STATEMENT
OF INVESTMENTS
BNY Mellon Dynamic Total Return Fund
July 31, 2022 (Unaudited)
Description/Number of Contracts | Exercise Price | Expiration Date | Notional Amount | d | Value ($) | ||||
Options Purchased - .5% | |||||||||
Call Options - .5% | |||||||||
Standard & Poor's 500 E-mini, Contracts
209 | 4,175 | 9/16/2022 | 43,628,750 | 982,300 | |||||
Description |
Annualized | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Short-Term Investments - 75.0% | |||||||||
U.S. Government Securities | |||||||||
U.S. Treasury Bills | 1.24 | 9/15/2022 | 14,135,000 | a,b | 14,097,829 | ||||
U.S. Treasury Bills | 1.05 | 8/18/2022 | 41,741,400 | b | 41,700,844 | ||||
U.S. Treasury Bills | 1.43 | 12/1/2022 | 80,579,000 | b | 79,874,471 | ||||
Total Short-Term
Investments | 135,673,144 | ||||||||
Description |
1-Day | Shares |
| Value ($) | |||||
Investment Companies - 16.4% | |||||||||
Registered Investment Companies - 16.4% | |||||||||
Dreyfus
Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 2.21 | 29,755,522 | c | 29,755,522 | |||||
Total Investments (cost $166,708,903) | 91.9% | 166,410,966 | |||||||
Cash and Receivables (Net) | 8.1% | 14,579,556 | |||||||
Net Assets | 100.0% | 180,990,522 |
a Held by a counterparty for open exchange traded derivative contracts.
b Security is a discount security. Income is recognized through the accretion of discount.
c Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
d Notional amount stated in U.S. Dollars unless otherwise indicated.
STATEMENT
OF FUTURES
BNY Mellon Dynamic Total Return Fund
July 31, 2022 (Unaudited)
Futures | ||||||
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | ||||||
Australian 10 Year Bond | 143 | 9/15/2022 | 12,163,723a | 12,486,031 | 322,308 | |
Brent Crude | 17 | 11/30/2022 | 1,605,012b | 1,666,340 | 61,328 | |
CAC 40 10 Euro | 322 | 8/19/2022 | 19,913,144a | 21,218,729 | 1,305,585 | |
Coffee "C" | 5 | 12/19/2022 | 378,544b | 400,875 | 22,331 | |
Copper | 9 | 9/28/2022 | 958,480b | 804,038 | (154,442) | |
Corn No.2 Yellow | 16 | 12/14/2022 | 463,736b | 496,000 | 32,264 | |
Cotton No.2 | 29 | 12/7/2022 | 1,608,220b | 1,402,730 | (205,490) | |
Crude Oil | 22 | 11/21/2022 | 1,951,924b | 2,065,140 | 113,216 | |
Crude Soybean Oil | 8 | 12/14/2022 | 285,405b | 315,168 | 29,763 | |
DAX | 19 | 9/16/2022 | 6,275,829a | 6,540,302 | 264,473 | |
E-mini Russell 2000 | 86 | 9/16/2022 | 7,744,352 | 8,106,790 | 362,438 | |
Euro-Bond | 165 | 9/8/2022 | 24,705,497a | 26,584,134 | 1,878,637 | |
FTSE 100 | 496 | 9/16/2022 | 43,351,280a | 44,562,225 | 1,210,945 | |
FTSE/MIB Index | 59 | 9/16/2022 | 6,326,223a | 6,746,470 | 420,247 | |
Gasoline | 12 | 11/30/2022 | 1,323,486b | 1,349,309 | 25,823 | |
Gold 100 oz | 8 | 10/27/2022 | 1,434,349b | 1,417,200 | (17,149) | |
Hard Red Winter Wheat | 1 | 12/14/2022 | 44,222b | 44,075 | (147) | |
IBEX 35 Index | 2 | 8/19/2022 | 164,965a | 166,805 | 1,840 | |
Japanese 10 Year Bond | 31 | 9/12/2022 | 34,700,100a | 34,989,201 | 289,101 | |
