NPORT-P
		false
		
			
			
				
					0000762156
					XXXXXXXX
				
			
			
			
			
				S000000069
				C000000106
				C000041113
				C000041115
				C000162288
				C000173349
			
			
			
		
	
	
		
			BNY Mellon U.S. Mortgage Fund, Inc.
			811-04215
			0000762156
			549300M4GYTVW3IU0Q57
			240 Greenwich Street
			New York
			
			10286
			212 495 1784
			BNY Mellon U.S. Mortgage Fund, Inc.
			S000000069
			549300M4GYTVW3IU0Q57
			2022-04-30
			2021-07-31
			N
		
		
			329896280.05
			51160617.75
			278735662.30
			0.00
			0.00
			0.00
			0.00
			0.00
			0.00
			0.00
			0.00
			0.00
			0.00
			43892082.03
			0.00
			0.00
			10244.48
			
				
					USD
					
					
				
			
			
			
			N
			
				
					
					
					
					
					
				
				
					
						
						
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
					
					
						
						
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
					
					
						
						
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
					
					
						
						
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
					
					
						
						
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
					
					
						
						
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
						
							
							
							
						
					
				
				
				
				
			
			
			
			
		
		
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3622AABN3
				
					
					
				
				1823379.54
				OU
				Other Units
				USD
				2048694.06
				0.7349953153088
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2047-10-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3622A22A9
				
					
					
				
				1873326.47
				OU
				Other Units
				USD
				2104755.16
				0.7551079551975
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2045-08-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				FANNIE MAE
				B1V7KEBTPIMZEU4LTD58
				FANNIE MAE POOL
				3140JAMJ4
				
					
					
				
				3669984.26
				OU
				Other Units
				USD
				4053034.76
				1.4540782928729
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2049-01-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3622AAAS3
				
					
					
				
				3095181.25
				OU
				Other Units
				USD
				3487497.98
				1.2511847071245
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2047-12-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3622AACV4
				
					
					
				
				2776644.82
				OU
				Other Units
				USD
				3012286.20
				1.0806963756069
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2048-02-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				FREDDIE MAC
				S6XOOCT0IEG5ABCC6L87
				FREDDIE MAC GOLD POOL
				3132VP6B9
				
					
					
				
				2103014.14
				OU
				Other Units
				USD
				2245607.04
				0.8056403767893
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2049-05-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36182D4V4
				
					
					
				
				993717.09
				OU
				Other Units
				USD
				1103394.99
				0.3958571288995
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2044-02-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				BFLD TRUST
				N/A
				BFLD 2019-DPLO
				054970AA6
				
					
					
				
				1800000.00
				OU
				Other Units
				USD
				1804302.18
				0.6473165884521
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2034-10-15
					Variable
					1.183
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38377GT58
				
					
					
				
				5430614.28
				OU
				Other Units
				USD
				6263541.26
				2.2471258999713
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2040-07-01
					Fixed
					5.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				3617BLLY3
				
					
					
				
				720587.00
				OU
				Other Units
				USD
				778753.37
				0.2793877767825
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2047-11-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				3617JXPA7
				
					
					
				
				302193.97
				OU
				Other Units
				USD
				330897.96
				0.1187138944724
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2049-04-01
					Fixed
					5.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382BT78
				
					
					
				
				5692166.31
				OU
				Other Units
				USD
				457608.05
				0.1641727672103
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2050-01-20
					Variable
					4.91637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179VDF4
				
					
					
				
				144332.20
				OU
				Other Units
				USD
				150770.82
				0.0540909687536
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2050-01-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				3617J0LM7
				
					
					
				
				351721.01
				OU
				Other Units
				USD
				380205.52
				0.1364036151178
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2048-11-01
					Fixed
					5.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179VA91
				
					
					
				
				140716.65
				OU
				Other Units
				USD
				148366.44
				0.0532283665375
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2049-12-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381AJB3
				
					
					
				
				786508.50
				OU
				Other Units
				USD
				831053.98
				0.2981512925696
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-10-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3617M5KT8
				
					
					
				
				11612239.00
				OU
				Other Units
				USD
				12151144.43
				4.3593791801645
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2050-02-01
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179VDG2
				
					
					
				
				503528.69
				OU
				Other Units
				USD
				526937.84
				0.1890457201105
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2050-01-01
					Fixed
					5.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36183LDQ6
				
					
					
				
				1261280.76
				OU
				Other Units
				USD
				1354892.10
				0.4860849483055
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2044-11-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380FHM1
				
					
					
				
				6328975.00
				OU
				Other Units
				USD
				6911245.76
				2.479498210947
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2047-06-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				3617LANC2
				
					
					
				
				605713.46
				OU
				Other Units
				USD
				654011.99
				0.2346352040508
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2050-03-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38379GUF2
				
					
					
				
				2137691.14
				OU
				Other Units
				USD
				2335199.05
				0.8377826614402
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2038-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381VH45
				
					
					
