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 BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of
The Bank of New York Mellon Corporation (“BNY Mellon”), serving as the fund’s investment manager
and administrator, determines to be of comparable quality. The fund’s Common Stock trades on the New
York Stock Exchange (the “NYSE”) under the ticker symbol DHF.
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 such a decrease in activity results in transactions that are not orderly.
24
GAAP requires enhanced disclosures around valuation inputs and techniques used
during annual and interim periods.
Various inputs are used in determining
the value of the fund’s investments relating to fair value measurements. These inputs are summarized
in the three broad levels listed below:
Level 1—unadjusted quoted
prices in active markets for identical investments.
Level 2—other significant
observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.).
Level 3—significant unobservable inputs (including
the fund’s own assumptions in determining the fair value of investments).
The
inputs or methodology used for valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
Changes in valuation techniques may result
in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used
to value the fund’s investments are as follows:
Registered investment companies that are
not traded on an exchange are valued at their net asset value and are generally categorized within Level
1 of the fair value hierarchy.
Investments in debt securities, equity securities and floating
rate loan interests, excluding short-term investments (other than U.S. Treasury Bills), and forward foreign
currency exchange contracts (“forward contracts”) are valued each business day by one or more independent
pricing services (each, a “Service”) approved by the fund’s Board of Trustees (the “Board”).
Investments
for which quoted bid prices are readily available and are representative of the bid side of the market
in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service
from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation
of the market for such securities). Securities are valued as determined by a Service, based on methods
which include consideration of the following: yields or prices of securities of comparable quality, coupon,
maturity and type; indications as to values from dealers; and general market conditions. These securities
are generally categorized within Level 2 of the fair value hierarchy.
Each
Service and independent valuation firm is engaged under the general oversight of the Board.
25
NOTES
TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
Forward contracts are valued at the forward
rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary
of the inputs used as of September 30, 2021 in valuing the fund’s investments:
|
|
|
|
|
|
|
|
|
|
Level
1-Unadjusted Quoted Prices
|
Level 2- Other Significant Observable Inputs
|
|
Level
3-Significant Unobservable Inputs
|
Total
|
|
|
Assets ($)
|
|
|
|
Investments In Securities:†
|
|
|
|
Collateralized
Loan Obligations
|
-
|
14,400,450
|
|
-
|
14,400,450
|
|
|
Corporate
Bonds
|
-
|
293,643,307
|
|
-
|
293,643,307
|
|
|
Equity
Securities - Common Stocks
|
346,838
|
-
|
|
-
|
346,838
|
|
|
Floating
Rate Loan Interests
|
-
|
20,852,580
|
|
-
|
20,852,580
|
|
|
Investment
Companies
|
14,935,774
|
-
|
|
-
|
14,935,774
|
|
26
|
|
|
|
|
|
|
|
|
|
|
Level 1-Unadjusted Quoted Prices
|
Level
2- Other Significant Observable Inputs
|
|
Level 3-Significant Unobservable
Inputs
|
Total
|
|
|
Assets ($)(continued)
|
|
|
|
Other Financial Instruments:
|
|
|
|
Forward
Foreign Currency Exchange Contracts††
|
-
|
190,368
|
|
-
|
190,368
|
|
† See Statement of Investments for additional detailed categorizations,
if any.
†† Amount
shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged
traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
The following is a reconciliation of Level 3 assets for which significant unobservable
inputs were used to determine fair value:
|
|
|
|
|
Equity
Securities-Common Stocks ($)
|
|
Balance
as of 3/31/2021
|
413,875
|
|
Realized
gain (loss)
|
157,201
|
|
Change
in unrealized appreciation (depreciation)
|
(91,052)
|
|
Purchases/Issuances
|
-
|
|
Sales/Dispositions
|
(480,024)
|
|
Transfers
into Level 3
|
-
|
|
Transfers out of Level
3
|
-
|
|
Balance as of 9/30/2021
|
-
|
|
The amount of total gains (losses) for the period included in earnings attributable
to the change in unrealized gains (losses) relating to investments still held at 9/30/2021
|
-
|
(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
27
NOTES
TO FINANCIAL STATEMENTS (Unaudited) (continued)
on foreign currency transactions are also included with net realized and unrealized
gain or loss on investments.
(c) Securities transactions and investment income:
Securities transactions are recorded on a trade date basis. Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend
date and interest income, including, where applicable, accretion of discount and amortization of premium
on investments, is recognized on the accrual basis. Securities purchased or sold on a when-issued or
delayed delivery basis may be settled a month or more after the trade date.
(d) Affiliated issuers:
Investments in other investment companies advised by the Adviser are considered “affiliated” under
the Act.