Lean Hog | 12 | 12/14/2022 | 406,529b | 421,680 | 15,151 | |
Live Cattle | 12 | 10/31/2022 | 673,401b | 682,680 | 9,279 | |
LME Primary Aluminum | 12 | 12/21/2022 | 737,111b | 747,672 | 10,561 | |
LME Primary Aluminum | 18 | 9/21/2022 | 1,415,714b | 1,126,458 | (289,256) | |
LME Primary Nickel | 9 | 9/21/2022 | 1,744,084b | 1,274,616 | (469,468) | |
LME Primary Nickel | 4 | 12/21/2022 | 521,100b | 568,056 | 46,956 | |
LME Refined Pig Lead | 2 | 12/21/2022 | 98,393b | 101,425 | 3,032 | |
LME Refined Pig Lead | 2 | 9/21/2022 | 119,481b | 102,125 | (17,356) | |
LME Zinc | 5 | 12/21/2022 | 385,140b | 408,313 | 23,173 | |
LME Zinc | 15 | 9/21/2022 | 1,651,264b | 1,257,098 | (394,166) | |
Low Sulphur Gas oil | 10 | 11/10/2022 | 1,077,752b | 1,053,000 | (24,752) | |
Mini MSCI Emerging Markets Index | 74 | 9/16/2022 | 3,682,750 | 3,694,450 | 11,700 | |
Natural Gas | 36 | 11/28/2022 | 2,676,035b | 3,014,640 | 338,605 | |
NY Harbor ULSD | 11 | 11/30/2022 | 1,564,352b | 1,572,278 | 7,926 | |
Platinum | 5 | 10/27/2022 | 216,959b | 222,450 | 5,491 |
Futures Long(continued) | ||||||
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation (Depreciation) ($) | |
S&P/Toronto Stock Exchange 60 Index | 111 | 9/15/2022 | 19,653,075a | 20,578,189 | 925,114 | |
Silver | 5 | 9/28/2022 | 548,533b | 504,925 | (43,608) | |
Soybean | 10 | 11/14/2022 | 672,398b | 734,250 | 61,852 | |
Soybean Meal | 62 | 12/14/2022 | 2,414,766b | 2,594,700 | 179,934 | |
Standard & Poor's 500 E-mini | 87 | 9/16/2022 | 16,891,511 | 17,980,725 | 1,089,214 | |
Sugar No.11 | 33 | 9/30/2022 | 663,202b | 648,278 | (14,924) | |
U.S. Treasury 10 Year Notes | 200 | 9/21/2022 | 23,812,821 | 24,228,126 | 415,305 | |
Futures Short | ||||||
Amsterdam Exchange Index | 14 | 8/19/2022 | 2,022,425a | 2,076,364 | (53,939) | |
ASX SPI 200 | 46 | 9/15/2022 | 5,421,111a | 5,512,044 | (90,933) | |
Canadian 10 year Bond | 92 | 9/20/2022 | 9,234,797a | 9,372,067 | (137,270) | |
Chicago SRW Wheat | 6 | 12/14/2022 | 248,169b | 247,725 | 444 | |
Cocoa | 40 | 12/14/2022 | 958,809b | 949,200 | 9,609 | |
Hang Seng | 73 | 8/30/2022 | 9,508,563a | 9,343,189 | 165,374 | |
LME Primary Aluminum | 18 | 9/21/2022 | 1,222,377b | 1,126,458 | 95,919 | |
LME Primary Nickel | 9 | 9/21/2022 | 1,460,244b | 1,274,616 | 185,628 | |
LME Refined Pig Lead | 2 | 9/21/2022 | 103,832b | 102,125 | 1,707 | |
LME Zinc | 15 | 9/21/2022 | 1,373,571b | 1,257,098 | 116,473 | |
Long Gilt | 138 | 9/28/2022 | 19,181,079a | 19,860,905 | (679,826) | |
Swiss Market Index | 200 | 9/16/2022 | 22,711,966a | 23,455,376 | (743,410) | |
Topix | 77 | 9/8/2022 | 10,939,133a | 11,187,664 | (248,531) | |
Gross Unrealized Appreciation | 10,058,746 | |||||
Gross Unrealized Depreciation | (3,584,667) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
b These securities are wholly-owned by the Subsidiary referenced in Note 1.
See notes to consolidated financial statements.