				
				1304265.60
				OU
				Other Units
				USD
				1360431.19
				0.4880721680083
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-12-01
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				TRICON AMERICAN HOMES
				N/A
				TRICON AMERICAN HOMES 2020-SFR1
				89613GAB2
				
					
					
				
				2300000.00
				OU
				Other Units
				USD
				2342319.31
				0.8403371461951
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2038-07-01
					Fixed
					2.049
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380YZH1
				
					
					
				
				6137973.00
				OU
				Other Units
				USD
				6606351.90
				2.3701136214459
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-09-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179VMH0
				
					
					
				
				1005613.73
				OU
				Other Units
				USD
				1083541.13
				0.3887343015454
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2050-05-01
					Fixed
					5.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380YWQ4
				
					
					
				
				1280531.39
				OU
				Other Units
				USD
				1336972.35
				0.479656007763
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-09-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179U4E9
				
					
					
				
				1992615.88
				OU
				Other Units
				USD
				2121543.77
				0.7611310847323
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2049-10-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38379FKW8
				
					
					
				
				1456434.78
				OU
				Other Units
				USD
				1555977.15
				0.5582267935006
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2045-11-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381VTF7
				
					
					
				
				6752337.23
				OU
				Other Units
				USD
				473581.25
				0.1699033579313
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-05-20
					Variable
					3.19637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381TE84
				
					
					
				
				5178016.41
				OU
				Other Units
				USD
				5392465.00
				1.934616100252
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-04-01
					Fixed
					3.25
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38377DKF2
				
					
					
				
				3263592.67
				OU
				Other Units
				USD
				689615.08
				0.2474082700109
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2040-08-16
					Variable
					6.55887
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381BJE5
				
					
					
				
				877359.79
				OU
				Other Units
				USD
				945578.90
				0.3392385790169
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-01-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GS MORTGAGE SECURITIES TRUST
				N/A
				GS MORTGAGE SECURITIES CORP TRUST 2019-70P
				36257MAA3
				
					
					
				
				2500000.00
				OU
				Other Units
				USD
				2502834.50
				0.8979240328803
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2036-10-15
					Variable
					1.093
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381RNT2
				
					
					
				
				2303326.92
				OU
				Other Units
				USD
				298013.19
				0.1069160607368
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-02-20
					Variable
					5.96637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380KDT9
				
					
					
				
				5342581.98
				OU
				Other Units
				USD
				5801668.45
				2.081423095318
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2047-11-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36202FQ74
				
					
					
				
				529539.89
				OU
				Other Units
				USD
				588341.43
				0.2110750469262
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2041-03-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380XT72
				
					
					
				
				3630504.48
				OU
				Other Units
				USD
				482825.51
				0.1732198549751
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-08-20
					Variable
					6.11637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36176EWP2
				
					
					
				
				1250947.16
				OU
				Other Units
				USD
				1362118.06
				0.4886773542934
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-07-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36194GKH6
				
					
					
				
				2289104.20
				OU
				Other Units
				USD
				2491576.04
				0.8938849157085
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-06-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36178DR37
				
					
					
				
				926799.78
				OU
				Other Units
				USD
				997864.85
				0.3579968353407
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2042-12-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36296YD90
				
					
					
				
				784968.59
				OU
				Other Units
				USD
				842880.91
				0.3023943556575
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2044-10-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36193GE76
				
					
					
				
				2552948.97
				OU
				Other Units
				USD
				2779012.07
				0.9970062844018
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-05-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36193EP95
				
					
					
				
				1218477.81
				OU
				Other Units
				USD
				1294191.30
				0.4643077564316
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36184Y5M5
				
					
					
				
				1446777.27
				OU
				Other Units
				USD
				1573750.52
				0.5646032183374
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2045-05-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36195CAK8
				
					
					
				
				3114433.54
				OU
				Other Units
				USD
				3333260.96
				1.1958501945877
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-08-01
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297F6L1
				
					
					
				
				215981.98
				OU
				Other Units
				USD
				242510.05
				0.0870035961666
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2040-01-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179TJY2
				
					
					
				
				1378860.25
				OU
				Other Units
				USD
				1478888.27
				0.5305701673753
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2047-10-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36198VNK9
				
					
					
				
				947906.23
				OU
				Other Units
				USD
				1015788.91
				0.364427322151
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2044-07-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36241LX84
				
					
					
				
				104541.57
				OU
				Other Units
				USD
				112303.03
				0.0402901548633
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2041-09-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297JKC7
				
					
					
				
				381093.39
				OU
				Other Units
				USD
				427936.47
				0.1535277066697
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-04-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36194CAG8
				
					
					
				
				1560909.47
				OU
				Other Units
				USD
				1698889.70
				0.60949850693
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-05-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36193SR84
				
					
					
				
				1297014.95
				OU
				Other Units
				USD
				1412033.78
				0.5065852601524
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-05-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297F6M9
				
					
					
				
				240456.11
				OU
				Other Units
				USD
				271692.51
				0.0974731786231
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2040-01-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36202FDB9
				
					
					
				
				372108.20
				OU
				Other Units
				USD
				410686.10
				0.1473389148023
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-12-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36204DX38
				
