing in or
invested in such portfolio company, issuer, borrower or other entity.
Specifically and not in limitation of the procedures set forth elsewhere
in this Manual, in order avoid potential conflicts between Clients or other Firm affiliates within the same issuer or borrower's capital
structure with regard to certain real estate project development transactions and related real estate project financings (collectively,
the "Real Estate Development Projects"), whenever it is reasonably practical to do so in connection with the limited liability
companies, limited partnerships, joint ventures, special purpose vehicles and/or other entities formed with respect to the investments
made by the Firm on behalf of its Clients in such Real Estate Development Projects (such entities, the "Real Estate Development Project
Investment Entities"), if more than one Client or other Firm affiliate has an interest in such Real Estate Development Project that
may be in conflict with the interest of another Client or other Firm affiliate in such Real Estate Development Project, the Firm shall
seek to have at least one of the Real Estate Development Project Investment Entities
managed and controlled by an entity that is not in any manner affiliated
with the Firm (an "Independent Party") in order to ensure that, notwithstanding the economic interests in the Real Estate Development
Project Investment Entity held by a Client or other Firm affiliate, the Independent Party manages and controls the Real Estate Development
Project Investment Entity to ensure the separate management and control of the interests in the Real Estate Development Project held from
time to time by Clients and/or other affiliates of the Firm.
In order to implement the foregoing, the Firm and/or its affiliates
(1) whenever it is reasonably practical in connection with the formation and documentation of Real Estate Development Project Investment
Entities, shall seek to have the limited partnership agreement, limited liability company operating agreement, joint venture agreement
and/or other governance document of such Real Estate Development Project Investment Entity (the "Governance Documents") provide
that, if any other Client or other affiliate of the Firm has an interest in such Real Estate Development Project, (i) such Independent
Party shall serve as the general partner, managing member, or other similar capacity of such Real Estate Development Project Investment
Entity and such Independent Party shall exercise all management and control authority with respect thereto in accordance with such Governance
Documents, and (ii) in the event that the Firm or any Client or other Firm affiliate has the right pursuant to such Governance Documents
to remove such Independent Party as the general partner, managing member or other similar capacity from such role with respect to the
Real Estate Development Project Investment Entity, the Firm, the Client or other Firm affiliate may only to so if, not later than thirty
(30) days after such removal, the Firm, the Client or other Firm affiliate designates another Independent Party to serve in such capacity
(and during such up to thirty (30) day period, the Firm, the Client and/or other Firm affiliate does not exercise any management or control
rights with respect to the Real Estate Development Project Investment Entity that relate to the Real Estate Development Project if such
exercise of such management or control rights is, or reasonably could be interpreted to be, either not in the best interests of the Real
Estate Development Project Investment Entity with respect to the Real Estate Development Project or adverse to the interests in the Real
Estate Development Project of any other Client or affiliate of the Firm) and/or (2) whenever the Firm or its affiliates do not include
the foregoing conflict protections in the Governance Documents of such Real Estate Development Project Investment Entity, the Firm and
its affiliates shall nonetheless, as a matter of internal policy and procedures, act in a manner in full compliance with the provisions
set forth in clause (1) of this paragraph.
The paramount conceptual and implementation requirement of the foregoing
compliance procedures are to ensure that, in situations where a conflict exists, or could reasonably be interpreted to exist, between
Clients or other affiliates of the Firm with respect to Real Estate Development Projects, the Firm and its affiliates shall eliminate
(or substantially mitigate) any such conflicts by having an Independent Party exercise all decision making authority with respect to the
interests of one of the Clients or other affiliates of the Firm with respect to such Real Estate Development Project through the establishment
of a Real Estate Development Project Investment Entity managed and controlled by such Independent Party. This will ensure that, both at
the time of such investment and in the event that any decision or other action must be made or determined with respect to the interests
in the Real Estate Development Project, the Firm and its affiliates are not placed in the position
of having to manage competing and conflicting interests of its Clients or other affiliates, and the Firm may then act in the best interests
of the Client or other affiliates for which the Firm has management and/or control rights with respect to the Real Estate Development
Project while the Independent Party exercises separate and independent
management and control rights with respect to the Real Estate Development Project through the Real Estate Development Project Investment
Entity, including with respect to Real Estate Development Project Investment Entities in which another Client or other affiliate of the
Firm may have an economic interest.