(e) 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 have contributed to increased
volatility in global markets and will likely affect certain countries, companies, industries and market
sectors more dramatically than others. The COVID-19 pandemic has had, and any other outbreak of an infectious
disease or other serious public health concern could have, a significant negative impact on economic
and market conditions and could trigger a prolonged period of global economic slowdown. To the extent
the fund may overweight its investments in certain countries, companies, industries or market sectors,
such positions will increase the fund’s exposure to risk of loss from adverse developments affecting
those countries, companies, industries or sectors.
The fund invests primarily
in high yield debt securities. Below investment grade instruments are commonly referred to as “junk”
or “high yield”
28
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 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.
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
29
NOTES
TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
The
fund is permitted to invest up to 5% of its assets directly in the common stock of junk bond issuers.
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 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.
The
fund is permitted to invest up to 10% of the fund’s total assets in floating rate loans. Unlike publicly-traded
common stocks which trade on national exchanges, there is no central market or exchange for loans to
trade. Loans trade in an over-the-counter market, and confirmation and settlement, which are effected
through standardized procedures and documentation, may take significantly longer than seven days to complete.
The secondary market for floating rate loans also may be subject to irregular trading activity and wide
bid/ask spreads. The lack of an active trading market for certain floating rate loans may impair the
ability of the fund to realize full value in the event of the need to sell a floating rate loan and may
make it difficult to value such loans. There may be less readily 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
30
respect to its ability to realize the benefits of the collateral securing a loan.
The floating rate loans in which the fund invests typically will be below investment grade quality and,
like other below investment grade securities, are inherently speculative. As a result, the risks associated
with such floating rate loans are similar to the risks of below investment grade securities, although
senior loans are typically senior and secured in contrast to other below investment grade securities,
which are often subordinated and unsecured. Floating rate loans may not be considered to be “securities”
for purposes of the anti-fraud protections of the federal securities laws, including those with respect
to the use of material non-public information, so that purchasers, such as the fund, may not have the
benefit of these protections.
(f) Dividends and distributions to Shareholders: Dividends and distributions
are recorded on the ex-dividend date. Dividends from investment income-net are normally declared and
paid monthly. Dividends from net realized capital gains, if any, are normally declared and paid annually,
but the fund may make distributions on a more frequent basis to comply with the distribution requirements
of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital
gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains.
Income and capital gain distributions are determined in accordance with income tax regulations, which
may differ from GAAP.
Shareholders will have their distributions reinvested in additional
shares of the fund, unless such shareholders elect to receive cash, at the lower of the market price
or net asset value per share (but not less than 95% of the market price). If market price is equal to
or exceeds net asset value, shares will be issued at net asset value. If net asset value exceeds market
price, Computershare Inc., the transfer agent, will buy fund shares in the open market and reinvest those
shares accordingly.
On September 27, 2021, the Board declared a cash dividend
of $0.0215 per share from undistributed investment income-net, payable on October 27, 2021 to shareholders
of record as of the close of business on October 13, 2021. The ex-dividend date was October 12, 2021.
(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.
31
NOTES
TO FINANCIAL STATEMENTS (Unaudited) (continued)
As of and during the period ended September 30, 2021, the fund did not have any
liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related
to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended
September 30, 2021, the fund did not incur any interest or penalties.
Each
tax year in the three-year period ended March 31, 2021 remains subject to examination by the Internal
Revenue Service and state taxing authorities.
The fund is permitted to carry forward
capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as
either short-term or long-term capital losses.
The fund has an unused capital loss carryover
of $52,530,919 available for federal income tax purposes to be applied against future net realized capital
gains, if any, realized subsequent to March 31, 2021. The fund has $14,413,548 of short-term capital
losses and $38,117,371 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year
ended March 31, 2021 was as follows: ordinary income $18,758,583. The tax character of current year distributions
will be determined at the end of the current fiscal year.
(h) New accounting pronouncements:
In March 2020, the FASB issued Accounting Standards Update 2020-04, Reference Rate Reform (Topic 848):
Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”), and
in January 2021, the FASB issued Accounting Standards Update 2021-01, Reference Rate Reform (Topic 848):
Scope (“ASU 2021-01”), which provides optional, temporary relief with respect to the financial reporting
of contracts subject to certain types of modifications due to the planned discontinuation of the LIBOR
and other interbank offered rates as of the end of 2021. The temporary relief provided by ASU 2020-04
and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during
the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of ASU
2020-04 and ASU 2021-01 on the fund’s investments, derivatives,
debt and other contracts that will undergo reference rate-related modifications as a result of the reference
rate reform. Management is also currently actively working with other financial institutions and counterparties
to modify contracts as required by applicable regulation and within the regulatory deadlines.