					
					
				
				1131241.94
				OU
				Other Units
				USD
				1256035.30
				0.4506188012096
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2041-07-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36184S4U1
				
					
					
				
				312674.49
				OU
				Other Units
				USD
				333184.86
				0.1195343492291
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2045-04-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36192UD69
				
					
					
				
				3375098.83
				OU
				Other Units
				USD
				3653841.49
				1.310862578491
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-04-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179MNH9
				
					
					
				
				1588582.31
				OU
				Other Units
				USD
				1711100.94
				0.613879446168
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2042-09-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179EEQ7
				
					
					
				
				1604223.69
				OU
				Other Units
				USD
				1734117.10
				0.6221367892758
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2043-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179TTY1
				
					
					
				
				1805581.07
				OU
				Other Units
				USD
				1852697.33
				0.6646789702876
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2048-03-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36194GN75
				
					
					
				
				934461.31
				OU
				Other Units
				USD
				1007031.63
				0.361285535439
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-07-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3620A9PQ8
				
					
					
				
				1103401.73
				OU
				Other Units
				USD
				1215792.41
				0.4361811473881
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-10-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36295WJK4
				
					
					
				
				662929.56
				OU
				Other Units
				USD
				744367.33
				0.2670513431463
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2040-09-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36188SPE0
				
					
					
				
				606180.24
				OU
				Other Units
				USD
				653578.99
				0.2344798597377
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2045-11-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297F2P6
				
					
					
				
				602874.60
				OU
				Other Units
				USD
				676995.09
				0.2428806864588
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-11-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3620AQ3U5
				
					
					
				
				762283.04
				OU
				Other Units
				USD
				861132.69
				0.3089424162284
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2040-04-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36176BN29
				
					
					
				
				763214.64
				OU
				Other Units
				USD
				837433.88
				0.3004401636625
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2041-03-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297FHN5
				
					
					
				
				511946.93
				OU
				Other Units
				USD
				585952.29
				0.210217912256
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-06-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36182YTF6
				
					
					
				
				1683172.68
				OU
				Other Units
				USD
				1799787.68
				0.6456969535756
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2044-09-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36176S4E7
				
					
					
				
				456845.49
				OU
				Other Units
				USD
				519389.47
				0.1863376453928
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2041-10-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				3620A7ZK4
				
					
					
				
				675243.99
				OU
				Other Units
				USD
				749979.96
				0.2690649462689
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2040-08-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36186SLE6
				
					
					
				
				357113.42
				OU
				Other Units
				USD
				395615.86
				0.1419322725824
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2045-06-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36183QT47
				
					
					
				
				1932027.12
				OU
				Other Units
				USD
				2057501.89
				0.7381552374828
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2045-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36193GEV3
				
					
					
				
				2207006.37
				OU
				Other Units
				USD
				2393054.80
				0.8585391550738
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-05-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382FGJ7
				
					
					
				
				2998903.59
				OU
				Other Units
				USD
				331541.39
				0.1189447332516
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2035-05-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297FRX2
				
					
					
				
				887169.43
				OU
				Other Units
				USD
				999295.11
				0.3585099594914
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-07-01
					Fixed
					4.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE I POOL
				36297FX98
				
					
					
				
				643927.04
				OU
				Other Units
				USD
				704289.90
				0.2526730502256
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2039-10-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380WL56
				
					
					
				
				2285763.06
				OU
				Other Units
				USD
				350355.59
				0.1256945692234
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-05-20
					Variable
					6.16637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382CRT0
				
					
					
				
				1464000.00
				OU
				Other Units
				USD
				1536548.23
				0.551256418831
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2050-02-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36193NG87
				
					
					
				
				2846199.56
				OU
				Other Units
				USD
				3086469.44
				1.1073105660509
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2046-03-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381BCY8
				
					
					
				
				10427391.15
				OU
				Other Units
				USD
				1415053.29
				0.507668548159
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-12-20
					Variable
					6.01637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				FHLMC MULTIFAMILY STRUCTURED P
				S6XOOCT0IEG5ABCC6L87
				FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
				3137FHQB2
				
					
					
				
				1759364.95
				OU
				Other Units
				USD
				1787712.89
				0.6413649675282
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2047-10-01
					Variable
					2.97697
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381AFX9
				
					
					
				
				4737491.78
				OU
				Other Units
				USD
				722492.13
				0.2592033340973
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-10-20
					Variable
					6.11637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381V2F6
				
					
					
				
				1663492.91
				OU
				Other Units
				USD
				173170.94
				0.0621272995967
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-06-20
					Variable
					6.06637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381Y5K6
				
					
					
				
				2429185.53
				OU
				Other Units
				USD
				227704.32
				0.0816918503075
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-10-20
					Variable
					4.35637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381ADE3
				
					
					
				
				1507029.99
				OU
				Other Units
				USD
				201322.78
				0.0722271338869
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-10-20
					Variable
					6.11637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382JNR3
				
					
					