In accordance with the Firm's Record Policies, the Firm must retain
copies of (i) these Proxy Voting and Other Voting or Consent/Action Policies and Procedures and all amendments thereto; (ii) Voting,
Consent and/or Action Matters proposals received regarding Client
securities and instruments; (iii) records of votes, consents or actions taken on behalf of Clients; (iv) records of Client requests for
Voting, Consent and/or Action Matters information and a copy of any written response by the Firm to any (written or oral) Client request
for such information; (v) any documents prepared by the Firm that were material to making a decision on how to vote, consent or act; and
(vi) records relating to Voting, Consent and/or Action Matters concerning situations with material conflicts of interest. The information
should be retained by the relevant Portfolio Manager and copies sent to the Chief Compliance Officer.
Item 8. Portfolio Managers of Closed-End Management Investment
Companies.
(a)(1) The following information is as of May
29, 2024, the date of the filing of this report:
Chris Barris and Kevin Cronk, CFA of Alcentra,
are the Registrant's primary portfolio managers, positions they have held since October 2010 and September 2012 respectively.
Mr. Barris joined Alcentra in January 2013
as part of the combination of Alcentra with Standish Mellon Asset Management Company LLC's high yield business, and is a Manager, U.S.
Liquids. He is responsible for managing all U.S. and global high yield portfolios and has extensive experience managing a broad range
of high yield bond strategies for both institutional and retail funds. Mr. Barris also is responsible for managing Alcentra's multi-asset
credit portfolios, including US and European bonds and loans, and has considerable experience in credit analysis with over 21 years of
investment experience. Mr. Barris joined Standish Mellon Asset Management Company LLC, an affiliate of BNYM Investment Adviser and Alcentra,
in 2005, where he served as a Director and Senior Portfolio Manager for U.S. and global high yield investments.
Mr. Cronk joined Alcentra in January 2013 as
part of the combination of Alcentra with Standish Mellon Asset Management Company LLC's high yield business, and is a Manager, U.S. Liquids,
and a member of the U.S. Investment Committee. Mr. Cronk joined Standish Mellon Asset Management Company LLC, an affiliate of BNYM Investment
Adviser and Alcentra, in 2011 from Columbia Management, where he worked for eleven years as a High Yield Analyst and Portfolio Manager.
Prior to that, he worked as a High Yield Investment Associate at Putnam Investments.
(a)(2) Information about the other accounts
managed by the Registrant's primary portfolio managers is provided below.
Subject to the supervision and approval of
BNYM Investment Adviser and the Registrant's Board, Alcentra is responsible for investment decisions and provides the Registrant with
portfolio managers who are authorized by the Registrant's Board to execute purchases and sales of securities. Chris Barris and Kevin Cronk
are the Registrant's primary portfolio managers.
Portfolio Managers Compensation. Portfolio
managers' compensation is comprised primarily of a market-based salary and an incentive compensation plan (annual and long-term).
Alcentra's compensation arrangements include a fixed
salary, discretionary cash bonus and a number of long term incentive plans that are structured to align an employee's interest with the
firm's longer term goals. Portfolio managers are compensated in line with portfolio performance, rather than the growth of assets under
management. Other factors that may be taken into consideration include asset selection and trade execution and management of portfolio
risk.
Additional Information About Portfolio Managers.
The following table lists the number and types of other accounts advised by the primary portfolio managers and assets under management
in those accounts as of March 31, 2024:
Primary Portfolio Manager |
Registered Investment Companies |
Total Assets Managed |
Other Pooled Investment Vehicles |
Total Assets Managed |
Other Accounts |
Total Assets Managed |
Chris Barris |
5 |
$2.1B |
4 |
$681.0M |
1 |
$644.0M |
Kevin Cronk |
5 |
$2.1B |
5 |
$238.0M |
1 |
$644.0M |
None of the funds or accounts are subject to a performance-based
advisory fee.
The dollar range of shares
of the Registrant beneficially owned by the primary portfolio managers are as follows as of March 31, 2024:
Primary
Portfolio Manager |
Registrant Name |
Dollar Range of Registrant
Shares Beneficially Owned |
Chris Barris |
BNY Mellon High Yield Strategies Fund |
$10,001-$50,000 |
Kevin Cronk |
BNY Mellon High Yield Strategies Fund |
$10,001-$50,000 |
Portfolio managers may manage multiple accounts for
a diverse client base, including mutual funds, separate accounts (assets managed on behalf of private clients or institutions such as
pension funds, insurance companies and foundations), private funds, bank collective trust funds or bank common trust accounts and wrap
fee programs that invest in securities in which the Registrant may invest or that may pursue a strategy similar to the Registrant's component
strategies ("Other Accounts").