32
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 $198,619,660
at September 30, 2021. The interest to be paid by the fund on such Borrowings is determined with reference
to the principal amount of each Borrowings outstanding from time to time. Any commitment fees with respect
to the BNPP Agreement have been waived and there is no fee in connection with any renewal thereof.
During the period ended September 30, 2021, total fees pursuant to the BNPP Agreement
amounted to $484,777 of interest expense. These fees are included in Interest expense in the Statement
of Operations.
The average amount of borrowings outstanding under the BNPP
Agreement during the period ended September 30, 2021 was $96,000,000 with a related weighted average
annualized interest rate of 1.01%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a)
Pursuant
to a management and administration agreement with the Adviser, the management and administration fee
is computed at the annual rate of .75% of the value of the fund’s average weekly total assets minus
the sum of accrued liabilities (other than the aggregate indebtedness constituting financial leverage)
(the “Managed Assets”) and is payable monthly.
(b) The fund compensates
The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, under a custody
agreement for providing custodial services for the fund. These fees are determined based on net assets
and transaction activity. During the period ended September 30, 2021, the fund was charged
$7,720 pursuant to the custody agreement.
The fund has an arrangement
with the custodian whereby the fund will receive interest income or overdraft fees when cash balances
are maintained. These fees, if any, are included in interest income in the Statement of Operations.
During the period ended September 30, 2021, the fund was charged $4,202 for services
performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance
Officer fees in the Statement of Operations.
33
NOTES
TO FINANCIAL STATEMENTS (Unaudited) (continued)
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates”
in the Statement of Assets and Liabilities consist of: management fees of $208,074, custodian fees of
$5,609 and Chief Compliance Officer fees of $2,123.
(c) Each Board member also
serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees
and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment
securities, excluding short-term securities and forward contracts, during the period ended September
30, 2021, amounted to $143,217,077 and $140,635,688, 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,
such as the LIBOR plus a premium or credit spread. Floating rate loans reset on periodic set dates, typically
30 to 90 days, but not to exceed one year. The fund may invest in multiple series or tranches of a loan.
A different series or tranche may have varying terms and carry different associated risks.
Derivatives:
A derivative is a financial instrument whose performance is derived from the performance of another asset.
The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar
agreements (collectively, “Master Agreements”) with its over-the-counter (“OTC”) derivative contract
counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements
include provisions for general obligations, representations, collateral and events of default or termination.
Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instruments’
payables and/or receivables with collateral held and/or posted and create one single net payment in the
event of default or termination.
Each type of derivative instrument that
was held by the fund during the period ended September 30, 2021 is discussed below.
Forward Foreign Currency
Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes
in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions
or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy
or sell a foreign
34
currency at a specified rate on a certain date in the future. With respect to
sales of forward contracts, the fund incurs a loss if the value of the contract increases between the
date the forward contract is opened and the date the forward contract is closed. The fund realizes a
gain if the value of the contract decreases between those dates. With respect to purchases of forward
contracts, the fund incurs a loss if the value of the contract decreases between the date the forward
contract is opened and the date the forward contract is closed. The fund realizes a gain if the value
of the contract increases between those dates. Any realized or unrealized gains or losses which occurred
during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency
risk as a result of changes in value of underlying financial instruments. The fund is also exposed to
credit risk associated with counterparty nonperformance on these forward contracts, which is generally
limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements,
if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty
to the fund to cover the fund’s exposure to the counterparty. Forward Contracts open at September 30,
2021 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The
provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure
on the offsetting of financial assets and liabilities. These disclosures are required for certain investments,
including derivative financial instruments subject to Master Agreements which are eligible for offsetting
in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information
with respect to such investments. For financial reporting purposes, the fund does not offset derivative
assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and
Liabilities.
At September 30, 2021, derivative assets and liabilities (by
type) on a gross basis are as follows:
The following table presents derivative assets net of amounts available for offsetting
under Master Agreements and net of related collateral received or pledged, if any, as of September 30,
2021:
At September 30, 2021, accumulated net unrealized appreciation
on investments inclusive of derivative contracts was $12,881,572, consisting of $14,228,035 gross unrealized
appreciation and $1,346,463 gross unrealized depreciation.
At September 30, 2021,
the cost of investments for federal income tax purposes was substantially the same as the cost for financial
reporting purposes (see the Statement of Investments).
The fund will disclose its complete schedule of portfolio holdings, as reported
on a month-end basis, at www.im.bnymellon.com, under Investments. The information will be posted with
a one-month lag and will remain accessible until the fund files a report on Form N-PORT or Form N-CSR
for the period that includes the date as of which the information was current.