				
				4617282.92
				OU
				Other Units
				USD
				284779.24
				0.1021682111467
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2050-09-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179VZG8
				
					
					
				
				4699434.10
				OU
				Other Units
				USD
				4835728.50
				1.7348797280182
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2050-12-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				SL8504XY7_1081500_S
				N/A
				LCH - IRS PAY FIXED 0.444% RECEIVE 3 MO LIBOR BBA -23/11/2025  - BOAML
				N/A
				
					
					
				
				-8200000.00
				NC
				USD
				88533.28
				0.0317624516609
				Short
				DIR
				
				US
				
				N
				
				2
				
					
						
							MORGAN STANLEY & COMPANY LLC
							N/A
						
						Y
						
							
								
							
						
						
						2025-11-23
						0.00
						USD
						0.00
						USD
						-8200000.00
						USD
						88533.28
					
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381BZQ0
				
					
					
				
				495160.00
				OU
				Other Units
				USD
				524540.22
				0.1881855431313
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-07-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382AU94
				
					
					
				
				2056819.27
				OU
				Other Units
				USD
				311330.45
				0.1116937988598
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-11-01
					Fixed
					5.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38380V4J7
				
					
					
				
				1645778.20
				OU
				Other Units
				USD
				1788866.76
				0.6417789332154
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-03-01
					Fixed
					3.20
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381YM50
				
					
					
				
				4990560.78
				OU
				Other Units
				USD
				744680.50
				0.2671636969073
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-09-01
					Fixed
					5.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381BD68
				
					
					
				
				3766156.50
				OU
				Other Units
				USD
				528716.02
				0.1896836650313
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-01-20
					Variable
					6.01637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381YV50
				
					
					
				
				1921344.65
				OU
				Other Units
				USD
				2004266.23
				0.7190562604948
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-09-01
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381BH56
				
					
					
				
				897402.00
				OU
				Other Units
				USD
				1004481.17
				0.3603705251461
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				PROGRESS RESIDENTIAL TRUST
				N/A
				PROGRESS RESIDENTIAL 2021-SFR1
				74331FAA9
				
					
					
				
				2600000.00
				OU
				Other Units
				USD
				2574947.44
				0.9237954766005
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2038-04-01
					Fixed
					1.052
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382KNC3
				
					
					
				
				4822643.94
				OU
				Other Units
				USD
				297710.97
				0.106807635429
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2050-10-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				FREDDIE MAC
				S6XOOCT0IEG5ABCC6L87
				FREDDIE MAC REMICS
				3137A5L77
				
					
					
				
				1114893.77
				OU
				Other Units
				USD
				1420914.27
				0.5097712500349
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2041-01-15
					Variable
					9.71374
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381AH82
				
					
					
				
				4789611.00
				OU
				Other Units
				USD
				5268751.71
				1.8902323680165
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2048-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38378PLA4
				
					
					
				
				499636.04
				OU
				Other Units
				USD
				546369.30
				0.1960170060377
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2043-12-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38379F3S6
				
					
					
				
				397949.80
				OU
				Other Units
				USD
				422191.51
				0.1514666284594
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2045-12-01
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38381RYW3
				
					
					
				
				1108867.30
				OU
				Other Units
				USD
				1257823.44
				0.4512603194083
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2049-03-01
					Fixed
					5.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				PROGRESS RESIDENTIAL TRUST
				N/A
				PROGRESS RESIDENTIAL 2021-SFR3
				74333VAA2
				
					
					
				
				2793431.23
				OU
				Other Units
				USD
				2840299.70
				1.0189940090776
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2026-05-01
					Fixed
					1.637
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38379TAW9
				
					
					
				
				1400000.00
				OU
				Other Units
				USD
				1505212.52
				0.5400143302725
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2041-09-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179V4L1
				
					
					
				
				7403821.88
				OU
				Other Units
				USD
				7618460.31
				2.7332205169356
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-01-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				ALEN 2021-ACEN MORTGAGE TRUST
				N/A
				ALEN 2021-ACEN MORTGAGE TRUST
				01449NAA4
				
					
					
				
				6000000.00
				OU
				Other Units
				USD
				6025075.20
				2.1615731371736
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2034-04-15
					Variable
					1.243
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382B5K5
				
					
					
				
				3121000.00
				OU
				Other Units
				USD
				3335260.08
				1.1965674045721
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2050-01-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				JP MORGAN CHASE COMMERCIAL MOR
				N/A
				J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T
				46652WAA1
				
					
					
				
				2900000.00
				OU
				Other Units
				USD
				3010079.94
				1.0799048514862
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2042-03-01
					Fixed
					2.28704
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
				38382LEZ0
				
					
					
				
				6395773.94
				OU
				Other Units
				USD
				392251.54
				0.1407252795581
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2050-11-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				PROGRESS RESIDENTIAL TRUST
				N/A
				PROGRESS RESIDENTIAL 2021-SFR4
				74333EAA0
				
					
					