Potential conflicts
of interest may arise because of BNYM Investment Adviser's, Alcentra's or a portfolio manager's management of the Registrant and Other
Accounts. For example, conflicts of interest may arise with both the aggregation and allocation of securities transactions and allocation
of limited investment opportunities, as BNYM Investment Adviser or Alcentra may be perceived as causing accounts it manages to participate
in an offering to increase BNYM Investment Adviser or Alcentra's overall allocation of securities in that offering, or to increase BNYM
Investment Adviser or Alcentra's ability to participate in future offerings by the same underwriter or issuer. Allocations of bunched
trades, particularly trade orders that were only partially filled due to limited availability, and allocation of investment opportunities
generally, could raise a potential conflict of interest, as BNYM Investment Adviser or Alcentra may have an incentive to allocate securities
that are expected to increase in value to preferred accounts. Initial public offerings, in particular, are frequently of very limited
availability. A potential conflict of interest may be perceived to arise if transactions in one account closely follow related transactions
in a different account, such as when the Registrant purchase increases the value of securities previously purchased by the Other Account
or when a sale in one account lowers the sale price received in a sale by a second account. Conflicts of interest may also exist with
respect to portfolio managers who also manage performance-based fee accounts, which could give the portfolio managers an incentive to
favor such Other Accounts over the Registrant, such as deciding which securities to allocate to the Registrant versus the performance-based
fee account. Additionally, portfolio managers may be perceived to have a conflict of interest if there are a large number of Other Accounts,
in addition to the Registrant, that they are managing on behalf of BNYM Investment Adviser or Alcentra. BNYM Investment Adviser and Alcentra
periodically review each portfolio manager's overall responsibilities to ensure that he or she is able to allocate the necessary time
and resources to effectively manage the Registrant. In addition, BNYM Investment Adviser and Alcentra could be viewed as having a conflict
of interest to the extent that BNYM Investment Adviser, Alcentra or their affiliates and/or portfolio managers have a materially larger
investment in Other Accounts than their investment in the Registrant.
Other Accounts may have investment objectives,
strategies and risks that differ from those of the Registrant. In addition, the Registrant, as a registered investment company, may be
subject to different regulations than certain of the Other Accounts and, consequently, may not be permitted to engage in all the investment
techniques or transactions, or to engage in such techniques or transactions to the same degree, as the Other Accounts. For these or other
reasons, the portfolio managers may purchase different securities for the Registrant and the Other Accounts, and the performance of securities
purchased for the Registrant may vary from the performance of securities purchased for Other Accounts. The portfolio managers may place
transactions on behalf of Other Accounts that are directly or indirectly contrary to investment decisions made for the Registrant, which
could have the potential to adversely impact the Registrant, depending on market conditions. In addition, if the Registrant's investment
in an issuer is at a different level of the issuer's capital structure than an investment in the issuer by Other Accounts, in the event
of credit deterioration of the issuer, there may be a conflict of interest between the Registrant's and such Other Accounts' investments
in the issuer.
BNY Mellon and its affiliates, including BNYM
Investment Adviser, Alcentra and others involved in the management, sales, investment activities or business operations or distribution
of the Registrant, are engaged in businesses and have interests other than that of managing the Registrant. These activities and interests
include potential multiple advisory, transactional, financial and other interests in securities, instruments and companies that may be
directly or indirectly purchased or sold by the Registrant or the Registrant's service providers, which may cause conflicts that could
disadvantage the Registrant.
BNY Mellon and its affiliates may have deposit,
loan and commercial banking or other relationships with the issuers of securities purchased by the Registrant. BNY Mellon has no obligation
to provide to BNYM Investment Adviser, Alcentra or the Registrant or effect transactions on behalf of the Registrant in accordance with,
any market or other information, analysis, or research in its possession. Consequently, BNY Mellon (including, but not limited to, BNY
Mellon's central Risk Management Department) may have information that could be material to the management of the Registrant and may not
share that information with relevant personnel of BNYM Investment Adviser or Alcentra. Accordingly, in making investment decisions for
the Registrant, the Adviser does not seek to obtain or use material inside information that BNY Mellon or its affiliates may possess with
respect to such issuers. However, because an Adviser, in the course of investing Registrant assets in loans (as described above), may
have access to material non-public information regarding a Borrower, the ability of the Registrant advised by such Adviser to purchase
or sell publicly-traded securities of such Borrowers may be restricted.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to
the procedures applicable to Item 10.
| Item 11. | Controls and Procedures. |
(a) The
Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure
controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures
are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized
and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files
or submits on Form N-CSR is accumulated and communicated to the Registrant's
management, including its principal executive
and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There
were no changes to the Registrant's internal control over financial reporting that occurred during the period covered by this report that
have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
The Registrant did not participate in a securities lending program
during this period.