STATEMENT
OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
BNY Mellon Dynamic Total Return Fund
July 31, 2022 (Unaudited)
Forward Foreign Currency Exchange Contracts | |||||
Counterparty/
Purchased | Purchased
Currency | Currency | Sold
| Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Bank of Montreal | |||||
Swiss Franc | 18,780,059 | United States Dollar | 19,339,353 | 9/21/2022 | 471,972 |
Citigroup | |||||
Norwegian Krone | 37,891,000 | United States Dollar | 3,789,696 | 9/21/2022 | 135,196 |
British Pound | 3,236,000 | United States Dollar | 3,868,080 | 9/21/2022 | 77,590 |
Japanese Yen | 45,851,000 | United States Dollar | 339,271 | 9/21/2022 | 6,003 |
United States Dollar | 249,585 | Japanese Yen | 34,311,000 | 9/21/2022 | (8,789) |
New Zealand Dollar | 745,000 | United States Dollar | 456,894 | 9/21/2022 | 11,515 |
United States Dollar | 13,225,067 | Canadian Dollar | 17,194,000 | 9/21/2022 | (199,486) |
Swiss Franc | 3,065,000 | United States Dollar | 3,183,608 | 9/21/2022 | 49,700 |
Australian Dollar | 2,261,000 | United States Dollar | 1,532,144 | 9/21/2022 | 48,973 |
Swedish Krona | 60,094,000 | United States Dollar | 5,763,485 | 9/21/2022 | 164,145 |
Euro | 1,093,000 | United States Dollar | 1,114,527 | 9/21/2022 | 6,799 |
United States Dollar | 870,384 | Euro | 845,000 | 9/21/2022 | 3,485 |
Goldman Sachs | |||||
Australian Dollar | 125,000 | United States Dollar | 86,934 | 9/21/2022 | 479 |
United States Dollar | 2,285,660 | Australian Dollar | 3,306,000 | 9/21/2022 | (26,226) |
Swiss Franc | 10,083,000 | United States Dollar | 10,417,143 | 9/21/2022 | 219,543 |
United States Dollar | 932,629 | Swiss Franc | 907,000 | 9/21/2022 | (24,177) |
New Zealand Dollar | 3,722,000 | United States Dollar | 2,324,159 | 9/21/2022 | 15,999 |
United States Dollar | 2,447,962 | New Zealand Dollar | 3,903,000 | 9/21/2022 | (5,998) |
Canadian Dollar | 8,027,000 | United States Dollar | 6,206,805 | 9/21/2022 | 60,433 |
United States Dollar | 4,511,035 | Canadian Dollar | 5,812,000 | 9/21/2022 | (26,798) |
Counterparty/ Purchased | Purchased
Currency | Currency | Sold
| Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Goldman Sachs(continued) | |||||
Euro | 7,005,000 | United States Dollar | 7,373,937 | 9/21/2022 | (187,394) |
United States Dollar | 1,790,553 | Euro | 1,695,000 | 9/21/2022 | 51,625 |
Swedish Krona | 12,753,000 | United States Dollar | 1,265,846 | 9/21/2022 | (7,899) |
United States Dollar | 11,497,309 | Swedish Krona | 112,816,915 | 9/21/2022 | 369,128 |
British Pound | 3,469,000 | United States Dollar | 4,283,869 | 9/21/2022 | (54,101) |
United States Dollar | 3,273,839 | British Pound | 2,712,000 | 9/21/2022 | (32,915) |
Japanese Yen | 101,425,000 | United States Dollar | 754,375 | 9/21/2022 | 9,391 |
United States Dollar | 18,674,459 | Japanese Yen | 2,496,754,000 | 9/21/2022 | (126,977) |
United States Dollar | 6,619,808 | Norwegian Krone | 65,222,000 | 9/21/2022 | (136,132) |
HSBC | |||||
Swedish Krona | 61,334,000 | United States Dollar | 5,927,780 | 9/21/2022 | 122,163 |
United States Dollar | 2,236,409 | Swedish Krona | 22,750,000 | 9/21/2022 | (7,635) |
Australian Dollar | 46,586,126 | United States Dollar | 33,380,621 | 9/21/2022 | (802,944) |
United States Dollar | 5,617,663 | Australian Dollar | 8,185,000 | 9/21/2022 | (106,107) |
British Pound | 7,497,000 | United States Dollar | 9,005,067 | 9/21/2022 | 136,059 |
United States Dollar | 51,327,003 | British Pound | 41,122,349 | 9/21/2022 | 1,186,335 |
Canadian Dollar | 31,033,987 | United States Dollar | 24,647,035 | 9/21/2022 | (416,640) |
United States Dollar | 5,413,954 | Canadian Dollar | 7,019,000 | 9/21/2022 | (66,268) |
Japanese Yen | 302,831,000 | United States Dollar | 2,254,861 | 9/21/2022 | 25,563 |
United States Dollar | 2,373,126 | Japanese Yen | 328,234,000 | 9/21/2022 | (98,592) |
New Zealand Dollar | 7,833,000 | United States Dollar | 4,914,544 | 9/21/2022 | 10,352 |
United States Dollar | 6,775,707 | New Zealand Dollar | 10,970,000 | 9/21/2022 | (121,536) |
Euro | 5,130,000 | United States Dollar | 5,336,926 | 9/21/2022 | (73,976) |
United States Dollar | 83,061,373 | Euro | 77,102,365 | 9/21/2022 | 3,960,805 |
Norwegian Krone | 29,239,000 | United States Dollar | 2,929,685 | 9/21/2022 | 99,001 |
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Counterparty/ Purchased | Purchased
Currency | Currency | Sold
| Settlement Date | Unrealized Appreciation (Depreciation) ($) |
HSBC(continued) | |||||
United States Dollar | 2,045,368 | Norwegian Krone | 19,882,000 | 9/21/2022 | (14,084) |