				
				2300000.00
				OU
				Other Units
				USD
				2328159.13
				0.8352569996925
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2038-05-01
					Fixed
					1.558
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				FREDDIE MAC
				S6XOOCT0IEG5ABCC6L87
				FREDDIE MAC REMICS
				3137BFGQ8
				
					
					
				
				1473215.46
				OU
				Other Units
				USD
				1550727.81
				0.5563435253329
				Long
				ABS-CBDO
				USGA
				US
				
				N
				
				2
				
					2044-12-01
					Fixed
					3.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				3617VDQX6
				
					
					
				
				4283388.40
				OU
				Other Units
				USD
				4480098.17
				1.6072927780508
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-06-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE
				21H020683
				
					
					
				
				43100000.00
				OU
				Other Units
				USD
				44145511.18
				15.8377693100808
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-08-20
					Fixed
					2.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE
				21H030682
				
					
					
				
				-16500000.00
				OU
				Other Units
				USD
				-17267636.93
				-6.1949866003923
				Short
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-08-20
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				3617VTH86
				
					
					
				
				25224070.26
				OU
				Other Units
				USD
				26380977.04
				9.4645144515474
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-06-01
					Fixed
					2.50
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				GOVERNMENT NATIONAL MORTGAGE A
				549300M8ZYFG0OCMTT87
				GINNIE MAE II POOL
				36179WDS4
				
					
					
				
				16126070.19
				OU
				Other Units
				USD
				16890530.58
				6.0596948523296
				Long
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-04-01
					Fixed
					3.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				FANNIE MAE OR FREDDIE MAC
				B1V7KEBTPIMZEU4LTD58
				FANNIE MAE OR FREDDIE MAC
				01F040685
				
					
					
				
				-20000000.00
				OU
				Other Units
				USD
				-21373308.60
				-7.6679490609982
				Short
				ABS-MBS
				USGA
				US
				
				N
				
				2
				
					2051-08-01
					Fixed
					4.00
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				482606AA8
				N/A
				KNDR 2021-KIND A
				482606AA8
				
					
					
				
				6900000.00
				OU
				Other Units
				USD
				6908217.90
				2.4784119272706
				Long
				ABS-MBS
				CORP
				US
				
				Y
				
				2
				
					2026-08-15
					Variable
					1.15
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				DREYFUS INSTITUTIONAL PREFERRE
				549300RBWL04JG8SIX57
				Dreyfus Institutional Preferred Government Plus Money Market Fund
				N/A
				
					
					
				
				31832260.73
				OU
				Other Units
				USD
				31832260.73
				11.4202325125298
				Long
				STIV
				RF
				US
				
				N
				
				1
				
					2099-12-01
					Variable
					0.05358
					N
					N
					N
				
				
					N
					N
					N
				
			
			
				TYU1 COMDTY
				N/A
				US 10YR NOTE (CBT)SEP21
				N/A
				
					
					
				
				-130.00
				NC
				USD
				-17478906.90
				-6.2707824164916
				Short
				DIR
				
				US
				
				N
				
				1
				
					
						
							N/A
							N/A
						
						Short
						
							
								TYU1 COMDTY_REF
								US 10YR NOTE (CBT)SEP21
								
									
									
									
								
							
						
						2021-09-21
						-17478906.90
						USD
						-380034.20
					
				
				
					N
					N
					N
				
			
		
		
			2021-09-27
			BNY Mellon Advantage Funds, Inc.
			James Windels
			James Windels
			Fund Treasurer
		
	
	XXXX




Untitled Document

STATEMENT OF INVESTMENTS
BNY Mellon U.S. Mortgage Fund, Inc.

July 31, 2021 (Unaudited)

          
 

Description

Coupon
Rate (%)

 

Maturity

Date

 

Principal

Amount ($)

 

Value ($)

 

Bonds and Notes - 106.3%

     

Asset-Backed Certificates - 3.6%

     

Progress Residential, Ser. 2021-SFR1, Cl. A

 

1.05

 

4/17/2038

 

2,600,000

a 

2,574,947

 

Progress Residential, Ser. 2021-SFR3, Cl. A

 

1.64

 

5/17/2026

 

2,793,431

a 

2,840,300

 

Progress Residential, Ser. 2021-SFR4, Cl. A

 

1.56

 

5/17/2038

 

2,300,000

a 

2,328,159

 

Tricon American Homes, Ser. 2020-SFR1, Cl. B

 

2.05

 

7/17/2038

 

2,300,000

a 

2,342,319

 
 

10,085,725

 

Commercial Mortgage Pass-Through Certificates - 7.3%

     

Alen Mortgage Trust, Ser. 2021-ACEN, Cl. A, 1 Month LIBOR +1.15%

 

1.24

 

4/15/2034

 

6,000,000

a,b 

6,025,075

 

BFLD Trust, Ser. 2019-DPLO, Cl. A, 1 Month LIBOR +1.09%

 

1.18

 

10/15/2034

 

1,800,000

a,b 

1,804,302

 

GS Mortgage Securities Trust, Ser. 2019-70P, Cl. A, 1 Month LIBOR +1.00%

 

1.09

 

10/15/2036

 