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(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/ David J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: May 21,
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: May 21,
2024
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: May 21,
2024
EXHIBIT INDEX
(a)(1) Code of ethics referred to
in Item 2.
(a)(2) Certifications of principal
executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification
of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)
THE BNY MELLON FAMILY OF
FUNDS
BNY MELLON FUNDS TRUST
Principal Executive Officer and Senior Financial
Officer
Code of Ethics
I.
Covered Officers/Purpose of the
Code
This code of ethics (the "Code"), adopted by
the funds in the BNY Mellon Family of Funds and BNY Mellon Funds Trust (each, a
"Fund"), applies to each Fund's Principal Executive Officer,
Principal Financial Officer, Principal Accounting Officer or Controller, or
other persons performing similar functions, each of whom is listed on Exhibit A (the "Covered Officers"),
for the purpose of promoting:
·
honest and ethical conduct,
including the ethical handling of actual or apparent conflicts of interest
between personal and professional relationships;
·
full, fair, accurate, timely and
understandable disclosure in reports and documents that the Fund files with, or
submits to, the Securities and Exchange Commission (the "SEC") and in
other public communications made by the Fund;
·
compliance with applicable laws
and governmental rules and regulations;
·
the prompt internal reporting of
violations of the Code to an appropriate person or persons identified in the
Code; and
·
accountability for adherence to
the Code.
Each Covered Officer should adhere to a high standard
of business ethics and should be sensitive to situations that may give rise to
actual as well as apparent conflicts of interest.
II.
Covered Officers Should Handle
Ethically Actual and Apparent Conflicts of Interest
Overview. A
"conflict of interest" occurs when a Covered Officer's private
interest interferes with the interests of, or his service to, the Fund. For
example, a conflict of interest would arise if a Covered Officer, or a member
of his family, receives improper personal benefits as a result of his position
with the Fund.
Certain conflicts of interest arise out of the
relationships between Covered Officers and the Fund and already are subject to
conflict of interest provisions in the Investment Company Act of 1940, as
amended (the "Investment Company Act"), and the Investment Advisers Act
of 1940, as amended (the "Investment Advisers Act"). For example,
Covered Officers may not individually engage in certain transactions (such as
the purchase or sale of securities or other property) with the Fund because of
their status as "affiliated persons" of the Fund. The compliance
programs and procedures of the Fund and the Fund's investment adviser (the
"Adviser") are designed to prevent, or identify and correct,
violations of these provisions. The Code does not, and is not intended to,
repeat or replace these programs and procedures, and the circumstances they
cover fall outside of the parameters of the Code.
Although typically not presenting an opportunity for
improper personal benefit, conflicts arise from, or as a result of, the
contractual relationship between the Fund and the Adviser of which the Covered
Officers are also officers or employees. As a result, the Code recognizes that
the Covered Officers, in the ordinary course of their duties (whether formally
for the Fund or for the Adviser, or for both), will be involved in establishing policies and implementing decisions that will
have different effects on the Adviser and the Fund. The participation of the
Covered Officers in such activities is inherent in the contractual relationship
between the Fund and the Adviser and is consistent with the performance by the
Covered Officers of their duties as officers of the Fund and, if addressed in
conformity with the provisions of the Investment Company Act and the Investment
Advisers Act, will be deemed to have been handled ethically. In addition, it
is recognized by the Fund's Board that the Covered Officers also may be
officers or employees of one or more other investment companies covered by this
or other codes of ethics.
Other conflicts of interest are covered by the Code,
even if such conflicts of interest are not subject to provisions in the
Investment Company Act and the Investment Advisers Act. Covered Officers
should keep in mind that the Code cannot enumerate every possible scenario.
The overarching principle of the Code is that the personal interest of a
Covered Officer should not be placed improperly before the interest of the
Fund.