Swiss Franc | 4,367,000 | United States Dollar | 4,565,207 | 9/21/2022 | 41,597 |
United States Dollar | 8,367,751 | Swiss Franc | 8,193,000 | 9/21/2022 | (275,150) |
Morgan Stanley | |||||
United States Dollar | 172,109 | Swedish Krona | 1,778,000 | 9/21/2022 | (3,272) |
United States Dollar | 735,439 | Canadian Dollar | 951,000 | 9/21/2022 | (7,073) |
Japanese Yen | 6,136,382,015 | United States Dollar | 46,010,212 | 9/21/2022 | 198,904 |
United States Dollar | 911,731 | Japanese Yen | 122,453,000 | 9/21/2022 | (10,383) |
Euro | 1,344,000 | United States Dollar | 1,403,626 | 9/21/2022 | (24,795) |
United States Dollar | 1,886,883 | New Zealand Dollar | 2,988,183 | 9/21/2022 | 8,102 |
Norwegian Krone | 1,142,000 | United States Dollar | 114,614 | 9/21/2022 | 3,679 |
Standard Chartered Bank | |||||
Australian Dollar | 3,806,000 | United States Dollar | 2,724,867 | 9/21/2022 | (63,331) |
United States Dollar | 1,752,180 | Australian Dollar | 2,520,000 | 9/21/2022 | (10,056) |
Norwegian Krone | 148,072,218 | United States Dollar | 15,681,331 | 9/21/2022 | (343,453) |
Japanese Yen | 138,839,000 | United States Dollar | 1,043,630 | 9/21/2022 | 1,877 |
United States Dollar | 860,730 | Japanese Yen | 116,831,000 | 9/21/2022 | (19,049) |
Swiss Franc | 906,000 | United States Dollar | 938,011 | 9/21/2022 | 17,740 |
United States Dollar | 4,501,637 | Swiss Franc | 4,361,000 | 9/21/2022 | (98,838) |
New Zealand Dollar | 3,097,000 | United States Dollar | 1,933,708 | 9/21/2022 | 13,490 |
United States Dollar | 537,984 | New Zealand Dollar | 867,000 | 9/21/2022 | (7,131) |
Norwegian Krone | 9,715,000 | United States Dollar | 963,597 | 9/21/2022 | 42,719 |
United States Dollar | 2,675,403 | Norwegian Krone | 26,222,000 | 9/21/2022 | (40,770) |
Swedish Krona | 23,627,000 | United States Dollar | 2,329,125 | 9/21/2022 | 1,426 |
United States Dollar | 3,527,380 | Swedish Krona | 36,543,000 | 9/21/2022 | (77,196) |
Counterparty/ Purchased | Purchased
Currency | Currency | Sold
| Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Standard Chartered Bank(continued) | |||||
Euro | 983,000 | United States Dollar | 1,045,488 | 9/21/2022 | (37,012) |
United States Dollar | 264,765 | Euro | 259,000 | 9/21/2022 | (947) |
British Pound | 1,895,000 | United States Dollar | 2,305,456 | 9/21/2022 | 5,126 |
United States Dollar | 780,195 | British Pound | 656,000 | 9/21/2022 | (19,669) |
Canadian Dollar | 4,573,000 | United States Dollar | 3,500,967 | 9/21/2022 | 69,493 |
United States Dollar | 4,140,298 | Canadian Dollar | 5,323,000 | 9/21/2022 | (15,739) |
Gross Unrealized Appreciation | 7,646,407 | ||||
Gross Unrealized Depreciation | (3,598,538) |
See notes to consolidated financial statements.
STATEMENT
OF INVESTMENTS
BNY Mellon Dynamic Total Return Fund
July 31, 2022 (Unaudited)
The following is a summary of the inputs used as of July 31, 2022 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Investment Companies | 29,755,522 | - | - | 29,755,522 | ||
U.S. Treasury Securities | - | 135,673,144 | - | 135,673,144 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 7,646,407 | - | 7,646,407 | ||
Futures†† | 10,058,746 | - | - | 10,058,746 | ||
Options Purchased | 982,300 | - | - | 982,300 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | (3,598,538) | - | (3,598,538) | ||
Futures†† | (3,584,667) | - | - | (3,584,667) |
† See Consolidated Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
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, options 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 (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.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Financial futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on
interest rates and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
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, 2022 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.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of interest rates, foreign currencies, or as a substitute for an investment. The fund is subject to market riskinterest rate risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written
and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty 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.
At July 31, 2022, accumulated net unrealized depreciation on investments was $297,937, consisting of $49,247 gross unrealized appreciation and $347,184 gross unrealized depreciation.
At July 31, 2022, 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.