2,500,000

a,b 

2,502,835

 

J.P. Morgan Chase Commercial Mortgage Securities Trust, Ser. 2021-410T, Cl. A

 

2.29

 

3/5/2042

 

2,900,000

a 

3,010,080

 

KNDR Trust, Ser. 2021-KIND, Cl. A, 1 Month LIBOR +.95%

 

1.15

 

8/15/2026

 

6,900,000

a,b 

6,908,218

 
 

20,250,510

 

U.S. Government Agencies Collateralized Mortgage Obligations - 25.1%

     

Federal Home Loan Mortgage Corp., REMIC, Ser. 3785, CI. LS, 1 Month LIBOR +9.90%

 

9.71

 

1/15/2041

 

1,114,894

b,c 

1,420,914

 

Federal Home Loan Mortgage Corp., REMIC, Ser. 4423, CI. Z

 

3.50

 

12/15/2044

 

1,473,215

c 

1,550,728

 

Government National Mortgage Association, Ser. 2010-101, Cl. SH, 1 Month LIBOR +6.65%

 

6.56

 

8/16/2040

 

3,263,593

b 

689,615

 

Government National Mortgage Association, Ser. 2010-89, Cl. Z

 

5.00

 

7/20/2040

 

5,430,614

 

6,263,541

 

Government National Mortgage Association, Ser. 2013-188, Cl. CG

 

4.00

 

12/20/2043

 

499,636

 

546,369

 

Government National Mortgage Association, Ser. 2014-145, Cl. KA

 

3.50

 

1/20/2038

 

2,137,691

 

2,335,199

 

Government National Mortgage Association, Ser. 2015-176, CI. QZ

 

3.50

 

11/20/2045

 

1,456,435

 

1,555,977

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity

Date

 

Principal

Amount ($)

 

Value ($)

 

Bonds and Notes - 106.3% (continued)

     

U.S. Government Agencies Collateralized Mortgage Obligations - 25.1% (continued)

     

Government National Mortgage Association, Ser. 2015-179, CI. DV

 

3.50

 

9/20/2041

 

1,400,000

 

1,505,213

 

Government National Mortgage Association, Ser. 2015-185, Cl. PZ

 

3.00

 

12/20/2045

 

397,950

 

422,192

 

Government National Mortgage Association, Ser. 2017-176, Cl. BZ

 

3.50

 

11/20/2047

 

5,342,582

 

5,801,669

 

Government National Mortgage Association, Ser. 2017-93, Cl. GY

 

3.50

 

6/20/2047

 

6,328,975

 

6,911,246

 

Government National Mortgage Association, Ser. 2018-115, Cl. SJ, 1 Month LIBOR +6.20%

 

6.12

 

8/20/2048

 

3,630,504

b 

482,826

 

Government National Mortgage Association, Ser. 2018-120, Cl. PU

 

3.50

 

9/20/2048

 

1,280,531

 

1,336,972

 

Government National Mortgage Association, Ser. 2018-131, Cl. ML

 

3.50

 

9/20/2048

 

6,137,973

 

6,606,352

 

Government National Mortgage Association, Ser. 2018-138, Cl. SK, 1 Month LIBOR +6.20%

 

6.12

 

10/20/2048

 

1,507,030

b 

201,323

 

Government National Mortgage Association, Ser. 2018-146, CI. BL

 

4.00

 

10/20/2048

 

786,509

 

831,054

 

Government National Mortgage Association, Ser. 2018-147, Cl. SB, 1 Month LIBOR +6.20%

 

6.12

 

10/20/2048

 

4,737,492

b 

722,492

 

Government National Mortgage Association, Ser. 2018-160, Cl. PD

 

3.50

 

1/20/2048

 

4,789,611

 

5,268,752

 

Government National Mortgage Association, Ser. 2018-164, Cl. SW, 1 Month LIBOR +6.10%

 

6.02

 

12/20/2048

 

10,427,391

b 

1,415,053

 

Government National Mortgage Association, Ser. 2018-46, Cl. CZ

 

3.20

 

3/20/2048

 

1,645,778

 

1,788,867

 

Government National Mortgage Association, Ser. 2018-65, Cl. SL, 1 Month LIBOR +6.25%

 

6.17

 

5/20/2048

 

2,285,763

b 

350,356

 

Government National Mortgage Association, Ser. 2019-112, Cl. JZ

 

3.00

 

9/20/2049

 

1,921,345

 

2,004,266

 

Government National Mortgage Association, Ser. 2019-119, Cl. IT

 

5.50

 

9/20/2049

 

4,990,561

 

744,681

 

Government National Mortgage Association, Ser. 2019-132, Cl. SB, 1 Month LIBOR +4.44%

 

4.36

 

10/20/2049

 

2,429,186

b 

227,704

 

Government National Mortgage Association, Ser. 2019-140, Cl. DI

 

5.50

 

11/20/2049

 

2,056,819

 

311,330

 

Government National Mortgage Association, Ser. 2019-23, Cl. SB, 1 Month LIBOR +6.05%