Each Covered Officer must:
·
not use his personal influence or
personal relationships improperly to influence investment decisions or
financial reporting by the Fund whereby the Covered Officer would benefit
personally to the detriment of the Fund;
·
not cause the Fund to take action,
or fail to take action, for the individual personal benefit of the Covered
Officer rather than the benefit of the Fund; and
·
not retaliate against any employee
or Covered Officer for reports of potential violations that are made in good
faith.
III.
Disclosure and Compliance
·
Each Covered Officer should
familiarize himself with the disclosure requirements generally applicable to
the Fund within his area of responsibility;
·
each Covered Officer should not
knowingly misrepresent, or cause others to misrepresent, facts about the Fund
to others, whether within or outside the Fund, including to the Fund's Board
members and auditors, and to governmental regulators and self-regulatory
organizations;
·
each Covered Officer should, to
the extent appropriate within his area of responsibility, consult with other
officers and employees of the Fund and the Adviser with the goal of promoting
full, fair, accurate, timely and understandable disclosure in the reports and
documents the Fund files with, or submits to, the SEC and in other public
communications made by the Fund; and
·
it is the responsibility of each
Covered Officer to promote compliance with the standards and restrictions
imposed by applicable laws, rules and regulations.
IV.
Reporting and Accountability
Each Covered Officer must:
·
upon adoption of the Code (or
thereafter, as applicable, upon becoming a Covered Officer), affirm in writing
to the Board that he has received, read, and understands the Code;
·
annually thereafter affirm to the Board
that he has complied with the requirements of the Code; and
·
notify the Adviser's General
Counsel (the "General Counsel") promptly if he knows of any violation
of the Code. Failure to do so is itself a violation of the Code.
The General Counsel is responsible for applying the
Code to specific situations in which questions are presented under it and has
the authority to interpret the Code in any particular situation. However,
waivers sought by any Covered Officer will be considered by the Fund's Board.
The Fund will follow these procedures in investigating
and enforcing the Code:
·
the General Counsel will take all
appropriate action to investigate any potential violations reported to him;
·
if, after such investigation, the
General Counsel believes that no violation has occurred, the General Counsel is
not required to take any further action;
·
any matter that the General
Counsel believes is a violation will be reported to the Board;
·
if the Board concurs that a
violation has occurred, it will consider appropriate action, which may include:
review of, and appropriate modifications to, applicable policies and
procedures; notification to appropriate personnel of the Adviser or its board;
or dismissal of the Covered Officer;
·
the Board will be responsible for
granting waivers, as appropriate; and
·
any waivers of or amendments to
the Code, to the extent required, will be disclosed as provided by SEC rules.
V.
Other Policies and Procedures
The Code shall be the sole code of ethics adopted by
the Fund for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the
rules and forms applicable to registered investment companies thereunder. The Fund's,
its principal underwriter's and the Adviser's codes of ethics under Rule 17j-1
under the Investment Company Act and the Adviser's additional policies and
procedures, including its Code of Conduct, are separate requirements applying
to the Covered Officers and others, and are not part of the Code.
VI.
Amendments
Except as to Exhibit A, the Code may not be amended
except in written form, which is specifically approved or ratified by a
majority vote of the Fund's Board, including a majority of independent Board
members.
VII.
Confidentiality
All reports and records prepared or maintained
pursuant to the Code will be considered confidential and shall be maintained
and protected accordingly. Except as otherwise required by law or the Code,
such matters shall not be disclosed to anyone other than the appropriate Funds
and their counsel, the appropriate Boards (or Committees) and their counsel and
the Adviser.
VIII.
Internal Use
The Code is intended solely for the internal use by
the Fund and does not constitute an admission, by or on behalf of the Fund, as
to any fact, circumstance, or legal conclusion.
Dated as of: January 14, 2021
Exhibit A
Persons Covered by the
Code of Ethics
David J. DiPetrillo
|
President
|
(Principal Executive
Officer, BNY Mellon Family of Funds)
|
|
|
|
Patrick T. Crowe
|
President
|
(Principal Executive
Officer, BNY Mellon Funds Trust)
|
|
|
|
James M. Windels
|
Treasurer
|
(Principal Financial and
Accounting Officer)
|
[EX-99.CERT]—Exhibit (a)(2)
SECTION 302 CERTIFICATION
I, David J. DiPetrillo, 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/ David
J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: May
21, 2024
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: May
21, 2024
[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/ David
J. DiPetrillo
David J. DiPetrillo
President (Principal Executive Officer)
Date: May
21, 2024
By: /s/ James
Windels
James Windels
Treasurer (Principal Financial Officer)
Date: May
21, 2024
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.
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