 

5.97

 

2/20/2049

 

2,303,327

b 

298,013

 

Government National Mortgage Association, Ser. 2019-3, CI. JZ

 

4.00

 

1/20/2049

 

877,360

 

945,579

 


          
 

Description

Coupon
Rate (%)

 

Maturity

Date

 

Principal

Amount ($)

 

Value ($)

 

Bonds and Notes - 106.3% (continued)

     

U.S. Government Agencies Collateralized Mortgage Obligations - 25.1% (continued)

     

Government National Mortgage Association, Ser. 2019-31, CI. AZ

 

5.00

 

3/20/2049

 

1,108,867

 

1,257,823

 

Government National Mortgage Association, Ser. 2019-42, CI. AB

 

3.25

 

4/20/2049

 

5,178,016

 

5,392,465

 

Government National Mortgage Association, Ser. 2019-5, Cl. P

 

3.50

 

7/20/2048

 

495,160

 

524,540

 

Government National Mortgage Association, Ser. 2019-5, Cl. SM, 1 Month LIBOR +6.10%

 

6.02

 

1/20/2049

 

3,766,157

b 

528,716

 

Government National Mortgage Association, Ser. 2019-57, Cl. NS, 1 Month LIBOR +3.28%

 

3.20

 

5/20/2049

 

6,752,337

b 

473,581

 

Government National Mortgage Association, Ser. 2019-59, Cl. KA

 

3.00

 

12/20/2048

 

1,304,266

 

1,360,431

 

Government National Mortgage Association, Ser. 2019-6, Cl. JK

 

3.50

 

1/20/2049

 

897,402

 

1,004,481

 

Government National Mortgage Association, Ser. 2019-70, Cl. AS, 1 Month LIBOR +6.15%

 

6.07

 

6/20/2049

 

1,663,493

b 

173,171

 

Government National Mortgage Association, Ser. 2020-11, Cl. CB

 

3.50

 

1/20/2050

 

3,121,000

 

3,335,260

 

Government National Mortgage Association, Ser. 2020-141, Cl. AI

 

2.50

 

9/20/2050

 

4,617,283

 

284,779

 

Government National Mortgage Association, Ser. 2020-15, Cl. CB

 

2.50

 

2/20/2050

 

1,464,000

 

1,536,548

 

Government National Mortgage Association, Ser. 2020-162 Cl. DI

 

2.50

 

10/20/2050

 

4,822,644

 

297,711

 

Government National Mortgage Association, Ser. 2020-164, Cl. KI

 

2.50

 

11/20/2050

 

6,395,774

 

392,252

 

Government National Mortgage Association, Ser. 2020-4, CI. BS, 1 Month LIBOR +5.00%

 

4.92

 

1/20/2050

 

5,692,166

b 

457,608

 

Government National Mortgage Association, Ser. 2020-63, Cl. AI

 

4.00

 

5/20/2035

 

2,998,904

 

331,541

 
 

69,889,190

 

U.S. Government Agencies Collateralized Municipal-Backed Securities - .6%

     

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Ser. Q007, Cl. APT1

 

2.98

 

10/25/2047

 

1,759,365

c 

1,787,713

 

U.S. Government Agencies Mortgage-Backed - 69.7%

     

Federal Home Loan Mortgage Corp.:

   

4.00%, 5/1/2049

  

2,103,014

c 

2,245,607

 

Federal National Mortgage Association:

   

4.50%, 1/1/2049

  

3,669,984

c 

4,053,035

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity

Date

 

Principal

Amount ($)

 

Value ($)

 

Bonds and Notes - 106.3% (continued)

     

U.S. Government Agencies Mortgage-Backed - 69.7% (continued)

     

Government National Mortgage Association I:

   

3.00%, 2/15/2050

  

11,612,239

 

12,151,144

 

3.50%, 9/15/2041-2/15/2048

  

6,276,129

 

6,765,123

 

4.00%, 10/15/2039-8/15/2045

  

7,541,186

 

8,367,297

 

4.50%, 4/15/2039-12/15/2047

  

9,640,142

 

10,865,463

 

Government National Mortgage Association II:

   

2.00%

  

43,100,000

d 

44,145,511

 

2.50%, 12/20/2050-6/20/2051

  

41,610,714

 

43,315,264

 

3.00%, 8/20/2046-4/20/2051

  

19,240,504

 

20,223,792

 

3.50%, 9/20/2042-3/20/2050

  

31,643,113

 

34,118,844

 

4.00%, 10/20/2047

  

1,378,860

 

1,478,888

 

4.50%, 12/20/2039-1/20/2050

  

3,899,900

 

4,198,461

 

5.00%, 11/20/2048-5/20/2050

  

2,163,058

 

2,321,583

 
 

194,250,012

 

Total Bonds and Notes
(cost $297,489,775)

 

296,263,150

 

Description

1-Day
Yield (%)

   

Shares

 

Value ($)

 

Investment Companies - 11.4%

     

Registered Investment Companies - 11.4%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $31,832,261)

 

0.05

   

31,832,261

e 

31,832,261

 

Total Investments (cost $329,322,036)

 

117.7%

328,095,411

 

Liabilities, Less Cash and Receivables

 

(17.7%)

(49,359,749)

 

Net Assets

 

100.0%

278,735,662

 

LIBOR—London Interbank Offered Rate

REMIC—Real Estate Mortgage Investment Conduit

a Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, these securities were valued at $30,336,235 or 10.88% of net assets.

b 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.

c The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.

d Purchased on a forward commitment basis.

e Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.


STATEMENT OF INVESTMENTS
BNY Mellon U.S. Mortgage Fund, Inc.

July 31, 2021 (Unaudited)

The following is a summary of the inputs used as of July 31, 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:

 

 

 

 

Asset-Backed Securities

-

10,085,725

-

10,085,725

Commercial Mortgage-Backed

-

20,250,510

-

20,250,510

Investment Companies

31,832,261

-

-

31,832,261

U.S. Government Agencies Collateralized Mortgage Obligations

-

69,889,190

-

69,889,190

U.S. Government Agencies Collateralized Municipal-Backed Securities

-

1,787,713

-

1,787,713

U.S. Government Agencies Mortgage-Backed

-

194,250,012

-

194,250,012

Other Financial Instruments:

    

Swap Agreements ††

-

84,066

-

84,066

Liabilities ($)

    

Investments in Securities:

    

U.S. Government Agencies Mortgage-Backed

-

(38,640,946)

-

(38,640,946)

Other Financial Instruments:

    

Futures ††

(380,034)

-

-

(380,034)

See Statement of Investments for additional detailed categorizations, if any.

†† Amount shown represents unrealized appreciation (depreciation) at period end.


STATEMENT OF FUTURES
BNY Mellon U.S. Mortgage Fund, Inc.

July 31, 2021 (Unaudited)

       

Description

Number of
Contracts

Expiration

Notional
Value ($)

Market
Value ($)

Unrealized (Depreciation) ($)

 

Futures Short

  

U.S. Treasury 10 Year Notes

130

9/21/2021

17,098,873

17,478,907

(380,034)

 

Gross Unrealized Depreciation

 

(380,034)

 

See notes to financial statements.


STATEMENT OF SWAP AGREEMENTS
BNY Mellon U.S. Mortgage Fund, Inc.

July 31, 2021 (Unaudited)

  

  

     

Centrally Cleared Interest Rate Swaps

 

Received
Reference
Entity

Paid
Reference
Entity

Maturity

Date

Notional
Amount ($)

Unrealized Appreciation ($)

USD - 3 Month LIBOR

USD Fixed at 0.44

11/23/2025

8,200,000

84,066

Gross Unrealized Appreciation

84,066

USD—United States Dollar

See notes to financial statements.

  

  

 


STATEMENT OF SECURITIES SOLD SHORT
BNY Mellon U.S. Mortgage Fund, Inc.

July 31, 2021 (Unaudited)

    

          
 

Description

    

Principal

Amount ($)

 

Value ($)

 

Bonds and Notes - 13.9%

     

U.S. Government Agencies Mortgage-Backed - 13.9%

     

Federal National Mortgage Association

   

4.00%

  

(20,000,000)

a 

(21,373,309)

 

Government National Mortgage Association II

   

3.00%

  

(16,500,000)

 

(17,267,637)

 

Total Sale Commitments (proceeds $38,540,313)

  

(38,640,946)

 

a The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.


The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:

Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.

Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), financial futures 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 Members (the "Board"). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.

U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.

Each Service and independent valuation firm is engaged under the general oversight of the Board.

When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

Short Sales: The fund is engaged in short-selling which obligates the fund to replace the security borrowed by purchasing the security at current market value. The fund incurs a loss if the price of the security increases between the date of the short sale and the date on which the fund replaces the borrowed security. The fund realizes a gain if the price of the security declines between those dates. Until the fund replaces the borrowed security, the fund will maintain daily a segregated account with a broker or custodian of permissible liquid assets sufficient to cover its short positions.

The fund is liable for any dividends payable on securities while those securities are in a short position. Dividends declared on short positions are recorded on the ex-dividend date and recorded as an expense in the Statement of Operations. The fund is charged a


securities loan fee in connection with short sale transactions which is recorded as interest on securities sold short in the Statement of Operations.

Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at July 31, 2021 is discussed below.

Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.

Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.

For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date. Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.


Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.

Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount. The net interest received or paid on interest rate swap agreements is included within realized gain (loss) on swap agreements in the Statement of Operations. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.

For OTC swaps, the fund’s maximum risk of loss from counterparty risk is the discounted value of the cash flows to be received from the counterparty over the agreement’s remaining life, to the extent that the amount is positive. 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. Interest rate swaps open at July 31, 2021 are set forth in the Statement of Swap Agreements.

At July 31, 2021, accumulated net unrealized depreciation on investments was $1,226,625, consisting of $3,587,366 gross unrealized appreciation and $4,813,991 gross unrealized depreciation.

At July 31, 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).

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.